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FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019
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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.

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