v3.10.0.1

Valuation (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2018
Fair Value Disclosures [Abstract] |
Schedule Of Financial Instruments | The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at June 30, 2018:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 6,833 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,833 |
Investments, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 1,259,669 |  |  | $ | 5,889 |  |  | $ | 1,265,558 |
U.S. Treasury securities |  | — |  |  | 70,468 |  |  | — |  |  | 70,468 |
Private label residential mortgage-backed securities |  | — |  |  | 179,707 |  |  | 96,396 |  |  | 276,103 |
Private label commercial mortgage-backed securities |  | — |  |  | 24,475 |  |  | 8,761 |  |  | 33,236 |
Commercial mortgage loans |  | — |  |  | — |  |  | 104,951 |  |  | 104,951 |
Residential mortgage loans |  | — |  |  | — |  |  | 293,472 |  |  | 293,472 |
Collateralized loan obligations |  | — |  |  | 204,212 |  |  | 6,109 |  |  | 210,321 |
Consumer loans and asset-backed securities backed by consumer loans |  | — |  |  | — |  |  | 199,254 |  |  | 199,254 |
Corporate debt |  | — |  |  | 72,288 |  |  | 8,850 |  |  | 81,138 |
Secured notes |  | — |  |  | — |  |  | 11,126 |  |  | 11,126 |
Real estate owned |  | — |  |  | — |  |  | 34,339 |  |  | 34,339 |
Corporate equity investments |  | 737 |  |  | — |  |  | 44,768 |  |  | 45,505 |
Total investments, at fair value |  | 737 |  |  | 1,810,819 |  |  | 813,915 |  |  | 2,625,471 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 2,591 |  |  | 2,591 |
Credit default swaps on corporate bond indices |  | — |  |  | 816 |  |  | — |  |  | 816 |
Credit default swaps on corporate bonds |  | — |  |  | 7,029 |  |  | — |  |  | 7,029 |
Credit default swaps on asset-backed indices |  | — |  |  | 3,720 |  |  | — |  |  | 3,720 |
Interest rate swaps |  | — |  |  | 15,770 |  |  | — |  |  | 15,770 |
Futures |  | 674 |  |  | — |  |  | — |  |  | 674 |
Forwards |  | — |  |  | 69 |  |  | — |  |  | 69 |
Total financial derivatives–assets, at fair value |  | 674 |  |  | 27,404 |  |  | 2,591 |  |  | 30,669 |
Repurchase agreements, at fair value |  | — |  |  | 214,411 |  |  | — |  |  | 214,411 |
Total investments, financial derivatives–assets, and repurchase agreements, at fair value |  | $ | 1,411 |  |  | $ | 2,052,634 |  |  | $ | 816,506 |  |  | $ | 2,870,551 |
Liabilities: |  |  |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | (618,665 | ) |  | $ | — |  |  | $ | (618,665 | )
Government debt |  | — |  |  | (179,086 | ) |  | — |  |  | (179,086 | )
Corporate debt |  | — |  |  | (50,711 | ) |  | — |  |  | (50,711 | )
Common stock |  | (33,684 | ) |  | — |  |  | — |  |  | (33,684 | )
Total investments sold short, at fair value |  | (33,684 | ) |  | (848,462 | ) |  | — |  |  | (882,146 | )
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
(continued) |  | (In thousands)
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | $ | — |  |  | $ | (7,234 | ) |  | $ | — |  |  | $ | (7,234 | )
Credit default swaps on corporate bonds |  | — |  |  | (10,461 | ) |  | — |  |  | (10,461 | )
Credit default swaps on asset-backed indices |  | — |  |  | (963 | ) |  | — |  |  | (963 | )
Interest rate swaps |  | — |  |  | (6,490 | ) |  | — |  |  | (6,490 | )
Total return swaps |  | — |  |  | (314 | ) |  | — |  |  | (314 | )
Futures |  | (155 | ) |  | — |  |  | — |  |  | (155 | )
Forwards |  | — |  |  | (58 | ) |  | — |  |  | (58 | )
Total financial derivatives–liabilities, at fair value |  | (155 | ) |  | (25,520 | ) |  | — |  |  | (25,675 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (101,100 | ) |  | (101,100 | )
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value |  | $ | (33,839 | ) |  | $ | (873,982 | ) |  | $ | (101,100 | ) |  | $ | (1,008,921 | )
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2017:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 26,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 26,500 |
Investments, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 989,341 |  |  | $ | 6,173 |  |  | $ | 995,514 |
Private label residential mortgage-backed securities |  | — |  |  | 158,369 |  |  | 101,297 |  |  | 259,666 |
Private label commercial mortgage-backed securities |  | — |  |  | 28,398 |  |  | 12,347 |  |  | 40,745 |
Commercial mortgage loans |  | — |  |  | — |  |  | 108,301 |  |  | 108,301 |
Residential mortgage loans |  | — |  |  | — |  |  | 182,472 |  |  | 182,472 |
Collateralized loan obligations |  | — |  |  | 185,905 |  |  | 24,911 |  |  | 210,816 |
