Valuation (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016:

Description	Level 1			Level 2			Level 3			Total
Assets:	(In thousands)
Cash equivalents	$	50,000		$	—		$	—		$	50,000
Investments, at fair value-
Agency residential mortgage-backed securities	$	—		$	989,334		$	22,306		$	1,011,640
U.S. Treasury securities	—			13,672			—			13,672
Private label residential mortgage-backed securities	—			110,333			113,382			223,715
Private label commercial mortgage-backed securities	—			—			35,350			35,350
Commercial mortgage loans	—			—			56,365			56,365
Residential mortgage loans	—			—			35,580			35,580
Collateralized loan obligations	—			—			34,415			34,415
Consumer loans and asset-backed securities backed by consumer loans	—			—			143,854			143,854
Corporate debt	—			—			24,552			24,552
Real estate owned	—			—			21,843			21,843
Private corporate equity investments	—			—			24,599			24,599
Total investments, at fair value	—			1,113,339			512,246			1,625,585
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—			—			6,227			6,227
Credit default swaps on corporate bond indices	—			144,348			—			144,348
Credit default swaps on corporate bonds	—			114			—			114
Credit default swaps on asset-backed indices	—			21,311			—			21,311
Interest rate swaps	—			17,321			—			17,321
Total return swaps	—			—			1,074			1,074
Options	—			252			—			252
Futures	8			—			—			8
Warrants	—			—			100			100
Mortgage loan purchase commitments	—			43			—			43
Total financial derivatives–assets, at fair value	8			183,389			7,401			190,798
Repurchase agreements	—			127,468			—			127,468
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	8		$	1,424,196		$	519,647		$	1,943,851
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(571,063	)	$	—		$	(571,063	)
Government debt	—			(129,798		)	—			(129,798		)
Corporate debt	—			—			(3,029		)	(3,029		)
Common stock	(8,238		)	—			—			(8,238		)
Total investments sold short, at fair value	(8,238		)	(700,861		)	(3,029		)	(712,128		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(55,176		)	—			(55,176		)
Credit default swaps on corporate bonds	—			(776		)	—			(776		)
Credit default swaps on asset-backed indices	—			(1,330		)	—			(1,330		)
Credit default swaps on asset-backed securities	—			—			(220		)	(220		)

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Interest rate swaps	$	—		$	(18,485	)	$	—		$	(18,485	)
Total return swaps	—			(129		)	(675		)	(804		)
Options	—			(6,589		)	—			(6,589		)
Futures	(377		)	—			—			(377		)
Forwards	—			(1,922		)	—			(1,922		)
Total financial derivatives–liabilities, at fair value	(377		)	(84,407		)	(895		)	(85,679		)
Guarantees(1)	—			—			(616		)	(616		)
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value	$	(8,615	)	$	(785,268	)	$	(4,540	)	$	(798,423	)

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

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
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		)
Options(2)	—			(1,760		)	—			(1,760		)
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	)

(1) Included in Other liabilities on the Consolidated Statement of Assets, Liabilities, and Equity.

(2) Conformed to current period presentation.

