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Fair Value of Financial Instruments - Valuation for Level 3 Assets (Details) - USD ($)
$ in Thousands
9 Months Ended
Sep. 30, 2019
Sep. 30, 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 gains/(losses) (realized/unrealized)      
Included in earnings 829,948 (280,300)  
Included in other comprehensive income (loss) (13,665) 901  
Transfers in 0 0  
Transfers out (437) 0  
Contributions 50,000 0  
Paydowns/Distributions (488,838) (133,101)  
Charge-off (3,510)    
Sales (76,583) (7,105)  
Purchases 4,255,662 923,842  
Balance at the end of period 17,055,641 10,339,556  
Assets of consolidated VIEs 15,976,914   $ 11,984,374
Consolidated K-Series      
Total gains/(losses) (realized/unrealized)      
Assets of consolidated VIEs 3,800,000   $ 800,000
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 gains/(losses) (realized/unrealized)      
Included in earnings 760,132 (289,797)  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out 0 0  
Contributions 0 0  
Paydowns/Distributions (368,811) (101,953)  
Charge-off (3,510) 0  
Sales 0 0  
Purchases 3,795,606 805,163  
Balance at the end of period 15,863,264 10,070,834  
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 gains/(losses) (realized/unrealized)      
Included in earnings 44,913 (1,361)  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out (437) 0  
Contributions 0 0  
Paydowns/Distributions (106,113) (15,456)  
Charge-off 0    
Sales (19,814) (7,105)  
Purchases 460,056 118,679  
Balance at the end of period 1,116,128 181,910  
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 gains/(losses) (realized/unrealized)      
Included in earnings 7,169 7,930  
Included in other comprehensive income (loss) 0 0  
Transfers in 0 0  
Transfers out 0 0  
Contributions 50,000 0  
Paydowns/Distributions (13,914) (15,692)  
Charge-off 0    
Sales 0 0  
Purchases 0 0  
Balance at the end of period 76,249 35,061  
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 gains/(losses) (realized/unrealized)      
Included in earnings 17,734 2,928  
Included in other comprehensive income (loss) (13,665) 901  
Transfers in 0 0  
Transfers out 0 0  
Contributions 0 0  
Paydowns/Distributions 0 0  
Charge-off 0    
Sales (56,769) 0  
Purchases 0 0  
Balance at the end of period $ 0 $ 51,751