Consumer loans and asset-backed securities backed by consumer loans |  | — |  |  | — |  |  | 135,258 |  |  | 135,258 |
Corporate debt |  | — |  |  | 51,246 |  |  | 23,947 |  |  | 75,193 |
Real estate owned |  | — |  |  | — |  |  | 26,277 |  |  | 26,277 |
Corporate equity investments |  | — |  |  | — |  |  | 37,465 |  |  | 37,465 |
Total investments, at fair value |  | — |  |  | 1,413,259 |  |  | 658,448 |  |  | 2,071,707 |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
(continued) |  | (In thousands)
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | $ | — |  |  | $ | — |  |  | $ | 3,140 |  |  | $ | 3,140 |
Credit default swaps on corporate bond indices |  | — |  |  | 1,429 |  |  | — |  |  | 1,429 |
Credit default swaps on corporate bonds |  | — |  |  | 8,888 |  |  | — |  |  | 8,888 |
Credit default swaps on asset-backed indices |  | — |  |  | 5,393 |  |  | — |  |  | 5,393 |
Interest rate swaps |  | — |  |  | 9,266 |  |  | — |  |  | 9,266 |
Options |  | 3 |  |  | 1 |  |  | — |  |  | 4 |
Futures |  | 45 |  |  | — |  |  | — |  |  | 45 |
Total financial derivatives–assets, at fair value |  | 48 |  |  | 24,977 |  |  | 3,140 |  |  | 28,165 |
Repurchase agreements, at fair value |  | — |  |  | 155,949 |  |  | — |  |  | 155,949 |
Total investments, financial derivatives–assets, and repurchase agreements, at fair value |  | $ | 48 |  |  | $ | 1,594,185 |  |  | $ | 661,588 |  |  | $ | 2,255,821 |
Liabilities: |  |  |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | (460,189 | ) |  | $ | — |  |  | $ | (460,189 | )
Government debt |  | — |  |  | (90,149 | ) |  | — |  |  | (90,149 | )
Corporate debt |  | — |  |  | (55,211 | ) |  | — |  |  | (55,211 | )
Common stock |  | (36,691 | ) |  | — |  |  | — |  |  | (36,691 | )
Total investments sold short, at fair value |  | (36,691 | ) |  | (605,549 | ) |  | — |  |  | (642,240 | )
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | — |  |  | (12,367 | ) |  | — |  |  | (12,367 | )
Credit default swaps on corporate bonds |  | — |  |  | (15,930 | ) |  | — |  |  | (15,930 | )
Credit default swaps on asset-backed indices |  | — |  |  | (980 | ) |  | — |  |  | (980 | )
Interest rate swaps |  | — |  |  | (6,015 | ) |  | — |  |  | (6,015 | )
Futures |  | (508 | ) |  | — |  |  | — |  |  | (508 | )
Forwards |  | — |  |  | (473 | ) |  | — |  |  | (473 | )
Total financial derivatives–liabilities, at fair value |  | (508 | ) |  | (35,765 | ) |  | — |  |  | (36,273 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (125,105 | ) |  | (125,105 | )
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value |  | $ | (37,199 | ) |  | $ | (641,314 | ) |  | $ | (125,105 | ) |  | $ | (803,618 | )
Schedule Of Significant Unobservable Inputs, Qualitative Information | The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2017:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private label residential mortgage-backed securities |  | $ | 40,870 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 45.00 |  |  | $ | 183.00 |  |  | $ | 81.63 |
Collateralized loan obligations |  | 10,288 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 85.00 |  |  | 435.00 |  |  | 138.94 |
Corporate debt and non-exchange traded corporate equity |  | 6,797 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 8.88 |  |  | 105.63 |  |  | 82.94 |
Private label commercial mortgage-backed securities |  | 7,577 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 5.31 |  |  | 60.55 |  |  | 36.19 |
Agency interest only residential mortgage-backed securities |  | 1,225 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 10.14 |  |  | 18.21 |  |  | 15.25 |
Private label residential mortgage-backed securities |  | 60,427 |  |  | Discounted Cash Flows |  | Yield |  | 0.5 | % |  | 26.5 | % |  | 9.8 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 2.1 | % |  | 84.7 | % |  | 38.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.9 | % |  | 18.2 | % |  | 8.6 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 0.3 | % |  | 31.5 | % |  | 11.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 12.5 | % |  | 90.2 | % |  | 41.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities |  | 4,770 |  |  | Discounted Cash Flows |  | Yield |  | 4.3 | % |  | 42.5 | % |  | 18.6 | %
|  |  |  |  |  |  | Projected Collateral Losses |  | 1.1 | % |  | 5.2 | % |  | 2.5 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 2.8 | % |  | 17.1 | % |  | 8.5 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 80.1 | % |  | 96.1 | % |  | 89.0 | %
|  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt and non-exchange traded corporate equity |  | 20,301 |  |  | Discounted Cash Flows |  | Yield |  | 3.0 | % |  | 16.1 | % |  | 10.6 | %
