Valuation

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

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, 2021 and December 31, 2020:

March 31, 2021:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,470,380	$	17,402	$	1,487,782
Non-Agency RMBS	—		73,430		127,329		200,759
CMBS	—		27,779		17,294		45,073
CLOs	—		68,814		37,585		106,399
Asset-backed securities, backed by consumer loans	—		—		59,473		59,473
Corporate debt securities	—		760		4,761		5,521
Corporate equity securities	—		—		4,120		4,120
Loans, at fair value:
Residential mortgage loans	—		—		1,280,637		1,280,637
Commercial mortgage loans	—		—		235,948		235,948
Consumer loans	—		—		52,705		52,705
Corporate loans	—		—		13,226		13,226
Investment in unconsolidated entities, at fair value	—		—		147,684		147,684
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		320		320
Credit default swaps on asset-backed indices	—		2,087		—		2,087
Credit default swaps on corporate bond indices	—		3,427		—		3,427
Interest rate swaps	—		10,703		—		10,703
TBAs	—		3,409		—		3,409
Total return swaps	—		—		2		2
Warrants	—		42		—		42
Futures	2,704		—		—		2,704
Forwards	—		388		—		388
Total assets	$	2,704	$	1,661,219	$	1,998,486	$	3,662,409
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(96,179)	$	—	$	(96,179)
Corporate debt securities	—		(219)		—		(219)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(127)		—		(127)
Credit default swaps on corporate bonds	—		(682)		—		(682)
Credit default swaps on corporate bond indices	—		(5,128)		—		(5,128)
Interest rate swaps	—		(8,884)		—		(8,884)
TBAs	—		(4,076)		—		(4,076)
Futures	(163)		—		—		(163)
Forwards	—		(40)		—		(40)
Total return swaps	—		—		(338)		(338)
Other secured borrowings, at fair value	—		—		(911,256)		(911,256)
Total liabilities	$	(163)	$	(115,335)	$	(911,594)	$	(1,027,092)

December 31, 2020:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	947,780	$	11,663	$	959,443
Non-Agency RMBS	—		76,276		127,838		204,114
CMBS	—		54,505		63,148		117,653
CLOs	—		70,171		111,100		181,271
Asset-backed securities, backed by consumer loans	—		—		44,925		44,925
Corporate debt securities	—		1,107		4,082		5,189
Corporate equity securities	—		—		1,590		1,590
Loans, at fair value:
Residential mortgage loans	—		—		1,187,069		1,187,069
Commercial mortgage loans	—		—		213,031		213,031
Consumer loans	—		—		47,525		47,525
Corporate loans	—		—		5,855		5,855
Investment in unconsolidated entities, at fair value	—		—		141,620		141,620
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		347		347
Credit default swaps on asset-backed indices	—		2,184		—		2,184
Credit default swaps on corporate bond indices	—		3,420		—		3,420
Interest rate swaps	—		8,519		—		8,519
TBAs	—		962		—		962
Total return swaps	—		—		9		9
Warrants	—		36		—		36
Futures	2		—		—		2
Total assets	$	2	$	1,164,960	$	1,959,802	$	3,124,764
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(38,424)	$	—	$	(38,424)
Corporate debt securities	—		(218)		—		(218)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(130)		—		(130)
Credit default swaps on corporate bonds	—		(747)		—		(747)
Credit default swaps on corporate bond indices	—		(6,438)		—		(6,438)
Interest rate swaps	—		(15,174)		—		(15,174)
TBAs	—		(925)		—		(925)
Futures	(376)		—		—		(376)
Forwards	—		(279)		—		(279)
Total return swaps	—		—		(484)		(484)
Other secured borrowings, at fair value	—		—		(754,921)		(754,921)
Total liabilities	$	(376)	$	(62,335)	$	(755,405)	$	(818,116)

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, 2021 and December 31, 2020:

March 31, 2021:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	85,241	Market Quotes	Non Binding Third-Party Valuation	$	2.13		$	337.92		$	86.00
	42,088		Discounted Cash Flows
	127,329			Yield(1)	0.4		%	66.3		%	7.2		%
				Projected Collateral Prepayments	5.3		%	74.2		%	48.3		%
				Projected Collateral Losses	—		%	22.5		%	6.1		%
				Projected Collateral Recoveries	0.8		%	22.4		%	13.0		%
Non-Agency CMBS	11,177		Market Quotes	Non Binding Third-Party Valuation	$	4.65		$	98.25		$	38.62
	6,117		Discounted Cash Flows
	17,294			Yield	3.8		%	28.3		%	9.5		%
				Projected Collateral Losses	1.2		%	10.6		%	4.4		%
				Projected Collateral Recoveries	9.6		%	95.4		%	92.0		%
CLOs	23,370		Market Quotes	Non Binding Third-Party Valuation	$	2.00		$	95.00		$	71.18
	14,215		Discounted Cash Flows
	37,585			Yield	7.0		%	92.5		%	17.6		%
				Projected Collateral Prepayments	79.2		%	92.9		%	86.5		%
				Projected Collateral Losses	3.9		%	11.7		%	6.7		%
				Projected Collateral Recoveries	1.3		%	6.9		%	4.6		%
Agency interest only RMBS	4,026		Market Quotes	Non Binding Third-Party Valuation	$	0.66		$	18.45		$	12.50
	13,376		Option Adjusted Spread ("OAS")
	17,402			LIBOR OAS(2)(3)	16			2,918			719
				Projected Collateral Prepayments	9.2		%	100.0		%	66.0		%
ABS backed by consumer loans	87		Market Quotes	Non Binding Third-Party Valuation	$	96.92		$	98.58		$	97.61
	59,386		Discounted Cash Flows
	59,473			Yield	11.9		%	33.7		%	15.5		%
				Projected Collateral Prepayments	0.0		%	11.9		%	8.0		%
				Projected Collateral Losses	1.0		%	22.2		%	16.2		%
Corporate debt and equity	8,881		Discounted Cash Flows	Yield	5.0		%	12.2		%	9.8		%
Performing and re-performing residential mortgage loans	290,957		Discounted Cash Flows	Yield	1.3		%	59.4		%	5.6		%

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Securitized residential mortgage loans(4)(5)	$	921,678	Market Quotes	Non Binding Third-Party Valuation	$	0.58		$	105.92		$	101.24
	39,654		Discounted Cash Flows
	961,332			Yield	1.1		%	9.2		%	4.6		%
Non-performing residential mortgage loans	28,348		Discounted Cash Flows	Yield	1.8		%	34.6		%	13.7		%
				Recovery Amount	0.3		%	169.9		%	33.8		%
				Months to Resolution	1.0			105.8			36.8
Performing commercial mortgage loans	201,683		Discounted Cash Flows	Yield	6.5		%	11.2		%	8.6		%
Non-performing commercial mortgage loans	34,265		Discounted Cash Flows	Yield	7.5		%	9.4		%	9.2		%
				Recovery Amount	100.0		%	100.4		%	100.3		%
				Months to Resolution	2.8			8.8			6.3
Consumer loans	52,705		Discounted Cash Flows	Yield	5.5		%	48.7		%	9.5		%
				Projected Collateral Prepayments	0.0		%	34.0		%	16.1		%
				Projected Collateral Losses	0.6		%	86.6		%	10.0		%
Corporate loans	13,167		Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
	59		Discounted Cash Flows
	13,226			Yield	21.7		%	21.9		%	21.8		%
Investment in unconsolidated entities	147,684		Enterprise Value	Equity Price-to-Book(6)(7)	1.0x			1.6x			1.2x
Total return swaps—asset	2		Discounted Cash Flows	Yield	17.1		%	17.1		%	17.1		%
Credit default swaps on asset-backed securities	320		Net Discounted Cash Flows	Projected Collateral Prepayments	26.5		%	36.4		%	34.1		%
				Projected Collateral Losses	6.7		%	10.1		%	8.3		%
				Projected Collateral Recoveries	14.2		%	18.8		%	15.6		%
Total return swaps—liability	(338)		Discounted Cash Flows	Yield	20.6%			20.6%			20.6%
Other secured borrowings, at fair value(4)	(911,256)		Market Quotes	Non Binding Third-Party Valuation	$	96.51		$	105.92		$	101.60
				Yield(8)	1.2%			1.4%			1.3%
				Projected Collateral Prepayments	—%			83.3%			54.0%

(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.6 million. Including these securities the weighted average yield was 6.9%.

(2)Shown in basis points.

(3)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 $3.7 million. Including these securities the weighted average was 445 basis points.

(4)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.

(5)Includes $21.2 million of non-performing securitized residential mortgage loans.

