v3.22.2.2

Valuation (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021: September 30, 2022:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | — |  |  | $ | 1,127,496 |  |  | $ | 7,819 |  |  | $ | 1,135,315 |
Non-Agency RMBS |  | — |  |  | 110,763 |  |  | 105,785 |  |  | 216,548 |
CMBS |  | — |  |  | 10,883 |  |  | 8,669 |  |  | 19,552 |
CLOs |  | — |  |  | 13,247 |  |  | 17,288 |  |  | 30,535 |
Asset-backed securities, backed by consumer loans |  | — |  |  | — |  |  | 75,568 |  |  | 75,568 |
Corporate debt securities |  | — |  |  | — |  |  | 3,602 |  |  | 3,602 |
Corporate equity securities |  | — |  |  | — |  |  | 11,169 |  |  | 11,169 |
U.S. Treasury securities |  | — |  |  | 30,483 |  |  | — |  |  | 30,483 |
Loans, at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans |  | — |  |  | — |  |  | 3,348,810 |  |  | 3,348,810 |
Commercial mortgage loans |  | — |  |  | — |  |  | 464,513 |  |  | 464,513 |
Consumer loans |  | — |  |  | — |  |  | 6,038 |  |  | 6,038 |
Corporate loans |  | — |  |  | — |  |  | 3,534 |  |  | 3,534 |
Investment in unconsolidated entities, at fair value |  | — |  |  | — |  |  | 171,379 |  |  | 171,379 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 77 |  |  | 77 |
Credit default swaps on asset-backed indices |  | — |  |  | 2,250 |  |  | — |  |  | 2,250 |
Credit default swaps on corporate bonds |  | — |  |  | 95 |  |  | — |  |  | 95 |
Credit default swaps on corporate bond indices |  | — |  |  | 930 |  |  | — |  |  | 930 |
Interest rate swaps |  | — |  |  | 125,823 |  |  | — |  |  | 125,823 |
TBAs |  | — |  |  | 29,116 |  |  | — |  |  | 29,116 |
Warrants |  | — |  |  | 663 |  |  | — |  |  | 663 |
Futures |  | 828 |  |  | — |  |  | — |  |  | 828 |
Forwards |  | — |  |  | 261 |  |  | — |  |  | 261 |
Total assets |  | $ | 828 |  |  | $ | 1,452,010 |  |  | $ | 4,224,251 |  |  | $ | 5,677,089 |
Liabilities: |  |  |  |  |  |  |  |
Securities sold short, at fair value: |  |  |  |  |  |  |  |
Government debt |  | $ | — |  |  | $ | (199,542) |  |  | $ | — |  |  | $ | (199,542) |
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | (32) |  |  | — |  |  | (32) |
Credit default swaps on corporate bonds |  | — |  |  | (251) |  |  | — |  |  | (251) |
Credit default swaps on corporate bond indices |  | — |  |  | (17) |  |  | — |  |  | (17) |
Interest rate swaps |  | — |  |  | (49,041) |  |  | — |  |  | (49,041) |
TBAs |  | — |  |  | (798) |  |  | — |  |  | (798) |
Futures |  | (242) |  |  | — |  |  | — |  |  | (242) |
Total return swaps |  | — |  |  | — |  |  | (37) |  |  | (37) |
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (1,635,829) |  |  | (1,635,829) |
Senior notes, at fair value |  | — |  |  | — |  |  | (193,515) |  |  | (193,515) |
Total liabilities |  | $ | (242) |  |  | $ | (249,681) |  |  | $ | (1,829,381) |  |  | $ | (2,079,304) |
December 31, 2021:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | (In thousands)
Assets: |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS |  | $ | — |  |  | $ | 1,686,906 |  |  | $ | 9,710 |  |  | $ | 1,696,616 |
Non-Agency RMBS |  | — |  |  | 81,666 |  |  | 134,888 |  |  | 216,554 |
CMBS |  | — |  |  | 12,509 |  |  | 13,134 |  |  | 25,643 |
CLOs |  | — |  |  | 35,651 |  |  | 26,678 |  |  | 62,329 |
Asset-backed securities, backed by consumer loans |  | — |  |  | — |  |  | 73,108 |  |  | 73,108 |
Corporate debt securities |  | — |  |  | 356 |  |  | 5,198 |  |  | 5,554 |
Corporate equity securities |  | — |  |  | — |  |  | 7,556 |  |  | 7,556 |
Loans, at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans |  | — |  |  | — |  |  | 2,016,228 |  |  | 2,016,228 |
