Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2017

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

The following table presents the fair value of the Company’s financial instruments 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:



	June 30, 2017
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	2,864,026	$	—	$	2,856,229	$	7,797
Interest rate swaps	267		—		267		—
Total assets carried at fair value	$	2,864,293	$	—	$	2,856,496	$	7,797
Liabilities:
Interest rate swaps	$	18	$	—	$	18	$	—
TBA securities	1,668		—		1,668		—
Total liabilities carried at fair value	$	1,686	$	—	$	1,686	$	—

	December 31, 2016
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,212,084	$	—	$	3,201,157	$	10,927
Interest rate swaps	28,534		—		28,534		—
Total assets carried at fair value	$	3,240,618	$	—	$	3,229,691	$	10,927
Liabilities:
Interest rate swaps	$	6,922	$	—	$	6,922	$	—
Total liabilities carried at fair value	$	6,922	$	—	$	6,922	$	—

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
Balance as of December 31, 2016	$	9,669		$	1,258		$	10,927
Unrealized loss included in OCI ⁽¹⁾	(1,250		)	8			(1,242		)
Principal payments	(3,535		)	(90		)	(3,625		)
Accretion	1,737			—			1,737
Balance as of June 30, 2017	$	6,621		$	1,176		$	7,797

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:



	June 30, 2017				December 31, 2016
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Mortgage-backed securities	$	2,864,026	$	2,864,026	$	3,212,084	$	3,212,084
Mortgage loans held for investment, net ⁽¹⁾	17,345		14,329		19,036		15,971
Derivative assets	267		267		28,534		28,534
Liabilities:
Repurchase agreements ⁽²⁾	$	2,540,759	$	2,540,759	$	2,898,952	$	2,898,952
Non-recourse collateralized financing ⁽¹⁾	5,892		5,873		6,440		6,357
Derivative liabilities	1,686		1,686		6,922		6,922