Collateralized loan obligations |  | 14,623 |  |  | Discounted Cash Flows |  | Yield |  | 7.1 | % |  | 62.2 | % |  | 15.2 | %
|  |  |  |  |  |  | Projected Collateral Prepayments |  | 22.5 | % |  | 92.9 | % |  | 77.9 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.9 | % |  | 40.2 | % |  | 10.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 3.4 | % |  | 37.2 | % |  | 9.5 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | — | % |  | 4.1 | % |  | 2.3 | %
|  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Consumer loans and asset-backed securities backed by consumer loans |  | 135,258 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 18.9 | % |  | 9.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 2.2 | % |  | 50.1 | % |  | 33.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.4 | % |  | 28.6 | % |  | 8.2 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 46.8 | % |  | 95.2 | % |  | 58.3 | %
|  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Performing commercial mortgage loans |  | 84,377 |  |  | Discounted Cash Flows |  | Yield |  | 8.0 | % |  | 15.4 | % |  | 10.7 | %
Non-performing commercial mortgage loans and commercial real estate owned |  | 49,610 |  |  | Discounted Cash Flows |  | Yield |  | 11.4 | % |  | 36.5 | % |  | 17.7 | %
|  |  |  |  |  | Months to Resolution |  | 4.0 |  |  | 17.0 |  |  | 9.5 |
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Performing residential mortgage loans |  | $ | 42,030 |  |  | Discounted Cash Flows |  | Yield |  | 1.6 | % |  | 18.8 | % |  | 6.2 | %
Securitized residential mortgage loans(1) |  | 132,424 |  |  | Discounted Cash Flows |  | Yield |  | 3.5 | % |  | 3.5 | % |  | 3.5 | %
Non-performing residential mortgage loans and residential real estate owned |  | 8,609 |  |  | Discounted Cash Flows |  | Yield |  | 2.8 | % |  | 34.5 | % |  | 8.9 | %
|  |  |  |  |  | Months to Resolution(2) |  | 1.9 |  |  | 40.5 |  |  | 25.6 |
Credit default swaps on asset-backed securities |  | 3,140 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 19.8 | % |  | 26.5 | % |  | 22.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 14.6 | % |  | 23.8 | % |  | 19.7 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 5.8 | % |  | 14.3 | % |  | 10.6 | %
|  |  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 45.5 | % |  | 51.0 | % |  | 47.3 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only residential mortgage-backed securities |  | 4,948 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(3) |  | 381 |  |  | 3,521 |  |  | 730 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 51.2 | % |  | 100.0 | % |  | 69.1 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 48.8 | % |  | 30.9 | %
|  |  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-exchange traded common equity investment in mortgage-related entity |  | 2,814 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 2.0x |  | 2.0x |  | 2.0x
Non-exchange traded preferred equity investment in mortgage-related entity |  | 20,774 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 0.9x |  | 0.9x |  | 0.9x
Non-controlling equity interest in limited liability company |  | 5,033 |  |  | Market Quotes |  | Non Binding Third-Party Valuation of the Underlying Assets(5) |  | $ | 96.91 |  |  | $ | 96.91 |  |  | $ | 96.91 |
Non-controlling equity interest in limited liability company |  | 5,693 |  |  | Discounted Cash Flows |  | Yield(5) |  | 9.1% |  | 9.1% |  | 9.1%
Other secured borrowings, at fair value(1) |  | (125,105 | ) |  | Discounted Cash Flows |  | Yield |  | 2.8% |  | 2.8% |  | 2.8%
(1) |
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2018:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private label residential mortgage-backed securities |  | $ | 31,830 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 3.50 |  |  | $ | 172.06 |  |  | $ | 81.00 |
Corporate debt and non-exchange traded corporate equity |  | 4,402 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 8.50 |  |  | 99.75 |  |  | 73.32 |
Private label commercial mortgage-backed securities |  | 6,641 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 5.18 |  |  | 95.27 |  |  | 86.02 |
Agency interest only residential mortgage-backed securities |  | 609 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 3.71 |  |  | 4.98 |  |  | 4.35 |
