DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2019 USD ($)
U.S. Treasury futures | 2 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	1 year 11 months 15 days
Derivative Instruments, maturity period	2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount	$ 180,000
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	4 years 5 months 1 day
Derivative Instruments, maturity period	5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount	$ 2,953,300
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	9 years 8 months 26 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 2,600,000
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional Amount	$ 5,806,400
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	8 years 3 months 3 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 2,600,000
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional Amount	$ 8,939,700