Valuation (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value Disclosures [Abstract]

Schedule Of Financial Instruments

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2015:

Description	Level 1			Level 2			Level 3			Total
Assets:	(In thousands)
Cash equivalents	$	160,000		$	—		$	—		$	160,000
Investments, at fair value-
Agency residential mortgage-backed securities	$	—		$	1,035,662		$	24,918		$	1,060,580
Private label residential mortgage-backed securities	—			138,482			116,435			254,917
Private label commercial mortgage-backed securities	—			—			34,145			34,145
Commercial mortgage loans	—			—			66,399			66,399
Residential mortgage loans	—			—			22,089			22,089
Collateralized loan obligations	—			—			45,974			45,974
Consumer loans and asset-backed securities backed by consumer loans	—			—			115,376			115,376
Corporate debt	—			—			27,028			27,028
Real estate owned	—			—			12,522			12,522
Private corporate equity investments	—			—			22,088			22,088
Total investments, at fair value	—			1,174,144			486,974			1,661,118
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—			—			6,332			6,332
Credit default swaps on corporate bond indices	—			137,643			—			137,643
Credit default swaps on corporate bonds	—			10			—			10
Credit default swaps on asset-backed indices	—			5,410			—			5,410
Interest rate swaps	—			9,943			—			9,943
Total return swaps	—			—			85			85
Options	112			2,050			—			2,162
Futures	32			—			—			32
Forwards	—			1,138			—			1,138
Warrants	—			—			150			150
Total financial derivatives–assets, at fair value	144			156,194			6,567			162,905
Repurchase agreements	—			105,700			—			105,700
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	144		$	1,436,038		$	493,541		$	1,929,723
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(612,777	)	$	—		$	(612,777	)
Government debt	—			(114,051		)	—			(114,051		)
Corporate debt	—			—			(448		)	(448		)
Common stock	(1,471		)	—			—			(1,471		)
Total investments sold short, at fair value	(1,471		)	(726,828		)	(448		)	(728,747		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(47,298		)	—			(47,298		)
Credit default swaps on corporate bonds	—			(683		)	—			(683		)
Credit default swaps on asset-backed indices	—			(365		)	—			(365		)
Credit default swaps on asset-backed securities	—			—			(221		)	(221		)
Interest rate swaps	—			(4,934		)	—			(4,934		)
Total return swaps	—			—			(4,662		)	(4,662		)

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Options	$	—		$	(1,604	)	$	—		$	(1,604	)
Swaptions	—			(156		)	—			(156		)
Futures	(528		)	—			—			(528		)
Forwards	—			(13		)	—			(13		)
Mortgage loan purchase commitments	—			(8		)	—			(8		)
Total financial derivatives–liabilities, at fair value	(528		)	(55,061		)	(4,883		)	(60,472		)
Guarantees(1)	—			—			(828		)	(828		)
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value	$	(1,999	)	$	(781,889	)	$	(6,159	)	$	(790,047	)

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2014:

Description	Level 1		Level 2		Level 3		Total
Assets:	(In thousands)
Cash equivalents(1)	$	100,000	$	—	$	—	$	100,000
Investments, at fair value-
Agency residential mortgage-backed securities	$	—	$	1,258,699	$	31,385	$	1,290,084
U.S. Treasury securities	—		1,636		—		1,636
Private label residential mortgage-backed securities	—		284,748		274,369		559,117
Private label commercial mortgage-backed securities	—		—		53,311		53,311
Commercial mortgage loans	—		—		28,309		28,309
Residential mortgage loans	—		—		27,482		27,482
Collateralized loan obligations(1)	—		—		121,994		121,994
Consumer loans and asset-backed securities backed by consumer loans(1)	—		—		24,294		24,294
Corporate debt	—		—		42,708		42,708
Real estate owned	—		—		8,635		8,635
Private corporate equity investments	—		—		14,512		14,512
Total investments, at fair value	—		1,545,083		626,999		2,172,082

