Valuation (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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	$	—		$	990,828		$	20,506		$	1,011,334
U.S. Treasury securities	—			374			—			374
Private label residential mortgage-backed securities	—			78,831			112,511			191,342
Private label commercial mortgage-backed securities	—			—			34,942			34,942
Commercial mortgage loans	—			—			49,466			49,466
Residential mortgage loans	—			—			46,649			46,649
Collateralized loan obligations	—			—			33,109			33,109
Consumer loans and asset-backed securities backed by consumer loans	—			—			154,395			154,395
Corporate debt	—			—			36,974			36,974
Real estate owned	—			—			4,162			4,162
Private corporate equity investments	—			—			19,418			19,418
Total investments, at fair value	—			1,070,033			512,132			1,582,165
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—			—			6,068			6,068
Credit default swaps on corporate bond indices	—			104,911			—			104,911
Credit default swaps on corporate bonds	—			583			—			583
Credit default swaps on asset-backed indices	—			24,616			—			24,616
Interest rate swaps	—			13,931			—			13,931
Total return swaps	—			—			824			824
Options	—			1			—			1
Forwards	—			1,578			—			1,578
Futures	8			—			—			8
Warrants	—			—			100			100
Mortgage loan purchase commitments	—			8			—			8
Total financial derivatives–assets, at fair value	8			145,628			6,992			152,628
Repurchase agreements	—			116,003			—			116,003
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	8		$	1,331,664		$	519,124		$	1,850,796
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(488,151	)	$	—		$	(488,151	)
Government debt	—			(87,326		)	—			(87,326		)
Corporate debt	—			—			(9,947		)	(9,947		)
Common stock	(30,913		)	—			—			(30,913		)
Total investments sold short, at fair value	(30,913		)	(575,477		)	(9,947		)	(616,337		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(39,797		)	—			(39,797		)
Credit default swaps on corporate bonds	—			(3,722		)	—			(3,722		)
Credit default swaps on asset-backed indices	—			(5,868		)	—			(5,868		)
Credit default swaps on asset-backed securities	—			—			(234		)	(234		)

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Interest rate swaps	$	—		$	(22,858	)	$	—		$	(22,858	)
Total return swaps	—			(2		)	(1,016		)	(1,018		)
Options	—			(243		)	—			(243		)
Futures	(358		)	—			—			(358		)
Total financial derivatives–liabilities, at fair value	(358		)	(72,490		)	(1,250		)	(74,098		)
Guarantees(1)	—			—			(312		)	(312		)
Total investments sold short, financial derivatives–liabilities, and guarantees, at fair value	$	(31,271	)	$	(647,967	)	$	(11,509	)	$	(690,747	)

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

There were no transfers of financial instruments between Level 1 and Level 2 during the six month period ended June 30, 2016.

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	—			(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, 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.

There were no transfers of financial instruments between Level 1 and Level 2 during the year ended December 31, 2015.

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 June 30, 2016:

