Valuation

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Valuation

Valuation

The tables below reflect 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 March 31, 2020 and December 31, 2019:

March 31, 2020:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	995,020	$	20,981	$	1,016,001
Non-Agency RMBS	—		68,506		94,197		162,703
CMBS	—		55,539		20,276		75,815
CLOs	—		125,469		43,804		169,273
Asset-backed securities, backed by consumer loans	—		—		54,627		54,627
Corporate debt securities	—		—		610		610
Corporate equity securities	—		—		712		712
U.S. Treasury securities	—		1,654		—		1,654
Loans, at fair value:
Residential mortgage loans	—		—		939,372		939,372
Commercial mortgage loans	—		—		303,300		303,300
Consumer loans	—		—		194,803		194,803
Corporate loans	—		—		6,114		6,114
Investment in unconsolidated entities, at fair value	—		—		65,397		65,397
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		353		353
Credit default swaps on asset-backed indices	—		14,276		—		14,276
Credit default swaps on corporate bonds	—		1,202		—		1,202
Credit default swaps on corporate bond indices	—		3,732		—		3,732
Interest rate swaps	—		8,592		—		8,592
TBAs	—		551		—		551
Total return swaps	—		—		37		37
Options	—		2,658		—		2,658
Warrants	—		126		—		126
Futures	37		—		—		37
Forwards	—		188		—		188
Total assets	$	37	$	1,277,513	$	1,744,583	$	3,022,133

Description	Level 1			Level 2			Level 3			Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(11,872	)	$	—		$	(11,872	)
Corporate debt securities	—			(1,419		)	—			(1,419		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(162		)	—			(162		)
Credit default swaps on corporate bonds	—			(62		)	—			(62		)
Credit default swaps on corporate bond indices	—			(1,922		)	—			(1,922		)
Interest rate swaps	—			(32,286		)	—			(32,286		)
TBAs	—			(6,391		)	—			(6,391		)
Futures	(6,049		)	—			—			(6,049		)
Forwards	—			(61		)	—			(61		)
Total return swaps	—			—			(839		)	(839		)
Other secured borrowings, at fair value	—			—			(549,668		)	(549,668		)
Total liabilities	$	(6,049	)	$	(54,175	)	$	(550,507	)	$	(610,731	)

December 31, 2019:

Description	Level 1			Level 2			Level 3			Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—		$	1,917,059		$	19,904		$	1,936,963
Non-Agency RMBS	—			76,969			89,581			166,550
CMBS	—			95,063			29,805			124,868
CLOs	—			125,464			44,979			170,443
Asset-backed securities, backed by consumer loans	—			—			48,610			48,610
Corporate debt securities	—			—			1,113			1,113
Corporate equity securities	—			—			1,394			1,394
Loans, at fair value:
Residential mortgage loans	—			—			932,203			932,203
Commercial mortgage loans	—			—			274,759			274,759
Consumer loans	—			—			186,954			186,954
Corporate loans	—			—			18,510			18,510
Investment in unconsolidated entities, at fair value	—			—			71,850			71,850
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—			—			993			993
Credit default swaps on asset-backed indices	—			3,319			—			3,319
Credit default swaps on corporate bonds	—			2			—			2
Credit default swaps on corporate bond indices	—			5,599			—			5,599
Interest rate swaps	—			5,468			—			5,468
TBAs	—			596			—			596
Total return swaps	—			—			620			620
Futures	148			—			—			148
Forwards	—			43			—			43
Total assets	$	148		$	2,229,582		$	1,721,275		$	3,951,005
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(72,938	)	$	—		$	(72,938	)
Corporate debt securities	—			(471		)	—			(471		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(250		)	—			(250		)
Credit default swaps on corporate bonds	—			(1,693		)	—			(1,693		)
Credit default swaps on corporate bond indices	—			(14,524		)	—			(14,524		)
Interest rate swaps	—			(8,719		)	—			(8,719		)
TBAs	—			(1,012		)	—			(1,012		)
Futures	(45		)	—			—			(45		)
Forwards	—			(169		)	—			(169		)
Total return swaps	—			(773		)	(436		)	(1,209		)
Other secured borrowings, at fair value	—			—			(594,396		)	(594,396		)
Total liabilities	$	(45	)	$	(100,549	)	$	(594,832	)	$	(695,426	)