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	$	—		$	—		$	11,387		$	11,387
Credit default swaps on corporate bond indices	—			35,865			—			35,865
Credit default swaps on asset-backed indices	—			1,881			—			1,881
Interest rate swaps	—			28,654			—			28,654
Total return swaps	—			8			—			8
Swaptions	—			344			—			344
Options	—			645			—			645
Futures	261			—			—			261
Forwards	—			884			—			884
Warrants	—			—			100			100
Total financial derivatives–assets, at fair value	261			68,281			11,487			80,029
Repurchase agreements	—			172,001			—			172,001
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	261		$	1,785,365		$	638,486		$	2,424,112
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(1,209,539	)	$	—		$	(1,209,539	)
Government debt	—			(55,315		)	—			(55,315		)
Common stock	(26,516		)	—			—			(26,516		)
Total investments sold short, at fair value	(26,516		)	(1,264,854		)	—			(1,291,370		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(28,588		)	—			(28,588		)
Credit default swaps on corporate bonds	—			(2,953		)	—			(2,953		)
Credit default swaps on asset-backed indices	—			(4,410		)	—			(4,410		)
Credit default swaps on asset-backed securities	—			—			(239		)	(239		)
Interest rate swaps	—			(29,405		)	—			(29,405		)
Total return swaps	—			(21		)	—			(21		)
Options	—			(146		)	—			(146		)
Swaptions	—			(137		)	—			(137		)
Futures	(81		)	—			—			(81		)
Forwards	—			(136		)	—			(136		)
Total financial derivatives–liabilities, at fair value	(81		)	(65,796		)	(239		)	(66,116		)
Securitized debt(2)	—			—			(774		)	(774		)
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value	$	(26,597	)	$	(1,330,650	)	$	(1,013	)	$	(1,358,260	)

(1) Conformed to current period presentation.

(2) The asset subject to the resecuritization had a fair value of $2.2 million as of December 31, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest – Private Label Securities Mortgage-related—Residential.

Schedule Of Significant Unobservable Inputs, Qualitative Information

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2015:

	Fair Value			Valuation  Technique	Unobservable Input	Range						Weighted Average
Description						Min			Max
	(In thousands)
Private label residential mortgage-backed securities	$	89,549		Market Quotes	Non Binding Third-Party Valuation	$	1.81		$	151.86		$	68.47
Collateralized loan obligations	41,978			Market Quotes	Non Binding Third-Party Valuation	13.00			102.00			84.84
Corporate debt and non-exchange traded corporate equity	18,972			Market Quotes	Non Binding Third-Party Valuation	3.00			200.00			77.85
Private label commercial mortgage-backed securities	20,365			Market Quotes	Non Binding Third-Party Valuation	6.07			73.20			41.28
Agency interest only residential mortgage-backed securities	21,067			Market Quotes	Non Binding Third-Party Valuation	2.97			22.41			11.08
Total return swaps	(4,577		)	Market Quotes	Non Binding Third-Party Valuation (1)	36.38			99.88			56.38
Private label residential mortgage-backed securities	26,886			Discounted Cash Flows	Yield	3.4		%	27.1		%	19.9		%
					Projected Collateral Prepayments	5.4		%	74.6		%	46.3		%
					Projected Collateral Losses	2.9		%	24.5		%	11.4		%
					Projected Collateral Recoveries	0.3		%	13.0		%	8.0		%
					Projected Collateral Scheduled Amortization	8.6		%	88.6		%	34.3		%
												100.0		%
Private label commercial mortgage-backed securities	13,780			Discounted Cash Flows	Yield	19.2		%	25.0		%	22.1		%
					Projected Collateral Losses	0.7		%	2.3		%	1.6		%
					Projected Collateral Recoveries	1.5		%	14.3		%	8.4		%
					Projected Collateral Scheduled Amortization	83.4		%	97.6		%	90.0		%
												100.0		%
Corporate debt and warrants	13,920			Discounted Cash Flows	Yield	15.0		%	20.0		%	16.2		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Collateralized loan obligations	$	3,996		Discounted Cash Flows	Yield	8.3	%	20.6	%	13.5	%
					Projected Collateral Prepayments	31.9	%	52.3	%	41.1	%
					Projected Collateral Losses	2.6	%	17.3	%	12.9	%
					Projected Collateral Recoveries	2.3	%	15.5	%	10.1	%
					Projected Collateral Scheduled Amortization	33.3	%	51.5	%	35.9	%
										100.0	%
Consumer loans and asset-backed securities backed by consumer loans	115,376			Discounted Cash Flows	Yield	9.0	%	15.0	%	10.4	%
					Projected Collateral Prepayments	0.0	%	40.9	%	30.9	%
					Projected Collateral Losses	1.0	%	33.8	%	7.3	%
					Projected Collateral Scheduled Amortization	57.3	%	80.8	%	61.8	%
										100.0	%
Performing commercial mortgage loans	43,847			Discounted Cash Flows	Yield	9.8	%	17.6	%	11.9	%
Non-performing commercial mortgage loans and commercial real estate owned	30,984			Discounted Cash Flows	Yield	10.2	%	19.4	%	13.7	%
					Months to Resolution	4.0		24.0		9.3
Performing residential mortgage loans	13,848			Discounted Cash Flows	Yield	5.5	%	8.0	%	6.5	%
Non-performing residential mortgage loans and residential real estate owned	12,331			Discounted Cash Flows	Yield	5.7	%	7.9	%	7.3	%
					Months to Resolution	3.4		113.6		20.6
Credit default swaps on asset-backed securities	6,111			Net Discounted Cash Flows	Projected Collateral Prepayments	26.6	%	44.1	%	32.6	%
					Projected Collateral Losses	15.0	%	33.7	%	26.5	%
					Projected Collateral Recoveries	6.8	%	16.9	%	12.0	%
					Projected Collateral Scheduled Amortization	24.5	%	33.1	%	28.9	%
										100.0	%
Non-exchange traded equity investments in commercial mortgage-related private partnerships	10,558			Discounted Cash Flows	Yield	14.0	%	16.5	%	14.7	%
					Expected Holding Period (Months)	14.3		27.0		23.5
Agency interest only residential mortgage-backed securities	3,851			Option Adjusted Spread ("OAS")	LIBOR OAS(2)	441		1,672		622
					Projected Collateral Prepayments	18.0	%	100.0	%	70.4	%
					Projected Collateral Scheduled Amortization	0.0	%	82.0	%	29.6	%
										100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entities	2,738			Enterprise Value	Equity Multiple(3)	2.7x		2.7x		2.7x
Non-exchange traded preferred and common equity investment in mortgage-related entities	2,630			Recent Transactions	Transaction Price	N/A		N/A		N/A
Guarantees	(828		)	Cash Flows	Expected Cash Flows(4)	N/A		N/A		N/A

(1) Represents valuations on underlying assets.

(2) Shown in basis points.

(3) Represent an estimation of where market participants might value an enterprise.

(4) Represents transactions with a remaining term of less than one year.

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2014:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Private label residential mortgage-backed securities (1)	$	201,373	Market Quotes	Non Binding Third-Party Valuation	$	1.83		$	119.58		$	73.58
Collateralized loan obligations(2)	121,674		Market Quotes	Non Binding Third-Party Valuation	21.50			137.00			94.85
Asset-backed securities backed by consumer loans(2)	1,344		Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
Private label commercial mortgage-backed securities	40,919		Market Quotes	Non Binding Third-Party Valuation	5.62			103.25			66.56
Agency interest only residential mortgage-backed securities	22,928		Market Quotes	Non Binding Third-Party Valuation	3.62			24.86			11.38
Private label residential mortgage-backed securities	72,222		Discounted Cash Flows	Yield	3.0		%	13.6		%	7.0		%
				Projected Collateral Prepayments	6.7		%	100.0		%	45.6		%
				Projected Collateral Losses	0.0		%	44.5		%	11.3		%
				Projected Collateral Recoveries	0.0		%	22.4		%	8.0		%
				Projected Collateral Scheduled Amortization	0.0		%	86.4		%	35.1		%
											100.0		%
Private label commercial mortgage-backed securities	12,392		Discounted Cash Flows	Yield	12.0		%	51.1		%	23.7		%
				Projected Collateral Losses	0.1		%	2.5		%	0.7		%
				Projected Collateral Recoveries	0.9		%	13.5		%	6.2		%
				Projected Collateral Scheduled Amortization	85.3		%	99.0		%	93.1		%
											100.0		%
Corporate debt, non-exchange traded corporate equity, and warrants	45,668		Discounted Cash Flows	Yield	7.5		%	24.3		%	13.3		%
				Non Binding Third-Party Valuation	$	73.00		$	108.00		$	95.08
Collateralized loan obligations(2)	320		Discounted Cash Flows	Yield	14.4		%	14.4		%	14.4		%
				Projected Collateral Prepayments	62.7		%	62.7		%	62.7		%
				Projected Collateral Losses	4.0		%	4.0		%	4.0		%
				Projected Collateral Recoveries	1.7		%	1.7		%	1.7		%
				Projected Collateral Scheduled Amortization	31.6		%	31.6		%	31.6		%
											100.0		%
Consumer loans and asset-backed securities backed by consumer loans(2)	22,950		Discounted Cash Flows	Yield	0.0		%	12.0		%	9.1		%
Performing commercial mortgage loans	21,328		Discounted Cash Flows	Yield	9.2		%	13.1		%	10.3		%
Non-performing commercial mortgage loans	6,981		Discounted Cash Flows	Yield	15.3		%	20.1		%	16.4		%
				Months to Resolution	0.5			10.5			8.2
Non-performing residential mortgage loans and real estate owned	36,117		Discounted Cash Flows	Yield	6.1		%	12.0		%	7.3		%
				Months to Resolution	4.1			79.1			24.6