	Fair Value			Valuation  Technique	Unobservable Input	Range						Weighted Average
Description						Min			Max
	(In thousands)
Private label residential mortgage-backed securities	$	74,172		Market Quotes	Non Binding Third-Party Valuation	$	2.03		$	181.56		$	69.18
Collateralized loan obligations	28,262			Market Quotes	Non Binding Third-Party Valuation	23.00			101.75			80.78
Corporate debt and non-exchange traded corporate equity	27,576			Market Quotes	Non Binding Third-Party Valuation	2.86			112.64			78.18
Private label commercial mortgage-backed securities	16,454			Market Quotes	Non Binding Third-Party Valuation	5.32			69.06			35.30
Agency interest only residential mortgage-backed securities	16,993			Market Quotes	Non Binding Third-Party Valuation	2.72			23.01			9.83
Total return swaps	(192		)	Market Quotes	Non Binding Third-Party Valuation (1)	13.61			98.00			90.45
Private label residential mortgage-backed securities	38,339			Discounted Cash Flows	Yield	3.1		%	14.6		%	10.9		%
					Projected Collateral Prepayments	0.0		%	74.7		%	12.3		%
					Projected Collateral Losses	1.3		%	48.7		%	34.9		%
					Projected Collateral Recoveries	0.0		%	53.1		%	35.9		%
					Projected Collateral Scheduled Amortization	0.0		%	85.6		%	16.9		%
												100.0		%
Private label commercial mortgage-backed securities	18,488			Discounted Cash Flows	Yield	11.6		%	32.8		%	22.9		%
					Projected Collateral Losses	0.8		%	3.6		%	1.8		%
					Projected Collateral Recoveries	4.4		%	15.0		%	7.3		%
					Projected Collateral Scheduled Amortization	83.1		%	94.8		%	90.9		%
												100.0		%
Corporate debt and warrants	10,444			Discounted Cash Flows	Yield	0.0		%	16.9		%	16.3		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Collateralized loan obligations	$	4,847		Discounted Cash Flows	Yield	10.1	%	42.3	%	17.1	%
					Projected Collateral Prepayments	41.0	%	62.2	%	55.5	%
					Projected Collateral Losses	2.6	%	12.1	%	6.5	%
					Projected Collateral Recoveries	1.4	%	6.5	%	4.0	%
					Projected Collateral Scheduled Amortization	30.0	%	51.4	%	34.0	%
										100.0	%
Consumer loans and asset-backed securities backed by consumer loans	154,395			Discounted Cash Flows	Yield	9.0	%	25.0	%	10.3	%
					Projected Collateral Prepayments	0.0	%	45.6	%	39.1	%
					Projected Collateral Losses	0.9	%	96.9	%	7.9	%
					Projected Collateral Scheduled Amortization	0.0	%	83.9	%	53.0	%
										100.0	%
Performing commercial mortgage loans	25,795			Discounted Cash Flows	Yield	10.4	%	17.9	%	11.8	%
Non-performing commercial mortgage loans	23,671			Discounted Cash Flows	Yield	10.2	%	18.4	%	14.2	%
					Months to Resolution	6.0		39.0		20.8
Performing residential mortgage loans	41,324			Discounted Cash Flows	Yield	5.0	%	13.1	%	6.5	%
Non-performing residential mortgage loans and residential real estate owned	7,646			Discounted Cash Flows	Yield	5.7	%	60.6	%	10.4	%
					Months to Resolution	1.9		112.9		25.9
Credit default swaps on asset-backed securities	5,834			Net Discounted Cash Flows	Projected Collateral Prepayments	27.4	%	40.2	%	34.0	%
					Projected Collateral Losses	17.7	%	33.2	%	26.6	%
					Projected Collateral Recoveries	7.1	%	14.1	%	10.8	%
					Projected Collateral Scheduled Amortization	23.4	%	32.2	%	28.6	%
										100.0	%
Non-exchange traded equity investments in commercial mortgage-related private partnerships	2,972			Discounted Cash Flows	Yield	16.5	%	16.5	%	16.5	%
					Expected Holding Period (Months)	8.7		8.7		8.7
Agency interest only residential mortgage-backed securities	3,513			Option Adjusted Spread ("OAS")	LIBOR OAS(2)	118		1,818		468
					Projected Collateral Prepayments	20.4	%	100.0	%	69.6	%
					Projected Collateral Scheduled Amortization	0.0	%	79.6	%	30.4	%
										100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entities	3,053			Enterprise Value	Equity Multiple(3)	2.3x		2.3x		2.3x
Commercial real estate owned	1,841			Recent Transactions	Contract Price	96.77		96.77		96.77
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	(312		)	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, 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.

Fair Value Measurement Using Significant Unobservable Inputs

The tables below include a roll-forward of the Company's financial instruments for the three and six month periods ended June 30, 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 June 30, 2016