Private label residential mortgage-backed securities |  | 64,566 |  |  | Discounted Cash Flows |  | Yield |  | 3.0 | % |  | 40.0 | % |  | 8.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 1.4 | % |  | 89.2 | % |  | 46.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.5 | % |  | 20.0 | % |  | 9.1 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 0.0 | % |  | 13.9 | % |  | 7.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 9.5 | % |  | 92.0 | % |  | 37.1 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities |  | 2,120 |  |  | Discounted Cash Flows |  | Yield |  | 6.7 | % |  | 35.5 | % |  | 23.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | — | % |  | — | %
|  |  |  |  |  | Projected Collateral Losses |  | 2.9 | % |  | 3.0 | % |  | 2.9 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 6.8 | % |  | 10.9 | % |  | 9.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 86.3 | % |  | 90.2 | % |  | 87.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt, non-exchange traded corporate equity, and secured notes |  | 17,032 |  |  | Discounted Cash Flows |  | Yield |  | 14.3 | % |  | 15.0 | % |  | 14.8 | %
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Collateralized loan obligations |  | $ | 6,109 |  |  | Discounted Cash Flows |  | Yield |  | 8.3 | % |  | 90.3 | % |  | 25.4 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 7.9 | % |  | 91.2 | % |  | 65.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.8 | % |  | 48.2 | % |  | 20.0 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 3.1 | % |  | 43.9 | % |  | 13.9 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | — | % |  | 3.7 | % |  | 0.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Consumer loans and asset-backed securities backed by consumer loans |  | 199,254 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 21.8 | % |  | 9.2 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 1.3 | % |  | 49.1 | % |  | 36.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 2.9 | % |  | 40.9 | % |  | 8.5 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 47.4 | % |  | 90.9 | % |  | 55.0 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Performing commercial mortgage loans |  | 98,126 |  |  | Discounted Cash Flows |  | Yield |  | 8.0 | % |  | 17.1 | % |  | 10.9 | %
Non-performing commercial mortgage loans and commercial real estate owned |  | 40,270 |  |  | Discounted Cash Flows |  | Yield |  | 11.5 | % |  | 18.5 | % |  | 14.3 | %
|  |  |  |  |  | Months to Resolution |  | 6.0 |  |  | 11.0 |  |  | 7.4 |
Performing residential mortgage loans |  | 173,871 |  |  | Discounted Cash Flows |  | Yield |  | 3.6 | % |  | 11.9 | % |  | 5.7 | %
Securitized residential mortgage loans(1) |  | 107,856 |  |  | Discounted Cash Flows |  | Yield |  | 5.1 | % |  | 5.1 | % |  | 5.1 | %
Non-performing residential mortgage loans and residential real estate owned |  | 12,639 |  |  | Discounted Cash Flows |  | Yield |  | 4.4 | % |  | 45.8 | % |  | 9.1 | %
|  |  |  |  |  | Months to Resolution(2) |  | 4.9 |  |  | 57.3 |  |  | 31.7 |
Credit default swaps on asset-backed securities |  | 2,591 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 20.1 | % |  | 27.6 | % |  | 22.9 | %
|  |  |  |  |  | Projected Collateral Losses |  | 13.1 | % |  | 24.6 | % |  | 18.8 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 6.1 | % |  | 14.8 | % |  | 9.8 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 45.9 | % |  | 52.8 | % |  | 48.5 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only residential mortgage-backed securities |  | 5,280 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(3) |  | 70 |  |  | 3,521 |  |  | 613 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 48.0 | % |  | 100.0 | % |  | 63.7 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 52.0 | % |  | 36.3 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-exchange traded common equity investment in mortgage-related entity |  | 2,814 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 1.8x |  | 1.8x |  | 1.8x
Non-exchange traded preferred equity investment in mortgage-related entity |  | 28,009 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 1.0x |  | 1.0x |  | 1.0x
Non-controlling equity interest in limited liability company |  | 5,284 |  |  | Market Quotes |  | Non Binding Third-Party Valuation of the Underlying Assets(5) |  | $ | 97.47 |  |  | $ | 97.47 |  |  | $ | 97.47 |
Non-controlling equity interest in limited liability company |  | 7,203 |  |  | Discounted Cash Flows |  | Yield(5) |  | 9.8% |  | 12.7% |  | 10.3%
Other secured borrowings, at fair value(1) |  | (101,100 | ) |  | Discounted Cash Flows |  | Yield |  | 3.9% |  | 3.9% |  | 3.9%
(1) | Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2.
