v3.20.1

Valuation (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019: March 31, 2020:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | — |  |  | $ | 995,020 |  |  | $ | 20,981 |  |  | $ | 1,016,001 |
Non-Agency RMBS |  | — |  |  | 68,506 |  |  | 94,197 |  |  | 162,703 |
CMBS |  | — |  |  | 55,539 |  |  | 20,276 |  |  | 75,815 |
CLOs |  | — |  |  | 125,469 |  |  | 43,804 |  |  | 169,273 |
Asset-backed securities, backed by consumer loans |  | — |  |  | — |  |  | 54,627 |  |  | 54,627 |
Corporate debt securities |  | — |  |  | — |  |  | 610 |  |  | 610 |
Corporate equity securities |  | — |  |  | — |  |  | 712 |  |  | 712 |
U.S. Treasury securities |  | — |  |  | 1,654 |  |  | — |  |  | 1,654 |
Loans, at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans |  | — |  |  | — |  |  | 939,372 |  |  | 939,372 |
Commercial mortgage loans |  | — |  |  | — |  |  | 303,300 |  |  | 303,300 |
Consumer loans |  | — |  |  | — |  |  | 194,803 |  |  | 194,803 |
Corporate loans |  | — |  |  | — |  |  | 6,114 |  |  | 6,114 |
Investment in unconsolidated entities, at fair value |  | — |  |  | — |  |  | 65,397 |  |  | 65,397 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 353 |  |  | 353 |
Credit default swaps on asset-backed indices |  | — |  |  | 14,276 |  |  | — |  |  | 14,276 |
Credit default swaps on corporate bonds |  | — |  |  | 1,202 |  |  | — |  |  | 1,202 |
Credit default swaps on corporate bond indices |  | — |  |  | 3,732 |  |  | — |  |  | 3,732 |
Interest rate swaps |  | — |  |  | 8,592 |  |  | — |  |  | 8,592 |
TBAs |  | — |  |  | 551 |  |  | — |  |  | 551 |
Total return swaps |  | — |  |  | — |  |  | 37 |  |  | 37 |
Options |  | — |  |  | 2,658 |  |  | — |  |  | 2,658 |
Warrants |  | — |  |  | 126 |  |  | — |  |  | 126 |
Futures |  | 37 |  |  | — |  |  | — |  |  | 37 |
Forwards |  | — |  |  | 188 |  |  | — |  |  | 188 |
Total assets |  | $ | 37 |  |  | $ | 1,277,513 |  |  | $ | 1,744,583 |  |  | $ | 3,022,133 |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
(continued) |  | (In thousands)
Liabilities: |  |  |  |  |  |  |  |
Securities sold short, at fair value: |  |  |  |  |  |  |  |
Government debt |  | $ | — |  |  | $ | (11,872 | ) |  | $ | — |  |  | $ | (11,872 | )
Corporate debt securities |  | — |  |  | (1,419 | ) |  | — |  |  | (1,419 | )
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | (162 | ) |  | — |  |  | (162 | )
Credit default swaps on corporate bonds |  | — |  |  | (62 | ) |  | — |  |  | (62 | )
Credit default swaps on corporate bond indices |  | — |  |  | (1,922 | ) |  | — |  |  | (1,922 | )
Interest rate swaps |  | — |  |  | (32,286 | ) |  | — |  |  | (32,286 | )
TBAs |  | — |  |  | (6,391 | ) |  | — |  |  | (6,391 | )
Futures |  | (6,049 | ) |  | — |  |  | — |  |  | (6,049 | )
Forwards |  | — |  |  | (61 | ) |  | — |  |  | (61 | )
Total return swaps |  | — |  |  | — |  |  | (839 | ) |  | (839 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (549,668 | ) |  | (549,668 | )
Total liabilities |  | $ | (6,049 | ) |  | $ | (54,175 | ) |  | $ | (550,507 | ) |  | $ | (610,731 | )
December 31, 2019:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | — |  |  | $ | 1,917,059 |  |  | $ | 19,904 |  |  | $ | 1,936,963 |
Non-Agency RMBS |  | — |  |  | 76,969 |  |  | 89,581 |  |  | 166,550 |
CMBS |  | — |  |  | 95,063 |  |  | 29,805 |  |  | 124,868 |
CLOs |  | — |  |  | 125,464 |  |  | 44,979 |  |  | 170,443 |
Asset-backed securities, backed by consumer loans |  | — |  |  | — |  |  | 48,610 |  |  | 48,610 |
