v3.21.2

Valuation

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Valuation

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 September 30, 2021 and December 31, 2020:

September 30, 2021:

Description						Level 1						Level 2						Level 3						Total
						(In thousands)
Assets:
Securities, at fair value:
Agency RMBS						$	—					$	1,525,275					$	11,732					$	1,537,007
Non-Agency RMBS						—						86,953						106,600						193,553
CMBS						—						1,456						12,148						13,604
CLOs						—						37,157						30,121						67,278
Asset-backed securities, backed by consumer loans						—						—						71,295						71,295
Corporate debt securities						—						413						4,419						4,832
Corporate equity securities						—						—						7,994						7,994
Loans, at fair value:
Residential mortgage loans						—						—						1,656,701						1,656,701
Commercial mortgage loans						—						—						267,591						267,591
Consumer loans						—						—						55,676						55,676
Corporate loans						—						—						16,561						16,561
Investment in unconsolidated entities, at fair value						—						—						142,019						142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities						—						—						303						303
Credit default swaps on asset-backed indices						—						1,599						—						1,599
Credit default swaps on corporate bond indices						—						174						—						174
Interest rate swaps						—						8,617						—						8,617
TBAs						—						2,399						—						2,399
Options						—						146						—						146
Warrants						—						938						—						938
Futures						1,440						—						—						1,440
Forwards						—						360						—						360
Total assets						$	1,440					$	1,665,487					$	2,383,160					$	4,050,087
Liabilities:
Securities sold short, at fair value:
Government debt						$	—					$	(30,294)					$	—					$	(30,294)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices						—						(38)						—						(38)
Credit default swaps on corporate bonds						—						(101)						—						(101)
Credit default swaps on corporate bond indices						—						(1,955)						—						(1,955)
Interest rate swaps						—						(8,851)						—						(8,851)
TBAs						—						(3,081)						—						(3,081)
Futures						(93)						—						—						(93)
Other secured borrowings, at fair value						—						—						(872,306)						(872,306)
Total liabilities						$	(93)					$	(44,320)					$	(872,306)					$	(916,719)

December 31, 2020:

Description						Level 1						Level 2						Level 3						Total
						(In thousands)
Assets:
Securities, at fair value:
Agency RMBS						$	—					$	947,780					$	11,663					$	959,443
Non-Agency RMBS						—						76,276						127,838						204,114
CMBS						—						54,505						63,148						117,653
CLOs						—						70,171						111,100						181,271
Asset-backed securities, backed by consumer loans						—						—						44,925						44,925
Corporate debt securities						—						1,107						4,082						5,189
Corporate equity securities						—						—						1,590						1,590
Loans, at fair value:
Residential mortgage loans						—						—						1,187,069						1,187,069
Commercial mortgage loans						—						—						213,031						213,031
Consumer loans						—						—						47,525						47,525
Corporate loans						—						—						5,855						5,855
Investment in unconsolidated entities, at fair value						—						—						141,620						141,620
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities						—						—						347						347
Credit default swaps on asset-backed indices						—						2,184						—						2,184
Credit default swaps on corporate bond indices						—						3,420						—						3,420
Interest rate swaps						—						8,519						—						8,519
TBAs						—						962						—						962
Total return swaps						—						—						9						9
Warrants						—						36						—						36
Futures						2						—						—						2
Total assets						$	2					$	1,164,960					$	1,959,802					$	3,124,764
Liabilities:
Securities sold short, at fair value:
Government debt						$	—					$	(38,424)					$	—					$	(38,424)
Corporate debt securities						—						(218)						—						(218)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed indices						—						(130)						—						(130)
Credit default swaps on corporate bonds						—						(747)						—						(747)
Credit default swaps on corporate bond indices						—						(6,438)						—						(6,438)
Interest rate swaps						—						(15,174)						—						(15,174)
TBAs						—						(925)						—						(925)
Futures						(376)						—						—						(376)
Forwards						—						(279)						—						(279)
Total return swaps						—						—						(484)						(484)
Other secured borrowings, at fair value						—						—						(754,921)						(754,921)
Total liabilities						$	(376)					$	(62,335)					$	(755,405)					$	(818,116)

The following tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2021 and December 31, 2020:

September 30, 2021:

						Fair Value						Valuation  Technique						Unobservable Input						Range												Weighted Average
Description																								Min						Max
						(In thousands)
Non-Agency RMBS						$	69,090					Market Quotes						Non Binding Third-Party Valuation						$	0.91					$	112.85					$	77.36
						37,510						Discounted Cash Flows
						106,600												Yield(1)						—		%				37.9		%				6.4		%
																		Projected Collateral Prepayments						—		%				73.1		%				45.5		%
																		Projected Collateral Losses						0.1		%				80.8		%				10.4		%
																		Projected Collateral Recoveries						—		%				58.4		%				17.7		%
Non-Agency CMBS						11,879						Market Quotes						Non Binding Third-Party Valuation						$	7.00					$	71.92					$	53.09
						269						Discounted Cash Flows
						12,148												Yield						7.9		%				26.3		%				10.6		%
																		Projected Collateral Losses						0.4		%				8.3		%				2.8		%
																		Projected Collateral Recoveries						10.6		%				95.7		%				94.2		%
CLOs						24,199						Market Quotes						Non Binding Third-Party Valuation						$	15.00					$	97.80					$	55.74
						5,922						Discounted Cash Flows
						30,121												Yield(2)						7.4		%				100.0		%				28.3		%
																		Projected Collateral Prepayments						54.1		%				94.5		%				89.6		%
																		Projected Collateral Losses						2.8		%				37.8		%				5.7		%
																		Projected Collateral Recoveries						2.5		%				8.1		%				3.8		%
Agency interest only RMBS						6,267						Market Quotes						Non Binding Third-Party Valuation						$	0.55					$	23.24					$	7.20
						5,465						Option Adjusted Spread ("OAS")
						11,732												LIBOR OAS(3)(4)						160						14,334						1,154
																		Projected Collateral Prepayments						9.3		%				100.0		%				73.4		%
ABS backed by consumer loans						71,295						Discounted Cash Flows						Yield						12.7		%				121.4		%				16.1		%
																		Projected Collateral Prepayments						0.2		%				12.0		%				9.0		%
																		Projected Collateral Losses						1.9		%				32.7		%				20.6		%
Corporate debt and equity						12,413						Discounted Cash Flows						Yield						7.8		%				24.4		%				10.6		%
Performing and re-performing residential mortgage loans						716,144						Discounted Cash Flows						Yield						0.3		%				86.4		%				4.3		%

						Fair Value						Valuation  Technique						Unobservable Input						Range												Weighted Average
Description																								Min						Max
(continued)						(In thousands)
Securitized residential mortgage loans(5)(6)						$	885,442					Market Quotes						Non Binding Third-Party Valuation						$	0.64					$	103.25					$	100.52
						31,833						Discounted Cash Flows
						917,275												Yield						0.8		%				7.4		%				4.0		%
Non-performing residential mortgage loans						23,282						Discounted Cash Flows						Yield						0.8		%				35.1		%				12.6		%
																		Recovery Amount						1.0		%				162.7		%				36.2		%
																		Months to Resolution						0.5						73.0						32.5
Performing commercial mortgage loans						227,568						Discounted Cash Flows						Yield						6.2		%				10.6		%				8.0		%
Non-performing commercial mortgage loans						40,023						Discounted Cash Flows						Yield						4.0		%				18.1		%				7.4		%
																		Recovery Amount						97.0		%				100.0		%				100.0		%
																		Months to Resolution						0.2						0.2						0.2
Consumer loans						55,676						Discounted Cash Flows						Yield						6.6		%				65.8		%				9.3		%
																		Projected Collateral Prepayments						0.2		%				30.7		%				14.3		%
																		Projected Collateral Losses						1.1		%				80.8		%				9.4		%
Corporate loans						7,000						Market Quotes						Non Binding Third-Party Valuation						$	100.00					$	100.00					$	100.00
						9,561						Discounted Cash Flows
						16,561												Yield						3.0		%				29.3		%				21.3		%
Investment in unconsolidated entities - Loan originators						92,838						Enterprise Value						Equity Price-to-Book(7)						1.1x						1.3x						1.2x
Investment in unconsolidated entities - Other						38,613						Enterprise Value						Net Asset Value						n/a						n/a						n/a
Investment in unconsolidated entities - Loan originators						10,568						Recent Transactions						Transaction Price						n/a						n/a						n/a
						142,019
Credit default swaps on asset-backed securities						303						Net Discounted Cash Flows						Projected Collateral Prepayments						29.9		%				41.0		%				38.5		%
																		Projected Collateral Losses						5.0		%				8.7		%				6.4		%
																		Projected Collateral Recoveries						11.3		%				16.8		%				12.6		%
Other secured borrowings, at fair value(5)						(872,306)						Market Quotes						Non Binding Third-Party Valuation						$	97.84					$	103.25					$	100.97
																		Yield						2.0%						3.2%						2.4%
																		Projected Collateral Prepayments						—%						97.8%						67.2%

(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $2.1 million. Including these securities the weighted average yield was 5.7%.

