Valuation (Tables)

9 Months Ended

Sep. 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 September 30, 2021 and December 31, 2020:

September 30, 2021:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,525,275	$	11,732	$	1,537,007
Non-Agency RMBS	—		86,953		106,600		193,553
CMBS	—		1,456		12,148		13,604
CLOs	—		37,157		30,121		67,278
Asset-backed securities, backed by consumer loans	—		—		71,295		71,295
Corporate debt securities	—		413		4,419		4,832
Corporate equity securities	—		—		7,994		7,994
Loans, at fair value:
Residential mortgage loans	—		—		1,656,701		1,656,701
Commercial mortgage loans	—		—		267,591		267,591
Consumer loans	—		—		55,676		55,676
Corporate loans	—		—		16,561		16,561
Investment in unconsolidated entities, at fair value	—		—		142,019		142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		303		303
Credit default swaps on asset-backed indices	—		1,599		—		1,599
Credit default swaps on corporate bond indices	—		174		—		174
Interest rate swaps	—		8,617		—		8,617
TBAs	—		2,399		—		2,399
Options	—		146		—		146
Warrants	—		938		—		938
Futures	1,440		—		—		1,440
Forwards	—		360		—		360
Total assets	$	1,440	$	1,665,487	$	2,383,160	$	4,050,087
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(30,294)	$	—	$	(30,294)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(38)		—		(38)
Credit default swaps on corporate bonds	—		(101)		—		(101)
Credit default swaps on corporate bond indices	—		(1,955)		—		(1,955)
Interest rate swaps	—		(8,851)		—		(8,851)
TBAs	—		(3,081)		—		(3,081)
Futures	(93)		—		—		(93)
Other secured borrowings, at fair value	—		—		(872,306)		(872,306)
Total liabilities	$	(93)	$	(44,320)	$	(872,306)	$	(916,719)

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 September 30, 2021 and December 31, 2020:

September 30, 2021:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	69,090	Market Quotes	Non Binding Third-Party Valuation	$	0.91		$	112.85		$	77.36
	37,510		Discounted Cash Flows
	106,600			Yield(1)	—		%	37.9		%	6.4		%
				Projected Collateral Prepayments	—		%	73.1		%	45.5		%
				Projected Collateral Losses	0.1		%	80.8		%	10.4		%
				Projected Collateral Recoveries	—		%	58.4		%	17.7		%
Non-Agency CMBS	11,879		Market Quotes	Non Binding Third-Party Valuation	$	7.00		$	71.92		$	53.09
	269		Discounted Cash Flows
	12,148			Yield	7.9		%	26.3		%	10.6		%
				Projected Collateral Losses	0.4		%	8.3		%	2.8		%
				Projected Collateral Recoveries	10.6		%	95.7		%	94.2		%
CLOs	24,199		Market Quotes	Non Binding Third-Party Valuation	$	15.00		$	97.80		$	55.74
	5,922		Discounted Cash Flows
	30,121			Yield(2)	7.4		%	100.0		%	28.3		%
				Projected Collateral Prepayments	54.1		%	94.5		%	89.6		%
				Projected Collateral Losses	2.8		%	37.8		%	5.7		%
				Projected Collateral Recoveries	2.5		%	8.1		%	3.8		%
Agency interest only RMBS	6,267		Market Quotes	Non Binding Third-Party Valuation	$	0.55		$	23.24		$	7.20
	5,465		Option Adjusted Spread ("OAS")
	11,732			LIBOR OAS(3)(4)	160			14,334			1,154
				Projected Collateral Prepayments	9.3		%	100.0		%	73.4		%
ABS backed by consumer loans	71,295		Discounted Cash Flows	Yield	12.7		%	121.4		%	16.1		%
				Projected Collateral Prepayments	0.2		%	12.0		%	9.0		%
				Projected Collateral Losses	1.9		%	32.7		%	20.6		%
Corporate debt and equity	12,413		Discounted Cash Flows	Yield	7.8		%	24.4		%	10.6		%
Performing and re-performing residential mortgage loans	716,144		Discounted Cash Flows	Yield	0.3		%	86.4		%	4.3		%

