v3.19.1

Valuation (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2019
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 that are measured at fair value on a recurring basis as of March 31, 2019:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Securities, at fair value- |  |  |  |  |  |  |  |
Agency RMBS |  | $ | — |  |  | $ | 1,137,826 |  |  | $ | 6,389 |  |  | $ | 1,144,215 |
Non-Agency RMBS |  | — |  |  | 111,500 |  |  | 94,670 |  |  | 206,170 |
CMBS |  | — |  |  | 28,055 |  |  | 5,137 |  |  | 33,192 |
CLOs |  | — |  |  | 76,559 |  |  | 21,438 |  |  | 97,997 |
Asset-backed securities, backed by consumer loans |  | — |  |  | — |  |  | 24,108 |  |  | 24,108 |
Corporate debt securities |  | — |  |  | — |  |  | 5,737 |  |  | 5,737 |
Corporate equity securities |  | — |  |  | — |  |  | 1,465 |  |  | 1,465 |
U.S. Treasury securities |  | — |  |  | 16,601 |  |  | — |  |  | 16,601 |
Loans, at fair value- |  |  |  |  |  |  |  |
Residential mortgage loans |  | — |  |  | — |  |  | 583,252 |  |  | 583,252 |
Commercial mortgage loans |  | — |  |  | — |  |  | 239,623 |  |  | 239,623 |
Consumer loans |  | — |  |  | — |  |  | 192,115 |  |  | 192,115 |
Investment in unconsolidated entities, at fair value |  | — |  |  | — |  |  | 58,152 |  |  | 58,152 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 1,233 |  |  | 1,233 |
Credit default swaps on asset-backed indices |  | — |  |  | 3,276 |  |  | — |  |  | 3,276 |
Credit default swaps on corporate bonds |  | — |  |  | 715 |  |  | — |  |  | 715 |
Credit default swaps on corporate bond indices |  | — |  |  | 3,519 |  |  | — |  |  | 3,519 |
Interest rate swaps |  | — |  |  | 5,391 |  |  | — |  |  | 5,391 |
TBAs |  | — |  |  | 531 |  |  | — |  |  | 531 |
Futures |  | 138 |  |  | — |  |  | — |  |  | 138 |
Forwards |  | — |  |  | 430 |  |  | — |  |  | 430 |
Total return swaps |  | — |  |  | 123 |  |  | — |  |  | 123 |
Total assets |  | $ | 138 |  |  | $ | 1,384,526 |  |  | $ | 1,233,319 |  |  | $ | 2,617,983 |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
(continued) |  | (In thousands)
Liabilities: |  |  |  |  |  |  |  |
Securities sold short, at fair value- |  |  |  |  |  |  |  |
Government debt |  | $ | — |  |  | $ | (21,771 | ) |  | $ | — |  |  | $ | (21,771 | )
Corporate debt securities |  | — |  |  | (4,441 | ) |  | — |  |  | (4,441 | )
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | (822 | ) |  | — |  |  | (822 | )
Credit default swaps on corporate bonds |  | — |  |  | (953 | ) |  | — |  |  | (953 | )
Credit default swaps on corporate bond indices |  | — |  |  | (11,907 | ) |  | — |  |  | (11,907 | )
Interest rate swaps |  | — |  |  | (7,571 | ) |  | — |  |  | (7,571 | )
TBAs |  | — |  |  | (3,075 | ) |  | — |  |  | (3,075 | )
Futures |  | (2,454 | ) |  | — |  |  | — |  |  | (2,454 | )
Forwards |  | — |  |  | (122 | ) |  | — |  |  | (122 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (282,124 | ) |  | (282,124 | )
Total liabilities |  | $ | (2,454 | ) |  | $ | (50,662 | ) |  | $ | (282,124 | ) |  | $ | (335,240 | )
The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2019:
|  | March 31, 2019
(In thousands) |  | Fair Value |  | Carrying Value
Other financial instruments |  |  |  |
Assets: |  |  |  |
Cash and cash equivalents |  | $ | 55,876 |  |  | $ | 55,876 |
Restricted cash |  | 175 |  |  | 175 |
Due from brokers |  | 58,145 |  |  | 58,145 |
Reverse repurchase agreements |  | 25,381 |  |  | 25,381 |
Liabilities: |  |  |  |
Repurchase agreements |  | 1,550,016 |  |  | 1,550,016 |
