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FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
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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Sum of the carrying amounts as of the balance sheet date of all assets that are recognized. Assets are probable future economic benefits obtained or controlled by an entity as a result of past transactions or events.

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