Valuation (Tables)

6 Months Ended

Jun. 30, 2021

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, 2021 and December 31, 2020:

June 30, 2021:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,465,812	$	9,936	$	1,475,748
Non-Agency RMBS	—		70,732		114,464		185,196
CMBS	—		28,847		17,025		45,872
CLOs	—		36,550		33,989		70,539
Asset-backed securities, backed by consumer loans	—		—		69,254		69,254
Corporate debt securities	—		440		5,444		5,884
Corporate equity securities	—		—		8,497		8,497
Loans, at fair value:
Residential mortgage loans	—		—		1,445,651		1,445,651
Commercial mortgage loans	—		—		228,450		228,450
Consumer loans	—		—		52,016		52,016
Corporate loans	—		—		16,584		16,584
Investment in unconsolidated entities, at fair value	—		—		178,979		178,979
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		303		303
Credit default swaps on asset-backed indices	—		1,357		—		1,357
Credit default swaps on corporate bond indices	—		200		—		200
Interest rate swaps	—		7,220		—		7,220
TBAs	—		2,028		—		2,028
Total return swaps	—		—		520		520
Options	—		294		—		294
Warrants	—		2		—		2
Futures	659		—		—		659
Forwards	—		445		—		445
Total assets	$	659	$	1,613,927	$	2,181,112	$	3,795,698
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(145,152)	$	—	$	(145,152)
Corporate debt securities	—		(222)		—		(222)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(91)		—		(91)
Credit default swaps on corporate bonds	—		(384)		—		(384)
Credit default swaps on corporate bond indices	—		(2,616)		—		(2,616)
Interest rate swaps	—		(10,540)		—		(10,540)
TBAs	—		(329)		—		(329)
Futures	(155)		—		—		(155)
Total return swaps	—		—		(56)		(56)
Other secured borrowings, at fair value	—		—		(1,003,037)		(1,003,037)
Total liabilities	$	(155)	$	(159,334)	$	(1,003,093)	$	(1,162,582)

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)

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, 2021 and December 31, 2020:

June 30, 2021:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	71,514	Market Quotes	Non Binding Third-Party Valuation	$	0.91		$	210.00		$	81.90
	42,950		Discounted Cash Flows
	114,464			Yield(1)	0.6		%	42.5		%	7.5		%
				Projected Collateral Prepayments	—		%	73.0		%	40.5		%
				Projected Collateral Losses	—		%	79.7		%	13.2		%
				Projected Collateral Recoveries	—		%	71.9		%	23.2		%
Non-Agency CMBS	13,671		Market Quotes	Non Binding Third-Party Valuation	$	4.50		$	72.22		$	43.31
	3,354		Discounted Cash Flows
	17,025			Yield	5.5		%	22.6		%	10.3		%
				Projected Collateral Losses	0.2		%	3.8		%	1.9		%
				Projected Collateral Recoveries	88.7		%	98.0		%	93.6		%
CLOs	25,851		Market Quotes	Non Binding Third-Party Valuation	$	10.00		$	93.80		$	49.88
	8,138		Discounted Cash Flows
	33,989			Yield	7.1		%	92.3		%	25.9		%
				Projected Collateral Prepayments	72.2		%	98.8		%	89.6		%
				Projected Collateral Losses	1.0		%	20.9		%	5.7		%
				Projected Collateral Recoveries	0.2		%	7.5		%	3.6		%
Agency interest only RMBS	5,822		Market Quotes	Non Binding Third-Party Valuation	$	0.64		$	20.85		$	6.52
	4,114		Option Adjusted Spread ("OAS")
	9,936			LIBOR OAS(2)(3)	160			11,771			1,165
				Projected Collateral Prepayments	9.7		%	100.0		%	69.3		%
ABS backed by consumer loans	75		Market Quotes	Non Binding Third-Party Valuation	$	97.39		$	98.82		$	97.97
	69,179		Discounted Cash Flows
	69,254			Yield	6.1		%	77.2		%	15.4		%
				Projected Collateral Prepayments	0.9		%	11.8		%	8.9		%
				Projected Collateral Losses	3.7		%	37.6		%	20.3		%
Corporate debt and equity	13,941		Discounted Cash Flows	Yield	2.6		%	11.9		%	9.4		%
Performing and re-performing residential mortgage loans	356,074		Discounted Cash Flows	Yield	0.5		%	34.0		%	4.9		%

