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Valuation (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and December 31, 2021:

September 30, 2022:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	1,127,496	$	7,819	$	1,135,315
Non-Agency RMBS	—		110,763		105,785		216,548
CMBS	—		10,883		8,669		19,552
CLOs	—		13,247		17,288		30,535
Asset-backed securities, backed by consumer loans	—		—		75,568		75,568
Corporate debt securities	—		—		3,602		3,602
Corporate equity securities	—		—		11,169		11,169
U.S. Treasury securities	—		30,483		—		30,483
Loans, at fair value:
Residential mortgage loans	—		—		3,348,810		3,348,810
Commercial mortgage loans	—		—		464,513		464,513
Consumer loans	—		—		6,038		6,038
Corporate loans	—		—		3,534		3,534
Investment in unconsolidated entities, at fair value	—		—		171,379		171,379
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		77		77
Credit default swaps on asset-backed indices	—		2,250		—		2,250
Credit default swaps on corporate bonds	—		95		—		95
Credit default swaps on corporate bond indices	—		930		—		930
Interest rate swaps	—		125,823		—		125,823
TBAs	—		29,116		—		29,116

Warrants	—		663		—		663
Futures	828		—		—		828
Forwards	—		261		—		261
Total assets	$	828	$	1,452,010	$	4,224,251	$	5,677,089
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(199,542)	$	—	$	(199,542)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(32)		—		(32)
Credit default swaps on corporate bonds	—		(251)		—		(251)
Credit default swaps on corporate bond indices	—		(17)		—		(17)
Interest rate swaps	—		(49,041)		—		(49,041)
TBAs	—		(798)		—		(798)
Futures	(242)		—		—		(242)
Total return swaps	—		—		(37)		(37)
Other secured borrowings, at fair value	—		—		(1,635,829)		(1,635,829)
Senior notes, at fair value	—		—		(193,515)		(193,515)
Total liabilities	$	(242)	$	(249,681)	$	(1,829,381)	$	(2,079,304)

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 September 30, 2022 and December 31, 2021:

September 30, 2022:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	62,658	Market Quotes	Non Binding Third-Party Valuation	$	0.47		$	153.16		$	69.69
	43,127		Discounted Cash Flows
	105,785			Yield(1)	—		%	121.3		%	13.7		%
				Projected Collateral Prepayments	—		%	99.0		%	34.0		%
				Projected Collateral Losses	—		%	97.3		%	20.3		%
				Projected Collateral Recoveries	—		%	70.1		%	18.9		%
Non-Agency CMBS	8,115		Market Quotes	Non Binding Third-Party Valuation	$	6.35		$	74.51		$	34.62
	554		Discounted Cash Flows
	8,669			Yield	6.7		%	15.9		%	11.6		%
				Projected Collateral Losses	0.5		%	29.5		%	4.8		%
				Projected Collateral Recoveries	70.5		%	96.4		%	93.1		%
CLOs	10,755		Market Quotes	Non Binding Third-Party Valuation	$	4.00		$	70.00		$	40.18
	6,533		Discounted Cash Flows
	17,288			Yield	16.0		%	49.6		%	28.8		%
Agency interest only RMBS	2,650		Market Quotes	Non Binding Third-Party Valuation	$	0.39		$	18.97		$	11.36
	5,169		Option Adjusted Spread ("OAS")
	7,819			LIBOR OAS(2)(3)	74			4,176			611
				Projected Collateral Prepayments	23.7		%	100.0		%	58.9		%
ABS backed by consumer loans	75,568		Discounted Cash Flows	Yield	2.2		%	29.1		%	12.7		%
				Projected Collateral Prepayments	0.0		%	17.7		%	14.1		%
				Projected Collateral Losses	0.5		%	29.2		%	22.8		%
Corporate debt and equity	14,771		Discounted Cash Flows	Yield	10.0		%	25.8		%	11.3		%
Performing and re-performing residential mortgage loans	1,560,948		Discounted Cash Flows	Yield	2.5		%	62.4		%	7.5		%