(2)For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $0.4 million. Including these securities the weighted average yield was 26.4%.

(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 $3.1 million. Including these securities the weighted average was 810 basis points.

(5)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.

(6)Includes $8.8 million of non-performing securitized residential mortgage loans.

(7)Represents an estimation of where market participants might value an enterprise on a price-to-book basis.

December 31, 2020:

						Fair Value						Valuation  Technique						Unobservable Input						Range												Weighted Average
Description																								Min						Max
						(In thousands)
Non-Agency RMBS						$	70,619					Market Quotes						Non Binding Third-Party Valuation						$	9.53					$	204.61					$	85.70
						57,219						Discounted Cash Flows
						127,838												Yield(1)						0.7		%				52.6		%				7.4		%
																		Projected Collateral Prepayments						—		%				99.1		%				45.3		%
																		Projected Collateral Losses						0.4		%				72.6		%				18.4		%
																		Projected Collateral Recoveries						—		%				79.1		%				16.8		%
Non-Agency CMBS						53,199						Market Quotes						Non Binding Third-Party Valuation						$	4.79					$	98.00					$	65.20
						9,949						Discounted Cash Flows
						63,148												Yield						3.7		%				26.3		%				8.7		%
																		Projected Collateral Losses						0.7		%				10.7		%				3.6		%
																		Projected Collateral Recoveries						72.4		%				96.1		%				90.6		%
CLOs						102,910						Market Quotes						Non Binding Third-Party Valuation						$	2.00					$	330.00					$	88.66
						8,190						Discounted Cash Flows
						111,100												Yield						3.4		%				35.4		%				10.5		%
																		Projected Collateral Prepayments						41.2		%				97.7		%				65.7		%
																		Projected Collateral Losses						1.7		%				28.9		%				11.2		%
																		Projected Collateral Recoveries						0.6		%				15.2		%				7.9		%
Agency interest only RMBS						4,844						Market Quotes						Non Binding Third-Party Valuation						$	1.91					$	18.91					$	8.38
						6,819						Option Adjusted Spread ("OAS")
						11,663												LIBOR OAS(2)(3)						297						2,886						914
																		Projected Collateral Prepayments						8.3		%				100.0		%				75.9		%
ABS backed by consumer loans						97						Market Quotes						Non Binding Third-Party Valuation						$	96.51					$	98.43					$	97.33
						44,828						Discounted Cash Flows
						44,925												Yield						12.6		%				27.5		%				15.6		%
																		Projected Collateral Prepayments						0.0		%				11.6		%				7.7		%
																		Projected Collateral Losses						1.0		%				21.1		%				17.1		%
Corporate debt and equity						5,672						Discounted Cash Flows						Yield						8.1		%				10.8		%				9.7		%
Performing and re-performing residential mortgage loans						338,265						Discounted Cash Flows						Yield						2.5		%				28.5		%				5.4		%
						15,659						Recent Transactions						Transaction Price						$	60.00					$	103.88					$	103.44
						353,924
Securitized residential mortgage loans(4)(5)						$	783,162					Market Quotes						Non Binding Third-Party Valuation						$	5.34					$	105.61					$	100.22
						18,182						Discounted Cash Flows
						801,343												Yield						—		%				38.7		%				4.4		%

