Rendering

Component: (Network and Table)
Network
2331301 - Disclosure - Fair Value of Financial Instruments (Tables)
(http://www.dynexcapital.com/role/FairValueOfFinancialInstrumentsTables)
Table(Implied)
Slicers (applies to each fact value in each table cell)
Reporting Entity [Axis]0000826675 (http://www.sec.gov/CIK)
Fair Value Disclosures [Abstract]Period [Axis]
2016-01-01 - 2016-12-31
Fair Value Disclosures [Abstract]
 
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:
 
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

Derivative assets
28,534

 
—

 
28,534

 
—

Total assets carried at fair value
$
3,240,618

 
$
—

 
$
3,229,691

 
$
10,927

Liabilities:
 

 
 

 
 

 
 

Derivative liabilities
$
6,922

 
$
—

 
$
6,922

 
$
—

Total liabilities carried at fair value
$
6,922

 
$
—

 
$
6,922

 
$
—

 
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 quantitative 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 December 31, 2016:
 
Unobservable Inputs
 
Prepayment Speed
 
Default Rate
 
Severity
 
Discount Rate
Non-Agency CMBS (1)
0 CPY
 
—

 
—

 
9.8
%
Non-Agency RMBS
10 CPR
 
1.0
%
 
20.0
%
 
6.3
%
(1)
As of December 31, 2016, there are too few loans collateralizing our non-Agency CMBS to reasonably apply average prepayment speed, average default rate, or average severity. The loans were individually evaluated for prepayment and default in projecting the cash flows. Based on that review, the loans are expected to pay as scheduled.

  
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 included in OCI (1)
(1,055
)
 
(2
)
 
(1,057
)
Principal payments
(5,747
)
 
(272
)
 
(6,019
)
Accretion
1,568

 
—

 
1,568

Balance as of December 31, 2016
$
9,669

 
$
1,258

 
$
10,927

  
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:
 
December 31, 2016
 
December 31, 2015
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets:
 
 
 
 
 
 
 
Mortgage-backed securities
$
3,212,084

 
$
3,212,084

 
$
3,493,701

 
$
3,493,701

Mortgage loans held for investment, net(1)
19,036

 
15,971

 
24,145

 
20,849

Investment in FHLB stock
9

 
9

 
11,475

 
11,475

Derivative assets
28,534

 
28,534

 
7,835

 
7,835

Liabilities:
 

 
 

 
 

 
 

Repurchase agreements (2)
$
2,898,952

 
$
2,898,952

 
$
2,589,420

 
$
2,589,420

FHLB advances (2)
—

 
—

 
520,000

 
520,000

Non-recourse collateralized financing (1)
6,440

 
6,357

 
8,442

 
8,102

Derivative liabilities
6,922

 
6,922

 
41,205

 
41,205