Valuation (Tables)

3 Months Ended

Mar. 31, 2017

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, 2016:

Description	Level 1		Level 2		Level 3		Total
Assets:	(In thousands)
Cash equivalents	$	90,000	$	—	$	—	$	90,000
Investments, at fair value-
Agency residential mortgage-backed securities	$	—	$	868,345	$	29,622	$	897,967
U.S. Treasury securities	—		5,419		—		5,419
Private label residential mortgage-backed securities	—		53,525		90,083		143,608
Private label commercial mortgage-backed securities	—		—		43,268		43,268
Commercial mortgage loans	—		—		61,129		61,129
Residential mortgage loans	—		—		84,290		84,290
Collateralized loan obligations	—		—		44,956		44,956
Consumer loans and asset-backed securities backed by consumer loans	—		—		114,472		114,472
Corporate debt	—		55,091		25,004		80,095
Real estate owned	—		—		3,349		3,349
Corporate equity investments	4,396		—		22,077		26,473
Total investments, at fair value	4,396		982,380		518,250		1,505,026
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—		—		5,326		5,326
Credit default swaps on corporate bond indices	—		2,744		—		2,744
Credit default swaps on corporate bonds	—		2,360		—		2,360
Credit default swaps on asset-backed indices	—		16,713		—		16,713
Interest rate swaps	—		8,102		—		8,102
Total return swaps	—		—		155		155
Options	42		2		—		44
Futures	29		—		—		29

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Forwards	$	—		$	16		$	—		$	16
Warrants	—			—			106			106
Total financial derivatives–assets, at fair value	71			29,937			5,587			35,595
Repurchase agreements	—			184,819			—			184,819
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	4,467		$	1,197,136		$	523,837		$	1,725,440
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(404,728	)	$	—		$	(404,728	)
Government debt	—			(132,442		)	—			(132,442		)
Corporate debt	—			(39,572		)	—			(39,572		)
Common stock	(8,154		)	—			—			(8,154		)
Total investments sold short, at fair value	(8,154		)	(576,742		)	—			(584,896		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(2,840		)	—			(2,840		)
Credit default swaps on corporate bonds	—			(6,654		)	—			(6,654		)
Credit default swaps on asset-backed indices	—			(2,899		)	—			(2,899		)
Credit default swaps on asset-backed securities	—			—			(256		)	(256		)
Interest rate swaps	—			(5,162		)	—			(5,162		)
Total return swaps	—			(55		)	(249		)	(304		)
Futures	(69		)	—			—			(69		)
Forwards	—			(472		)	—			(472		)
Mortgage loan purchase commitments	—			(31		)	—			(31		)
Total financial derivatives–liabilities, at fair value	(69		)	(18,113		)	(505		)	(18,687		)
Total investments sold short, and financial derivatives–liabilities, at fair value	$	(8,223	)	$	(594,855	)	$	(505	)	$	(603,583	)

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at March 31, 2017:

Description	Level 1			Level 2			Level 3			Total
Assets:	(In thousands)
Cash equivalents	$	40,000		$	—		$	—		$	40,000
Investments, at fair value-
Agency residential mortgage-backed securities	$	—		$	1,065,009		$	29,425		$	1,094,434
U.S. Treasury securities	—			36,488			—			36,488
Private label residential mortgage-backed securities	—			41,135			80,332			121,467
Private label commercial mortgage-backed securities	—			—			41,300			41,300
Commercial mortgage loans	—			—			62,508			62,508
Residential mortgage loans	—			—			112,650			112,650
Collateralized loan obligations	—			—			70,561			70,561
Consumer loans and asset-backed securities backed by consumer loans	—			—			114,278			114,278
Corporate debt	—			95,210			59,609			154,819
Real estate owned	—			—			25,390			25,390
Corporate equity investments	2,837			—			27,481			30,318
Total investments, at fair value	2,837			1,237,842			623,534			1,864,213
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—			—			5,828			5,828
Credit default swaps on corporate bond indices	—			832			—			832
Credit default swaps on corporate bonds	—			4,577			—			4,577
Credit default swaps on asset-backed indices	—			10,653			—			10,653
Interest rate swaps	—			7,937			—			7,937
Options	66			1			—			67
Forwards	—			13			—			13
Total financial derivatives–assets, at fair value	66			24,013			5,828			29,907
Repurchase agreements	—			293,802			—			293,802
Total investments and financial derivatives–assets, at fair value and repurchase agreements	$	2,903		$	1,555,657		$	629,362		$	2,187,922
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(523,620	)	$	—		$	(523,620	)
Government debt	—			(165,080		)	—			(165,080		)
Corporate debt	—			(89,466		)	—			(89,466		)
Common stock	(2,154		)	—			—			(2,154		)
Total investments sold short, at fair value	(2,154		)	(778,166		)	—			(780,320		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(2,911		)	—			(2,911		)
Credit default swaps on corporate bonds	—			(10,638		)	—			(10,638		)
Credit default swaps on asset-backed indices	—			(2,255		)	—			(2,255		)
Credit default swaps on asset-backed securities	—			—			(218		)	(218		)

