Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

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:

	March 31, 2019								December 31, 2018
	Fair Value		Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3
Assets carried at fair value:
MBS	$	4,842,447	$	—	$	4,839,977	$	2,470	$	3,749,464	$	—	$	3,747,190	$	2,274
Derivative assets:
Interest rate swaps	112		—		112		—		324		—		324		—
TBA securities	5,918		—		5,918		—		6,239		—		6,239		—
Total assets carried at fair value	$	4,848,477	$	—	$	4,846,007	$	2,470	$	3,756,027	$	—	$	3,753,753	$	2,274
Liabilities carried at fair value:
U.S. Treasury futures	$	—	$	—	$	—	$	—	$	1,218	$	1,218	$	—	$	—
Total liabilities carried at fair value	$	—	$	—	$	—	$	—	$	1,218	$	1,218	$	—	$	—

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:

	Three Months Ended
	March 31,
	2019			2018
Balance as of beginning of period	$	2,274		$	7,243
Unrealized gain included in OCI	268			(310		)
Principal payments	(183		)	(361		)
Accretion	111			311
Balance as of end of period	$	2,470		$	6,883

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:

	March 31, 2019				December 31, 2018
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Mortgage-backed securities	$	4,842,447	$	4,842,447	$	3,749,464	$	3,749,464
Mortgage loans held for investment, net (1)	10,862		7,458		11,527		8,566
Derivative assets	6,030		6,030		6,563		6,563
Liabilities:
Repurchase agreements (2)	$	4,252,893	$	4,252,893	$	3,267,984	$	3,267,984
Non-recourse collateralized financing (1)	3,219		3,073		3,458		3,475
Derivative liabilities	—		—		1,218		1,218

(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.