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FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 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 | $ 93,458,653 | $ 130,295,081 | [1]
Liabilities | 79,661,050 | 114,498,737 | [1]
Total securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 77,805,743 | 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 | 76,179,651 | 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 | 582,149 | 768,409 |
Credit risk transfer securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 362,901 | 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 | 619,840 | 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 | 28,557 | 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 | 32,645 | 208,368 |
Total loans, net |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 3,972,671 | 4,462,350 |
Residential mortgage loans |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 1,168,521 | 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 | 618,886 | 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 | 2,185,264 | 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 | 7,690,451 | 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 | 1,832,708 | 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 | 2,832,502 | 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 | 2,150,623 | 2,345,120 |
Commercial mortgage loans |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 874,618 | 936,378 |
Repurchase agreements |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | 67,163,598 | 101,740,728 |
Other secured financing |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | 1,538,996 | 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 | 6,458,130 | 5,622,801 |
Mortgages payable |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | $ 508,565 | $ 485,005 |
[1] | Derived from the audited consolidated financial statements at December 31, 2019.

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