Commercial mortgage loans |  | — |  |  | — |  |  | 326,197 |  |  | 326,197 |
Consumer loans |  | — |  |  | — |  |  | 62,365 |  |  | 62,365 |
Corporate loans |  | — |  |  | — |  |  | 10,531 |  |  | 10,531 |
Investment in unconsolidated entities, at fair value |  | — |  |  | — |  |  | 195,643 |  |  | 195,643 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 303 |  |  | 303 |
Credit default swaps on asset-backed indices |  | — |  |  | 1,751 |  |  | — |  |  | 1,751 |
Credit default swaps on corporate bond indices |  | — |  |  | 156 |  |  | — |  |  | 156 |
Interest rate swaps |  | — |  |  | 13,993 |  |  | — |  |  | 13,993 |
TBAs |  | — |  |  | 1,229 |  |  | — |  |  | 1,229 |
Options |  | — |  |  | 278 |  |  | — |  |  | 278 |
Warrants |  | — |  |  | 706 |  |  | — |  |  | 706 |
Futures |  | 478 |  |  | — |  |  | — |  |  | 478 |
Total assets |  | $ | 478 |  |  | $ | 1,835,201 |  |  | $ | 2,881,539 |  |  | $ | 4,717,218 |
Liabilities: |  |  |  |  |  |  |  |
Securities sold short, at fair value: |  |  |  |  |  |  |  |
Government debt |  | $ | — |  |  | $ | (120,525) |  |  | $ | — |  |  | $ | (120,525) |
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | — |  |  | (39) |  |  | — |  |  | (39) |
Credit default swaps on corporate bonds |  | — |  |  | (99) |  |  | — |  |  | (99) |
Credit default swaps on corporate bond indices |  | — |  |  | (1,870) |  |  | — |  |  | (1,870) |
Interest rate swaps |  | — |  |  | (9,098) |  |  | — |  |  | (9,098) |
TBAs |  | — |  |  | (909) |  |  | — |  |  | (909) |
Futures |  | (75) |  |  | — |  |  | — |  |  | (75) |
Forwards |  | — |  |  | (208) |  |  | — |  |  | (208) |
Other secured borrowings, at fair value |  | — |  |  | — |  |  | (984,168) |  |  | (984,168) |
Total liabilities |  | $ | (75) |  |  | $ | (132,748) |  |  | $ | (984,168) |  |  | $ | (1,116,991) |
Schedule of Significant Unobservable Inputs, Qualitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 62,658 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 0.47 |  |  | $ | 153.16 |  |  | $ | 69.69 |
|  | 43,127 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 105,785 |  |  |  |  | Yield(1) |  | — | % |  | 121.3 | % |  | 13.7 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | — | % |  | 99.0 | % |  | 34.0 | %
|  |  |  |  |  | Projected Collateral Losses |  | — | % |  | 97.3 | % |  | 20.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | — | % |  | 70.1 | % |  | 18.9 | %
Non-Agency CMBS |  | 8,115 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 6.35 |  |  | $ | 74.51 |  |  | $ | 34.62 |
|  | 554 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 8,669 |  |  |  |  | Yield |  | 6.7 | % |  | 15.9 | % |  | 11.6 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.5 | % |  | 29.5 | % |  | 4.8 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 70.5 | % |  | 96.4 | % |  | 93.1 | %
CLOs |  | 10,755 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 4.00 |  |  | $ | 70.00 |  |  | $ | 40.18 |
|  | 6,533 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 17,288 |  |  |  |  | Yield |  | 16.0 | % |  | 49.6 | % |  | 28.8 | %
Agency interest only RMBS |  | 2,650 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 0.39 |  |  | $ | 18.97 |  |  | $ | 11.36 |
|  | 5,169 |  |  | Option Adjusted Spread ("OAS") |  |  |  |  |  |  |  |
|  | 7,819 |  |  |  |  | LIBOR OAS(2)(3) |  | 74 |  |  | 4,176 |  |  | 611 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 23.7 | % |  | 100.0 | % |  | 58.9 | %