						Fair Value						Valuation  Technique						Unobservable Input						Range												Weighted Average
Description																								Min						Max
(Continued)						(In thousands)
Non-performing residential mortgage loans						31,802						Discounted Cash Flows						Yield						1.2		%				41.0		%				12.1		%
																		Recovery Amount						0.9		%				1713.0		%				30.6		%
																		Months to Resolution						0.0						106.6						30.0
Performing commercial mortgage loans						181,545						Discounted Cash Flows						Yield						3.7		%				9.7		%				8.1		%
Non-performing commercial mortgage loans						31,486						Discounted Cash Flows						Yield						8.6		%				14.6		%				10.8		%
																		Recovery Amount						100.0		%				102.4		%				100.8		%
																		Months to Resolution						1.8						5.8						3.7
Consumer loans						47,525						Discounted Cash Flows						Yield						7.8		%				28.1		%				11.2		%
																		Projected Collateral Prepayments						0.0		%				36.0		%				17.3		%
																		Projected Collateral Losses						0.9		%				86.6		%				9.4		%
Corporate loans						5,855						Market Quotes						Non Binding Third-Party Valuation						$	100.00					$	100.00					$	100.00
																		Yield						21.1		%				21.1		%				21.1		%
Investment in unconsolidated entities—Loan Originators(6)						79,536						Enterprise Value						Equity Price-to-Book(7)						1.4x						6.2x						1.8x
Investment in unconsolidated entities—Other(6)						62,084						Enterprise Value						Net Asset Value						n/a						n/a						n/a
						141,620
Total return swaps—asset						9						Discounted Cash Flows						Yield						22.0		%				22.0		%				22.0		%
Credit default swaps on asset-backed securities						347						Net Discounted Cash Flows						Projected Collateral Prepayments						32.7		%				39.7		%				38.1		%
																		Projected Collateral Losses						6.6		%				10.8		%				8.9		%
																		Projected Collateral Recoveries						13.9		%				18.1		%				15.6		%
Total return swaps—liability						(484)						Discounted Cash Flows						Yield						16.8%						16.8%						16.8%
Other secured borrowings, at fair value(4)						(754,921)						Market Quotes						Non Binding Third-Party Valuation						$	85.37					$	105.61					$	102.04
																		Yield						1.6%						3.0%						2.6%
																		Projected Collateral Prepayments						—%						75.3%						48.7%

(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.3 million. Including these securities the weighted average yield was 7.3%.

(2)Shown in basis points.

(3)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 $4.5 million. Including these securities the weighted average was 396 basis points.

(4)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.

(5)Includes $26.4 million of non-performing securitized residential mortgage loans.

(6)Conformed to current period presentation.

(7)Represent an estimation of where market participants might value an enterprise on a price-to-book basis.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario

generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.

The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2021 and 2020 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended September 30, 2021

(In thousands)			Beginning Balance as of  June 30, 2021						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  September 30, 2021
Assets:
Securities, at fair value:
Agency RMBS			$	9,936					$	(1,285)					$	(15)					$	278					$	2,038					$	—					$	780					$	—					$	11,732
Non-Agency RMBS			114,464						612						680						(1,918)						154						(9,005)						1,613						—						106,600
CMBS			17,025						27						1,987						(468)						—						(15,070)						8,647						—						12,148
CLOs			33,989						(1,688)						2,689						3,007						85						(7,961)						—						—						30,121
Asset-backed securities backed by consumer loans			69,254						(1,813)						287						(1,598)						15,853						(10,688)						—						—						71,295
Corporate debt securities			5,444						—						1,271						(700)						2,207						(3,803)						—						—						4,419
Corporate equity securities			8,497						—						661						224						351						(1,739)						—						—						7,994
Loans, at fair value:
Residential mortgage loans			1,445,651						(3,864)						277						(4,475)						405,291						(186,179)						—						—						1,656,701
Commercial mortgage loans			228,450						—						17						71						72,415						(33,362)						—						—						267,591
Consumer loans			52,016						(1,919)						(105)						19						13,941						(8,276)						—						—						55,676
Corporate loan			16,584						—						—						(267)						254						(10)						—						—						16,561
Investments in unconsolidated entities, at fair value			178,979						—						4,225						(1,676)						9,674						(49,183)						—						—						142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities			303						—						(4)						—						4						—						—						—						303
Total return swaps			520						—						26						(520)						—						(26)						—						—						—
Total assets, at fair value			$	2,181,112					$	(9,930)					$	11,996					$	(8,023)					$	522,267					$	(325,302)					$	11,040					$	—					$	2,383,160
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps			$	(56)					$	—					$	(67)					$	56					$	67					$	—					$	—					$	—					$	—
Other secured borrowings, at fair value			(1,003,037)						—						—						1,482						129,249						—						—						—						(872,306)
Total liabilities, at fair value			$	(1,003,093)					$	—					$	(67)					$	1,538					$	129,316					$	—					$	—					$	—					$	(872,306)