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		%
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(2)	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		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
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 preferred equity investment in commercial mortgage-related private partnership	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 March 31, 2016:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Private label residential mortgage-backed securities	$	75,404	Market Quotes	Non Binding Third-Party Valuation	$	1.88		$	153.12		$	66.93
Collateralized loan obligations	25,830		Market Quotes	Non Binding Third-Party Valuation	27.00			101.50			83.73
Corporate debt and non-exchange traded corporate equity	20,784		Market Quotes	Non Binding Third-Party Valuation	2.83			200.00			70.37
Private label commercial mortgage-backed securities	16,161		Market Quotes	Non Binding Third-Party Valuation	5.05			67.29			32.16
Agency interest only residential mortgage-backed securities	18,628		Market Quotes	Non Binding Third-Party Valuation	2.77			24.75			10.61
Total return swaps	399		Market Quotes	Non Binding Third-Party Valuation (1)	16.31			100.38			94.29
Private label residential mortgage-backed securities	37,978		Discounted Cash Flows	Yield	4.4		%	13.0		%	11.6		%
				Projected Collateral Prepayments	4.9		%	75.6		%	36.9		%
				Projected Collateral Losses	4.4		%	25.6		%	12.9		%
				Projected Collateral Recoveries	0.0		%	12.1		%	5.6		%
				Projected Collateral Scheduled Amortization	7.9		%	88.8		%	44.6		%
											100.0		%
Private label commercial mortgage-backed securities	19,189		Discounted Cash Flows	Yield	11.6		%	32.8		%	21.2		%
				Projected Collateral Losses	0.6		%	2.4		%	1.2		%
				Projected Collateral Recoveries	2.1		%	11.1		%	5.4		%
				Projected Collateral Scheduled Amortization	87.9		%	97.3		%	93.4		%
											100.0		%
Corporate debt and warrants	10,450		Discounted Cash Flows	Yield	0.0		%	15.3		%	14.8		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Collateralized loan obligations	$	8,585		Discounted Cash Flows	Yield	10.5	%	66.5	%	18.8	%
					Projected Collateral Prepayments	30.9	%	67.6	%	51.0	%
					Projected Collateral Losses	1.4	%	19.2	%	7.1	%
					Projected Collateral Recoveries	1.5	%	16.5	%	5.4	%
					Projected Collateral Scheduled Amortization	26.4	%	53.6	%	36.5	%
										100.0	%
Consumer loans and asset-backed securities backed by consumer loans	143,854			Discounted Cash Flows	Yield	9.0	%	25.0	%	10.3	%
					Projected Collateral Prepayments	0.0	%	42.1	%	31.6	%
					Projected Collateral Losses	1.0	%	33.8	%	7.6	%
					Projected Collateral Scheduled Amortization	56.1	%	80.7	%	60.8	%
										100.0	%
Performing commercial mortgage loans	30,189			Discounted Cash Flows	Yield	10.4	%	17.6	%	11.7	%
Non-performing commercial mortgage loans and commercial real estate owned	24,707			Discounted Cash Flows	Yield	10.2	%	28.3	%	15.5	%
					Months to Resolution	3.0		39.8		18.7
Performing residential mortgage loans	28,877			Discounted Cash Flows	Yield	5.4	%	11.1	%	6.6	%
Non-performing residential mortgage loans and residential real estate owned	9,482			Discounted Cash Flows	Yield	6.5	%	11.4	%	8.7	%
					Months to Resolution	3.4		120.2		24.8
Credit default swaps on asset-backed securities	6,007			Net Discounted Cash Flows	Projected Collateral Prepayments	27.2	%	50.3	%	33.4	%
					Projected Collateral Losses	15.7	%	34.8	%	28.0	%
					Projected Collateral Recoveries	6.4	%	15.0	%	10.6	%
					Projected Collateral Scheduled Amortization	23.1	%	32.0	%	28.0	%
										100.0	%
Non-exchange traded equity investments in commercial mortgage-related private partnerships	10,435			Discounted Cash Flows	Yield	15.6	%	16.5	%	15.9	%
					Expected Holding Period (Months)	11.5		24.5		20.8
Agency interest only residential mortgage-backed securities	3,678			Option Adjusted Spread ("OAS")	LIBOR OAS(2)	441		1,807		701
					Projected Collateral Prepayments	20.3	%	100.0	%	64.1	%
					Projected Collateral Scheduled Amortization	0.0	%	79.7	%	35.9	%
										100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entities	2,053			Enterprise Value	Equity Multiple(3)	1.9x		1.9x		1.9x
Commercial mortgage loans and REO	20,533			Recent Transactions	Contract Price	44.29		95.08		64.25
Non-exchange traded preferred and common equity investment in mortgage-related entities	2,500			Recent Transactions	Transaction Price	N/A		N/A		N/A
Guarantees	(616		)	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.

Fair Value Measurement Using Significant Unobservable Inputs

The tables below include a roll-forward of the Company's financial instruments for the three month periods ended March 31, 2016 and 2015 (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:

Three Month Period Ended March 31, 2016

(In thousands)	Ending Balance as of  December 31, 2015			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  March 31, 2016
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	24,918		$	(2,057	)	$	(9	)	$	(546	)	$	—	$	—		$	—	$	—		$	22,306
Private label residential mortgage-backed securities	116,435			605			313			(1,709		)	5,731		(4,943		)	12,070		(15,120		)	113,382
Private label commercial mortgage-backed securities	34,145			455			322			(3,000		)	7,844		(4,416		)	—		—			35,350
Commercial mortgage loans	66,399			546			183			893			13,424		(25,080		)	—		—			56,365
Residential mortgage loans	22,089			107			108			275			14,965		(1,964		)	—		—			35,580
Collateralized loan obligations	45,974			(927		)	1,080			272			—		(11,984		)	—		—			34,415
Consumer loans and asset-backed securities backed by consumer loans	115,376			(2,882		)	—			105			51,910		(20,655		)	—		—			143,854
Corporate debt	27,028			113			(20		)	(3,975		)	2,967		(1,561		)	—		—			24,552
Real estate owned	12,522			—			260			1,419			9,788		(2,146		)	—		—			21,843
Private corporate equity investments	22,088			—			(130		)	(1,228		)	3,927		(58		)	—		—			24,599
Total investments, at fair value	486,974			(4,040		)	2,107			(7,494		)	110,556		(72,807		)	12,070		(15,120		)	512,246
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	6,332			—			91			(105		)	36		(127		)	—		—			6,227
Total return swaps	85			—			(3,515		)	989			3,568		(53		)	—		—			1,074
Warrants	150			—			(50		)	—			—		—			—		—			100
Total financial derivatives– assets, at fair value	6,567			—			(3,474		)	884			3,604		(180		)	—		—			7,401
Total investments and financial derivatives–assets, at fair value	$	493,541		$	(4,040	)	$	(1,367	)	$	(6,610	)	$	114,160	$	(72,987	)	$	12,070	$	(15,120	)	$	519,647
Liabilities:
Investments sold short, at fair value
Corporate debt	$	(448	)	$	1		$	360		$	(249	)	$	887	$	(3,580	)	$	—	$	—		$	(3,029	)
Total investments sold short, at fair value	(448		)	1			360			(249		)	887		(3,580		)	—		—			(3,029		)

