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Fair Value of Financial Instruments - Valuation for Level 3 Assets (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2019
Mar. 31, 2018
Dec. 31, 2018
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]      
Balance at beginning of period $ 12,503,064 $ 9,835,319  
Total (losses)/gains (realized/unrealized)      
Included in earnings 291,335 (182,601)  
Included in other comprehensive income (loss) (13,665) (4)  
Transfers in 0 0  
Transfers out (182) 0  
Contributions 0 0  
Paydowns/Distributions (62,726) (38,530)  
Sales (63,217) 0  
Purchases 2,585,868 15,966  
Balance at the end of period 15,240,477 9,630,150  
Assets of consolidated VIEs 14,450,531   $ 11,984,374
Consolidated K-Series      
Total (losses)/gains (realized/unrealized)      
Assets of consolidated VIEs 2,400,000    
Multi-family loans held in securitization trusts      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]      
Balance at beginning of period 11,679,847 9,657,421  
Total (losses)/gains (realized/unrealized)      
Included in earnings 259,764 (184,678)  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out 0 0  
Contributions 0 0  
Paydowns/Distributions (37,485) (34,434)  
Sales 0 0  
Purchases 2,426,210 0  
Balance at the end of period 14,328,336 9,438,309  
Distressed and other residential mortgage loans      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]      
Balance at beginning of period 737,523 87,153  
Total (losses)/gains (realized/unrealized)      
Included in earnings 9,945 (181)  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out (182) 0  
Contributions 0 0  
Paydowns/Distributions (24,930) (3,458)  
Sales (6,448) 0  
Purchases 159,658 15,966  
Balance at the end of period 875,566 99,480  
Investments in unconsolidated entities      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]      
Balance at beginning of period 32,994 42,823  
Total (losses)/gains (realized/unrealized)      
Included in earnings 3,892 1,319  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out 0 0  
Contributions 0 0  
Paydowns/Distributions (311) (638)  
Sales 0 0  
Purchases 0 0  
Balance at the end of period 36,575 43,504  
CMBS held in securitization trusts      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]      
Balance at beginning of period 52,700 47,922  
Total (losses)/gains (realized/unrealized)      
Included in earnings 17,734 939  
Included in other comprehensive income (loss) (13,665) (4)  
Transfers in 0 0  
Transfers out 0 0  
Contributions 0 0  
Paydowns/Distributions 0 0  
Sales (56,769) 0  
Purchases 0 0  
Balance at the end of period $ 0 $ 48,857