Valuation (Tables)

12 Months Ended

Dec. 31, 2018

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2018:



Description	Level 1			Level 2			Level 3		Total
	(In thousands)
Assets:
Cash equivalents	$	12,460		$	—		$	—	$	12,460
Investments, at fair value-
Agency residential mortgage-backed securities	$	—		$	1,442,924		$	7,293	$	1,450,217
U.S. Treasury securities	—			76			—		76
Private label residential mortgage-backed securities	—			211,348			91,291		302,639
Private label commercial mortgage-backed securities	—			33,105			803		33,908
Commercial mortgage loans	—			—			211,185		211,185
Residential mortgage loans	—			—			496,830		496,830
Collateralized loan obligations	—			108,978			14,915		123,893
Consumer loans and asset-backed securities backed by consumer loans	—			—			206,761		206,761
Corporate debt	—			16,074			6,318		22,392
Secured notes	—			—			10,917		10,917
Real estate owned	—			—			34,500		34,500
Common stock	2,200			—			—		2,200
Corporate equity investments	—			—			43,793		43,793
Total investments, at fair value	2,200			1,812,505			1,124,606		2,939,311
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	—			—			1,472		1,472
Credit default swaps on corporate bond indices	—			733			—		733
Credit default swaps on corporate bonds	—			2,473			—		2,473
Credit default swaps on asset-backed indices	—			8,092			—		8,092
Total return swaps	—			1			—		1
Interest rate swaps	—			7,224			—		7,224
Forwards	—			6			—		6
Total financial derivatives–assets, at fair value	—			18,529			1,472		20,001
Repurchase agreements, at fair value	—			61,274			—		61,274
Total investments, financial derivatives–assets, and repurchase agreements, at fair value	$	2,200		$	1,892,308		$	1,126,078	$	3,020,586
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(772,964	)	$	—	$	(772,964	)
Government debt	—			(54,151		)	—		(54,151		)
Corporate debt	—			(6,529		)	—		(6,529		)
Common stock	(16,933		)	—			—		(16,933		)
Total investments sold short, at fair value	(16,933		)	(833,644		)	—		(850,577		)



Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	$	—		$	(11,557	)	$	—		$	(11,557	)
Credit default swaps on corporate bonds	—			(3,246		)	—			(3,246		)
Credit default swaps on asset-backed indices	—			(2,125		)	—			(2,125		)
Interest rate swaps	—			(3,397		)	—			(3,397		)
Total return swaps	—			(6		)	—			(6		)
Futures	(355		)	—			—			(355		)
Forwards	—			(120		)	—			(120		)
Total financial derivatives–liabilities, at fair value	(355		)	(20,451		)	—			(20,806		)
Other secured borrowings, at fair value	—			—			(297,948		)	(297,948		)
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value	$	(17,288	)	$	(854,095	)	$	(297,948	)	$	(1,169,331	)

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



Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Cash equivalents	$	26,500	$	—	$	—	$	26,500
Investments, at fair value-
Agency residential mortgage-backed securities	$	—	$	989,341	$	6,173	$	995,514
Private label residential mortgage-backed securities	—		158,369		101,297		259,666
Private label commercial mortgage-backed securities	—		28,398		12,347		40,745
Commercial mortgage loans	—		—		108,301		108,301
Residential mortgage loans	—		—		182,472		182,472
Collateralized loan obligations	—		185,905		24,911		210,816
Consumer loans and asset-backed securities backed by consumer loans	—		—		135,258		135,258
Corporate debt	—		51,246		23,947		75,193
Real estate owned	—		—		26,277		26,277
Corporate equity investments	—		—		37,465		37,465
Total investments, at fair value	—		1,413,259		658,448		2,071,707



Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	$	—		$	—		$	3,140		$	3,140
Credit default swaps on corporate bond indices	—			1,429			—			1,429
Credit default swaps on corporate bonds	—			8,888			—			8,888
Credit default swaps on asset-backed indices	—			5,393			—			5,393
Interest rate swaps	—			9,266			—			9,266
Options	3			1			—			4
Futures	45			—			—			45
Total financial derivatives–assets, at fair value	48			24,977			3,140			28,165
Repurchase agreements, at fair value	—			155,949			—			155,949
Total investments, financial derivatives–assets, and repurchase agreements, at fair value	$	48		$	1,594,185		$	661,588		$	2,255,821
Liabilities:
Investments sold short, at fair value-
Agency residential mortgage-backed securities	$	—		$	(460,189	)	$	—		$	(460,189	)
Government debt	—			(90,149		)	—			(90,149		)
Corporate debt	—			(55,211		)	—			(55,211		)
Common stock	(36,691		)	—			—			(36,691		)
Total investments sold short, at fair value	(36,691		)	(605,549		)	—			(642,240		)
Financial derivatives–liabilities, at fair value-
Credit default swaps on corporate bond indices	—			(12,367		)	—			(12,367		)
Credit default swaps on corporate bonds	—			(15,930		)	—			(15,930		)
Credit default swaps on asset-backed indices	—			(980		)	—			(980		)
Interest rate swaps	—			(6,015		)	—			(6,015		)
Futures	(508		)	—			—			(508		)
Forwards	—			(473		)	—			(473		)
Total financial derivatives–liabilities, at fair value	(508		)	(35,765		)	—			(36,273		)
Other secured borrowings, at fair value	—			—			(125,105		)	(125,105		)
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value	$	(37,199	)	$	(641,314	)	$	(125,105	)	$	(803,618	)

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, 2017:



	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description	Fair Value		Valuation Technique	Unobservable Input	Min			Max			Weighted Average
	(In thousands)
Private label residential mortgage-backed securities	$	40,870	Market Quotes	Non Binding Third-Party Valuation	$	45.00		$	183.00		$	81.63
Collateralized loan obligations	10,288		Market Quotes	Non Binding Third-Party Valuation	85.00			435.00			138.94
Corporate debt and non-exchange traded corporate equity	6,797		Market Quotes	Non Binding Third-Party Valuation	8.88			105.63			82.94
Private label commercial mortgage-backed securities	7,577		Market Quotes	Non Binding Third-Party Valuation	5.31			60.55			36.19
Agency interest only residential mortgage-backed securities	1,225		Market Quotes	Non Binding Third-Party Valuation	10.14			18.21			15.25
Private label residential mortgage-backed securities	60,427		Discounted Cash Flows	Yield	0.5		%	26.5		%	9.8		%
				Projected Collateral Prepayments	2.1		%	84.7		%	38.3		%
				Projected Collateral Losses	0.9		%	18.2		%	8.6		%
				Projected Collateral Recoveries	0.3		%	31.5		%	11.3		%
				Projected Collateral Scheduled Amortization	12.5		%	90.2		%	41.8		%
											100.0		%
Private label commercial mortgage-backed securities	4,770		Discounted Cash Flows	Yield	4.3		%	42.5		%	18.6		%
				Projected Collateral Losses	1.1		%	5.2		%	2.5		%
				Projected Collateral Recoveries	2.8		%	17.1		%	8.5		%
				Projected Collateral Scheduled Amortization	80.1		%	96.1		%	89.0		%
											100.0		%
Corporate debt and non-exchange traded corporate equity	20,301		Discounted Cash Flows	Yield	3.0		%	16.1		%	10.6		%
Collateralized loan obligations	14,623		Discounted Cash Flows	Yield	7.1		%	62.2		%	15.2		%
				Projected Collateral Prepayments	22.5		%	92.9		%	77.9		%
				Projected Collateral Losses	1.9		%	40.2		%	10.3		%
				Projected Collateral Recoveries	3.4		%	37.2		%	9.5		%
				Projected Collateral Scheduled Amortization	—		%	4.1		%	2.3		%
											100.0		%
Consumer loans and asset-backed securities backed by consumer loans	135,258		Discounted Cash Flows	Yield	7.0		%	18.9		%	9.5		%
				Projected Collateral Prepayments	2.2		%	50.1		%	33.5		%
				Projected Collateral Losses	0.4		%	28.6		%	8.2		%
				Projected Collateral Scheduled Amortization	46.8		%	95.2		%	58.3		%
											100.0		%
Performing commercial mortgage loans	84,377		Discounted Cash Flows	Yield	8.0		%	15.4		%	10.7		%
Non-performing commercial mortgage loans and commercial real estate owned	49,610		Discounted Cash Flows	Yield	11.4		%	36.5		%	17.7		%
				Months to Resolution	4.0			17.0			9.5



