Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Fair Values of Financial Instruments

Fair Value Measurements on Recurring Basis

At June 30, 2020, fair value measurements on a recurring basis were as follows:

June 30, 2020


	Level 1		Level 2		Level 3		Total

	(in thousands)
Assets:
Agency MBS⁽¹⁾	$	—	$	1,827,777	$	—	$	1,827,777
Non-Agency MBS⁽¹⁾	$	—	$	192,032	$	—	$	192,032
Derivative instruments⁽²⁾	$	—	$	2,205	$	—	$	2,205
Liabilities:
Derivative instruments⁽²⁾	$	—	$	93,317	$	—	$	93,317

At December 31, 2019, 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

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

(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,” to our accompanying unaudited consolidated financial statements.

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 June 30, 2020 and December 31, 2019:


	June 30, 2020				December 31, 2019
	Carrying		Estimated		Carrying		Estimated
	Value		Fair Value		Value		Fair Value

	(in thousands)
Financial Assets:
Residential mortgage loans held-for-investment through consolidated securitization trusts	$	367,539	$	371,022	$	458,348	$	461,606
Residential mortgage loans held-for-securitization	$	131,110	$	122,364	$	152,922	$	154,442
Financial Liabilities:
Asset-backed securities issued by securitization trusts	$	358,854	$	361,652	$	448,987	$	450,501