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DEBT OBLIGATIONS - Obligations of Consolidated CLOs (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2017
Dec. 31, 2016
Mar. 31, 2016
Debt Instrument [Line Items]      
Borrowing Outstanding $ 19,625,439 $ 18,544,075  
Total Assets 41,635,712 39,002,897 $ 34,428,583
Consolidated VIEs      
Debt Instrument [Line Items]      
Borrowing Outstanding 15,928,970 15,471,087  
Total Assets 26,837,431 25,326,042  
Consolidated VIEs | Consolidated CFEs      
Debt Instrument [Line Items]      
Borrowing Outstanding 14,283,962 13,858,288  
Total Assets 16,103,048 15,349,598  
Debt Obligations of Consolidated CFEs      
Debt Instrument [Line Items]      
Borrowing Outstanding 14,283,962    
Senior Secured Notes | Debt Obligations of Consolidated CFEs      
Debt Instrument [Line Items]      
Borrowing Outstanding $ 8,692,761 8,279,812  
Weighted Average Interest Rate 2.60%    
Weighted Average Remaining Maturity in Years 10 years 10 months 24 days    
Subordinated Notes | Debt Obligations of Consolidated CFEs      
Debt Instrument [Line Items]      
Borrowing Outstanding $ 277,631 283,735  
Weighted Average Remaining Maturity in Years 11 years 3 months 18 days    
Collateralized Mortgage Backed Securities      
Debt Instrument [Line Items]      
Borrowing Outstanding $ 5,313,570 $ 5,294,741  
Collateralized Mortgage Backed Securities | Debt Obligations of Consolidated CFEs      
Debt Instrument [Line Items]      
Borrowing Outstanding $ 5,313,570    
Weighted Average Interest Rate 4.40%    
Weighted Average Remaining Maturity in Years 31 years 9 months 18 days