(continued)	Fair Value		Valuation  Technique	Unobservable Input	Range				Weighted Average
Description					Min		Max
	(In thousands)
Credit default swaps on asset-backed securities	$	11,148	Net Discounted Cash Flows	Projected Collateral Prepayments	17.8	%	55.8	%	32.5	%
				Projected Collateral Losses	16.5	%	37.7	%	29.7	%
				Projected Collateral Recoveries	7.7	%	18.5	%	12.8	%
				Projected Collateral Scheduled Amortization	15.9	%	43.4	%	25.0	%
									100.0	%
Non-exchange traded preferred equity investment in commercial mortgage-related private partnership	6,241		Discounted Cash Flows	Yield	10.0	%	10.0	%	10.0	%
				Expected Holding Period (Months)	17		17		17
Agency interest only residential mortgage-backed securities	8,457		Option Adjusted Spread ("OAS")	LIBOR OAS(3)	(154	)	1,796		359
				Projected Collateral Prepayments	50.2	%	100.0	%	75.5	%
				Projected Collateral Scheduled Amortization	0.0	%	49.8	%	24.5	%
									100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entities	5,411		Recent Transactions	Transaction Price	N/A		N/A		N/A

(1) Includes securitized debt with a fair value of $0.8 million as of December 31, 2014.

(2) Conformed to current period presentation.

(3) Shown in basis points.

Fair Value Measurement Using Significant Unobservable Inputs

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

The tables below include a roll-forward of the Company's financial instruments for the years ended December 31, 2015, 2014, and 2013 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