The following tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2020 and December 31, 2019:

March 31, 2020:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	60,935	Market Quotes	Non Binding Third-Party Valuation	$	1.75		$	291.19		$	99.35
CMBS	15,245		Market Quotes	Non Binding Third-Party Valuation	4.78			59.70			44.50
CLOs	34,470		Market Quotes	Non Binding Third-Party Valuation	20.00			310.00			67.98
Agency interest only RMBS	9,347		Market Quotes	Non Binding Third-Party Valuation	0.76			23.12			9.96
Corporate loans	6,114		Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
ABS backed by consumer loans	126		Market Quotes	Non Binding Third-Party Valuation	94.80			95.87			95.37
Non-Agency RMBS	33,262		Discounted Cash Flows	Yield	1.6		%	49.5		%	13.2		%
				Projected Collateral Prepayments	0.6		%	74.5		%	49.1		%
				Projected Collateral Losses	0.0		%	22.2		%	6.3		%
				Projected Collateral Recoveries	0.0		%	27.7		%	8.8		%
				Projected Collateral Scheduled Amortization	14.2		%	85.9		%	35.8		%
											100.0		%
Non-Agency CMBS	5,031		Discounted Cash Flows	Yield	10.2		%	31.8		%	15.5		%
				Projected Collateral Losses	0.0		%	0.2		%	0.2		%
				Projected Collateral Recoveries	0.0		%	1.8		%	1.7		%
				Projected Collateral Scheduled Amortization	98.0		%	100.0		%	98.1		%
											100.0		%
Corporate debt and equity	1,322		Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
CLOs	9,334		Discounted Cash Flows	Yield	14.4		%	16.7		%	15.0		%
				Projected Collateral Prepayments	63.5		%	63.5		%	63.5		%
				Projected Collateral Losses	24.8		%	24.8		%	24.8		%
				Projected Collateral Recoveries	11.0		%	11.0		%	11.0		%
				Projected Collateral Scheduled Amortization	0.7		%	0.7		%	0.7		%
											100.0		%
ABS backed by consumer loans	54,501		Discounted Cash Flows	Yield	14.0		%	19.9		%	14.0		%
				Projected Collateral Prepayments	0.0		%	9.9		%	7.7		%
				Projected Collateral Losses	0.9		%	20.2		%	15.6		%
				Projected Collateral Scheduled Amortization	70.3		%	99.1		%	76.7		%
											100.0		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Consumer loans	$	194,803		Discounted Cash Flows	Yield	9.0	%	12.0	%	10.1	%
					Projected Collateral Prepayments	0.0	%	41.5	%	14.0	%
					Projected Collateral Losses	1.8	%	86.6	%	10.6	%
					Projected Collateral Scheduled Amortization	13.4	%	98.2	%	75.4	%
										100.0	%
Performing commercial mortgage loans	292,551			Discounted Cash Flows	Yield	7.0	%	12.3	%	8.5	%
Non-performing commercial mortgage loans	10,749			Discounted Cash Flows	Yield	14.4	%	14.4	%	14.4	%
					Months to Resolution	8.8		8.8		8.8
Performing and re-performing residential mortgage loans	347,346			Discounted Cash Flows	Yield	1.7	%	20.9	%	7.9	%
Securitized residential mortgage loans(1)(2)	581,181			Discounted Cash Flows	Yield	3.7	%	4.1	%	3.9	%
Non-performing residential mortgage loans	10,845			Discounted Cash Flows	Yield	3.9	%	24.6	%	11.6	%
					Months to Resolution	0.0		66.0		21.1
Total return swaps—asset	37			Discounted Cash Flows	Yield	10.9	%	10.9	%	10.9	%
Credit default swaps on asset-backed securities	353			Net Discounted Cash Flows	Projected Collateral Prepayments	34.3	%	43.0	%	40.8	%
					Projected Collateral Losses	12.0	%	15.0	%	12.7	%
					Projected Collateral Recoveries	8.9	%	16.5	%	10.5	%
					Projected Collateral Scheduled Amortization	35.6	%	37.2	%	36.0	%
										100.0	%
Agency interest only RMBS	11,634			Option Adjusted Spread ("OAS")	LIBOR OAS(3)(4)	318		9,325		2,263
					Projected Collateral Prepayments	62.5	%	94.0	%	77.3	%
					Projected Collateral Scheduled Amortization	6.0	%	37.5	%	22.7	%
										100.0	%
Investment in unconsolidated entities	39,436			Enterprise Value	Equity Price-to-Book(5)	0.9x		4.0x		1.4x
Investment in unconsolidated entities	25,961			Discounted Cash Flows	Yield(6)	7.4%		20.3%		11.6%
Other secured borrowings, at fair value(1)	(549,668		)	Discounted Cash Flows	Yield	2.1%		2.5%		2.3%
Total return swaps—liability	(839		)	Discounted Cash Flows	Yield	15.9%		15.9%		15.9%

