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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2017
Fair Value Disclosures [Abstract] |
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2017 and December 31, 2016, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| September 30, 2017 |  | December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | — |  |  | $ | 415,032 |  |  | $ | — |  |  | $ | 415,032 |  |  | $ | — |  |  | $ | 526,363 |  |  | $ | — |  |  | $ | 526,363 |
Non-Agency RMBS | — |  |  | 133,022 |  |  | — |  |  | 133,022 |  |  | — |  |  | 163,284 |  |  | — |  |  | 163,284 |
U.S. Treasury Securities | 2,924 |  |  | — |  |  | — |  |  | 2,924 |  |  | 2,887 |  |  | — |  |  | — |  |  | 2,887 |
CMBS | — |  |  | 76,560 |  |  | 46,623 |  |  | 123,183 |  |  | — |  |  | 82,545 |  |  | 43,897 |  |  | 126,442 |
Multi-family loans held in securitization trusts | — |  |  | — |  |  | 8,399,334 |  |  | 8,399,334 |  |  | — |  |  | — |  |  | 6,939,844 |  |  | 6,939,844 |
Residential mortgage loans, at fair value | — |  |  | — |  |  | 69,512 |  |  | 69,512 |  |  | — |  |  | — |  |  | 17,769 |  |  | 17,769 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBA Securities | — |  |  | 180,562 |  |  | — |  |  | 180,562 |  |  | — |  |  | 148,139 |  |  | — |  |  | 148,139 |
Interest rate swap futures | 1,228 |  |  | — |  |  | — |  |  | 1,228 |  |  | 444 |  |  | — |  |  | — |  |  | 444 |
Interest rate swaps | — |  |  | 18 |  |  | — |  |  | 18 |  |  | — |  |  | 108 |  |  | — |  |  | 108 |
Swaptions | — |  |  | 18 |  |  | — |  |  | 18 |  |  | — |  |  | 431 |  |  | — |  |  | 431 |
Eurodollar futures | 289 |  |  | — |  |  | — |  |  | 289 |  |  | 1,175 |  |  | — |  |  | — |  |  | 1,175 |
Investment in unconsolidated entities | — |  |  | — |  |  | 41,026 |  |  | 41,026 |  |  | — |  |  | — |  |  | 60,332 |  |  | 60,332 |
Total | $ | 4,441 |  |  | $ | 805,212 |  |  | $ | 8,556,495 |  |  | $ | 9,366,148 |  |  | $ | 4,506 |  |  | $ | 920,870 |  |  | $ | 7,061,842 |  |  | $ | 7,987,218 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Multi-family collateralized debt obligations | $ | — |  |  | $ | — |  |  | $ | 7,990,619 |  |  | $ | 7,990,619 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,624,896 |  |  | $ | 6,624,896 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures | 193 |  |  | — |  |  | — |  |  | 193 |  |  | 107 |  |  | — |  |  | — |  |  | 107 |
Interest rate swaps | — |  |  | 274 |  |  | — |  |  | 274 |  |  | — |  |  | 391 |  |  | — |  |  | 391 |
Total | $ | 193 |  |  | $ | 274 |  |  | $ | 7,990,619 |  |  | $ | 7,991,086 |  |  | $ | 107 |  |  | $ | 391 |  |  | $ | 6,624,896 |  |  | $ | 6,625,394 |
Changes in Valuation of Level 3 Assets | The following table details changes in valuation for the Level 3 assets for the nine months ended September 30, 2017 and 2016, respectively (amounts in thousands): Level 3 Assets:
| Nine Months Ended September 30,
| 2017 |  | 2016
Balance at beginning of period | $ | 7,061,842 |  |  | $ | 7,214,587 |
Total gains/(losses) (realized/unrealized) |  |  |
Included in earnings (1) | 38,978 |  |  | 215,325 |
Included in other comprehensive income | 208 |  |  | 178 |
Purchases | 1,598,018 |  |  | 13,326 |
Transfers in (2) | — |  |  | 52,176 |
Transfers out (3) | — |  |  | (56,756 | )
Contributions | 1,300 |  |  | 2,000 |
Paydowns/Distributions | (139,751 | ) |  | (93,129 | )
Sales | (4,100 | ) |  | — |
Balance at the end of period | $ | 8,556,495 |  |  | $ | 7,340,018 |
(1) | Amounts included in interest income from multi-family loans held in securitization trusts, interest income from residential mortgage loans, realized gain on distressed residential mortgage loans, net gain on residential mortgage loans at fair value, unrealized gain on multi-family loans and debt held in securitization trusts, and other income.