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Securitized residential mortgage loans(5)(6)	$	885,442	Market Quotes	Non Binding Third-Party Valuation	$	0.64		$	103.25		$	100.52
	31,833		Discounted Cash Flows
	917,275			Yield	0.8		%	7.4		%	4.0		%
Non-performing residential mortgage loans	23,282		Discounted Cash Flows	Yield	0.8		%	35.1		%	12.6		%
				Recovery Amount	1.0		%	162.7		%	36.2		%
				Months to Resolution	0.5			73.0			32.5
Performing commercial mortgage loans	227,568		Discounted Cash Flows	Yield	6.2		%	10.6		%	8.0		%
Non-performing commercial mortgage loans	40,023		Discounted Cash Flows	Yield	4.0		%	18.1		%	7.4		%
				Recovery Amount	97.0		%	100.0		%	100.0		%
				Months to Resolution	0.2			0.2			0.2
Consumer loans	55,676		Discounted Cash Flows	Yield	6.6		%	65.8		%	9.3		%
				Projected Collateral Prepayments	0.2		%	30.7		%	14.3		%
				Projected Collateral Losses	1.1		%	80.8		%	9.4		%
Corporate loans	7,000		Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
	9,561		Discounted Cash Flows
	16,561			Yield	3.0		%	29.3		%	21.3		%
Investment in unconsolidated entities - Loan originators	92,838		Enterprise Value	Equity Price-to-Book(7)	1.1x			1.3x			1.2x
Investment in unconsolidated entities - Other	38,613		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities - Loan originators	10,568		Recent Transactions	Transaction Price	n/a			n/a			n/a
	142,019
Credit default swaps on asset-backed securities	303		Net Discounted Cash Flows	Projected Collateral Prepayments	29.9		%	41.0		%	38.5		%
				Projected Collateral Losses	5.0		%	8.7		%	6.4		%
				Projected Collateral Recoveries	11.3		%	16.8		%	12.6		%
Other secured borrowings, at fair value(5)	(872,306)		Market Quotes	Non Binding Third-Party Valuation	$	97.84		$	103.25		$	100.97
				Yield	2.0%			3.2%			2.4%
				Projected Collateral Prepayments	—%			97.8%			67.2%

(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 $2.1 million. Including these securities the weighted average yield was 5.7%.

(2)For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $0.4 million. Including these securities the weighted average yield was 26.4%.

(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 $3.1 million. Including these securities the weighted average was 810 basis points.

(5)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.

(6)Includes $8.8 million of non-performing securitized residential mortgage loans.

(7)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 nine-month periods ended September 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 September 30, 2021

(In thousands)	Beginning Balance as of  June 30, 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  September 30, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	9,936	$	(1,285)	$	(15)	$	278	$	2,038	$	—	$	780	$	—	$	11,732
Non-Agency RMBS	114,464		612		680		(1,918)		154		(9,005)		1,613		—		106,600
CMBS	17,025		27		1,987		(468)		—		(15,070)		8,647		—		12,148
CLOs	33,989		(1,688)		2,689		3,007		85		(7,961)		—		—		30,121
Asset-backed securities backed by consumer loans	69,254		(1,813)		287		(1,598)		15,853		(10,688)		—		—		71,295
Corporate debt securities	5,444		—		1,271		(700)		2,207		(3,803)		—		—		4,419
Corporate equity securities	8,497		—		661		224		351		(1,739)		—		—		7,994
Loans, at fair value:
Residential mortgage loans	1,445,651		(3,864)		277		(4,475)		405,291		(186,179)		—		—		1,656,701
Commercial mortgage loans	228,450		—		17		71		72,415		(33,362)		—		—		267,591
Consumer loans	52,016		(1,919)		(105)		19		13,941		(8,276)		—		—		55,676
Corporate loan	16,584		—		—		(267)		254		(10)		—		—		16,561
Investments in unconsolidated entities, at fair value	178,979		—		4,225		(1,676)		9,674		(49,183)		—		—		142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	303		—		(4)		—		4		—		—		—		303
Total return swaps	520		—		26		(520)		—		(26)		—		—		—
Total assets, at fair value	$	2,181,112	$	(9,930)	$	11,996	$	(8,023)	$	522,267	$	(325,302)	$	11,040	$	—	$	2,383,160
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(56)	$	—	$	(67)	$	56	$	67	$	—	$	—	$	—	$	—
Other secured borrowings, at fair value	(1,003,037)		—		—		1,482		129,249		—		—		—		(872,306)
Total liabilities, at fair value	$	(1,003,093)	$	—	$	(67)	$	1,538	$	129,316	$	—	$	—	$	—	$	(872,306)

