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Valuation (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022:

June 30, 2023:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	913,139	$	5,355	$	918,494
Non-Agency RMBS	—		108,745		168,609		277,354
CMBS	—		8,444		12,308		20,752
CLOs	—		5,485		19,733		25,218
Asset-backed securities, backed by consumer loans	—		—		77,139		77,139
Corporate debt securities	—		—		9,633		9,633
Corporate equity securities	1,000		—		10,736		11,736
U.S. Treasury securities	—		160,537		—		160,537
Loans, at fair value:
Residential mortgage loans	—		—		2,993,683		2,993,683
Commercial mortgage loans	—		—		348,360		348,360
Consumer loans	—		—		3,059		3,059
Corporate loans	—		—		6,532		6,532
Reverse mortgage loans	—		—		8,471,061		8,471,061
MSRs, at fair value	—		—		7,473		7,473
Servicing asset, at fair value	—		—		1,304		1,304
Loan commitments, at fair value	—		—		3,800		3,800
Investment in unconsolidated entities, at fair value	—		—		118,420		118,420
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		76		76
Credit default swaps on asset-backed indices	—		4,536		—		4,536
Credit default swaps on corporate bond indices	—		19		—		19
Interest rate swaps	—		118,910		—		118,910
TBAs	—		2,893		—		2,893
Warrants	—		1,205		—		1,205
Futures	3,792		—		—		3,792
Forwards	—		41		—		41
Total assets	$	4,792	$	1,323,954	$	12,257,281	$	13,586,027


Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(161,455)	$	—	$	(161,455)
Common stock	(263)		—		—		(263)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(33)		—		(33)
Credit default swaps on corporate bonds	—		(283)		—		(283)
Credit default swaps on corporate bond indices	—		(9,400)		—		(9,400)
Interest rate swaps	—		(20,247)		—		(20,247)
TBAs	—		(536)		—		(536)
Futures	(3)		—		—		(3)
Other secured borrowings, at fair value	—		—		(1,472,368)		(1,472,368)
HMBS-related obligations, at fair value	—		—		(8,055,288)		(8,055,288)
Senior notes, at fair value	—		—		(185,325)		(185,325)
Total liabilities	$	(266)	$	(191,954)	$	(9,712,981)	$	(9,905,201)

December 31, 2022:


Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	961,236	$	7,027	$	968,263
Non-Agency RMBS	—		129,676		132,502		262,178
CMBS	—		5,604		12,649		18,253
CLOs	—		6,463		24,598		31,061
Asset-backed securities, backed by consumer loans	—		—		73,644		73,644
Corporate debt securities	—		—		7,533		7,533
Corporate equity securities	—		—		11,111		11,111
U.S. Treasury securities	—		87,422		—		87,422
Loans, at fair value:
Residential mortgage loans	—		—		3,115,518		3,115,518
Commercial mortgage loans	—		—		404,324		404,324
Consumer loans	—		—		4,843		4,843
Corporate loans	—		—		4,086		4,086
Reverse mortgage loans	—		—		8,097,237		8,097,237
MSRs, at fair value	—		—		8,108		8,108
Servicing asset, at fair value	—		—		999		999
Loan commitments, at fair value	—		—		3,060		3,060
Investment in unconsolidated entities, at fair value	—		—		127,046		127,046
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	—		—		76		76
Credit default swaps on asset-backed indices	—		3,366		—		3,366
Credit default swaps on corporate bond indices	—		83		—		83
Interest rate swaps	—		117,022		—		117,022
TBAs	—		7,985		—		7,985
Warrants	—		1,137		—		1,137
Futures	2,772		—		—		2,772
Forwards	—		77		—		77
Total assets	$	2,772	$	1,320,071	$	12,034,361	$	13,357,204


Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(209,203)	$	—	$	(209,203)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices	—		(33)		—		(33)
Credit default swaps on corporate bonds	—		(259)		—		(259)
Credit default swaps on corporate bond indices	—		(1,513)		—		(1,513)
Interest rate swaps	—		(50,290)		—		(50,290)
TBAs	—		(2,007)		—		(2,007)
Futures	(96)		—		—		(96)
Other secured borrowings, at fair value	—		—		(1,539,881)		(1,539,881)
HMBS-related obligations, at fair value	—		—		(7,787,155)		(7,787,155)
Senior notes, at fair value	—		—		(191,835)		(191,835)
Total liabilities	$	(96)	$	(263,305)	$	(9,518,871)	$	(9,782,272)

