DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Swap Equivalent Eurodollar Futures Contracts | 2 Year
Derivative [Line Items]
Derivative instruments, maturity period	2 years	2 years
U.S. Treasury Futures | 2 Year
Derivative [Line Items]
Weighted average underlying years to maturity	1 year 11 months 15 days	1 year 11 months 19 days
U.S. Treasury Futures | 2 Year | Notional - Long Positions
Derivative [Line Items]
Notional amount	$ 0	$ 0
U.S. Treasury Futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional amount	$ (180,000)	$ (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 amount	$ 0	$ 0
U.S. Treasury Futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional amount	$ (2,953,300)	$ (6,359,400)
U.S. Treasury Futures | 10 Year and Greater
Derivative [Line Items]
Weighted average underlying years to maturity	9 years 8 months 26 days	7 years 1 month 6 days
Derivative instruments, minimum maturity period	10 years	10 years
U.S. Treasury Futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional amount	$ (2,600,000)	$ 0
U.S. Treasury Futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional amount	$ (5,806,400)	$ (11,152,600)
Futures Contracts
Derivative [Line Items]
Weighted average underlying years to maturity	8 years 3 months 3 days	5 years 10 months 9 days
Futures Contracts | Notional - Long Positions
Derivative [Line Items]
Notional amount	$ (2,600,000)	$ 0
Futures Contracts | Notional - Short Positions
Derivative [Line Items]
Notional amount	$ (8,939,700)	$ (18,678,000)