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Interest rate swaps	$	—		$	(4,710	)	$	—		$	(4,710	)
Total return swaps	—			(11		)	—			(11		)
Futures	(57		)	—			—			(57		)
Forwards	—			(138		)	—			(138		)
Total financial derivatives–liabilities, at fair value	(57		)	(20,663		)	(218		)	(20,938		)
Total investments sold short and financial derivatives–liabilities, at fair value	$	(2,211	)	$	(798,829	)	$	(218	)	$	(801,258	)

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 March 31, 2017:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Private label residential mortgage-backed securities	$	41,034	Market Quotes	Non Binding Third-Party Valuation	$	1.94		$	115.30		$	70.74
Collateralized loan obligations	62,529		Market Quotes	Non Binding Third-Party Valuation	11.00			380.00			106.17
Corporate debt and non-exchange traded corporate equity	57,671		Market Quotes	Non Binding Third-Party Valuation	1.59			102.46			91.97
Private label commercial mortgage-backed securities	23,401		Market Quotes	Non Binding Third-Party Valuation	5.40			81.30			40.29
Agency interest only residential mortgage-backed securities	24,890		Market Quotes	Non Binding Third-Party Valuation	1.95			21.31			11.97
Private label residential mortgage-backed securities	39,298		Discounted Cash Flows	Yield	2.3		%	27.3		%	12.4		%
				Projected Collateral Prepayments	0.0		%	84.5		%	7.5		%
				Projected Collateral Losses	0.5		%	51.3		%	44.1		%
				Projected Collateral Recoveries	0.0		%	52.4		%	44.2		%
				Projected Collateral Scheduled Amortization	0.0		%	90.4		%	4.2		%
											100.0		%
Private label commercial mortgage-backed securities	17,899		Discounted Cash Flows	Yield	11.6		%	59.6		%	22.4		%
				Projected Collateral Losses	0.4		%	5.3		%	1.6		%
				Projected Collateral Recoveries	1.8		%	17.1		%	6.5		%
				Projected Collateral Scheduled Amortization	77.6		%	97.8		%	91.9		%
											100.0		%
Corporate debt	6,320		Discounted Cash Flows	Yield	16.1		%	16.1		%	16.1		%
Collateralized loan obligations	8,032		Discounted Cash Flows	Yield	5.0		%	50.8		%	18.1		%
				Projected Collateral Prepayments	2.9		%	67.1		%	42.6		%
				Projected Collateral Losses	1.1		%	47.2		%	10.7		%
				Projected Collateral Recoveries	1.5		%	33.2		%	8.2		%
				Projected Collateral Scheduled Amortization	16.6		%	52.7		%	38.5		%
											100.0		%

(continued)	Fair Value		Valuation  Technique	Unobservable Input	Range				Weighted Average
Description					Min		Max
	(In thousands)
Consumer loans and asset-backed securities backed by consumer loans	$	114,278	Discounted Cash Flows	Yield	8.9	%	19.0	%	10.7	%
				Projected Collateral Prepayments	0.0	%	48.8	%	35.7	%
				Projected Collateral Losses	0.0	%	97.6	%	8.5	%
				Projected Collateral Scheduled Amortization	0.0	%	100.0	%	55.8	%
									100.0	%
Performing commercial mortgage loans	54,768		Discounted Cash Flows	Yield	8.0	%	15.4	%	10.8	%
Non-performing commercial mortgage loans and commercial real estate owned	31,910		Discounted Cash Flows	Yield	7.7	%	20.0	%	13.7	%
				Months to Resolution	3.0		39.1		18.6
Performing residential mortgage loans	104,406		Discounted Cash Flows	Yield	1.7	%	17.4	%	6.5	%
Non-performing residential mortgage loans and residential real estate owned	9,464		Discounted Cash Flows	Yield	2.0	%	75.6	%	14.6	%
				Months to Resolution	4.2		185.2		47.0
Credit default swaps on asset-backed securities	5,610		Net Discounted Cash Flows	Projected Collateral Prepayments	19.5	%	29.6	%	22.2	%
				Projected Collateral Losses	15.5	%	28.2	%	22.8	%
				Projected Collateral Recoveries	5.1	%	14.8	%	9.6	%
				Projected Collateral Scheduled Amortization	43.3	%	49.0	%	45.4	%
									100.0	%
Non-exchange traded equity investments in commercial mortgage-related private partnerships	3,099		Discounted Cash Flows	Yield	16.5	%	16.5	%	16.5	%
				Expected Holding Period (Months)	1.9		1.9		1.9
Agency interest only residential mortgage-backed securities	4,535		Option Adjusted Spread ("OAS")	LIBOR OAS(1)	371		1,950		711
				Projected Collateral Prepayments	9.7	%	100.0	%	64.0	%
				Projected Collateral Losses	0.0	%	11.3	%	1.1	%
				Projected Collateral Scheduled Amortization	0.0	%	90.3	%	34.9	%
									100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entity	2,500		Enterprise Value	Equity Multiple(2)	1.4x		1.4x		1.4x
Non-exchange traded preferred equity investment in mortgage-related entity	17,500		Recent Transactions	Transaction Price	N/A		N/A		N/A