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 June 30, 2023 and December 31, 2022:

June 30, 2023:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	99,850	Market Quotes	Non Binding Third-Party Valuation	$	0.47		$	147.30		$	77.49
	68,759		Discounted Cash Flows
	168,609			Yield	0.0		%	104.7		%	12.4		%
				Projected Collateral Prepayments	0.0		%	100.0		%	35.9		%
				Projected Collateral Losses	0.0		%	98.6		%	14.4		%
				Projected Collateral Recoveries	0.0		%	38.8		%	13.1		%
Non-Agency CMBS	12,308		Market Quotes	Non Binding Third-Party Valuation	$	5.20		$	70.00		$	38.55
	—		Discounted Cash Flows
	12,308			Yield	11.5		%	19.4		%	16.7		%
				Projected Collateral Losses	—		%	49.0		%	4.8		%
				Projected Collateral Recoveries	51.0		%	100.0		%	93.7		%
CLOs	15,975		Market Quotes	Non Binding Third-Party Valuation	$	30.10		$	95.00		$	69.72
	3,758		Discounted Cash Flows
	19,733			Yield	12.7		%	65.7		%	24.9		%
Agency interest only RMBS	714		Market Quotes	Non Binding Third-Party Valuation	$	0.30		$	20.29		$	12.70
	4,641		Option Adjusted Spread ("OAS")
	5,355			LIBOR OAS(1)(2)	37			4,232			641
				Projected Collateral Prepayments	24.8		%	100.0		%	57.0		%


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
ABS backed by consumer loans	$	77,139	Discounted Cash Flows	Yield	7.8		%	31.7		%	13.0		%
				Projected Collateral Prepayments	0.0		%	23.4		%	16.3		%
				Projected Collateral Losses	0.0		%	41.2		%	20.4		%



Corporate debt and equity	20,369		Discounted Cash Flows	Yield	7.4		%	39.9		%	14.5		%
Performing and re-performing residential mortgage loans	1,336,039		Discounted Cash Flows	Yield	0.7		%	90.9		%	8.7		%
Securitized residential mortgage loans(3)(4)	1,479,434		Market Quotes	Non Binding Third-Party Valuation	$	0.81		$	98.10		$	85.15
	113,551		Discounted Cash Flows
	1,592,985			Yield	3.9		%	44.0		%	7.9		%
Non-performing residential mortgage loans	64,659		Discounted Cash Flows	Yield	0.2		%	83.3		%	9.1		%
				Recovery Amount	2.0		%	227.8		%	103.0		%
				Months to Resolution	17.2			83.7			33.8
Performing commercial mortgage loans	327,465		Discounted Cash Flows	Yield	6.2		%	13.5		%	11.2		%
Non-performing commercial mortgage loans	20,895		Discounted Cash Flows	Yield	15.7		%	50.6		%	24.8		%
				Recovery Amount	100.5		%	125.0		%	107.0		%
				Months to Resolution	2.9			5.9			3.6



Consumer loans	3,059		Discounted Cash Flows	Yield	10.4		%	27.9		%	17.8		%
				Projected Collateral Prepayments	0.0		%	17.1		%	7.5		%
				Projected Collateral Losses	0.0		%	44.7		%	14.5		%
Corporate loans	6,532		Discounted Cash Flows	Yield	6.0		%	34.3		%	13.7		%
Reverse Mortgage Loans—HECM	8,262,333		Discounted Cash Flows	Yield	2.5		%	7.1		%	4.8		%
				Conditional Prepayment Rate	7.9		%	45.3		%	9.3		%
Reverse Mortgage Loans—HECM	23,676		Recent Transactions	Transaction Price	n/a			n/a			n/a
Reverse Mortgage Loans—Proprietary	185,052		Discounted Cash Flows	Yield	5.9		%	9.2		%	7.5		%
				Conditional Prepayment Rate	11.0		%	37.1		%	14.7		%
MSRs	7,473		Discounted Cash Flows	Yield	12.0		%	12.0		%	12.0		%
				Conditional Prepayment Rate	11.0		%	37.1		%	14.0		%
Servicing Asset	1,304		Discounted Cash Flows	Yield	11.7		%	11.7		%	11.7		%
Loan Commitments	3,800		Discounted Cash Flows	Pull-through rate	60.6		%	100.0		%	75.0		%
				Cost to originate	3.0		%	7.8		%	5.5		%
Investment in unconsolidated entities—Loan origination entities	32,518		Enterprise Value	Equity Price-to-Book(5)	0.9x			1.3x			1.0x
Investment in unconsolidated entities—Other	85,360		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	542		Recent Transactions	Transaction Price	n/a			n/a			n/a
	118,420