(2) | Excludes certain loans that are re-performing.
(3) | Shown in basis points.
(4) | Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
(5) | Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole.
Fair Value Measurement Using Significant Unobservable Inputs | The tables below include a roll-forward of the Company's financial instruments for the three- and six-month periods ended June 30, 2018 and 2017 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended June 30, 2018
(In thousands) | Ending Balance as of March 31, 2018 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of June 30, 2018
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 6,128 |  |  | $ | (547 | ) |  | $ | 18 |  |  | $ | (41 | ) |  | $ | 1,533 |  |  | $ | (569 | ) |  | $ | — |  |  | $ | (633 | ) |  | $ | 5,889 |
Private label residential mortgage-backed securities | 111,862 |  |  | (1,889 | ) |  | 211 |  |  | (1,845 | ) |  | 13,596 |  |  | (10,999 | ) |  | 3,073 |  |  | (17,613 | ) |  | 96,396 |
Private label commercial mortgage-backed securities | 13,709 |  |  | 28 |  |  | (104 | ) |  | 784 |  |  | — |  |  | (4,194 | ) |  | — |  |  | (1,462 | ) |  | 8,761 |
Commercial mortgage loans | 109,294 |  |  | 226 |  |  | 553 |  |  | 610 |  |  | 20,132 |  |  | (25,864 | ) |  | — |  |  | — |  |  | 104,951 |
Residential mortgage loans | 240,781 |  |  | (464 | ) |  | 637 |  |  | (267 | ) |  | 76,785 |  |  | (24,000 | ) |  | — |  |  | — |  |  | 293,472 |
Collateralized loan obligations | 27,479 |  |  | (377 | ) |  | 2 |  |  | 300 |  |  | 11,442 |  |  | (7,889 | ) |  | — |  |  | (24,848 | ) |  | 6,109 |
Consumer loans and asset-backed securities backed by consumer loans | 148,422 |  |  | (6,955 | ) |  | 450 |  |  | 3,782 |  |  | 83,069 |  |  | (29,514 | ) |  | — |  |  | — |  |  | 199,254 |
Corporate debt | 18,000 |  |  | 59 |  |  | 96 |  |  | (761 | ) |  | 448 |  |  | (1,944 | ) |  | — |  |  | (7,048 | ) |  | 8,850 |
Secured notes | — |  |  | 92 |  |  | — |  |  | (234 | ) |  | 11,268 |  |  | — |  |  | — |  |  | — |  |  | 11,126 |
Real estate owned | 29,110 |  |  | — |  |  | 10 |  |  | (1 | ) |  | 5,472 |  |  | (252 | ) |  | — |  |  | — |  |  | 34,339 |
Corporate equity investments | 50,869 |  |  | — |  |  | 1,182 |  |  | (1 | ) |  | — |  |  | (7,282 | ) |  | — |  |  | — |  |  | 44,768 |
Total investments, at fair value | 755,654 |  |  | (9,827 | ) |  | 3,055 |  |  | 2,326 |  |  | 223,745 |  |  | (112,507 | ) |  | 3,073 |  |  | (51,604 | ) |  | 813,915 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 3,069 |  |  | — |  |  | 161 |  |  | (478 | ) |  | 22 |  |  | (183 | ) |  | — |  |  | — |  |  | 2,591 |
Total financial derivatives– assets, at fair value | 3,069 |  |  | — |  |  | 161 |  |  | (478 | ) |  | 22 |  |  | (183 | ) |  | — |  |  | — |  |  | 2,591 |
Total investments and financial derivatives–assets, at fair value | $ | 758,723 |  |  | $ | (9,827 | ) |  | $ | 3,216 |  |  | $ | 1,848 |  |  | $ | 223,767 |  |  | $ | (112,690 | ) |  | $ | 3,073 |  |  | $ | (51,604 | ) |  | $ | 816,506 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured borrowings, at fair value | $ | (113,775 | ) |  | $ | — |  |  | $ | — |  |  | $ | 414 |  |  | $ | 12,261 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (101,100 | )
Total other secured borrowings, at fair value | $ | (113,775 | ) |  | $ | — |  |  | $ | — |  |  | $ | 414 |  |  | $ | 12,261 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (101,100 | )