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

(2) Includes $4.0 million of non-performing securitized residential mortgage loans.

(3) Shown in basis points.

(4) For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.0 million. Including these securities the weighted average was 2,007 basis points.

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

(6) 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.

December 31, 2019:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	38,754	Market Quotes	Non Binding Third-Party Valuation	$	6.68		$	144.79		$	86.21
CMBS	29,630		Market Quotes	Non Binding Third-Party Valuation	5.08			80.72			64.73
CLOs	38,220		Market Quotes	Non Binding Third-Party Valuation	40.00			96.00			73.98
Agency interest only RMBS	3,753		Market Quotes	Non Binding Third-Party Valuation	1.36			16.61			5.11
Corporate loans	6,010		Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
ABS backed by consumer loans	139		Market Quotes	Non Binding Third-Party Valuation	95.47			96.78			96.12
Non-Agency RMBS	50,827		Discounted Cash Flows	Yield	3.3		%	60.9		%	10.0		%
				Projected Collateral Prepayments	0.8		%	72.0		%	49.3		%
				Projected Collateral Losses	0.0		%	22.7		%	6.6		%
				Projected Collateral Recoveries	0.0		%	32.4		%	6.9		%
				Projected Collateral Scheduled Amortization	16.9		%	92.9		%	37.2		%
											100.0		%
Non-Agency CMBS	175		Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
				Projected Collateral Prepayments	100.0		%	100.0		%	100.0		%
											100.0		%
Corporate debt and equity	2,507		Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
CLOs	6,759		Discounted Cash Flows	Yield	14.0		%	41.9		%	26.2		%
				Projected Collateral Prepayments	48.5		%	84.6		%	72.5		%
				Projected Collateral Losses	11.7		%	36.4		%	19.9		%
				Projected Collateral Recoveries	3.7		%	15.1		%	7.6		%
											100.0		%
ABS backed by consumer loans	48,471		Discounted Cash Flows	Yield	12.0		%	20.2		%	12.1		%
				Projected Collateral Prepayments	0.0		%	11.2		%	9.7		%
				Projected Collateral Losses	0.6		%	18.0		%	15.4		%
				Projected Collateral Scheduled Amortization	71.3		%	99.4		%	74.9		%
											100.0		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Consumer loans	$	186,954		Discounted Cash Flows	Yield	7.0	%	10.0	%	8.1	%
					Projected Collateral Prepayments	0.0	%	44.2	%	16.0	%
					Projected Collateral Losses	3.0	%	84.5	%	8.6	%
					Projected Collateral Scheduled Amortization	15.5	%	95.8	%	75.4	%
										100.0	%
Corporate loans	12,500			Discounted Cash Flows	Yield	15.0	%	18.0	%	16.8	%
Performing commercial mortgage loans	248,214			Discounted Cash Flows	Yield	7.7	%	16.6	%	8.8	%
Non-performing commercial mortgage loans	26,545			Discounted Cash Flows	Yield	9.8	%	14.7	%	12.4	%
					Months to Resolution	1.1		23.0		11.4
Performing and re-performing residential mortgage loans	289,672			Discounted Cash Flows	Yield	1.6	%	19.5	%	6.2	%
Securitized residential mortgage loans(1)(2)	628,415			Discounted Cash Flows	Yield	3.2	%	4.3	%	3.6	%
Non-performing residential mortgage loans	14,116			Discounted Cash Flows	Yield	1.0	%	26.6	%	9.1	%
					Months to Resolution	1.1		165.4		54.6
Total return swaps—asset	620			Discounted Cash Flows	Yield	8.5	%	27.7	%	11.5	%
Credit default swaps on asset-backed securities	993			Net Discounted Cash Flows	Projected Collateral Prepayments	35.4	%	42.0	%	37.3	%
					Projected Collateral Losses	4.2	%	12.4	%	10.2	%
					Projected Collateral Recoveries	10.0	%	18.2	%	15.3	%
					Projected Collateral Scheduled Amortization	36.2	%	41.5	%	37.2	%
										100.0	%
Agency interest only RMBS	16,151			Option Adjusted Spread ("OAS")	LIBOR OAS(3)	93		3,527		701
					Projected Collateral Prepayments	12.3	%	100.0	%	72.3	%
					Projected Collateral Scheduled Amortization	0.0	%	87.7	%	27.7	%
										100.0	%
Investment in unconsolidated entities	41,392			Enterprise Value	Equity Price-to-Book(4)	1.0x		4.7x		1.7x
Investment in unconsolidated entities	30,458			Discounted Cash Flows	Yield(5)	3.7%		14.8%		9.9%
Other secured borrowings, at fair value(1)	(594,396		)	Discounted Cash Flows	Yield	2.9%		4.0%		3.3%
Total return swaps—liability	(436		)	Discounted Cash Flows	Yield	27.7%		27.7%		27.7%