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
Credit default swaps on asset-backed securities	$	76	Net Discounted Cash Flows	Projected Collateral Prepayments	22.9		%	22.9		%	22.9		%
				Projected Collateral Losses	8.6		%	8.6		%	8.6		%
				Projected Collateral Recoveries	12.3		%	12.3		%	12.3		%
Other secured borrowings, at fair value(3)	(1,472,368)		Market Quotes	Non Binding Third-Party Valuation	$	49.09		$	98.10		$	86.39
				Yield	3.6%			6.2%			5.4%
				Projected Collateral Prepayments	93.1%			95.3%			94.1%
HMBS-related obligations, at fair value	(8,055,288)		Discounted Cash Flows	Yield	2.3%			7.0%			4.7%
				Conditional Prepayment Rate	8.0%			45.3%			9.2%
Senior notes, at fair value	(185,325)		Market Quotes	Non Binding Third-Party Valuation	$	88.25		$	88.25		$	88.25

(1)Shown in basis points.

(2)For range minimum, range maximum, and the weighted average of LIBOR OAS, exclude 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 415 basis points.

(3)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.

(4)Includes $14.2 million of non-performing securitized residential mortgage loans.

(5)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investments in unconsolidated entities with a total fair value of $6.5 million. Including such investments the weighted average price-to-book ratio was 6.7x.

December 31, 2022:


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	59,831	Market Quotes	Non Binding Third-Party Valuation	$	0.45		$	159.91		$	69.79
	72,671		Discounted Cash Flows
	132,502			Yield(1)	0.0		%	95.7		%	12.1		%
				Projected Collateral Prepayments	0.0		%	100.0		%	52.0		%
				Projected Collateral Losses	0.0		%	97.4		%	16.5		%
				Projected Collateral Recoveries	0.0		%	69.5		%	15.4		%
Non-Agency CMBS	12,080		Market Quotes	Non Binding Third-Party Valuation	$	5.54		$	69.07		$	38.37
	569		Discounted Cash Flows
	12,649			Yield	9.4		%	17.5		%	12.7		%
				Projected Collateral Losses	1.2		%	39.8		%	5.8		%
				Projected Collateral Recoveries	60.2		%	96.5		%	92.8		%
CLOs	17,925		Market Quotes	Non Binding Third-Party Valuation	$	3.96		$	92.00		$	57.94
	6,673		Discounted Cash Flows
	24,598			Yield(2)	13.2		%	36.1		%	23.3		%




Agency interest only RMBS	2,358		Market Quotes	Non Binding Third-Party Valuation	$	11.83		$	20.44		$	16.54
	4,669		Option Adjusted Spread ("OAS")
	7,027			LIBOR OAS(3)(4)	57			4,217			554
				Projected Collateral Prepayments	23.2		%	100.0		%	55.3		%


