Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at March 31, 2016 and December 31, 2015.



	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance at March 31, 2016
Assets at Fair Value:
Agency Securities, available for sale	$	—	$	10,474,010	$	—	$	10,474,010
Non-Agency Securities, trading	$	—	$	—	$	285,696	$	285,696
Derivatives	$	—	$	1,665	$	—	$	1,665
Liabilities at Fair Value:
Derivatives	$	—	$	298,685	$	—	$	298,685

There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the quarter ended March 31, 2016.



	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance at December 31, 2015
Assets at Fair Value:
Agency Securities, available for sale	$	—	$	12,461,556	$	—	$	12,461,556
Derivatives	$	—	$	999	$	—	$	999
Liabilities at Fair Value:
Derivatives	$	—	$	233,301	$	—	$	233,301

Carrying Values and Fair Values of Financial Assets and Liabilities

The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at March 31, 2016 and December 31, 2015.



March 31, 2016					Fair Value Measurements using:
	Carrying Value		Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash	$	243,294	$	243,294	$	243,294	$	—	$	—
Cash collateral posted to counterparties	$	306,104	$	306,104	$	—	$	306,104	$	—
Accrued interest receivable	$	28,883	$	28,883	$	—	$	28,883	$	—
Financial Liabilities:
Repurchase agreements	$	9,923,859	$	9,923,859	$	—	$	9,923,859	$	—
Payable for unsettled purchases	$	14,955	$	14,955	$	—	$	14,955	$	—
Accrued interest payable- repurchase agreements	$	6,255	$	6,255	$	—	$	6,255	$	—



December 31, 2015					Fair Value Measurements using:
	Carrying Value		Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash	$	289,925	$	289,925	$	289,925	$	—	$	—
Cash collateral posted to counterparties	$	263,799	$	263,799	$	—	$	263,799	$	—
Principal payments receivable	$	37	$	37	$	—	$	37	$	—
Accrued interest receivable	$	34,500	$	34,500	$	—	$	34,500	$	—
Financial Liabilities:
Repurchase agreements	$	11,570,481	$	11,570,481	$	—	$	11,570,481	$	—
Accrued interest payable- repurchase agreements	$	7,724	$	7,724	$	—	$	7,724	$	—

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at March 31, 2016. We did not have Level 3 assets at December 31, 2015.



	For the Quarter Ended
Non-Agency Securities	March 31, 2016
Balance, beginning of period	$	—
Purchases of Non-Agency Securities, at cost	281,755
Gain on Non-Agency Securities	4,122
Discount accretion	(181		)
Balance, end of period	$	285,696
Gain on Non-Agency Securities	$	4,122

Fair Value Inputs, Assets, Quantitative Information

The following table presents the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values at March 31, 2016. We did not have Level 3 assets at December 31, 2015.

March 31, 2016



Unobservable Level 3 Input	Minimum		Weighted Average		Maximum
Cumulative default	0.00	%	0.00	%	0.00	%
Loss severity (life)	0.00	%	62.99	%	100.00	%
Discount rate	4.96	%	5.62	%	6.35	%
Delinquency (life)	0.00	%	0.87	%	2.60	%
Voluntary prepayments (life)	9.11	%	14.73	%	24.05	%