Securitized residential mortgage loans(4)(5)	1,676,395		Market Quotes	Non Binding Third-Party Valuation	$	0.57		$	97.28		$	86.70
	86,450		Discounted Cash Flows
	1,762,845			Yield	4.2		%	18.3		%	7.2		%
Non-performing residential mortgage loans	25,017		Discounted Cash Flows	Yield	4.0		%	60.1		%	13.1		%
				Recovery Amount	1.6		%	188.3		%	28.4		%
				Months to Resolution	5.8			103.7			25.7
Performing commercial mortgage loans	432,740		Discounted Cash Flows	Yield	7.4		%	11.7		%	9.4		%
Non-performing commercial mortgage loans	31,773		Discounted Cash Flows	Yield	14.5		%	23.5		%	19.1		%
				Recovery Amount	100.0		%	100.2		%	100.1		%
				Months to Resolution	2.8			2.8			2.8


	Fair Value	Valuation Technique	Unobservable Input	Range						Weighted Average
Description				Min			Max
(continued)	(In thousands)
Consumer loans	6,038	Discounted Cash Flows	Yield	10.5		%	73.0		%	14.5		%
			Projected Collateral Prepayments	0.0		%	23.7		%	13.4		%
			Projected Collateral Losses	1.4		%	60.3		%	11.5		%
Corporate loans	3,534	Discounted Cash Flows	Yield	6.0		%	7.0		%	6.1		%
Investment in unconsolidated entities—Loan origination entities	32,848	Enterprise Value	Equity Price-to-Book(6)	1.0x			3.3x			1.4x
Investment in unconsolidated entities—Other	87,864	Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	50,667	Recent Transactions	Transaction Price	n/a			n/a			n/a
	171,379
Credit default swaps on asset-backed securities	77	Net Discounted Cash Flows	Projected Collateral Prepayments	22.8		%	31.0		%	23.7		%
			Projected Collateral Losses	6.5		%	8.8		%	8.6		%
			Projected Collateral Recoveries	12.1		%	15.8		%	12.2		%
Total return swaps	(37)	Discounted Cash Flows	Yield	16.3		%	16.3		%	16.3		%
Other secured borrowings, at fair value(4)	(1,635,829)	Market Quotes	Non Binding Third-Party Valuation	$	51.06		$	97.28		$	88.76
			Yield	5.0%			6.7%			6.3%
			Projected Collateral Prepayments	87.4%			90.9%			88.9%
Senior notes, at fair value	(193,515)	Market Quotes	Non Binding Third-Party Valuation	$	92.15		$	92.15		$	92.15

(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 13.6%.

(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 $0.5 million. Including these securities the weighted average was 512 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 $9.0 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, 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- and nine-month periods ended September 30, 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 September 30, 2022


(In thousands)	Beginning Balance as of June 30, 2022		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, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	12,389	$	(751)	$	(723)	$	(62)	$	—	$	(2,214)	$	1,094	$	(1,914)	$	7,819
Non-Agency RMBS	131,449		(73)		216		(5,402)		—		(13,789)		3,240		(9,856)		105,785
CMBS	9,380		54		1,932		(581)		—		(3,265)		3,230		(2,081)		8,669
CLOs	23,378		(631)		3,324		(221)		—		(6,086)		643		(3,119)		17,288
Asset-backed securities backed by consumer loans	78,183		(2,376)		318		(2,618)		13,063		(11,002)		—		—		75,568
Corporate debt securities	1,767		—		133		(148)		5,391		(3,541)		—		—		3,602
Corporate equity securities	10,276		—		(80)		188		785		—		—		—		11,169
Loans, at fair value:
Residential mortgage loans	2,995,584		(3,394)		(1,561)		(114,175)		712,965		(240,609)		—		—		3,348,810
Commercial mortgage loans	477,378		—		11		54		77,888		(90,818)		—		—		464,513
Consumer loans	7,410		(362)		(1,172)		986		523		(1,347)		—		—		6,038
Corporate loan	10,448		—		—		—		100		(7,014)		—		—		3,534
Investments in unconsolidated entities, at fair value	192,269		—		(1,317)		(24,196)		36,928		(32,305)		—		—		171,379
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	202		—		(844)		717		2		—		—		—		77
Total assets, at fair value	$	3,950,113	$	(7,533)	$	237	$	(145,458)	$	847,645	$	(411,990)	$	8,207	$	(16,970)	$	4,224,251
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	—	$	—	$	—	$	(37)	$	—	$	—	$	—	$	—	$	(37)
Other secured borrowings, at fair value	(1,448,182)		(397)		—		79,430		57,864		(324,544)		—		—		(1,635,829)
Senior notes, at fair value	(202,650)		—		—		9,135		—		—		—		—		(193,515)
Total liabilities, at fair value	$	(1,650,832)	$	(397)	$	—	$	88,528	$	57,864	$	(324,544)	$	—	$	—	$	(1,829,381)