(2) | Transfers into Level 3 include investments in unconsolidated entities held by RiverBanc and RBMI for which the Company accounts under the equity method of accounting with a fair value election. These transfers in are a result of the Company's acquisition of the outstanding membership interests in RiverBanc and RBMI that were not previously owned by the Company on May 16, 2016, which resulted in consolidation of these entities into the Company's financial statements (see Note 23).
(3) | Transfers out of Level 3 represent the Company's previously held membership interests in RBMI and RBDHC that were accounted for under the equity method of accounting with a fair value election. These transfers out are a result of the Company's acquisition of the outstanding membership interests in RBMI and RBDHC that were not previously owned by the Company on May 16, 2016, which resulted in consolidation of these entities into the Company's financial statements (see Note 23).
Changes in Valuation of Level 3 Liabilities | The following table details changes in valuation for the Level 3 liabilities for the nine months ended September 30, 2017 and 2016, respectively (amounts in thousands): Level 3 Liabilities:
| Nine Months Ended September 30,
| 2017 |  | 2016
Balance at beginning of period | $ | 6,624,896 |  |  | $ | 6,818,901 |
Total gains/(losses) (realized/unrealized) |  |  |
Included in earnings (1) | (1,389 | ) |  | 186,855 |
Purchases | 1,472,073 |  |  | — |
Paydowns | (104,961 | ) |  | (91,901 | )
Balance at the end of period | $ | 7,990,619 |  |  | $ | 6,913,855 |
(1) | Amounts included in interest expense on Multi-Family CDOs and unrealized gain on multi-family loans and debt held in securitization trusts.
Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities | The following table details the changes in unrealized gains (losses) included in earnings for our Level 3 multi-family loans and debt held in securitization trusts for the three and nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
Change in unrealized (losses) gains – assets | $ | (19,767 | ) |  | $ | (17,722 | ) |  | $ | 56,995 |  |  | $ | 237,934 |
Change in unrealized gains (losses) – liabilities | 22,120 |  |  | 18,460 |  |  | (51,811 | ) |  | (235,594 | )
Net change in unrealized gains included in earnings for assets and liabilities | $ | 2,353 |  |  | $ | 738 |  |  | $ | 5,184 |  |  | $ | 2,340 |
Schedule of Assets Measured at Fair Value on a Non-recurring Basis | The following table presents assets measured at fair value on a non-recurring basis as of September 30, 2017 and December 31, 2016, respectively, on the condensed consolidated balance sheets (dollar amounts in thousands):
| Assets Measured at Fair Value on a Non-Recurring Basis at
| September 30, 2017 |  | December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Residential mortgage loans held in securitization trusts – impaired loans (net) | $ | — |  |  | $ | — |  |  | $ | 7,201 |  |  | $ | 7,201 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,050 |  |  | $ | 9,050 |
Real estate owned held in residential securitization trusts | — |  |  | — |  |  | 742 |  |  | 742 |  |  | — |  |  | — |  |  | 150 |  |  | 150 |
Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis | The following table presents losses (gains) incurred for assets measured at fair value on a non-recurring basis for the three and nine months ended September 30, 2017 and 2016, respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
Residential mortgage loans held in securitization trusts – impaired loans (net) | $ | (199 | ) |  | $ | 102 |  |  | $ | 6 |  |  | $ | 534 |
Real estate owned held in residential securitization trusts | 297 |  |  | 46 |  |  | 303 |  |  | 23 |
