FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020 USD ($) source	Dec. 31, 2019 USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Outstanding Face Amount	$ 27,043,910
Amortized Cost Basis	6,126,768
Real estate and other securities	$ 6,144,236	$ 19,477,728
Number of broker quotation sources | source	2
Percent of securities	51.90%
Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	$ 6,135,134
Single Quote
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	9,102
Agency RMBS
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Outstanding Face Amount	4,023,936
Amortized Cost Basis	4,161,318
Real estate and other securities	4,205,260	11,519,943
Agency RMBS | Level 2
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	4,205,260
Agency RMBS | Level 2 | Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	4,205,260
Agency RMBS | Level 2 | Single Quote
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	0
Non-Agency RMBS
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Outstanding Face Amount	23,019,974
Amortized Cost Basis	1,965,450
Real estate and other securities	1,938,976	$ 7,957,785
Fair Value	1,005,951
Non-Agency RMBS | Level 3
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	1,938,976
Non-Agency RMBS | Level 3 | Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	1,929,874
Non-Agency RMBS | Level 3 | Single Quote
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	$ 9,102
Minimum | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.0155
Minimum | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.015
Minimum | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.0015
Minimum | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.20
Maximum | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.1500
Maximum | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.25
Maximum | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.06
Maximum | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.80
Weighted Average | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.0463
Weighted Average | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.1429
Weighted Average | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.0048
Weighted Average | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.3554