Valuation (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021:

March 31, 2022:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,493,870	$	8,621	$	1,502,491
Non-Agency RMBS	—		93,236		116,776		210,012
CMBS	—		21,585		9,526		31,111
CLOs	—		24,087		22,824		46,911
Asset-backed securities, backed by consumer loans	—		—		76,504		76,504
Corporate debt securities	—		159		500		659
Corporate equity securities	—		—		9,841		9,841
Loans, at fair value:
Residential mortgage loans	—		—		2,433,007		2,433,007
Commercial mortgage loans	—		—		429,954		429,954
Consumer loans	—		—		9,878		9,878
Corporate loans	—		—		11,788		11,788
Investment in unconsolidated entities, at fair value	—		—		219,303		219,303
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		304		304
Credit default swaps on asset-backed indices	—		1,193		—		1,193
Credit default swaps on corporate bond indices	—		154		—		154
Interest rate swaps	—		51,249		—		51,249
TBAs	—		5,082		—		5,082
Options	—		248		—		248
Warrants	—		1,058		—		1,058
Futures	5,794		—		—		5,794
Total assets	$	5,794	$	1,691,921	$	3,348,826	$	5,046,541
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(79,679)	$	—	$	(79,679)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(38)		—		(38)
Credit default swaps on corporate bonds	—		(84)		—		(84)
Credit default swaps on corporate bond indices	—		(3,321)		—		(3,321)
Interest rate swaps	—		(11,945)		—		(11,945)
TBAs	—		(937)		—		(937)
Futures	(131)		—		—		(131)
Forwards	—		(72)		—		(72)
Other secured borrowings, at fair value	—		—		(1,216,542)		(1,216,542)
Senior notes, at fair value	—		—		(210,000)		(210,000)
Total liabilities	$	(131)	$	(96,076)	$	(1,426,542)	$	(1,522,749)

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)

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 March 31, 2022 and December 31, 2021:

March 31, 2022:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	80,893	Market Quotes	Non Binding Third-Party Valuation	$	0.45		$	178.25		$	75.78
	35,883		Discounted Cash Flows
	116,776			Yield(1)	—		%	112.1		%	10.0		%
				Projected Collateral Prepayments	—		%	73.6		%	44.0		%
				Projected Collateral Losses	—		%	88.6		%	17.6		%
				Projected Collateral Recoveries	—		%	61.4		%	14.6		%
Non-Agency CMBS	8,634		Market Quotes	Non Binding Third-Party Valuation	$	6.92		$	84.56		$	43.77
	892		Discounted Cash Flows
	9,526			Yield	8.0		%	24.5		%	11.9		%
				Projected Collateral Losses	1.6		%	26.8		%	4.6		%
				Projected Collateral Recoveries	0.6		%	95.9		%	93.3		%
CLOs	18,052		Market Quotes	Non Binding Third-Party Valuation	$	7.00		$	99.60		$	62.93
	4,772		Discounted Cash Flows
	22,824			Yield(2)	9.4		%	197.8		%	36.8		%
				Projected Collateral Prepayments	—		%	96.5		%	84.9		%
				Projected Collateral Losses	2.6		%	16.7		%	6.7		%
				Projected Collateral Recoveries	0.7		%	5.7		%	3.8		%
Agency interest only RMBS	4,122		Market Quotes	Non Binding Third-Party Valuation	$	0.38		$	15.29		$	5.41
	4,499		Option Adjusted Spread ("OAS")
	8,621			LIBOR OAS(3)(4)	89			21,381			733
				Projected Collateral Prepayments	24.7		%	100.0		%	61.7		%
ABS backed by consumer loans	76,504		Discounted Cash Flows	Yield	6.4		%	22.6		%	15.5		%
				Projected Collateral Prepayments	0.0		%	11.2		%	9.3		%
				Projected Collateral Losses	1.0		%	25.8		%	19.9		%
Corporate debt and equity	10,341		Discounted Cash Flows	Yield	0.0		%	19.0		%	10.2		%
Performing and re-performing residential mortgage loans	35,429		Recent Transactions	Transaction Price	n/a			n/a			n/a
	1,060,745		Discounted Cash Flows
	1,096,174			Yield	3.4		%	92.2		%	5.5		%

