v3.20.4

Valuation (Schedule of Financial Instruments) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | --- | ---
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) | [1],[2] | $ 1,514,185 |  | $ 2,449,941 |  |
Investment in unconsolidated entities, at fair value | [1] | 141,620 |  | 71,850 |  |
Financial derivatives–assets, at fair value- |  | 15,479 |  | 16,788 |  | $ 20,001
Repurchase agreements, at fair value |  | 38,640 |  | 73,639 |  | 61,274
Investments sold short, at fair value- |  | (38,642) |  | (73,409) |  | (850,577)
Financial derivatives–liabilities, at fair value- |  | (24,553) |  | (27,621) |  | (20,806)
Other secured borrowings, at fair value |  | (754,921) | [1] | (594,396) | [1] | (297,948)
Level 3 | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Total assets |  | 127,838 |  | 89,581 |  |
Level 3 | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Total assets |  | 63,148 |  | 29,805 |  |
Level 3 | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Total assets |  | 111,100 |  | 44,979 |  |
Level 3 | Asset-backed securities, backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Total assets |  | 44,925 |  | 48,610 |  |
Level 3 | Corporate loan [Member] |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Total assets |  |  |  | 18,510 |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investment in unconsolidated entities, at fair value |  | 141,620 |  | 71,850 |  |
Total assets |  | 3,124,764 |  | 3,951,005 |  | 3,020,586
Other secured borrowings, at fair value |  | (754,921) |  | (594,396) |  |
Total liabilities |  | (818,116) |  | (695,426) |  | (1,169,331)
Fair Value, Measurements, Recurring | Investments Sold Short |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (850,577)
Fair Value, Measurements, Recurring | Investments Sold Short | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (772,964)
Fair Value, Measurements, Recurring | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | (218) |  | (471) |  |
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | (38,424) |  | (72,938) |  | (54,151)
Fair Value, Measurements, Recurring | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (6,529)
Fair Value, Measurements, Recurring | Investments Sold Short | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (16,933)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  | (20,806)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (6,438) |  | (14,524) |  | (11,557)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (747) |  | (1,693) |  | (3,246)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (130) |  | (250) |  | (2,125)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (15,174) |  | (8,719) |  | (3,397)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (925) |  | (1,012) |  |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (376) |  | (45) |  | (355)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (279) |  | (169) |  | (120)
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (484) |  | (1,209) |  | (6)
Fair Value, Measurements, Recurring | Other secured borrowings, at fair value |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Other secured borrowings, at fair value |  |  |  |  |  | (297,948)
Fair Value, Measurements, Recurring | Cash equivalents |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Cash and cash equivalents |  |  |  |  |  | 12,460
Fair Value, Measurements, Recurring | Securities | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 959,443 |  | 1,936,963 |  |
Fair Value, Measurements, Recurring | Securities | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 204,114 |  | 166,550 |  |
Fair Value, Measurements, Recurring | Securities | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 117,653 |  | 124,868 |  |
Fair Value, Measurements, Recurring | Securities | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 181,271 |  | 170,443 |  |
Fair Value, Measurements, Recurring | Securities | Asset-backed securities, backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 44,925 |  | 48,610 |  |
Fair Value, Measurements, Recurring | Securities | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 5,189 |  | 1,113 |  |
Fair Value, Measurements, Recurring | Securities | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 1,590 |  | 1,394 |  |
Fair Value, Measurements, Recurring | Investments |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 2,939,311
Fair Value, Measurements, Recurring | Investments | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 1,450,217
Fair Value, Measurements, Recurring | Investments | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 302,639
Fair Value, Measurements, Recurring | Investments | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 33,908
Fair Value, Measurements, Recurring | Investments | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 123,893
Fair Value, Measurements, Recurring | Investments | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 22,392
Fair Value, Measurements, Recurring | Investments | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 43,793
Fair Value, Measurements, Recurring | Investments | Secured notes |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 10,917
Fair Value, Measurements, Recurring | Investments | U.S. Treasury securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 76
Fair Value, Measurements, Recurring | Investments | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 496,830
Fair Value, Measurements, Recurring | Investments | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 211,185
Fair Value, Measurements, Recurring | Investments | Consumer loans and asset-backed securities backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 206,761
Fair Value, Measurements, Recurring | Investments | Real estate owned |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 34,500
Fair Value, Measurements, Recurring | Investments | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 2,200
Fair Value, Measurements, Recurring | Loans | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 1,187,069 |  | 932,203 |  |
Fair Value, Measurements, Recurring | Loans | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 213,031 |  | 274,759 |  |
Fair Value, Measurements, Recurring | Loans | Consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 47,525 |  | 186,954 |  |
Fair Value, Measurements, Recurring | Loans | Corporate loan [Member] |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 5,855 |  | 18,510 |  |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  |  |  | 20,001
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 347 |  | 993 |  | 1,472
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 3,420 |  | 5,599 |  | 733
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 2 |  | 2,473
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 2,184 |  | 3,319 |  | 8,092
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 8,519 |  | 5,468 |  | 7,224
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 962 |  | 596 |  |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 2 |  | 148 |  |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 43 |  | 6
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 9 |  | 620 |  | 1
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Warrants |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 36 |  |  |  |
Fair Value, Measurements, Recurring | Repurchase Agreements |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Repurchase agreements, at fair value |  |  |  |  |  | 61,274
Fair Value, Measurements, Recurring | Level 1 |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investment in unconsolidated entities, at fair value |  | 0 |  | 0 |  |
Total assets |  | 2 |  | 148 |  | 2,200
Other secured borrowings, at fair value |  | 0 |  | 0 |  |
Total liabilities |  | (376) |  | (45) |  | (17,288)
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (16,933)
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Government debt |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (16,933)
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  | (355)
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (376) |  | (45) |  | (355)
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Other secured borrowings, at fair value |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Other secured borrowings, at fair value |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Cash equivalents |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Cash and cash equivalents |  |  |  |  |  | 12,460
Fair Value, Measurements, Recurring | Level 1 | Securities | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | Asset-backed securities, backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Investments |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 2,200
Fair Value, Measurements, Recurring | Level 1 | Investments | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Secured notes |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | U.S. Treasury securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Consumer loans and asset-backed securities backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Real estate owned |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Investments | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 2,200
Fair Value, Measurements, Recurring | Level 1 | Loans | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Loans | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Loans | Consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Loans | Corporate loan [Member] |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 2 |  | 148 |  |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Warrants |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Repurchase Agreements |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Repurchase agreements, at fair value |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investment in unconsolidated entities, at fair value |  | 0 |  | 0 |  |
Total assets |  | 1,164,960 |  | 2,229,582 |  | 1,892,308
Other secured borrowings, at fair value |  | 0 |  | 0 |  |
Total liabilities |  | (62,335) |  | (100,549) |  | (854,095)
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (833,644)
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (772,964)
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | (218) |  | (471) |  |
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | (38,424) |  | (72,938) |  | (54,151)
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | (6,529)
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  | (20,451)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (6,438) |  | (14,524) |  | (11,557)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (747) |  | (1,693) |  | (3,246)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (130) |  | (250) |  | (2,125)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (15,174) |  | (8,719) |  | (3,397)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (925) |  | (1,012) |  |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (279) |  | (169) |  | (120)
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | (773) |  | (6)
Fair Value, Measurements, Recurring | Level 2 | Other secured borrowings, at fair value |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Other secured borrowings, at fair value |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Cash equivalents |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Cash and cash equivalents |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Securities | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 947,780 |  | 1,917,059 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 76,276 |  | 76,969 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 54,505 |  | 95,063 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 70,171 |  | 125,464 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | Asset-backed securities, backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 1,107 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Investments |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 1,812,505
Fair Value, Measurements, Recurring | Level 2 | Investments | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 1,442,924
Fair Value, Measurements, Recurring | Level 2 | Investments | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 211,348
Fair Value, Measurements, Recurring | Level 2 | Investments | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 33,105
Fair Value, Measurements, Recurring | Level 2 | Investments | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 108,978
Fair Value, Measurements, Recurring | Level 2 | Investments | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 16,074
Fair Value, Measurements, Recurring | Level 2 | Investments | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | Secured notes |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | U.S. Treasury securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 76