(1) Shown in basis points.

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

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, 2016:

	Fair Value			Valuation  Technique	Unobservable Input	Range						Weighted Average
Description						Min			Max
	(In thousands)
Private label residential mortgage-backed securities	$	47,024		Market Quotes	Non Binding Third-Party Valuation	$	2.00		$	101.02		$	67.51
Collateralized loan obligations	37,517			Market Quotes	Non Binding Third-Party Valuation	9.42			100.25			83.36
Corporate debt and non-exchange traded corporate equity	19,017			Market Quotes	Non Binding Third-Party Valuation	1.88			102.25			87.14
Private label commercial mortgage-backed securities	27,283			Market Quotes	Non Binding Third-Party Valuation	5.17			77.75			40.88
Agency interest only residential mortgage-backed securities	23,322			Market Quotes	Non Binding Third-Party Valuation	2.47			20.17			11.65
Total return swaps	(94		)	Market Quotes	Non Binding Third-Party Valuation (1)	98.25			99.50			98.77
Private label residential mortgage-backed securities	43,059			Discounted Cash Flows	Yield	0.6		%	20.5		%	11.0		%
					Projected Collateral Prepayments	0.0		%	81.0		%	10.0		%
					Projected Collateral Losses	1.4		%	51.2		%	41.4		%
					Projected Collateral Recoveries	0.4		%	53.6		%	41.2		%
					Projected Collateral Scheduled Amortization	0.0		%	90.7		%	7.4		%
												100.0		%
Private label commercial mortgage-backed securities	15,985			Discounted Cash Flows	Yield	8.8		%	57.0		%	23.6		%
					Projected Collateral Losses	0.1		%	5.3		%	2.2		%
					Projected Collateral Recoveries	0.9		%	20.5		%	10.7		%
					Projected Collateral Scheduled Amortization	77.8		%	99.0		%	87.1		%
												100.0		%
Corporate debt and warrants	10,080			Discounted Cash Flows	Yield	19.7		%	19.7		%	19.7		%
Collateralized loan obligations	7,439			Discounted Cash Flows	Yield	11.2		%	50.3		%	20.5		%
					Projected Collateral Prepayments	11.4		%	55.2		%	45.5		%
					Projected Collateral Losses	4.5		%	28.3		%	10.7		%
					Projected Collateral Recoveries	1.5		%	27.2		%	8.6		%
					Projected Collateral Scheduled Amortization	29.8		%	51.5		%	35.2		%
												100.0		%
Consumer loans and asset-backed securities backed by consumer loans	114,472			Discounted Cash Flows	Yield	8.5		%	25.0		%	10.9		%
					Projected Collateral Prepayments	0.0		%	45.4		%	25.6		%
					Projected Collateral Losses	3.3		%	97.4		%	9.9		%
					Projected Collateral Scheduled Amortization	0.0		%	87.7		%	64.5		%
												100.0		%
Performing commercial mortgage loans	32,557			Discounted Cash Flows	Yield	8.0		%	17.2		%	11.6		%