	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
(continued)	(In thousands)
ABS backed by consumer loans	$	73,644	Discounted Cash Flows	Yield	6.7		%	27.9		%	13.5		%
				Projected Collateral Prepayments	0.0		%	18.3		%	14.4		%
				Projected Collateral Losses	0.6		%	35.2		%	21.3		%
Corporate debt and equity	18,644		Discounted Cash Flows	Yield	0.0		%	49.6		%	16.4		%
Performing and re-performing residential mortgage loans	1,416,951		Discounted Cash Flows	Yield	0.5		%	53.5		%	8.7		%
Securitized residential mortgage loans(5)(6)	1,539,170		Market Quotes	Non Binding Third-Party Valuation	$	0.54		$	98.22		$	86.45
	125,900		Discounted Cash Flows
	1,665,070			Yield	4.4		%	40.8		%	8.3		%
Non-performing residential mortgage loans	33,497		Discounted Cash Flows	Yield	3.7		%	79.6		%	13.7		%
				Recovery Amount	1.5		%	220.6		%	21.4		%
				Months to Resolution	3.0			105.6			16.8
Performing commercial mortgage loans	386,741		Discounted Cash Flows	Yield	5.2		%	16.5		%	10.5		%
Non-performing commercial mortgage loans	17,583		Discounted Cash Flows	Yield	23.0		%	25.1		%	24.8		%
				Recovery Amount	100.0		%	100.5		%	100.4		%
				Months to Resolution	1.8			5.8			2.3



Consumer loans	4,843		Discounted Cash Flows	Yield	10.6		%	28.2		%	17.6		%
				Projected Collateral Prepayments	0.1		%	21.7		%	12.2		%
				Projected Collateral Losses	0.4		%	61.2		%	13.2		%
Corporate loans	4,086		Discounted Cash Flows	Yield	6.0		%	13.0		%	7.1		%
Reverse Mortgage Loans—HECM	7,993,635		Discounted Cash Flows	Yield	4.2		%	6.3		%	5.2		%
				Conditional Prepayment Rate	1.8		%	44.6		%	9.8		%
Reverse Mortgage Loans—Proprietary	103,602		Discounted Cash Flows	Yield	6.5		%	8.6		%	8.1		%
				Conditional Prepayment Rate	11.0		%	37.1		%	13.8		%
MSRs	8,108		Discounted Cash Flows	Yield	12.0		%	12.0		%	12.0		%
				Conditional Prepayment Rate	11.0		%	37.1		%	14.7		%
Servicing Asset	999		Discounted Cash Flows	Yield	11.7		%	11.7		%	11.7		%
Loan Commitments	3,060		Discounted Cash Flows	Pull-through rate	56.2		%	100.0		%	73.7		%
				Cost to originate	2.4%			7.1%			4.4%
Investment in unconsolidated entities—Loan origination entities	37,099		Enterprise Value	Equity Price-to-Book(7)	1.0x			1.8x			1.1x
Investment in unconsolidated entities—Other	88,905		Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	1,042		Recent Transactions	Transaction Price	n/a			n/a			n/a
	127,046




Credit default swaps on asset-backed securities	76		Net Discounted Cash Flows	Projected Collateral Prepayments	22.9		%	22.9		%	22.9		%
				Projected Collateral Losses	8.6		%	8.6		%	8.6		%
				Projected Collateral Recoveries	12.3		%	12.3		%	12.3		%


	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
Description					Min		Max
(continued)	(In thousands)
Other secured borrowings, at fair value(5)	$	(1,539,881)	Market Quotes	Non Binding Third-Party Valuation	$	54.94	$	98.22	$	87.34
				Yield	3.7%		8.5%		6.9%
				Projected Collateral Prepayments	93.3%		96.3%		94.5%
HMBS-related obligations, at fair value	(7,787,155)		Discounted Cash Flows	Yield	4.1%		6.1%		5.1%
				Conditional Prepayment Rate	7.3%		36.7%		9.8%
Senior notes, at fair value	(191,835)		Market Quotes	Non Binding Third-Party Valuation	$	91.35	$	91.35	$	91.35

(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 11.9%.

(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 $0.6 million. Including these securities the weighted average yield was 22.3%.

(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 $0.6 million. Including these securities the weighted average was 437 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 $9.0 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. For the range minimum, the range maximum, and the weighted average yield, excludes investment in unconsolidated entity with a total fair value of $7.3 million. Including such investment the weighted average price-to-book ratio was 3.2x.