(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, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $3.1 million, $(4.7) million, $(2.7) million, $0.1 million, $0.1 million, and $1.5 million, for the three-month period ended September 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 September 30, 2021, the Company transferred $11.0 million of assets 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, 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.

Nine-Month Period Ended September 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  September 30, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	11,663	$	(2,570)	$	943	$	(1,408)	$	2,039	$	(1,533)	$	5,093	$	(2,495)	$	11,732
Non-Agency RMBS	127,838		1,926		2,993		(2,533)		22,392		(42,009)		5,831		(9,838)		106,600
CMBS	63,148		404		4,329		4,946		—		(60,449)		397		(627)		12,148
CLOs	111,100		(371)		934		19,782		104		(77,879)		1,601		(25,150)		30,121
Asset-backed securities backed by consumer loans	44,925		(3,796)		466		(3,181)		61,665		(28,784)		—		—		71,295
Corporate debt securities	4,082		—		1,497		(517)		3,824		(4,467)		—		—		4,419
Corporate equity securities	1,590		—		276		2,538		5,329		(1,739)		—		—		7,994
Loans, at fair value:
Residential mortgage loans	1,187,069		(9,575)		738		(2,788)		955,069		(473,812)		—		—		1,656,701
Commercial mortgage loans	213,031		24		323		141		219,914		(165,842)		—		—		267,591
Consumer loans	47,525		(5,756)		(1,381)		476		40,008		(25,196)		—		—		55,676
Corporate loan	5,855		—		—		(267)		10,985		(12)		—		—		16,561
Investments in unconsolidated entities, at fair value	141,620		—		4,386		23,400		92,008		(119,395)		—		—		142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	347		—		39		(44)		10		(49)		—		—		303
Total return swaps	9		—		167		(9)		—		(167)		—		—		—
Total assets, at fair value	$	1,959,802	$	(19,714)	$	15,710	$	40,536	$	1,413,347	$	(1,001,333)	$	12,922	$	(38,110)	$	2,383,160
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(484)	$	—	$	(1,428)	$	484	$	1,428	$	—	$	—	$	—	$	—
Other secured borrowings, at fair value	(754,921)		—		—		4,730		453,032		(575,147)		—		—		(872,306)
Total liabilities, at fair value	$	(755,405)	$	—	$	(1,428)	$	5,214	$	454,460	$	(575,147)	$	—	$	—	$	(872,306)

(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, 2021, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $13.6 million, $(2.4) million, $19.9 million, $(0.1) million, and $4.7 million, for the nine-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At September 30, 2021, the Company transferred $38.1 million of assets from Level 3 to Level 2 and $12.9 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
Investment 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.

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, 2021 and December 31, 2020:

	As of
	September 30, 2021				December 31, 2020
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	103,617	$	103,617	$	111,647	$	111,647
Restricted cash	175		175		175		175
Due from brokers	89,983		89,983		63,147		63,147
Reverse repurchase agreements	38,062		38,062		38,640		38,640
Liabilities:
Repurchase agreements	2,105,836		2,105,836		1,496,931		1,496,931
Other secured borrowings	90,981		90,981		51,062		51,062
Senior notes, net	86,490		85,759		86,000		85,561
Due to brokers	2,560		2,560		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 September 30, 2021 and December 31, 2020, the estimated fair value of the Company's Senior notes was based on a third-party valuation.