Fair Value of Financial Instruments (Tables)
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6 Months Ended |
Jun. 30, 2019 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following table presents the Company’s financial instruments that are measured at fair value on a recurring basis by their valuation hierarchy levels as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2019 | | December 31, 2018 | | Fair Value | | Level 1 | | Level 2 | | Level 3 | | Fair Value | | Level 1 | | Level 2 | | Level 3 | Assets carried at fair value: | | | | | | | | | | | | | | | | MBS | $ | 5,713,788 |
| | $ | — |
| | $ | 5,711,894 |
| | $ | 1,894 |
| | $ | 3,749,464 |
| | $ | — |
| | $ | 3,747,190 |
| | $ | 2,274 |
| Derivative assets: | | | | | | | | | | | | | | | | Interest rate swaps | — |
| | — |
| | — |
| | — |
| | 324 |
| | — |
| | 324 |
| | — |
| TBA securities | 342 |
| | — |
| | 342 |
| | — |
| | 6,239 |
| | — |
| | 6,239 |
| | — |
| Total assets carried at fair value | $ | 5,714,130 |
| | $ | — |
| | $ | 5,712,236 |
| | $ | 1,894 |
| | $ | 3,756,027 |
| | $ | — |
| | $ | 3,753,753 |
| | $ | 2,274 |
| | | | | | | | | | | | | | | | | Liabilities carried at fair value: | | | | | | | | | | | | | | | | Eurodollar futures | $ | 102 |
| | $ | — |
| | $ | 102 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| TBA securities | 105 |
| | — |
| | 105 |
| | — |
| | — |
| | — |
| | — |
| | — |
| U.S. Treasury futures | — |
| | — |
| | — |
| | — |
| | 1,218 |
| | 1,218 |
| | — |
| | — |
| Total liabilities carried at fair value | $ | 207 |
| | $ | — |
| | $ | 207 |
| | $ | — |
| | $ | 1,218 |
| | $ | 1,218 |
| | $ | — |
| | $ | — |
|
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The activity of the Company’s non-Agency MBS measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the periods indicated: | | | | | | | | | | Six Months Ended | | June 30, | | 2019 | | 2018 | Balance as of beginning of period | $ | 2,274 |
| | $ | 7,243 |
| Unrealized gain included in OCI | 289 |
| | (582 | ) | Principal payments | (1,730 | ) | | (692 | ) | Accretion | 1,061 |
| | 604 |
| Balance as of end of period | $ | 1,894 |
| | $ | 6,573 |
|
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| Fair Value, by Balance Sheet Grouping |
The following table presents a summary of the carrying value and estimated fair values of the Company’s financial instruments as of the dates indicated: | | | | | | | | | | | | | | | | | | June 30, 2019 | | December 31, 2018 | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | Assets: | | | | | | | | Mortgage-backed securities | $ | 5,713,788 |
| | $ | 5,713,788 |
| | $ | 3,749,464 |
| | $ | 3,749,464 |
| Mortgage loans held for investment, net (1) | 10,306 |
| | 7,465 |
| | 11,527 |
| | 8,566 |
| Derivative assets | 342 |
| | 342 |
| | 6,563 |
| | 6,563 |
| Liabilities: | |
| | |
| | |
| | |
| Repurchase agreements (2) | $ | 4,815,452 |
| | $ | 4,815,452 |
| | $ | 3,267,984 |
| | $ | 3,267,984 |
| Non-recourse collateralized financing (1) | 3,078 |
| | 3,114 |
| | 3,458 |
| | 3,475 |
| Derivative liabilities | 207 |
| | 207 |
| | 1,218 |
| | 1,218 |
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| | (1) | The Company determines the fair value of its mortgage loans held for investment, net and its non-recourse collateralized financing using internally developed cash flow models with inputs similar to those used to estimate the fair value of the Company’s Level 3 non-Agency MBS. |
(2) The carrying value of repurchase agreements generally approximates fair value due to their short-term maturities.
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