XML 113 R102.htm IDEA: XBRL DOCUMENT v3.23.1
Fair Value - Level III (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2023
Mar. 31, 2022
Total realized and unrealized gains (losses):    
Net accretion $ 2,094 $ 3,475
Level III    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 51,642,978 60,659,660
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale (1,763,252) (3,323,231)
Net accretion 1,222 2,605
Included in OCI (1,104) (5,284)
Purchases / Originations 69,200 2,266,699
Sales (13,439) (2,278,467)
Cash repayments / receipts (42,055) (65,963)
Transfers into Level III   (203,787)
Transfers out of Level III 520,459 (318,501)
Consolidation of VIEs   84,357
Deconsolidation of VIEs   (728,523)
Balance at the end of the period 50,414,009 56,089,565
Amount of unrealized gains (losses) attributable to assets    
Included in earnings (1,764,726) (3,277,196)
Included in OCI (1,104) (5,284)
Level III | Loans at Fair Value    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 2,784,594 2,936,025
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale 8,901 (125,783)
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 69,200 2,266,699
Sales (13,439) (2,278,467)
Cash repayments / receipts (38,367) (58,434)
Transfers into Level III   93
Transfers out of Level III 0 (373,111)
Consolidation of VIEs   0
Deconsolidation of VIEs   0
Balance at the end of the period 2,810,889 2,367,022
Amount of unrealized gains (losses) attributable to assets    
Included in earnings 6,205 (82,883)
Included in OCI 0 0
Level III | RMBS    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 113,386 143,980
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale 0 0
Net accretion 1,222 2,605
Included in OCI (1,104) (5,284)
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts (2,435) (6,895)
Transfers into Level III   0
Transfers out of Level III 0 0
Consolidation of VIEs   0
Deconsolidation of VIEs   0
Balance at the end of the period 111,069 134,406
Amount of unrealized gains (losses) attributable to assets    
Included in earnings 1,222 2,605
Included in OCI (1,104) (5,284)
Level III | CMBS    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 19,108 22,244
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale (19) (692)
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts (144) (224)
Transfers into Level III   0
Transfers out of Level III 0 0
Consolidation of VIEs   0
Deconsolidation of VIEs   530
Balance at the end of the period 18,945 21,858
Amount of unrealized gains (losses) attributable to assets    
Included in earnings (19) (162)
Included in OCI 0 0
Level III | Woodstar Fund investments    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 1,761,002 1,040,309
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale 1,160 223,851
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts 0 0
Transfers into Level III   0
Transfers out of Level III 0 0
Consolidation of VIEs   0
Deconsolidation of VIEs   0
Balance at the end of the period 1,762,162 1,264,160
Amount of unrealized gains (losses) attributable to assets    
Included in earnings 1,160 223,851
Included in OCI 0 0
Level III | Domestic servicing rights    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 17,790 16,780
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale 304 1,084
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts 0 0
Transfers into Level III   0
Transfers out of Level III 0 0
Consolidation of VIEs   0
Deconsolidation of VIEs   0
Balance at the end of the period 18,094 17,864
Amount of unrealized gains (losses) attributable to assets    
Included in earnings 304 1,084
Included in OCI 0 0
Level III | VIE Assets    
Changes in financial assets classified as Level III    
Balance at the beginning of the period 52,453,041 61,280,543
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale (1,926,651) (3,896,602)
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts 0 0
Transfers into Level III   0
Transfers out of Level III 0 0
Consolidation of VIEs   1,109,614
Deconsolidation of VIEs   (730,012)
Balance at the end of the period 50,526,390 57,763,543
Amount of unrealized gains (losses) attributable to assets    
Included in earnings (1,926,651) (3,896,602)
Included in OCI 0 0
Level III | VIE Liabilities    
Changes in financial assets classified as Level III    
Balance at the beginning of the period (5,505,943) (4,780,221)
Total realized and unrealized gains (losses):    
Change in fair value / gain on sale 153,053 474,911
Net accretion 0 0
Included in OCI 0 0
Purchases / Originations 0 0
Sales 0 0
Cash repayments / receipts (1,109) (410)
Transfers into Level III   (203,880)
Transfers out of Level III 520,459 54,610
Consolidation of VIEs   (1,025,257)
Deconsolidation of VIEs   959
Balance at the end of the period (4,833,540) (5,479,288)
Amount of unrealized gains (losses) attributable to assets    
Included in earnings 153,053 474,911
Included in OCI $ 0 $ 0