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Securitized residential mortgage loans(4)(5)	$	1,031,653	Market Quotes	Non Binding Third-Party Valuation	$	0.64		$	103.53		$	99.20
	31,408		Discounted Cash Flows
	1,063,061			Yield	0.9		%	7.3		%	3.8		%
Non-performing residential mortgage loans	26,516		Discounted Cash Flows	Yield	2.1		%	37.3		%	11.7		%
				Recovery Amount	—		%	169.2		%	31.3		%
				Months to Resolution	5.8			73.0			30.1
Performing commercial mortgage loans	192,023		Discounted Cash Flows	Yield	6.1		%	10.8		%	8.3		%
Non-performing commercial mortgage loans	36,427		Discounted Cash Flows	Yield	6.6		%	9.9		%	8.3		%
				Recovery Amount	96.5		%	100.0		%	99.6		%
				Months to Resolution	1.8			5.9			3.4
Consumer loans	52,016		Discounted Cash Flows	Yield	1.3		%	56.0		%	9.5		%
				Projected Collateral Prepayments	0.4		%	32.6		%	15.1		%
				Projected Collateral Losses	0.9		%	37.1		%	9.6		%
Corporate loans	13,496		Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
	3,088		Discounted Cash Flows
	16,584			Yield	3.0		%	22.5		%	18.6		%
Investment in unconsolidated entities - Loan originators	93,092		Enterprise Value	Equity Price-to-Book(6)	1.2x			1.4x			1.2x
Investment in unconsolidated entities - Other	75,820		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities - Loan originators	10,067		Recent Transactions	Transaction Price	n/a			n/a			n/a
	178,979
Total return swaps—asset	520		Discounted Cash Flows	Yield	19.9		%	21.2		%	21.2		%
Credit default swaps on asset-backed securities	303		Net Discounted Cash Flows	Projected Collateral Prepayments	30.8		%	40.9		%	38.6		%
				Projected Collateral Losses	5.2		%	8.8		%	6.8		%
				Projected Collateral Recoveries	11.7		%	16.7		%	12.8		%
Total return swaps—liability	(56)		Discounted Cash Flows	Yield	19.9%			19.9%			19.9%
Other secured borrowings, at fair value(4)	(1,003,037)		Market Quotes	Non Binding Third-Party Valuation	$	97.68		$	103.53		$	101.10
				Yield	1.9%			3.2%			2.4%
				Projected Collateral Prepayments	—%			97.4%			65.9%

(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 $1.5 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 $3.0 million. Including these securities the weighted average was 613 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 $12.9 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.

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—Loan Originators(6)	79,536	Enterprise Value	Equity Price-to-Book(7)	1.4x			6.2x			1.8x
Investment in unconsolidated entities—Other(6)	62,084	Enterprise Value	Net Asset Value	n/a			n/a			n/a
	141,620
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)Conformed to current period presentation.

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

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, 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 June 30, 2021

(In thousands)	Beginning Balance as of  March 31, 2021		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, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	17,402	$	(833)	$	1,510	$	(1,389)	$	—	$	(4,528)	$	1,897	$	(4,123)	$	9,936
Non-Agency RMBS	127,329		604		2,576		(137)		1,782		(14,497)		4,299		(7,492)		114,464
CMBS	17,294		(13)		—		1,249		—		—		3,353		(4,858)		17,025
CLOs	37,585		272		(2,497)		9,155		140		—		4,257		(14,923)		33,989
Asset-backed securities backed by consumer loans	59,473		(1,326)		146		(1,098)		21,478		(9,419)		—		—		69,254
Corporate debt securities	4,761		—		47		177		591		(132)		—		—		5,444
Corporate equity securities	4,120		—		—		1,711		2,666		—		—		—		8,497
Loans, at fair value:
Residential mortgage loans	1,280,637		(3,240)		267		(528)		327,697		(159,182)		—		—		1,445,651
Commercial mortgage loans	235,948		15		(130)		334		90,332		(98,049)		—		—		228,450
Consumer loans	52,705		(1,993)		(11)		129		9,319		(8,133)		—		—		52,016
Corporate loan	13,226		—		—		—		3,360		(2)		—		—		16,584
Investments in unconsolidated entities, at fair value	147,684		—		33		18,569		69,464		(56,771)		—		—		178,979
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	320		—		16		(17)		3		(19)		—		—		303
Total return swaps	2		—		—		518		—		—		—		—		520
Total assets, at fair value	$	1,998,486	$	(6,514)	$	1,957	$	28,673	$	526,832	$	(350,732)	$	13,806	$	(31,396)	$	2,181,112
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(338)	$	—	$	(860)	$	282	$	860	$	—	$	—	$	—	$	(56)
Other secured borrowings, at fair value	(911,256)		—		—		2,005		230,853		(324,639)		—		—		(1,003,037)
Total liabilities, at fair value	$	(911,594)	$	—	$	(860)	$	2,287	$	231,713	$	(324,639)	$	—	$	—	$	(1,003,093)

