Valuation (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2019:

Description	Level 1			Level 2			Level 3			Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—		$	1,541,508		$	23,499		$	1,565,007
Non-Agency RMBS	—			75,732			81,482			157,214
CMBS	—			27,206			12,368			39,574
CLOs	—			39,392			28,008			67,400
Asset-backed securities, backed by consumer loans	—			—			39,316			39,316
Corporate debt securities	—			—			3,182			3,182
Corporate equity securities	1,958			—			2,278			4,236
Loans, at fair value:
Residential mortgage loans	—			—			797,728			797,728
Commercial mortgage loans	—			—			260,626			260,626
Consumer loans	—			—			151,699			151,699
Corporate loans	—			—			15,790			15,790
Investment in unconsolidated entities, at fair value	—			—			70,435			70,435
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—			—			1,078			1,078
Credit default swaps on asset-backed indices	—			2,146			—			2,146
Credit default swaps on corporate bonds	—			41			—			41
Credit default swaps on corporate bond indices	—			5,060			—			5,060
Interest rate swaps	—			3,440			—			3,440
TBAs	—			142			—			142
Total return swaps	—			—			235			235
Futures	484			—			—			484
Forwards	—			114			—			114
Total assets	$	2,442		$	1,694,781		$	1,487,724		$	3,184,947
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(36,436	)	$	—		$	(36,436	)
Corporate debt securities	—			(473		)	—			(473		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(194		)	—			(194		)
Credit default swaps on corporate bonds	—			(186		)	—			(186		)
Credit default swaps on corporate bond indices	—			(11,185		)	—			(11,185		)
Interest rate swaps	—			(12,115		)	—			(12,115		)
TBAs	—			(904		)	—			(904		)
Futures	(67		)	—			—			(67		)
Total return swaps	—			(707		)	(214		)	(921		)
Other secured borrowings, at fair value	—			—			(438,629		)	(438,629		)
Total liabilities	$	(67	)	$	(62,200	)	$	(438,843	)	$	(501,110	)

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	)

Schedule of Financial Instruments

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2019:

(In thousands)	Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	33,251	$	33,251
Restricted cash	175		175
Due from brokers	66,162		66,162
Reverse repurchase agreements	36,473		36,473
Liabilities:
Repurchase agreements	2,056,422		2,056,422
Other secured borrowings	91,151		91,151
Senior notes, net	86,952		85,232
Due to brokers	5,978		5,978

Cash and cash equivalents includes cash held in an interest bearing overnight account, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. The Senior notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. As of September 30, 2019, the estimated fair value of the Company's Senior notes was based on a third-party valuation.

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 September 30, 2019:

