Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2018

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

The following table presents the Company’s financial instruments that are measured at fair value on a recurring basis by their valuation hierarchy levels as of the dates indicated:



	December 31, 2018								December 31, 2017
	Fair Value		Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3
Assets carried at fair value:
Investments in debt securities:
MBS	$	3,749,464	$	—	$	3,747,190	$	2,274	$	3,026,989	$	—	$	3,019,746	$	7,243
U.S. Treasuries	—		—		—		—		146,530		146,530		—		—
Derivative assets:
Interest rate swaps	324		—		324		—		791		—		791		—
Eurodollar futures	—		—		—		—		666		666		—		—
TBA securities	6,239		—		6,239		—		1,483		—		1,483		—
Total assets carried at fair value	$	3,756,027	$	—	$	3,753,753	$	2,274	$	3,176,459	$	147,196	$	3,022,020	$	7,243

Liabilities carried at fair value:
U.S. Treasury futures	$	1,218	$	1,218	$	—	$	—	$	—	$	—	$	—	$	—
TBA securities	—		—		—		—		269		—		269		—
Total liabilities carried at fair value	$	1,218	$	1,218	$	—	$	—	$	269	$	—	$	269	$	—

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

The activity of the Company’s non-Agency MBS measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the periods indicated:



	Year Ended
	December 31,
	2018			2017
Balance as of beginning of period	$	7,243		$	10,927
Unrealized loss included in OCI	(1,850		)	(1,733		)
Principal payments	(5,071		)	(4,351		)
Accretion	1,952			2,400
Balance as of end of period	$	2,274		$	7,243

Fair Value, by Balance Sheet Grouping

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:



	December 31, 2018				December 31, 2017
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Mortgage-backed securities	$	3,749,464	$	3,749,464	$	3,026,989	$	3,026,989
U.S. Treasuries	—		—		146,530		146,530
Mortgage loans held for investment, net ⁽¹⁾	11,527		8,566		15,738		12,973
Derivative assets	6,563		6,563		2,940		2,940
Liabilities:
Repurchase agreements ⁽²⁾	$	3,267,984	$	3,267,984	$	2,565,902	$	2,565,902
Non-recourse collateralized financing ⁽¹⁾	3,458		3,475		5,520		5,554
Derivative liabilities	1,218		1,218		269		269


(1)	The Company determines the fair value of its mortgage loans held for investment, net and its non-recourse collateralized financing using internally developed cash flow models with inputs similar to those used to estimate the fair value of the Company’s Level 3 non-Agency MBS.

(2)

The carrying value of repurchase agreements generally approximates fair value due to their short-term maturities.