Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2016

Fair Value Measurements on Recurring Basis

At December 31, 2016, and December 31, 2015, fair value measurements on a recurring basis were as follows (in thousands):

December 31, 2016

	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

December 31, 2015

	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS⁽¹⁾	$	-	$	4,892,782	$	-	$	4,892,782
Non-Agency MBS⁽¹⁾	$	-	$	682,061	$	-	$	682,061
Derivative instruments⁽²⁾	$	-	$	12,470	$	-	$	12,470
Liabilities:
Derivative instruments⁽²⁾	$	-	$	34,547	$	-	$	34,547

(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 Notes 1 and 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 December 31, 2016 and December 31, 2015 (in thousands):

	December 31, 2016				December 31, 2015
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Residential mortgage loans held-for-investment	$	744,462	$	733,759	$	969,172	$	959,418
Financial Liabilities:
Asset-backed securities issued by securitization trusts	$	728,683	$	718,008	$	915,486	$	907,556