Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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

The following table presents the fair value of the Company’s assets and liabilities presented on its consolidated balance sheets, segregated by the hierarchy level of the fair value estimate, that are measured at fair value on a recurring basis as of the dates indicated:



	September 30, 2016
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,110,467	$	—	$	3,097,055	$	13,412
Derivative assets	12,985		—		12,985		—
Total assets carried at fair value	$	3,123,452	$	—	$	3,110,040	$	13,412
Liabilities:
Derivative liabilities	$	84,023	$	42,638	$	41,385	$	—
Total liabilities carried at fair value	$	84,023	$	42,638	$	41,385	$	—



	December 31, 2015
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,493,701	$	—	$	3,477,266	$	16,435
Derivative assets	7,835		—		7,835		—
Total assets carried at fair value	$	3,501,536	$	—	$	3,485,101	$	16,435
Liabilities:
Derivative liabilities	$	41,205	$	29,097	$	12,108	$	—
Total liabilities carried at fair value	$	41,205	$	29,097	$	12,108	$	—

Fair Value Inputs, Assets, Quantitative Information

The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 non-Agency CMBS and RMBS as of September 30, 2016:



	Quantitative Information about Level 3 Fair Value Measurements ⁽¹⁾
	Prepayment Speed	Default Rate		Severity		Discount Rate
Non-Agency CMBS	20 CPY	2.0	%	35.0	%	10.1	%
Non-Agency RMBS	10 CPR	1.0	%	20.0	%	5.6	%


(1)	Data presented are weighted averages.

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

The activity of the instruments measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the period indicated:



	Level 3 Fair Value
	Non-Agency CMBS			Non-Agency RMBS			Total assets
Balance as of December 31, 2015	$	14,903		$	1,532		$	16,435
Unrealized (loss) gain included in OCI	(427		)	19			(408		)
Principal payments	(3,223		)	(182		)	(3,405		)
Accretion	790			—			790
Balance as of September 30, 2016	$	12,043		$	1,369		$	13,412

Recorded basis and fair value

The following table presents a summary of the carrying value and estimated fair values of the Company’s financial instruments as of the dates indicated:



	September 30, 2016				December 31, 2015
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Mortgage-backed securities	$	3,110,467	$	3,110,467	$	3,493,701	$	3,493,701
Mortgage loans held for investment, net⁽¹⁾	20,366		16,996		24,145		20,849
Investment in FHLB stock	5,260		5,260		11,475		11,475
Derivative assets	12,985		12,985		7,835		7,835
Liabilities:
Repurchase agreements ⁽²⁾	$	2,478,278	$	2,478,278	$	2,589,420	$	2,589,420
FHLB advances ⁽²⁾	263,000		263,000		520,000		520,000
Non-recourse collateralized financing ⁽¹⁾	7,025		6,802		8,442		8,102
Derivative liabilities	84,023		84,023		41,205		41,205