(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 September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $3.1 million, $(4.7) million, $(2.7) million, $0.1 million, $0.1 million, and $1.5 million, for the three-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At September 30, 2021, the Company transferred $11.0 million of assets 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 September 30, 2020

(In thousands)			Beginning Balance as of  June 30, 2020						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  September 30, 2020
Assets:
Securities, at fair value:
Agency RMBS			$	12,907					$	(1,482)					$	494					$	280					$	3,490					$	(2,243)					$	2,621					$	(3,927)					$	12,140
Non-Agency RMBS			128,607						884						(77)						2,610						21,138						(6,395)						10,895						(18,463)						139,199
CMBS			65,695						659						8						4,117						12,699						(8)						560						(40,921)						42,809
CLOs			136,466						1,962						(82)						1,920						2,241						(127)						6,483						(35,873)						112,990
Asset-backed securities backed by consumer loans			47,941						(1,435)						(4)						1,165						7,455						(7,824)						—						—						47,298
Corporate debt securities			1,951						—						296						509						28						(577)						—						—						2,207
Corporate equity securities			1,084						—						—						(73)						3						—						—						—						1,014
Loans, at fair value:
Residential mortgage loans			948,447						(2,009)						(146)						15,672						139,609						(70,864)						—						—						1,030,709
Commercial mortgage loans			295,496						17						36						(6)						18,881						(62,193)						—						—						252,231
Consumer loans			166,681						(6,342)						(112)						(1,627)						28,554						(34,545)						—						—						152,609
Corporate loan			6,227						—						—						—						836						—						—						—						7,063
Investments in unconsolidated entities, at fair value			72,553						—						62						11,381						15,307						(3,500)						—						—						95,803
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities			353						—						1						(2)						3						(4)						—						—						351
Total return swaps			442						—						(129)						(338)						209						(79)						—						—						105
Total assets, at fair value			$	1,884,850					$	(7,746)					$	347					$	35,608					$	250,453					$	(188,359)					$	20,559					$	(99,184)					$	1,896,528
Liabilities:
Financial derivatives–assets, at fair value:
Total return swaps			$	(77)					$	—					$	4					$	(11)					$	(4)					$	—					$	—					$	—					$	(88)
Other secured borrowings, at fair value			(742,688)						—						—						(5,178)						52,350						—						—						—						(695,516)
Total liabilities, at fair value			$	(742,765)					$	—					$	4					$	(5,189)					$	52,346					$	—					$	—					$	—					$	(695,604)

(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 September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $9.3 million, $14.2 million, $11.3 million, $(0.3) million, $(11) thousand, and $(5.2) million, for the three-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At September 30, 2020, the Company transferred $99.2 million of assets from Level 3 to Level 2 and $20.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Nine-Month Period Ended September 30, 2021

(In thousands)			Beginning Balance as of  December 31, 2020						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  September 30, 2021
Assets:
Securities, at fair value:
Agency RMBS			$	11,663					$	(2,570)					$	943					$	(1,408)					$	2,039					$	(1,533)					$	5,093					$	(2,495)					$	11,732
Non-Agency RMBS			127,838						1,926						2,993						(2,533)						22,392						(42,009)						5,831						(9,838)						106,600
CMBS			63,148						404						4,329						4,946						—						(60,449)						397						(627)						12,148
CLOs			111,100						(371)						934						19,782						104						(77,879)						1,601						(25,150)						30,121
Asset-backed securities backed by consumer loans			44,925						(3,796)						466						(3,181)						61,665						(28,784)						—						—						71,295
Corporate debt securities			4,082						—						1,497						(517)						3,824						(4,467)						—						—						4,419
Corporate equity securities			1,590						—						276						2,538						5,329						(1,739)						—						—						7,994
Loans, at fair value:
Residential mortgage loans			1,187,069						(9,575)						738						(2,788)						955,069						(473,812)						—						—						1,656,701
Commercial mortgage loans			213,031						24						323						141						219,914						(165,842)						—						—						267,591
Consumer loans			47,525						(5,756)						(1,381)						476						40,008						(25,196)						—						—						55,676
Corporate loan			5,855						—						—						(267)						10,985						(12)						—						—						16,561
Investments in unconsolidated entities, at fair value			141,620						—						4,386						23,400						92,008						(119,395)						—						—						142,019
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities			347						—						39						(44)						10						(49)						—						—						303
Total return swaps			9						—						167						(9)						—						(167)						—						—						—
Total assets, at fair value			$	1,959,802					$	(19,714)					$	15,710					$	40,536					$	1,413,347					$	(1,001,333)					$	12,922					$	(38,110)					$	2,383,160
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps			$	(484)					$	—					$	(1,428)					$	484					$	1,428					$	—					$	—					$	—					$	—
Other secured borrowings, at fair value			(754,921)						—						—						4,730						453,032						(575,147)						—						—						(872,306)
Total liabilities, at fair value			$	(755,405)					$	—					$	(1,428)					$	5,214					$	454,460					$	(575,147)					$	—					$	—					$	(872,306)

