Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3
|
9 Months Ended |
|
|
Sep. 30, 2021
USD ($)
$ / shares
|
Sep. 30, 2020 |
Dec. 31, 2020
USD ($)
$ / shares
|
| Non-Agency RMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 106,600,000
|
|
$ 127,838,000
|
| Fair Value of Level 3 Assets, Negative Yield |
$ 2,100,000
|
|
$ 300,000
|
| Non-Agency RMBS | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair Value Inputs, Yield Including Negative |
5.70%
|
|
7.30%
|
| Non-Agency RMBS | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0
|
|
0.007
|
| Non-Agency RMBS | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.379
|
|
0.526
|
| Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.064
|
|
0.074
|
| Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0
|
|
0
|
| Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.731
|
|
0.991
|
| Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.455
|
|
0.453
|
| Non-Agency RMBS | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.001
|
|
0.004
|
| Non-Agency RMBS | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.808
|
|
0.726
|
| Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.104
|
|
0.184
|
| Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0
|
|
0
|
| Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.584
|
|
0.791
|
| Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.177
|
|
0.168
|
| CMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 12,148,000
|
|
$ 63,148,000
|
| CMBS | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.079
|
|
0.037
|
| CMBS | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.263
|
|
0.263
|
| CMBS | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.106
|
|
0.087
|
| CMBS | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.004
|
|
0.007
|
| CMBS | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.083
|
|
0.107
|
| CMBS | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.028
|
|
0.036
|
| CMBS | Measurement Input, Projected Collateral Recoveries | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.106
|
|
0.724
|
| CMBS | Measurement Input, Projected Collateral Recoveries | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.957
|
|
0.961
|
| CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.942
|
|
0.906
|
| CLOs |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 30,121,000
|
|
$ 111,100,000
|
| CLOs | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.074
|
|
0.034
|
| CLOs | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
1.000
|
|
0.354
|
| CLOs | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.283
|
|
0.105
|
| CLOs | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.541
|
|
0.412
|
| CLOs | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.945
|
|
0.977
|
| CLOs | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.896
|
|
0.657
|
| CLOs | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.028
|
|
0.017
|
| CLOs | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.378
|
|
0.289
|
| CLOs | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.057
|
|
0.112
|
| CLOs | Measurement Input, Projected Collateral Recoveries | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.025
|
|
0.006
|
| CLOs | Measurement Input, Projected Collateral Recoveries | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.081
|
|
0.152
|
| CLOs | Measurement Input, Projected Collateral Recoveries | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.038
|
|
0.079
|
| Agency RMBS | Interest only securities |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 11,732,000
|
|
$ 11,663,000
|
| Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.093
|
|
0.083
|
| Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
1.000
|
|
1.000
|
| Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.734
|
|
0.759
|
| Asset-backed securities, backed by consumer loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
|
|
$ 44,925,000
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.127
|
|
0.126
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
1.214
|
|
0.275
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.161
|
|
0.156
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.002
|
|
0.000
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.120
|
|
0.116
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.090
|
|
0.077
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.019
|
|
0.010
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.327
|
|
0.211
|
| Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.206
|
|
0.171
|
| Investment in unconsolidated entities |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 142,019,000
|
|
$ 141,620,000
|
| Corporate loan [Member] |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
16,561,000
|
|
|
| Corporate loan [Member] | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
0.211
|
| Corporate loan [Member] | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
0.211
|
| Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
0.211
|
| Total return swaps | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
|
|
0.220
|
| Derivative Liability, Measurement Input |
|
|
0.168
|
| Total return swaps | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
|
|
0.220
|
| Derivative Liability, Measurement Input |
|
|
0.168
|
| Total return swaps | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
|
|
0.220
|
| Derivative Liability, Measurement Input |
|
|
0.168
|
| Valuation, Market Approach | Non-Agency RMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 69,090,000
|
|
$ 70,619,000
|
| Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
0.91
|
|
9.53
|
| Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
112.85
|
|
204.61
|
| Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
77.36
|
|
85.70
|
| Valuation, Market Approach | CMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 11,879,000
|
|
$ 53,199,000
|
| Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
7.00
|
|
4.79
|
| Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
71.92
|
|
98.00
|
| Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
53.09
|
|
65.20
|
| Valuation, Market Approach | CLOs |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 24,199,000
|
|
$ 102,910,000
|
| Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
15.00
|
|
2.00
|
| Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
97.80
|
|
330.00
|
| Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
55.74
|
|
88.66
|
| Valuation, Market Approach | Agency RMBS | Interest only securities |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 6,267,000
|
|
$ 4,844,000
|
| Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
0.55
|
|
1.91
|
| Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
23.24
|
|
18.91
|
| Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
7.20
|
|
8.38
|
| Valuation, Market Approach | Asset-backed securities, backed by consumer loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
|
|
$ 97,000
|
| Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
|
|
96.51
|
| Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
|
|
98.43
|
| Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
|
|
97.33
|
| Valuation, Market Approach | Corporate loan [Member] |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 7,000,000
|
|
$ 5,855,000
|
| Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
100.00
|
|
100.00
|
| Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
100.00
|
|
100.00
|
| Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input | $ / shares |
100.00
|
|
100.00
|
| Valuation, Market Approach | Other secured borrowings, at fair value |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ (872,306,000)
|
|
$ (754,921,000)
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
97.84
|
|
85.37
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
103.25
|
|
105.61
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
100.97
|
|
102.04
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0.020
|
|
0.016
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0.032
|
|
0.030
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0.024
|
|
0.026
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0
|
|
0
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0.978
|
|
0.753
|
| Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Debt instrument, measurement input |
0.672
|
|
0.487
|
