Fair Values of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Fair Values of Financial Instruments

Fair Value Measurements on Recurring Basis

At September 30, 2019, fair value measurements on a recurring basis were as follows:

	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Agency MBS(1)	$	—	$	3,105,638	$	—	$	3,105,638
Non-Agency MBS(1)	$	—	$	686,029	$	—	$	686,029
Derivative instruments(2)	$	—	$	2,459	$	—	$	2,459
Liabilities:
Derivative instruments(2)	$	—	$	71,821	$	—	$	71,821

(1) For more detail about the fair value of our MBS by agency and type of security, see Note 3, “Mortgage-Backed Securities.”

(2) Derivative instruments include discontinued hedges under ASC 815‑10. For more detail about our derivative instruments, see Note 1, “Organization and Significant Accounting Policies,” and Note 15, “Derivative Instruments.”

At December 31, 2018, fair value measurements on a recurring basis were as follows:

	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Agency MBS(1)	$	—	$	3,548,719	$	—	$	3,548,719
Non-Agency MBS(1)	$	—	$	795,203	$	—	$	795,203
Derivative instruments(2)	$	—	$	46,207	$	—	$	46,207
Liabilities:
Derivative instruments(2)	$	—	$	15,901	$	—	$	15,901

(1) For more detail about the fair value of our MBS by agency and type of security, see Note 3, “Mortgage-Backed Securities.”

(2) Derivative instruments include discontinued hedges under ASC 815‑10. For more detail about our derivative instruments, see Note 1, “Organization and Significant Accounting Policies,” and Note 14, “Equity Compensation Plan.”

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 our consolidated balance sheets at September 30, 2019 and December 31, 2018:

	September 30, 2019				December 31, 2018
	Carrying		Estimated		Carrying		Estimated
	Value		Fair Value		Value		Fair Value
	(in thousands)
Financial Assets:
Residential mortgage loans held-for-investment through consolidated securitization trusts	$	483,648	$	489,090	$	549,016	$	538,362
Residential mortgage loans held-for-securitization	$	129,014	$	131,361	$	11,660	$	11,660
Financial Liabilities:
Asset-backed securities issued by securitization trusts	$	474,285	$	477,835	$	539,651	$	528,045