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Fair Value of Financial Instruments - Valuation for Level 3 Assets (Details) - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | $ 3,471,854 | $ 20,659,268 | $ 12,503,064
Included in earnings | 99,416 | 138,979 | 620,942
Included in other comprehensive income (loss) |  |  | (13,665)
Transfers in | 0 | 500,793 |
Transfers out | (4,133) | (254,525) | (913)
Transfers to securitization trust | 0 | 0 |
Funding/Contributions | 145,143 | 80,500 | 50,000
Paydowns/Distributions | (1,281,879) | (744,378) | (1,182,762)
Recovery of charge-off | 0 | 35 | (3,257)
Sales | (77,127) | (17,478,375) | (76,583)
Purchases | 1,581,979 | 569,557 | 8,762,442
Balance at the end of period | 3,935,253 | 3,471,854 | 20,659,268
VIE, Primary Beneficiary |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Recovery of charge-off |  |  | (3,257)
VIE, Primary Beneficiary | Consolidated SLST |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 1,266,785 | 1,328,886 | 0
Included in earnings | (35,953) | 27,898 | (445)
Included in other comprehensive income (loss) |  |  | 0
Transfers in | 0 | 0 |
Transfers out | 0 | 0 | 0
Transfers to securitization trust | 0 | 0 |
Funding/Contributions | 0 | 0 | 0
Paydowns/Distributions | (159,950) | (89,999) | (3,729)
Recovery of charge-off | 0 | 0 | 0
Sales | 0 | 0 | 0
Purchases | 0 | 0 | 1,333,060
Balance at the end of period | 1,070,882 | 1,266,785 | 1,328,886
VIE, Primary Beneficiary | Consolidated K-Series |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 0 | 17,816,746 | 11,679,847
Included in earnings |  | 41,795 | 533,094
Included in other comprehensive income (loss) |  |  | 0
Transfers in |  | 0 |
Transfers out |  | (237,297) | 0
Transfers to securitization trust |  | 0 |
Funding/Contributions |  | 0 | 0
Paydowns/Distributions |  | (239,796) | (992,912)
Recovery of charge-off |  | 35 | (3,257)
Sales |  | (17,381,483) | 0
Purchases |  | 0 | 6,599,974
Balance at the end of period |  | 0 | 17,816,746
Residential loans |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 1,090,930 | 1,429,754 | 737,523
Included in earnings | 36,844 | (9,240) | 55,459
Included in other comprehensive income (loss) |  |  | 0
Transfers in | 0 | 164,279 |
Transfers out | (2,080) | (6,017) | (913)
Transfers to securitization trust | 305,433 | (651,911) |
Funding/Contributions | 0 | 0 | 0
Paydowns/Distributions | (618,790) | (308,600) | (171,909)
Recovery of charge-off | 0 | 0 | 0
Sales | (74,751) | (96,892) | (19,814)
Purchases | 1,576,570 | 569,557 | 829,408
Balance at the end of period | 1,703,290 | 1,090,930 | 1,429,754
Residential loans held in securitization trusts |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 691,451 | 0 |
Included in earnings | 43,001 | 31,402 |
Transfers in | 0 | 46,572 |
Transfers out | (2,053) | (2,492) |
Transfers to securitization trust | (305,433) | 651,911 |
Funding/Contributions | 0 | 0 |
Paydowns/Distributions | (239,436) | (35,942) |
Recovery of charge-off | 0 | 0 |
Sales | (2,376) | 0 |
Purchases | 5,409 | 0 |
Balance at the end of period | 801,429 | 691,451 | 0
Multi-family loans |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 163,593 |  |
Included in earnings | 18,795 |  |
Transfers in | 0 |  |
Transfers out | 0 |  |
Transfers to securitization trust | 0 |  |
Funding/Contributions | 37,678 |  |
Paydowns/Distributions | (100,045) |  |
Recovery of charge-off | 0 |  |
Sales | 0 |  |
Purchases | 0 |  |
Balance at the end of period | 120,021 | 163,593 |
Preferred equity and mezzanine loan investments |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 163,593 | 0 |
Included in earnings |  | 20,454 |
Transfers in |  | 182,465 |
Transfers out |  | (8,719) |
Transfers to securitization trust |  | 0 |
Funding/Contributions |  | 14,164 |
Paydowns/Distributions |  | (44,771) |
Recovery of charge-off |  | 0 |
Sales |  | 0 |
Purchases |  | 0 |
Balance at the end of period |  | 163,593 | 0
CMBS held in re-securitization trusts |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period |  | 0 | 52,700
Included in earnings |  |  | 17,734
Included in other comprehensive income (loss) |  |  | (13,665)
Transfers out |  |  | 0
Funding/Contributions |  |  | 0
Paydowns/Distributions |  |  | 0
Recovery of charge-off |  |  | 0
Sales |  |  | (56,769)
Purchases |  |  | 0
Balance at the end of period |  |  | 0
Equity investments |  |  |
Total (losses)/gains (realized/unrealized) |  |  |
Balance at beginning of period | 259,095 | 83,882 | 32,994
Included in earnings | 36,729 | 26,670 | 15,100
Included in other comprehensive income (loss) |  |  | 0
Transfers in | 0 | 107,477 |
Transfers out | 0 | 0 | 0
Transfers to securitization trust | 0 | 0 |
Funding/Contributions | 107,465 | 66,336 | 50,000
Paydowns/Distributions | (163,658) | (25,270) | (14,212)
Recovery of charge-off | 0 | 0 | 0
Sales | 0 | 0 | 0
Purchases | 0 | 0 | 0
Balance at the end of period | $ 239,631 | $ 259,095 | $ 83,882

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