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Valuation (Tables)

12 Months Ended

Dec. 31, 2021

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 December 31, 2021 and 2020:

December 31, 2021:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,686,906	$	9,710	$	1,696,616
Non-Agency RMBS	—		81,666		134,888		216,554
CMBS	—		12,509		13,134		25,643
CLOs	—		35,651		26,678		62,329
Asset-backed securities, backed by consumer loans	—		—		73,108		73,108
Corporate debt securities	—		356		5,198		5,554
Corporate equity securities	—		—		7,556		7,556
Loans, at fair value:
Residential mortgage loans	—		—		2,016,228		2,016,228
Commercial mortgage loans	—		—		326,197		326,197
Consumer loans	—		—		62,365		62,365
Corporate loans	—		—		10,531		10,531
Investment in unconsolidated entities, at fair value	—		—		195,643		195,643
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		303		303
Credit default swaps on asset-backed indices	—		1,751		—		1,751
Credit default swaps on corporate bond indices	—		156		—		156
Interest rate swaps	—		13,993		—		13,993
TBAs	—		1,229		—		1,229
Options	—		278		—		278
Warrants	—		706		—		706
Futures	478		—		—		478
Total assets	$	478	$	1,835,201	$	2,881,539	$	4,717,218
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(120,525)	$	—	$	(120,525)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(39)		—		(39)
Credit default swaps on corporate bonds	—		(99)		—		(99)
Credit default swaps on corporate bond indices	—		(1,870)		—		(1,870)
Interest rate swaps	—		(9,098)		—		(9,098)
TBAs	—		(909)		—		(909)
Futures	(75)		—		—		(75)
Forwards	—		(208)		—		(208)
Other secured borrowings, at fair value	—		—		(984,168)		(984,168)
Total liabilities	$	(75)	$	(132,748)	$	(984,168)	$	(1,116,991)

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 identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2021 and 2020:

December 31, 2021:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	89,344	Market Quotes	Non Binding Third-Party Valuation	$	0.34		$	222.87		$	85.17
	45,544		Discounted Cash Flows
	134,888			Yield(1)	—		%	38.6		%	6.8		%
				Projected Collateral Prepayments	—		%	74.4		%	39.1		%
				Projected Collateral Losses	—		%	82.9		%	22.5		%
				Projected Collateral Recoveries	—		%	91.5		%	17.5		%
Non-Agency CMBS	12,866		Market Quotes	Non Binding Third-Party Valuation	$	7.00		$	90.77		$	56.98
	268		Discounted Cash Flows
	13,134			Yield	7.6		%	26.3		%	10.3		%
				Projected Collateral Losses	—		%	6.5		%	2.3		%
				Projected Collateral Recoveries	10.0		%	100.0		%	95.0		%
CLOs	18,664		Market Quotes	Non Binding Third-Party Valuation	$	14.00		$	99.75		$	54.99
	8,014		Discounted Cash Flows
	26,678			Yield(2)	9.0		%	292.1		%	32.8		%
				Projected Collateral Prepayments	13.4		%	94.5		%	91.3		%
				Projected Collateral Losses	1.9		%	68.9		%	4.4		%
				Projected Collateral Recoveries	1.3		%	17.8		%	3.4		%
Agency interest only RMBS	3,558		Market Quotes	Non Binding Third-Party Valuation	$	0.72		$	20.36		$	7.31
	6,152		Option Adjusted Spread ("OAS")
	9,710			LIBOR OAS(3)(4)	135			19,247			683
				Projected Collateral Prepayments	49.5		%	100.0		%	78.8		%
ABS backed by consumer loans	73,108		Discounted Cash Flows	Yield	9.5		%	22.8		%	15.7		%
				Projected Collateral Prepayments	0.0		%	11.6		%	9.0		%
				Projected Collateral Losses	1.0		%	31.1		%	20.9		%
Corporate debt and equity	12,754		Discounted Cash Flows	Yield	8.1		%	44.3		%	14.7		%

Performing and re-performing residential mortgage loans	933		Recent Transactions	Transaction Price	n/a			n/a			n/a
	951,723		Discounted Cash Flows
	952,656			Yield	0.9		%	57.5		%	4.7		%


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Securitized residential mortgage loans(5)(6)	$	1,003,164	Market Quotes	Non Binding Third-Party Valuation	$	88.36		$	102.14		$	99.83
	38,381		Discounted Cash Flows
	1,041,545			Yield	1.3		%	23.5		%	4.2		%
Non-performing residential mortgage loans	22,027		Discounted Cash Flows	Yield	0.8		%	35.9		%	11.5		%
				Recovery Amount	0.5		%	174.8		%	34.8		%
				Months to Resolution	5.8			100.8			29.5
Performing commercial mortgage loans	310,735		Discounted Cash Flows	Yield	5.1		%	10.6		%	7.2		%
Non-performing commercial mortgage loans	15,462		Discounted Cash Flows	Yield	10.6		%	10.6		%	10.6		%
				Recovery Amount	100.2		%	100.2		%	100.2		%
				Months to Resolution	1.8			1.8			1.8
Consumer loans	62,365		Discounted Cash Flows	Yield	5.2		%	75.6		%	9.3		%
				Projected Collateral Prepayments	0.0		%	28.4		%	14.1		%
				Projected Collateral Losses	0.9		%	86.6		%	9.7		%
Corporate loans	7,000		Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
	3,531		Discounted Cash Flows
	10,531			Yield	3.0		%	21.9		%	16.1		%
Investment in unconsolidated entities—Loan origination entities	123,779		Enterprise Value	Equity Price-to-Book(7)	1.2x			1.9x			1.5x
Investment in unconsolidated entities—Other	57,828		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination entities	14,036		Recent Transactions	Transaction Price	n/a			n/a			n/a
	195,643
Credit default swaps on asset-backed securities	303		Net Discounted Cash Flows	Projected Collateral Prepayments	33.9		%	41.9		%	40.1		%
				Projected Collateral Losses	6.5		%	8.8		%	7.0		%
				Projected Collateral Recoveries	11.2		%	11.4		%	11.3		%
Other secured borrowings, at fair value(5)	(984,168)		Market Quotes	Non Binding Third-Party Valuation	$	93.34		$	102.14		$	99.94
				Yield	1.8%			2.5%			2.1%
				Projected Collateral Prepayments	—%			97.2%			68.1%

(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 6.5%.

(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 $14 thousand. Including these securities the weighted average yield was 32.7%.

(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 $2.1 million. Including these securities the weighted average was 485 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 years ended December 31, 2021, 2020, and 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Year Ended December 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 December 31, 2021
Assets:
Securities, at fair value:
Agency RMBS	$	11,663	$	(3,565)	$	882	$	(1,924)	$	2,889	$	(1,533)	$	3,683	$	(2,385)	$	9,710
Non-Agency RMBS	127,838		2,484		3,363		(3,735)		51,099		(49,406)		8,181		(4,936)		134,888
CMBS	63,148		434		4,329		5,000		902		(60,449)		389		(619)		13,134
CLOs	111,100		(1,580)		935		18,843		104		(78,892)		1,544		(25,376)		26,678
Asset-backed securities backed by consumer loans	44,925		(5,537)		(1,881)		(2,122)		77,713		(39,990)		—		—		73,108
Corporate debt securities	4,082		—		1,818		212		4,224		(5,138)		—		—		5,198
Corporate equity securities	1,590		—		324		1,783		5,829		(1,970)		—		—		7,556
Loans, at fair value:
Residential mortgage loans	1,187,069		(13,746)		(423)		(20,204)		1,546,371		(682,839)		—		—		2,016,228
Commercial mortgage loans	213,031		(8)		304		(271)		403,078		(289,937)		—		—		326,197
Consumer loans	47,525		(7,633)		(1,415)		(5)		58,010		(34,117)		—		—		62,365
Corporate loan	5,855		—		—		—		11,334		(6,658)		—		—		10,531
Investments in unconsolidated entities, at fair value	141,620		—		5,510		52,594		168,757		(172,838)		—		—		195,643
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	347		—		34		(44)		15		(49)		—		—		303
Total return swaps	9		—		170		(9)		—		(170)		—		—		—
Total assets, at fair value	$	1,959,802	$	(29,151)	$	13,950	$	50,118	$	2,330,325	$	(1,423,986)	$	13,797	$	(33,316)	$	2,881,539
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(484)	$	—	$	(1,427)	$	484	$	1,427	$	—	$	—	$	—	$	—
Other secured borrowings, at fair value	(754,921)		—		—		15,843		583,874		(828,964)		—		—		(984,168)
Total liabilities, at fair value	$	(755,405)	$	—	$	(1,427)	$	16,327	$	585,301	$	(828,964)	$	—	$	—	$	(984,168)

(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 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 December 31, 2021, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2021. For Level 3 financial instruments held by the Company at December 31, 2021, change in net unrealized gain (loss) of $7.0 million, $(20.5) million, $51.7 million, $(43) thousand, and $15.8 million, for the year ended December 31, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At December 31, 2021, the Company transferred $33.3 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.