(In thousands)	Ending Balance as of  March 31, 2016			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  June 30, 2016
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	22,306		$	(1,888	)	$	(82	)	$	(133	)	$	303		$	—		$	—	$	—		$	20,506
Private label residential mortgage-backed securities	113,382			1,109			(290		)	(1,310		)	1,687			(6,100		)	12,823		(8,790		)	112,511
Private label commercial mortgage-backed securities	35,350			431			—			(839		)	—			—			—		—			34,942
Commercial mortgage loans	56,365			727			(1		)	(671		)	—			(6,954		)	—		—			49,466
Residential mortgage loans	35,580			141			757			(147		)	17,101			(6,783		)	—		—			46,649
Collateralized loan obligations	34,415			(1,942		)	(279		)	145			1,178			(408		)	—		—			33,109
Consumer loans and asset-backed securities backed by consumer loans	143,854			(2,713		)	6			(655		)	37,046			(23,143		)	—		—			154,395
Corporate debt	24,552			(160		)	275			1,874			49,353			(38,920		)	—		—			36,974
Real estate owned	21,843			—			1,978			(1,750		)	884			(18,793		)	—		—			4,162
Private corporate equity investments	24,599			—			101			697			2,590			(8,569		)	—		—			19,418
Total investments, at fair value	512,246			(4,295		)	2,465			(2,789		)	110,142			(109,670		)	12,823		(8,790		)	512,132
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	6,227			—			373			(149		)	(24		)	(359		)	—		—			6,068
Total return swaps	1,074			—			3,412			(250		)	(3,146		)	(266		)	—		—			824
Warrants	100			—			—			—			—			—			—		—			100
Total financial derivatives– assets, at fair value	7,401			—			3,785			(399		)	(3,170		)	(625		)	—		—			6,992
Total investments and financial derivatives–assets, at fair value	$	519,647		$	(4,295	)	$	6,250		$	(3,188	)	$	106,972		$	(110,295	)	$	12,823	$	(8,790	)	$	519,124
Liabilities:
Investments sold short, at fair value
Corporate debt	$	(3,029	)	$	(9	)	$	171		$	(309	)	$	10,368		$	(17,139	)	$	—	$	—		$	(9,947	)
Total investments sold short, at fair value	(3,029		)	(9		)	171			(309		)	10,368			(17,139		)	—		—			(9,947		)

(In thousands)	Ending Balance as of  March 31, 2016			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  June 30, 2016
(continued)
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(220	)	$	—		$	(63	)	$	24		$	—	$	25		$	—	$	—	$	(234	)
Total return swaps	(675		)	—			(2,115		)	(342		)	2,348		(232		)	—		—		(1,016		)
Total financial derivatives– liabilities, at fair value	(895		)	—			(2,178		)	(318		)	2,348		(207		)	—		—		(1,250		)
Guarantees:
Guarantees	(616		)	—			—			304			—		—			—		—		(312		)
Total guarantees	(616		)	—			—			304			—		—			—		—		(312		)
Total investments sold short, financial derivatives– liabilities, and guarantees, at fair value	$	(4,540	)	$	(9	)	$	(2,007	)	$	(323	)	$	12,716	$	(17,346	)	$	—	$	—	$	(11,509	)

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 June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(2.2) million, $(0.03) million, $0.3 million, $(0.6) million, and $0.3 million, for the three month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively.

As of June 30, 2016, the Company transferred $8.8 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 June 30, 2016, the Company transferred $12.8 million of non-Agency RMBS from Level 2 to Level 3. Since March 31, 2016, 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 June 30, 2015