Fair Value, Measurements, Recurring | Level 2 | Investments | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | Consumer loans and asset-backed securities backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | Real estate owned |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Investments | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 2 | Loans | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Loans | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Loans | Consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Loans | Corporate loan [Member] |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  |  |  | 18,529
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 3,420 |  | 5,599 |  | 733
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 2 |  | 2,473
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 2,184 |  | 3,319 |  | 8,092
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 8,519 |  | 5,468 |  | 7,224
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 962 |  | 596 |  |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 43 |  | 6
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 1
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Warrants |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 36 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Repurchase Agreements |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Repurchase agreements, at fair value |  |  |  |  |  | 61,274
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investment in unconsolidated entities, at fair value |  | 141,620 |  | 71,850 |  |
Total assets |  | 1,959,802 |  | 1,721,275 |  | 1,126,078
Other secured borrowings, at fair value |  | (754,921) |  | (594,396) |  |
Total liabilities |  | (755,405) |  | (594,832) |  | (297,948)
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Government debt |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  | (484) |  | (436) |  | 0
Fair Value, Measurements, Recurring | Level 3 | Other secured borrowings, at fair value |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Other secured borrowings, at fair value |  |  |  |  |  | (297,948)
Fair Value, Measurements, Recurring | Level 3 | Cash equivalents |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Cash and cash equivalents |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Securities | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 11,663 |  | 19,904 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 127,838 |  | 89,581 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 63,148 |  | 29,805 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 111,100 |  | 44,979 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | Asset-backed securities, backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 44,925 |  | 48,610 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 4,082 |  | 1,113 |  |
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Securities, at fair value(1)(2) |  | 1,590 |  | 1,394 |  |
Fair Value, Measurements, Recurring | Level 3 | Investments |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 1,124,606
Fair Value, Measurements, Recurring | Level 3 | Investments | Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 7,293
Fair Value, Measurements, Recurring | Level 3 | Investments | Non-Agency RMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 91,291
Fair Value, Measurements, Recurring | Level 3 | Investments | CMBS |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 803
Fair Value, Measurements, Recurring | Level 3 | Investments | CLOs |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 14,915
Fair Value, Measurements, Recurring | Level 3 | Investments | Corporate debt securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 6,318
Fair Value, Measurements, Recurring | Level 3 | Investments | Corporate equity securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 43,793
Fair Value, Measurements, Recurring | Level 3 | Investments | Secured notes |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 10,917
Fair Value, Measurements, Recurring | Level 3 | Investments | U.S. Treasury securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Investments | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 496,830
Fair Value, Measurements, Recurring | Level 3 | Investments | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 211,185
Fair Value, Measurements, Recurring | Level 3 | Investments | Consumer loans and asset-backed securities backed by consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 206,761
Fair Value, Measurements, Recurring | Level 3 | Investments | Real estate owned |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 34,500
Fair Value, Measurements, Recurring | Level 3 | Investments | Common stock |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  | 0
Fair Value, Measurements, Recurring | Level 3 | Loans | Residential mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 1,187,069 |  | 932,203 |  |
Fair Value, Measurements, Recurring | Level 3 | Loans | Commercial mortgage loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 213,031 |  | 274,759 |  |
Fair Value, Measurements, Recurring | Level 3 | Loans | Consumer loans |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 47,525 |  | 186,954 |  |
Fair Value, Measurements, Recurring | Level 3 | Loans | Corporate loan [Member] |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Loans, at fair value |  | 5,855 |  | 18,510 |  |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  |  |  | 1,472
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 347 |  | 993 |  | 1,472
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bonds |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Interest rate swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | TBA securities |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Futures |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 0 |  | 0 |  |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Forwards |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  |  |  | 0 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Total return swaps |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | 9 |  | $ 620 |  | 0
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Warrants |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Financial derivatives–assets, at fair value- |  | $ 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Repurchase Agreements |  |  |  |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |  |  |  |
Repurchase agreements, at fair value |  |  |  |  |  | $ 0
[1] | Ellington Financial Inc.'s Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.
[2] | Includes assets pledged as collateral to counterparties. See Note 11 for additional details on the Company's borrowings and related collateral.

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