	Fair Value			Valuation  Technique	Unobservable Input	Range						Weighted Average
Description						Min			Max
	(In thousands)
Non-Agency RMBS	$	29,780		Market Quotes	Non Binding Third-Party Valuation	$	13.58		$	164.58		$	77.94
CMBS	11,240			Market Quotes	Non Binding Third-Party Valuation	5.75			82.38			66.76
CLOs	24,894			Market Quotes	Non Binding Third-Party Valuation	29.86			298.56			72.29
Agency interest only RMBS	3,257			Market Quotes	Non Binding Third-Party Valuation	3.03			19.27			9.47
Total return swaps - asset	235			Market Quotes	Non Binding Third-Party Valuation	53.50			95.00			88.56
Total return swaps - liability	(214		)	Market Quotes	Non Binding Third-Party Valuation	53.50			54.50			54.00
Corporate debt and equity	2,670			Market Quotes	Non Binding Third-Party Valuation	97.25			100.50			98.65
Corporate loans	5,790			Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
Non-Agency RMBS	51,702			Discounted Cash Flows	Yield	3.5		%	57.8		%	13.8		%
					Projected Collateral Prepayments	29.7		%	72.0		%	58.5		%
					Projected Collateral Losses	0.2		%	11.7		%	4.8		%
					Projected Collateral Recoveries	0.0		%	22.4		%	7.6		%
					Projected Collateral Scheduled Amortization	16.3		%	52.2		%	29.1		%
												100.0		%
Non-Agency CMBS	1,128			Discounted Cash Flows	Yield	25.0		%	25.0		%	25.0		%
					Projected Collateral Losses	1.0		%	1.0		%	1.0		%
					Projected Collateral Recoveries	3.1		%	3.1		%	3.1		%
					Projected Collateral Scheduled Amortization	95.9		%	95.9		%	95.9		%
												100.0		%
Corporate debt and equity	2,790			Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
CLOs	3,114			Discounted Cash Flows	Yield	15.7		%	24.0		%	19.6		%
					Projected Collateral Prepayments	78.2		%	83.0		%	80.5		%
					Projected Collateral Losses	10.4		%	15.6		%	14.0		%
					Projected Collateral Recoveries	4.5		%	6.2		%	5.5		%
												100.0		%
ABS backed by consumer loans	39,316			Discounted Cash Flows	Yield	12.0		%	24.5		%	12.2		%
					Projected Collateral Prepayments	0.0		%	11.4		%	9.5		%
					Projected Collateral Losses	0.9		%	48.0		%	14.2		%
					Projected Collateral Scheduled Amortization	52.0		%	98.7		%	76.3		%
												100.0		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Consumer loans	$	151,699		Discounted Cash Flows	Yield	7.0	%	10.0	%	8.1	%
					Projected Collateral Prepayments	0.0	%	43.9	%	15.3	%
					Projected Collateral Losses	3.3	%	86.4	%	8.2	%
					Projected Collateral Scheduled Amortization	13.6	%	87.2	%	76.5	%
										100.0	%
Corporate loans	10,000			Discounted Cash Flows	Yield	15.0	%	18.0	%	16.5	%
Performing commercial mortgage loans	222,219			Discounted Cash Flows	Yield	8.0	%	12.6	%	8.9	%
Non-performing commercial mortgage loans	38,407			Discounted Cash Flows	Yield	10.3	%	16.2	%	11.2	%
					Months to Resolution	1.0		5.0		2.5
Performing and re-performing residential mortgage loans	316,804			Discounted Cash Flows	Yield	3.3	%	58.1	%	5.6	%
Securitized residential mortgage loans(1)(2)	466,297			Discounted Cash Flows	Yield	3.6	%	10.0	%	4.9	%
Non-performing residential mortgage loans	14,628			Discounted Cash Flows	Yield	1.4	%	37.6	%	10.4	%
					Months to Resolution	0.0		115.8		53.9
Credit default swaps on asset-backed securities	1,078			Net Discounted Cash Flows	Projected Collateral Prepayments	33.7	%	40.2	%	35.5	%
					Projected Collateral Losses	10.8	%	15.7	%	11.8	%
					Projected Collateral Recoveries	15.2	%	19.9	%	18.5	%
					Projected Collateral Scheduled Amortization	30.7	%	35.6	%	34.2	%
										100.0	%
Agency interest only RMBS	20,242			Option Adjusted Spread ("OAS")	LIBOR OAS(3)	93		3,527		953
					Projected Collateral Prepayments	13.3	%	100.0	%	80.4	%
					Projected Collateral Scheduled Amortization	0.0	%	86.7	%	19.6	%
										100.0	%
Investment in unconsolidated entities	34,715			Enterprise Value	Equity Price-to-Book(4)	1.0x		2.5x		1.3x
Investment in unconsolidated entities	3,000			Recent Transactions	Transaction Price	n/a		n/a		n/a
Investment in unconsolidated entities	32,720			Discounted Cash Flows	Yield(5)	4.6%		15.6%		9.7%
Other secured borrowings, at fair value(1)	(438,629		)	Discounted Cash Flows	Yield	3.2%		10.0%		4.4%

(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) Includes $1.3 million of non-performing securitized residential mortgage loans.

(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 unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole.

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					Min			Max
	(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						Min		Max
	(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 three- and nine-month periods ended September 30, 2019 (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 September 30, 2019

(In thousands)	Beginning Balance as of  June 30, 2019			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  September 30, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	11,034		$	(1,164	)	$	(621	)	$	696		$	13,254	$	—		$	737	$	(437	)	$	23,499
Non-Agency RMBS	96,790			(121		)	7,836			(6,457		)	6,483		(21,457		)	5,808		(7,400		)	81,482
CMBS	6,278			25			374			(302		)	6,815		(1,474		)	652		—			12,368
CLOs	17,222			(184		)	1,158			184			—		(1,139		)	15,287		(4,520		)	28,008
Asset-backed securities backed by consumer loans	25,019			(611		)	(100		)	(320		)	18,638		(3,310		)	—		—			39,316
Corporate debt securities	4,081			—			(583		)	142			6,425		(6,883		)	—		—			3,182
Corporate equity securities	1,791			—			(768		)	(61		)	1,316		—			—		—			2,278
Loans, at fair value:
Residential mortgage loans	663,880			(2,241		)	(400		)	3,559			191,512		(58,582		)	—		—			797,728
Commercial mortgage loans	260,034			(52		)	(1		)	507			32,426		(32,288		)	—		—			260,626
Consumer loans	162,609			(6,474		)	(1,055		)	28			33,101		(36,510		)	—		—			151,699
Corporate loans	5,000			—			—			—			10,790		—			—		—			15,790
Investment in unconsolidated entities, at fair value	69,676			—			(139		)	2,935			9,643		(11,680		)	—		—			70,435
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	1,090			—			16			(12		)	10		(26		)	—		—			1,078
Total return swaps	87			—			(15		)	148			—		15			—		—			235
Total assets, at fair value	$	1,324,591		$	(10,822	)	$	5,702		$	1,047		$	330,413	$	(173,334	)	$	22,484	$	(12,357	)	$	1,487,724
Liabilities:
Financial derivatives–assets, at fair value-
Total return swaps	$	—		$	—		$	48		$	(214	)	$	—	$	(48	)	$	—	$	—		$	(214	)
Other secured borrowings, at fair value	(475,816		)	—			—			(72		)	37,259		—			—		—			(438,629		)
Total liabilities, at fair value	$	(475,816	)	$	—		$	48		$	(286	)	$	37,259	$	(48	)	$	—	$	—		$	(438,843	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed 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 September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(4.7) million, $4.1 million, $3.3 million, $0.1 million, $(0.2) million, and $(0.1) million, for the three-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At September 30, 2019, the Company transferred $12.4 million of assets from Level 3 to Level 2 and $22.5 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.

Nine-Month Period Ended September 30, 2019

(In thousands)	Beginning Balance as of  January 1, 2019			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  September 30, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	7,293		$	(2,228	)	$	(1,228	)	$	1,430		$	14,854	$	(463	)	$	4,708	$	(867	)	$	23,499
Non-Agency RMBS	91,291			104			7,187			(4,482		)	10,239		(27,514		)	14,633		(9,976		)	81,482
CMBS	803			(16		)	76			(73		)	7,937		(221		)	3,862		—			12,368
CLOs	14,915			(670		)	(536		)	1,889			816		(1,125		)	15,287		(2,568		)	28,008
Asset-backed securities backed by consumer loans	22,800			(1,580		)	(765		)	537			28,189		(9,865		)	—		—			39,316
Corporate debt securities	6,318			22			(928		)	65			9,257		(11,552		)	—		—			3,182
Corporate equity securities	1,534			—			(910		)	337			1,317		—			—		—			2,278
Loans, at fair value:
Residential mortgage loans	496,829			(4,515		)	1,554			7,717			452,958		(156,815		)	—		—			797,728
Commercial mortgage loans	195,301			1,087			1,412			(1,844		)	128,839		(64,169		)	—		—			260,626
Consumer loans	183,961			(22,432		)	(4,565		)	2,726			103,983		(111,974		)	—		—			151,699
Corporate loan	—			—			—			—			15,790		—			—		—			15,790
Investment in unconsolidated entities, at fair value	72,298			276			1,545			5,125			40,097		(48,906		)	—		—			70,435
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	1,472			—			419			(394		)	18		(437		)	—		—			1,078
Total return swaps	—			—			1			235			—		(1		)	—		—			235
Total assets, at fair value	$	1,094,815		$	(29,952	)	$	3,262		$	13,268		$	814,294	$	(433,042	)	$	38,490	$	(13,411	)	$	1,487,724
Liabilities:
Financial derivatives–assets, at fair value-
Total return swaps	$	—		$	—		$	48		$	(214	)	$	—	$	(48	)	$	—	$	—		$	(214	)
Other secured borrowings, at fair value	(297,948		)	—			—			(32		)	78,887		(219,536		)	—		—			(438,629		)
Total liabilities, at fair value	$	(297,948	)	$	—		$	48		$	(246	)	$	78,887	$	(219,584	)	$	—	$	—		$	(438,843	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed 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 September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(0.4) million, $10.2 million, $2.4 million, $(0.2) million, $(0.2) million, and $(32) thousand, for the nine-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At September 30, 2019, the Company transferred $13.4 million of assets from Level 3 to Level 2 and $38.5 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.

The tables below include a roll-forward of the Company's financial instruments for the three- and nine-month period ended September 30, 2018 (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 September 30, 2018

(In thousands)	Ending Balance as of  June 30, 2018			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  September 30, 2018
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	5,889		$	(509	)	$	(24	)	$	(67	)	$	773	$	(209	)	$	3,981	$	(1,055	)	$	8,779
Private label residential mortgage-backed securities	96,396			(206		)	335			(1,181		)	48,860		(16,726		)	3,942		(10,146		)	121,274
Private label commercial mortgage-backed securities	8,761			4			198			494			—		(2,415		)	—		(6,059		)	983
Commercial mortgage loans	104,951			(300		)	252			522			36,571		(16,188		)	—		—			125,808
Residential mortgage loans	293,472			(513		)	25			(400		)	117,101		(17,225		)	—		—			392,460
Collateralized loan obligations	6,109			302			(25		)	(491		)	24,115		(3,183		)	2,184		—			29,011
Consumer loans and asset-backed securities backed by consumer loans	199,254			(8,012		)	7,555			(7,615		)	54,503		(41,181		)	—		—			204,504
Corporate debt	8,850			13			87			(280		)	6,780		(7,769		)	—		—			7,681
Secured notes	11,126			405			—			(466		)	—		—			—		—			11,065
Real estate owned	34,339			—			(81		)	331			475		(120		)	—		—			34,944
Corporate equity investments	44,768			—			487			(377		)	—		(5,723		)	—		—			39,155
Total investments, at fair value	813,915			(8,816		)	8,809			(9,530		)	289,178		(110,739		)	10,107		(17,260		)	975,664
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	2,591			—			(986		)	1,307			27		(1,424		)	—		—			1,515
Total financial derivatives– assets, at fair value	2,591			—			(986		)	1,307			27		(1,424		)	—		—			1,515
Total investments and financial derivatives–assets, at fair value	$	816,506		$	(8,816	)	$	7,823		$	(8,223	)	$	289,205	$	(112,163	)	$	10,107	$	(17,260	)	$	977,179
Liabilities:
Other secured borrowings, at fair value	$	(101,100	)	$	—		$	—		$	(358	)	$	11,889	$	—		$	—	$	—		$	(89,569	)
Total other secured borrowings, at fair value	$	(101,100	)	$	—		$	—		$	(358	)	$	11,889	$	—		$	—	$	—		$	(89,569	)

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 September 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2018. For Level 3 financial instruments held by the Company at September 30, 2018, change in net unrealized gain (loss) of $(2.4) million, $(0.1) million, and $(0.4) million, for the three-month period ended September 30, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At September 30, 2018, the Company transferred $17.3 million of securities from Level 3 to Level 2 and $10.1 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.

Nine-Month Period Ended September 30, 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  September 30, 2018
Assets:
Investments, at fair value-
Agency residential mortgage-backed securities	$	6,173		$	(1,711	)	$	34		$	206		$	2,751	$	(1,166	)	$	3,981	$	(1,489	)	$	8,779
Private label residential mortgage-backed securities	101,297			1			2,836			(2,392		)	76,816		(43,723		)	7,139		(20,700		)	121,274
Private label commercial mortgage-backed securities	12,347			(225		)	1,815			2,111			1,480		(16,305		)	—		(240		)	983
Commercial mortgage loans	108,301			545			1,135			971			60,691		(45,835		)	—		—			125,808
Residential mortgage loans	182,472			(1,692		)	608			(1,319		)	266,925		(54,534		)	—		—			392,460
Collateralized loan obligations	24,911			345			826			(991		)	47,837		(30,309		)	—		(13,608		)	29,011
Consumer loans and asset-backed securities backed by consumer loans	135,258			(20,864		)	8,506			(30		)	179,706		(98,072		)	—		—			204,504
Corporate debt	23,947			—			235			(709		)	7,684		(16,419		)	—		(7,057		)	7,681
Secured notes	—			497			—			(700		)	11,268		—			—		—			11,065
Real estate owned	26,277			—			(527		)	945			10,045		(1,796		)	—		—			34,944
Corporate equity investments	37,465			—			1,669			3,948			9,078		(13,005		)	—		—			39,155
Total investments, at fair value	658,448			(23,104		)	17,137			2,040			674,281		(321,164		)	11,120		(43,094		)	975,664
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	3,140			—			(739		)	759			72		(1,717		)	—		—			1,515
Total financial derivatives– assets, at fair value	3,140			—			(739		)	759			72		(1,717		)	—		—			1,515
Total investments and financial derivatives–assets, at fair value	$	661,588		$	(23,104	)	$	16,398		$	2,799		$	674,353	$	(322,881	)	$	11,120	$	(43,094	)	$	977,179
Liabilities:
Other secured borrowings, at fair value	$	(125,105	)	$	—		$	—		$	840		$	34,696	$	—		$	—	$	—		$	(89,569	)
Total other secured borrowings, at fair value	$	(125,105	)	$	—		$	—		$	840		$	34,696	$	—		$	—	$	—		$	(89,569	)

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 September 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2018. For Level 3 financial instruments held by the Company at September 30, 2018, change in net unrealized gain (loss) of $1.8 million, $(0.6) million, and $0.8 million, for the nine-month period ended September 30, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At September 30, 2018, the Company transferred $43.1 million of securities from Level 3 to Level 2 and $11.1 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.