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

(7)For the range minimum, the range maximum, and the weighted average equity price-to-book, excludes investments in unconsolidated entities of $3.4 million. Including these investments in unconsolidated entities the weighted average equity price-to-book was 2.1x.

(8)For the range minimum, the range maximum, and the weighted average yield, excludes other secured borrowings with a negative yield, with a total fair value of $(126.8) million. Including these securities the weighted average yield was 0.9%.

December 31, 2020:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	70,619	Market Quotes	Non Binding Third-Party Valuation	$	9.53		$	204.61		$	85.70
	57,219		Discounted Cash Flows
	127,838			Yield(1)	0.7		%	52.6		%	7.4		%
				Projected Collateral Prepayments	—		%	99.1		%	45.3		%
				Projected Collateral Losses	0.4		%	72.6		%	18.4		%
				Projected Collateral Recoveries	—		%	79.1		%	16.8		%
Non-Agency CMBS	53,199		Market Quotes	Non Binding Third-Party Valuation	$	4.79		$	98.00		$	65.20
	9,949		Discounted Cash Flows
	63,148			Yield	3.7		%	26.3		%	8.7		%
				Projected Collateral Losses	0.7		%	10.7		%	3.6		%
				Projected Collateral Recoveries	72.4		%	96.1		%	90.6		%
CLOs	102,910		Market Quotes	Non Binding Third-Party Valuation	$	2.00		$	330.00		$	88.66
	8,190		Discounted Cash Flows
	111,100			Yield	3.4		%	35.4		%	10.5		%
				Projected Collateral Prepayments	41.2		%	97.7		%	65.7		%
				Projected Collateral Losses	1.7		%	28.9		%	11.2		%
				Projected Collateral Recoveries	0.6		%	15.2		%	7.9		%
Agency interest only RMBS	4,844		Market Quotes	Non Binding Third-Party Valuation	$	1.91		$	18.91		$	8.38
	6,819		Option Adjusted Spread ("OAS")
	11,663			LIBOR OAS(2)(3)	297			2,886			914
				Projected Collateral Prepayments	8.3		%	100.0		%	75.9		%
ABS backed by consumer loans	97		Market Quotes	Non Binding Third-Party Valuation	$	96.51		$	98.43		$	97.33
	44,828		Discounted Cash Flows
	44,925			Yield	12.6		%	27.5		%	15.6		%
				Projected Collateral Prepayments	0.0		%	11.6		%	7.7		%
				Projected Collateral Losses	1.0		%	21.1		%	17.1		%
Corporate debt and equity	5,672		Discounted Cash Flows	Yield	8.1		%	10.8		%	9.7		%
Performing and re-performing residential mortgage loans	338,265		Discounted Cash Flows	Yield	2.5		%	28.5		%	5.4		%
	15,659		Recent Transactions	Transaction Price	$	60.00		$	103.88		$	103.44
	353,924
Securitized residential mortgage loans(4)(5)	$	783,162	Market Quotes	Non Binding Third-Party Valuation	$	5.34		$	105.61		$	100.22
	18,182		Discounted Cash Flows
	801,343			Yield	—		%	38.7		%	4.4		%

	Fair Value	Valuation  Technique	Unobservable Input	Range						Weighted Average
Description				Min			Max
(Continued)	(In thousands)
Non-performing residential mortgage loans	31,802	Discounted Cash Flows	Yield	1.2		%	41.0		%	12.1		%
			Recovery Amount	0.9		%	1713.0		%	30.6		%
			Months to Resolution	0.0			106.6			30.0
Performing commercial mortgage loans	181,545	Discounted Cash Flows	Yield	3.7		%	9.7		%	8.1		%
Non-performing commercial mortgage loans	31,486	Discounted Cash Flows	Yield	8.6		%	14.6		%	10.8		%
			Recovery Amount	100.0		%	102.4		%	100.8		%
			Months to Resolution	1.8			5.8			3.7
Consumer loans	47,525	Discounted Cash Flows	Yield	7.8		%	28.1		%	11.2		%
			Projected Collateral Prepayments	0.0		%	36.0		%	17.3		%
			Projected Collateral Losses	0.9		%	86.6		%	9.4		%
Corporate loans	5,855	Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
			Yield	21.1		%	21.1		%	21.1		%
Investment in unconsolidated entities	141,620	Enterprise Value	Equity Price-to-Book(6)	1.0x			6.2x			1.4x
Total return swaps—asset	9	Discounted Cash Flows	Yield	22.0		%	22.0		%	22.0		%
Credit default swaps on asset-backed securities	347	Net Discounted Cash Flows	Projected Collateral Prepayments	32.7		%	39.7		%	38.1		%
			Projected Collateral Losses	6.6		%	10.8		%	8.9		%
			Projected Collateral Recoveries	13.9		%	18.1		%	15.6		%
Total return swaps—liability	(484)	Discounted Cash Flows	Yield	16.8%			16.8%			16.8%
Other secured borrowings, at fair value(4)	(754,921)	Market Quotes	Non Binding Third-Party Valuation	$	85.37		$	105.61		$	102.04
			Yield	1.6%			3.0%			2.6%
			Projected Collateral Prepayments	—%			75.3%			48.7%

