FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	$ 119,172,549	$ 105,787,527	[1]
Liabilities	103,391,105	91,669,726	[1]
Total securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	104,993,271	92,623,788
Agency mortgage-backed securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	102,222,237	89,840,322
Agency mortgage-backed securities, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	871,289	912,673
Credit risk transfer securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	607,945	552,097
Non-agency mortgage-backed securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,116,569	1,161,938
Commercial real estate debt investment, securities, recognized through other comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	96,566	138,242
Commercial real estate debt investment, securities, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	78,665	18,516
Total loans, net
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	3,879,324	4,585,975
Residential mortgage loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,311,720	1,359,806
Commercial real estate debt and preferred equity, held for investment
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	722,962	1,296,803
Commercial loans held for sale, net
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	42,035	42,184
Corporate debt
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,758,082	1,887,182
Corporate debt held for sale, net
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	44,525	0
Total assets transferred or pledged to securitization vehicles
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	4,365,300	3,833,200
Residential mortgage loans, transferred or pledged to securitization vehicles, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,425,668	1,094,831
Commercial mortgage loans, transferred or pledged to securitization vehicles, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	2,939,632	2,738,369
Reverse repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	523,449	650,040
Repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	88,554,170	81,115,874
Other secured financing
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	4,144,623	4,183,311
Debt issued by securitization vehicles
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	3,693,766	3,347,062
Mortgages payable
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	$ 510,386	$ 511,056

[1] (1) Derived from the audited consolidated financial statements at December 31, 2018.