DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019 USD ($)	Dec. 31, 2018 USD ($)
U.S. Treasury futures | 2 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity		1 year 11 months 19 days
Derivative Instruments, maturity period	2 years	2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions
Derivative [Line Items]
Notional		$ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional		$ (1,166,000)
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	4 years 5 months 1 day	4 years 4 months 20 days
Derivative Instruments, maturity period	5 years	5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions
Derivative [Line Items]
Notional	$ 0	$ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional	$ (5,314,900)	$ (6,359,400)
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	10 years 10 days	7 years 1 month 6 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	10 years	10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional	$ (2,600,000)	$ 0
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional	$ (5,151,400)	$ (11,152,600)
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	7 years 9 months	5 years 10 months 9 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional	$ (2,600,000)	$ 0
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional	(10,466,300)	(18,678,000)
Interest rate swap
Derivative [Line Items]
Notional	$ (73,181,850)	$ (70,465,700)
Weighted Average Underlying Years to Maturity	4 years 3 months 25 days	4 years 3 months 3 days
Derivative, Nonmonetary Notional Amount, Percentage	0.81
Overnight index swap
Derivative [Line Items]
Derivative, Nonmonetary Notional Amount, Percentage	0.19