ABS backed by consumer loans |  | 75,568 |  |  | Discounted Cash Flows |  | Yield |  | 2.2 | % |  | 29.1 | % |  | 12.7 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 17.7 | % |  | 14.1 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.5 | % |  | 29.2 | % |  | 22.8 | %
Corporate debt and equity |  | 14,771 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 25.8 | % |  | 11.3 | %
Performing and re-performing residential mortgage loans |  | 1,560,948 |  |  | Discounted Cash Flows |  | Yield |  | 2.5 | % |  | 62.4 | % |  | 7.5 | %
Securitized residential mortgage loans(4)(5) |  | 1,676,395 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 0.57 |  |  | $ | 97.28 |  |  | $ | 86.70 |
|  | 86,450 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 1,762,845 |  |  |  |  | Yield |  | 4.2 | % |  | 18.3 | % |  | 7.2 | %
Non-performing residential mortgage loans |  | 25,017 |  |  | Discounted Cash Flows |  | Yield |  | 4.0 | % |  | 60.1 | % |  | 13.1 | %
|  |  |  |  |  | Recovery Amount |  | 1.6 | % |  | 188.3 | % |  | 28.4 | %
|  |  |  |  |  | Months to Resolution |  | 5.8 |  |  | 103.7 |  |  | 25.7 |
Performing commercial mortgage loans |  | 432,740 |  |  | Discounted Cash Flows |  | Yield |  | 7.4 | % |  | 11.7 | % |  | 9.4 | %
Non-performing commercial mortgage loans |  | 31,773 |  |  | Discounted Cash Flows |  | Yield |  | 14.5 | % |  | 23.5 | % |  | 19.1 | %
|  |  |  |  |  | Recovery Amount |  | 100.0 | % |  | 100.2 | % |  | 100.1 | %
|  |  |  |  |  | Months to Resolution |  | 2.8 |  | 2.8 |  | 2.8
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
(continued) |  | (In thousands) |  |  |  |  |  |  |  |  |  |
Consumer loans |  | 6,038 |  |  | Discounted Cash Flows |  | Yield |  | 10.5 | % |  | 73.0 | % |  | 14.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 23.7 | % |  | 13.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.4 | % |  | 60.3 | % |  | 11.5 | %
Corporate loans |  | 3,534 |  |  | Discounted Cash Flows |  | Yield |  | 6.0 | % |  | 7.0 | % |  | 6.1 | %
Investment in unconsolidated entities—Loan origination entities |  | 32,848 |  |  | Enterprise Value |  | Equity Price-to-Book(6) |  | 1.0x |  | 3.3x |  | 1.4x
Investment in unconsolidated entities—Other |  | 87,864 |  |  | Enterprise Value |  | Net Asset Value |  | n/a |  | n/a |  | n/a
Investment in unconsolidated entities—Loan origination-related entities |  | 50,667 |  |  | Recent Transactions |  | Transaction Price |  | n/a |  | n/a |  | n/a
|  | 171,379 |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | 77 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 22.8 | % |  | 31.0 | % |  | 23.7 | %
|  |  |  |  |  | Projected Collateral Losses |  | 6.5 | % |  | 8.8 | % |  | 8.6 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 12.1 | % |  | 15.8 | % |  | 12.2 | %
Total return swaps |  | (37) |  |  | Discounted Cash Flows |  | Yield |  | 16.3 | % |  | 16.3 | % |  | 16.3 | %
Other secured borrowings, at fair value(4) |  | (1,635,829) |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 51.06 |  |  | $ | 97.28 |  |  | $ | 88.76 |
|  |  |  |  |  | Yield |  | 5.0% |  | 6.7% |  | 6.3%
|  |  |  |  |  | Projected Collateral Prepayments |  | 87.4% |  | 90.9% |  | 88.9%
Senior notes, at fair value |  | (193,515) |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 92.15 |  |  | $ | 92.15 |  |  | $ | 92.15 |
(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 $0.2 million. Including these securities the weighted average yield was 13.6%. (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 $0.5 million. Including these securities the weighted average was 512 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 $9.0 million of non-performing securitized residential mortgage loans. (6)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. December 31, 2021:
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 89,344 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 0.34 |  |  | $ | 222.87 |  |  | $ | 85.17 |
|  | 45,544 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 134,888 |  |  |  |  | Yield(1) |  | — | % |  | 38.6 | % |  | 6.8 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | — | % |  | 74.4 | % |  | 39.1 | %
|  |  |  |  |  | Projected Collateral Losses |  | — | % |  | 82.9 | % |  | 22.5 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | — | % |  | 91.5 | % |  | 17.5 | %
Non-Agency CMBS |  | 12,866 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 7.00 |  |  | $ | 90.77 |  |  | $ | 56.98 |
|  | 268 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 13,134 |  |  |  |  | Yield |  | 7.6 | % |  | 26.3 | % |  | 10.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | — | % |  | 6.5 | % |  | 2.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 10.0 | % |  | 100.0 | % |  | 95.0 | %
CLOs |  | 18,664 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 14.00 |  |  | $ | 99.75 |  |  | $ | 54.99 |
|  | 8,014 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 26,678 |  |  |  |  | Yield(2) |  | 9.0 | % |  | 292.1 | % |  | 32.8 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 13.4 | % |  | 94.5 | % |  | 91.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.9 | % |  | 68.9 | % |  | 4.4 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 1.3 | % |  | 17.8 | % |  | 3.4 | %
Agency interest only RMBS |  | 3,558 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 0.72 |  |  | $ | 20.36 |  |  | $ | 7.31 |
|  | 6,152 |  |  | Option Adjusted Spread ("OAS") |  |  |  |  |  |  |  |
|  | 9,710 |  |  |  |  | LIBOR OAS(3)(4) |  | 135 |  |  | 19,247 |  |  | 683 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 49.5 | % |  | 100.0 | % |  | 78.8 | %
ABS backed by consumer loans |  | 73,108 |  |  | Discounted Cash Flows |  | Yield |  | 9.5 | % |  | 22.8 | % |  | 15.7 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 11.6 | % |  | 9.0 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.0 | % |  | 31.1 | % |  | 20.9 | %
Corporate debt and equity |  | 12,754 |  |  | Discounted Cash Flows |  | Yield |  | 8.1 | % |  | 44.3 | % |  | 14.7 | %
Performing and re-performing residential mortgage loans |  | 933 |  |  | Recent Transactions |  | Transaction Price |  | n/a |  | n/a |  | n/a
|  | 951,723 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 952,656 |  |  |  |  | Yield |  | 0.9 | % |  | 57.5 | % |  | 4.7 | %
Securitized residential mortgage loans(5)(6) |  | 1,003,164 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 88.36 |  |  | $ | 102.14 |  |  | $ | 99.83 |
|  | 38,381 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 1,041,545 |  |  |  |  | Yield |  | 1.3 | % |  | 23.5 | % |  | 4.2 | %
|  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  |  | Min |  | Max |
(Continued) |  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-performing residential mortgage loans |  | $ | 22,027 |  |  | Discounted Cash Flows |  | Yield |  | 0.8 | % |  | 35.9 | % |  | 11.5 | %
|  |  |  |  |  | Recovery Amount |  | 0.5 | % |  | 174.8 | % |  | 34.8 | %
|  |  |  |  |  | Months to Resolution |  | 5.8 |  |  | 100.8 |  |  | 29.5 |
Performing commercial mortgage loans |  | 310,735 |  |  | Discounted Cash Flows |  | Yield |  | 5.1 | % |  | 10.6 | % |  | 7.2 | %
Non-performing commercial mortgage loans |  | 15,462 |  |  | Discounted Cash Flows |  | Yield |  | 10.6 | % |  | 10.6 | % |  | 10.6 | %