Other secured borrowings |  | 117,315 |  |  | 117,315 |
Senior notes, net |  | 85,100 |  |  | 85,100 |
Due to brokers |  | 4,820 |  |  | 4,820 |
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2018:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 12,460 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,460 |
Investments, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 1,442,924 |  |  | $ | 7,293 |  |  | $ | 1,450,217 |
U.S. Treasury securities |  | — |  |  | 76 |  |  | — |  |  | 76 |
Private label residential mortgage-backed securities |  | — |  |  | 211,348 |  |  | 91,291 |  |  | 302,639 |
Private label commercial mortgage-backed securities |  | — |  |  | 33,105 |  |  | 803 |  |  | 33,908 |
Commercial mortgage loans |  | — |  |  | — |  |  | 211,185 |  |  | 211,185 |
Residential mortgage loans |  | — |  |  | — |  |  | 496,830 |  |  | 496,830 |
Collateralized loan obligations |  | — |  |  | 108,978 |  |  | 14,915 |  |  | 123,893 |
Consumer loans and asset-backed securities backed by consumer loans |  | — |  |  | — |  |  | 206,761 |  |  | 206,761 |
Corporate debt |  | — |  |  | 16,074 |  |  | 6,318 |  |  | 22,392 |
Secured notes |  | — |  |  | — |  |  | 10,917 |  |  | 10,917 |
Real estate owned |  | — |  |  | — |  |  | 34,500 |  |  | 34,500 |
Common stock |  | 2,200 |  |  | — |  |  | — |  |  | 2,200 |
Corporate equity investments |  | — |  |  | — |  |  | 43,793 |  |  | 43,793 |
Total investments, at fair value |  | 2,200 |  |  | 1,812,505 |  |  | 1,124,606 |  |  | 2,939,311 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 1,472 |  |  | 1,472 |
Credit default swaps on corporate bond indices |  | — |  |  | 733 |  |  | — |  |  | 733 |
Credit default swaps on corporate bonds |  | — |  |  | 2,473 |  |  | — |  |  | 2,473 |
Credit default swaps on asset-backed indices |  | — |  |  | 8,092 |  |  | — |  |  | 8,092 |
Total return swaps |  | — |  |  | 1 |  |  | — |  |  | 1 |
Interest rate swaps |  | — |  |  | 7,224 |  |  | — |  |  | 7,224 |
Forwards |  | — |  |  | 6 |  |  | — |  |  | 6 |
Total financial derivatives–assets, at fair value |  | — |  |  | 18,529 |  |  | 1,472 |  |  | 20,001 |
Repurchase agreements, at fair value |  | — |  |  | 61,274 |  |  | — |  |  | 61,274 |
Total investments, financial derivatives–assets, and repurchase agreements, at fair value |  | $ | 2,200 |  |  | $ | 1,892,308 |  |  | $ | 1,126,078 |  |  | $ | 3,020,586 |
Liabilities: |  |  |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | (772,964 | ) |  | $ | — |  |  | $ | (772,964 | )
Government debt |  | — |  |  | (54,151 | ) |  | — |  |  | (54,151 | )
Corporate debt |  | — |  |  | (6,529 | ) |  | — |  |  | (6,529 | )
Common stock |  | (16,933 | ) |  | — |  |  | — |  |  | (16,933 | )
Total investments sold short, at fair value |  | (16,933 | ) |  | (833,644 | ) |  | — |  |  | (850,577 | )
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
(continued) |  | (In thousands)
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | $ | — |  |  | $ | (11,557 | ) |  | $ | — |  |  | $ | (11,557 | )
Credit default swaps on corporate bonds |  | — |  |  | (3,246 | ) |  | — |  |  | (3,246 | )
Credit default swaps on asset-backed indices |  | — |  |  | (2,125 | ) |  | — |  |  | (2,125 | )
Interest rate swaps |  | — |  |  | (3,397 | ) |  | — |  |  | (3,397 | )
Total return swaps |  | — |  |  | (6 | ) |  | — |  |  | (6 | )
Futures |  | (355 | ) |  | — |  |  | — |  |  | (355 | )
Forwards |  | — |  |  | (120 | ) |  | — |  |  | (120 | )