Year Ended December 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 December 31, 2020
Assets:
Securities, at fair value:
Agency RMBS	$	19,904	$	(7,903)	$	722	$	3,175	$	8,307	$	(5,046)	$	1,083	$	(8,579)	$	11,663
Non-Agency RMBS	89,581		1,557		1,009		(1,283)		64,362		(40,841)		17,425		(3,972)		127,838
CMBS	29,805		813		62		(2,477)		52,915		(38,553)		20,583		—		63,148
CLOs	44,979		2,185		(8,862)		(13,132)		48,120		(6,747)		53,052		(8,495)		111,100
Asset-backed securities backed by consumer loans	48,610		(4,986)		(138)		(1,245)		30,899		(28,215)		—		—		44,925
Corporate debt securities	1,113		—		914		1,068		5,668		(4,681)		—		—		4,082
Corporate equity securities	1,394		—		7		(165)		366		(12)		—		—		1,590
Loans, at fair value:
Residential mortgage loans	932,203		(6,445)		(165)		11,593		594,397		(344,514)		—		—		1,187,069
Commercial mortgage loans	274,759		128		135		(166)		121,844		(183,669)		—		—		213,031
Consumer loans	186,954		(24,586)		(4,843)		(2,891)		141,245		(248,354)		—		—		47,525
Corporate loan	18,510		—		—		—		1,445		(14,100)		—		—		5,855
Investment in unconsolidated entities, at fair value	71,850		—		424		37,509		61,589		(29,752)		—		—		141,620
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	993		—		(5,451)		5,402		24		(621)		—		—		347
Total return swaps	620		—		288		(611)		126		(414)		—		—		9
Total assets, at fair value	$	1,721,275	$	(39,237)	$	(15,898)	$	36,777	$	1,131,307	$	(945,519)	$	92,143	$	(21,046)	$	1,959,802
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	(436)	$	—	$	(551)	$	(48)	$	592	$	(41)	$	—	$	—	$	(484)
Other secured borrowings, at fair value(3)	(594,396)		—		—		(9,316)		305,828		(457,037)		—		—		(754,921)
Total liabilities, at fair value	$	(594,832)	$	—	$	(551)	$	(9,364)	$	306,420	$	(457,078)	$	—	$	—	$	(755,405)

(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.

(3)Conformed to current period presentation.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying 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 December 31, 2020, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2020. For Level 3 financial instruments held by the Company at December 31, 2020, change in net unrealized gain (loss) of $(33.3) million, $8.6 million, $37.1 million, $0.5 million, $(0.5) million, and $(9.3) million, for the year ended December 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 December 31, 2020, the Company transferred $21.0 million of assets from Level 3 to Level 2 and $92.1 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.

Year Ended December 31, 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 December 31, 2019
Assets:
Securities, at fair value:
Agency RMBS	$	7,293	$	(3,464)	$	(1,787)	$	808	$	13,818	$	(1,306)	$	5,370	$	(828)	$	19,904
Non-Agency RMBS	91,291		270		5,636		(3,654)		21,512		(33,664)		15,354		(7,164)		89,581
CMBS	803		16		180		(246)		31,464		(5,271)		2,859		—		29,805
CLOs	14,915		(268)		(3,190)		2,329		25,531		(5,112)		11,984		(1,210)		44,979
Asset-backed securities backed by consumer loans	22,800		(2,520)		(891)		873		42,137		(13,789)		—		—		48,610
Corporate debt securities	6,318		22		(1,341)		188		11,024		(15,098)		—		—		1,113
Corporate equity securities	1,534		—		(1,807)		205		1,462		—		—		—		1,394
Loans, at fair value:
Residential mortgage loans	496,830		(6,081)		1,466		8,800		661,813		(230,625)		—		—		932,203
Commercial mortgage loans	195,301		(282)		2,412		(2,083)		175,689		(96,278)		—		—		274,759
Consumer loans	183,961		(28,521)		(6,291)		3,000		183,994		(149,189)		—		—		186,954
Corporate loan	—		36		—		(36)		18,510		—		—		—		18,510
Investment in unconsolidated entities, at fair value	72,298		—		1,545		8,664		42,173		(52,830)		—		—		71,850
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	1,472		—		528		(479)		33		(561)		—		—		993
Total return swaps	—		—		160		620		—		(160)		—		—		620
Total assets, at fair value	$	1,094,816	$	(40,792)	$	(3,380)	$	18,989	$	1,229,160	$	(603,883)	$	35,567	$	(9,202)	$	1,721,275
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	—	$	—	$	(15)	$	(436)	$	15	$	—	$	—	$	—	$	(436)
Other secured borrowings, at fair value(3)	(297,948)		—		—		(760)		182,291		(477,979)		—		—		(594,396)
Total liabilities, at fair value	$	(297,948)	$	—	$	(15)	$	(1,196)	$	182,306	$	(477,979)	$	—	$	—	$	(594,832)

(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.

(3)Conformed to current period presentation.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying 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 December 31, 2019, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2019. For Level 3 financial instruments held by the Company at December 31, 2019, change in net unrealized gain (loss) of $2.4 million, $11.5 million, $5.2 million, $0.1 million, $(0.4) million, and $(0.8) million, for the year ended December 31, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At December 31, 2019, the Company transferred $9.2 million of assets from Level 3 to Level 2 and $35.6 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.

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 December 31, 2021 and 2020:


	As of
	December 31, 2021				December 31, 2020
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	92,661	$	92,661	$	111,647	$	111,647
Restricted cash	175		175		175		175
Due from brokers	93,549		93,549		63,147		63,147
Reverse repurchase agreements	123,250		123,250		38,640		38,640
Liabilities:
Repurchase agreements	2,469,763		2,469,763		1,496,931		1,496,931
Other secured borrowings	96,622		96,622		51,062		51,062
Senior notes, net	86,249		85,802		86,000		85,561
Due to brokers	2,233		2,233		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 December 31, 2021 and 2020, the estimated fair value of the Company's Senior notes was based on a third-party valuation.