Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value Measurements on Recurring Basis

At June 30, 2017, fair value measurements on a recurring basis were as follows (in thousands):


	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS(1)	$	—	$	3,917,054	$	—	$	3,917,054
Non-Agency MBS(1)	$	—	$	690,654	$	—	$	690,654
Derivative instruments(2)	$	—	$	7,273	$	—	$	7,273
Liabilities:
Derivative instruments(2)	$	—	$	23,604	$	—	$	23,604

(1)

For more detail about the fair value of our MBS by agency and type of security, see Note 3.

(2)

Derivative instruments include discontinued hedges under ASC 815‑10. For more detail about our derivative instruments, see Note 1 and Note 14.

At December 31, 2016, fair value measurements on a recurring basis were as follows (in thousands):


	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS(1)	$	—	$	3,925,193	$	—	$	3,925,193
Non-Agency MBS(1)	$	—	$	641,246	$	—	$	641,246
Derivative instruments(2)	$	—	$	8,192	$	—	$	8,192
Liabilities:
Derivative instruments(2)	$	—	$	34,302	$	—	$	34,302

(1)

For more detail about the fair value of our MBS by agency and type of security, see Note 3.

(2)

Derivative instruments include discontinued hedges under ASC 815‑10. For more detail about our derivative instruments, see Note 1 and Note 14.

Carrying Value and Estimated Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value on the consolidated balance sheets at June 30, 2017 and December 31, 2016 (in thousands):


	June 30, 2017				December 31, 2016
	Carrying		Estimated		Carrying		Estimated
	Value		Fair Value		Value		Fair Value
Financial Assets:
Residential mortgage loans held-for-investment	$	695,255	$	698,841	$	744,462	$	733,759
Financial Liabilities:
Asset-backed securities issued by securitization trusts	$	685,888	$	688,244	$	728,683	$	718,008