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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2019
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 March 31, 2019 and December 31, 2018, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| March 31, 2019 |  | December 31, 2018
| 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 | $ | — |  |  | $ | 1,023,938 |  |  | $ | — |  |  | $ | 1,023,938 |  |  | $ | — |  |  | $ | 1,037,730 |  |  | $ | — |  |  | $ | 1,037,730 |
Non-Agency RMBS | — |  |  | 314,086 |  |  | — |  |  | 314,086 |  |  | — |  |  | 214,037 |  |  | — |  |  | 214,037 |
CMBS | — |  |  | 245,941 |  |  | — |  |  | 245,941 |  |  | — |  |  | 207,785 |  |  | 52,700 |  |  | 260,485 |
Multi-family loans held in securitization trusts | — |  |  | — |  |  | 14,328,336 |  |  | 14,328,336 |  |  | — |  |  | — |  |  | 11,679,847 |  |  | 11,679,847 |
Distressed and other residential mortgage loans, at fair value | — |  |  | — |  |  | 875,566 |  |  | 875,566 |  |  | — |  |  | — |  |  | 737,523 |  |  | 737,523 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps (1) | — |  |  | 14,873 |  |  | — |  |  | 14,873 |  |  | — |  |  | 10,263 |  |  | — |  |  | 10,263 |
Investments in unconsolidated entities | — |  |  | — |  |  | 36,575 |  |  | 36,575 |  |  | — |  |  | — |  |  | 32,994 |  |  | 32,994 |
Total | $ | — |  |  | $ | 1,598,838 |  |  | $ | 15,240,477 |  |  | $ | 16,839,315 |  |  | $ | — |  |  | $ | 1,469,815 |  |  | $ | 12,503,064 |  |  | $ | 13,972,879 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Multi-family collateralized debt obligations | $ | — |  |  | $ | — |  |  | $ | 13,547,195 |  |  | $ | 13,547,195 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,022,248 |  |  | $ | 11,022,248 |
Total | $ | — |  |  | $ | — |  |  | $ | 13,547,195 |  |  | $ | 13,547,195 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,022,248 |  |  | $ | 11,022,248 |
(1) | All of the Company's interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. Includes derivative liabilities of $12.8 million netted against a variation margin of $27.7 million at March 31, 2019. Includes derivative assets of $1.8 million and variation margin of $8.5 million at December 31, 2018.
Changes in Valuation of Level 3 Assets |
(1) | All of the Company's interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. Includes derivative liabilities of $12.8 million netted against a variation margin of $27.7 million at March 31, 2019. Includes derivative assets of $1.8 million and variation margin of $8.5 million at December 31, 2018.
The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2019 and 2018, respectively (amounts in thousands): Level 3 Assets:
| Three Months Ended March 31, 2019
| Multi-family loans held in securitization trusts | Distressed and other residential mortgage loans | Investments in unconsolidated entities | CMBS held in securitization trusts |  | Total
Balance at beginning of period | $ | 11,679,847 |  | $ | 737,523 |  | $ | 32,994 |  | $ | 52,700 |  |  | $ | 12,503,064 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |
Included in earnings | 259,764 |  | 9,945 |  | 3,892 |  | 17,734 |  |  | 291,335 |
Included in other comprehensive income (loss) | — |  | — |  | — |  | (13,665 | ) |  | (13,665 | )
Transfers in | — |  | — |  | — |  | — |  |  | — |
Transfers out | — |  | (182 | ) | — |  | — |  |  | (182 | )
Contributions | — |  | — |  | — |  | — |  |  | — |
Paydowns/Distributions | (37,485 | ) | (24,930 | ) | (311 | ) | — |  |  | (62,726 | )
Sales | — |  | (6,448 | ) | — |  | (56,769 | ) |  | (63,217 | )
Purchases (1) | 2,426,210 |  | 159,658 |  | — |  | — |  |  | 2,585,868 |
Balance at the end of period | $ | 14,328,336 |  | $ | 875,566 |  | $ | 36,575 |  | $ | — |  |  | $ | 15,240,477 |
(1) | During the three months ended March 31, 2019, the Company purchased PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated assets of these securitizations in the amount of $2.4 billion during the three months ended March 31, 2019 (see Notes 2 and 6)
Changes in Valuation of Level 3 Liabilities |
| Three Months Ended March 31, 2018
| Multi-family loans held in securitization trusts | Distressed and other residential mortgage loans | Investments in unconsolidated entities | CMBS held in securitization trusts |  | Total
Balance at beginning of period | $ | 9,657,421 |  | $ | 87,153 |  | $ | 42,823 |  | $ | 47,922 |  |  | $ | 9,835,319 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |
Included in earnings | (184,678 | ) | (181 | ) | 1,319 |  | 939 |  |  | (182,601 | )
Included in other comprehensive income (loss) | — |  | — |  | — |  | (4 | ) |  | (4 | )
Transfers in | — |  | — |  | — |  | — |  |  | — |
Transfers out | — |  | — |  | — |  | — |  |  | — |
Contributions | — |  | — |  | — |  | — |  |  | — |
Paydowns/Distributions | (34,434 | ) | (3,458 | ) | (638 | ) | — |  |  | (38,530 | )
Sales | — |  | — |  | — |  | — |  |  | — |
Purchases | — |  | 15,966 |  | — |  | — |  |  | 15,966 |
Balance at the end of period | $ | 9,438,309 |  | $ | 99,480 |  | $ | 43,504 |  | $ | 48,857 |  |  | $ | 9,630,150 |
The following table details changes in valuation for the Level 3 liabilities (Multi-family CDOs) for the three months ended March 31, 2019 and 2018, respectively (amounts in thousands): Level 3 Liabilities:
| Three Months Ended March 31,
| 2019 |  | 2018
Balance at beginning of period | $ | 11,022,248 |  |  | $ | 9,189,459 |
Total losses (gains) (realized/unrealized) |  |  |
Included in earnings (1) | 237,789 |  |  | (201,558 | )
Purchases (2) | 2,324,639 |  |  | — |
Paydowns | (37,481 | ) |  | (34,434 | )
Balance at the end of period | $ | 13,547,195 |  |  | $ | 8,953,467 |
(1) | Amounts included in interest expense on Multi-Family CDOs and unrealized gain on multi-family loans and debt held in securitization trusts.
