Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Fair Value Measurements, Recurring and Nonrecurring

The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of September 30, 2018 and December 31, 2017. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

	September 30, 2018
	Total			Level 1			Level 2			Level 3
MBS
Trading:
Agency MBS	$	4,399,466		$	—		$	4,399,466		$	—
Private-label MBS		37			—			—			37
Total MBS		4,399,503			—			4,399,466			37
Derivative assets		91			—			91			—
Derivative liabilities		(3,431	)		(219	)		(3,212	)		—
Other assets		6,133			—			—			6,133
Total	$	4,402,296		$	(219	)	$	4,396,345		$	6,170

	December 31, 2017
	Total			Level 1			Level 2			Level 3
MBS
Trading:
Agency MBS	$	4,054,424		$	—		$	4,054,424		$	—
Private-label MBS		76			—			—			76
Total MBS		4,054,500			—			4,054,424			76
Derivative assets		763			—			763			—
Derivative liabilities		(4,833	)		(1,341	)		(3,492	)		—
Other assets		439			—			—			439
Total	$	4,050,869		$	(1,341	)	$	4,051,695		$	515

Change in Fair Value of Level 3 Investments that are Measured at Fair Value on Recurring Basis

The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 investments that are measured at fair value on a recurring basis for the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2018			2017			2018			2017
Beginning balance	$	6,235		$	618		$	515		$	1,799
Addition of certain investments in equity securities as of   January 1, 2018		—			—			5,362			—
Included in investment gain (loss), net		(21	)		(116	)		343			(55	)
Purchases		—			—			—			—
Sales		—			—			—			(1,268	)
Payments, net		(46	)		(6	)		(66	)		(60	)
Accretion of discount		2			2			16			82
Ending balance	$	6,170		$	498		$	6,170		$	498
Net unrealized gains (losses) included in earnings for the    period for Level 3 assets still held at the reporting date	$	(21	)	$	(116	)	$	343		$	(113	)