(continued)	Fair Value			Valuation Technique	Unobservable Input	Range						Weighted Average
Description	Fair Value			Valuation Technique	Unobservable Input	Min			Max			Weighted Average
	(In thousands)
Performing residential mortgage loans	$	42,030		Discounted Cash Flows	Yield	1.6		%	18.8		%	6.2		%
Securitized residential mortgage loans⁽¹⁾	132,424			Discounted Cash Flows	Yield	3.5		%	3.5		%	3.5		%
Non-performing residential mortgage loans and residential real estate owned	8,609			Discounted Cash Flows	Yield	2.8		%	34.5		%	8.9		%
					Months to Resolution⁽²⁾	1.9			40.5			25.6
Credit default swaps on asset-backed securities	3,140			Net Discounted Cash Flows	Projected Collateral Prepayments	19.8		%	26.5		%	22.4		%
					Projected Collateral Losses	14.6		%	23.8		%	19.7		%
					Projected Collateral Recoveries	5.8		%	14.3		%	10.6		%
					Projected Collateral Scheduled Amortization	45.5		%	51.0		%	47.3		%
												100.0		%
Agency interest only residential mortgage-backed securities	4,948			Option Adjusted Spread ("OAS")	LIBOR OAS⁽³⁾	381			3,521			730
					Projected Collateral Prepayments	51.2		%	100.0		%	69.1		%
					Projected Collateral Scheduled Amortization	0.0		%	48.8		%	30.9		%
												100.0		%
Non-exchange traded common equity investment in mortgage-related entity	2,814			Enterprise Value	Equity Price-to-Book⁽⁴⁾	2.0x			2.0x			2.0x
Non-exchange traded preferred equity investment in mortgage-related entity	20,774			Enterprise Value	Equity Price-to-Book⁽⁴⁾	0.9x			0.9x			0.9x
Non-controlling equity interest in limited liability company	5,033			Market Quotes	Non Binding Third-Party Valuation of the Underlying Assets⁽⁵⁾	$	96.91		$	96.91		$	96.91
Non-controlling equity interest in limited liability company	5,693			Discounted Cash Flows	Yield⁽⁵⁾	9.1%			9.1%			9.1%
Other secured borrowings, at fair value⁽¹⁾	(125,105		)	Discounted Cash Flows	Yield	2.8%			2.8%			2.8%


(1)

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, 2018:



	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description	Fair Value		Valuation Technique	Unobservable Input	Min			Max			Weighted Average
	(In thousands)
Private label residential mortgage-backed securities	$	36,945	Market Quotes	Non Binding Third-Party Valuation	$	17.42		$	178.00		$	78.31
Collateralized loan obligations	5,828		Market Quotes	Non Binding Third-Party Valuation	2.64			375.00			167.78
Corporate debt, non-exchange traded corporate equity, and secured notes	13,976		Market Quotes	Non Binding Third-Party Valuation	9.69			91.00			59.18
Private label commercial mortgage-backed securities	576		Market Quotes	Non Binding Third-Party Valuation	5.93			6.36			6.14
Agency interest only residential mortgage-backed securities	744		Market Quotes	Non Binding Third-Party Valuation	1.70			9.12			5.64
Private label residential mortgage-backed securities	54,346		Discounted Cash Flows	Yield	3.5		%	66.1		%	10.7		%
				Projected Collateral Prepayments	16.0		%	92.1		%	50.4		%
				Projected Collateral Losses	0.0		%	23.1		%	8.7		%
				Projected Collateral Recoveries	1.5		%	14.6		%	7.3		%
				Projected Collateral Scheduled Amortization	6.1		%	61.8		%	33.6		%
											100.0		%
Private label commercial mortgage-backed securities	227		Discounted Cash Flows	Yield	3.4		%	3.4		%	3.4		%
				Projected Collateral Losses	2.0		%	2.0		%	2.0		%
				Projected Collateral Recoveries	6.6		%	6.6		%	6.6		%
				Projected Collateral Scheduled Amortization	91.4		%	91.4		%	91.4		%
											100.0		%
Corporate debt and non-exchange traded corporate equity	4,793		Discounted Cash Flows	Yield	17.5		%	17.5		%	17.5		%