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

(2) Includes $1.5 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.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the

collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.

The tables below includes a roll-forward of the Company's financial instruments for the three-month periods ended March 31, 2020 and 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended March 31, 2020

(In thousands)	Beginning Balance as of  December 31, 2019			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/Payments(1)		Sales/Issuances(2)			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of  March 31, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	19,904		$	(1,822	)	$	(1	)	$	2,807		$	5,259	$	—		$	1,088	$	(6,254	)	$	20,981
Non-Agency RMBS	89,581			226			(136		)	(11,533		)	33,950		(14,395		)	3,659		(7,155		)	94,197
CMBS	29,805			207			1,386			(11,193		)	31,025		(28,539		)	4,071		(6,486		)	20,276
CLOs	44,979			(318		)	(21		)	(20,261		)	22,760		54			6,325		(9,714		)	43,804
Asset-backed securities backed by consumer loans	48,610			(1,044		)	(150		)	(2,360		)	16,271		(6,700		)	—		—			54,627
Corporate debt securities	1,113			—			—			(96		)	10		(417		)	—		—			610
Corporate equity securities	1,394			—			—			(987		)	305		—			—		—			712
Loans, at fair value:
Residential mortgage loans	932,203			(458		)	205			(24,323		)	131,070		(99,325		)	—		—			939,372
Commercial mortgage loans	274,759			(1		)	860			(328		)	87,567		(59,557		)	—		—			303,300
Consumer loans	186,954			(7,470		)	26			(5,751		)	61,100		(40,056		)	—		—			194,803
Corporate loan	18,510			—			—			—			104		(12,500		)	—		—			6,114
Investments in unconsolidated entities, at fair value	71,850			—			—			(6,497		)	12,283		(12,239		)	—		—			65,397
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	993			—			(994		)	917			5		(568		)	—		—			353
Total return swaps	620			—			191			(583		)	—		(191		)	—		—			37
Total assets, at fair value	$	1,721,275		$	(10,680	)	$	1,366		$	(80,188	)	$	401,709	$	(274,433	)	$	15,143	$	(29,609	)	$	1,744,583
Liabilities:
Financial derivatives–assets, at fair value-
Total return swaps	$	(436	)	$	—		$	31		$	(403	)	$	10	$	(41	)	$	—	$	—		$	(839	)
Other secured borrowings, at fair value	(594,396		)	—			—			24			44,704		—			—		—			(549,668		)
Total liabilities, at fair value	$	(594,832	)	$	—		$	31		$	(379	)	$	44,714	$	(41	)	$	—	$	—		$	(550,507	)