Fair Value Measurement Using Significant Unobservable Inputs

The tables below includes a roll-forward of the Company's financial instruments for the three- and six-month periods ended June 30, 2023 and 2022 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended June 30, 2023


(In thousands)	Beginning Balance as of March 31, 2023		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of June 30, 2023
Assets:
Securities, at fair value:
Agency RMBS	$	6,193	$	(322)	$	(176)	$	3	$	195	$	—	$	959	$	(1,497)	$	5,355
Non-Agency RMBS	156,277		(85)		1,035		(3,873)		1,134		(8,742)		29,517		(6,654)		168,609
CMBS	11,767		54		—		(1,083)		2,126		—		2,016		(2,572)		12,308
CLOs	28,674		(229)		354		(954)		2,751		(10,863)		—		—		19,733
Asset-backed securities backed by consumer loans	72,200		(991)		(6,787)		4,209		17,553		(9,045)		—		—		77,139
Corporate debt securities	8,347		—		(832)		469		8,359		(6,710)		—		—		9,633
Corporate equity securities	11,102		—		(4)		422		1,062		(1,846)		—		—		10,736
Loans, at fair value:
Residential mortgage loans	3,024,744		(2,571)		(2,938)		(15,200)		359,090		(369,442)		—		—		2,993,683
Commercial mortgage loans	374,233		—		—		4,254		27,225		(57,352)		—		—		348,360
Consumer loans	3,969		(230)		(292)		210		151		(749)		—		—		3,059
Corporate loan	4,920		—		454		9		2,481		(1,332)		—		—		6,532
Reverse mortgage loans(3)	8,404,701		—		—		39,393		424,893		(397,926)		—		—		8,471,061
MSRs, at fair value(3)	8,100		—		—		(627)		—		—		—		—		7,473
Servicing asset, at fair value	299		—		—		1,005		—		—		—		—		1,304
Loan commitments, at fair value	3,299		—		—		501		—		—		—		—		3,800
Investments in unconsolidated entities, at fair value	118,747		—		(1,245)		(4,623)		50,816		(45,275)		—		—		118,420
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	76		—		—		—		—		—		—		—		76
Total assets, at fair value	$	12,237,648	$	(4,374)	$	(10,431)	$	24,115	$	897,836	$	(909,282)	$	32,492	$	(10,723)	$	12,257,281
Liabilities:
Other secured borrowings, at fair value	(1,534,592)		(261)		—		12,152		50,333		—		—		—		(1,472,368)
Senior notes, at fair value	(185,325)		—		—		—		—		—		—		—		(185,325)
HMBS-related obligations, at fair value	(7,975,916)		—		—		(24,577)		340,499		(395,294)		—		—		(8,055,288)
Total liabilities, at fair value	$	(9,695,833)	$	(261)	$	—	$	(12,425)	$	390,832	$	(395,294)	$	—	$	—	$	(9,712,981)

(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)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2023. For Level 3 financial instruments held by the Company at June 30, 2023, change in net unrealized gain (loss) of $(6.6) million, $(11.2) million, $(0.6) million, $0.5 million,$(6.7) million, $12.2 million, and $(24.6) million for the three-month period ended June 30, 2023 relate to securities, loans,

MSRs, loan commitments, investments in unconsolidated entities, other secured borrowings, and HMBS-related obligations, respectively.

At June 30, 2023, the Company transferred $10.7 million of assets from Level 3 to Level 2 and $32.5 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 June 30, 2022