(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 September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $13.6 million, $(2.4) million, $19.9 million, $(0.1) million, and $4.7 million, for the nine-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively.

At September 30, 2021, the Company transferred $38.1 million of assets from Level 3 to Level 2 and $12.9 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.

Nine-Month Period Ended September 30, 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  September 30, 2020
Assets:
Securities, at fair value:
Agency RMBS			$	19,904					$	(6,072)					$	614					$	2,803					$	8,219					$	(3,295)					$	2,177					$	(12,210)					$	12,140
Non-Agency RMBS			89,581						1,113						303						(1,996)						61,933						(29,811)						22,974						(4,898)						139,199
CMBS			29,805						617						(867)						(4,638)						51,432						(32,284)						7,828						(9,084)						42,809
CLOs			44,979						1,237						(7,586)						(24,206)						47,730						—						53,462						(2,626)						112,990
Asset-backed securities backed by consumer loans			48,610						(3,584)						(200)						(1,501)						25,001						(21,028)						—						—						47,298
Corporate debt securities			1,113						—						504						991						3,450						(3,851)						—						—						2,207
Corporate equity securities			1,394						—						7						(741)						366						(12)						—						—						1,014
Loans, at fair value:
Residential mortgage loans			932,203						(4,414)						(722)						7,008						340,842						(244,208)						—						—						1,030,709
Commercial mortgage loans			274,759						113						135						(140)						107,608						(130,244)						—						—						252,231
Consumer loans			186,954						(21,712)						(97)						(6,965)						104,872						(110,443)						—						—						152,609
Corporate loan			18,510						—						—						—						1,053						(12,500)						—						—						7,063
Investment in unconsolidated entities, at fair value			71,850						—						62						10,528						29,522						(16,159)						—						—						95,803
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities			993						—						(955)						915						29						(631)						—						—						351
Total return swaps			620						—						113						(515)						209						(322)						—						—						105
Total assets, at fair value			$	1,721,275					$	(32,702)					$	(8,689)					$	(18,457)					$	782,266					$	(604,788)					$	86,441					$	(28,818)					$	1,896,528
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps			$	(436)					$	—					$	(501)					$	349					$	500					$	—					$	—					$	—					$	(88)
Other secured borrowings, at fair value			(594,396)						—						—						(6,636)						138,608						(233,092)						—						—						(695,516)
Total liabilities, at fair value			$	(594,832)					$	—					$	(501)					$	(6,287)					$	139,108					$	(233,092)					$	—					$	—					$	(695,604)

(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 September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $(56.3) million, $12 thousand, $10.2 million, $0.6 million, $(0.1) million, and $(6.6) million, for the nine-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively.

At September 30, 2020, the Company transferred $28.8 million of assets from Level 3 to Level 2 and $86.4 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.

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2021 and December 31, 2020:

						As of
						September 30, 2021												December 31, 2020
(In thousands)						Fair Value						Carrying Value						Fair Value						Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents						$	103,617					$	103,617					$	111,647					$	111,647
Restricted cash						175						175						175						175
Due from brokers						89,983						89,983						63,147						63,147
Reverse repurchase agreements						38,062						38,062						38,640						38,640
Liabilities:
Repurchase agreements						2,105,836						2,105,836						1,496,931						1,496,931
Other secured borrowings						90,981						90,981						51,062						51,062
Senior notes, net						86,490						85,759						86,000						85,561
Due to brokers						2,560						2,560						5,059						5,059

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. Senior notes, net 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 September 30, 2021 and December 31, 2020, the estimated fair value of the Company's Senior notes was based on a third-party valuation.

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration