FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2020 USD ($) source	Dec. 31, 2019 USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Outstanding Face Amount	$ 30,311,608
Amortized Cost Basis	10,748,799
Real estate and other securities	$ 10,830,067	$ 19,477,728
Number of broker quotation sources | source	2
Percent of securities	83.10%
Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	$ 10,828,362
Single Quote
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	1,705
Agency RMBS
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Outstanding Face Amount	9,035,433
Amortized Cost Basis	9,362,556
Real estate and other securities	9,420,823	11,519,943
Agency RMBS | Level 2
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	9,420,823
Agency RMBS | Level 2 | Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	9,420,823
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	21,276,175
Amortized Cost Basis	1,386,243
Real estate and other securities	1,409,244	$ 7,957,785
Fair Value	1,171,657
Non-Agency RMBS | Level 3
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	1,409,244
Non-Agency RMBS | Level 3 | Multiple Quotes
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	1,407,539
Non-Agency RMBS | Level 3 | Single Quote
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Real estate and other securities	$ 1,705
Minimum | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.011
Minimum | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.010
Minimum | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.003
Minimum | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.128
Maximum | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.177
Maximum | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.300
Maximum | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.045
Maximum | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.950
Weighted Average | Non-Agency RMBS | Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.042
Weighted Average | Non-Agency RMBS | Prepayment Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.131
Weighted Average | Non-Agency RMBS | Delinquency
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.008
Weighted Average | Non-Agency RMBS | Loss Severity
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Non agency RMBS, measurement input	0.480