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 June 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2018. For Level 3 financial instruments held by the Company at June 30, 2018, change in net unrealized gain (loss) of $1.6 million, $(0.5) million, and $0.4 million, for the three-month period ended June 30, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At June 30, 2018, the Company transferred $51.6 million of securities from Level 3 to Level 2 and $3.1 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. Three-Month Period Ended June 30, 2017
(In thousands) | Ending Balance as of March 31, 2017 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of June 30, 2017
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 29,425 |  |  | $ | (2,320 | ) |  | $ | (402 | ) |  | $ | (163 | ) |  | $ | (417 | ) |  | $ | (126 | ) |  | $ | — |  |  | $ | (21,101 | ) |  | $ | 4,896 |
Private label residential mortgage-backed securities | 80,332 |  |  | (476 | ) |  | 1,137 |  |  | 3,327 |  |  | 27,972 |  |  | (9,733 | ) |  | 16,089 |  |  | (39,525 | ) |  | 79,123 |
Private label commercial mortgage-backed securities | 41,300 |  |  | 276 |  |  | (3,338 | ) |  | 4,991 |  |  | 20 |  |  | (16,734 | ) |  | — |  |  | (12,706 | ) |  | 13,809 |
Commercial mortgage loans | 62,508 |  |  | 101 |  |  | 79 |  |  | (56 | ) |  | 4,500 |  |  | (1,236 | ) |  | — |  |  | — |  |  | 65,896 |
Residential mortgage loans | 112,650 |  |  | 537 |  |  | 1,133 |  |  | (481 | ) |  | 37,048 |  |  | (14,790 | ) |  | — |  |  | — |  |  | 136,097 |
Collateralized loan obligations | 70,561 |  |  | (4,849 | ) |  | 532 |  |  | 479 |  |  | 18,157 |  |  | (23,233 | ) |  | — |  |  | (19,111 | ) |  | 42,536 |
Consumer loans and asset-backed securities backed by consumer loans(1) | 107,842 |  |  | (3,208 | ) |  | 478 |  |  | (555 | ) |  | 25,594 |  |  | (21,480 | ) |  | — |  |  | — |  |  | 108,671 |
Corporate debt | 59,609 |  |  | 154 |  |  | 216 |  |  | 29 |  |  | 36,397 |  |  | (75,870 | ) |  | — |  |  | — |  |  | 20,535 |
Real estate owned | 25,390 |  |  | — |  |  | 365 |  |  | (401 | ) |  | 54 |  |  | (431 | ) |  | — |  |  | — |  |  | 24,977 |
Corporate equity investments(1) | 33,917 |  |  | — |  |  | 1,519 |  |  | (994 | ) |  | 6,775 |  |  | (5,519 | ) |  | — |  |  | — |  |  | 35,698 |
Total investments, at fair value | 623,534 |  |  | (9,785 | ) |  | 1,719 |  |  | 6,176 |  |  | 156,100 |  |  | (169,152 | ) |  | 16,089 |  |  | (92,443 | ) |  | 532,238 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 5,828 |  |  | — |  |  | 331 |  |  | (721 | ) |  | 10 |  |  | (341 | ) |  | — |  |  | — |  |  | 5,107 |
Total return swaps | — |  |  | — |  |  | 65 |  |  | — |  |  | — |  |  | (65 | ) |  | — |  |  | — |  |  | — |
Total financial derivatives– assets, at fair value | 5,828 |  |  | — |  |  | 396 |  |  | (721 | ) |  | 10 |  |  | (406 | ) |  | — |  |  | — |  |  | 5,107 |
Total investments and financial derivatives–assets, at fair value | $ | 629,362 |  |  | $ | (9,785 | ) |  | $ | 2,115 |  |  | $ | 5,455 |  |  | $ | 156,110 |  |  | $ | (169,558 | ) |  | $ | 16,089 |  |  | $ | (92,443 | ) |  | $ | 537,345 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | $ | (218 | ) |  | $ | — |  |  | $ | (19 | ) |  | $ | 12 |  |  | $ | 446 |  |  | $ | (428 | ) |  | $ | — |  |  | $ | — |  |  | $ | (207 | )
Total return swaps | — |  |  | — |  |  | (85 | ) |  | — |  |  | 21 |  |  | 64 |  |  | — |  |  | — |  |  | — |
Total financial derivatives– liabilities, at fair value | $ | (218 | ) |  | $ | — |  |  | $ | (104 | ) |  | $ | 12 |  |  | $ | 467 |  |  | $ | (364 | ) |  | $ | — |  |  | $ | — |  |  | $ | (207 | )
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 June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $5.1 million, $(0.7) million, and $0.01 million for the three-month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. At June 30, 2017, the Company transferred $92.4 million of securities from Level 3 to Level 2 and $16.1 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. Six-Month Period Ended June 30, 2018
(In thousands) | Ending Balance as of December 31, 2017 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of June 30, 2018
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 6,173 |  |  | $ | (1,172 | ) |  | $ | 57 |  |  | $ | 229 |  |  | $ | 2,635 |  |  | $ | (957 | ) |  | $ | — |  |  | $ | (1,076 | ) |  | $ | 5,889 |
Private label residential mortgage-backed securities | 101,297 |  |  | 156 |  |  | 2,719 |  |  | (986 | ) |  | 24,623 |  |  | (29,439 | ) |  | 9,301 |  |  | (11,275 | ) |  | 96,396 |
Private label commercial mortgage-backed securities | 12,347 |  |  | (163 | ) |  | 1,618 |  |  | 1,043 |  |  | 8,046 |  |  | (13,890 | ) |  | — |  |  | (240 | ) |  | 8,761 |
Commercial mortgage loans | 108,301 |  |  | 844 |  |  | 884 |  |  | 449 |  |  | 24,119 |  |  | (29,646 | ) |  | — |  |  | — |  |  | 104,951 |
Residential mortgage loans | 182,472 |  |  | (1,179 | ) |  | 583 |  |  | (920 | ) |  | 149,825 |  |  | (37,309 | ) |  | — |  |  | — |  |  | 293,472 |
Collateralized loan obligations | 24,911 |  |  | 78 |  |  | 3 |  |  | 527 |  |  | 21,537 |  |  | (16,099 | ) |  | — |  |  | (24,848 | ) |  | 6,109 |
Consumer loans and asset-backed securities backed by consumer loans | 135,258 |  |  | (12,851 | ) |  | 950 |  |  | 7,585 |  |  | 125,203 |  |  | (56,891 | ) |  | — |  |  | — |  |  | 199,254 |
Corporate debt | 23,947 |  |  | (56 | ) |  | 148 |  |  | (396 | ) |  | 905 |  |  | (8,650 | ) |  | — |  |  | (7,048 | ) |  | 8,850 |
Secured notes | — |  |  | 92 |  |  | — |  |  | (234 | ) |  | 11,268 |  |  | — |  |  | — |  |  | — |  |  | 11,126 |
Real estate owned | 26,277 |  |  | — |  |  | (447 | ) |  | 615 |  |  | 9,570 |  |  | (1,676 | ) |  | — |  |  | — |  |  | 34,339 |
Corporate equity investments | 37,465 |  |  | — |  |  | 1,182 |  |  | 4,325 |  |  | 9,078 |  |  | (7,282 | ) |  | — |  |  | — |  |  | 44,768 |
Total investments, at fair value | 658,448 |  |  | (14,251 | ) |  | 7,697 |  |  | 12,237 |  |  | 386,809 |  |  | (201,839 | ) |  | 9,301 |  |  | (44,487 | ) |  | 813,915 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 3,140 |  |  | — |  |  | 247 |  |  | (549 | ) |  | 45 |  |  | (292 | ) |  | — |  |  | — |  |  | 2,591 |
Total financial derivatives– assets, at fair value | 3,140 |  |  | — |  |  | 247 |  |  | (549 | ) |  | 45 |  |  | (292 | ) |  | — |  |  | — |  |  | 2,591 |
Total investments and financial derivatives–assets, at fair value | $ | 661,588 |  |  | $ | (14,251 | ) |  | $ | 7,944 |  |  | $ | 11,688 |  |  | $ | 386,854 |  |  | $ | (202,131 | ) |  | $ | 9,301 |  |  | $ | (44,487 | ) |  | $ | 816,506 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 1,198 |  |  | $ | 22,807 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (101,100 | )
Total other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 1,198 |  |  | $ | 22,807 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (101,100 | )
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 June 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2018. For Level 3 financial instruments held by the Company at June 30, 2018, change in net unrealized gain (loss) of $10.5 million, $(0.5) million, and $1.2 million, for the six-month period ended June 30, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At June 30, 2018, the Company transferred $44.5 million of securities from Level 3 to Level 2 and $9.3 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, 2017
(In thousands) | Ending Balance as of December 31, 2016 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of June 30, 2017