|  |  |  |  |  | Recovery Amount |  | 100.2 | % |  | 100.2 | % |  | 100.2 | %
|  |  |  |  |  | Months to Resolution |  | 1.8 |  | 1.8 |  | 1.8
Consumer loans |  | 62,365 |  |  | Discounted Cash Flows |  | Yield |  | 5.2 | % |  | 75.6 | % |  | 9.3 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 0.0 | % |  | 28.4 | % |  | 14.1 | %
|  |  |  |  |  | Projected Collateral Losses |  | 0.9 | % |  | 86.6 | % |  | 9.7 | %
Corporate loans |  | 7,000 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 100.00 |  |  | $ | 100.00 |  |  | $ | 100.00 |
|  | 3,531 |  |  | Discounted Cash Flows |  |  |  |  |  |  |  |
|  | 10,531 |  |  |  |  | Yield |  | 3.0 | % |  | 21.9 | % |  | 16.1 | %
Investment in unconsolidated entities—Loan Originators(6) |  | 123,779 |  |  | Enterprise Value |  | Equity Price-to-Book(7) |  | 1.2x |  | 1.9x |  | 1.5x
Investment in unconsolidated entities—Other(6) |  | 57,828 |  |  | Enterprise Value |  | Net Asset Value |  | n/a |  | n/a |  | n/a
|  | 14,036 |  |  | Recent Transactions |  | Transaction Price |  | n/a |  | n/a |  | n/a
|  | 195,643 |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | 303 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 33.9 | % |  | 41.9 | % |  | 40.1 | %
|  |  |  |  |  | Projected Collateral Losses |  | 6.5 | % |  | 8.8 | % |  | 7.0 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 11.2 | % |  | 11.4 | % |  | 11.3 | %
Other secured borrowings, at fair value(5) |  | (984,168) |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 93.34 |  |  | $ | 102.14 |  |  | $ | 99.94 |
|  |  |  |  |  | Yield |  | 1.8% |  | 2.5% |  | 2.1%
|  |  |  |  |  | Projected Collateral Prepayments |  | —% |  | 97.2% |  | 68.1%
(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 6.5%. (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 $14 thousand. Including these securities the weighted average yield was 32.7%. (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 $2.1 million. Including these securities the weighted average was 485 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)Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
Fair Value Measurement Using Significant Unobservable Inputs | The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2022 and 2021 (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, 2022
(In thousands) | Beginning Balance as of June 30, 2022 |  | 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, 2022
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 12,389 |  |  | $ | (751) |  |  | $ | (723) |  |  | $ | (62) |  |  | $ | — |  |  | $ | (2,214) |  |  | $ | 1,094 |  |  | $ | (1,914) |  |  | $ | 7,819 |
Non-Agency RMBS | 131,449 |  |  | (73) |  |  | 216 |  |  | (5,402) |  |  | — |  |  | (13,789) |  |  | 3,240 |  |  | (9,856) |  |  | 105,785 |
CMBS | 9,380 |  |  | 54 |  |  | 1,932 |  |  | (581) |  |  | — |  |  | (3,265) |  |  | 3,230 |  |  | (2,081) |  |  | 8,669 |
CLOs | 23,378 |  |  | (631) |  |  | 3,324 |  |  | (221) |  |  | — |  |  | (6,086) |  |  | 643 |  |  | (3,119) |  |  | 17,288 |
Asset-backed securities backed by consumer loans | 78,183 |  |  | (2,376) |  |  | 318 |  |  | (2,618) |  |  | 13,063 |  |  | (11,002) |  |  | — |  |  | — |  |  | 75,568 |
Corporate debt securities | 1,767 |  |  | — |  |  | 133 |  |  | (148) |  |  | 5,391 |  |  | (3,541) |  |  | — |  |  | — |  |  | 3,602 |
Corporate equity securities | 10,276 |  |  | — |  |  | (80) |  |  | 188 |  |  | 785 |  |  | — |  |  | — |  |  | — |  |  | 11,169 |
Loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans | 2,995,584 |  |  | (3,394) |  |  | (1,561) |  |  | (114,175) |  |  | 712,965 |  |  | (240,609) |  |  | — |  |  | — |  |  | 3,348,810 |