(2) | During the three months ended March 31, 2019, the Company purchased PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and include in the Consolidated K-Series. As a result, the Company consolidated liabilities of these securitizations in the amount of $2.3 billion (see Notes 2 and 6)
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 the three months ended March 31, 2019 and 2018 for our Level 3 assets and liabilities held as of March 31, 2019 and 2018, respectively (dollar amounts in thousands):
| Three Months Ended March 31, |
| 2019 |  | 2018 |
Assets |  |  |  |
Multi-family loans held in securitization trusts (1) | $ | 274,683 |  |  | $ | (172,546 | ) |
Investments in unconsolidated entities (2) | 3,661 |  |  | 1,038 |  |
Distressed and other residential mortgage loans at fair value (3) | 9,337 |  |  | (92 | ) |
Liabilities |  |  |  |
Multi-family debt held in securitization trusts (1) | (265,273 | ) |  | 180,091 |  |
(1) | Presented in unrealized gain on multi-family loans and debt held in securitization trusts, net on the Company's condensed consolidated statements of operations.
(2) | Presented in other income on the Company's condensed consolidated statements of operations.
(3) | Presented in net gain (loss) on distressed and other residential mortgage loans at fair value on the Company's condensed consolidated statements of operations.
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 March 31, 2019 and December 31, 2018, respectively, on the Company's condensed consolidated balance sheets (dollar amounts in thousands):
| Assets Measured at Fair Value on a Non-Recurring Basis at
| March 31, 2019 |  | December 31, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Residential mortgage loans held in securitization trusts – impaired loans, net | $ | — |  |  | $ | — |  |  | $ | 5,779 |  |  | $ | 5,779 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,921 |  |  | $ | 5,921 |
Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis | The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three months ended March 31, 2019 and 2018, respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):
| Three Months Ended March 31,
| 2019 |  | 2018
Residential mortgage loans held in securitization trusts – impaired loans, net | $ | (38 | ) |  | $ | 110 |
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 March 31, 2019 and December 31, 2018, respectively (dollar amounts in thousands):
|  |  | March 31, 2019 |  | December 31, 2018
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 65,359 |  |  | $ | 65,359 |  |  | $ | 103,724 |  |  | $ | 103,724 |
Investment securities available for sale | Level 2 or 3 |  | 1,583,965 |  |  | 1,583,965 |  |  | 1,512,252 |  |  | 1,512,252 |
Distressed and other residential mortgage loans, at fair value | Level 3 |  | 875,566 |  |  | 875,566 |  |  | 737,523 |  |  | 737,523 |
Distressed and other residential mortgage loans, net | Level 3 |  | 262,193 |  |  | 264,476 |  |  | 285,261 |  |  | 289,376 |
Investments in unconsolidated entities | Level 3 |  | 92,364 |  |  | 92,961 |  |  | 73,466 |  |  | 73,833 |
Preferred equity and mezzanine loan investments | Level 3 |  | 175,128 |  |  | 177,602 |  |  | 165,555 |  |  | 167,739 |
Multi-family loans held in securitization trusts | Level 3 |  | 14,328,336 |  |  | 14,328,336 |  |  | 11,679,847 |  |  | 11,679,847 |
Derivative assets | Level 2 |  | 14,873 |  |  | 14,873 |  |  | 10,263 |  |  | 10,263 |
Mortgage loans held for sale, net (1) | Level 3 |  | 2,960 |  |  | 3,134 |  |  | 3,414 |  |  | 3,584 |
Mortgage loans held for investment (1) | Level 3 |  | 1,580 |  |  | 1,580 |  |  | 1,580 |  |  | 1,580 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 2,273,005 |  |  | 2,273,005 |  |  | 2,131,505 |  |  | 2,131,505 |
Residential collateralized debt obligations | Level 3 |  | 49,247 |  |  | 47,004 |  |  | 53,040 |  |  | 50,031 |
Multi-family collateralized debt obligations | Level 3 |  | 13,547,195 |  |  | 13,547,195 |  |  | 11,022,248 |  |  | 11,022,248 |
Securitized debt | Level 3 |  | — |  |  | — |  |  | 42,335 |  |  | 45,030 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 45,011 |  |  | 45,000 |  |  | 44,897 |
Convertible notes | Level 2 |  | 131,301 |  |  | 136,693 |  |  | 130,762 |  |  | 135,689 |
(1) | Included in receivables and other assets in the accompanying condensed consolidated balance sheets.

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