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 29,622 |  |  | $ | (4,913 | ) |  | $ | (437 | ) |  | $ | 65 |  |  | $ | 1,785 |  |  | $ | (125 | ) |  | $ | — |  |  | $ | (21,101 | ) |  | $ | 4,896 |
Private label residential mortgage-backed securities | 90,083 |  |  | 1,036 |  |  | 434 |  |  | 6,034 |  |  | 26,800 |  |  | (29,349 | ) |  | 11,348 |  |  | (27,263 | ) |  | 79,123 |
Private label commercial mortgage-backed securities | 43,268 |  |  | 632 |  |  | (2,996 | ) |  | 6,402 |  |  | 20 |  |  | (20,811 | ) |  | — |  |  | (12,706 | ) |  | 13,809 |
Commercial mortgage loans | 61,129 |  |  | 631 |  |  | 416 |  |  | 1,150 |  |  | 27,545 |  |  | (24,975 | ) |  | — |  |  | — |  |  | 65,896 |
Residential mortgage loans | 84,290 |  |  | 678 |  |  | 1,081 |  |  | (77 | ) |  | 71,186 |  |  | (21,061 | ) |  | — |  |  | — |  |  | 136,097 |
Collateralized loan obligations | 44,956 |  |  | (6,032 | ) |  | 1,453 |  |  | 3,011 |  |  | 56,869 |  |  | (38,609 | ) |  | — |  |  | (19,112 | ) |  | 42,536 |
Consumer loans and asset-backed securities backed by consumer loans | 107,157 |  |  | (6,264 | ) |  | (74 | ) |  | 281 |  |  | 50,012 |  |  | (42,441 | ) |  | — |  |  | — |  |  | 108,671 |
Corporate debt | 25,004 |  |  | 253 |  |  | 548 |  |  | 187 |  |  | 83,492 |  |  | (88,949 | ) |  | — |  |  | — |  |  | 20,535 |
Real estate owned | 3,349 |  |  | — |  |  | 424 |  |  | (295 | ) |  | 24,211 |  |  | (2,712 | ) |  | — |  |  | — |  |  | 24,977 |
Corporate equity investments | 29,392 |  |  | — |  |  | 1,519 |  |  | (723 | ) |  | 11,775 |  |  | (6,265 | ) |  | — |  |  | — |  |  | 35,698 |
Total investments, at fair value | 518,250 |  |  | (13,979 | ) |  | 2,368 |  |  | 16,035 |  |  | 353,695 |  |  | (275,297 | ) |  | 11,348 |  |  | (80,182 | ) |  | 532,238 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 5,326 |  |  | — |  |  | 368 |  |  | (218 | ) |  | 68 |  |  | (437 | ) |  | — |  |  | — |  |  | 5,107 |
Total return swaps | 155 |  |  | — |  |  | 222 |  |  | (155 | ) |  | — |  |  | (222 | ) |  | — |  |  | — |  |  | — |
Warrants | 106 |  |  | — |  |  | (100 | ) |  | (6 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total financial derivatives– assets, at fair value | 5,587 |  |  | — |  |  | 490 |  |  | (379 | ) |  | 68 |  |  | (659 | ) |  | — |  |  | — |  |  | 5,107 |
Total investments and financial derivatives–assets, at fair value | $ | 523,837 |  |  | $ | (13,979 | ) |  | $ | 2,858 |  |  | $ | 15,656 |  |  | $ | 353,763 |  |  | $ | (275,956 | ) |  | $ | 11,348 |  |  | $ | (80,182 | ) |  | $ | 537,345 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives– liabilities, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | $ | (256 | ) |  | $ | — |  |  | $ | (465 | ) |  | $ | 477 |  |  | $ | 465 |  |  | $ | (428 | ) |  | $ | — |  |  | $ | — |  |  | $ | (207 | )
Total return swaps | (249 | ) |  | — |  |  | (292 | ) |  | 250 |  |  | 304 |  |  | (13 | ) |  | — |  |  | — |  |  | — |
Total financial derivatives– liabilities, at fair value | $ | (505 | ) |  | $ | — |  |  | $ | (757 | ) |  | $ | 727 |  |  | $ | 769 |  |  | $ | (441 | ) |  | $ | — |  |  | $ | — |  |  | $ | (207 | )
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 June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $9.0 million, $(0.2) million, and $0.05 million, for the six-month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified certain of its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. At June 30, 2017, the Company transferred $80.2 million of securities from Level 3 to Level 2 and $11.3 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. There were no transfers of financial instruments between Level 1 and Level 2 during the three- or six-month periods ended June 30, 2018 and 2017.

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