(In thousands)	Ending Balance as of  March 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  June 30, 2015
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	26,335		$	(1,941	)	$	—		$	1,604		$	6,317		$	(1,930	)	$	—	$	—		$	30,385
Private label residential mortgage-backed securities	169,371			1,824			4,423			(40		)	40,761			(55,420		)	20,165		(21,038		)	160,046
Private label commercial mortgage-backed securities	52,214			556			(91		)	(792		)	4,538			(6,591		)	—		—			49,834
Commercial mortgage loans	38,918			736			—			(637		)	26,519			(10,226		)	—		—			55,310
Residential mortgage loans	30,845			405			1,422			(215		)	3,782			(15,310		)	—		—			20,929
Collateralized loan obligations	88,847			149			(819		)	252			39,110			(29,151		)	—		—			98,388
Consumer loans and asset-backed securities backed by consumer loans	34,773			(1,701		)	—			225			25,082			(5,922		)	—		—			52,457
Corporate debt	31,836			16			(78		)	(1,809		)	1,025			(4,712		)	—		—			26,278
Real estate owned	9,070			—			164			(10		)	2,774			(2,496		)	—		—			9,502
Private corporate equity investments	21,300			—			115			268			1,116			(450		)	—		—			22,349
Total investments, at fair value	503,509			44			5,136			(1,154		)	151,024			(132,208		)	20,165		(21,038		)	525,478
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	10,809			—			(1,563		)	1,056			3			(856		)	—		—			9,449
Total return swaps	118			—			285			130			21			(307		)	—		—			247
Warrants	100			—			—			—			—			—			—		—			100
Total financial derivatives– assets, at fair value	11,027			—			(1,278		)	1,186			24			(1,163		)	—		—			9,796
Total investments and financial derivatives–assets, at fair value	$	514,536		$	44		$	3,858		$	32		$	151,048		$	(133,371	)	$	20,165	$	(21,038	)	$	535,274
Liabilities:
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(239	)	$	—		$	(23	)	$	(41	)	$	—		$	23		$	—	$	—		$	(280	)
Total return swaps	(307		)	—			353			(1,596		)	(353		)	—			—		—			(1,903		)
Total financial derivatives– liabilities, at fair value	(546		)	—			330			(1,637		)	(353		)	23			—		—			(2,183		)
Securitized debt:
Securitized debt	(669		)	—			—			1			13			—			—		—			(655		)
Total securitized debt	(669		)	—			—			1			13			—			—		—			(655		)
Total financial derivatives– liabilities and securitized debt, at fair value	$	(1,215	)	$	—		$	330		$	(1,636	)	$	(340	)	$	23		$	—	$	—		$	(2,838	)

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 June 30, 2015, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2015. For Level 3 financial instruments held by the Company at June 30, 2015, change in net unrealized gain (loss) of $(0.6) million, $1.2 million, $(1.7) million, and $1 thousand, for the three month period ended June 30, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

As of June 30, 2015, the Company transferred $21.0 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 June 30, 2015, the Company transferred $20.2 million of non-Agency RMBS from Level 2 to Level 3. 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.

Six Month Period Ended June 30, 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  June 30, 2016
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	24,918		$	(3,945	)	$	(90	)	$	(679	)	$	302	$	—		$	—	$	—		$	20,506
Private label residential mortgage-backed securities	116,435			1,517			(283		)	(2,370		)	7,419		(12,461		)	11,261		(9,007		)	112,511
Private label commercial mortgage-backed securities	34,145			886			322			(3,840		)	7,844		(4,415		)	—		—			34,942
Commercial mortgage loans	66,399			1,272			182			223			13,424		(32,034		)	—		—			49,466
Residential mortgage loans	22,089			248			865			127			32,066		(8,746		)	—		—			46,649
Collateralized loan obligations	45,974			(2,869		)	801			417			1,178		(12,392		)	—		—			33,109
Consumer loans and asset-backed securities backed by consumer loans	115,376			(5,596		)	6			(549		)	88,956		(43,798		)	—		—			154,395
Corporate debt	27,028			(46		)	255			(2,102		)	52,320		(40,481		)	—		—			36,974
Real estate owned	12,522			—			2,238			(331		)	10,672		(20,939		)	—		—			4,162
Private corporate equity investments	22,088			—			(29		)	(531		)	6,517		(8,627		)	—		—			19,418
Total investments, at fair value	486,974			(8,533		)	4,267			(9,635		)	220,698		(183,893		)	11,261		(9,007		)	512,132
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	6,332			—			464			(255		)	12		(485		)	—		—			6,068
Total return swaps	85			—			(103		)	739			423		(320		)	—		—			824
Warrants	150			—			(50		)	—			—		—			—		—			100
Total financial derivatives– assets, at fair value	6,567			—			311			484			435		(805		)	—		—			6,992
Total investments and financial derivatives–assets, at fair value	$	493,541		$	(8,533	)	$	4,578		$	(9,151	)	$	221,133	$	(184,698	)	$	11,261	$	(9,007	)	$	519,124
Liabilities:
Investments sold short, at fair value
Corporate debt	$	(448	)	$	(8	)	$	531		$	(558	)	$	11,255	$	(20,719	)	$	—	$	—		$	(9,947	)
Total investments sold short, at fair value	(448		)	(8		)	531			(558		)	11,255		(20,719		)	—		—			(9,947		)