Corporate debt securities |  | — |  |  | — |  |  | 1,113 |  |  | 1,113 |
Corporate equity securities |  | — |  |  | — |  |  | 1,394 |  |  | 1,394 |
Loans, at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans |  | — |  |  | — |  |  | 932,203 |  |  | 932,203 |
Commercial mortgage loans |  | — |  |  | — |  |  | 274,759 |  |  | 274,759 |
Consumer loans |  | — |  |  | — |  |  | 186,954 |  |  | 186,954 |
Corporate loans |  | — |  |  | — |  |  | 18,510 |  |  | 18,510 |
Investment in unconsolidated entities, at fair value |  | — |  |  | — |  |  | 71,850 |  |  | 71,850 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 993 |  |  | 993 |
Credit default swaps on asset-backed indices |  | — |  |  | 3,319 |  |  | — |  |  | 3,319 |
Credit default swaps on corporate bonds |  | — |  |  | 2 |  |  | — |  |  | 2 |
Credit default swaps on corporate bond indices |  | — |  |  | 5,599 |  |  | — |  |  | 5,599 |
Interest rate swaps |  | — |  |  | 5,468 |  |  | — |  |  | 5,468 |
TBAs |  | — |  |  | 596 |  |  | — |  |  | 596 |
Total return swaps |  | — |  |  | — |  |  | 620 |  |  | 620 |
Futures |  | 148 |  |  | — |  |  | — |  |  | 148 |
Forwards |  | — |  |  | 43 |  |  | — |  |  | 43 |
Total assets |  | $ | 148 |  |  | $ | 2,229,582 |  |  | $ | 1,721,275 |  |  | $ | 3,951,005 |
Liabilities: |  |  |  |  |  |  |  |
Securities sold short, at fair value: |  |  |  |  |  |  |  |
Government debt |  | $ | — |  |  | $ | (72,938 | ) |  | $ | — |  |  | $ | (72,938 | )
Corporate debt securities |  | — |  |  | (471 | ) |  | — |  |  | (471 | )
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | (250 | ) |  | — |  |  | (250 | )
Credit default swaps on corporate bonds |  | — |  |  | (1,693 | ) |  | — |  |  | (1,693 | )
Credit default swaps on corporate bond indices |  | — |  |  | (14,524 | ) |  | — |  |  | (14,524 | )
Interest rate swaps |  | — |  |  | (8,719 | ) |  | — |  |  | (8,719 | )
TBAs |  | — |  |  | (1,012 | ) |  | — |  |  | (1,012 | )
Futures |  | (45 | ) |  | — |  |  | — |  |  | (45 | )
Forwards |  | — |  |  | (169 | ) |  | — |  |  | (169 | )
Total return swaps |  | — |  |  | (773 | ) |  | (436 | ) |  | (1,209 | )
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (594,396 | ) |  | (594,396 | )
Total liabilities |  | $ | (45 | ) |  | $ | (100,549 | ) |  | $ | (594,832 | ) |  | $ | (695,426 | )
Schedule of Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:
|  | As of
|  | March 31, 2020 |  | December 31, 2019
(In thousands) |  | Fair Value |  | Carrying Value |  | Fair Value |  | Carrying Value
Other financial instruments |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 136,740 |  |  | $ | 136,740 |  |  | $ | 72,302 |  |  | $ | 72,302 |
Restricted cash |  | 175 |  |  | 175 |  |  | 175 |  |  | 175 |
Due from brokers |  | 166,516 |  |  | 166,516 |  |  | 79,829 |  |  | 79,829 |
Reverse repurchase agreements |  | 13,239 |  |  | 13,239 |  |  | 73,639 |  |  | 73,639 |
Liabilities: |  |  |  |  |  |  |  |
Repurchase agreements |  | 2,034,225 |  |  | 2,034,225 |  |  | 2,445,300 |  |  | 2,445,300 |
Other secured borrowings |  | 177,855 |  |  | 177,855 |  |  | 150,334 |  |  | 150,334 |
Senior notes, net |  | 77,400 |  |  | 85,363 |  |  | 88,365 |  |  | 85,298 |
Due to brokers |  | 17,138 |  |  | 17,138 |  |  | 2,197 |  |  | 2,197 |
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. The Senior notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. As of March 31, 2020 and December 31, 2019, the estimated fair value of the Company's Senior notes was based on a third-party valuation.