(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	$	30,222	Discounted Cash Flows	Yield	10.2	%	27.8	%	16.3	%
				Months to Resolution	3.0		39.1		19.5
Performing residential mortgage loans	78,576		Discounted Cash Flows	Yield	5.0	%	13.5	%	6.6	%
Non-performing residential mortgage loans and residential real estate owned	7,413		Discounted Cash Flows	Yield	5.8	%	39.9	%	9.7	%
				Months to Resolution	1.8		162.9		41.9
Credit default swaps on asset-backed securities	5,070		Net Discounted Cash Flows	Projected Collateral Prepayments	19.3	%	29.8	%	22.7	%
				Projected Collateral Losses	15.3	%	27.6	%	22.2	%
				Projected Collateral Recoveries	4.7	%	15.3	%	8.7	%
				Projected Collateral Scheduled Amortization	43.2	%	50.2	%	46.4	%
									100.0	%
Non-exchange traded equity investments in commercial mortgage-related private partnerships	3,090		Discounted Cash Flows	Yield	16.5	%	16.5	%	16.5	%
				Expected Holding Period (Months)	2.9		2.9		2.9
Agency interest only residential mortgage-backed securities	6,300		Option Adjusted Spread ("OAS")	LIBOR OAS(2)	142		2,831		568
				Projected Collateral Prepayments	0.0	%	100.0	%	62.6	%
				Projected Collateral Losses	0.0	%	15.7	%	1.0	%
				Projected Collateral Scheduled Amortization	0.0	%	88.1	%	36.4	%
									100.0	%
Non-exchange traded preferred and common equity investment in mortgage-related entity	2,500		Enterprise Value	Equity Multiple(3)	1.3x		1.3x		1.3x
Non-exchange traded preferred equity investment in mortgage-related entity	12,500		Recent Transactions	Transaction Price	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.

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, 2017 and 2016 (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, 2017

(In thousands)	Ending Balance as of  December 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  March 31, 2017
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	29,622		$	(2,592	)	$	(35	)	$	228		$	2,202	$	—		$	—	$	—		$	29,425
Private label residential mortgage-backed securities	90,083			1,478			(703		)	2,893			8,049		(19,527		)	3,473		(5,414		)	80,332
Private label commercial mortgage-backed securities	43,268			356			342			1,411			—		(4,077		)	—		—			41,300
Commercial mortgage loans	61,129			530			337			1,206			23,045		(23,739		)	—		—			62,508
Residential mortgage loans	84,290			140			(51		)	404			34,138		(6,271		)	—		—			112,650
Collateralized loan obligations	44,956			(1,183		)	920			2,532			38,712		(15,376		)	—		—			70,561
Consumer loans and asset-backed securities backed by consumer loans	114,472			(3,057		)	(552		)	646			24,418		(21,649		)	—		—			114,278
Corporate debt	25,004			100			331			158			47,094		(13,078		)	—		—			59,609
Real estate owned	3,349			—			60			106			24,157		(2,282		)	—		—			25,390
Corporate equity investments	22,077			—			—			462			5,000		(58		)	—		—			27,481
Total investments, at fair value	518,250			(4,228		)	649			10,046			206,815		(106,057		)	3,473		(5,414		)	623,534
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	5,326			—			37			502			59		(96		)	—		—			5,828
Total return swaps	155			—			157			(155		)	—		(157		)	—		—			—
Warrants	106			—			(100		)	(6		)	—		—			—		—			—
Total financial derivatives– assets, at fair value	5,587			—			94			341			59		(253		)	—		—			5,828
Total investments and financial derivatives–assets, at fair value	$	523,837		$	(4,228	)	$	743		$	10,387		$	206,874	$	(106,310	)	$	3,473	$	(5,414	)	$	629,362
Liabilities:
Financial derivatives–liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(256	)	$	—		$	(446	)	$	466		$	18	$	—		$	—	$	—		$	(218	)
Total return swaps	(249		)	—			(206		)	248			283		(76		)	—		—			—
Total financial derivatives– liabilities, at fair value	(505		)	—			(652		)	714			301		(76		)	—		—			(218		)

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, 2017, as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2017. For Level 3 financial instruments held by the Company at March 31, 2017, change in net unrealized gain (loss) of $6.9 million, $0.5 million, and $0.5 million for the three month period ended March 31, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively.

During the three month period ended March 31, 2017, the Company transferred $5.4 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/or 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, during the three month period ended March 31, 2017, the Company transferred $3.5 million of non-Agency RMBS from Level 2 to Level 3. Since December 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 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
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

(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
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		)
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 financial derivatives– liabilities 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.

During the three month ended 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/or 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, during the three month period ended March 31, 2016, the Company transferred $12.1 million of non-Agency RMBS from Level 2 to Level 3. Following December 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.

There were no transfers of financial instruments between Level 1 and Level 2 during the three month periods ended March 31, 2017 and 2016.