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Securitized residential mortgage loans(5)(6)	$	1,218,736	Market Quotes	Non Binding Third-Party Valuation	$	0.47		$	99.26		$	96.91
	98,831		Discounted Cash Flows
	1,317,567			Yield	2.6		%	13.3		%	5.1		%
Non-performing residential mortgage loans	19,266		Discounted Cash Flows	Yield	3.3		%	61.3		%	14.8		%
				Recovery Amount	—		%	193.4		%	33.5		%
				Months to Resolution	5.8			159.7			26.7
Performing commercial mortgage loans	398,494		Discounted Cash Flows	Yield	4.8		%	8.5		%	6.5		%
Non-performing commercial mortgage loans	31,460		Discounted Cash Flows	Yield	10.8		%	15.1		%	12.9		%
				Recovery Amount	100.0		%	100.3		%	100.0		%
				Months to Resolution	2.8			4.8			3.8
Consumer loans	9,878		Discounted Cash Flows	Yield	8.0		%	28.0		%	9.8		%
				Projected Collateral Prepayments	0.0		%	26.6		%	15.9		%
				Projected Collateral Losses	0.8		%	38.2		%	9.0		%
Corporate loans	7,000		Market Quotes	Non Binding Third-Party Valuation	$	100.00		$	100.00		$	100.00
	4,788		Discounted Cash Flows
	11,788			Yield	3.0		%	21.9		%	15.2		%
Investment in unconsolidated entities—Loan origination entities	116,234		Enterprise Value	Equity Price-to-Book(7)	1.3x			1.7x			1.5x
Investment in unconsolidated entities—Other	89,033		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	14,036		Recent Transactions	Transaction Price	n/a			n/a			n/a
	219,303
Credit default swaps on asset-backed securities	304		Net Discounted Cash Flows	Projected Collateral Prepayments	30.1		%	37.3		%	35.7		%
				Projected Collateral Losses	6.1		%	8.4		%	6.6		%
				Projected Collateral Recoveries	10.1		%	13.6		%	10.2		%
Other secured borrowings, at fair value(5)	(1,216,542)		Market Quotes	Non Binding Third-Party Valuation	$	80.17		$	99.26		$	97.27
				Yield	3.6%			5.2%			4.0%
				Projected Collateral Prepayments	—%			100.0%			99.0%
Senior notes, at fair value	(210,000)		Recent Transactions	Transaction Price	n/a			n/a			n/a

(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 $0.2 million. Including these securities the weighted average yield was 10.6%.

(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 $2.9 million. Including these securities the weighted average yield was 24.0%.

(3)Shown in basis points.

(4)For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.0 million. Including these securities the weighted average was 1,456 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 $8.9 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, 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		%
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		%

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(Continued)	(In thousands)
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 Originators(6)	123,779		Enterprise Value	Equity Price-to-Book(7)	1.2x			1.9x			1.5x
Investment in unconsolidated entities—Other(6)	57,828		Enterprise Value	Net Asset Value	n/a			n/a			n/a
	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)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-month periods ended March 31, 2022 and 2021 (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, 2022

(In thousands)	Beginning Balance as of  December 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  March 31, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	9,710	$	(573)	$	362	$	(1,211)	$	399	$	(514)	$	1,500	$	(1,052)	$	8,621
Non-Agency RMBS	134,888		479		(126)		(2,391)		3,401		(6,688)		5,998		(18,785)		116,776
CMBS	13,134		41		1,143		(747)		3,101		(2,234)		2,926		(7,838)		9,526
CLOs	26,678		(716)		953		1,610		—		(5,781)		2,876		(2,796)		22,824
Asset-backed securities backed by consumer loans	73,108		(1,113)		(274)		(2,023)		18,792		(11,986)		—		—		76,504
Corporate debt securities	5,198		—		1,535		(1,508)		1,728		(6,453)		—		—		500
Corporate equity securities	7,556		—		1,625		(829)		4,127		(2,638)		—		—		9,841
Loans, at fair value:
Residential mortgage loans	2,016,228		(4,467)		1,511		(70,512)		723,095		(232,848)		—		—		2,433,007
Commercial mortgage loans	326,197		—		10		164		267,642		(164,059)		—		—		429,954
Consumer loans	62,365		(2,139)		(180)		(466)		10,946		(60,648)		—		—		9,878
Corporate loan	10,531		—		—		—		1,650		(393)		—		—		11,788
Investments in unconsolidated entities, at fair value	195,643		—		878		(6,384)		139,208		(110,042)		—		—		219,303
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	303		—		(4)		1		4		—		—		—		304
Total assets, at fair value	$	2,881,539	$	(8,488)	$	7,433	$	(84,296)	$	1,174,093	$	(604,284)	$	13,300	$	(30,471)	$	3,348,826
Liabilities:
Other secured borrowings, at fair value	$	(984,168)	$	—	$	—	$	55,641	$	114,754	$	(402,769)	$	—	$	—	$	(1,216,542)
Senior notes, at fair value	—		—		—		—		—		(210,000)		—		—		(210,000)
Total liabilities, at fair value	$	(984,168)	$	—	$	—	$	55,641	$	114,754	$	(612,769)	$	—	$	—	$	(1,426,542)

(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 March 31, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2022. For Level 3 financial instruments held by the Company at March 31, 2022, change in net unrealized gain (loss) of $(4.3) million, $(70.3) million, $(7.8) million, $1 thousand, and $55.6 million, for the three-month period ended March 31, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At March 31, 2022, the Company transferred $30.5 million of assets from Level 3 to Level 2 and $13.3 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, 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
Investment 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(3)	(754,921)		—		—		1,180		92,993		(250,508)		—		—		(911,256)
Total liabilities, at fair value	$	(755,405)	$	—	$	(500)	$	1,326	$	93,493	$	(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.

(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 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.

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 March 31, 2022 and December 31, 2021:

	As of
	March 31, 2022				December 31, 2021
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	363,529	$	363,529	$	92,661	$	92,661
Restricted cash	175		175		175		175
Due from brokers	122,825		122,825		93,549		93,549
Reverse repurchase agreements	131,243		131,243		123,250		123,250
Liabilities:
Repurchase agreements	2,717,638		2,717,638		2,469,763		2,469,763
Other secured borrowings	47,941		47,941		96,622		96,622
Senior notes, net	86,017		85,890		86,249		85,802
Due to brokers	36,043		36,043		2,233		2,233

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, 2022 and December 31, 2021 of the estimated fair value of the Company's Senior notes was based on a third-party valuation.