Total financial derivatives–liabilities, at fair value |  | (355 | ) |  | (20,451 | ) |  | — |  |  | (20,806 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (297,948 | ) |  | (297,948 | )
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value |  | $ | (17,288 | ) |  | $ | (854,095 | ) |  | $ | (297,948 | ) |  | $ | (1,169,331 | )
The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2018 (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 March 31, 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 March 31, 2018
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 6,173 |  |  | $ | (600 | ) |  | $ | 39 |  |  | $ | 264 |  |  | $ | 1,101 |  |  | $ | (388 | ) |  | $ | — |  |  | $ | (461 | ) |  | $ | 6,128 |
Private label residential mortgage-backed securities | 101,297 |  |  | 106 |  |  | 2,288 |  |  | 293 |  |  | 20,660 |  |  | (21,574 | ) |  | 11,561 |  |  | (2,769 | ) |  | 111,862 |
Private label commercial mortgage-backed securities | 12,347 |  |  | (183 | ) |  | 1,554 |  |  | 121 |  |  | 9,624 |  |  | (7,366 | ) |  | — |  |  | (2,388 | ) |  | 13,709 |
Commercial mortgage loans | 108,301 |  |  | 618 |  |  | 330 |  |  | (161 | ) |  | 3,988 |  |  | (3,782 | ) |  | — |  |  | — |  |  | 109,294 |
Residential mortgage loans | 182,472 |  |  | (715 | ) |  | (54 | ) |  | (653 | ) |  | 73,040 |  |  | (13,309 | ) |  | — |  |  | — |  |  | 240,781 |
Collateralized loan obligations | 24,911 |  |  | 455 |  |  | 2 |  |  | 226 |  |  | 10,095 |  |  | (8,210 | ) |  | — |  |  | — |  |  | 27,479 |
(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 March 31, 2018
(Continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consumer loans and asset-backed securities backed by consumer loans | $ | 135,258 |  |  | $ | (5,896 | ) |  | $ | 501 |  |  | $ | 3,804 |  |  | $ | 42,133 |  |  | $ | (27,378 | ) |  | $ | — |  |  | $ | — |  |  | $ | 148,422 |
Corporate debt | 23,947 |  |  | (114 | ) |  | 52 |  |  | 364 |  |  | 456 |  |  | (6,705 | ) |  | — |  |  | — |  |  | 18,000 |
Real estate owned | 26,277 |  |  | — |  |  | (456 | ) |  | 615 |  |  | 4,098 |  |  | (1,424 | ) |  | — |  |  | — |  |  | 29,110 |
Corporate equity investments | 37,465 |  |  | — |  |  | — |  |  | 4,326 |  |  | 9,078 |  |  | — |  |  | — |  |  | — |  |  | 50,869 |
Total investments, at fair value | 658,448 |  |  | (6,329 | ) |  | 4,256 |  |  | 9,199 |  |  | 174,273 |  |  | (90,136 | ) |  | 11,561 |  |  | (5,618 | ) |  | 755,654 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 3,140 |  |  | — |  |  | 86 |  |  | (71 | ) |  | 24 |  |  | (110 | ) |  | — |  |  | — |  |  | 3,069 |
Total financial derivatives– assets, at fair value | 3,140 |  |  | — |  |  | 86 |  |  | (71 | ) |  | 24 |  |  | (110 | ) |  | — |  |  | — |  |  | 3,069 |
Total investments and financial derivatives–assets, at fair value | $ | 661,588 |  |  | $ | (6,329 | ) |  | $ | 4,342 |  |  | $ | 9,128 |  |  | $ | 174,297 |  |  | $ | (90,246 | ) |  | $ | 11,561 |  |  | $ | (5,618 | ) |  | $ | 758,723 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 784 |  |  | $ | 10,546 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (113,775 | )
Total other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 784 |  |  | $ | 10,546 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (113,775 | )
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2018. For Level 3 financial instruments held by the Company at March 31, 2018, change in net unrealized gain (loss) of $8.6 million, $(0.1) million, and $0.8 million, for the three-month period ended March 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively.
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 March 31, 2019:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 42,096 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 15.72 |  |  | $ | 184.92 |  |  | $ | 82.84 |
CMBS |  | 5,137 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 5.94 |  |  | 70.90 |  |  | 60.88 |
CLOs |  | 13,508 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 27.30 |  |  | 80.00 |  |  | 72.87 |
Agency interest only RMBS |  | 705 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 8.42 |  |  | 14.43 |  |  | 11.96 |
Corporate debt and equity |  | 1,452 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 83.50 |  |  | 83.50 |  |  | 83.50 |
Non-Agency RMBS |  | 52,574 |  |  | Discounted Cash Flows |  | Yield |  | 0.5 | % |  | 67.1 | % |  | 9.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 15.1 | % |  | 77.8 | % |  | 46.6 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.1 | % |  | 17.6 | % |  | 8.8 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 1.7 | % |  | 15.8 | % |  | 8.2 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 16.3 | % |  | 63.0 | % |  | 36.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt and equity |  | 5,750 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 19.6 | % |  | 16.7 | %
CLOs |  | 7,930 |  |  | Discounted Cash Flows |  | Yield |  | 8.7 | % |  | 15.2 | % |  | 11.8 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 19.9 | % |  | 87.3 | % |  | 52.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 5.3 | % |  | 30.8 | % |  | 15.7 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 4.2 | % |  | 13.7 | % |  | 8.8 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | — | % |  | 65.2 | % |  | 23.0 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
ABS backed by consumer loans |  | 24,108 |  |  | Discounted Cash Flows |  | Yield |  | 12.0 | % |  | 18.7 | % |  | 12.2 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 11.0 | % |  | 9.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.6 | % |  | 16.6 | % |  | 14.9 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 72.9 | % |  | 98.4 | % |  | 75.7 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Consumer loans |  | 192,115 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 10.0 | % |  | 8.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 55.4 | % |  | 41.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 4.0 | % |  | 86.6 | % |  | 8.0 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 13.4 | % |  | 85.7 | % |  | 50.5 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Performing commercial mortgage loans |  | 198,823 |  |  | Discounted Cash Flows |  | Yield |  | 8.0 | % |  | 22.5 | % |  | 9.4 | %
Non-performing commercial mortgage loans |  | 40,800 |  |  | Discounted Cash Flows |  | Yield |  | 10.5 | % |  | 14.1 | % |  | 12.8 | %
|  |  |  |  |  | Months to Resolution |  | 0.0 |  |  | 5.0 |  |  | 3.0 |
Performing and re-performing residential mortgage loans |  | 274,572 |  |  | Discounted Cash Flows |  | Yield |  | 4.1 | % |  | 22.6 | % |  | 6.0 | %
Securitized residential mortgage loans(1) |  | 296,366 |  |  | Discounted Cash Flows |  | Yield |  | 4.4 | % |  | 4.6 | % |  | 4.5 | %
Non-performing residential mortgage loans |  | 12,314 |  |  | Discounted Cash Flows |  | Yield |  | 4.3 | % |  | 33.3 | % |  | 11.9 | %
|  |  |  |  |  | Months to Resolution |  | 13.5 |  |  | 62.6 |  |  | 32.3 |
Credit default swaps on asset-backed securities |  | 1,233 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 34.1 | % |  | 38.6 | % |  | 36.0 | %
|  |  |  |  |  | Projected Collateral Losses |  | 11.7 | % |  | 18.1 | % |  | 13.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 14.2 | % |  | 17.5 | % |  | 16.2 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 29.1 | % |  | 36.5 | % |  | 34.5 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only RMBS |  | 5,684 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(2) |  | 93 |  |  | 3,527 |  |  | 654 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 30.0 | % |  | 100.0 | % |  | 67.7 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 70.0 | % |  | 32.3 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Investment in unconsolidated entities |  | 31,849 |  |  | Enterprise Value |  | Equity Price-to-Book(3) |  | 1.0X |  | 3.1X |  | 1.4X
Investment in unconsolidated entities |  | 3,000 |  |  | Recent Transactions |  | Transaction Price |  | n/a |  | n/a |  | n/a
Investment in unconsolidated entities |  | 23,303 |  |  | Discounted Cash Flows |  | Yield(4) |  | 5.5% |  | 19.6% |  | 10.2%
Other secured borrowings, at fair value(1) |  | (282,124 | ) |  | Discounted Cash Flows |  | Yield |  | 4.0% |  | 4.1% |  | 4.1%
(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) | Shown in basis points.
(3) | Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
(4) | Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole.
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, 2018:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private label residential mortgage-backed securities |  | $ | 36,945 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 17.42 |  |  | $ | 178.00 |  |  | $ | 78.31 |
Collateralized loan obligations |  | 5,828 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 2.64 |  |  | 375.00 |  |  | 167.78 |
Corporate debt, non-exchange traded corporate equity, and secured notes |  | 13,976 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 9.69 |  |  | 91.00 |  |  | 59.18 |
Private label commercial mortgage-backed securities |  | 576 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 5.93 |  |  | 6.36 |  |  | 6.14 |
Agency interest only residential mortgage-backed securities |  | 744 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 1.70 |  |  | 9.12 |  |  | 5.64 |
Private label residential mortgage-backed securities |  | 54,346 |  |  | Discounted Cash Flows |  | Yield |  | 3.5 | % |  | 66.1 | % |  | 10.7 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 16.0 | % |  | 92.1 | % |  | 50.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.0 | % |  | 23.1 | % |  | 8.7 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 1.5 | % |  | 14.6 | % |  | 7.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 6.1 | % |  | 61.8 | % |  | 33.6 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities |  | 227 |  |  | Discounted Cash Flows |  | Yield |  | 3.4 | % |  | 3.4 | % |  | 3.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 2.0 | % |  | 2.0 | % |  | 2.0 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 6.6 | % |  | 6.6 | % |  | 6.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 91.4 | % |  | 91.4 | % |  | 91.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt and non-exchange traded corporate equity |  | 4,793 |  |  | Discounted Cash Flows |  | Yield |  | 17.5 | % |  | 17.5 | % |  | 17.5 | %
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Collateralized loan obligations |  | $ | 9,087 |  |  | Discounted Cash Flows |  | Yield |  | 12.6 | % |  | 103.1 | % |  | 26.7 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 8.1 | % |  | 88.4 | % |  | 65.2 | %
|  |  |  |  |  | Projected Collateral Losses |  | 3.7 | % |  | 40.8 | % |  | 13.5 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 4.2 | % |  | 38.0 | % |  | 11.9 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 3.5 | % |  | 13.5 | % |  | 9.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Consumer loans and asset-backed securities backed by consumer loans |  | 206,761 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 18.3 | % |  | 8.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 45.9 | % |  | 33.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 2.6 | % |  | 84.8 | % |  | 9.1 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 15.2 | % |  | 96.6 | % |  | 57.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Performing commercial mortgage loans |  | 163,876 |  |  | Discounted Cash Flows |  | Yield |  | 8.0 | % |  | 22.5 | % |  | 9.6 | %
Non-performing commercial mortgage loans and commercial real estate owned |  | 80,513 |  |  | Discounted Cash Flows |  | Yield |  | 9.6 | % |  | 27.4 | % |  | 13.2 | %
|  |  |  |  |  | Months to Resolution |  | 3.0 |  |  | 16.0 |  |  | 7.9 |
Performing residential mortgage loans |  | 171,367 |  |  | Discounted Cash Flows |  | Yield |  | 2.7 | % |  | 12.9 | % |  | 6.0 | %
Securitized residential mortgage loans(1) |  | 314,202 |  |  | Discounted Cash Flows |  | Yield |  | 4.3 | % |  | 4.6 | % |  | 4.6 | %
Non-performing residential mortgage loans and residential real estate owned |  | 12,557 |  |  | Discounted Cash Flows |  | Yield |  | 4.3 | % |  | 25.1 | % |  | 11.3 | %
|  |  |  |  |  | Months to Resolution(2) |  | 1.9 |  |  | 42.2 |  |  | 27.8 |
Credit default swaps on asset-backed securities |  | 1,472 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 33.6 | % |  | 42.0 | % |  | 36.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 11.1 | % |  | 15.6 | % |  | 12.8 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 10.3 | % |  | 18.7 | % |  | 15.8 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 32.0 | % |  | 36.5 | % |  | 34.9 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only residential mortgage-backed securities |  | 6,549 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(3) |  | 211 |  |  | 3,521 |  |  | 677 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 37.7 | % |  | 100.0 | % |  | 66.2 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 62.3 | % |  | 33.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-exchange traded common equity investment in mortgage-related entity |  | 6,750 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 3.3x |  | 3.3x |  | 3.3x
Non-exchange traded preferred equity investment in mortgage-related entity |  | 27,317 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 1.1x |  | 1.1x |  | 1.1x
Non-exchange traded preferred equity investment in loan origination entity |  | 3,000 |  |  | Recent Transactions |  | Transaction Price |  | N/A |  | N/A |  | N/A
Non-controlling equity interest in limited liability company |  | 5,192 |  |  | Discounted Cash Flows |  | Yield(5) |  | 12.9% |  | 16.1% |  | 15.4%
Other secured borrowings, at fair value(1) |  | (297,948 | ) |  | Discounted Cash Flows |  | Yield |  | 3.9% |  | 4.4% |  | 4.3%
(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-month period ended March 31, 2019 (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 March 31, 2019
(In thousands) | Beginning Balance as of January 1, 2019 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of March 31, 2019
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 7,293 |  |  | $ | (774 | ) |  | $ | (594 | ) |  | $ | 189 |  |  | $ | 6 |  |  | $ | — |  |  | $ | 842 |  |  | $ | (573 | ) |  | $ | 6,389 |
Non-Agency RMBS | 91,291 |  |  | 63 |  |  | (101 | ) |  | (535 | ) |  | 15,546 |  |  | (19,436 | ) |  | 10,492 |  |  | (2,650 | ) |  | 94,670 |
CMBS | 803 |  |  | (14 | ) |  | — |  |  | (8 | ) |  | — |  |  | — |  |  | 4,356 |  |  | — |  |  | 5,137 |
CLOs | 14,915 |  |  | (406 | ) |  | (83 | ) |  | 49 |  |  | 8,304 |  |  | — |  |  | — |  |  | (1,341 | ) |  | 21,438 |
Asset-backed securities backed by consumer loans | 22,800 |  |  | (609 | ) |  | (512 | ) |  | 762 |  |  | 4,940 |  |  | (3,273 | ) |  | — |  |  | — |  |  | 24,108 |
Corporate debt securities | 6,318 |  |  | 16 |  |  | (1 | ) |  | (77 | ) |  | 384 |  |  | (903 | ) |  | — |  |  | — |  |  | 5,737 |
Corporate equity securities | 1,530 |  |  | — |  |  | — |  |  | (65 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 1,465 |
Loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans | 496,829 |  |  | (927 | ) |  | (136 | ) |  | 1,901 |  |  | 157,602 |  |  | (72,017 | ) |  | — |  |  | — |  |  | 583,252 |
Commercial mortgage loans | 195,301 |  |  | 306 |  |  | — |  |  | (333 | ) |  | 48,857 |  |  | (4,508 | ) |  | — |  |  | — |  |  | 239,623 |
Consumer loans | 183,961 |  |  | (8,572 | ) |  | (2,055 | ) |  | 1,842 |  |  | 54,256 |  |  | (37,317 | ) |  | — |  |  | — |  |  | 192,115 |
Investment in unconsolidated entities, at fair value | 72,302 |  |  | 276 |  |  | 1,560 |  |  | (39 | ) |  | 13,428 |  |  | (29,375 | ) |  | — |  |  | — |  |  | 58,152 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 1,472 |  |  | — |  |  | 275 |  |  | (239 | ) |  | 2 |  |  | (277 | ) |  | — |  |  | — |  |  | 1,233 |
Total assets, at fair value | $ | 1,094,815 |  |  | $ | (10,641 | ) |  | $ | (1,647 | ) |  | $ | 3,447 |  |  | $ | 303,325 |  |  | $ | (167,106 | ) |  | $ | 15,690 |  |  | $ | (4,564 | ) |  | $ | 1,233,319 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured borrowings, at fair value | $ | (297,948 | ) |  | $ | — |  |  | $ | — |  |  | $ | 57 |  |  | $ | 15,767 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (282,124 | )
Total liabilities, at fair value | $ | (297,948 | ) |  | $ | — |  |  | $ | — |  |  | $ | 57 |  |  | $ | 15,767 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (282,124 | )
The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2018 (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 March 31, 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 March 31, 2018
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 6,173 |  |  | $ | (600 | ) |  | $ | 39 |  |  | $ | 264 |  |  | $ | 1,101 |  |  | $ | (388 | ) |  | $ | — |  |  | $ | (461 | ) |  | $ | 6,128 |
Private label residential mortgage-backed securities | 101,297 |  |  | 106 |  |  | 2,288 |  |  | 293 |  |  | 20,660 |  |  | (21,574 | ) |  | 11,561 |  |  | (2,769 | ) |  | 111,862 |
Private label commercial mortgage-backed securities | 12,347 |  |  | (183 | ) |  | 1,554 |  |  | 121 |  |  | 9,624 |  |  | (7,366 | ) |  | — |  |  | (2,388 | ) |  | 13,709 |
Commercial mortgage loans | 108,301 |  |  | 618 |  |  | 330 |  |  | (161 | ) |  | 3,988 |  |  | (3,782 | ) |  | — |  |  | — |  |  | 109,294 |
Residential mortgage loans | 182,472 |  |  | (715 | ) |  | (54 | ) |  | (653 | ) |  | 73,040 |  |  | (13,309 | ) |  | — |  |  | — |  |  | 240,781 |
Collateralized loan obligations | 24,911 |  |  | 455 |  |  | 2 |  |  | 226 |  |  | 10,095 |  |  | (8,210 | ) |  | — |  |  | — |  |  | 27,479 |
(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 March 31, 2018
(Continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consumer loans and asset-backed securities backed by consumer loans | $ | 135,258 |  |  | $ | (5,896 | ) |  | $ | 501 |  |  | $ | 3,804 |  |  | $ | 42,133 |  |  | $ | (27,378 | ) |  | $ | — |  |  | $ | — |  |  | $ | 148,422 |
Corporate debt | 23,947 |  |  | (114 | ) |  | 52 |  |  | 364 |  |  | 456 |  |  | (6,705 | ) |  | — |  |  | — |  |  | 18,000 |
Real estate owned | 26,277 |  |  | — |  |  | (456 | ) |  | 615 |  |  | 4,098 |  |  | (1,424 | ) |  | — |  |  | — |  |  | 29,110 |
Corporate equity investments | 37,465 |  |  | — |  |  | — |  |  | 4,326 |  |  | 9,078 |  |  | — |  |  | — |  |  | — |  |  | 50,869 |
Total investments, at fair value | 658,448 |  |  | (6,329 | ) |  | 4,256 |  |  | 9,199 |  |  | 174,273 |  |  | (90,136 | ) |  | 11,561 |  |  | (5,618 | ) |  | 755,654 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 3,140 |  |  | — |  |  | 86 |  |  | (71 | ) |  | 24 |  |  | (110 | ) |  | — |  |  | — |  |  | 3,069 |
Total financial derivatives– assets, at fair value | 3,140 |  |  | — |  |  | 86 |  |  | (71 | ) |  | 24 |  |  | (110 | ) |  | — |  |  | — |  |  | 3,069 |
Total investments and financial derivatives–assets, at fair value | $ | 661,588 |  |  | $ | (6,329 | ) |  | $ | 4,342 |  |  | $ | 9,128 |  |  | $ | 174,297 |  |  | $ | (90,246 | ) |  | $ | 11,561 |  |  | $ | (5,618 | ) |  | $ | 758,723 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 784 |  |  | $ | 10,546 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (113,775 | )
Total other secured borrowings, at fair value | $ | (125,105 | ) |  | $ | — |  |  | $ | — |  |  | $ | 784 |  |  | $ | 10,546 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (113,775 | )
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2018. For Level 3 financial instruments held by the Company at March 31, 2018, change in net unrealized gain (loss) of $8.6 million, $(0.1) million, and $0.8 million, for the three-month period ended March 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, 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 procedures, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of March 31, 2018, the Company transferred $5.6 million of securities from Level 3 to Level 2 and $11.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

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