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FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018
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SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | $ 130,295,081 | $ 105,787,527
Liabilities | 114,498,737 | 91,669,726
Total securities |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 114,833,580 | 92,623,788
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 | 112,124,958 | 89,840,322
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 | 768,409 | 912,673
Credit risk transfer securities |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 531,322 | 552,097
Non-agency mortgage-backed securities |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 1,135,868 | 1,161,938
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 | 64,655 | 138,242
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 | 208,368 | 18,516
Total loans, net |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 4,462,350 | 4,585,975
Residential mortgage loans |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 1,647,787 | 1,359,806
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 | 669,713 | 1,296,803
Commercial loans held for sale, net |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 0 | 42,184
Corporate debt held for investment, net |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 2,144,850 | 1,887,182
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 | 7,002,460 | 3,833,200
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 | 1,122,588 | 0
Residential mortgage loans, recognized through earnings |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 2,598,374 | 1,094,831
Commercial mortgage loans, recognized through earnings |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 2,345,120 | 2,738,369
Commercial mortgage loans |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 936,378 | 0
Reverse repurchase agreements |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Assets | 0 | 650,040
Repurchase agreements |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Liabilities | 101,740,728 | 81,115,874
Other secured financing |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Liabilities | 4,455,700 | 4,183,311
Debt issued by securitization vehicles |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Liabilities | 5,622,801 | 3,347,062
Mortgages payable |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |
Liabilities | $ 485,005 | $ 511,056

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