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Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | ---
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | $ 2,006,140 | $ 1,512,252
Interest rate swaps |  |
Assets carried at fair value |  |
Derivative assets |  | 1,800
Liabilities carried at fair value |  |
Variation margin | 44,800 | 8,500
Derivative in liability position | (29,000) | 8,500
Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 922,877 | 1,037,730
Agency CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 50,958 | 0
ABS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 49,214 | 0
Fair Value, Measurements, Recurring |  |
Assets carried at fair value |  |
Distressed and other residential mortgage loans, at fair value | 1,429,754 | 737,523
Investments in unconsolidated entities | 83,882 | 32,994
Total | 22,681,286 | 13,972,879
Liabilities carried at fair value |  |
Total | 17,777,280 | 11,022,248
Fair Value, Measurements, Recurring | Interest rate swaps |  |
Assets carried at fair value |  |
Derivative assets | 15,878 | 10,263
Fair Value, Measurements, Recurring | Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 922,877 | 1,037,730
Fair Value, Measurements, Recurring | Agency CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 50,958 | 0
Fair Value, Measurements, Recurring | Non-Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 715,314 | 214,037
Fair Value, Measurements, Recurring | CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 267,777 | 260,485
Fair Value, Measurements, Recurring | ABS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 49,214 | 0
Fair Value, Measurements, Recurring | Multi-family loans held in securitization trusts, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 17,816,746 | 11,679,847
Fair Value, Measurements, Recurring | Residential mortgage loans held in securitization trust, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 1,328,886 | 0
Fair Value, Measurements, Recurring | Multi-Family CDOs |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 16,724,451 | 11,022,248
Fair Value, Measurements, Recurring | Residential collateralized debt obligations, at fair value |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 1,052,829 | 0
Level 1 | Fair Value, Measurements, Recurring |  |
Assets carried at fair value |  |
Distressed and other residential mortgage loans, at fair value | 0 | 0
Investments in unconsolidated entities | 0 | 0
Total | 0 | 0
Liabilities carried at fair value |  |
Total | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Interest rate swaps |  |
Assets carried at fair value |  |
Derivative assets | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Agency CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Non-Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | ABS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Multi-family loans held in securitization trusts, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Residential mortgage loans held in securitization trust, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Multi-Family CDOs |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 0 | 0
Level 1 | Fair Value, Measurements, Recurring | Residential collateralized debt obligations, at fair value |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 0 | 0
Level 2 | Fair Value, Measurements, Recurring |  |
Assets carried at fair value |  |
Distressed and other residential mortgage loans, at fair value | 0 | 0
Investments in unconsolidated entities | 0 | 0
Total | 2,022,018 | 1,469,815
Liabilities carried at fair value |  |
Total | 0 | 0
Level 2 | Fair Value, Measurements, Recurring | Interest rate swaps |  |
Assets carried at fair value |  |
Derivative assets | 15,878 | 10,263
Level 2 | Fair Value, Measurements, Recurring | Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 922,877 | 1,037,730
Level 2 | Fair Value, Measurements, Recurring | Agency CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 50,958 | 0
Level 2 | Fair Value, Measurements, Recurring | Non-Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 715,314 | 214,037
Level 2 | Fair Value, Measurements, Recurring | CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 267,777 | 207,785
Level 2 | Fair Value, Measurements, Recurring | ABS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 49,214 | 0
Level 2 | Fair Value, Measurements, Recurring | Multi-family loans held in securitization trusts, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 0 | 0
Level 2 | Fair Value, Measurements, Recurring | Residential mortgage loans held in securitization trust, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 0 | 0
Level 2 | Fair Value, Measurements, Recurring | Multi-Family CDOs |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 0 | 0
Level 2 | Fair Value, Measurements, Recurring | Residential collateralized debt obligations, at fair value |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 0 | 0
Level 3 |  |
Assets carried at fair value |  |
Investments in unconsolidated entities | 191,359 | 73,833
Level 3 | Fair Value, Measurements, Recurring |  |
Assets carried at fair value |  |
Distressed and other residential mortgage loans, at fair value | 1,429,754 | 737,523
Investments in unconsolidated entities | 83,882 | 32,994
Total | 20,659,268 | 12,503,064
Liabilities carried at fair value |  |
Total | 17,777,280 | 11,022,248
Level 3 | Fair Value, Measurements, Recurring | Interest rate swaps |  |
Assets carried at fair value |  |
Derivative assets | 0 | 0
Level 3 | Fair Value, Measurements, Recurring | Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 3 | Fair Value, Measurements, Recurring | Agency CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 3 | Fair Value, Measurements, Recurring | Non-Agency RMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 3 | Fair Value, Measurements, Recurring | CMBS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 52,700
Level 3 | Fair Value, Measurements, Recurring | ABS |  |
Assets carried at fair value |  |
Investment securities, available for sale, at fair value | 0 | 0
Level 3 | Fair Value, Measurements, Recurring | Multi-family loans held in securitization trusts, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 17,816,746 | 11,679,847
Level 3 | Fair Value, Measurements, Recurring | Residential mortgage loans held in securitization trust, at fair value |  |
Assets carried at fair value |  |
Loans held in securitization trusts | 1,328,886 | 0
Level 3 | Fair Value, Measurements, Recurring | Multi-Family CDOs |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | 16,724,451 | 11,022,248
Level 3 | Fair Value, Measurements, Recurring | Residential collateralized debt obligations, at fair value |  |
Liabilities carried at fair value |  |
Multi-family collateralized debt obligations | $ 1,052,829 | $ 0

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