Schedule of Significant Unobservable Inputs, Qualitative Information | The following tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2020 and December 31, 2019: March 31, 2020:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 60,935 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 1.75 |  |  | $ | 291.19 |  |  | $ | 99.35 |
CMBS |  | 15,245 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 4.78 |  |  | 59.70 |  |  | 44.50 |
CLOs |  | 34,470 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 20.00 |  |  | 310.00 |  |  | 67.98 |
Agency interest only RMBS |  | 9,347 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 0.76 |  |  | 23.12 |  |  | 9.96 |
Corporate loans |  | 6,114 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 100.00 |  |  | 100.00 |  |  | 100.00 |
ABS backed by consumer loans |  | 126 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 94.80 |  |  | 95.87 |  |  | 95.37 |
Non-Agency RMBS |  | 33,262 |  |  | Discounted Cash Flows |  | Yield |  | 1.6 | % |  | 49.5 | % |  | 13.2 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.6 | % |  | 74.5 | % |  | 49.1 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.0 | % |  | 22.2 | % |  | 6.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 0.0 | % |  | 27.7 | % |  | 8.8 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 14.2 | % |  | 85.9 | % |  | 35.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-Agency CMBS |  | 5,031 |  |  | Discounted Cash Flows |  | Yield |  | 10.2 | % |  | 31.8 | % |  | 15.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.0 | % |  | 0.2 | % |  | 0.2 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 0.0 | % |  | 1.8 | % |  | 1.7 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 98.0 | % |  | 100.0 | % |  | 98.1 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt and equity |  | 1,322 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 10.0 | % |  | 10.0 | %
CLOs |  | 9,334 |  |  | Discounted Cash Flows |  | Yield |  | 14.4 | % |  | 16.7 | % |  | 15.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 63.5 | % |  | 63.5 | % |  | 63.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 24.8 | % |  | 24.8 | % |  | 24.8 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 11.0 | % |  | 11.0 | % |  | 11.0 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.7 | % |  | 0.7 | % |  | 0.7 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
ABS backed by consumer loans |  | 54,501 |  |  | Discounted Cash Flows |  | Yield |  | 14.0 | % |  | 19.9 | % |  | 14.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 9.9 | % |  | 7.7 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.9 | % |  | 20.2 | % |  | 15.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 70.3 | % |  | 99.1 | % |  | 76.7 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Consumer loans |  | $ | 194,803 |  |  | Discounted Cash Flows |  | Yield |  | 9.0 | % |  | 12.0 | % |  | 10.1 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 41.5 | % |  | 14.0 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.8 | % |  | 86.6 | % |  | 10.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 13.4 | % |  | 98.2 | % |  | 75.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Performing commercial mortgage loans |  | 292,551 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 12.3 | % |  | 8.5 | %
Non-performing commercial mortgage loans |  | 10,749 |  |  | Discounted Cash Flows |  | Yield |  | 14.4 | % |  | 14.4 | % |  | 14.4 | %
|  |  |  |  |  | Months to Resolution |  | 8.8 |  |  | 8.8 |  |  | 8.8 |
Performing and re-performing residential mortgage loans |  | 347,346 |  |  | Discounted Cash Flows |  | Yield |  | 1.7 | % |  | 20.9 | % |  | 7.9 | %
Securitized residential mortgage loans(1)(2) |  | 581,181 |  |  | Discounted Cash Flows |  | Yield |  | 3.7 | % |  | 4.1 | % |  | 3.9 | %
Non-performing residential mortgage loans |  | 10,845 |  |  | Discounted Cash Flows |  | Yield |  | 3.9 | % |  | 24.6 | % |  | 11.6 | %
|  |  |  |  |  | Months to Resolution |  | 0.0 |  |  | 66.0 |  |  | 21.1 |
Total return swaps—asset |  | 37 |  |  | Discounted Cash Flows |  | Yield |  | 10.9 | % |  | 10.9 | % |  | 10.9 | %
Credit default swaps on asset-backed securities |  | 353 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 34.3 | % |  | 43.0 | % |  | 40.8 | %
|  |  |  |  |  | Projected Collateral Losses |  | 12.0 | % |  | 15.0 | % |  | 12.7 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 8.9 | % |  | 16.5 | % |  | 10.5 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 35.6 | % |  | 37.2 | % |  | 36.0 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only RMBS |  | 11,634 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(3)(4) |  | 318 |  |  | 9,325 |  |  | 2,263 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 62.5 | % |  | 94.0 | % |  | 77.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 6.0 | % |  | 37.5 | % |  | 22.7 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Investment in unconsolidated entities |  | 39,436 |  |  | Enterprise Value |  | Equity Price-to-Book(5) |  | 0.9x |  | 4.0x |  | 1.4x
Investment in unconsolidated entities |  | 25,961 |  |  | Discounted Cash Flows |  | Yield(6) |  | 7.4% |  | 20.3% |  | 11.6%
Other secured borrowings, at fair value(1) |  | (549,668 | ) |  | Discounted Cash Flows |  | Yield |  | 2.1% |  | 2.5% |  | 2.3%
Total return swaps—liability |  | (839 | ) |  | Discounted Cash Flows |  | Yield |  | 15.9% |  | 15.9% |  | 15.9%
(1) | 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.
(2) | Includes $4.0 million of non-performing securitized residential mortgage loans.
(3) | Shown in basis points.
(4) | For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.0 million. Including these securities the weighted average was 2,007 basis points.
(5) | Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
(6) | 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.
December 31, 2019:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 38,754 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 6.68 |  |  | $ | 144.79 |  |  | $ | 86.21 |
CMBS |  | 29,630 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 5.08 |  |  | 80.72 |  |  | 64.73 |
CLOs |  | 38,220 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 40.00 |  |  | 96.00 |  |  | 73.98 |
Agency interest only RMBS |  | 3,753 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 1.36 |  |  | 16.61 |  |  | 5.11 |
Corporate loans |  | 6,010 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 100.00 |  |  | 100.00 |  |  | 100.00 |
ABS backed by consumer loans |  | 139 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | 95.47 |  |  | 96.78 |  |  | 96.12 |
Non-Agency RMBS |  | 50,827 |  |  | Discounted Cash Flows |  | Yield |  | 3.3 | % |  | 60.9 | % |  | 10.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.8 | % |  | 72.0 | % |  | 49.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.0 | % |  | 22.7 | % |  | 6.6 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 0.0 | % |  | 32.4 | % |  | 6.9 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 16.9 | % |  | 92.9 | % |  | 37.2 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-Agency CMBS |  | 175 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 10.0 | % |  | 10.0 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 100.0 | % |  | 100.0 | % |  | 100.0 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt and equity |  | 2,507 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 10.0 | % |  | 10.0 | %
CLOs |  | 6,759 |  |  | Discounted Cash Flows |  | Yield |  | 14.0 | % |  | 41.9 | % |  | 26.2 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 48.5 | % |  | 84.6 | % |  | 72.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 11.7 | % |  | 36.4 | % |  | 19.9 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 3.7 | % |  | 15.1 | % |  | 7.6 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
ABS backed by consumer loans |  | 48,471 |  |  | Discounted Cash Flows |  | Yield |  | 12.0 | % |  | 20.2 | % |  | 12.1 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 11.2 | % |  | 9.7 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.6 | % |  | 18.0 | % |  | 15.4 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 71.3 | % |  | 99.4 | % |  | 74.9 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(continued) |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Consumer loans |  | $ | 186,954 |  |  | Discounted Cash Flows |  | Yield |  | 7.0 | % |  | 10.0 | % |  | 8.1 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 44.2 | % |  | 16.0 | %
|  |  |  |  |  | Projected Collateral Losses |  | 3.0 | % |  | 84.5 | % |  | 8.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 15.5 | % |  | 95.8 | % |  | 75.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate loans |  | 12,500 |  |  | Discounted Cash Flows |  | Yield |  | 15.0 | % |  | 18.0 | % |  | 16.8 | %
Performing commercial mortgage loans |  | 248,214 |  |  | Discounted Cash Flows |  | Yield |  | 7.7 | % |  | 16.6 | % |  | 8.8 | %
Non-performing commercial mortgage loans |  | 26,545 |  |  | Discounted Cash Flows |  | Yield |  | 9.8 | % |  | 14.7 | % |  | 12.4 | %
|  |  |  |  |  | Months to Resolution |  | 1.1 |  |  | 23.0 |  |  | 11.4 |
Performing and re-performing residential mortgage loans |  | 289,672 |  |  | Discounted Cash Flows |  | Yield |  | 1.6 | % |  | 19.5 | % |  | 6.2 | %
Securitized residential mortgage loans(1)(2) |  | 628,415 |  |  | Discounted Cash Flows |  | Yield |  | 3.2 | % |  | 4.3 | % |  | 3.6 | %
Non-performing residential mortgage loans |  | 14,116 |  |  | Discounted Cash Flows |  | Yield |  | 1.0 | % |  | 26.6 | % |  | 9.1 | %
|  |  |  |  |  | Months to Resolution |  | 1.1 |  |  | 165.4 |  |  | 54.6 |
Total return swaps—asset |  | 620 |  |  | Discounted Cash Flows |  | Yield |  | 8.5 | % |  | 27.7 | % |  | 11.5 | %
Credit default swaps on asset-backed securities |  | 993 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 35.4 | % |  | 42.0 | % |  | 37.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 4.2 | % |  | 12.4 | % |  | 10.2 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 10.0 | % |  | 18.2 | % |  | 15.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 36.2 | % |  | 41.5 | % |  | 37.2 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency interest only RMBS |  | 16,151 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(3) |  | 93 |  |  | 3,527 |  |  | 701 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 12.3 | % |  | 100.0 | % |  | 72.3 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 87.7 | % |  | 27.7 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Investment in unconsolidated entities |  | 41,392 |  |  | Enterprise Value |  | Equity Price-to-Book(4) |  | 1.0x |  | 4.7x |  | 1.7x
Investment in unconsolidated entities |  | 30,458 |  |  | Discounted Cash Flows |  | Yield(5) |  | 3.7% |  | 14.8% |  | 9.9%
Other secured borrowings, at fair value(1) |  | (594,396 | ) |  | Discounted Cash Flows |  | Yield |  | 2.9% |  | 4.0% |  | 3.3%
Total return swaps—liability |  | (436 | ) |  | Discounted Cash Flows |  | Yield |  | 27.7% |  | 27.7% |  | 27.7%
(1) | 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.
(2) | Includes $1.5 million of non-performing securitized residential mortgage loans.
(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 unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole.
Fair Value Measurement Using Significant Unobservable Inputs | The tables below includes a roll-forward of the Company's financial instruments for the three-month periods ended March 31, 2020 and 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended March 31, 2020
(In thousands) | Beginning Balance as of December 31, 2019 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/Payments(1) |  | Sales/Issuances(2) |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of March 31, 2020
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 19,904 |  |  | $ | (1,822 | ) |  | $ | (1 | ) |  | $ | 2,807 |  |  | $ | 5,259 |  |  | $ | — |  |  | $ | 1,088 |  |  | $ | (6,254 | ) |  | $ | 20,981 |
Non-Agency RMBS | 89,581 |  |  | 226 |  |  | (136 | ) |  | (11,533 | ) |  | 33,950 |  |  | (14,395 | ) |  | 3,659 |  |  | (7,155 | ) |  | 94,197 |
CMBS | 29,805 |  |  | 207 |  |  | 1,386 |  |  | (11,193 | ) |  | 31,025 |  |  | (28,539 | ) |  | 4,071 |  |  | (6,486 | ) |  | 20,276 |
CLOs | 44,979 |  |  | (318 | ) |  | (21 | ) |  | (20,261 | ) |  | 22,760 |  |  | 54 |  |  | 6,325 |  |  | (9,714 | ) |  | 43,804 |
Asset-backed securities backed by consumer loans | 48,610 |  |  | (1,044 | ) |  | (150 | ) |  | (2,360 | ) |  | 16,271 |  |  | (6,700 | ) |  | — |  |  | — |  |  | 54,627 |
Corporate debt securities | 1,113 |  |  | — |  |  | — |  |  | (96 | ) |  | 10 |  |  | (417 | ) |  | — |  |  | — |  |  | 610 |
Corporate equity securities | 1,394 |  |  | — |  |  | — |  |  | (987 | ) |  | 305 |  |  | — |  |  | — |  |  | — |  |  | 712 |
Loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans | 932,203 |  |  | (458 | ) |  | 205 |  |  | (24,323 | ) |  | 131,070 |  |  | (99,325 | ) |  | — |  |  | — |  |  | 939,372 |
Commercial mortgage loans | 274,759 |  |  | (1 | ) |  | 860 |  |  | (328 | ) |  | 87,567 |  |  | (59,557 | ) |  | — |  |  | — |  |  | 303,300 |
Consumer loans | 186,954 |  |  | (7,470 | ) |  | 26 |  |  | (5,751 | ) |  | 61,100 |  |  | (40,056 | ) |  | — |  |  | — |  |  | 194,803 |
Corporate loan | 18,510 |  |  | — |  |  | — |  |  | — |  |  | 104 |  |  | (12,500 | ) |  | — |  |  | — |  |  | 6,114 |
Investments in unconsolidated entities, at fair value | 71,850 |  |  | — |  |  | — |  |  | (6,497 | ) |  | 12,283 |  |  | (12,239 | ) |  | — |  |  | — |  |  | 65,397 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 993 |  |  | — |  |  | (994 | ) |  | 917 |  |  | 5 |  |  | (568 | ) |  | — |  |  | — |  |  | 353 |
Total return swaps | 620 |  |  | — |  |  | 191 |  |  | (583 | ) |  | — |  |  | (191 | ) |  | — |  |  | — |  |  | 37 |
Total assets, at fair value | $ | 1,721,275 |  |  | $ | (10,680 | ) |  | $ | 1,366 |  |  | $ | (80,188 | ) |  | $ | 401,709 |  |  | $ | (274,433 | ) |  | $ | 15,143 |  |  | $ | (29,609 | ) |  | $ | 1,744,583 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total return swaps | $ | (436 | ) |  | $ | — |  |  | $ | 31 |  |  | $ | (403 | ) |  | $ | 10 |  |  | $ | (41 | ) |  | $ | — |  |  | $ | — |  |  | $ | (839 | )
Other secured borrowings, at fair value | (594,396 | ) |  | — |  |  | — |  |  | 24 |  |  | 44,704 |  |  | — |  |  | — |  |  | — |  |  | (549,668 | )
Total liabilities, at fair value | $ | (594,832 | ) |  | $ | — |  |  | $ | 31 |  |  | $ | (379 | ) |  | $ | 44,714 |  |  | $ | (41 | ) |  | $ | — |  |  | $ | — |  |  | $ | (550,507 | )
(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 March 31, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2020. For Level 3 financial instruments held by the Company at March 31, 2020, change in net unrealized gain (loss) of $(50.9) million, $(30.4) million, $(6.7) million, $0.5 million, $(0.8) million, and $24 thousand, for the three-month period ended March 31, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At March 31, 2020, the Company transferred $29.6 million of assets from Level 3 to Level 2 and $15.1 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 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 | )
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 March 31, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2019. For Level 3 financial instruments held by the Company at March 31, 2019, change in net unrealized gain (loss) of $0.7 million, $3.4 million, $(2.1) million, $(0.2) million, and $57 thousand, for the three-month period ended March 31, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At March 31, 2019, the Company transferred $4.6 million of assets from Level 3 to Level 2 and $15.7 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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