(In thousands)	Beginning Balance as of March 31, 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 June 30, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	8,621	$	(672)	$	(250)	$	206	$	441	$	—	$	4,043	$	—	$	12,389
Non-Agency RMBS	116,776		208		2,076		(6,407)		15,577		(5,096)		12,048		(3,733)		131,449
CMBS	9,526		32		(24)		(533)		—		—		379		—		9,380
CLOs	22,824		(557)		2,067		(3,915)		26		(4,724)		9,861		(2,204)		23,378
Asset-backed securities backed by consumer loans	76,504		(1,040)		(26)		(3,608)		17,444		(11,091)		—		—		78,183
Corporate debt securities	500		—		(1)		(172)		3,584		(2,144)		—		—		1,767
Corporate equity securities	9,841		—		114		(535)		856		—		—		—		10,276
Loans, at fair value:
Residential mortgage loans	2,433,007		(4,544)		105		(112,735)		896,384		(216,633)		—		—		2,995,584
Commercial mortgage loans	429,954		—		—		(1,388)		66,164		(17,352)		—		—		477,378
Consumer loans	9,878		(384)		(518)		94		37		(1,697)		—		—		7,410
Corporate loan	11,788		—		(1,000)		—		675		(1,015)		—		—		10,448
Investments in unconsolidated entities, at fair value	219,303		—		262		(23,527)		56,701		(60,470)		—		—		192,269
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	304		—		(6)		(102)		6		—		—		—		202
Total assets, at fair value	$	3,348,826	$	(6,957)	$	2,799	$	(152,622)	$	1,057,895	$	(320,222)	$	26,331	$	(5,937)	$	3,950,113
Liabilities:
Other secured borrowings, at fair value	$	(1,216,542)	$	—	$	—	$	67,258	$	99,198	$	(398,096)	$	—	$	—	$	(1,448,182)
Senior notes, at fair value	(210,000)		—		—		7,350		—		—		—		—		(202,650)
Total liabilities, at fair value	$	(1,426,542)	$	—	$	—	$	74,608	$	99,198	$	(398,096)	$	—	$	—	$	(1,650,832)

(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.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2022. For Level 3 financial instruments held by the Company at June 30, 2022, change in net unrealized gain (loss) of $(17.9) million, $(114.0) million, $(26.2) million, $(0.1) million, $67.3 million, and $7.4 million, for the three-month period ended June 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, other secured borrowings, at fair value, and senior notes, at fair value, respectively.

At June 30, 2022, the Company transferred $5.9 million of assets from Level 3 to Level 2 and $26.3 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.

Six-Month Period Ended June 30, 2023


(In thousands)	Beginning Balance as of December 31, 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 June 30, 2023
Assets:
Securities, at fair value:
Agency RMBS	$	7,027	$	(641)	$	(464)	$	421	$	336	$	(964)	$	1,136	$	(1,496)	$	5,355
Non-Agency RMBS	132,502		101		1,926		(7,917)		28,889		(31,391)		51,229		(6,730)		168,609
CMBS	12,649		103		—		(2,488)		2,127		—		2,742		(2,825)		12,308
CLOs	24,598		(64)		239		(2,232)		728		(6,874)		3,338		—		19,733
Asset-backed securities backed by consumer loans	73,644		(2,318)		(6,709)		2,137		29,693		(19,308)		—		—		77,139
Corporate debt securities	7,533		—		(1,089)		740		11,253		(8,804)		—		—		9,633
Corporate equity securities	11,111		—		(3)		381		1,094		(1,847)		—		—		10,736
Loans, at fair value:
Residential mortgage loans	3,115,518		(4,232)		(8,526)		38,444		679,302		(826,823)		—		—		2,993,683
Commercial mortgage loans	404,324		—		(1)		4,594		63,445		(124,002)		—		—		348,360
Consumer loans	4,843		(476)		(196)		(44)		451		(1,519)		—		—		3,059
Corporate loan	4,086		—		354		10		3,417		(1,335)		—		—		6,532
Reverse mortgage loans(3)	8,097,237		—		(4)		210,961		845,371		(682,504)		—		—		8,471,061
MSRs, at fair value(3)	8,108		—		—		(635)		—		—		—		—		7,473
Servicing asset, at fair value	999		—		—		305		—		—		—		—		1,304
Loan commitments, at fair value	3,060		—		—		740		—		—		—		—		3,800
Investments in unconsolidated entities, at fair value	127,046		—		227		(2,651)		81,602		(87,804)		—		—		118,420
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	76		—		1		—		—		(1)		—		—		76
Total assets, at fair value	$	12,034,361	$	(7,527)	$	(14,245)	$	242,766	$	1,747,708	$	(1,793,176)	$	58,445	$	(11,051)	$	12,257,281
Liabilities:
Other secured borrowings, at fair value	(1,539,881)		(664)		—		(17,527)		85,704		—		—		—		(1,472,368)
Senior notes, at fair value	(191,835)		—		—		6,510		—		—		—		—		(185,325)
HMBS-related obligations, at fair value	(7,787,155)		—		—		(156,111)		616,117		(728,139)		—		—		(8,055,288)
Total liabilities, at fair value	$	(9,518,871)	$	(664)	$	—	$	(167,128)	$	701,821	$	(728,139)	$	—	$	—	$	(9,712,981)

