Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Fair Values of Financial Instruments

Fair Value Measurements on Recurring Basis

At December 31, 2019 and December 31, 2018, fair value measurements on a recurring basis were as follows:

December 31, 2019

	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Agency MBS(1)	$	—	$	3,510,051	$	—	$	3,510,051
Non-Agency MBS(1)	$	—	$	643,610	$	—	$	643,610
Derivative instruments(2)	$	—	$	5,833	$	—	$	5,833
Liabilities:
Derivative instruments(2)	$	—	$	52,197	$	—	$	52,197

December 31, 2018

	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 Notes 1 and 3.

Derivative instruments include discontinued hedges under ASC 815‑10. For more detail about our derivative instruments, see Notes 1 and 15.

Carrying Value and Estimated Fair Value of Financial Instruments

	December 31, 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	$	458,348	$	461,606	$	549,016	$	538,362
Residential mortgage loans held-for-securitization	$	152,922	$	154,442	$	11,660	$	11,660
Financial Liabilities:
Asset-backed securities issued by securitization trusts	$	448,987	$	450,501	$	539,651	$	528,045