FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	$ 96,917,274	$ 130,295,081	[1]
Liabilities	84,209,744	114,498,737	[1]
Total securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	79,357,596	114,833,580
Agency mortgage-backed securities, recognized through comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	77,869,157	112,124,958
Agency mortgage-backed securities, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	587,689	768,409
Credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	222,871	531,322
Non-agency mortgage-backed securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	585,954	1,135,868
Commercial real estate debt investment, securities, recognized through other comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	50,745	64,655
Commercial real estate debt investment, securities, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	41,180	208,368
Total loans, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	4,068,189	4,462,350
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,268,083	1,647,787
Commercial real estate debt and preferred equity, held for investment
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	649,843	669,713
Corporate debt held for investment, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,150,263	2,144,850
Total assets transferred or pledged to securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	7,671,662	7,002,460
Mortgage-backed securities, recognized through other comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,803,608	1,122,588
Residential mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	3,027,188	2,598,374
Commercial mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,927,575	2,345,120
Commercial mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	913,291	936,378
Repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	72,580,183	101,740,728
Other secured financing
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	1,805,428	4,455,700
Debt issued by securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	6,364,949	5,622,801
Mortgages payable
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	$ 484,762	$ 485,005

[1] Derived from the audited consolidated financial statements at December 31, 2019.