(continued)	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
Description	Fair Value			Valuation Technique	Unobservable Input	Min		Max		Weighted Average
	(In thousands)
Collateralized loan obligations	$	9,087		Discounted Cash Flows	Yield	12.6	%	103.1	%	26.7	%
					Projected Collateral Prepayments	8.1	%	88.4	%	65.2	%
					Projected Collateral Losses	3.7	%	40.8	%	13.5	%
					Projected Collateral Recoveries	4.2	%	38.0	%	11.9	%
					Projected Collateral Scheduled Amortization	3.5	%	13.5	%	9.4	%
										100.0	%
Consumer loans and asset-backed securities backed by consumer loans	206,761			Discounted Cash Flows	Yield	7.0	%	18.3	%	8.5	%
					Projected Collateral Prepayments	0.0	%	45.9	%	33.5	%
					Projected Collateral Losses	2.6	%	84.8	%	9.1	%
					Projected Collateral Scheduled Amortization	15.2	%	96.6	%	57.4	%
										100.0	%
Performing commercial mortgage loans	163,876			Discounted Cash Flows	Yield	8.0	%	22.5	%	9.6	%
Non-performing commercial mortgage loans and commercial real estate owned	80,513			Discounted Cash Flows	Yield	9.6	%	27.4	%	13.2	%
					Months to Resolution	3.0		16.0		7.9
Performing residential mortgage loans	171,367			Discounted Cash Flows	Yield	2.7	%	12.9	%	6.0	%
Securitized residential mortgage loans⁽¹⁾	314,202			Discounted Cash Flows	Yield	4.3	%	4.6	%	4.6	%
Non-performing residential mortgage loans and residential real estate owned	12,557			Discounted Cash Flows	Yield	4.3	%	25.1	%	11.3	%
					Months to Resolution⁽²⁾	1.9		42.2		27.8
Credit default swaps on asset-backed securities	1,472			Net Discounted Cash Flows	Projected Collateral Prepayments	33.6	%	42.0	%	36.5	%
					Projected Collateral Losses	11.1	%	15.6	%	12.8	%
					Projected Collateral Recoveries	10.3	%	18.7	%	15.8	%
					Projected Collateral Scheduled Amortization	32.0	%	36.5	%	34.9	%
										100.0	%
Agency interest only residential mortgage-backed securities	6,549			Option Adjusted Spread ("OAS")	LIBOR OAS⁽³⁾	211		3,521		677
					Projected Collateral Prepayments	37.7	%	100.0	%	66.2	%
					Projected Collateral Scheduled Amortization	0.0	%	62.3	%	33.8	%
										100.0	%
Non-exchange traded common equity investment in mortgage-related entity	6,750			Enterprise Value	Equity Price-to-Book⁽⁴⁾	3.3x		3.3x		3.3x
Non-exchange traded preferred equity investment in mortgage-related entity	27,317			Enterprise Value	Equity Price-to-Book⁽⁴⁾	1.1x		1.1x		1.1x
Non-exchange traded preferred equity investment in loan origination entity	3,000			Recent Transactions	Transaction Price	N/A		N/A		N/A
Non-controlling equity interest in limited liability company	5,192			Discounted Cash Flows	Yield⁽⁵⁾	12.9%		16.1%		15.4%
Other secured borrowings, at fair value⁽¹⁾	(297,948		)	Discounted Cash Flows	Yield	3.9%		4.4%		4.3%


(1)	Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2.


(2)	Excludes certain loans that are re-performing.


(3)	Shown in basis points.


(4)	Represent an estimation of where market participants might value an enterprise on a price-to-book basis.


(5)	Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole.

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, 2018 and 2017 (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, 2018



(In thousands)	Ending Balance as of December 31, 2017			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, 2018
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	6,173		$	(2,233	)	$	(10	)	$	175		$	2,753	$	(1,169	)	$	2,616	$	(1,012	)	$	7,293
Private label residential mortgage-backed securities	101,297			383			1,838			(2,135		)	75,685		(78,487		)	7,074		(14,364		)	91,291
Private label commercial mortgage-backed securities	12,347			(243		)	2,229			2,120			1,481		(16,896		)	—		(235		)	803
Commercial mortgage loans	108,301			790			1,146			1,944			149,053		(50,049		)	—		—			211,185
Residential mortgage loans	182,472			(1,965		)	1,011			(34		)	402,235		(86,889		)	—		—			496,830
Collateralized loan obligations	24,911			(351		)	317			(2,268		)	33,549		(33,115		)	3,959		(12,087		)	14,915
Consumer loans and asset-backed securities backed by consumer loans	135,258			(29,320		)	8,415			(1,092		)	228,354		(134,854		)	—		—			206,761
Corporate debt	23,947			56			241			(964		)	7,665		(17,688		)	—		(6,939		)	6,318
Secured notes	—			870			—			(1,221		)	11,268		—			—		—			10,917
Real estate owned	26,277			—			(653		)	(1,003		)	12,793		(2,914		)	—		—			34,500
Corporate equity investments	37,465			—			1,671			8,299			12,708		(16,350		)	—		—			43,793
Total investments, at fair value	658,448			(32,013		)	16,205			3,821			937,544		(438,411		)	13,649		(34,637		)	1,124,606
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	3,140			—			(687		)	715			102		(1,798		)	—		—			1,472
Total financial derivatives– assets, at fair value	3,140			—			(687		)	715			102		(1,798		)	—		—			1,472
Total investments and financial derivatives–assets, at fair value	$	661,588		$	(32,013	)	$	15,518		$	4,536		$	937,646	$	(440,209	)	$	13,649	$	(34,637	)	$	1,126,078
Liabilities:
Other secured borrowings, at fair value	$	(125,105	)	$	—		$	—		$	758		$	49,731	$	(223,332	)	$	—	$	—		$	(297,948	)
Total other secured borrowings, at fair value	$	(125,105	)	$	—		$	—		$	758		$	49,731	$	(223,332	)	$	—	$	—		$	(297,948	)