(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  June 30, 2016
(continued)
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(221	)	$	—		$	(79	)	$	24	$	—	$	42		$	—	$	—	$	(234	)
Total return swaps	(4,662		)	—			(4,365		)	3,646		4,686		(321		)	—		—		(1,016		)
Total financial derivatives– liabilities, at fair value	(4,883		)	—			(4,444		)	3,670		4,686		(279		)	—		—		(1,250		)
Guarantees:
Guarantees	(828		)	—			—			516		—		—			—		—		(312		)
Total guarantees	(828		)	—			—			516		—		—			—		—		(312		)
Total investments sold short, financial derivatives– liabilities, and guarantees, at fair value	$	(6,159	)	$	(8	)	$	(3,913	)	$	3,628	$	15,941	$	(20,998	)	$	—	$	—	$	(11,509	)

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 June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(10.9) million, $(0.04) million, $0.9 million, $(0.1) million, and $0.5 million, for the six month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively.

As of June 30, 2016, the Company transferred $9.0 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 June 30, 2016, the Company transferred $11.3 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.

Six Month Period Ended June 30, 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  June 30, 2015
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	31,385		$	(3,947	)	$	472		$	1,508		$	7,506		$	(6,539	)	$	—	$	—		$	30,385
Private label residential mortgage-backed securities	274,369			4,692			11,397			(3,889		)	58,464			(113,848		)	6,490		(77,629		)	160,046
Private label commercial mortgage-backed securities	53,311			1,928			523			(2,692		)	20,132			(23,368		)	—		—			49,834
Commercial mortgage loans	28,309			1,275			—			(620		)	50,810			(24,464		)	—		—			55,310
Residential mortgage loans	27,482			848			1,664			(70		)	9,758			(18,753		)	—		—			20,929
Collateralized loan obligations	123,338			(4,473		)	(48		)	(1,453		)	49,587			(68,563		)	—		—			98,388
Consumer loans and asset-backed securities backed by consumer loans	22,950			(3,419		)	—			776			41,139			(8,989		)	—		—			52,457
Corporate debt	42,708			47			108			(2,390		)	12,630			(26,825		)	—		—			26,278
Real estate owned	8,635			—			248			527			5,245			(5,153		)	—		—			9,502
Private corporate equity investments	14,512			—			116			498			7,688			(465		)	—		—			22,349
Total investments, at fair value	626,999			(3,049		)	14,480			(7,805		)	262,959			(296,967		)	6,490		(77,629		)	525,478
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	$	11,387		$	—		$	(1,162	)	$	701		$	25		$	(1,502	)	$	—	$	—		$	9,449
Total return swaps	—			—			285			248			21			(307		)	—		—			247
Warrants	100			—			—			—			—			—			—		—			100
Total financial derivatives– assets, at fair value	11,487			—			(877		)	949			46			(1,809		)	—		—			9,796
Total investments and financial derivatives–assets, at fair value	$	638,486		$	(3,049	)	$	13,603		$	(6,856	)	$	263,005		$	(298,776	)	$	6,490	$	(77,629	)	$	535,274
Liabilities:
Financial derivatives– liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(239	)	$	—		$	(42	)	$	(41	)	$	—		$	42		$	—	$	—		$	(280	)
Total return swaps	—			—			353			(1,903		)	(353		)	—			—		—			(1,903		)
Total financial derivatives– liabilities, at fair value	(239		)	—			311			(1,944		)	(353		)	42			—		—			(2,183		)
Securitized debt:
Securitized debt	(774		)	(2		)	—			20			101			—			—		—			(655		)
Total securitized debt	(774		)	(2		)	—			20			101			—			—		—			(655		)
Total financial derivatives– liabilities and securitized debt, at fair value	$	(1,013	)	$	(2	)	$	311		$	(1,924	)	$	(252	)	$	42		$	—	$	—		$	(2,838	)

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 June 30, 2015, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2015. For Level 3 financial instruments held by the Company at June 30, 2015, change in net unrealized gain (loss) of $(1.0) million, $1.0 million, $(1.9) million, and $0.02 million for the six month period ended June 30, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

As of June 30, 2015, the Company transferred $77.6 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 June 30, 2015, the Company transferred $6.5 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.