Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2019

Fair Value Disclosures [Abstract]

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	$	—	$	—

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

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

(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.