(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.3 million. Including these securities the weighted average yield was 7.3%.

(2)Shown in basis points.

(3)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 $4.5 million. Including these securities the weighted average was 396 basis points.

(4)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.

(5)Includes $26.4 million of non-performing securitized residential mortgage loans.

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

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, 2021 and 2020 (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, 2021

(In thousands)	Beginning Balance as of  December 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  March 31, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	11,663	$	(1,121)	$	(26)	$	(136)	$	1,814	$	—	$	5,857	$	(649)	$	17,402
Non-Agency RMBS	127,838		679		(226)		(557)		20,742		(18,639)		1,998		(4,506)		127,329
CMBS	63,148		218		2,082		2,525		—		(39,705)		—		(10,974)		17,294
CLOs	111,100		734		912		5,334		1,812		(43,210)		1,511		(40,608)		37,585
Asset-backed securities backed by consumer loans	44,925		(657)		33		(485)		24,334		(8,677)		—		—		59,473
Corporate debt securities	4,082		—		180		5		1,027		(533)		—		—		4,761
Corporate equity securities	1,590		—		(385)		604		2,311		—		—		—		4,120
Loans, at fair value:
Residential mortgage loans	1,187,069		(2,470)		194		2,214		222,081		(128,451)		—		—		1,280,637
Commercial mortgage loans	213,031		9		436		(263)		57,166		(34,431)		—		—		235,948
Consumer loans	47,525		(1,843)		(1,265)		327		16,749		(8,788)		—		—		52,705
Corporate loan	5,855		—		—		—		7,371		—		—		—		13,226
Investments in unconsolidated entities, at fair value	141,620		—		128		6,507		12,870		(13,441)		—		—		147,684
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	347		—		26		(27)		4		(30)		—		—		320
Total return swaps	9		—		141		(6)		—		(142)		—		—		2
Total assets, at fair value	$	1,959,802	$	(4,451)	$	2,230	$	16,042	$	368,281	$	(296,047)	$	9,366	$	(56,737)	$	1,998,486
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(484)	$	—	$	(500)	$	146	$	500	$	—	$	—	$	—	$	(338)
Other secured borrowings, at fair value	(754,921)		—		—		1,243		92,930		(250,508)		—		—		(911,256)
Total liabilities, at fair value	$	(755,405)	$	—	$	(500)	$	1,389	$	93,430	$	(250,508)	$	—	$	—	$	(911,594)

(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, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2021. For Level 3 financial instruments held by the Company at March 31, 2021, change in net unrealized gain (loss) of $3.2 million, $2.0 million, $6.3 million, $(33) thousand, $0.1 million, and $1.2 million, for the three-month period ended March 31, 2021 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, 2021, the Company transferred $56.7 million of assets from Level 3 to Level 2 and $9.4 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.

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
Investment 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–liabilities, 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.

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, 2021 and December 31, 2020:

	As of
	March 31, 2021				December 31, 2020
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	149,350	$	149,350	$	111,647	$	111,647
Restricted cash	175		175		175		175
Due from brokers	91,814		91,814		63,147		63,147
Reverse repurchase agreements	96,783		96,783		38,640		38,640
Liabilities:
Repurchase agreements	1,909,511		1,909,511		1,496,931		1,496,931
Other secured borrowings	64,506		64,506		51,062		51,062
Senior notes, net	86,344		85,627		86,000		85,561
Due to brokers	5,337		5,337		5,059		5,059

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. Senior notes, net 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, 2021 and December 31, 2020, the estimated fair value of the Company's Senior notes was based on a third-party valuation.