Valuation (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

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

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 June 30, 2020 and December 31, 2019:

June 30, 2020:

Description	Level 1			Level 2			Level 3			Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—		$	900,290		$	12,907		$	913,197
Non-Agency RMBS	—			71,700			128,607			200,307
CMBS	—			12,120			65,695			77,815
CLOs	—			17,247			136,466			153,713
Asset-backed securities, backed by consumer loans	—			—			47,941			47,941
Corporate debt securities	—			—			1,951			1,951
Corporate equity securities	—			—			1,084			1,084
Loans, at fair value:
Residential mortgage loans	—			—			948,447			948,447
Commercial mortgage loans	—			—			295,496			295,496
Consumer loans	—			—			166,681			166,681
Corporate loans	—			—			6,227			6,227
Investment in unconsolidated entities, at fair value	—			—			72,553			72,553
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—			—			353			353
Credit default swaps on asset-backed indices	—			7,790			—			7,790
Credit default swaps on corporate bond indices	—			1,535			—			1,535
Interest rate swaps	—			15,087			—			15,087
TBAs	—			1,766			—			1,766
Total return swaps	—			—			442			442
Warrants	—			31			—			31
Forwards	—			182			—			182
Total assets	$	—		$	1,027,748		$	1,884,850		$	2,912,598
Liabilities:
Securities sold short, at fair value:
Government debt	$	—		$	(31,012	)	$	—		$	(31,012	)
Corporate debt securities	—			(459		)	—			(459		)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—			(152		)	—			(152		)
Credit default swaps on corporate bonds	—			(56		)	—			(56		)
Credit default swaps on corporate bond indices	—			(1,346		)	—			(1,346		)
Interest rate swaps	—			(32,692		)	—			(32,692		)
TBAs	—			(158		)	—			(158		)
Futures	(382		)	—			—			(382		)
Total return swaps	—			—			(77		)	(77		)
Other secured borrowings, at fair value	—			—			(742,688		)	(742,688		)
Total liabilities	$	(382	)	$	(65,875	)	$	(742,765	)	$	(809,022	)

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	)

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 June 30, 2020 and December 31, 2019:

	As of
	June 30, 2020				December 31, 2019
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	146,531	$	146,531	$	72,302	$	72,302
Restricted cash	175		175		175		175
Due from brokers	56,702		56,702		79,829		79,829
Reverse repurchase agreements	31,427		31,427		73,639		73,639
Liabilities:
Repurchase agreements	1,294,549		1,294,549		2,445,300		2,445,300
Other secured borrowings	156,089		156,089		150,334		150,334
Senior notes, net	83,420		85,429		88,365		85,298
Due to brokers	11,266		11,266		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 June 30, 2020 and December 31, 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 tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2020 and December 31, 2019:

June 30, 2020:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	92,090	Market Quotes	Non Binding Third-Party Valuation	$	9.03		$	305.65		$	89.49
CMBS	54,282		Market Quotes	Non Binding Third-Party Valuation	4.13			91.23			50.98
CLOs	121,931		Market Quotes	Non Binding Third-Party Valuation	16.35			310.00			81.85
Agency interest only RMBS	4,662		Market Quotes	Non Binding Third-Party Valuation	0.68			15.24			1.75
Corporate loans	6,227		Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
ABS backed by consumer loans	116		Market Quotes	Non Binding Third-Party Valuation	95.27			96.83			96.24
Non-Agency RMBS	36,517		Discounted Cash Flows	Yield	0.2		%	57.0		%	11.3		%
				Projected Collateral Prepayments	0.4		%	79.3		%	56.4		%
				Projected Collateral Losses	0.0		%	24.7		%	5.5		%
				Projected Collateral Recoveries	0.0		%	27.1		%	10.5		%
				Projected Collateral Scheduled Amortization	14.7		%	87.6		%	27.6		%
											100.0		%
Non-Agency CMBS	11,413		Discounted Cash Flows	Yield	10.8		%	31.8		%	12.0		%
				Projected Collateral Losses	0.1		%	1.7		%	1.3		%
				Projected Collateral Recoveries	1.1		%	5.3		%	3.7		%
				Projected Collateral Scheduled Amortization	93.0		%	98.8		%	95.0		%
											100.0		%
Corporate debt and equity	3,035		Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
CLOs	14,535		Discounted Cash Flows	Yield	14.0		%	28.3		%	20.3		%
				Projected Collateral Prepayments	73.2		%	85.2		%	81.5		%
				Projected Collateral Losses	8.1		%	13.8		%	9.6		%
				Projected Collateral Recoveries	6.3		%	10.8		%	7.3		%
				Projected Collateral Scheduled Amortization	0.0		%	2.6		%	1.6		%
											100.0		%
ABS backed by consumer loans	47,825		Discounted Cash Flows	Yield	14.0		%	21.7		%	14.1		%
				Projected Collateral Prepayments	0.0		%	9.3		%	7.3		%
				Projected Collateral Losses	0.9		%	19.5		%	15.5		%
				Projected Collateral Scheduled Amortization	71.7		%	99.1		%	77.2		%
											100.0		%

(continued)	Fair Value			Valuation  Technique	Unobservable Input	Range				Weighted Average
Description						Min		Max
	(In thousands)
Consumer loans	$	166,681		Discounted Cash Flows	Yield	9.0	%	12.0	%	10.0	%
					Projected Collateral Prepayments	0.0	%	39.6	%	13.2	%
					Projected Collateral Losses	1.8	%	86.6	%	10.0	%
					Projected Collateral Scheduled Amortization	13.4	%	98.2	%	76.8	%
										100.0	%
Performing commercial mortgage loans	271,608			Discounted Cash Flows	Yield	6.4	%	11.0	%	8.0	%
Non-performing commercial mortgage loans	23,888			Discounted Cash Flows	Yield	7.8	%	13.2	%	11.7	%
					Months to Resolution	5.8		11.8		9.0
Performing and re-performing residential mortgage loans	113,443			Discounted Cash Flows	Yield	3.5	%	56.8	%	7.8	%
Securitized residential mortgage loans(1)(2)	806,114			Discounted Cash Flows	Yield	2.6	%	8.7	%	4.8	%
Non-performing residential mortgage loans	28,890			Discounted Cash Flows	Yield	3.7	%	28.4	%	9.9	%
					Months to Resolution	1.1		114.0		35.6
Total return swaps—asset	442			Discounted Cash Flows	Yield	10.6	%	10.6	%	10.6	%
Credit default swaps on asset-backed securities	353			Net Discounted Cash Flows	Projected Collateral Prepayments	34.4	%	40.9	%	39.4	%
					Projected Collateral Losses	12.5	%	13.0	%	12.8	%
					Projected Collateral Recoveries	8.6	%	16.9	%	12.0	%
					Projected Collateral Scheduled Amortization	35.0	%	38.8	%	35.8	%
										100.0	%
Agency interest only RMBS	8,245			Option Adjusted Spread ("OAS")	LIBOR OAS(3)(4)	8		3,992		968
					Projected Collateral Prepayments	2.4	%	90.6	%	69.7	%
					Projected Collateral Scheduled Amortization	9.4	%	97.6	%	30.3	%
										100.0	%
Investment in unconsolidated entities	72,553			Enterprise Value	Equity Price-to-Book(5)	1.0x		4.0x		1.3x
Other secured borrowings, at fair value(1)	(742,688		)	Discounted Cash Flows	Yield	2.5%		3.4%		2.7%
Total return swaps—liability	(77		)	Discounted Cash Flows	Yield	21.1%		21.1%		21.1%

(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 $34.1 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 $1.2 million. Including these securities the weighted average was 591 basis points.

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

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.

Fair Value Measurement Using Significant Unobservable Inputs

The tables below includes a roll-forward of the Company's financial instruments for the three- and six-month periods ended June 30, 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 June 30, 2020

(In thousands)	Beginning Balance as of  March 31, 2020			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  June 30, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	20,981		$	(1,525	)	$	(1	)	$	(592	)	$	3,448	$	—		$	393	$	(9,797	)	$	12,907
Non-Agency RMBS	94,197			413			444			3,282			26,811		(10,744		)	20,959		(6,755		)	128,607
CMBS	20,276			187			(2,253		)	3,199			2,966		(3,750		)	47,397		(2,327		)	65,695
CLOs	43,804			(236		)	(12,850		)	4,806			73		—			100,869		—			136,466
Asset-backed securities backed by consumer loans	54,627			(1,104		)	(46		)	(306		)	1,274		(6,504		)	—		—			47,941
Corporate debt securities	610			—			208			578			3,411		(2,856		)	—		—			1,951
Corporate equity securities	712			—			7			319			58		(12		)	—		—			1,084
Loans, at fair value:
Residential mortgage loans	939,372			(1,948		)	(781		)	15,660			70,163		(74,019		)	—		—			948,447
Commercial mortgage loans	303,300			97			(761		)	195			1,159		(8,494		)	—		—			295,496
Consumer loans	194,803			(7,901		)	(11		)	413			15,218		(35,841		)	—		—			166,681
Corporate loan	6,114			—			—			—			113		—			—		—			6,227
Investments in unconsolidated entities, at fair value	65,397			—			—			5,643			1,933		(420		)	—		—			72,553
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	353			—			38			—			21		(59		)	—		—			353
Total return swaps	37			—			51			405			—		(51		)	—		—			442
Total assets, at fair value	$	1,744,583		$	(12,017	)	$	(15,955	)	$	33,602		$	126,648	$	(142,750	)	$	169,618	$	(18,879	)	$	1,884,850
Liabilities:
Financial derivatives–assets, at fair value:
Total return swaps	$	(839	)	$	—		$	(536	)	$	762		$	494	$	42		$	—	$	—		$	(77	)
Other secured borrowings, at fair value	(549,668		)	—			—			(1,481		)	41,553		(233,092		)	—		—			(742,688		)
Total liabilities, at fair value	$	(550,507	)	$	—		$	(536	)	$	(719	)	$	42,047	$	(233,050	)	$	—	$	—		$	(742,765	)

(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 June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2020. For Level 3 financial instruments held by the Company at June 30, 2020, change in net unrealized gain (loss) of $9.3 million, $16.3 million, $5.5 million, $0.4 million, $0.8 million, and $(1.5) million, for the three-month period ended June 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At June 30, 2020, the Company transferred $18.9 million of assets from Level 3 to Level 2 and $169.6 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. At June 30, 2020, there was a decrease in the availability of sufficient observable inputs to meet Level 2 criteria due to market volatility, dislocations in the financial markets, and illiquidity, resulting from the effects of the COVID-19 pandemic.

Three-Month Period Ended June 30, 2019

(In thousands)	Beginning Balance as of  March 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  June 30, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	6,389		$	(676	)	$	(450	)	$	349		$	1,594	$	(236	)	$	4,889	$	(825	)	$	11,034
Non-Agency RMBS	94,670			108			(384		)	2,909			2,050		(3,294		)	6,366		(5,635		)	96,790
CMBS	5,137			25			50			363			—		(374		)	1,077		—			6,278
CLOs	21,438			165			(1,151		)	772			—		—			2,988		(6,990		)	17,222
Asset-backed securities backed by consumer loans	24,108			(360		)	(152		)	95			4,610		(3,282		)	—		—			25,019
Corporate debt securities	5,737			6			(345		)	(1		)	2,449		(3,765		)	—		—			4,081
Corporate equity securities	1,469			—			(142		)	464			—		—			—		—			1,791
Loans, at fair value:
Residential mortgage loans	583,252			(1,347		)	2,089			2,257			103,844		(26,215		)	—		—			663,880
Commercial mortgage loans	239,623			834			1,413			(2,018		)	47,555		(27,373		)	—		—			260,034
Consumer loans	192,115			(7,386		)	(1,455		)	857			16,626		(38,148		)	—		—			162,609
Corporate loans	—			—			—			—			5,000		—			—		—			5,000
Investment in unconsolidated entities, at fair value	58,148			—			124			2,230			17,026		(7,852		)	—		—			69,676
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	1,233			—			128			(143		)	5		(133		)	—		—			1,090
Total return swaps	—			—			17			87			—		(17		)	—		—			87
Total assets, at fair value	$	1,233,319		$	(8,631	)	$	(258	)	$	8,221		$	200,759	$	(110,689	)	$	15,320	$	(13,450	)	$	1,324,591
Liabilities:
Other secured borrowings, at fair value	$	(282,124	)	$	—		$	—		$	(17	)	$	25,861	$	(219,536	)	$	—	$	—		$	(475,816	)
Total liabilities, at fair value	$	(282,124	)	$	—		$	—		$	(17	)	$	25,861	$	(219,536	)	$	—	$	—		$	(475,816	)

(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 June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2019. For Level 3 financial instruments held by the Company at June 30, 2019, change in net unrealized gain (loss) of $5.7 million, $3.8 million, $2.0 million, $(56) thousand, and $(17) thousand, for the three-month period ended June 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At June 30, 2019, the Company transferred $13.5 million of assets from Level 3 to Level 2 and $15.3 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.

Six-Month Period Ended June 30, 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  June 30, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	19,904		$	(3,245	)	$	(2	)	$	2,163		$	5,660	$	—		$	411	$	(11,984	)	$	12,907
Non-Agency RMBS	89,581			510			406			(7,809		)	62,724		(27,817		)	15,281		(4,269		)	128,607
CMBS	29,805			433			(867		)	(8,279		)	40,235		(32,289		)	44,886		(8,229		)	65,695
CLOs	44,979			(41		)	(7,518		)	(28,099		)	61,933		(1,769		)	69,513		(2,532		)	136,466
Asset-backed securities backed by consumer loans	48,610			(2,148		)	(196		)	(2,666		)	17,545		(13,204		)	—		—			47,941
Corporate debt securities	1,113			—			208			483			3,421		(3,274		)	—		—			1,951
Corporate equity securities	1,394			—			7			(668		)	363		(12		)	—		—			1,084
Loans, at fair value:
Residential mortgage loans	932,203			(2,406		)	(576		)	(8,663		)	201,233		(173,344		)	—		—			948,447
Commercial mortgage loans	274,759			96			99			(134		)	88,727		(68,051		)	—		—			295,496
Consumer loans	186,954			(15,371		)	15			(5,338		)	76,318		(75,897		)	—		—			166,681
Corporate loan	18,510			—			—			—			217		(12,500		)	—		—			6,227
Investments in unconsolidated entities, at fair value	71,850			—			—			(854		)	14,216		(12,659		)	—		—			72,553
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	993			—			(956		)	916			26		(626		)	—		—			353
Total return swaps	620			—			242			(178		)	—		(242		)	—		—			442
Total assets, at fair value	$	1,721,275		$	(22,172	)	$	(9,138	)	$	(59,126	)	$	572,618	$	(421,684	)	$	130,091	$	(27,014	)	$	1,884,850
Liabilities:
Financial derivatives–assets, at fair value:
Total return swaps	$	(436	)	$	—		$	(504	)	$	359		$	504	$	—		$	—	$	—		$	(77	)
Other secured borrowings, at fair value	(594,396		)	—			—			(1,457		)	86,257		(233,092		)	—		—			(742,688		)
Total liabilities, at fair value	$	(594,832	)	$	—		$	(504	)	$	(1,098	)	$	86,761	$	(233,092	)	$	—	$	—		$	(742,765	)

(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 June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2020. For Level 3 financial instruments held by the Company at June 30, 2020, change in net unrealized gain (loss) of $(87.8) million, $(14.1) million, $(1.1) million, $0.9 million, $(0.1) million, and $(1.5) million, for the six-month period ended June 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At June 30, 2020, the Company transferred $27.0 million of assets from Level 3 to Level 2 and $130.1 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. At June 30, 2020, there was a decrease in the availability of sufficient observable inputs to meet Level 2 criteria due to market volatility, dislocations in the financial markets, and illiquidity, resulting from the effects of the COVID-19 pandemic.

Six-Month Period Ended June 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(1)		Sales/ Issuances(2)			Transfers Into Level 3		Transfers Out of Level 3			Ending Balance as of  June 30, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	7,293		$	(1,449	)	$	(1,075	)	$	642		$	1,600	$	(236	)	$	5,596	$	(1,337	)	$	11,034
Non-Agency RMBS	91,291			195			(650		)	2,358			17,595		(20,220		)	11,308		(5,087		)	96,790
CMBS	803			(23		)	—			(7		)	—		—			5,505		—			6,278
CLOs	14,915			(483		)	(1,676		)	1,660			831		—			1,975		—			17,222
Asset-backed securities backed by consumer loans	22,800			(969		)	(665		)	857			9,551		(6,555		)	—		—			25,019
Corporate debt securities	6,318			22			(345		)	(78		)	2,832		(4,668		)	—		—			4,081
Corporate equity securities	1,534			—			(142		)	399			—		—			—		—			1,791
Loans, at fair value:
Residential mortgage loans	496,829			(2,274		)	1,954			4,158			261,446		(98,233		)	—		—			663,880
Commercial mortgage loans	195,301			1,139			1,414			(2,352		)	96,412		(31,880		)	—		—			260,034
Consumer loans	183,961			(15,958		)	(3,510		)	2,699			70,882		(75,465		)	—		—			162,609
Corporate loan	—			—			—			—			5,000		—			—		—			5,000
Investment in unconsolidated entities, at fair value	72,298			276			1,684			2,190			30,454		(37,226		)	—		—			69,676
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	1,472			—			403			(382		)	8		(411		)	—		—			1,090
Total return swaps	—			—			17			87			—		(17		)	—		—			87
Total assets, at fair value	$	1,094,815		$	(19,524	)	$	(2,591	)	$	12,231		$	496,611	$	(274,911	)	$	24,384	$	(6,424	)	$	1,324,591
Liabilities:
Other secured borrowings, at fair value	$	(297,948	)	$	—		$	—		$	40		$	41,628	$	(219,536	)	$	—	$	—		$	(475,816	)
Total liabilities, at fair value	$	(297,948	)	$	—		$	—		$	40		$	41,628	$	(219,536	)	$	—	$	—		$	(475,816	)

(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 June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2019. For Level 3 financial instruments held by the Company at June 30, 2019, change in net unrealized gain (loss) of $6.1 million, $6.0 million, $(0.2) million, $(0.3) million, and $40 thousand, for the six-month period ended June 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At June 30, 2019, the Company transferred $6.4 million of assets from Level 3 to Level 2 and $24.4 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.