(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, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2021. For Level 3 financial instruments held by the Company at June 30, 2021, change in net unrealized gain (loss) of $10.4 million, $0.1 million, $16.4 million, $0.4 million, $0.3 million, and $2.0 million, for the three-month period ended June 30, 2021 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, 2021, the Company transferred $31.4 million of assets from Level 3 to Level 2 and $13.8 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 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.

Six-Month Period Ended June 30, 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  June 30, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	11,663	$	(1,779)	$	959	$	(1,571)	$	555	$	(1,533)	$	4,567	$	(2,925)	$	9,936
Non-Agency RMBS	127,838		1,248		2,351		(740)		22,392		(33,076)		5,834		(11,383)		114,464
CMBS	63,148		319		1,931		5,029		—		(41,088)		—		(12,314)		17,025
CLOs	111,100		1,240		(1,754)		16,208		104		(70,002)		1,604		(24,511)		33,989
Asset-backed securities backed by consumer loans	44,925		(1,983)		179		(1,583)		45,812		(18,096)		—		—		69,254
Corporate debt securities	4,082		—		227		183		1,617		(665)		—		—		5,444
Corporate equity securities	1,590		—		(385)		2,315		4,977		—		—		—		8,497
Loans, at fair value:
Residential mortgage loans	1,187,069		(5,711)		462		1,686		549,778		(287,633)		—		—		1,445,651
Commercial mortgage loans	213,031		24		306		70		147,499		(132,480)		—		—		228,450
Consumer loans	47,525		(3,836)		(1,276)		457		26,068		(16,922)		—		—		52,016
Corporate loan	5,855		—		—		—		10,731		(2)		—		—		16,584
Investments in unconsolidated entities, at fair value	141,620		—		161		25,076		82,333		(70,211)		—		—		178,979
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	347		—		42		(44)		7		(49)		—		—		303
Total return swaps	9		—		141		512		—		(142)		—		—		520
Total assets, at fair value	$	1,959,802	$	(10,478)	$	3,344	$	47,598	$	891,873	$	(671,899)	$	12,005	$	(51,133)	$	2,181,112
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(484)	$	—	$	(1,360)	$	428	$	1,360	$	—	$	—	$	—	$	(56)
Other secured borrowings, at fair value	(754,921)		—		—		3,248		323,783		(575,147)		—		—		(1,003,037)
Total liabilities, at fair value	$	(755,405)	$	—	$	(1,360)	$	3,676	$	325,143	$	(575,147)	$	—	$	—	$	(1,003,093)

(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, 2021, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2021. For Level 3 financial instruments held by the Company at June 30, 2021, change in net unrealized gain (loss) of $11.9 million, $2.3 million, $22.7 million, $0.5 million, $0.4 million, and $3.2 million, for the six-month period ended June 30, 2021 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, 2021, the Company transferred $51.1 million of assets from Level 3 to Level 2 and $12.0 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
Investment 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–liabilities, 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.

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, 2021 and December 31, 2020:

	As of
	June 30, 2021				December 31, 2020
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	134,695	$	134,695	$	111,647	$	111,647
Restricted cash	175		175		175		175
Due from brokers	76,396		76,396		63,147		63,147
Reverse repurchase agreements	160,412		160,412		38,640		38,640
Liabilities:
Repurchase agreements	1,916,749		1,916,749		1,496,931		1,496,931
Other secured borrowings	86,374		86,374		51,062		51,062
Senior notes, net	86,860		85,693		86,000		85,561
Due to brokers	2,130		2,130		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 June 30, 2021 and December 31, 2020, the estimated fair value of the Company's Senior notes was based on a third-party valuation.