Document_And_Entity_Informatio
Document And Entity Information | 3 Months Ended | |
Mar. 31, 2014 | 5-May-14 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Trading Symbol | 'MITT | ' |
Entity Common Stock, Shares Outstanding | ' | 28,382,759 |
Entity Registrant Name | 'AG Mortgage Investment Trust, Inc. | ' |
Entity Central Index Key | '0001514281 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Accelerated Filer | ' |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Assets | ' | ' |
Commercial loans, at fair value | $10,000,000 | $0 |
Investment in affiliates | 28,067,897 | 16,411,314 |
Linked transactions, net, at fair value | 41,947,972 | 49,501,897 |
Cash and cash equivalents | 33,252,973 | 86,190,011 |
Restricted cash | 13,540,675 | 3,575,006 |
Interest receivable | 12,307,477 | 12,018,919 |
Receivable on unsettled trades - $150,661,777 and $0 pledged as collateral, respectively | 152,509,963 | 0 |
Receivable under reverse repurchase agreements | 43,318,750 | 27,475,000 |
Derivative assets, at fair value | 35,633,143 | 55,060,075 |
Other assets | 6,310,847 | 1,246,842 |
Due from broker | 1,038,131 | 1,410,720 |
Total Assets | 3,891,449,748 | 3,684,706,374 |
Liabilities | ' | ' |
Repurchase agreements | 3,069,177,400 | 2,891,634,416 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 42,866,016 | 27,477,188 |
Payable on unsettled trades | 14,121,585 | 0 |
Interest payable | 2,695,609 | 3,839,045 |
Derivative liabilities, at fair value | 3,165,510 | 2,206,289 |
Dividend payable | 17,024,351 | 17,020,893 |
Due to affiliates | 4,161,526 | 4,645,297 |
Accrued expenses | 1,779,814 | 1,395,183 |
Taxes payable | 618,516 | 1,490,329 |
Due to broker | 20,487,000 | 30,567,000 |
Total Liabilities | 3,176,097,327 | 2,980,275,640 |
Stockholders' Equity | ' | ' |
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,371,419 and 28,365,655 shares issued and outstanding at March 31, 2014 and December 31, 2013, respectively | 283,715 | 283,657 |
Additional paid-in capital | 585,746,580 | 585,619,488 |
Retained earnings (deficit) | -31,891,879 | -42,686,416 |
Total Stockholders Equity | 715,352,421 | 704,430,734 |
Total Liabilities & Stockholders' Equity | 3,891,449,748 | 3,684,706,374 |
Residential Mortgage [Member] | ' | ' |
Assets | ' | ' |
Residential mortgage loans, at fair value - $29,933,511 and $0 pledged as collateral, respectively | 34,939,773 | 0 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ' | ' |
Stockholders' Equity | ' | ' |
Preferred stock - $0.01 par value; 50,000,000 shares authorized | 49,920,772 | 49,920,772 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ' | ' |
Stockholders' Equity | ' | ' |
Preferred stock - $0.01 par value; 50,000,000 shares authorized | 111,293,233 | 111,293,233 |
Agency [Member] | ' | ' |
Assets | ' | ' |
Real estate securities, at fair value: | 2,333,030,741 | 2,423,002,768 |
Non-Agency [Member] | ' | ' |
Assets | ' | ' |
Real estate securities, at fair value: | 980,339,355 | 844,217,568 |
ABS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities, at fair value: | 73,661,029 | 71,344,784 |
CMBS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities, at fair value: | $91,551,022 | $93,251,470 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets [Parenthetical] (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Loans Pledged as Collateral (in dollars) | $150,661,777 | $0 |
Preferred Stock, par value (in dollars per share) | $0.01 | $0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $0.01 | $0.01 |
Common stock, shares authorized | 450,000,000 | 450,000,000 |
Common stock, shares issued | 28,371,419 | 28,365,655 |
Common stock, shares outstanding | 28,371,419 | 28,365,655 |
Residential mortgage loans [Member] | ' | ' |
Loans Pledged as Collateral (in dollars) | 29,933,511 | 0 |
Agency [Member] | ' | ' |
Real estate securities, at fair value, pledged as collateral (in dollars) | 2,167,030,159 | 2,242,322,869 |
Non-Agency [Member] | ' | ' |
Real estate securities, at fair value, pledged as collateral (in dollars) | 966,254,585 | 844,217,568 |
ABS [Member] | ' | ' |
Real estate securities, at fair value, pledged as collateral (in dollars) | 73,661,029 | 71,344,784 |
CMBS [Member] | ' | ' |
Real estate securities, at fair value, pledged as collateral (in dollars) | 91,551,022 | 93,251,470 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ' | ' |
Preferred Stock, Shares Issued | 2,070,000 | 2,070,000 |
Preferred Stock, Shares Outstanding | 2,070,000 | 2,070,000 |
Preferred Stock, Liquidation Preference, Value (in dollars) | 51,750,000 | 51,750,000 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ' | ' |
Preferred Stock, Shares Issued | 4,600,000 | 4,600,000 |
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 |
Preferred Stock, Liquidation Preference, Value (in dollars) | $115,000,000 | $115,000,000 |
Consolidated_Statements_Of_Ope
Consolidated Statements Of Operations (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Net Interest Income | ' | ' |
Interest income | $34,142,740 | $38,617,716 |
Interest expense | 6,146,587 | 6,875,962 |
Interest Income (Expense), Net | 27,996,153 | 31,741,754 |
Other Income | ' | ' |
Net realized gain | 416,471 | 5,335,417 |
Income from linked transactions, net | 4,259,130 | 5,838,219 |
Realized loss on periodic interest settlements of interest rate swaps, net | -6,307,857 | -5,272,343 |
Unrealized gain/(loss) on real estate securities and loans, net | 29,367,044 | -17,711,381 |
Unrealized gain/(loss) on derivative and other instruments, net | -19,180,715 | 5,223,241 |
Total other income (loss) | 8,554,073 | -6,586,847 |
Expenses | ' | ' |
Management fee to affiliate | 2,500,525 | 2,859,340 |
Other operating expenses | 2,643,681 | 2,274,370 |
Equity based compensation to affiliate | 81,073 | 114,528 |
Excise tax | 500,000 | 500,000 |
Total expenses | 5,725,279 | 5,748,238 |
Income before provision for income taxes and equity in earnings/(loss) from affiliate | 30,824,947 | 19,406,669 |
Provision for income taxes | 0 | -2,632,269 |
Equity in earnings/(loss) from affiliate | 361,295 | -3,591 |
Net Income | 31,186,242 | 16,770,809 |
Dividends on preferred stock | 3,367,354 | 3,367,354 |
Net Income Available to Common Stockholders | $27,818,888 | $13,403,455 |
Earnings Per Share of Common Stock | ' | ' |
Basic (in dollars per share) | $0.98 | $0.49 |
Diluted (in dollars per share) | $0.98 | $0.49 |
Weighted Average Number of Shares of Common Stock Outstanding | ' | ' |
Basic (in shares) | 28,371,419 | 27,280,531 |
Diluted (in shares) | 28,373,794 | 27,402,305 |
Consolidated_Statements_Of_Sto
Consolidated Statements Of Stockholders' Equity (USD $) | Total | Common Stock [Member] | 8.25% Series A Cumulative Redeemable Preferred Stock [Member] | 8.00% Series B Cumulative Redeemable Preferred Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] |
Balance at Dec. 31, 2012 | $794,621,781 | $269,620 | $49,920,772 | $111,293,233 | $552,067,681 | $81,070,475 |
Balance (in shares) at Dec. 31, 2012 | ' | 26,961,936 | ' | ' | ' | ' |
Net proceeds from issuance of common stock | 14,791,745 | 6,280 | 0 | 0 | 14,785,465 | 0 |
Net proceeds from issuance of common stock (in shares) | ' | 627,996 | ' | ' | ' | ' |
Grant of restricted stock and amortization of equity based compensation | 138,682 | 46 | 0 | 0 | 138,636 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | ' | 4,630 | ' | ' | ' | ' |
Common dividends declared | -21,984,550 | 0 | 0 | 0 | 0 | -21,984,550 |
Preferred Series A dividends declared | -1,067,354 | 0 | 0 | 0 | 0 | -1,067,354 |
Preferred Series B dividends declared | -2,300,000 | 0 | 0 | 0 | 0 | -2,300,000 |
Net income | 16,770,809 | 0 | 0 | 0 | 0 | 16,770,809 |
Balance at Mar. 31, 2013 | 800,971,113 | 275,946 | 49,920,772 | 111,293,233 | 566,991,782 | 72,489,380 |
Balance (in shares) at Mar. 31, 2013 | ' | 27,594,562 | ' | ' | ' | ' |
Balance at Dec. 31, 2013 | 704,430,734 | 283,657 | 49,920,772 | 111,293,233 | 585,619,488 | -42,686,416 |
Balance (in shares) at Dec. 31, 2013 | ' | 28,365,655 | ' | ' | ' | ' |
Grant of restricted stock and amortization of equity based compensation | 127,150 | 58 | 0 | 0 | 127,092 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | ' | 5,764 | ' | ' | ' | ' |
Common dividends declared | -17,024,351 | 0 | 0 | 0 | 0 | -17,024,351 |
Preferred Series A dividends declared | -1,067,354 | 0 | 0 | 0 | 0 | -1,067,354 |
Preferred Series B dividends declared | -2,300,000 | 0 | 0 | 0 | 0 | -2,300,000 |
Net income | 31,186,242 | 0 | 0 | 0 | 0 | 31,186,242 |
Balance at Mar. 31, 2014 | $715,352,421 | $283,715 | $49,920,772 | $111,293,233 | $585,746,580 | ($31,891,879) |
Balance (in shares) at Mar. 31, 2014 | ' | 28,371,419 | ' | ' | ' | ' |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Cash Flows from Operating Activities | ' | ' |
Net income | $31,186,242 | $16,770,809 |
Adjustments to reconcile net income to net cash provided by operating activities: | ' | ' |
Net realized gain | -416,471 | -5,335,417 |
Net amortization of premium related to real estate securities | 2,922,253 | 15,932,405 |
Unrealized losses from equity method investments | 189,786 | 85,729 |
Unrealized (gains)/losses on linked transactions, net | 253,779 | -2,627,577 |
Unrealized (gains)/losses on derivative and other instruments, net | 19,180,715 | -5,223,241 |
Unrealized (gains)/losses on real estate securities and loans, net | -29,367,044 | 17,711,381 |
Equity based compensation to affiliate | 81,073 | 114,528 |
Equity based compensation expense | 50,103 | 40,255 |
Change in operating assets/liabilities: | ' | ' |
Interest receivable | -339,191 | -2,137,987 |
Other assets | -252,628 | 153,731 |
Due from broker | 372,589 | 65,617 |
Interest payable | 856,985 | -1,126,877 |
Due to affiliates | -483,771 | 273,085 |
Accrued expenses | 384,631 | -888,834 |
Due to broker | -871,813 | 0 |
Taxes payable | 0 | 2,632,269 |
Net cash provided by operating activities | 23,747,238 | 36,439,876 |
Cash Flows from Investing Activities | ' | ' |
Purchase of real estate securities | -240,437,084 | -837,247,918 |
Purchase of residential mortgage loans | -35,075,171 | ' |
Purchase of commercial loans | -9,927,833 | -30,017,825 |
Investment in affiliates | -11,358,666 | -7,440,948 |
Purchase of securities underlying linked transactions | -22,064,245 | -138,537,664 |
Proceeds from sale of real estate securities | 29,794,180 | 537,088,261 |
Proceeds from sale of securities underlying linked transactions | 9,678,945 | 0 |
Principal repayments on real estate securities | 79,295,393 | 151,349,556 |
Principal repayments on securities underlying linked transactions | 27,469,319 | 19,418,884 |
Receipt of premium for interest rate swaptions | 433,750 | 0 |
Payment of premium for interest rate swaptions | -300,000 | 0 |
Net payment made on reverse repurchase agreements | -15,844,597 | 0 |
Net proceeds from sales of securities borrowed under reverse repurchase agreements | 14,968,756 | 0 |
Net settlement of interest rate swaps | 652,643 | -788,274 |
Net settlement of TBAs | 0 | -339,258 |
Cash flows from other investing activities | -4,811,377 | 0 |
Restricted cash provided by (used in) investment activities | -11,495,662 | 144,000 |
Net cash used in investing activities | -189,021,649 | -306,371,186 |
Cash Flows from Financing Activities | ' | ' |
Net proceeds from issuance of common stock | 0 | 14,791,745 |
Borrowings under repurchase agreements | 5,267,402,235 | 7,222,663,377 |
Borrowings under repurchase agreements underlying linked transactions | 464,748,879 | 969,747,380 |
Repayments of repurchase agreements | -5,089,859,251 | -7,152,256,219 |
Repayments of repurchase agreements underlying linked transactions | -501,016,236 | -876,895,582 |
Collateral received from (held by) derivative counterparty | -9,509,852 | 3,710,000 |
Collateral received from repurchase counterparty | 959,845 | 1,198,000 |
Dividends paid on common stock | -17,020,893 | -18,540,667 |
Dividends paid on preferred stock | -3,367,354 | -3,367,354 |
Net cash provided by financing activities | 112,337,373 | 161,050,680 |
Net change in cash and cash equivalents | -52,937,038 | -108,880,630 |
Cash and cash equivalents, Beginning of Period | 86,190,011 | 149,594,782 |
Cash and cash equivalents, End of Period | 33,252,973 | 40,714,152 |
Supplemental disclosure of cash flow information: | ' | ' |
Cash paid for interest on repurchase agreements | 7,274,129 | 7,208,672 |
Cash paid for income tax | 1,372,482 | 1,750,187 |
Real estate securities recorded upon unlinking of Linked Transactions | 26,753,471 | 13,192,824 |
Repurchase agreements recorded upon unlinking of Linked Transactions | 21,013,315 | 11,562,000 |
Supplemental disclosure of non-cash financing activities: | ' | ' |
Common stock dividends declared but not paid | $17,024,351 | $21,984,550 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2014 | |
Organization, Consolidation and Presentation Of Financial Statements [Abstract] | ' |
Organization, Consolidation and Presentation Of Financial Statements Disclosure [Text Block] | ' |
1. Organization | |
AG Mortgage Investment Trust, Inc. (the “Company”) was incorporated in the state of Maryland on March 1, 2011. The Company is focused on investing in, acquiring and managing a diversified portfolio of residential mortgage-backed securities, or RMBS, issued or guaranteed by a government-sponsored enterprise such as Fannie Mae or Freddie Mac, or any agency of the U.S. Government such as Ginnie Mae (collectively, “Agency RMBS”), and other real estate-related securities and financial assets, including Non-Agency RMBS, ABS, CMBS and loans (as defined below). | |
Non-Agency RMBS represent fixed-and floating-rate residential RMBS issued by entities or organizations other than a U.S. government-sponsored enterprise or agency of the U.S. government, including investment grade (AAA through BBB) and non investment grade classes (BB and below). The mortgage loan collateral for residential Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities. | |
Asset Backed Securities (“ABS”) are securitized investments similar to the aforementioned investments except the underlying assets are diverse, not only representing real estate related assets. | |
Commercial Mortgage Backed Securities (“CMBS”) represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non investment grade classes (BB and below). CMBS will be secured by, or evidence an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. | |
Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS assets types as “real estate securities”. | |
Commercial loans are secured by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates. Residential mortgage loans refer to performing, re-performing and non-performing loans secured by a first lien mortgage on residential mortgaged property located in any of the 50 states of the United States or in the District of Columbia. The Company refers to its commercial and residential mortgage loans as “mortgage loans” or “loans.” | |
The Company is externally managed by AG REIT Management, LLC (the “Manager”), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. (“Angelo, Gordon”), a privately-held, SEC-registered investment adviser. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo, Gordon the overall responsibility with respect to the Manager’s day-to-day duties and obligations arising under the management agreement. | |
The Company conducts its operations to qualify and be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). | |
The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. | |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 3 Months Ended | ||
Mar. 31, 2014 | |||
Accounting Policies [Abstract] | ' | ||
Significant Accounting Policies [Text Block] | ' | ||
2. Summary of Significant Accounting Policies | |||
The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair presentation for the interim period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. | |||
Cash and cash equivalents | |||
Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. The Company places its cash and cash equivalents with high credit quality institutions to minimize credit risk exposure. Any cash held by the Company as collateral would be included in a due to broker line item on the consolidated balance sheet and in cash flows from financing activities on the consolidated statement of cash flows. | |||
Restricted cash | |||
Restricted cash includes cash pledged as collateral for clearing and executing trades, interest rate swaps and repurchase agreements. Restricted cash is carried at cost, which approximates fair value. | |||
Offering costs | |||
The Company incurred costs in connection with common stock offerings and issuances of preferred stock. The offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings have been accounted for as a reduction of additional paid-in-capital and offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. | |||