Year Ended December 31, 2015

(In thousands)	Ending Balance as of  December 31, 2014			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of  December 31, 2015
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	31,385		$	(8,355	)	$	223		$	81		$	6,977	$	(5,393	)	$	—	$	—		$	24,918
Private label residential mortgage-backed securities	274,369			8,593			20,648			(16,429		)	62,994		(191,902		)	6,687		(48,525		)	116,435
Private label commercial mortgage-backed securities	53,311			3,076			2,000			(4,183		)	21,382		(41,441		)	—		—			34,145
Commercial mortgage loans	28,309			1,895			1,114			(142		)	69,778		(34,555		)	—		—			66,399
Residential mortgage loans	27,482			1,363			2,372			(505		)	19,555		(28,178		)	—		—			22,089
Collateralized loan obligations	121,994			(21,110		)	46			(4,033		)	59,102		(110,025		)	—		—			45,974
Consumer loans and asset-backed securities backed by consumer loans	24,294			(6,197		)	—			283			139,373		(42,377		)	—		—			115,376
Corporate debt	42,708			60			(4,028		)	(6,882		)	28,942		(33,772		)	—		—			27,028
Real estate owned	8,635			—			1,168			381			14,155		(11,817		)	—		—			12,522
Private corporate equity investments	14,512			—			116			(306		)	8,347		(581		)	—		—			22,088
Total investments, at fair value	626,999			(20,675		)	23,659			(31,735		)	430,605		(500,041		)	6,687		(48,525		)	486,974
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	11,387			—			(2,964		)	2,098			28		(4,217		)	—		—			6,332
Total return swaps	—			—			113			85			—		(113		)	—		—			85
Warrants	100			—			—			—			50		—			—		—			150
Total financial derivatives– assets, at fair value	11,487			—			(2,851		)	2,183			78		(4,330		)	—		—			6,567
Total investments and financial derivatives–assets, at fair value	$	638,486		$	(20,675	)	$	20,808		$	(29,552	)	$	430,683	$	(504,371	)	$	6,687	$	(48,525	)	$	493,541
Liabilities:
Investments sold short, at fair value
Corporate debt	$	—		$	(2	)	$	197		$	228		$	1,372	$	(2,243	)	$	—	$	—		$	(448	)
Total investments sold short, at fair value	—			(2		)	197			228			1,372		(2,243		)	—		—			(448		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	(239		)	—			(102		)	35			—		85			—		—			(221		)
Total return swaps	—			—			2,516			(4,662		)	14		(2,530		)	—		—			(4,662		)
Total financial derivatives– liabilities, at fair value	(239		)	—			2,414			(4,627		)	14		(2,445		)	—		—			(4,883		)
Securitized debt:
Securitized debt	(774		)	(15		)	—			26			763		—			—		—			—
Total securitized debt	(774		)	(15		)	—			26			763		—			—		—			—

(In thousands)	Ending Balance as of  December 31, 2014			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  December 31, 2015
(continued)
Guarantees:
Guarantees	$	—		$	—		$	—	$	(828	)	$	—	$	—		$	—	$	—	$	(828	)
Total guarantees	—			—			—		(828		)	—		—			—		—		(828		)
Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value	$	(1,013	)	$	(17	)	$	2,611	$	(5,201	)	$	2,149	$	(4,688	)	$	—	$	—	$	(6,159	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2015, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2015. For Level 3 financial instruments held by the Company at December 31, 2015, change in net unrealized gain (loss) of $(20.7) million, $7 thousand, $(4.6) million, and $(0.8) million, for the year ended December 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively.

For the year ended December 31, 2015, the Company transferred $48.5 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in the volume of observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods.

In addition, for the year ended December 31, 2015, the Company transferred $6.7 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2014, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods.

Year Ended December 31, 2014

(In thousands)	Ending Balance as of December 31, 2013		Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of December 31, 2014
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	40,504	$	(8,738	)	$	1,404	$	(2,078	)	$	8,448	$	(8,155	)	$	—	$	—		$	31,385
Private label residential mortgage-backed securities	580,772		20,544			38,600		(18,406		)	382,956		(445,349		)	—		(284,748		)	274,369
Private label commercial mortgage-backed securities	32,994		1,328			7,055		(357		)	116,128		(103,837		)	—		—			53,311
Commercial mortgage loans	23,887		2,739			3,156		(632		)	41,856		(42,697		)	—		—			28,309
Residential mortgage loans	24,062		1,267			1,424		84			14,863		(14,218		)	—		—			27,482
Collateralized loan obligations(1)	38,069		(2,577		)	342		(1,879		)	118,607		(30,568		)	—		—			121,994
Consumer loans and asset-backed securities backed by consumer loans(1)	—		(1,184		)	—		(530		)	29,402		(3,394		)	—		—			24,294
Corporate debt	—		(70		)	—		(877		)	43,808		(153		)	—		—			42,708
Real estate owned	—		—			172		(113		)	11,247		(2,671		)	—		—			8,635

