FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	$ 100,382,233	$ 101,760,050	[1]
Liabilities	86,439,298	86,888,477	[1]
Total agency mortgage-backed securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	88,579,097	90,551,763
Residential mortgage backed securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	87,519,400	89,426,437
Residential mortgage backed securities, recognized trough earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,059,697	1,125,326
Credit risk transfer securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	628,942	651,764
Non-agency mortgage-backed securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,066,343	1,097,294
Residential mortgage loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,535,685	1,438,322
Total commercial real estate debt investments
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	2,960,323	3,089,108
Commercial real estate debt investment, loans, recognized though earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	2,695,513	2,826,357
Commercial real estate debt investment, securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	238,490	244,636
Commercial real estate debt investment, securities, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	26,320	18,115
Commercial real estate debt and preferred equity, held for investment
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,081,295	1,029,327
Corporate debt
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,152,745	1,011,275
Reverse repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	200,459	0
Repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	78,015,431	77,696,343
Other secured financing
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	3,830,075	3,837,528
Securitized debt of consolidated VIEs
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	2,904,873	2,971,771
Mortgages payable
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	$ 309,794	$ 309,686

[1] Derived from the audited consolidated financial statements at December 31, 2017.