FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	$ 105,961,803	$ 101,760,050	[1]
Liabilities	91,005,947	86,888,477	[1]
Total securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	91,338,611	92,563,572
Residential mortgage backed securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	88,363,876	89,426,437
Residential mortgage backed securities, recognized trough earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	926,252	1,125,326
Credit risk transfer securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	688,521	651,764
Non-agency mortgage-backed securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,173,467	1,097,294
Commercial real estate debt investment, securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	162,678	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	23,817	18,115
Total loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	4,224,203	2,999,148
Residential mortgage loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,217,139	958,546
Commercial real estate debt and preferred equity, held for investment
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,435,865	1,029,327
Loans held for sale, net
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	42,325	0
Corporate debt
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,528,874	1,011,275
Assets transferred or pledged to securitization
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	4,287,821	3,306,133
Residential mortgage loans, asset transferred or pledged to securitization, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	765,876	479,776
Commercial mortgage loans, asset transferred or pledged to securitization, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	3,521,945	2,826,357
Reverse repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,234,704	0
Repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	79,073,026	77,696,343
Other secured financing
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	4,108,547	3,837,528
Securitized debt of consolidated VIEs
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	3,799,542	2,971,771
Mortgages payable
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	$ 511,588	$ 309,686

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