(In thousands)	Ending Balance as of  December 31, 2015			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  March 31, 2016
(continued)
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(221	)	$	—	$	(16	)	$	1	$	—	$	16		$	—	$	—	$	(220	)
Total return swaps	(4,662		)	—		(2,251		)	3,988		2,337		(87		)	—		—		(675		)
Total financial derivatives– liabilities, at fair value	(4,883		)	—		(2,267		)	3,989		2,337		(71		)	—		—		(895		)
Guarantees:
Guarantees	(828		)	—		—			212		—		—			—		—		(616		)
Total guarantees	(828		)	—		—			212		—		—			—		—		(616		)
Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value	$	(6,159	)	$	1	$	(1,907	)	$	3,952	$	3,224	$	(3,651	)	$	—	$	—	$	(4,540	)

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 March 31, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2016. For Level 3 financial instruments held by the Company at March 31, 2016, change in net unrealized gain (loss) of $(7.7) million, $3.6 million, $0.6 million, and $0.2 million, for the three month period ended March 31, 2016 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively.

As of March 31, 2016, the Company transferred $15.1 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, as of March 31, 2016, the Company transferred $12.1 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, 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.

Three Month Period Ended March 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 March 31, 2015
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	31,385		$	(2,006	)	$	471		$	(96	)	$	1,190	$	(4,609	)	$	—	$	—		$	26,335
Private label residential mortgage-backed securities	274,369			2,388			1,206			3,062			6,633		(39,423		)	23,221		(102,085		)	169,371
Private label commercial mortgage-backed securities	53,311			1,372			614			(1,900		)	15,594		(16,777		)	—		—			52,214
Commercial mortgage loans	28,309			539			—			17			24,291		(14,238		)	—		—			38,918
Residential mortgage loans	27,482			443			242			144			5,976		(3,442		)	—		—			30,845
Collateralized loan obligations(1)	121,994			(4,626		)	772			(1,701		)	10,477		(38,086		)	—		—			88,830
Consumer loans and asset-backed securities backed by consumer loans(1)	24,294			(1,714		)	—			547			16,057		(4,394		)	—		—			34,790
Corporate debt	42,708			31			186			(580		)	11,605		(22,114		)	—		—			31,836
Real estate owned	8,635			—			84			537			2,471		(2,657		)	—		—			9,070
Private corporate equity investments	14,512			—			—			230			6,572		(14		)	—		—			21,300
Total investments, at fair value	626,999			(3,573		)	3,575			260			100,866		(145,754		)	23,221		(102,085		)	503,509
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	$	11,387		$	—		$	401		$	(355	)	$	22	$	(646	)	$	—	$	—		$	10,809
Total return swaps	—			—			—			118			—		—			—		—			118
Warrants	100			—			—			—			—		—			—		—			100
Total financial derivatives– assets, at fair value	11,487			—			401			(237		)	22		(646		)	—		—			11,027
Total investments and financial derivatives–assets, at fair value	$	638,486		$	(3,573	)	$	3,976		$	23		$	100,888	$	(146,400	)	$	23,221	$	(102,085	)	$	514,536
Liabilities:
Financial derivatives– liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(239	)	$	—		$	(19	)	$	—		$	—	$	19		$	—	$	—		$	(239	)
Total return swaps	—			—			—			(307		)	—		—			—		—			(307		)
Total financial derivatives– liabilities, at fair value	(239		)	—			(19		)	(307		)	—		19			—		—			(546		)
Securitized debt:
Securitized debt	(774		)	(2		)	—			19			88		—			—		—			(669		)
Total securitized debt	(774		)	(2		)	—			19			88		—			—		—			(669		)
Total financial derivatives– liabilities and securitized debt, at fair value	$	(1,013	)	$	(2	)	$	(19	)	$	(288	)	$	88	$	19		$	—	$	—		$	(1,215	)

(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 March 31, 2015, as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2015. For Level 3 financial instruments held by the Company at March 31, 2015, change in net unrealized gain (loss) of $(3.2) million, $(0.2) million, $(0.3) million, and $19 thousand for the three month period ended March 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

As of March 31, 2015, the Company transferred $102.1 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, as of March 31, 2015, the Company transferred $23.2 million of non-Agency RMBS from Level 2 to Level 3. Following December 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.