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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