Commercial mortgage loans | 477,378 |  |  | — |  |  | 11 |  |  | 54 |  |  | 77,888 |  |  | (90,818) |  |  | — |  |  | — |  |  | 464,513 |
Consumer loans | 7,410 |  |  | (362) |  |  | (1,172) |  |  | 986 |  |  | 523 |  |  | (1,347) |  |  | — |  |  | — |  |  | 6,038 |
Corporate loan | 10,448 |  |  | — |  |  | — |  |  | — |  |  | 100 |  |  | (7,014) |  |  | — |  |  | — |  |  | 3,534 |
Investments in unconsolidated entities, at fair value | 192,269 |  |  | — |  |  | (1,317) |  |  | (24,196) |  |  | 36,928 |  |  | (32,305) |  |  | — |  |  | — |  |  | 171,379 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 202 |  |  | — |  |  | (844) |  |  | 717 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 77 |
Total assets, at fair value | $ | 3,950,113 |  |  | $ | (7,533) |  |  | $ | 237 |  |  | $ | (145,458) |  |  | $ | 847,645 |  |  | $ | (411,990) |  |  | $ | 8,207 |  |  | $ | (16,970) |  |  | $ | 4,224,251 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total return swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (37) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (37) |
Other secured borrowings, at fair value | (1,448,182) |  |  | (397) |  |  | — |  |  | 79,430 |  |  | 57,864 |  |  | (324,544) |  |  | — |  |  | — |  |  | (1,635,829) |
Senior notes, at fair value | (202,650) |  |  | — |  |  | — |  |  | 9,135 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (193,515) |
Total liabilities, at fair value | $ | (1,650,832) |  |  | $ | (397) |  |  | $ | — |  |  | $ | 88,528 |  |  | $ | 57,864 |  |  | $ | (324,544) |  |  | $ | — |  |  | $ | — |  |  | $ | (1,829,381) |
(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, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(8.0) million, $(113.1) million, $(27.0) million, $0.7 million, $(37) thousand, $79.4 million, and $9.1 million, for the three-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $17.0 million of assets from Level 3 to Level 2 and $8.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended 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(3) | (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. (3)Conformed to current period presentation. 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 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, 2022
(In thousands) | Beginning Balance as of December 31, 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, 2022
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 9,710 |  |  | $ | (1,595) |  |  | $ | 9 |  |  | $ | (1,421) |  |  | $ | 840 |  |  | $ | (1,074) |  |  | $ | 3,393 |  |  | $ | (2,043) |  |  | $ | 7,819 |
Non-Agency RMBS | 134,888 |  |  | 743 |  |  | 2,167 |  |  | (14,655) |  |  | 18,614 |  |  | (26,541) |  |  | 18,916 |  |  | (28,347) |  |  | 105,785 |
CMBS | 13,134 |  |  | 97 |  |  | 3,050 |  |  | (2,142) |  |  | 620 |  |  | (5,297) |  |  | 5,470 |  |  | (6,263) |  |  | 8,669 |
CLOs | 26,678 |  |  | (2,048) |  |  | 6,231 |  |  | (2,859) |  |  | — |  |  | (13,659) |  |  | 8,205 |  |  | (5,260) |  |  | 17,288 |
Asset-backed securities backed by consumer loans | 73,108 |  |  | (4,528) |  |  | 18 |  |  | (8,250) |  |  | 49,300 |  |  | (34,080) |  |  | — |  |  | — |  |  | 75,568 |
Corporate debt securities | 5,198 |  |  | — |  |  | 1,666 |  |  | (1,828) |  |  | 10,703 |  |  | (12,137) |  |  | — |  |  | — |  |  | 3,602 |
Corporate equity securities | 7,556 |  |  | — |  |  | 1,659 |  |  | (1,176) |  |  | 5,768 |  |  | (2,638) |  |  | — |  |  | — |  |  | 11,169 |
Loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans | 2,016,228 |  |  | (12,405) |  |  | 56 |  |  | (297,423) |  |  | 2,332,444 |  |  | (690,090) |  |  | — |  |  | — |  |  | 3,348,810 |
Commercial mortgage loans | 326,197 |  |  | — |  |  | 22 |  |  | (1,170) |  |  | 411,693 |  |  | (272,229) |  |  | — |  |  | — |  |  | 464,513 |
Consumer loans | 62,365 |  |  | (2,885) |  |  | (1,870) |  |  | 615 |  |  | 11,505 |  |  | (63,692) |  |  | — |  |  | — |  |  | 6,038 |
Corporate loan | 10,531 |  |  | — |  |  | (1,000) |  |  | — |  |  | 2,425 |  |  | (8,422) |  |  | — |  |  | — |  |  | 3,534 |
Investments in unconsolidated entities, at fair value | 195,643 |  |  | — |  |  | (177) |  |  | (54,107) |  |  | 232,838 |  |  | (202,818) |  |  | — |  |  | — |  |  | 171,379 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 303 |  |  | — |  |  | (853) |  |  | 615 |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | 77 |
Total assets, at fair value | $ | 2,881,539 |  |  | $ | (22,621) |  |  | $ | 10,978 |  |  | $ | (383,801) |  |  | $ | 3,076,762 |  |  | $ | (1,332,677) |  |  | $ | 35,984 |  |  | $ | (41,913) |  |  | $ | 4,224,251 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total return swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (37) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (37) |
Other secured borrowings, at fair value | (984,168) |  |  | (397) |  |  | — |  |  | 202,329 |  |  | 271,817 |  |  | (1,125,410) |  |  | — |  |  | — |  |  | (1,635,829) |
Senior notes, at fair value | — |  |  | — |  |  | — |  |  | 16,485 |  |  | — |  |  | (210,000) |  |  | — |  |  | — |  |  | (193,515) |
Total liabilities, at fair value | $ | (984,168) |  |  | $ | (397) |  |  | $ | — |  |  | $ | 218,777 |  |  | $ | 271,817 |  |  | $ | (1,335,410) |  |  | $ | — |  |  | $ | — |  |  | $ | (1,829,381) |
(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, 2022, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(31.8) million, $(297.6) million, $(61.0) million, $0.6 million, $(37) thousand, $202.3 million, and $16.5 million, for the nine-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $41.9 million of assets from Level 3 to Level 2 and $36.0 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 |
Investment 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(3) | (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. (3)Conformed to current period presentation. 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.
Schedule of Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021:
|  | As of
|  | September 30, 2022 |  | December 31, 2021
(In thousands) |  | Fair Value |  | Carrying Value |  | Fair Value |  | Carrying Value
Other financial instruments |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 175,230 |  |  | $ | 175,230 |  |  | $ | 92,661 |  |  | $ | 92,661 |
Restricted cash |  | — |  |  | — |  |  | 175 |  |  | 175 |
Due from brokers |  | 86,957 |  |  | 86,957 |  |  | 93,549 |  |  | 93,549 |
Reverse repurchase agreements |  | 204,654 |  |  | 204,654 |  |  | 123,250 |  |  | 123,250 |
Liabilities: |  |  |  |  |  |  |  |
Repurchase agreements |  | 2,895,019 |  |  | 2,895,019 |  |  | 2,469,763 |  |  | 2,469,763 |
Other secured borrowings |  | 40,900 |  |  | 40,900 |  |  | 96,622 |  |  | 96,622 |
Senior notes, net |  | — |  |  | — |  |  | 86,249 |  |  | 85,802 |
Due to brokers |  | 61,978 |  |  | 61,978 |  |  | 2,233 |  |  | 2,233 |
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 December 31, 2021, the estimated fair value of the Company's Senior notes, net was based on a third-party valuation.

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