(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, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(8.0) million, $(113.1) million, $(27.0) million, $0.7 million, $(37) thousand, $79.4 million, and $9.1 million, for the three-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively.

At September 30, 2022, the Company transferred $17.0 million of assets from Level 3 to Level 2 and $8.2 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 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(3)	(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.

(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 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 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, 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 September 30, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	9,710	$	(1,595)	$	9	$	(1,421)	$	840	$	(1,074)	$	3,393	$	(2,043)	$	7,819
Non-Agency RMBS	134,888		743		2,167		(14,655)		18,614		(26,541)		18,916		(28,347)		105,785
CMBS	13,134		97		3,050		(2,142)		620		(5,297)		5,470		(6,263)		8,669
CLOs	26,678		(2,048)		6,231		(2,859)		—		(13,659)		8,205		(5,260)		17,288
Asset-backed securities backed by consumer loans	73,108		(4,528)		18		(8,250)		49,300		(34,080)		—		—		75,568
Corporate debt securities	5,198		—		1,666		(1,828)		10,703		(12,137)		—		—		3,602
Corporate equity securities	7,556		—		1,659		(1,176)		5,768		(2,638)		—		—		11,169
Loans, at fair value:
Residential mortgage loans	2,016,228		(12,405)		56		(297,423)		2,332,444		(690,090)		—		—		3,348,810
Commercial mortgage loans	326,197		—		22		(1,170)		411,693		(272,229)		—		—		464,513
Consumer loans	62,365		(2,885)		(1,870)		615		11,505		(63,692)		—		—		6,038
Corporate loan	10,531		—		(1,000)		—		2,425		(8,422)		—		—		3,534
Investments in unconsolidated entities, at fair value	195,643		—		(177)		(54,107)		232,838		(202,818)		—		—		171,379
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	303		—		(853)		615		12		—		—		—		77
Total assets, at fair value	$	2,881,539	$	(22,621)	$	10,978	$	(383,801)	$	3,076,762	$	(1,332,677)	$	35,984	$	(41,913)	$	4,224,251
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps	$	—	$	—	$	—	$	(37)	$	—	$	—	$	—	$	—	$	(37)
Other secured borrowings, at fair value	(984,168)		(397)		—		202,329		271,817		(1,125,410)		—		—		(1,635,829)
Senior notes, at fair value	—		—		—		16,485		—		(210,000)		—		—		(193,515)
Total liabilities, at fair value	$	(984,168)	$	(397)	$	—	$	218,777	$	271,817	$	(1,335,410)	$	—	$	—	$	(1,829,381)

(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, 2022, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(31.8) million, $(297.6) million, $(61.0) million, $0.6 million, $(37) thousand, $202.3 million, and $16.5 million, for the nine-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively.

At September 30, 2022, the Company transferred $41.9 million of assets from Level 3 to Level 2 and $36.0 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.

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
Investment 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(3)	(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.

(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 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.

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, 2022 and December 31, 2021:


	As of
	September 30, 2022				December 31, 2021
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	175,230	$	175,230	$	92,661	$	92,661
Restricted cash	—		—		175		175
Due from brokers	86,957		86,957		93,549		93,549
Reverse repurchase agreements	204,654		204,654		123,250		123,250
Liabilities:
Repurchase agreements	2,895,019		2,895,019		2,469,763		2,469,763
Other secured borrowings	40,900		40,900		96,622		96,622
Senior notes, net	—		—		86,249		85,802
Due to brokers	61,978		61,978		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 December 31, 2021, the estimated fair value of the Company's Senior notes, net was based on a third-party valuation.