(In thousands)	Ending Balance as of December 31, 2013			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of December 31, 2014
(continued)
Private corporate equity investments	—			—			—			(205		)	14,717		—			—		—			14,512
Total investments, at fair value	740,288			13,309			52,153			(24,993		)	782,032		(651,042		)	—		(284,748		)	626,999
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	$	16,646		$	—		$	(4,596	)	$	4,547		$	464	$	(5,674	)	$	—	$	—		$	11,387
Warrants	—			—			—			—			100		—			—		—			100
Total financial derivatives– assets, at fair value	16,646			—			(4,596		)	4,547			564		(5,674		)	—		—			11,487
Total investments and financial derivatives–assets, at fair value	$	756,934		$	13,309		$	47,557		$	(20,446	)	$	782,596	$	(656,716	)	$	—	$	(284,748	)	$	638,486
Liabilities:
Financial derivatives– liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(350	)	$	—		$	(78	)	$	111		$	—	$	78		$	—	$	—		$	(239	)
Total financial derivatives– liabilities, at fair value	(350		)	—			(78		)	111			—		78			—		—			(239		)
Securitized debt:
Securitized debt	(983		)	(15		)	—			(22		)	246		—			—		—			(774		)
Total securitized debt	(983		)	(15		)	—			(22		)	246		—			—		—			(774		)
Total financial derivatives– liabilities and securitized debt, at fair value	$	(1,333	)	$	(15	)	$	(78	)	$	89		$	246	$	78		$	—	$	—		$	(1,013	)

(1) Conformed to prior period presentation.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2014, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2014. For Level 3 financial instruments held by the Company at December 31, 2014, change in net unrealized gain (loss) of $6.3 million, $(1.6) million, $(0.1) million, and $(22) thousand for the year ended December 31, 2014 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

For the year ended December 31, 2014, the Company transferred $284.7 million of non-Agency RMBS from Level 3 to Level 2. The decision to transfer these assets from Level 3 to Level 2 was based on observed market developments, including an increased volume of buying and selling of these and similar assets, greater consensus among market participants on price based on market quotes, and generally tighter credit spreads driven by improved performance in the underlying collateral as well as increased demand from investors seeking higher yielding assets. These factors have led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in observed market developments could impact future price transparency, and thereby cause a change in the level designation in subsequent periods.

Year Ended December 31, 2013

(In thousands)	Ending Balance as of December 31, 2012			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of December 31, 2013
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	6,644		$	(5,929	)	$	833		$	3,323		$	42,051	$	(6,418	)	$	—	$	—	$	40,504
Private label residential mortgage-backed securities	528,366			26,119			43,823			12,643			425,864		(456,043		)	—		—		580,772
Private label commercial mortgage-backed securities	19,327			402			1,030			3,069			92,929		(83,763		)	—		—		32,994
Commercial mortgage loans	9,546			171			844			652			19,587		(6,913		)	—		—		23,887
Residential mortgage loans	—			—			—			—			24,062		—			—		—		24,062
Collateralized loan obligations	—			(641		)	647			(690		)	56,436		(17,683		)	—		—		38,069
Total investments, at fair value	563,883			20,122			47,177			18,997			660,929		(570,820		)	—		—		740,288
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	36,031			—			(2,826		)	1,070			204		(17,833		)	—		—		16,646
Total financial derivatives– assets, at fair value	36,031			—			(2,826		)	1,070			204		(17,833		)	—		—		16,646
Total investments and financial derivatives–assets, at fair value	$	599,914		$	20,122		$	44,351		$	20,067		$	661,133	$	(588,653	)	$	—	$	—	$	756,934
Liabilities:
Financial derivatives– liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(1	)	$	—		$	(78	)	$	(349	)	$	—	$	78		$	—	$	—	$	(350	)
Total financial derivatives– liabilities, at fair value	(1		)	—			(78		)	(349		)	—		78			—		—		(350		)
Securitized debt:
Securitized debt	(1,335		)	(38		)	—			20			370		—			—		—		(983		)
Total securitized debt	(1,335		)	(38		)	—			20			370		—			—		—		(983		)
Total financial derivatives– liabilities and securitized debt, at fair value	$	(1,336	)	$	(38	)	$	(78	)	$	(329	)	$	370	$	78		$	—	$	—	$	(1,333	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2013, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2013. For Level 3 financial instruments held by the Company at December 31, 2013, change in net unrealized gain (loss) of $27.0 million, $(8.4) million, $(0.3) million, and $20.0 thousand for the year ended December 31, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.