(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)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2023. For Level 3 financial instruments held by the Company at June 30, 2023, change in net unrealized gain (loss) of $(12.0) million, $42.7 million, $(0.6) million, $0.3 million, $0.7 million, $(8.8) million, $(17.5) million, $6.5 million, and $(156.1) million for the six-month period ended June 30, 2023 relate to securities, loans, MSRs, servicing asset, loan commitments, investments in unconsolidated entities, other secured borrowings, senior notes, and HMBS-related obligations, respectively.

At June 30, 2023, the Company transferred $11.1 million of assets from Level 3 to Level 2 and $58.4 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.

Six-Month Period Ended June 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 June 30, 2022
Assets:
Securities, at fair value:
Agency RMBS	$	9,710	$	(1,088)	$	133	$	(1,182)	$	840	$	(514)	$	4,805	$	(315)	$	12,389
Non-Agency RMBS	134,888		783		1,951		(9,458)		18,614		(12,160)		17,710		(20,879)		131,449
CMBS	13,134		61		1,118		(1,281)		620		(2,234)		5,119		(7,157)		9,380
CLOs	26,678		(1,420)		3,020		(2,947)		—		(10,480)		10,731		(2,204)		23,378
Asset-backed securities backed by consumer loans	73,108		(2,153)		(299)		(5,632)		36,237		(23,078)		—		—		78,183
Corporate debt securities	5,198		—		1,533		(1,680)		5,312		(8,596)		—		—		1,767
Corporate equity securities	7,556		—		1,739		(1,365)		4,983		(2,637)		—		—		10,276
Loans, at fair value:
Residential mortgage loans	2,016,228		(9,011)		1,617		(183,248)		1,619,479		(449,481)		—		—		2,995,584
Commercial mortgage loans	326,197		—		10		(1,224)		333,806		(181,411)		—		—		477,378
Consumer loans	62,365		(2,523)		(698)		(371)		10,982		(62,345)		—		—		7,410
Corporate loan	10,531		—		(1,000)		—		2,325		(1,408)		—		—		10,448
Investment in unconsolidated entities, at fair value	195,643		—		1,140		(29,911)		195,909		(170,512)		—		—		192,269
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	303		—		(11)		(101)		11		—		—		—		202
Total assets, at fair value	$	2,881,539	$	(15,351)	$	10,253	$	(238,400)	$	2,229,118	$	(924,856)	$	38,365	$	(30,555)	$	3,950,113
Liabilities:
Other secured borrowings, at fair value(3)	$	(984,168)	$	—	$	—	$	122,899	$	213,953	$	(800,866)	$	—	$	—	$	(1,448,182)
Senior notes, at fair value	—		—		—		7,350		—		(210,000)		—		—		(202,650)
Total liabilities, at fair value	$	(984,168)	$	—	$	—	$	130,249	$	213,953	$	(1,010,866)	$	—	$	—	$	(1,650,832)

(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 Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2022. For Level 3 financial instruments held by the Company at June 30, 2022, change in net unrealized gain (loss) of $(22.6) million, $(184.4) million, $(34.0) million, $(0.1) million, $122.9 million, and $7.4 million, for the six-month period ended June 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, other secured borrowings, at fair value, and senior notes, at fair value, respectively.

At June 30, 2022, the Company transferred $30.6 million of assets from Level 3 to Level 2 and $38.4 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 June 30, 2023 and December 31, 2022:


	As of
	June 30, 2023				December 31, 2022
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	194,595	$	194,595	$	217,053	$	217,053
Restricted cash	1,602		1,602		4,816		4,816
Due from brokers	33,118		33,118		36,761		36,761
Reverse repurchase agreements	183,676		183,676		226,444		226,444
Liabilities:
Repurchase agreements	2,557,864		2,557,864		2,609,685		2,609,685
Other secured borrowings	242,900		242,900		276,058		276,058
Due to brokers	46,421		46,421		34,507		34,507

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.