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
|  |  | September 30, 2017 |  | December 31, 2016
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 101,904 |  |  | $ | 101,904 |  |  | $ | 83,554 |  |  | $ | 83,554 |
Investment securities available for sale (1) | Level 1, 2 or 3 |  | 674,161 |  |  | 674,161 |  |  | 818,976 |  |  | 818,976 |
Residential mortgage loans held in securitization trusts (net) | Level 3 |  | 79,875 |  |  | 77,412 |  |  | 95,144 |  |  | 88,718 |
Distressed residential mortgage loans, at carrying value (2) | Level 3 |  | 369,651 |  |  | 374,169 |  |  | 503,094 |  |  | 504,915 |
Residential mortgage loans, at fair value | Level 3 |  | 69,512 |  |  | 69,512 |  |  | 17,769 |  |  | 17,769 |
Multi-family loans held in securitization trusts | Level 3 |  | 8,399,334 |  |  | 8,399,334 |  |  | 6,939,844 |  |  | 6,939,844 |
Derivative assets | Level 1 or 2 |  | 182,115 |  |  | 182,115 |  |  | 150,296 |  |  | 150,296 |
Mortgage loans held for sale (net) (3) | Level 3 |  | 6,797 |  |  | 6,899 |  |  | 7,847 |  |  | 7,959 |
Mortgage loans held for investment (3) | Level 3 |  | 1,760 |  |  | 1,900 |  |  | 19,529 |  |  | 19,641 |
Mezzanine loan and preferred equity investments (4) | Level 3 |  | 122,578 |  |  | 124,436 |  |  | 100,150 |  |  | 101,408 |
Investment in unconsolidated entities (5) | Level 3 |  | 51,268 |  |  | 51,342 |  |  | 79,259 |  |  | 79,390 |
Receivable for securities sold | Level 1 |  | 1,261 |  |  | 1,261 |  |  | — |  |  | — |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Financing arrangements, portfolio investments | Level 2 |  | 608,304 |  |  | 608,304 |  |  | 773,142 |  |  | 773,142 |
Financing arrangements, residential mortgage loans | Level 2 |  | 160,562 |  |  | 160,562 |  |  | 192,419 |  |  | 192,419 |
Residential collateralized debt obligations | Level 3 |  | 76,867 |  |  | 72,428 |  |  | 91,663 |  |  | 85,568 |
Multi-family collateralized debt obligations | Level 3 |  | 7,990,619 |  |  | 7,990,619 |  |  | 6,624,896 |  |  | 6,624,896 |
Securitized debt | Level 3 |  | 98,371 |  |  | 105,768 |  |  | 158,867 |  |  | 163,884 |
Derivative liabilities | Level 1 or 2 |  | 467 |  |  | 467 |  |  | 498 |  |  | 498 |
Payable for securities purchased | Level 1 |  | 181,718 |  |  | 181,718 |  |  | 148,015 |  |  | 148,015 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 44,989 |  |  | 45,000 |  |  | 43,132 |
Convertible notes | Level 2 |  | 128,273 |  |  | 138,697 |  |  | — |  |  | — |
(1) | Includes $46.6 million and $43.9 million of investment securities for sale held in securitization trusts as of September 30, 2017 and December 31, 2016, respectively.
(2) | Includes distressed residential mortgage loans held in securitization trusts with a carrying value amounting to approximately $134.0 million and $195.3 million at September 30, 2017 and December 31, 2016, respectively, and distressed residential mortgage loans with a carrying value amounting to approximately $235.7 million and $307.7 million at September 30, 2017 and December 31, 2016, respectively.
(3) | Included in receivables and other assets in the accompanying condensed consolidated balance sheets.
(4) | Includes mezzanine loan and preferred equity investments accounted for as loans (see Note 9).
(5) | Includes investments in unconsolidated entities accounted for under the fair value option with a carrying value of $41.0 million and $60.3 million at September 30, 2017 and December 31, 2016, respectively (see Note 8).

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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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