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Fair Value of Financial Instruments - Valuation for Level 3 Assets (Details) - USD ($) $ in Thousands | 3 Months Ended |
--- | --- | ---
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | $ 20,659,268 | $ 12,503,064 |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | (143,164) | 291,335 |
Included in other comprehensive income (loss) |  |  | (13,665) |
Transfers in |  | 500,549 | 0 |
Transfers out |  | (240,812) | (182) |
Contributions |  | 30,546 | 0 |
Paydowns/Distributions |  | (360,913) | (62,726) |
Recovery of charge-off |  | 35 |  |
Sales |  | (17,431,443) | (63,217) |
Purchases |  | 153,821 | 2,585,868 |
Balance at the end of period |  | 3,167,887 | 15,240,477 |
Assets of consolidated VIE | [1] | 4,718,301 |  | $ 23,483,369
VIE, Primary Beneficiary |  |  |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Assets of consolidated VIE |  | 1,283,255 |  | 19,270,384
Consolidated SLST | VIE, Primary Beneficiary |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | 1,328,886 |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | (89,087) |  |
Transfers out |  | 0 |  |
Contributions |  | 0 |  |
Paydowns/Distributions |  | (21,500) |  |
Recovery of charge-off |  | 0 |  |
Sales |  | 0 |  |
Balance at the end of period |  | 1,218,299 |  |
Assets of consolidated VIE |  | 1,222,071 |  | 1,334,130
Consolidated K-Series | VIE, Primary Beneficiary |  |  |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Assets of consolidated VIE |  |  |  | $ 17,876,163
Residential loans |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | 1,429,754 | 737,523 |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | (94,418) | 9,945 |
Included in other comprehensive income (loss) |  |  | 0 |
Transfers in |  | 164,035 | 0 |
Transfers out |  | (3,166) | (182) |
Contributions |  | 0 | 0 |
Paydowns/Distributions |  | (84,719) | (24,930) |
Recovery of charge-off |  | 0 |  |
Sales |  | (49,960) | (6,448) |
Purchases |  | 153,821 | 159,658 |
Balance at the end of period |  | 1,515,347 | 875,566 |
Residential loans held in securitization trusts |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | 0 |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | (1,739) |  |
Transfers in |  | 46,572 |  |
Transfers out |  | (349) |  |
Paydowns/Distributions |  | (1,500) |  |
Recovery of charge-off |  | 0 |  |
Sales |  | 0 |  |
Purchases |  | 0 |  |
Balance at the end of period |  | 42,984 |  |
Investment in unconsolidated entities |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | 83,882 | 32,994 |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | 494 | 3,892 |
Included in other comprehensive income (loss) |  |  | 0 |
Transfers in |  | 107,477 | 0 |
Transfers out |  | 0 | 0 |
Contributions |  | 22,106 | 0 |
Paydowns/Distributions |  | (1,994) | (311) |
Recovery of charge-off |  | 0 |  |
Sales |  |  | 0 |
Purchases |  | 0 | 0 |
Balance at the end of period |  | 211,965 | 36,575 |
Preferred equity and mezzanine loan investments |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at beginning of period |  | 0 |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | (209) |  |
Transfers in |  | 182,465 |  |
Transfers out |  | 0 |  |
Contributions |  | 8,440 |  |
Paydowns/Distributions |  | (11,404) |  |
Recovery of charge-off |  | 0 |  |
Sales |  | 0 |  |
Purchases |  | 0 |  |
Balance at the end of period |  | 179,292 |  |
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 |  | 17,816,746 | 11,679,847 |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  | 41,795 | 259,764 |
Included in other comprehensive income (loss) |  |  | 0 |
Transfers in |  | 0 | 0 |
Transfers out |  | (237,297) | 0 |
Contributions |  | 0 | 0 |
Paydowns/Distributions |  | (239,796) | (37,485) |
Recovery of charge-off |  | 35 |  |
Sales |  | (17,381,483) | 0 |
Purchases |  | 0 | 2,426,210 |
Balance at the end of period |  | $ 0 | 14,328,336 |
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 |
Total (losses)/gains (realized/unrealized) |  |  |  |
Included in earnings |  |  | 17,734 |
Included in other comprehensive income (loss) |  |  | (13,665) |
Transfers in |  |  | 0 |
Transfers out |  |  | 0 |
Contributions |  |  | 0 |
Paydowns/Distributions |  |  | 0 |
Sales |  |  | (56,769) |
Purchases |  |  | 0 |
Balance at the end of period |  |  | 0 |
CMBS held in securitization trusts | Consolidated K-Series | VIE, Primary Beneficiary |  |  |  |
Total (losses)/gains (realized/unrealized) |  |  |  |
Assets of consolidated VIE |  |  | $ 2,400,000 |
[1] | Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $1,283,255 and $19,270,384, respectively, and the liabilities of consolidated VIEs totaled $1,076,678 and $17,878,314, respectively. See Note 9 for further discussion.

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