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, 2018, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2018. For Level 3 financial instruments held by the Company at December 31, 2018, change in net unrealized gain (loss) of $5.3 million, $(0.6) million, and $0.8 million, for the year ended December 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At December 31, 2018, the Company transferred $34.6 million of securities from Level 3 to Level 2 and $13.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Year Ended December 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 December 31, 2017
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	29,622		$	(9,356	)	$	(956	)	$	(165	)	$	3,867	$	(153	)	$	—	$	(16,686	)	$	6,173
Private label residential mortgage-backed securities	90,083			2,203			763			9,498			68,724		(54,690		)	14,021		(29,305		)	101,297
Private label commercial mortgage-backed securities	43,268			469			(3,596		)	8,654			6,661		(37,665		)	—		(5,444		)	12,347
Commercial mortgage loans	61,129			921			419			1,957			78,333		(34,458		)	—		—			108,301
Residential mortgage loans	84,290			(599		)	1,602			3,536			140,535		(46,892		)	—		—			182,472
Collateralized loan obligations	44,956			(6,833		)	2,233			2,606			71,338		(76,775		)	—		(12,614		)	24,911
Consumer loans and asset-backed securities backed by consumer loans	107,157			(13,754		)	855			(171		)	129,525		(88,354		)	—		—			135,258
Corporate debt	25,004			252			527			223			97,466		(99,525		)	—		—			23,947
Real estate owned	3,349			—			411			322			25,516		(3,321		)	—		—			26,277
Corporate equity investments	29,392			—			2,347			(512		)	16,417		(10,179		)	—		—			37,465
Total investments, at fair value	518,250			(26,697		)	4,605			25,948			638,382		(452,012		)	14,021		(64,049		)	658,448
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	5,326			—			270			(1,202		)	137		(1,391		)	—		—			3,140
Total return swaps	155			—			224			(155		)	1		(225		)	—		—			—
Warrants	106			—			(100		)	(6		)	—		—			—		—			—
Total financial derivatives– assets, at fair value	5,587			—			394			(1,363		)	138		(1,616		)	—		—			3,140
Total investments and financial derivatives–assets, at fair value	$	523,837		$	(26,697	)	$	4,999		$	24,585		$	638,520	$	(453,628	)	$	14,021	$	(64,049	)	$	661,588
Liabilities:
Financial derivatives– liabilities, at fair value-
Credit default swaps on asset-backed securities	$	(256	)	$	—		$	(871	)	$	939		$	736	$	(548	)	$	—	$	—		$	—
Total return swaps	(249		)	—			(554		)	249			572		(18		)	—		—			—
Total financial derivatives– liabilities, at fair value	(505		)	—			(1,425		)	1,188			1,308		(566		)	—		—			—



(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 December 31, 2017
Other secured borrowings, at fair value:
Other secured borrowings, at fair value	$	—		$	—	$	—		$	—	$	—	$	(125,105	)	$	—	$	—	$	(125,105	)
Total other secured borrowings, at fair value	—			—		—			—		—		(125,105		)	—		—		(125,105		)
Total financial derivatives– liabilities and other secured borrowings at fair value	$	(505	)	$	—	$	(1,425	)	$	1,188	$	1,308	$	(125,671	)	$	—	$	—	$	(125,105	)

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, 2017, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2017. For Level 3 financial instruments held by the Company at December 31, 2017, change in net unrealized gain (loss) of $10.6 million and $(1.2) million, for the year ended December 31, 2017 relate to investments and financial derivatives–assets, respectively.

At December 31, 2017, the Company transferred $64.0 million of securities from Level 3 to Level 2 and $14.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details