| Valuation, Income Approach | Non-Agency RMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 37,510,000
|
|
$ 57,219,000
|
| Valuation, Income Approach | CMBS |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
269,000
|
|
9,949,000
|
| Valuation, Income Approach | CLOs |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
5,922,000
|
|
8,190,000
|
| Valuation, Income Approach | Agency RMBS | Interest only securities |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
5,465,000
|
|
6,819,000
|
| Fair Value of Agency IOs, negative OAS measurement input |
$ 3,100,000
|
|
$ 4,500,000
|
| Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.0016
|
|
0.0297
|
| Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
1.4334
|
|
0.2886
|
| Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.1154
|
|
0.0914
|
| Valuation, Income Approach | Agency RMBS | Interest only securities | Net LIBOR OAS [Member] | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.081
|
|
0.0396
|
| Valuation, Income Approach | Asset-backed securities, backed by consumer loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 71,295,000
|
|
$ 44,828,000
|
| Valuation, Income Approach | Corporate debt and equity |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 12,413,000
|
|
$ 5,672,000
|
| Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.078
|
|
0.081
|
| Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.244
|
|
0.108
|
| Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.106
|
|
0.097
|
| Valuation, Income Approach | Consumer loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 55,676,000
|
|
$ 47,525,000
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.066
|
|
0.078
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.658
|
|
0.281
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.093
|
|
0.112
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.002
|
|
0.000
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.307
|
|
0.360
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.143
|
|
0.173
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.011
|
|
0.009
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.808
|
|
0.866
|
| Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Securities, measurement input |
0.094
|
|
0.094
|
| Valuation, Income Approach | Corporate loan [Member] |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 9,561,000
|
|
|
| Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.030
|
|
|
| Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.293
|
|
|
| Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.213
|
|
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 303,000
|
|
$ 347,000
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.299
|
|
0.327
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.410
|
|
0.397
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.385
|
|
0.381
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.050
|
|
0.066
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.087
|
|
0.108
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.064
|
|
0.089
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.113
|
|
0.139
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.168
|
|
0.181
|
| Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Derivative asset, measurement input |
0.126
|
|
0.156
|
| Valuation, Income Approach | Total return swaps |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
|
|
$ 9,000
|
| Fair value |
|
|
(484,000)
|
| Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 92,838,000
|
|
79,536,000
|
| Enterprise Value | Investment in unconsolidated entities | Measurement Input, Net Asset Value |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 38,613,000
|
|
$ 62,084,000
|
| measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Equity method investment, measurement input |
1.1
|
|
1.0
|
| measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Equity method investment, measurement input |
1.3
|
|
6.2
|
| measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Equity method investment, measurement input |
1.2
|
|
1.4
|
| Performing and/or Re-performing | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
|
|
$ 353,924,000
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.003
|
|
0.025
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.864
|
|
0.285
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.043
|
|
0.054
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Offered Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
60.00
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Offered Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
103.88
|
| Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Offered Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
|
|
103.44
|
| Performing and/or Re-performing | Valuation, Market Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
|
|
$ 15,659,000
|
| Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 227,568,000
|
|
$ 181,545,000
|
| Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.062
|
|
0.037
|
| Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.106
|
|
0.097
|
| Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.080
|
|
0.081
|
| Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 716,144,000
|
|
$ 338,265,000
|
| Securitized loans [Member] | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
917,275,000
|
|
801,343,000
|
| Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 885,442,000
|
|
$ 783,162,000
|
| Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.64
|
|
5.34
|
| Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
103.25
|
|
105.61
|
| Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
100.52
|
|
100.22
|
| Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 31,833,000
|
|
$ 18,182,000
|
| Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.008
|
|
0
|
| Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.074
|
|
0.387
|
| Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.040
|
|
0.044
|
| Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.008
|
|
0.012
|
| Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.351
|
|
0.410
|
| Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.126
|
|
0.121
|
| Non-performing | Residential mortgage loans | Measurement Input recovery amount | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
$ 0.010
|
|
$ 0.009
|
| Non-performing | Residential mortgage loans | Measurement Input recovery amount | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
1.627
|
|
17.130
|
| Non-performing | Residential mortgage loans | Measurement Input recovery amount | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
0.362
|
|
0.306
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 40,023,000
|
|
$ 31,486,000
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
6 days
|
1 month 24 days
|
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
6 days
|
5 months 24 days
|
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
6 days
|
3 months 21 days
|
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.040
|
|
0.086
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.181
|
|
0.146
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input |
0.074
|
|
0.108
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
$ 0.970
|
|
$ 1.000
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
1.000
|
|
1.024
|
| Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Loans, Measurement Input, Recovery Amount |
1.000
|
|
1.008
|
| Non-performing | Valuation, Income Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 23,282,000
|
|
31,802,000
|
| Non-performing | Valuation, Income Approach | Residential mortgage loans | Minimum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
15 days
|
0 months
|
|
| Non-performing | Valuation, Income Approach | Residential mortgage loans | Maximum |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
73 months
|
106 months 18 days
|
|
| Non-performing | Valuation, Income Approach | Residential mortgage loans | Weighted Average |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Investment, measurement input, recovery time |
32 months 15 days
|
30 months
|
|
| Non-performing securitized residential mortgage loans [Member] | Valuation, Income Approach | Residential mortgage loans |
|
|
|
| Fair Value Measurements Inputs and Valuation Techniques [Line Items] |
|
|
|
| Fair value |
$ 8,800,000
|
|
$ 26,400,000
|