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Valuation (Tables)

9 Months Ended

Sep. 30, 2020

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 September 30, 2020 and December 31, 2019:

September 30, 2020:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	907,715	$	12,140	$	919,855
Non-Agency RMBS	—		73,538		139,199		212,737
CMBS	—		62,206		42,809		105,015
CLOs	—		50,304		112,990		163,294
Asset-backed securities, backed by consumer loans	—		—		47,298		47,298
Corporate debt securities	—		—		2,207		2,207
Corporate equity securities	—		—		1,014		1,014
Loans, at fair value:
Residential mortgage loans	—		—		1,030,709		1,030,709
Commercial mortgage loans	—		—		252,231		252,231
Consumer loans	—		—		152,609		152,609
Corporate loans	—		—		7,063		7,063
Investment in unconsolidated entities, at fair value	—		—		95,803		95,803
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		351		351
Credit default swaps on asset-backed indices	—		9,722		—		9,722
Credit default swaps on corporate bonds	—		39		—		39
Credit default swaps on corporate bond indices	—		2,419		—		2,419
Interest rate swaps	—		13,790		—		13,790
TBAs	—		1,150		—		1,150
Total return swaps	—		—		105		105
Warrants	—		31		—		31
Futures	1		—		—		1
Forwards	—		256		—		256
Total assets	$	1	$	1,121,170	$	1,896,528	$	3,017,699
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(51,032)	$	—	$	(51,032)
Corporate debt securities	—		(461)		—		(461)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(142)		—		(142)
Credit default swaps on corporate bonds	—		(580)		—		(580)
Credit default swaps on corporate bond indices	—		(3,572)		—		(3,572)
Interest rate swaps	—		(29,774)		—		(29,774)
TBAs	—		(286)		—		(286)
Futures	(331)		—		—		(331)
Forwards	—		(41)		—		(41)
Total return swaps	—		—		(88)		(88)
Other secured borrowings, at fair value	—		—		(695,516)		(695,516)
Total liabilities	$	(331)	$	(85,888)	$	(695,604)	$	(781,823)

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 September 30, 2020 and December 31, 2019:


	As of
	September 30, 2020				December 31, 2019
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	126,783	$	126,783	$	72,302	$	72,302
Restricted cash	175		175		175		175
Due from brokers	63,991		63,991		79,829		79,829
Reverse repurchase agreements	47,041		47,041		73,639		73,639
Liabilities:
Repurchase agreements	1,439,984		1,439,984		2,445,300		2,445,300
Other secured borrowings	142,674		142,674		150,334		150,334
Senior notes, net	86,000		85,495		88,365		85,298
Due to brokers	7,147		7,147		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 September 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 September 30, 2020 and December 31, 2019:

September 30, 2020:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	85,183	Market Quotes	Non Binding Third-Party Valuation	$	9.43		$	314.93		$	87.41
CMBS	41,602		Market Quotes	Non Binding Third-Party Valuation	4.56			95.32			59.06
CLOs	88,907		Market Quotes	Non Binding Third-Party Valuation	2.00			93.50			78.04
Agency interest only RMBS	3,503		Market Quotes	Non Binding Third-Party Valuation	0.80			22.13			12.60
Corporate loans	7,063		Market Quotes	Non Binding Third-Party Valuation	100.00			100.00			100.00
ABS backed by consumer loans	107		Market Quotes	Non Binding Third-Party Valuation	96.01			97.58			96.80
Non-Agency RMBS	54,016		Discounted Cash Flows	Yield	0.8		%	60.0		%	8.5		%
				Projected Collateral Prepayments	13.5		%	77.6		%	59.2		%
				Projected Collateral Losses	0.0		%	70.3		%	8.7		%
				Projected Collateral Recoveries	0.0		%	46.5		%	10.3		%
				Projected Collateral Scheduled Amortization	7.7		%	70.4		%	21.8		%
											100.0		%
Non-Agency CMBS	1,207		Discounted Cash Flows	Yield	23.1		%	25.7		%	23.7		%
				Projected Collateral Losses	0.7		%	0.9		%	0.8		%
				Projected Collateral Recoveries	1.9		%	3.8		%	3.4		%
				Projected Collateral Scheduled Amortization	95.4		%	97.4		%	95.8		%
											100.0		%
Corporate debt and equity	3,221		Discounted Cash Flows	Yield	10.0		%	10.0		%	10.0		%
CLOs	24,083		Discounted Cash Flows	Yield	6.7		%	85.2		%	20.1		%
				Projected Collateral Prepayments	65.7		%	88.5		%	71.3		%
				Projected Collateral Losses	4.4		%	20.9		%	17.0		%
				Projected Collateral Recoveries	4.3		%	11.2		%	9.7		%
				Projected Collateral Scheduled Amortization	0.0		%	2.8		%	2.0		%
											100.0		%
ABS backed by consumer loans	47,191		Discounted Cash Flows	Yield	14.0		%	23.6		%	14.1		%
				Projected Collateral Prepayments	0.0		%	9.8		%	7.3		%
				Projected Collateral Losses	1.0		%	34.7		%	16.3		%
				Projected Collateral Scheduled Amortization	56.7		%	99.0		%	76.4		%
											100.0		%


(continued)	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
Description					Min		Max
	(In thousands)
Consumer loans	$	152,609	Discounted Cash Flows	Yield	9.0	%	12.0	%	10.0	%
				Projected Collateral Prepayments	0.0	%	37.1	%	12.9	%
				Projected Collateral Losses	1.1	%	86.6	%	10.7	%
				Projected Collateral Scheduled Amortization	13.4	%	98.2	%	76.4	%
									100.0	%
Performing commercial mortgage loans	228,560		Discounted Cash Flows	Yield	6.8	%	10.4	%	8.0	%
Non-performing commercial mortgage loans	23,671		Discounted Cash Flows	Yield	9.5	%	16.2	%	12.5	%
				Months to Resolution	4.9		8.8		7.0
Performing and re-performing residential mortgage loans	245,027		Discounted Cash Flows	Yield	0.6	%	54.3	%	6.0	%
Securitized residential mortgage loans(1)(2)	760,420		Discounted Cash Flows	Yield	1.8	%	7.3	%	4.2	%
Non-performing residential mortgage loans	25,262		Discounted Cash Flows	Yield	1.5	%	28.4	%	10.3	%
				Months to Resolution	—		90.9		33.2
Total return swaps—asset	105		Discounted Cash Flows	Yield	11.7	%	20.8	%	12.7	%
Credit default swaps on asset-backed securities	351		Net Discounted Cash Flows	Projected Collateral Prepayments	33.3	%	41.0	%	39.2	%
				Projected Collateral Losses	6.8	%	11.2	%	9.1	%
				Projected Collateral Recoveries	13.6	%	18.3	%	15.2	%
				Projected Collateral Scheduled Amortization	35.1	%	41.6	%	36.5	%
									100.0	%
Agency interest only RMBS	8,637		Option Adjusted Spread ("OAS")	LIBOR OAS(3)(4)	160		3,992		954
				Projected Collateral Prepayments	0.7	%	100.0	%	78.3	%
				Projected Collateral Scheduled Amortization	0.0	%	99.3	%	21.7	%
									100.0	%
Investment in unconsolidated entities	95,803		Enterprise Value	Equity Price-to-Book(5)	1.0x		4.0x		1.3x
Other secured borrowings, at fair value(1)(6)	(695,516)		Discounted Cash Flows	Yield	1.8%		3.3%		2.4%
Total return swaps—liability	(88)		Discounted Cash Flows	Yield	20.8%		20.8%		20.8%

(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 $37.1 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 $1.4 million. Including these securities the weighted average was 596 basis points.

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

(6)For range minimum, range maximum, and the weighted average of yield, excludes Other secured borrowings, at fair value with a negative yield, with a total fair value of $(116.1) million. Including these borrowings the weighted average yield was 1.81%.

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 nine-month periods ended September 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 September 30, 2020


(In thousands)	Beginning Balance as of June 30, 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 September 30, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	12,907	$	(1,482)	$	494	$	280	$	3,490	$	(2,243)	$	2,621	$	(3,927)	$	12,140
Non-Agency RMBS	128,607		884		(77)		2,610		21,138		(6,395)		10,895		(18,463)		139,199
CMBS	65,695		659		8		4,117		12,699		(8)		560		(40,921)		42,809
CLOs	136,466		1,962		(82)		1,920		2,241		(127)		6,483		(35,873)		112,990
Asset-backed securities backed by consumer loans	47,941		(1,435)		(4)		1,165		7,455		(7,824)		—		—		47,298
Corporate debt securities	1,951		—		296		509		28		(577)		—		—		2,207
Corporate equity securities	1,084		—		—		(73)		3		—		—		—		1,014
Loans, at fair value:
Residential mortgage loans	948,447		(2,009)		(146)		15,672		139,609		(70,864)		—		—		1,030,709
Commercial mortgage loans	295,496		17		36		(6)		18,881		(62,193)		—		—		252,231
Consumer loans	166,681		(6,342)		(112)		(1,627)		28,554		(34,545)		—		—		152,609
Corporate loan	6,227		—		—		—		836		—		—		—		7,063
Investments in unconsolidated entities, at fair value	72,553		—		62		11,381		15,307		(3,500)		—		—		95,803
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	353		—		1		(2)		3		(4)		—		—		351
Total return swaps	442		—		(129)		(338)		209		(79)		—		—		105
Total assets, at fair value	$	1,884,850	$	(7,746)	$	347	$	35,608	$	250,453	$	(188,359)	$	20,559	$	(99,184)	$	1,896,528
Liabilities:
Financial derivatives–assets, at fair value:
Total return swaps	$	(77)	$	—	$	4	$	(11)	$	(4)	$	—	$	—	$	—	$	(88)
Other secured borrowings, at fair value	(742,688)		—		—		(5,178)		52,350		—		—		—		(695,516)
Total liabilities, at fair value	$	(742,765)	$	—	$	4	$	(5,189)	$	52,346	$	—	$	—	$	—	$	(695,604)

(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 September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $9.3 million, $14.2 million, $11.3 million, $(0.3) million, $(11) thousand, and $(5.2) million, for the three-month period ended September 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 September 30, 2020, the Company transferred $99.2 million of assets from Level 3 to Level 2 and $20.6 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.

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(1)		Sales/ Issuances(2)		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–liabilities, 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)

(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 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, 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 September 30, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	19,904	$	(6,072)	$	614	$	2,803	$	8,219	$	(3,295)	$	2,177	$	(12,210)	$	12,140
Non-Agency RMBS	89,581		1,113		303		(1,996)		61,933		(29,811)		22,974		(4,898)		139,199
CMBS	29,805		617		(867)		(4,638)		51,432		(32,284)		7,828		(9,084)		42,809
CLOs	44,979		1,237		(7,586)		(24,206)		47,730		—		53,462		(2,626)		112,990
Asset-backed securities backed by consumer loans	48,610		(3,584)		(200)		(1,501)		25,001		(21,028)		—		—		47,298
Corporate debt securities	1,113		—		504		991		3,450		(3,851)		—		—		2,207
Corporate equity securities	1,394		—		7		(741)		366		(12)		—		—		1,014
Loans, at fair value:
Residential mortgage loans	932,203		(4,414)		(722)		7,008		340,842		(244,208)		—		—		1,030,709
Commercial mortgage loans	274,759		113		135		(140)		107,608		(130,244)		—		—		252,231
Consumer loans	186,954		(21,712)		(97)		(6,965)		104,872		(110,443)		—		—		152,609
Corporate loan	18,510		—		—		—		1,053		(12,500)		—		—		7,063
Investments in unconsolidated entities, at fair value	71,850		—		62		10,528		29,522		(16,159)		—		—		95,803
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	993		—		(955)		915		29		(631)		—		—		351
Total return swaps	620		—		113		(515)		209		(322)		—		—		105
Total assets, at fair value	$	1,721,275	$	(32,702)	$	(8,689)	$	(18,457)	$	782,266	$	(604,788)	$	86,441	$	(28,818)	$	1,896,528
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(436)	$	—	$	(501)	$	349	$	500	$	—	$	—	$	—	$	(88)
Other secured borrowings, at fair value	(594,396)		—		—		(6,636)		138,608		(233,092)		—		—		(695,516)
Total liabilities, at fair value	$	(594,832)	$	—	$	(501)	$	(6,287)	$	139,108	$	(233,092)	$	—	$	—	$	(695,604)

(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 September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $(56.3) million, $12 thousand, $10.2 million, $0.6 million, $(0.1) million, and $(6.6) million, for the nine-month period ended September 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 September 30, 2020, the Company transferred $28.8 million of assets from Level 3 to Level 2 and $86.4 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.

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(1)		Sales/ Issuances(2)		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–liabilities, 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)

(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 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.