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Fair Value of Financial Instruments (Tables) | 6 Months Ended
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Jun. 30, 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:
| June 30, 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 | $ | 5,713,788 |  |  | $ | — |  |  | $ | 5,711,894 |  |  | $ | 1,894 |  |  | $ | 3,749,464 |  |  | $ | — |  |  | $ | 3,747,190 |  |  | $ | 2,274 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | — |  |  | — |  |  | — |  |  | — |  |  | 324 |  |  | — |  |  | 324 |  |  | — |
TBA securities | 342 |  |  | — |  |  | 342 |  |  | — |  |  | 6,239 |  |  | — |  |  | 6,239 |  |  | — |
Total assets carried at fair value | $ | 5,714,130 |  |  | $ | — |  |  | $ | 5,712,236 |  |  | $ | 1,894 |  |  | $ | 3,756,027 |  |  | $ | — |  |  | $ | 3,753,753 |  |  | $ | 2,274 |
Liabilities carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Eurodollar futures | $ | 102 |  |  | $ | — |  |  | $ | 102 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
TBA securities | 105 |  |  | — |  |  | 105 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
U.S. Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | 1,218 |  |  | 1,218 |  |  | — |  |  | — |
Total liabilities carried at fair value | $ | 207 |  |  | $ | — |  |  | $ | 207 |  |  | $ | — |  |  | $ | 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:
| Six Months Ended
| June 30,
| 2019 |  | 2018
Balance as of beginning of period | $ | 2,274 |  |  | $ | 7,243 |
Unrealized gain included in OCI | 289 |  |  | (582 | )
Principal payments | (1,730 | ) |  | (692 | )
Accretion | 1,061 |  |  | 604 |
Balance as of end of period | $ | 1,894 |  |  | $ | 6,573 |
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:
| June 30, 2019 |  | December 31, 2018
| Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Assets: |  |  |  |  |  |  |
Mortgage-backed securities | $ | 5,713,788 |  |  | $ | 5,713,788 |  |  | $ | 3,749,464 |  |  | $ | 3,749,464 |
Mortgage loans held for investment, net (1) | 10,306 |  |  | 7,465 |  |  | 11,527 |  |  | 8,566 |
Derivative assets | 342 |  |  | 342 |  |  | 6,563 |  |  | 6,563 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements (2) | $ | 4,815,452 |  |  | $ | 4,815,452 |  |  | $ | 3,267,984 |  |  | $ | 3,267,984 |
Non-recourse collateralized financing (1) | 3,078 |  |  | 3,114 |  |  | 3,458 |  |  | 3,475 |
Derivative liabilities | 207 |  |  | 207 |  |  | 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.

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=109250915&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 + Details
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