(1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

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 March 31, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2020. For Level 3 financial instruments held by the Company at March 31, 2020, change in net unrealized gain (loss) of $(50.9) million, $(30.4) million, $(6.7) million, $0.5 million, $(0.8) million, and $24 thousand, for the three-month period ended March 31, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At March 31, 2020, the Company transferred $29.6 million of assets from Level 3 to Level 2 and $15.1 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.

Three-Month Period Ended March 31, 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  March 31, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	7,293		$	(774	)	$	(594	)	$	189		$	6	$	—		$	842	$	(573	)	$	6,389
Non-Agency RMBS	91,291			63			(101		)	(535		)	15,546		(19,436		)	10,492		(2,650		)	94,670
CMBS	803			(14		)	—			(8		)	—		—			4,356		—			5,137
CLOs	14,915			(406		)	(83		)	49			8,304		—			—		(1,341		)	21,438
Asset-backed securities backed by consumer loans	22,800			(609		)	(512		)	762			4,940		(3,273		)	—		—			24,108
Corporate debt securities	6,318			16			(1		)	(77		)	384		(903		)	—		—			5,737
Corporate equity securities	1,530			—			—			(65		)	—		—			—		—			1,465
Loans, at fair value:
Residential mortgage loans	496,829			(927		)	(136		)	1,901			157,602		(72,017		)	—		—			583,252
Commercial mortgage loans	195,301			306			—			(333		)	48,857		(4,508		)	—		—			239,623
Consumer loans	183,961			(8,572		)	(2,055		)	1,842			54,256		(37,317		)	—		—			192,115
Investment in unconsolidated entities, at fair value	72,302			276			1,560			(39		)	13,428		(29,375		)	—		—			58,152
Financial derivatives–assets, at fair value-
Credit default swaps on asset-backed securities	1,472			—			275			(239		)	2		(277		)	—		—			1,233
Total assets, at fair value	$	1,094,815		$	(10,641	)	$	(1,647	)	$	3,447		$	303,325	$	(167,106	)	$	15,690	$	(4,564	)	$	1,233,319
Liabilities:
Other secured borrowings, at fair value	$	(297,948	)	$	—		$	—		$	57		$	15,767	$	—		$	—	$	—		$	(282,124	)
Total liabilities, at fair value	$	(297,948	)	$	—		$	—		$	57		$	15,767	$	—		$	—	$	—		$	(282,124	)

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 March 31, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2019. For Level 3 financial instruments held by the Company at March 31, 2019, change in net unrealized gain (loss) of $0.7 million, $3.4 million, $(2.1) million, $(0.2) million, and $57 thousand, for the three-month period ended March 31, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At March 31, 2019, the Company transferred $4.6 million of assets from Level 3 to Level 2 and $15.7 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 following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:

	As of
	March 31, 2020				December 31, 2019
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	136,740	$	136,740	$	72,302	$	72,302
Restricted cash	175		175		175		175
Due from brokers	166,516		166,516		79,829		79,829
Reverse repurchase agreements	13,239		13,239		73,639		73,639
Liabilities:
Repurchase agreements	2,034,225		2,034,225		2,445,300		2,445,300
Other secured borrowings	177,855		177,855		150,334		150,334
Senior notes, net	77,400		85,363		88,365		85,298
Due to brokers	17,138		17,138		2,197		2,197

Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, 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 March 31, 2020 and December 31, 2019, the estimated fair value of the Company's Senior notes was based on a third-party valuation.