Use of estimates | |||
The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. | |||
Earnings per share | |||
In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income per share by dividing net income available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. | |||
Valuation of financial instruments | |||
The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: | |||
• | Level 1 – Quoted prices in active markets for identical assets or liabilities. | ||
• | Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. | ||
• | Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. | ||
Transfers between levels are assumed to occur at the beginning of the reporting period. | |||
Accounting for real estate securities | |||
Investments in real estate securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheet and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
These investments generally meet the requirements to be classified as available for sale under ASC 320-10-25, “Debt and Equity Securities,” which requires the securities to be carried at fair value on the consolidated balance sheet with changes in fair value charged to other comprehensive income, a component of Stockholders’ Equity. Electing the fair value option allows the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |||
The Company evaluates securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” | |||
When an investment security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e. a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the investment security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. For securities accounted for under ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the net realized gain line item on the consolidated statement of operations. | |||
Increases in interest income may be recognized on a security that an OTTI charge was taken, if the performance of such security subsequently improves. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. | |||
Securities in an unrealized loss position at March 31, 2014 are not considered other than temporarily impaired as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. See Note 3 for a summary of OTTI charges recorded. | |||
Sales of securities | |||
Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. | |||
Realized gains or losses on sales of securities and derivatives, inclusive of securities accounted for as a component of linked transactions are included in the net realized gain line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out, or FIFO, basis. Realized gains and losses are recorded in earnings at the time of disposition. | |||
Accounting for mortgage loans | |||
Investments in mortgage loans are recorded in accordance with ASC 310-10. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated and recorded accordingly. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. | |||
When the Company purchases mortgage loans that have shown evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those assets, it will apply the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
On at least a quarterly basis, the Company updates its estimate of the cash flows expected to be collected. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250 with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, are recognized as impairment. | |||
Investment in affiliates | |||
The Company’s unconsolidated ownership interests in affiliates are generally accounted for using the equity method. The underlying entities have chosen to make a fair value election pursuant to ASC 825; as such the Company will treat its investment in affiliates consistently with this election. The investment in affiliates is recorded at fair market value on the consolidated balance sheet and periodic changes in fair market value will be recorded in current period earnings on the consolidated statement of operation as a component of “Equity in earnings/(loss) from affiliate.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. | |||
Investment consolidation | |||
For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company will refer to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company will refer to the guidance in ASC 860-10, “Transfers and Servicing.” | |||
In variable interest entities (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company were to treat securitizations as sales in the future, the Company will analyze the transactions under the guidelines of ASC 810-10 for consolidation. | |||
The Company may periodically enter into transactions in which it sells assets. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. | |||
Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. | |||
From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a “sale” and the loans will be removed from the balance sheet or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheet, depending upon the structure of the securitization transaction. ASC 860-10 is a complex standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a “sale” or a “financing.” | |||
Interest income recognition | |||
Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs,” ASC 320-10, “Investments—Debt and Equity Securities” or ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” as applicable. Total interest income will flow though the interest income line item on the Consolidated Statement of Operations. | |||
On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes such securities. If actual and anticipated cash flows differ from previous estimates, the Company recognizes a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. | |||
Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS and interest only securities). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts, (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. | |||
Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statements of operations. | |||
For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics and use a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. | |||
The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. | |||
Repurchase agreements | |||
The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature. | |||
The Company pledges certain securities or loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed are dependent upon the fair value of the securities or loans pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged assets, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of March 31, 2014 and December 31, 2013, the Company has met all margin call requirements. | |||
In instances where the Company acquires assets through repurchase agreements with the same counterparty from whom the assets were purchased, the Company evaluates such transactions in accordance with ASC 860-10. This standard requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the assets and the related financing on a gross basis on its balance sheet with the corresponding interest income and interest expense in the statements of operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded on the consolidated statement of operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in income. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the real estate asset and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the real estate asset as of the date of unlinking will become the cost basis of the real estate asset. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. | |||
Accounting for derivative financial instruments | |||
The Company may enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of mitigating its interest rate risk. The Company uses interest rate derivative instruments to mitigate interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives and Hedging.” ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of March 31, 2014 and December 31, 2013, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis. | |||
To-be-announced securities | |||
A to-be-announced security (“TBA”) is a futures contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBAs are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery or receipt of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery or receipt of the security will occur (referred to as the “regular-way” exception). Unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” | |||
Short positions in U.S. Treasury securities through reverse repurchase agreements | |||
The Company may sell short U.S. Treasury securities contracts to help mitigate the potential impact of changes in interest rates. The Company may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheet based on the value of the underlying borrowed securities as of the reporting date. The Company establishes haircuts to ensure the market value of the underlying assets remains sufficient to protect the Company in the event of default by the counterparty. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “net realized gain,” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on our consolidated statements of operations. | |||
Manager compensation | |||
The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is calculated and earned. For a more detailed discussion on the fees payable under the management agreement, see Note 10. | |||
Income taxes | |||
The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. | |||
The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income as opposed to net income reported under GAAP in the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not financial accounting principles. | |||
The Company has elected to treat certain entities including AG MIT II, LLC, AG MITT RMAT 2013, LLC, AG MITT RMAT 2013 II, LLC and AG MIT International LLC as taxable REIT subsidiaries (“TRSs”) and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. | |||
While a domestic TRS will generate net income, a domestic TRS can declare dividends to the Company which will be included in the Company’s taxable income and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. | |||
AG MIT International LLC is domiciled in Anguilla and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. | |||
The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes. | |||
As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a nondeductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. | |||
The Company evaluates uncertain income tax positions, if any, in accordance with ASC Topic 740, “Income Taxes”. The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 9 for further details. | |||
Stock-based compensation | |||
The Company applies the provisions of ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued. | |||
Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Compensation cost related to restricted common shares issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares granted to the Manager. | |||
Recent accounting pronouncements | |||
In April 2014, the FASB issued ASU 2014-08, “Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity” (“ASU 2014-08”). ASU 2014-08 changes the criteria for determining which disposals can be presented as discontinued operations and modifies related disclosure requirements. Under the new guidance, a discontinued operation is defined as a disposal of a component or group of components that is disposed of or is classified as held for sale and “represents a strategic shift that has (or will have) a major effect on an entity’s operations and financial results.” The standard states that a strategic shift could include a disposal of (i) a major geographical area of operations, (ii) a major line of business, (iii) a major equity method investment, or (iv) other major parts of an entity. Although “major” is not defined, the standard provides examples of when a disposal qualifies as a discontinued operation. A business or nonprofit activity that upon acquisition qualifies as held for sale will also be a discontinued operation. The standard no longer precludes presentation as a discontinued operation if (i) there are operations and cash flows of the component that have not been eliminated from the reporting entity’s ongoing operations, or (ii) there is significant continuing involvement with a component after its disposal. The standard introduces several new disclosures, including a requirement to present in the statement of cash flows or disclose in a note either (i) total operating and investing cash flows for discontinued operations, or (ii) depreciation, amortization, capital expenditures, and significant operating and investing noncash items related to discontinued operations. An entity must also reclassify the assets and liabilities of a discontinued operation that are classified as held for sale or disposed of in the current period for the comparative periods presented in the statement of financial position. The Company has chosen to early adopt this standard in the current quarter. | |||
Real_Estate_Securities
Real Estate Securities | 3 Months Ended | |||||||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||||||
Real Estate Securities [Abstract] | ' | |||||||||||||||||||||||||||
Mortgage-Backed Securities Disclosure [Text Block] | ' | |||||||||||||||||||||||||||
3. Real Estate Securities | ||||||||||||||||||||||||||||
The following tables present the current principal balance, premium or discount, amortized cost, gross unrealized gain, gross unrealized loss, fair market value, weighted average coupon rate and effective yield of the Company’s real estate securities portfolio at March 31, 2014 and December 31, 2013. The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae or Freddie Mac. The Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and are therefore subject to credit risk. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S government-sponsored enterprise. Real estate securities that are accounted for as a component of linked transactions are not reflected in the tables set forth in this note. See Note 7 for further details. | ||||||||||||||||||||||||||||
The following table details the real estate securities portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | |||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||
15 Year Fixed Rate | $ | 272,447,062 | $ | 7,280,496 | $ | 279,727,558 | $ | 2,901,589 | $ | -11,256 | $ | 282,617,891 | 3.2 | % | 2.55 | % | ||||||||||||
20 Year Fixed Rate | 139,314,748 | 7,004,756 | 146,319,504 | 1,009,426 | -2,070,113 | 145,258,817 | 3.73 | % | 2.86 | % | ||||||||||||||||||
30 Year Fixed Rate | 1,166,383,202 | 66,393,682 | 1,232,776,884 | 1,318,024 | -20,206,331 | 1,213,888,577 | 4.03 | % | 3.25 | % | ||||||||||||||||||
Fixed Rate CMO | 97,000,000 | 995,313 | 97,995,313 | - | -296,913 | 97,698,400 | 3 | % | 2.88 | % | ||||||||||||||||||
ARM | 458,475,998 | -1,236,787 | 457,239,211 | 1,349,896 | -1,062,888 | 457,526,219 | 2.42 | % | 2.83 | % | ||||||||||||||||||
Interest Only | 756,169,856 | -621,724,778 | 134,445,078 | 5,843,842 | -4,248,083 | 136,040,837 | 4.94 | % | 7.33 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||
Non-Agency RMBS | 1,096,949,615 | -137,889,476 | 959,060,139 | 25,633,054 | -4,353,838 | 980,339,355 | 4.06 | % | 5.48 | % | ||||||||||||||||||
ABS | 73,960,807 | -834,763 | 73,126,044 | 614,796 | -79,811 | 73,661,029 | 4 | % | 4.64 | % | ||||||||||||||||||
CMBS | 85,491,967 | -2,924,052 | 82,567,915 | 2,611,986 | -27,137 | 85,152,764 | 4.76 | % | 6.41 | % | ||||||||||||||||||
Interest Only | 52,357,700 | -45,944,422 | 6,413,278 | - | -15,020 | 6,398,258 | 1.85 | % | 5.71 | % | ||||||||||||||||||
Total | $ | 4,198,550,955 | $ | -728,880,031 | $ | 3,469,670,924 | $ | 41,282,613 | $ | -32,371,390 | $ | 3,478,582,147 | 3.93 | % | 4.01 | % | ||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). | ||||||||||||||||||||||||||||
The following table details the real estate securities portfolio as of December 31, 2013: | ||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | |||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||
15 Year Fixed Rate | $ | 435,843,408 | $ | 12,909,886 | $ | 448,753,294 | $ | 1,509,418 | $ | -2,662,880 | $ | 447,599,832 | 3.13 | % | 2.5 | % | ||||||||||||
20 Year Fixed Rate | 142,296,219 | 7,316,644 | 149,612,863 | 610,806 | -3,166,423 | 147,057,246 | 3.73 | % | 2.89 | % | ||||||||||||||||||
30 Year Fixed Rate | 1,191,781,474 | 68,531,950 | 1,260,313,424 | 60,020 | -30,868,697 | 1,229,504,747 | 4.03 | % | 3.28 | % | ||||||||||||||||||
ARM | 466,047,819 | -1,583,428 | 464,464,391 | 187,111 | -2,864,107 | 461,787,395 | 2.43 | % | 2.78 | % | ||||||||||||||||||
Interest Only | 736,263,003 | -601,525,564 | 134,737,439 | 5,083,736 | -2,767,627 | 137,053,548 | 4.92 | % | 6.49 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||
Non-Agency RMBS | 962,852,550 | -132,283,547 | 830,569,003 | 20,615,586 | -6,967,021 | 844,217,568 | 4.19 | % | 5.79 | % | ||||||||||||||||||
ABS | 71,326,847 | -315,657 | 71,011,190 | 333,594 | - | 71,344,784 | 3.82 | % | 4.07 | % | ||||||||||||||||||
CMBS | 88,828,774 | -2,269,882 | 86,558,892 | 1,270,629 | -902,786 | 86,926,735 | 5.16 | % | 6.53 | % | ||||||||||||||||||
Interest Only | 52,357,700 | -45,794,824 | 6,562,876 | - | -238,141 | 6,324,735 | 1.85 | % | 5.71 | % | ||||||||||||||||||
Total | $ | 4,147,597,794 | $ | -695,014,422 | $ | 3,452,583,372 | $ | 29,670,900 | $ | -50,437,682 | $ | 3,431,816,590 | 3.94 | % | 3.94 | % | ||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). | ||||||||||||||||||||||||||||
As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” | ||||||||||||||||||||||||||||
When an investment security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e. a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the investment security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. For securities accounted for under ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the net realized gain line item on the consolidated statement of operations. | ||||||||||||||||||||||||||||
The following table presents the gross unrealized losses, and estimated fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||||||
Less than 12 months | Greater than 12 months | |||||||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||||||||
Losses | Losses | |||||||||||||||||||||||||||
31-Mar-13 | $ | 1,380,045,456 | $ | -22,505,105 | $ | 188,271,916 | $ | -9,866,285 | ||||||||||||||||||||
31-Dec-13 | 2,330,415,740 | -43,557,831 | 112,253,956 | -6,879,851 | ||||||||||||||||||||||||
For the three months ended March 31, 2014 the Company recognized an OTTI charge of $0.6 million, which is included in net realized gain line item on the consolidated statement of operations. The Company recorded the $0.6 million of OTTI due to an adverse change in cash flows on certain securities, where the fair values of the securities were less than their carrying amounts. For the three months ended March 31, 2013, the Company recognized an OTTI charge of $1.1 million, which is included in net realized gain. The Company recorded the $1.1 million of OTTI as a result of an adverse change in cash flows on one security. | ||||||||||||||||||||||||||||
The decline in value of the remaining real estate securities is solely due to market conditions and not the quality of the assets. The investments in unrealized loss positions are not considered other than temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company is not required to sell for regulatory or other reasons. | ||||||||||||||||||||||||||||
All of the principal and interest payments on the Agency RMBS have an explicit guarantee by either an agency of the U.S. government or a U.S. government-sponsored enterprise. | ||||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency Interest-Only (“IO”) and Credit Investments as of March 31, 2014: | ||||||||||||||||||||||||||||
Agency RMBS (1) | Agency IO | Credit Investments (2) | ||||||||||||||||||||||||||
Weighted Average Life (3) | Fair Value | Amortized Cost | Weighted | Fair Value | Amortized | Weighted | Fair Value | Amortized Cost | Weighted | |||||||||||||||||||
Average | Cost | Average | Average | |||||||||||||||||||||||||
Coupon | Coupon | Coupon | ||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | - | $ | - | - | |||||||||||||
Greater than one year and less than or equal to five years | 346,450,124 | 343,353,264 | 3.09 | % | 83,056,233 | 81,931,840 | 4.89 | % | 440,571,472 | 429,360,454 | 3.9 | % | ||||||||||||||||
Greater than five years and less than or equal to ten years | 1,775,308,966 | 1,794,514,157 | 3.58 | % | 52,984,604 | 52,513,238 | 5.04 | % | 613,282,937 | 599,581,305 | 3.89 | % | ||||||||||||||||
Greater than ten years | 75,230,814 | 76,191,049 | 3.91 | % | - | - | - | 91,696,997 | 92,225,617 | 5.37 | % | |||||||||||||||||
Total | $ | 2,196,989,904 | $ | 2,214,058,470 | 3.51 | % | $ | 136,040,837 | $ | 134,445,078 | 4.94 | % | $ | 1,145,551,406 | $ | 1,121,167,376 | 4.02 | % | ||||||||||
(1) For purposes of this table, Agency RMBS held as of March 31, 2014 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year, Fixed Rate CMO and ARM. | ||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments held as of March 31, 2014 represent Non-Agency RMBS, ABS, CMBS and Interest Only. | ||||||||||||||||||||||||||||
(3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | ||||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency IO and Credit Investments as of December 31, 2013: | ||||||||||||||||||||||||||||
Agency RMBS (1) | Agency IO | Credit Investments (2) | ||||||||||||||||||||||||||
Weighted Average Life (3) | Fair Value | Amortized Cost | Weighted | Fair Value | Amortized | Weighted | Fair Value | Amortized Cost | Weighted | |||||||||||||||||||
Average | Cost | Average | Average | |||||||||||||||||||||||||
Coupon | Coupon | Coupon | ||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | 5,406,120 | $ | 4,739,053 | - | $ | 5,227,857 | $ | 5,355,113 | 0.67 | % | ||||||||||||
Greater than one year and less than or equal to five years | 292,921,980 | 292,010,291 | 3.12 | % | 109,110,653 | 107,278,916 | 5.11 | % | 367,316,237 | 359,557,150 | 4.29 | % | ||||||||||||||||
Greater than five years and less than or equal to ten years | 1,514,649,739 | 1,534,246,672 | 3.5 | % | 22,536,775 | 22,719,470 | 4.48 | % | 513,581,646 | 504,612,828 | 3.74 | % | ||||||||||||||||
Greater than ten years | 478,377,501 | 496,887,009 | 3.73 | % | - | - | - | 122,688,082 | 125,176,870 | 5.56 | % | |||||||||||||||||
Total | $ | 2,285,949,220 | $ | 2,323,143,972 | 3.5 | % | $ | 137,053,548 | $ | 134,737,439 | 4.92 | % | $ | 1,008,813,822 | $ | 994,701,961 | 4.14 | % | ||||||||||
(1) For purposes of this table, Agency RMBS held as of December 31, 2013 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year and ARM. | ||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments held as of December 31, 2013 represent Non-Agency RMBS, ABS, CMBS and Interest Only. | ||||||||||||||||||||||||||||
(2) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | ||||||||||||||||||||||||||||
During the three months ended March 31, 2014, the Company sold 3 securities for total proceeds of $29.8 million, with an additional $152.5 million of proceeds on 7 unsettled security sales as of quarter end, recording realized gains of $0.7 million and realized losses of $0.7 million, respectively. | ||||||||||||||||||||||||||||
During the three months ended March 31, 2013, the Company sold 20 securities for total proceeds of $537.1 million, with an additional $125.0 million of proceeds on one unsettled security sale as of quarter end, recording realized gains of $8.2 million and realized losses of $3.6 million, inclusive of related tax provisions. | ||||||||||||||||||||||||||||
See Notes 4 and 7 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. | ||||||||||||||||||||||||||||
During the three months ended March 31, 2014, the Company invested in credit sensitive commercial real estate assets through affiliated entities, and applies the equity method of accounting for such investments. As of March 31, 2014, the investments have a fair market value of $28.0 million and a weighted average yield of 11.93%. The Company has presented these investments separately on the consolidated balance sheet as part of the “Investment in affiliates” line item, and statement of operations as a component of “Equity in earnings/(loss) from affiliate.” | ||||||||||||||||||||||||||||
Loans
Loans | 3 Months Ended | |||||||||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||||||||
Receivables [Abstract] | ' | |||||||||||||||||||||||||||||
Financing Receivables [Text Block] | ' | |||||||||||||||||||||||||||||
4. Loans | ||||||||||||||||||||||||||||||
Residential Mortgage Loans | ||||||||||||||||||||||||||||||
During the three months ended March 31, 2014, the Company acquired a residential mortgage loan portfolio with an aggregate unpaid principal balance and cost of $59.0 million and $35.1 million, respectively, which was financed by drawing $19.0 million on its loan repurchase facility. See Note 6 for further detail on the Company’s loan repurchase facility. The Company refers to this loan pool acquisition as Pool A. The $59.0 million of unpaid principal balance represents the contractually required payments receivable on this pool, and the Company expects to collect $52.2 million of cash flows. | ||||||||||||||||||||||||||||||
The table below details certain information regarding the Company’s residential mortgage loan portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||||
Unpaid | Premium | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Principal | ||||||||||||||||||||||||||||||
Balance | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | ||||||||||||||||||||||
Pool A (2) | $ | 59,046,267 | $ | -23,722,567 | $ | 35,323,700 | $ | - | $ | -383,927 | $ | 34,939,773 | 5.05 | % | 8.51 | % | 5.82 | |||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||||||||||||||||||||||||||||||
(2) Pool A is comprised of re-performing and non-performing loans with unpaid principal balances of $33.7 million and $25.3 million, respectively. | ||||||||||||||||||||||||||||||
The Company did not hold any residential mortgage loans as of December 31, 2013. | ||||||||||||||||||||||||||||||
As of March 31, 2014, the mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk in the mortgage loan portfolio: | ||||||||||||||||||||||||||||||
Concentration of Credit Risk | March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% | 95 | % | - | |||||||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | ||||||||||||||||||||||||||||||
Representing 5% or more of fair value: | ||||||||||||||||||||||||||||||
New York | 28 | % | - | |||||||||||||||||||||||||||
Massachusetts | 6 | % | - | |||||||||||||||||||||||||||
New Jersey | 6 | % | - | |||||||||||||||||||||||||||
The Company records interest income on a level-yield basis. The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan. The following is a summary of the changes in the accretable portion of the discount for Pool A for the three months ended March 31, 2014 and March 31, 2013: | ||||||||||||||||||||||||||||||
Three Months Ended | ||||||||||||||||||||||||||||||
March 31, 2014 | March 31, 2013 | |||||||||||||||||||||||||||||
Beginning Balance | $ | - | $ | - | ||||||||||||||||||||||||||
Additions | 17,159,216 | - | ||||||||||||||||||||||||||||
Accretion | -243,898 | - | ||||||||||||||||||||||||||||
Reclassifications from non-accretable difference | - | - | ||||||||||||||||||||||||||||
Disposals | - | - | ||||||||||||||||||||||||||||
Ending Balance | $ | 16,915,318 | $ | - | ||||||||||||||||||||||||||
Commercial Loans | ||||||||||||||||||||||||||||||
The following tables present the current principal balance, premium or discount, amortized cost, gross unrealized gain, gross unrealized loss, fair market value, coupon rate and effective yield of the Company’s commercial loan portfolio at March 31, 2014. The Company did not hold any commercial loans as of December 31, 2013. | ||||||||||||||||||||||||||||||
The following table details the Company’s commercial loan portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||||
Premium | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | ||||||||||||||||||||||
Commerical Loans | $ | 10,000,000 | $ | -72,167 | $ | 9,927,833 | $ | 72,167 | $ | - | $ | 10,000,000 | 12.5 | % | 14.94 | % | 2.37 | |||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||||||||||||||||||||||||||||||
During the year ended December 31, 2013, the Company received $37.0 million of proceeds from sale and pay-off of certain commercial loans, recording realized gains of $0.1 million and realized losses of $0.2 million. The Company did not have any commercial loan sales during the three months ended March 31, 2014. | ||||||||||||||||||||||||||||||
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | ||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||
Fair Value Disclosures [Text Block] | ' | ||||||||||||||||||||||
5. Fair Value Measurements | |||||||||||||||||||||||
As described in Note 2, the fair value of financial instruments that are recorded at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: | |||||||||||||||||||||||
• | Level 1 – Quoted prices in active markets for identical assets or liabilities. | ||||||||||||||||||||||
• | Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. | ||||||||||||||||||||||
• | Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. | ||||||||||||||||||||||
Values for the Company’s securities, derivatives and loan portfolios are based upon prices obtained from third party pricing services, which are indicative of market activity. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon; maturity date; loan age; reset date; collateral type; periodic and life cap; geography; and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. | |||||||||||||||||||||||
In valuing its derivatives, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company’s derivatives are either subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd Frank Act”). For swaps cleared under the Dodd Frank Act, a Central Clearing Counterparty (“CCP”) now stands between the Company and its over-the-counter derivative counterparties. In order to access clearing, the Company has entered into clearing agreements with FCMs. The Company records its derivative asset and liability positions on a gross basis. | |||||||||||||||||||||||
The fair value of the Company's mortgage loans considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, reperformance rates, loss severity (considering mortgage insurance) and prepayment rates. The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans. Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy. | |||||||||||||||||||||||
The Manager may also engage specialized third party valuation service providers to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio on a periodic basis. These specialized third party valuation service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. | |||||||||||||||||||||||
The securities underlying the Company’s linked transactions are valued using similar techniques to those used for the Company’s securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. | |||||||||||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2014: | |||||||||||||||||||||||
Fair Value at March 31, 2014 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 Year Fixed Rate | $ | - | $ | 282,617,891 | $ | - | $ | 282,617,891 | |||||||||||||||
20 Year Fixed Rate | - | 145,258,817 | - | 145,258,817 | |||||||||||||||||||
30 Year Fixed Rate | - | 1,213,888,577 | - | 1,213,888,577 | |||||||||||||||||||
Fixed Rate CMO | - | 97,698,400 | - | 97,698,400 | |||||||||||||||||||
ARM | - | 457,526,219 | - | 457,526,219 | |||||||||||||||||||
Interest Only | - | 136,040,837 | - | 136,040,837 | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||
Non-Agency RMBS | - | 599,094,406 | 381,244,949 | 980,339,355 | |||||||||||||||||||
ABS | - | - | 73,661,029 | 73,661,029 | |||||||||||||||||||
CMBS | - | 47,227,819 | 37,924,945 | 85,152,764 | |||||||||||||||||||
Interest Only | - | - | 6,398,258 | 6,398,258 | |||||||||||||||||||
Residential mortgage loans | - | - | 34,939,773 | 34,939,773 | |||||||||||||||||||
Commercial loans | - | - | 10,000,000 | 10,000,000 | |||||||||||||||||||
Linked transactions | - | 32,036,913 | 9,911,059 | 41,947,972 | |||||||||||||||||||
Derivative assets | - | 35,633,143 | - | 35,633,143 | |||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 3,047,023,022 | $ | 554,080,013 | $ | 3,601,103,035 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Obligation to return securities borrowed under reverse repurchase agreements | $ | -42,866,016 | $ | - | $ | - | $ | -42,866,016 | |||||||||||||||
Derivative liabilities | - | -3,165,510 | - | -3,165,510 | |||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -42,866,016 | $ | -3,165,510 | $ | - | $ | -46,031,526 | |||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2013. | |||||||||||||||||||||||
Fair Value at December 31, 2013 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 Year Fixed Rate | $ | - | $ | 447,599,832 | $ | - | $ | 447,599,832 | |||||||||||||||
20 Year Fixed Rate | - | 147,057,246 | - | 147,057,246 | |||||||||||||||||||
30 Year Fixed Rate | - | 1,229,504,747 | - | 1,229,504,747 | |||||||||||||||||||
ARM | - | 461,787,395 | - | 461,787,395 | |||||||||||||||||||
Interest Only | - | 137,053,548 | - | 137,053,548 | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||
Non-Agency RMBS | - | 534,377,006 | 309,840,562 | 844,217,568 | |||||||||||||||||||
ABS | - | - | 71,344,784 | 71,344,784 | |||||||||||||||||||
CMBS | - | 62,954,692 | 23,972,043 | 86,926,735 | |||||||||||||||||||
Interest Only | - | - | 6,324,735 | 6,324,735 | |||||||||||||||||||
Commercial loans | - | - | - | - | |||||||||||||||||||
Linked transactions | - | 34,778,728 | 14,723,169 | 49,501,897 | |||||||||||||||||||
Derivative assets | - | 55,060,075 | - | 55,060,075 | |||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 3,110,173,269 | $ | 426,205,293 | $ | 3,536,378,562 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Obligation to return securities borrowed under reverse repurchase agreements | $ | -27,477,188 | $ | - | $ | - | $ | -27,477,188 | |||||||||||||||
Derivative liabilities | - | -2,206,289 | - | -2,206,289 | |||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -27,477,188 | $ | -2,206,289 | $ | - | $ | -29,683,477 | |||||||||||||||
The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2014 and March 31, 2013. | |||||||||||||||||||||||
The following tables present additional information about the Company’s investments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||
Non-Agency | ABS | CMBS | Interest Only | Residential | Commercial | Linked | |||||||||||||||||
RMBS | Mortgage Loans | Loans | Transactions | ||||||||||||||||||||
Beginning balance | $ | 309,840,562 | $ | 71,344,784 | $ | 23,972,043 | $ | 6,324,735 | $ | - | $ | - | $ | 14,723,169 | |||||||||
Transfers (1): | |||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | - | ||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | - | ||||||||||||||||
Purchases | 75,858,929 | 3,022,000 | - | - | 35,075,171 | 9,927,833 | 1,640,500 | ||||||||||||||||
Reclassification of security type (2) | 7,507,855 | 6,562,500 | 12,683,116 | - | - | - | -5,740,156 | ||||||||||||||||
Proceeds from sales | -10,779,244 | - | - | - | - | - | - | ||||||||||||||||
Proceeds from settlement | -4,119,236 | -7,566,041 | -206,807 | - | - | - | -1,140,885 | ||||||||||||||||
Total net gains/(losses) (3) | |||||||||||||||||||||||
Included in net income | 2,936,083 | 297,786 | 1,476,593 | 73,523 | -135,398 | 72,167 | 428,431 | ||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | - | ||||||||||||||||
Ending Balance | $ | 381,244,949 | $ | 73,661,029 | $ | 37,924,945 | $ | 6,398,258 | $ | 34,939,773 | $ | 10,000,000 | $ | 9,911,059 | |||||||||
Change in unrealized appreciation/depreciation for level 3 assets still held as of March 31, 2014 (4) | $ | 2,972,279 | $ | 297,786 | $ | 1,476,593 | $ | 73,523 | $ | -135,398 | $ | 72,167 | $ | 372,793 | |||||||||
(1) Transfers are assumed to occur at the beginning of the period. | |||||||||||||||||||||||
(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link. | |||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 428,431 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,989,665 | ||||||||||||||||||||||
Net realized gain | -268,911 | ||||||||||||||||||||||
Total | $ | 5,149,185 | |||||||||||||||||||||
(4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 372,793 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,756,950 | ||||||||||||||||||||||
Total | $ | 5,129,743 | |||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||
31-Mar-13 | |||||||||||||||||||||||
Non-Agency | ABS | CMBS | Interest Only | Commercial | Linked | ||||||||||||||||||
RMBS | Loans | Transactions | |||||||||||||||||||||
Beginning balance | $ | 255,043,557 | $ | 33,937,097 | $ | 34,066,710 | $ | - | $ | - | $ | 6,425,683 | |||||||||||
Transfers (1): | |||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | |||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | |||||||||||||||||
Purchases | 22,854,307 | 27,993,404 | - | 7,048,720 | 30,017,825 | 2,658,169 | |||||||||||||||||
Reclassification of security type (2) | - | - | - | - | - | - | |||||||||||||||||
Proceeds from sales | -88,968,242 | -28,086,094 | - | - | - | - | |||||||||||||||||
Proceeds from settlement | -3,056,564 | -15,345,928 | -58,631 | - | - | -1,201,543 | |||||||||||||||||
Total net gains/ (losses) (3) | |||||||||||||||||||||||
Included in net income | 6,516,109 | -7,932 | 338,441 | -142,490 | -17,825 | 261,366 | |||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | |||||||||||||||||
Ending Balance | $ | 192,389,167 | $ | 18,490,547 | $ | 34,346,520 | $ | 6,906,230 | $ | 30,000,000 | $ | 8,143,675 | |||||||||||
Change in unrealized appreciation/depreciation for level 3 assets still held as of March 31, 2013 (4) | $ | 2,733,774 | $ | 84,376 | $ | 338,441 | $ | -142,490 | $ | -17,825 | $ | 261,366 | |||||||||||
(1) Transfers are assumed to occur at the beginning of the period. | |||||||||||||||||||||||
(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occuring which breaks the link. | |||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 261,366 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 2,265,711 | ||||||||||||||||||||||
Interest income | 542,084 | ||||||||||||||||||||||
Net realized gain | 3,878,508 | ||||||||||||||||||||||
Total | $ | 6,947,669 | |||||||||||||||||||||
(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 261,366 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 2,454,192 | ||||||||||||||||||||||
Interest income | 542,084 | ||||||||||||||||||||||
Total | $ | 3,257,642 | |||||||||||||||||||||
The Company did not have any transfers of assets or liabilities in or out of Level 3 of the fair value hierarchy during the three months ended March 31, 2014 and March 31, 2013. | |||||||||||||||||||||||
The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | |||||||||||||||||||
March 31, 2014 | (Weighted Average) | ||||||||||||||||||||||
Yield | 3.22% - 8.15% (4.83%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (5.34%) | ||||||||||||||||||||||
Non Agency RMBS | $ | 381,244,949 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 30.00% (6.78%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (55.70%) | ||||||||||||||||||||||
ABS | $ | 73,661,029 | Discounted Cash Flow | Yield | 3.72% - 8.67% (4.64%) | ||||||||||||||||||
Yield | 4.88% - 6.21% (5.49%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
CMBS | $ | 37,924,945 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Yield | 5.70% - 5.72% (5.71%) | ||||||||||||||||||||||
Interest Only | $ | 6,398,258 | Discounted Cash Flow | Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | ||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Residential Mortgage Loans | $ | 34,939,773 | Market Comparable | Yield | 8.51% - 8.51% (8.51%) | ||||||||||||||||||
Commercial Loans | $ | 10,000,000 | Market Comparable | Yield | 14.94% - 14.94% (14.94%) | ||||||||||||||||||
Yield | 3.85% - 9.01% (4.66%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 4.00% - 12.00% (8.31%) | ||||||||||||||||||||||
Linked Transactions* | $ | 9,911,059 | Discounted Cash Flow | Projected Collateral Losses | 5.00% - 18.00% (12.68%) | ||||||||||||||||||
Projected Collateral Severities | 30.00% - 70.00% (45.15%) | ||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS. | |||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | |||||||||||||||||||
December 31, 2013 | (Weighted Average) | ||||||||||||||||||||||
Yield | 3.35% - 13.99% (5.13%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (3.51%) | ||||||||||||||||||||||
Non Agency RMBS | $ | 309,840,562 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 30.00% (7.93%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (60.40%) | ||||||||||||||||||||||
ABS | $ | 71,344,784 | Discounted Cash Flow | Yield | 3.78% - 5.39% (4.07%) | ||||||||||||||||||
Yield | 4.88% - 5.75% (5.51%) | ||||||||||||||||||||||
CMBS | $ | 23,972,043 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | ||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Interest Only | $ | 6,324,735 | Discounted Cash Flow | Yield | 5.70% - 5.72% (5.71%) | ||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | ||||||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Linked Transactions* | $ | 14,723,169 | Discounted Cash Flow | Yield | 3.85% - 9.01% (4.71%) | ||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (2.43%) | ||||||||||||||||||||||
Projected Collateral Losses | 0.00% - 30.00% (12.83%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (41.37%) | ||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments. | |||||||||||||||||||||||
As further described above, values for the Company’s securities portfolio are based upon prices obtained from third party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and CMBS investments classified as a component of Linked Transactions are prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. | |||||||||||||||||||||||
Also as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, specialized third party valuation service providers, or model-based pricing. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon; maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. These valuations also require significant judgments, which include assumptions regarding capitalization rates, reperformance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders and other factors deemed necessary by management. Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. | |||||||||||||||||||||||
Repurchase_Agreements
Repurchase Agreements | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Disclosure Of Repurchase Agreements [Abstract] | ' | |||||||||||||||||||
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | ' | |||||||||||||||||||
6. Repurchase Agreements | ||||||||||||||||||||
The Company pledges certain real estate securities and loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature. The Company maintains the beneficial interest in the specific assets pledged during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. In response to declines in fair value of pledged assets due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. | ||||||||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of March 31, 2014: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted | Weighted Average | |||||||||||||||||
Average Rate | Haircut | |||||||||||||||||||
30 days or less | $ | 1,850,181,064 | 0.79 | % | 10.45 | % | ||||||||||||||
31-60 days | 699,707,714 | 0.61 | % | 7.37 | % | |||||||||||||||
61-90 days | 258,749,660 | 0.49 | % | 5.83 | % | |||||||||||||||
Greater than 90 days | 241,500,000 | 1.56 | % | 13.68 | % | |||||||||||||||
Total / Weighted Average | $ | 3,050,138,438 | 0.78 | % | 9.61 | % | ||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2013: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted | Weighted Average | |||||||||||||||||
Average Rate | Haircut | |||||||||||||||||||
30 days or less | $ | 1,357,768,314 | 0.85 | % | 7.97 | % | ||||||||||||||
31-60 days | 903,866,190 | 0.54 | % | 4.46 | % | |||||||||||||||
61-90 days | 250,387,000 | 0.49 | % | 5.65 | % | |||||||||||||||
Greater than 90 days | 379,612,912 | 1.53 | % | 16.37 | % | |||||||||||||||
Total / Weighted Average | $ | 2,891,634,416 | 0.81 | % | 7.77 | % | ||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by residential mortgage loans as of March 31, 2014: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | ||||||||||||||||
Repurchase Rate | Funding Cost | Average Haircut | ||||||||||||||||||
30 days or less | $ | - | - | - | - | |||||||||||||||
31-60 days | - | - | - | - | ||||||||||||||||
61-90 days | - | - | - | - | ||||||||||||||||
Greater than 90 days | 19,038,962 | 3.25 | % | 3.6 | % | 37.66 | % | |||||||||||||
Total / Weighted Average | $ | 19,038,962 | 3.25 | % | 3.6 | % | 37.66 | % | ||||||||||||
The Company did not hold any residential mortgage loans or related repurchase agreements as of December 31, 2013. | ||||||||||||||||||||
Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls. The following table presents information with respect to the Company’s posting of collateral at March 31, 2014 and December 31, 2013: | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Repurchase agreements secured by Agency RMBS | $ | 2,171,778,100 | $ | 2,104,691,819 | ||||||||||||||||
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 2,310,785,213 | 2,235,331,133 | ||||||||||||||||||
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 878,360,338 | 786,942,597 | ||||||||||||||||||
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,131,466,636 | 1,008,813,822 | ||||||||||||||||||
Repurchase agreements secured by Residential Mortgage Loans | 19,038,962 | - | ||||||||||||||||||
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 29,933,511 | - | ||||||||||||||||||
Fair Value of Other Assets pledged | 607,785 | - | ||||||||||||||||||
Cash pledged (i.e., restricted cash) under repurchase agreements | 2,202 | 962,047 | ||||||||||||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the statement of financial position as of March 31, 2014: | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Statement of Financial Position | ||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | ||||||||||||||
Recognized | in the Statement of | Presented in the Statement of | Instruments | Posted | ||||||||||||||||
Liabilities | Financial Position | Financial Position | Posted | |||||||||||||||||
Repurchase Agreements | $ | 3,069,177,400 | $ | - | $ | 3,069,177,400 | $ | 3,069,177,400 | $ | - | $ | - | ||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the statement of financial position as of December 31, 2013: | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Statement of Financial Position | ||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | ||||||||||||||
Recognized | in the Statement of | Presented in the Statement of | Instruments | Posted | ||||||||||||||||
Liabilities | Financial Position | Financial Position | Posted | |||||||||||||||||
Repurchase Agreements | $ | 2,891,634,416 | $ | - | $ | 2,891,634,416 | $ | 2,891,634,416 | $ | - | $ | - | ||||||||
The Company seeks to transact with several different counterparties in order to reduce the exposure to any single counterparty. The Company has entered into master repurchase agreements (“MRAs”) with 30 counterparties, under which it had outstanding debt with 23 and 24 counterparties at March 31, 2014 and December 31, 2013, respectively, on a GAAP basis. | ||||||||||||||||||||
At March 31, 2014 the following table reflects amounts at risk under its repurchase agreements greater than 5% of the Company’s equity with any counterparty, excluding linked transactions. | ||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | |||||||||||||||||
Maturity (days) | Stockholders' Equity | |||||||||||||||||||
Credit Suisse | $ | 75,150,875 | 41 | 10.5 | % | |||||||||||||||
Wells Fargo Bank, N.A | 49,862,056 | 115 | 7.1 | % | ||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith | 49,250,652 | 35 | 6.9 | % | ||||||||||||||||
Royal Bank of Scotland | 46,048,400 | 142 | 6.4 | % | ||||||||||||||||
JP Morgan | 39,835,254 | 313 | 5.6 | % | ||||||||||||||||
In addition to the amounts at risk in the table above, at March 31, 2014, the Company had repurchase agreements with Credit Suisse, Royal Bank of Scotland and JP Morgan determined to be linked. The amounts at risk including linked transactions are $82.1 million, $54.1 million and $41.2 million, respectively, with weighted average maturities of 41, 147 and 309 days, respectively, representing approximately 11.5%, 7.6% and 5.8% of stockholders’ equity, respectively. | ||||||||||||||||||||
At December 31, 2013, the following table reflects amounts at risk under the Company’s repurchase agreements greater than 5% of its equity with any counterparty, excluding linked transactions. | ||||||||||||||||||||
Counterparty | Amount at Risk | Weighted | Percentage of | |||||||||||||||||
Average | Stockholders' Equity | |||||||||||||||||||
Maturity (days) | ||||||||||||||||||||
Credit Suisse | $ | 62,749,069 | 35 | 8.9 | % | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith | 51,047,394 | 34 | 7.2 | % | ||||||||||||||||
Wells Fargo Bank, N.A | 39,399,377 | 101 | 5.6 | % | ||||||||||||||||
In addition to the amount at risk in the table above, at December 31, 2013, the Company had repurchase agreements with Credit Suisse determined to be linked. The amount at risk including linked transactions to Credit Suisse is $ 72.1 million, with a weighted average maturity of 30 days, representing approximately 10.2 % of stockholders’ equity. | ||||||||||||||||||||
In April 2014, the Company, AG MIT LLC and AG MIT CMO, LLC, each a direct, wholly-owned subsidiary of the Company, entered into a Second Amended and Restated Master Repurchase and Securities Contract (the “Second Renewal Agreement”) with Wells Fargo Bank, National Association to finance AG MIT’s or AG MIT CMO’s acquisition of certain consumer asset-backed securities and commercial mortgage-backed securities as well as residential, non-Agency Securities. The Second Renewal Agreement amended similar repurchase agreements entered into by the Company and AG MIT with Wells Fargo Bank, National Association, in 2012 and 2013. Each transaction under the Second Renewal Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The Second Renewal Agreement increased the aggregate maximum borrowing capacity to $165 million, and extended the maturity date to April 13, 2015. It contains representations, warranties, covenants, events of default and indemnities that are substantially identical to those in the previous repurchase agreements and are customary for agreements of this type. The Second Renewal Agreement also contains amended financial covenants that require, as of the last business day of each quarter and on any funding date, the Company to maintain (i) its Total Indebtedness to its Adjusted Tangible Net Worth (as such terms are defined in the Second Renewal Agreement) at a ratio less than the Leverage Ratio; (ii) an Adjusted Tangible Net Worth of not less than $430 million; and (iii) at all times, liquidity of not less than $30 million and unrestricted cash of not less than $5 million. As of March 31, 2014, the Company had $106.5 million of debt outstanding under this facility. | ||||||||||||||||||||
On February 18, 2014, AG MIT WFB1 2014 LLC, (“AG MIT WFB1”), a direct, wholly-owned subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract, dated as of February 11, 2014 and effective as of February 18, 2014, (the “WFB1 Repurchase Agreement”) with Wells Fargo Bank, National Association, (“Wells Fargo”) to finance the acquisition of certain beneficial interests in trusts owning participation interests in one or more pools of residential mortgage loans. Each transaction under the WFB1 Repurchase Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The WFB1 Repurchase Agreement provides for a funding period ending February 10, 2015 and a facility termination date of February 9, 2016. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $100 million. At the request of the Company, Wells Fargo may grant a one year extension of the facility termination date. As of March 31, 2014, the Company had $19.0 million of debt outstanding under the WFB1 Repurchase Agreement. | ||||||||||||||||||||
The WFB1 Repurchase Agreement contains representations, warranties, covenants, events of default and indemnities that are customary for agreements of this type. The WFB1 Repurchase Agreement also contains financial covenants that require, as of the last business day of each quarter and on any funding date, the Company and AG MIT WFB1 to maintain (i) their Total Indebtedness to their Adjusted Tangible Net Worth at a ratio less than the Leverage Ratio; (ii) an Adjusted Tangible Net Worth of not less than $ 430 million; and (iii) at all times, Liquidity of not less than $ 30 million and unrestricted cash of not less than $ 5 million. | ||||||||||||||||||||
The Company’s master repurchase agreements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each MRA, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios. | ||||||||||||||||||||
As discussed in Note 2, for any transactions determined to be linked, the initial transfer and repurchase financing will be recorded as a forward commitment to purchase assets. At March 31, 2014 and December 31, 2013, the Company had repurchase agreements of $186.6 million and $222.8 million, respectively, that were accounted for as linked. These linked repurchase agreements are not included in the above tables. See Note 7 for details. | ||||||||||||||||||||
Derivatives
Derivatives | 3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||||||||||||||||
Derivatives [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
7. Derivatives | |||||||||||||||||||||||||||||||||||||||||||
The Company's derivatives currently include interest rate swaps (“swaps”), to-be-announced forward contracts on specified Agency pools (“TBAs”), and linked transactions. Derivatives have not been designated as hedging instruments. The Company has also entered into non-derivative instruments to manage interest rate risk, including Agency IO securities and short positions in U.S. Treasury securities. | |||||||||||||||||||||||||||||||||||||||||||
The following table presents the fair value of the Company's derivative instruments and their balance sheet location at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Non-Hedge | Derivative liabilities, at fair value | $ | -2,680,444 | $ | -1,439,688 | |||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Non-Hedge | Derivative assets, at fair value | 34,970,918 | 54,418,115 | |||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Non-Hedge | Derivative liabilities, at fair value | -257,447 | -559,858 | |||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Non-Hedge | Derivative assets, at fair value | 531,750 | 641,960 | |||||||||||||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative liabilities, at fair value | -227,619 | - | |||||||||||||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative assets, at fair value | 118,205 | - | |||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Non-Hedge | Derivative assets, at fair value | 12,270 | - | |||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Non-Hedge | Derivative liabilities, at fair value | - | -206,743 | |||||||||||||||||||||||||||||||||||||||
Linked transactions, at fair value | Non-Hedge | Linked transactions, net, at fair value | 41,947,972 | 49,501,897 | |||||||||||||||||||||||||||||||||||||||
The following table summarizes information related to derivatives: | |||||||||||||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||
Non-hedge derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Notional amount of Interest Rate Swap Agreements (1) | $ | 1,930,000,000 | $ | 2,145,000,000 | |||||||||||||||||||||||||||||||||||||||
Net notional amount of Swaptions | 172,000,000 | 115,000,000 | |||||||||||||||||||||||||||||||||||||||||
Notional amount of Linked Transactions (2) | 246,612,695 | 291,734,071 | |||||||||||||||||||||||||||||||||||||||||
-1 | Includes forward starting swaps with a notional of $100.0 million as of December 31, 2013. | ||||||||||||||||||||||||||||||||||||||||||
-2 | This represents the current face of the securities comprising linked transactions. | ||||||||||||||||||||||||||||||||||||||||||
The following table summarizes gains/(losses) related to derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Three Months Ended | Three Months Ended | ||||||||||||||||||||||||||||||||||||||||||
Statement of Operations Location | March 31, 2014 | March 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Non-hedge derivatives gain (loss): | |||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | $ | -18,463,039 | $ | 5,091,011 | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Net realized gain | 619,643 | -788,274 | ||||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | -119,049 | - | ||||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Net realized gain | 445,000 | - | ||||||||||||||||||||||||||||||||||||||||
TBAs | Unrealized gain/(loss) on derivative and other instruments, net | -109,414 | 132,230 | ||||||||||||||||||||||||||||||||||||||||
TBAs | Net realized gain | - | -339,258 | ||||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | -34,606 | - | ||||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Net realized gain | 129,761 | - | ||||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | 38,774 | - | ||||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Net realized gain | 19,531 | - | ||||||||||||||||||||||||||||||||||||||||
Linked transactions | Income from linked transactions, net | 4,259,130 | 5,838,219 | ||||||||||||||||||||||||||||||||||||||||
Linked transactions | Net realized gain | -132,389 | 339,669 | ||||||||||||||||||||||||||||||||||||||||
Short positions in U.S. Treasurys | Unrealized gain/(loss) on derivative and other instruments, net | -493,381 | - | ||||||||||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative and other instruments eligible for offset in the statement of financial position as of March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||||||||||||
Statement of Financial Position | |||||||||||||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||||||||||||
Recognized Assets | in the Statement of | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||||||||||||
(Liabilities) | Financial Position | Statement of Financial Position | (Posted)/Received | ||||||||||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 228,164,945 | $ | -186,578,959 | $ | 41,585,986 | $ | -41,585,986 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 43,318,750 | $ | - | $ | 43,318,750 | $ | 42,866,016 | $ | - | $ | 452,734 | |||||||||||||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 41,595,895 | $ | - | $ | 41,595,895 | $ | - | $ | 20,477,974 | $ | 21,117,921 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | 531,750 | - | 531,750 | - | - | 531,750 | |||||||||||||||||||||||||||||||||||||
TBAs | 118,205 | - | 118,205 | - | - | 118,205 | |||||||||||||||||||||||||||||||||||||
IO Index | 12,271 | - | 12,271 | - | - | 12,271 | |||||||||||||||||||||||||||||||||||||
Total Derivative Assets | $ | 42,258,121 | $ | - | $ | 42,258,121 | $ | - | $ | 20,477,974 | $ | 21,780,147 | |||||||||||||||||||||||||||||||
Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -1,580,833 | $ | - | $ | -1,580,833 | $ | - | $ | - | $ | -1,580,833 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | -257,447 | - | -257,447 | - | - | -257,447 | |||||||||||||||||||||||||||||||||||||
TBAs | -227,619 | -227,619 | -227,619 | - | - | ||||||||||||||||||||||||||||||||||||||
Total Derivative Liabilities | $ | -2,065,899 | $ | - | $ | -2,065,899 | $ | -227,619 | $ | - | $ | -1,838,280 | |||||||||||||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $228,164,945, repurchase agreements of $186,578,959 and net accrued interest of $361,986 for a total of $41,947,972. | |||||||||||||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $42,258,121 less accrued interest of $(6,624,978) for a total of $35,633,143. | |||||||||||||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(2,065,899) plus accrued interest of $(1,099,611) for a total of $(3,165,510). | |||||||||||||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative instruments eligible for offset in the statement of financial position as of December 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||||||||||||
Statement of Financial Position | |||||||||||||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||||||||||||
Recognized | in the Statement of | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||||||||||||
Assets (Liabilities) | Financial Position | Statement of Financial Position | (Posted) | ||||||||||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 272,261,350 | $ | -222,846,315 | $ | 49,415,035 | $ | -49,415,035 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 27,475,000 | $ | - | $ | 27,475,000 | $ | 27,475,000 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 59,588,167 | $ | - | $ | 59,588,167 | $ | - | $ | 30,567,000 | $ | 29,021,167 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | 641,960 | - | 641,960 | - | - | 641,960 | |||||||||||||||||||||||||||||||||||||
Total Derivative Assets | $ | 60,230,127 | $ | - | $ | 60,230,127 | $ | - | $ | 30,567,000 | $ | 29,663,127 | |||||||||||||||||||||||||||||||
Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -1,110,065 | $ | - | $ | -1,110,065 | $ | - | $ | -1,110,065 | $ | - | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | -559,858 | - | -559,858 | - | - | -559,858 | |||||||||||||||||||||||||||||||||||||
MBS Options | -206,743 | - | -206,743 | - | - | -206,743 | |||||||||||||||||||||||||||||||||||||
Total Derivative Liabilities | $ | -1,876,666 | $ | - | $ | -1,876,666 | $ | - | $ | -1,110,065 | $ | -766,601 | |||||||||||||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $272,261,350, repurchase agreements of $(222,846,315) and net accrued interest of $86,862 for a total of $49,501,897. | |||||||||||||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $60,230,127 less accrued interest of $(5,170,052) for a total of $55,060,075. | |||||||||||||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(1,866,666) less accrued interest of $(329,623) for a total of $(2,206,289). | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||||||||||||||||||||||||
To help mitigate exposure to higher short-term interest rates, the Company uses currently-paying and forward-starting, one- and three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement establishes a relatively stable fixed rate on related borrowings because the variable-rate payments received on the swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. | |||||||||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||||||||||||
2016 | $ | 160,000,000 | 0.85 | % | 0.23 | % | 2.16 | ||||||||||||||||||||||||||||||||||||
2017 | 175,000,000 | 0.98 | % | 0.24 | % | 3.55 | |||||||||||||||||||||||||||||||||||||
2018 | 405,000,000 | 1.17 | % | 0.24 | % | 4.23 | |||||||||||||||||||||||||||||||||||||
2019 | 275,000,000 | 1.29 | % | 0.23 | % | 5.36 | |||||||||||||||||||||||||||||||||||||
2020 | 450,000,000 | 1.62 | % | 0.24 | % | 6 | |||||||||||||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.24 | % | 8.43 | |||||||||||||||||||||||||||||||||||||
2023 | 340,000,000 | 2.49 | % | 0.23 | % | 9.31 | |||||||||||||||||||||||||||||||||||||
2024 | 55,000,000 | 2.75 | % | 0.24 | % | 9.93 | |||||||||||||||||||||||||||||||||||||
2028 | 20,000,000 | 3.47 | % | 0.23 | % | 14.72 | |||||||||||||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,930,000,000 | 1.56 | % | 0.24 | % | 5.84 | ||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of December 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||||||||||||
2016* | $ | 260,000,000 | 0.62 | % | 0.71 | % | 2.63 | ||||||||||||||||||||||||||||||||||||
2017 | 275,000,000 | 1.02 | % | 0.24 | % | 3.83 | |||||||||||||||||||||||||||||||||||||
2018 | 490,000,000 | 1.15 | % | 0.24 | % | 4.43 | |||||||||||||||||||||||||||||||||||||
2019 | 260,000,000 | 1.27 | % | 0.25 | % | 5.64 | |||||||||||||||||||||||||||||||||||||
2020 | 450,000,000 | 1.62 | % | 0.24 | % | 6.25 | |||||||||||||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.24 | % | 8.68 | |||||||||||||||||||||||||||||||||||||
2023 | 340,000,000 | 2.49 | % | 0.24 | % | 9.56 | |||||||||||||||||||||||||||||||||||||
2028 | 20,000,000 | 3.47 | % | 0.25 | % | 14.97 | |||||||||||||||||||||||||||||||||||||
Total/Wtd Avg | $ | 2,145,000,000 | 1.43 | % | 0.3 | % | 5.67 | ||||||||||||||||||||||||||||||||||||
* This figure includes a forward starting swap with a total notional of $100.0 million and a start date of December 23, 2015. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||
TBAs | |||||||||||||||||||||||||||||||||||||||||||
The Company has entered into TBA positions to facilitate the future purchase or sale of specified Agency RMBS. Pursuant to these TBAs, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered or received would not be identified until shortly, generally two days, before the TBA settlement date. The Company records TBA purchases and sales on the trade date and presents the purchase or sale net of the corresponding payable or receivable until the settlement date of the transaction. Contracts for the purchase or sale of specified Agency RMBS are accounted for as derivatives if the delivery of the specified Agency security and settlement extends beyond the shortest period possible for that type of security. | |||||||||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s TBAs for the three months ended March 31, 2014 and March 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Additions | Sale or | Ending Net | Net Fair Value | Net Payable to | Derivative | Derivative | ||||||||||||||||||||||||||||||||||||
Notional | Settlement | Notional | as of Period End | Broker | Asset | Liability | |||||||||||||||||||||||||||||||||||||
Amount | Amount | ||||||||||||||||||||||||||||||||||||||||||
TBAs | $ | - | $ | 147,000,000 | $ | -147,000,000 | $ | - | $ | - | $ | -109,414 | $ | 118,205 | $ | -227,619 | |||||||||||||||||||||||||||
For the Three Months Ended March 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Additions | Sale or | Ending Net | Net Fair Value | Net Payable to | Derivative | Derivative | ||||||||||||||||||||||||||||||||||||
Notional | Settlement | Notional | as of Period End | Broker | Asset | Liability | |||||||||||||||||||||||||||||||||||||
Amount | Amount | ||||||||||||||||||||||||||||||||||||||||||
TBAs | $ | 40,000,000 | $ | 210,000,000 | $ | -210,000,000 | $ | 40,000,000 | $ | 41,139,064 | $ | -41,144,531 | $ | 412,703 | $ | -418,170 | |||||||||||||||||||||||||||
Linked Transactions | |||||||||||||||||||||||||||||||||||||||||||
As discussed in Note 2, when the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another, the transaction will be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument. Changes in market value are recorded together with net interest income in the “Income from linked transactions, net” line item on the consolidated statement of operations. When, or if a transaction is no longer considered linked, the security and related repurchase agreement will be recorded on a gross basis. The fair value of linked transactions reflects the value of the underlying security’s fair market value netted with the respective linked repurchase agreement borrowings and net accrued interest. | |||||||||||||||||||||||||||||||||||||||||||
Certain of the Company’s Linked Transactions became unlinked during the periods presented. For the three months ended March 31, 2014 Non-Agency RMBS, ABS and CMBS with security fair values of $7.5 million, $6.6 million and $12.7 million, respectively, and the related repurchase agreement borrowings of $6.4 million, $4.9 million and $9.7 million, respectively, were unlinked, and the Company recorded net realized losses of $0.2 million, from the unlinking of the Linked Transactions. | |||||||||||||||||||||||||||||||||||||||||||
For the three months ended March 31, 2013 a Non-Agency RMBS with a security fair value of $13.2 million and the related repurchase agreement borrowing of $11.6 million were unlinked. For the three months ended March 31, 2013, the Company had net realized gains of $0.3 million, respectively, from the unlinking of the Linked Transactions. | |||||||||||||||||||||||||||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as a part of linked transactions for the three months ended March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | Repurchase Agreement Data | ||||||||||||||||||||||||||||||||||||||||||
Instrument | Current Face | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted | Weighted | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Average | Average | Agreement | Average | Average | |||||||||||||||||||||||||||||||||
Gain/(Loss) | Statement of | Coupon | Life | Interest | Years to | ||||||||||||||||||||||||||||||||||||||
Operations | Rate | Maturity | |||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 236,612,695 | $ | 211,115,545 | $ | 218,648,145 | 365,615 | $ | 4,368,207 | $ | -377,808 | $ | 35,033 | $ | 4,025,432 | 3.7 | % | 5.76 | $ | 180,103,626 | 1.89 | % | 0.16 | ||||||||||||||||||||
CMBS | 10,000,000 | 9,278,989 | 9,516,800 | -3,629 | 144,702 | 124,029 | -167,422 | 101,309 | 0.4 | % | 1.04 | 6,475,333 | 1.56 | % | 0.06 | ||||||||||||||||||||||||||||
Total | $ | 246,612,695 | $ | 220,394,534 | $ | 228,164,945 | $ | 361,986 | $ | 4,512,909 | $ | -253,779 | $ | -132,389 | $ | 4,126,741 | 3.57 | % | 5.57 | $ | 186,578,959 | 1.88 | % | 0.16 | |||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as a part of linked transactions for the three months ended March 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2013 | Repurchase Agreement Data | ||||||||||||||||||||||||||||||||||||||||||
Instrument | Current | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted | Weighted | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Face | Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Average | Average | Agreement | Average | Average | ||||||||||||||||||||||||||||||||
Gain | Statement of | Coupon | Life | Interest | Years to | ||||||||||||||||||||||||||||||||||||||
Operations | Rate | Maturity | |||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 496,559,104 | $ | 448,887,608 | $ | 459,268,058 | $ | 1,322,686 | $ | 3,052,876 | $ | 2,169,017 | $ | 339,669 | $ | 5,561,562 | 4.93 | % | 5.94 | $ | 360,317,253 | 2 | % | 0.06 | |||||||||||||||||||
CMBS | 18,870,000 | 17,716,566 | 18,104,280 | 37,279 | 157,766 | 458,560 | - | 616,326 | 2.87 | % | 4.75 | 14,878,000 | 1.29 | % | 0.06 | ||||||||||||||||||||||||||||
Total | $ | 515,429,104 | $ | 466,604,174 | $ | 477,372,338 | $ | 1,359,965 | $ | 3,210,642 | $ | 2,627,577 | $ | 339,669 | $ | 6,177,888 | 4.85 | % | 5.9 | $ | 375,195,253 | 1.97 | % | 0.06 | |||||||||||||||||||
At March 31, 2014, the Company had real estate securities with a fair value of $6.9 million pledged as collateral against its derivatives and had $20.5 million of net cash received as collateral against its derivatives. The Company pledged assets accounted for within linked transactions with a fair value of $228.2 million as collateral against the related linked repurchase agreements. | |||||||||||||||||||||||||||||||||||||||||||
At December 31, 2013, the Company had real estate securities with a fair value of $ 7.0 million and $ 2.6 million of cash pledged as collateral against certain derivatives. The Company had $ 30.6 million of cash received as collateral against certain derivatives. The Company pledged assets accounted for within linked transactions with a fair value of $ 272.3 million as collateral against the related linked repurchase agreements. | |||||||||||||||||||||||||||||||||||||||||||
Short positions in U.S. Treasury securities through reverse repurchase agreements | |||||||||||||||||||||||||||||||||||||||||||
The Company has also sold short U.S. Treasury securities contracts to help mitigate the potential impact of changes in interest rates. As of March 31, 2014 and December 31, 2013 the Company had obligations to return U.S. Treasury securities borrowed under reverse repurchase agreements accounted for as securities borrowing transactions with a fair value of $42.9 million and $27.5 million, respectively and a notional amount of $43.0 and $28.0 million, respectively. This liability is presented as “Obligation to return securities borrowed under reverse repurchase agreements, at fair value” on the consolidated balance sheet. As of March 31, 2014 and December 31, 2013, the U.S. Treasury securities had a weighted average maturity of 7.5 years and 6.6 years, respectively. The borrowed securities were collateralized by cash loaned under reverse repurchase agreements of $43.3 million and $27.5 million at March 31, 2014 and December 31, 2013, respectively, which is presented as “Receivable under reverse repurchase agreements” on the consolidated balance sheet. As of March 31, 2014 and December 31, 2013, the reverse repurchase agreements had a weighted average maturity of April 2, 2014 and January 3, 2014, respectively. The Company had no short positions in U.S. Treasury securities as of March 31, 2013. Refer to the table above for detail on realized and unrealized gains and losses recognized for the three months ended March 31, 2014 and March 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||
Earnings_per_Share
Earnings per Share | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Earnings Per Share [Abstract] | ' | |||||||
Earnings Per Share [Text Block] | ' | |||||||
8. Earnings per Share | ||||||||
Basic earnings per share (“EPS”) is calculated by dividing net income/(loss) available to common stockholders for the period by the weighted- average shares of the Company’s common stock outstanding for that period that participate in dividends. Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. | ||||||||
As of March 31, 2014 and March 31, 2013, the Company’s outstanding warrants and unvested shares of restricted common stock were as follows: | ||||||||
March 31, 2014 | March 31, 2013 | |||||||
Warrants | 1,007,500 | 1,207,500 | ||||||
Restricted stock granted to the Manager | 6,710 | 20,126 | ||||||
Restricted stock granted to the independent directors | 2,500 | 4,000 | ||||||
Each warrant entitles the holder to purchase half a share of the Company’s common stock at a fixed price upon exercise of the warrant. During the three months ended March 31, 2014, the Company excluded the effects of such from the computation of diluted earnings per share because their effect would be anti-dilutive. During the three months ended March 31, 2013, the average market value per share of the Company's common stock was above the exercise price of the warrants, and therefore the warrants were included in the Company’s diluted weighted average shares outstanding in accordance with ASC 260. Shares of restricted stock held by the Manager and independent directors accrue dividends, but are not paid until vested and are therefore not considered to be participating shares. The dilutive effects of these shares are only included in diluted weighted average shares outstanding. | ||||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three months ended March 31, 2014 and March 31, 2013: | ||||||||
Three Months Ended | Three Months Ended | |||||||
March 31, 2014 | March 31, 2013 | |||||||
Numerator: | ||||||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ | 27,818,888 | $ | 13,403,455 | ||||
Denominator: | ||||||||
Basic weighted average common shares outstanding | 28,371,419 | 27,280,531 | ||||||
Dilutive effect of manager and director restricted stock and warrants | 2,375 | 121,774 | ||||||
Dilutive weighted average common shares outstanding | 28,373,794 | 27,402,305 | ||||||
Basic Earnings/(Loss) Per Share of Common Stock: | $ | 0.98 | $ | 0.49 | ||||
Diluted Earnings/(Loss) Per Share of Common Stock: | $ | 0.98 | $ | 0.49 | ||||
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2014 | |
Income Taxes [Abstract] | ' |
Income Tax Disclosure [Text Block] | ' |
9. Income Taxes | |
As a REIT, the Company is not subject to Federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states follow U.S. federal income tax treatment of REITs. | |
The Company files tax returns in several U.S jurisdictions. There are no ongoing U.S. federal, state and local tax examinations. | |
The Company has elected to treat certain entities, including AG MIT II, LLC, AG MITT RMAT 2013, LLC, AG MITT RMAT 2013 II, LLC and AG MIT International LLC as TRSs and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly, and generally may engage in any real estate or non-real estate-related business. | |
A domestic TRS is subject to federal, state and local corporate income taxes. During the three months ended March 31, 2013, the Company recognized an income tax provision of $2.6 million related to the income and sale of investments held within AG MITT RMAT 2013, LLC and AG MITT RMAT 2013 II, LLC. The Company did not record an income tax provision or expense for the three months ended March 31, 2014. | |
AG MIT International LLC is domiciled in Anguilla and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. | |
Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. | |
Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2014 and December 31, 2013. The Company’s federal income tax return for the 2013, 2012 and 2011 tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. | |
Related_Party_Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2014 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions Disclosure [Text Block] | ' |
10. Related Party Transactions | |
The Company has entered into a management agreement with the Manager, which provides for an initial term through June 30, 2014, and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s IPO), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of Angelo, Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo, Gordon the overall responsibility its day-to-day duties and obligations arising under the Company’s management agreement. | |
Management fee | |
The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, “Stockholders’ Equity” means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. | |
For the three months ended March 31, 2014 and March 31, 2013, the Company incurred management fees of approximately $2.5 million and $2.9 million, respectively. | |
Termination fee | |
The termination fee, payable for the Company’s termination of the management agreement without cause or the Manager’s termination of the management agreement upon a default in the performance of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of March 31, 2014 and December 31, 2013, no event of termination of the management agreement had occurred. | |
Expense reimbursement | |
The Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation. The Company will not reimburse the Manager for the salaries and other compensation of its personnel except that the Company will be responsible for expenses incurred by the Manager in employing the Company’s chief financial officer, general counsel and other employees as further described below. | |
The Company will reimburse the Manager or its affiliates for the allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of his time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of his time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they will devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. For the three months ended March 31, 2014 and March 31, 2013, the Company has expensed into Other operating expenses $1.7 million and $1.3 million, respectively, of reimbursable expenses payable to the Manager. The Manager did not waive any expense reimbursements for these periods. | |
Restricted stock grants | |
On July 6, 2011 (the date of consummation of the IPO), the Company entered into (i) a restricted stock award agreement with the Manager under the Manager Equity Incentive Plan, pursuant to which the Manager received 40,250 shares of the Company’s common stock, which vest ratably on a quarterly basis over a three-year period that began on October 1, 2011 and (ii) restricted stock award agreements with the Company’s four initial independent directors under the Equity Incentive Plan, pursuant to which each of the four initial independent directors received 1,500 shares of the Company’s common stock that vest in equal installments over three years on each annual anniversary of the grant date. Following the election of Arthur Ainsberg as an independent director at the 2013 Annual Meeting of Stockholders, 500 shares of the Company’s common stock were granted on September 1, 2013 to Mr. Ainsberg under the Equity Incentive Plan. These shares will vest on July 6, 2014. On March 10, 2014, the Board of Directors approved the accelerated vesting of the remaining 500 shares of the Company’s common stock held by James Voss on April 30, 2014, the date Mr. Voss is expected to complete his service to the Company as an independent director. | |
Pursuant to the Manager Equity Incentive Plan and the Equity Incentive Plan, 277,500 shares of common stock were available to be awarded. As of March 31, 2014, 214,528 shares of common stock are available to award under the plan. Awards under the equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the award agreement (as determined by the board of directors or the compensation committee, as applicable) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goal, or a combination of both. The board of directors or the compensation committee, as applicable, also has authority to provide for accelerated vesting upon the occurrence of certain events. | |
The Company also pays a $90,000 annual base director’s fee to each independent director. Base director’s fees are paid two-thirds in cash and one-third in restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred during the time of service as an independent member of the Company’s board. | |
Equity
Equity | 3 Months Ended |
Mar. 31, 2014 | |
Equity [Abstract] | ' |
Stockholders' Equity Note Disclosure [Text Block] | ' |
11. Equity | |
On January 24, 2012, the Company completed a follow-on offering of 5,000,000 shares of its common stock and subsequently issued an additional 750,000 shares of common stock pursuant to the underwriters’ over-allotment option at a price of $19.00 per share, for aggregate gross proceeds of approximately $109.3 million. Net proceeds to the Company from the offering were approximately $104.0 million, net of issuance costs of approximately $5.3 million. | |
On July 13, 2012, the Company filed a shelf registration statement on Form S-3 with the SEC, offering up to $1.0 billion of capital stock. The registration statement was declared effective on July 20, 2012. At March 31, 2014, approximately $549.5 million of our capital stock was available for issuance under the registration statement. | |
On August 3, 2012, the Company completed a public offering of 1,800,000 shares of 8.25% Series A Cumulative Redeemable Preferred Stock and subsequently issued an additional 270,000 shares pursuant to the underwriters’ over-allotment option with a liquidation preference of $25.00 per share. The Company received total gross proceeds of approximately $51.8 million. Net proceeds to the Company from the offering were approximately $49.9 million, net of underwriting discounts, commissions and expenses. The Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Series A Preferred Stock is convertible to shares of the common stock. Holders of Series A Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25% per annum of the $25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends. Shares of the Series A Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on August 3, 2017, or earlier under certain circumstances intended to preserve the Company’s qualification as a REIT for Federal income tax purposes. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of March 31, 2014, the Company had declared all required quarterly dividends on the Series A Preferred Stock. | |
On August 15, 2012, the Company completed a public offering of 6,000,000 shares of its common stock and simultaneously issued an additional 900,000 shares pursuant to the underwriters’ over-allotment option at a price of $23.29 per share. The Company received total gross proceeds of approximately $160.7 million. Net proceeds to the Company from the offering were approximately $152.7 million, net of underwriting discounts, commissions and expenses. | |
On September 6, 2012, the Company entered into an equity distribution agreement with each of Mitsubishi UFJ Securities (USA), Inc., JMP Securities LLC and Brinson Patrick Securities Corporation (the “Sales Agents”), which the Company refers to as the Equity Distribution Agreements, pursuant to which the Company may sell up to 3,000,000 shares of common stock from time to time through the Sales Agents, as defined in Rule 415 under the Securities Act of 1933. As of March 31, 2014, the Company had sold 1,254,854 shares of common stock through the Sales Agents for net proceeds of approximately $31.3 million. | |
On September 27, 2012, the Company completed a public offering of 4,000,000 shares of 8.00% Series B Cumulative Redeemable Preferred Stock and issued an additional 600,000 shares pursuant to the underwriters’ over-allotment option with a liquidation preference of $25.00 per share. The Company received total gross proceeds of approximately $115.0 million. Net proceeds to the Company from the offering were approximately $111.3 million, net of underwriting discounts, commissions and expenses. The Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Series B Preferred Stock is convertible to shares of the common stock. Holders of Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.00% per annum of the $25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends. Shares of the Company’s Series B Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 27, 2017, or earlier under certain circumstances intended to preserve the Company’s qualification as a REIT for Federal income tax purposes. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of March 31, 2014, the Company had declared all required quarterly dividends on the Series B Preferred Stock. | |
On December 26, 2012, the Company completed a public offering of 3,750,000 shares of its common stock at a price of $24.33 per share. The Company received total gross proceeds of approximately $91.2 million. Net proceeds to the Company from the offering were approximately $87.5 million, net of underwriting discounts, commissions and expenses. | |
For the three months ended March 31, 2013, warrants were exercised by the cashless exercise option, which resulted in the issuance of 11,371 shares of common stock. No proceeds were received in connection with the exercise of the cashless option. For the three months ended March | |
31, 2013, warrants were exercised by the cash exercise option, which resulted in the issuance of 146,250 shares of common stock for proceeds to the Company of $3.0 million. No warrants were exercised during the three months ended March 31, 2014. | |
During the quarter ended March 31, 2014, the Company declared a quarterly dividend to common stockholders totaling $17.0 million, or $0.60 per share, which was paid on April 28, 2014. During the quarter ended March 31, 2013, the Company declared a quarterly dividend to common stockholders totaling $22.0 million, or $0.80 per share, which was paid on April 26, 2013. | |
During the three months ended March 31, 2014, the board of directors declared a quarterly distribution to the holders of the Series A Preferred Stock and Series B Preferred Stock of $0.51563 per share and $0.50 per share, respectively. The distributions were paid on March 17, 2014 to stockholders of record as of February 28, 2014. During the quarter ended March 31, 2013, the board of directors declared a distribution to the holders of the Series A Preferred Stock and Series B Preferred Stock of $0.51563 per share and $0.50 per share, respectively. The distributions were paid on March 18, 2013 to stockholders of record as of February 28, 2013. | |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2014 | |
Commitments and Contingencies [Abstract] | ' |
Commitments and Contingencies Disclosure [Text Block] | ' |
12. Commitments and Contingencies | |
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any significant contingencies at March 31, 2014. | |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 3 Months Ended | ||
Mar. 31, 2014 | |||
Accounting Policies [Abstract] | ' | ||
Cash and Cash Equivalents, Policy [Policy Text Block] | ' | ||
Cash and cash equivalents | |||
Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. The Company places its cash and cash equivalents with high credit quality institutions to minimize credit risk exposure. Any cash held by the Company as collateral would be included in a due to broker line item on the consolidated balance sheet and in cash flows from financing activities on the consolidated statement of cash flows. | |||
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | ' | ||
Restricted cash | |||
Restricted cash includes cash pledged as collateral for clearing and executing trades, interest rate swaps and repurchase agreements. Restricted cash is carried at cost, which approximates fair value. | |||
Offering and Organization Costs [Policy Text Block] | ' | ||
Offering costs | |||
The Company incurred costs in connection with common stock offerings and issuances of preferred stock. The offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings have been accounted for as a reduction of additional paid-in-capital and offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. | |||
Use of Estimates, Policy [Policy Text Block] | ' | ||
Use of estimates | |||
The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. | |||
Earnings Per Share, Policy [Policy Text Block] | ' | ||
Earnings per share | |||
In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income per share by dividing net income available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. | |||
Fair Value of Financial Instruments, Policy [Policy Text Block] | ' | ||
Valuation of financial instruments | |||
The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: | |||
• | Level 1 – Quoted prices in active markets for identical assets or liabilities. | ||
• | Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. | ||
• | Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. | ||
Transfers between levels are assumed to occur at the beginning of the reporting period. | |||
Real Estate, Policy [Policy Text Block] | ' | ||
Accounting for real estate securities | |||
Investments in real estate securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheet and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
These investments generally meet the requirements to be classified as available for sale under ASC 320-10-25, “Debt and Equity Securities,” which requires the securities to be carried at fair value on the consolidated balance sheet with changes in fair value charged to other comprehensive income, a component of Stockholders’ Equity. Electing the fair value option allows the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |||
The Company evaluates securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” | |||
When an investment security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e. a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the investment security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. For securities accounted for under ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the net realized gain line item on the consolidated statement of operations. | |||
Increases in interest income may be recognized on a security that an OTTI charge was taken, if the performance of such security subsequently improves. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. | |||
Securities in an unrealized loss position at March 31, 2014 are not considered other than temporarily impaired as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. See Note 3 for a summary of OTTI charges recorded. | |||
Marketable Securities, Available-for-sale Securities, Policy [Policy Text Block] | ' | ||
Sales of securities | |||
Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. | |||
Realized gains or losses on sales of securities and derivatives, inclusive of securities accounted for as a component of linked transactions are included in the net realized gain line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out, or FIFO, basis. Realized gains and losses are recorded in earnings at the time of disposition. | |||
Accounting For Loans [Policy Text Block] | ' | ||
Accounting for mortgage loans | |||
Investments in mortgage loans are recorded in accordance with ASC 310-10. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated and recorded accordingly. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. | |||
When the Company purchases mortgage loans that have shown evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those assets, it will apply the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” | |||
On at least a quarterly basis, the Company updates its estimate of the cash flows expected to be collected. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250 with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, are recognized as impairment. | |||
Investments In and Advances To Affiliates Schedule Of Investments [Policy Text Block] | ' | ||
Investment in affiliates | |||
The Company’s unconsolidated ownership interests in affiliates are generally accounted for using the equity method. The underlying entities have chosen to make a fair value election pursuant to ASC 825; as such the Company will treat its investment in affiliates consistently with this election. The investment in affiliates is recorded at fair market value on the consolidated balance sheet and periodic changes in fair market value will be recorded in current period earnings on the consolidated statement of operation as a component of “Equity in earnings/(loss) from affiliate.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. | |||
Investment, Policy [Policy Text Block] | ' | ||
Investment consolidation | |||
For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company will refer to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company will refer to the guidance in ASC 860-10, “Transfers and Servicing.” | |||
In variable interest entities (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company were to treat securitizations as sales in the future, the Company will analyze the transactions under the guidelines of ASC 810-10 for consolidation. | |||
The Company may periodically enter into transactions in which it sells assets. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. | |||
Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. | |||
From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a “sale” and the loans will be removed from the balance sheet or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheet, depending upon the structure of the securitization transaction. ASC 860-10 is a complex standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a “sale” or a “financing.” | |||
Revenue Recognition, Policy [Policy Text Block] | ' | ||
Interest income recognition | |||
Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs,” ASC 320-10, “Investments—Debt and Equity Securities” or ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” as applicable. Total interest income will flow though the interest income line item on the Consolidated Statement of Operations. | |||
On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes such securities. If actual and anticipated cash flows differ from previous estimates, the Company recognizes a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. | |||
Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS and interest only securities). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts, (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. | |||
Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statements of operations. | |||
For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics and use a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. | |||
The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. | |||
Repurchase Agreements, Valuation, Policy [Policy Text Block] | ' | ||
Repurchase agreements | |||
The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature. | |||
The Company pledges certain securities or loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed are dependent upon the fair value of the securities or loans pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged assets, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of March 31, 2014 and December 31, 2013, the Company has met all margin call requirements. | |||
In instances where the Company acquires assets through repurchase agreements with the same counterparty from whom the assets were purchased, the Company evaluates such transactions in accordance with ASC 860-10. This standard requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the assets and the related financing on a gross basis on its balance sheet with the corresponding interest income and interest expense in the statements of operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded on the consolidated statement of operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in income. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the real estate asset and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the real estate asset as of the date of unlinking will become the cost basis of the real estate asset. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. | |||
Derivatives, Policy [Policy Text Block] | ' | ||
Accounting for derivative financial instruments | |||
The Company may enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of mitigating its interest rate risk. The Company uses interest rate derivative instruments to mitigate interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives and Hedging.” ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of March 31, 2014 and December 31, 2013, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis. | |||
To Be Announced Securities [Policy Text Block] | ' | ||
To-be-announced securities | |||
A to-be-announced security (“TBA”) is a futures contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBAs are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery or receipt of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery or receipt of the security will occur (referred to as the “regular-way” exception). Unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” | |||
Us Treasury Securities [Policy Text Block] | ' | ||
Short positions in U.S. Treasury securities through reverse repurchase agreements | |||
The Company may sell short U.S. Treasury securities contracts to help mitigate the potential impact of changes in interest rates. The Company may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheet based on the value of the underlying borrowed securities as of the reporting date. The Company establishes haircuts to ensure the market value of the underlying assets remains sufficient to protect the Company in the event of default by the counterparty. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “net realized gain,” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on our consolidated statements of operations. | |||
Manager Remuneration [Policy Text Block] | ' | ||
Manager compensation | |||
The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is calculated and earned. For a more detailed discussion on the fees payable under the management agreement, see Note 10. | |||
Income Tax, Policy [Policy Text Block] | ' | ||
Income taxes | |||
The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. | |||
The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income as opposed to net income reported under GAAP in the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not financial accounting principles. | |||
The Company has elected to treat certain entities including AG MIT II, LLC, AG MITT RMAT 2013, LLC, AG MITT RMAT 2013 II, LLC and AG MIT International LLC as taxable REIT subsidiaries (“TRSs”) and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. | |||
While a domestic TRS will generate net income, a domestic TRS can declare dividends to the Company which will be included in the Company’s taxable income and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. | |||
AG MIT International LLC is domiciled in Anguilla and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. | |||
The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes. | |||
As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a nondeductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. | |||
The Company evaluates uncertain income tax positions, if any, in accordance with ASC Topic 740, “Income Taxes”. The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 9 for further details. | |||
Share-based Compensation, Option and Incentive Plans Policy [Policy Text Block] | ' | ||
Stock-based compensation | |||
The Company applies the provisions of ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued. | |||
Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Compensation cost related to restricted common shares issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares granted to the Manager. | |||
New Accounting Pronouncements, Policy [Policy Text Block] | ' | ||
Recent accounting pronouncements | |||
In April 2014, the FASB issued ASU 2014-08, “Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity” (“ASU 2014-08”). ASU 2014-08 changes the criteria for determining which disposals can be presented as discontinued operations and modifies related disclosure requirements. Under the new guidance, a discontinued operation is defined as a disposal of a component or group of components that is disposed of or is classified as held for sale and “represents a strategic shift that has (or will have) a major effect on an entity’s operations and financial results.” The standard states that a strategic shift could include a disposal of (i) a major geographical area of operations, (ii) a major line of business, (iii) a major equity method investment, or (iv) other major parts of an entity. Although “major” is not defined, the standard provides examples of when a disposal qualifies as a discontinued operation. A business or nonprofit activity that upon acquisition qualifies as held for sale will also be a discontinued operation. The standard no longer precludes presentation as a discontinued operation if (i) there are operations and cash flows of the component that have not been eliminated from the reporting entity’s ongoing operations, or (ii) there is significant continuing involvement with a component after its disposal. The standard introduces several new disclosures, including a requirement to present in the statement of cash flows or disclose in a note either (i) total operating and investing cash flows for discontinued operations, or (ii) depreciation, amortization, capital expenditures, and significant operating and investing noncash items related to discontinued operations. An entity must also reclassify the assets and liabilities of a discontinued operation that are classified as held for sale or disposed of in the current period for the comparative periods presented in the statement of financial position. The Company has chosen to early adopt this standard in the current quarter. | |||
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 3 Months Ended | |||||||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||||||
Real Estate Securities [Abstract] | ' | |||||||||||||||||||||||||||
Schedule Of Real Estate Securities [Table Text Block] | ' | |||||||||||||||||||||||||||
The following table details the real estate securities portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | |||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||
15 Year Fixed Rate | $ | 272,447,062 | $ | 7,280,496 | $ | 279,727,558 | $ | 2,901,589 | $ | -11,256 | $ | 282,617,891 | 3.2 | % | 2.55 | % | ||||||||||||
20 Year Fixed Rate | 139,314,748 | 7,004,756 | 146,319,504 | 1,009,426 | -2,070,113 | 145,258,817 | 3.73 | % | 2.86 | % | ||||||||||||||||||
30 Year Fixed Rate | 1,166,383,202 | 66,393,682 | 1,232,776,884 | 1,318,024 | -20,206,331 | 1,213,888,577 | 4.03 | % | 3.25 | % | ||||||||||||||||||
Fixed Rate CMO | 97,000,000 | 995,313 | 97,995,313 | - | -296,913 | 97,698,400 | 3 | % | 2.88 | % | ||||||||||||||||||
ARM | 458,475,998 | -1,236,787 | 457,239,211 | 1,349,896 | -1,062,888 | 457,526,219 | 2.42 | % | 2.83 | % | ||||||||||||||||||
Interest Only | 756,169,856 | -621,724,778 | 134,445,078 | 5,843,842 | -4,248,083 | 136,040,837 | 4.94 | % | 7.33 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||
Non-Agency RMBS | 1,096,949,615 | -137,889,476 | 959,060,139 | 25,633,054 | -4,353,838 | 980,339,355 | 4.06 | % | 5.48 | % | ||||||||||||||||||
ABS | 73,960,807 | -834,763 | 73,126,044 | 614,796 | -79,811 | 73,661,029 | 4 | % | 4.64 | % | ||||||||||||||||||
CMBS | 85,491,967 | -2,924,052 | 82,567,915 | 2,611,986 | -27,137 | 85,152,764 | 4.76 | % | 6.41 | % | ||||||||||||||||||
Interest Only | 52,357,700 | -45,944,422 | 6,413,278 | - | -15,020 | 6,398,258 | 1.85 | % | 5.71 | % | ||||||||||||||||||
Total | $ | 4,198,550,955 | $ | -728,880,031 | $ | 3,469,670,924 | $ | 41,282,613 | $ | -32,371,390 | $ | 3,478,582,147 | 3.93 | % | 4.01 | % | ||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). | ||||||||||||||||||||||||||||
The following table details the real estate securities portfolio as of December 31, 2013: | ||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | |||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||
15 Year Fixed Rate | $ | 435,843,408 | $ | 12,909,886 | $ | 448,753,294 | $ | 1,509,418 | $ | -2,662,880 | $ | 447,599,832 | 3.13 | % | 2.5 | % | ||||||||||||
20 Year Fixed Rate | 142,296,219 | 7,316,644 | 149,612,863 | 610,806 | -3,166,423 | 147,057,246 | 3.73 | % | 2.89 | % | ||||||||||||||||||
30 Year Fixed Rate | 1,191,781,474 | 68,531,950 | 1,260,313,424 | 60,020 | -30,868,697 | 1,229,504,747 | 4.03 | % | 3.28 | % | ||||||||||||||||||
ARM | 466,047,819 | -1,583,428 | 464,464,391 | 187,111 | -2,864,107 | 461,787,395 | 2.43 | % | 2.78 | % | ||||||||||||||||||
Interest Only | 736,263,003 | -601,525,564 | 134,737,439 | 5,083,736 | -2,767,627 | 137,053,548 | 4.92 | % | 6.49 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||
Non-Agency RMBS | 962,852,550 | -132,283,547 | 830,569,003 | 20,615,586 | -6,967,021 | 844,217,568 | 4.19 | % | 5.79 | % | ||||||||||||||||||
ABS | 71,326,847 | -315,657 | 71,011,190 | 333,594 | - | 71,344,784 | 3.82 | % | 4.07 | % | ||||||||||||||||||
CMBS | 88,828,774 | -2,269,882 | 86,558,892 | 1,270,629 | -902,786 | 86,926,735 | 5.16 | % | 6.53 | % | ||||||||||||||||||
Interest Only | 52,357,700 | -45,794,824 | 6,562,876 | - | -238,141 | 6,324,735 | 1.85 | % | 5.71 | % | ||||||||||||||||||
Total | $ | 4,147,597,794 | $ | -695,014,422 | $ | 3,452,583,372 | $ | 29,670,900 | $ | -50,437,682 | $ | 3,431,816,590 | 3.94 | % | 3.94 | % | ||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). | ||||||||||||||||||||||||||||
Available-For-Sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | ' | |||||||||||||||||||||||||||
The following table presents the gross unrealized losses, and estimated fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||||||
Less than 12 months | Greater than 12 months | |||||||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||||||||
Losses | Losses | |||||||||||||||||||||||||||
31-Mar-13 | $ | 1,380,045,456 | $ | -22,505,105 | $ | 188,271,916 | $ | -9,866,285 | ||||||||||||||||||||
31-Dec-13 | 2,330,415,740 | -43,557,831 | 112,253,956 | -6,879,851 | ||||||||||||||||||||||||
Weighted Average Life Of Real Estate Securities [Table Text Block] | ' | |||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency Interest-Only (“IO”) and Credit Investments as of March 31, 2014: | ||||||||||||||||||||||||||||
Agency RMBS (1) | Agency IO | Credit Investments (2) | ||||||||||||||||||||||||||
Weighted Average Life (3) | Fair Value | Amortized Cost | Weighted | Fair Value | Amortized | Weighted | Fair Value | Amortized Cost | Weighted | |||||||||||||||||||
Average | Cost | Average | Average | |||||||||||||||||||||||||
Coupon | Coupon | Coupon | ||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | - | $ | - | - | |||||||||||||
Greater than one year and less than or equal to five years | 346,450,124 | 343,353,264 | 3.09 | % | 83,056,233 | 81,931,840 | 4.89 | % | 440,571,472 | 429,360,454 | 3.9 | % | ||||||||||||||||
Greater than five years and less than or equal to ten years | 1,775,308,966 | 1,794,514,157 | 3.58 | % | 52,984,604 | 52,513,238 | 5.04 | % | 613,282,937 | 599,581,305 | 3.89 | % | ||||||||||||||||
Greater than ten years | 75,230,814 | 76,191,049 | 3.91 | % | - | - | - | 91,696,997 | 92,225,617 | 5.37 | % | |||||||||||||||||
Total | $ | 2,196,989,904 | $ | 2,214,058,470 | 3.51 | % | $ | 136,040,837 | $ | 134,445,078 | 4.94 | % | $ | 1,145,551,406 | $ | 1,121,167,376 | 4.02 | % | ||||||||||
(1) For purposes of this table, Agency RMBS held as of March 31, 2014 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year, Fixed Rate CMO and ARM. | ||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments held as of March 31, 2014 represent Non-Agency RMBS, ABS, CMBS and Interest Only. | ||||||||||||||||||||||||||||
(3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | ||||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency IO and Credit Investments as of December 31, 2013: | ||||||||||||||||||||||||||||
Agency RMBS (1) | Agency IO | Credit Investments (2) | ||||||||||||||||||||||||||
Weighted Average Life (3) | Fair Value | Amortized Cost | Weighted | Fair Value | Amortized | Weighted | Fair Value | Amortized Cost | Weighted | |||||||||||||||||||
Average | Cost | Average | Average | |||||||||||||||||||||||||
Coupon | Coupon | Coupon | ||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | 5,406,120 | $ | 4,739,053 | - | $ | 5,227,857 | $ | 5,355,113 | 0.67 | % | ||||||||||||
Greater than one year and less than or equal to five years | 292,921,980 | 292,010,291 | 3.12 | % | 109,110,653 | 107,278,916 | 5.11 | % | 367,316,237 | 359,557,150 | 4.29 | % | ||||||||||||||||
Greater than five years and less than or equal to ten years | 1,514,649,739 | 1,534,246,672 | 3.5 | % | 22,536,775 | 22,719,470 | 4.48 | % | 513,581,646 | 504,612,828 | 3.74 | % | ||||||||||||||||
Greater than ten years | 478,377,501 | 496,887,009 | 3.73 | % | - | - | - | 122,688,082 | 125,176,870 | 5.56 | % | |||||||||||||||||
Total | $ | 2,285,949,220 | $ | 2,323,143,972 | 3.5 | % | $ | 137,053,548 | $ | 134,737,439 | 4.92 | % | $ | 1,008,813,822 | $ | 994,701,961 | 4.14 | % | ||||||||||
(1) For purposes of this table, Agency RMBS held as of December 31, 2013 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year and ARM. | ||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments held as of December 31, 2013 represent Non-Agency RMBS, ABS, CMBS and Interest Only. | ||||||||||||||||||||||||||||
(2) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | ||||||||||||||||||||||||||||
Loans_Tables
Loans (Tables) | 3 Months Ended | |||||||||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||||||||
Gain (Loss) on Investments [Line Items] | ' | |||||||||||||||||||||||||||||
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | ' | |||||||||||||||||||||||||||||
As of March 31, 2014, the mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk in the mortgage loan portfolio: | ||||||||||||||||||||||||||||||
Concentration of Credit Risk | March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% | 95 | % | - | |||||||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | ||||||||||||||||||||||||||||||
Representing 5% or more of fair value: | ||||||||||||||||||||||||||||||
New York | 28 | % | - | |||||||||||||||||||||||||||
Massachusetts | 6 | % | - | |||||||||||||||||||||||||||
New Jersey | 6 | % | - | |||||||||||||||||||||||||||
Schedule Certain Loans Acquired in Transfer, Accretable Yield [Table Text Block] | ' | |||||||||||||||||||||||||||||
The following is a summary of the changes in the accretable portion of the discount for Pool A for the three months ended March 31, 2014 and March 31, 2013: | ||||||||||||||||||||||||||||||
Three Months Ended | ||||||||||||||||||||||||||||||
March 31, 2014 | March 31, 2013 | |||||||||||||||||||||||||||||
Beginning Balance | $ | - | $ | - | ||||||||||||||||||||||||||
Additions | 17,159,216 | - | ||||||||||||||||||||||||||||
Accretion | -243,898 | - | ||||||||||||||||||||||||||||
Reclassifications from non-accretable difference | - | - | ||||||||||||||||||||||||||||
Disposals | - | - | ||||||||||||||||||||||||||||
Ending Balance | $ | 16,915,318 | $ | - | ||||||||||||||||||||||||||
Residential Mortgage Loans [Member] | ' | |||||||||||||||||||||||||||||
Gain (Loss) on Investments [Line Items] | ' | |||||||||||||||||||||||||||||
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | ' | |||||||||||||||||||||||||||||
The table below details certain information regarding the Company’s residential mortgage loan portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||||
Unpaid | Premium | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Principal | ||||||||||||||||||||||||||||||
Balance | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | ||||||||||||||||||||||
Pool A (2) | $ | 59,046,267 | $ | -23,722,567 | $ | 35,323,700 | $ | - | $ | -383,927 | $ | 34,939,773 | 5.05 | % | 8.51 | % | 5.82 | |||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||||||||||||||||||||||||||||||
(2) Pool A is comprised of re-performing and non-performing loans with unpaid principal balances of $33.7 million and $25.3 million, respectively. | ||||||||||||||||||||||||||||||
Commercial Loans [Member] | ' | |||||||||||||||||||||||||||||
Gain (Loss) on Investments [Line Items] | ' | |||||||||||||||||||||||||||||
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | ' | |||||||||||||||||||||||||||||
The following table details the Company’s commercial loan portfolio as of March 31, 2014: | ||||||||||||||||||||||||||||||
Premium | Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | ||||||||||||||||||||||
Commerical Loans | $ | 10,000,000 | $ | -72,167 | $ | 9,927,833 | $ | 72,167 | $ | - | $ | 10,000,000 | 12.5 | % | 14.94 | % | 2.37 | |||||||||||||
(1) We have chosen to make a fair value election pursuant to ASC 825 for our loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||||||||||||||||||||||||||||||
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | ||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||
Fair Value, Assets Measured on Recurring Basis [Table Text Block] | ' | ||||||||||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2014: | |||||||||||||||||||||||
Fair Value at March 31, 2014 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 Year Fixed Rate | $ | - | $ | 282,617,891 | $ | - | $ | 282,617,891 | |||||||||||||||
20 Year Fixed Rate | - | 145,258,817 | - | 145,258,817 | |||||||||||||||||||
30 Year Fixed Rate | - | 1,213,888,577 | - | 1,213,888,577 | |||||||||||||||||||
Fixed Rate CMO | - | 97,698,400 | - | 97,698,400 | |||||||||||||||||||
ARM | - | 457,526,219 | - | 457,526,219 | |||||||||||||||||||
Interest Only | - | 136,040,837 | - | 136,040,837 | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||
Non-Agency RMBS | - | 599,094,406 | 381,244,949 | 980,339,355 | |||||||||||||||||||
ABS | - | - | 73,661,029 | 73,661,029 | |||||||||||||||||||
CMBS | - | 47,227,819 | 37,924,945 | 85,152,764 | |||||||||||||||||||
Interest Only | - | - | 6,398,258 | 6,398,258 | |||||||||||||||||||
Residential mortgage loans | - | - | 34,939,773 | 34,939,773 | |||||||||||||||||||
Commercial loans | - | - | 10,000,000 | 10,000,000 | |||||||||||||||||||
Linked transactions | - | 32,036,913 | 9,911,059 | 41,947,972 | |||||||||||||||||||
Derivative assets | - | 35,633,143 | - | 35,633,143 | |||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 3,047,023,022 | $ | 554,080,013 | $ | 3,601,103,035 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Obligation to return securities borrowed under reverse repurchase agreements | $ | -42,866,016 | $ | - | $ | - | $ | -42,866,016 | |||||||||||||||
Derivative liabilities | - | -3,165,510 | - | -3,165,510 | |||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -42,866,016 | $ | -3,165,510 | $ | - | $ | -46,031,526 | |||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2013. | |||||||||||||||||||||||
Fair Value at December 31, 2013 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||
15 Year Fixed Rate | $ | - | $ | 447,599,832 | $ | - | $ | 447,599,832 | |||||||||||||||
20 Year Fixed Rate | - | 147,057,246 | - | 147,057,246 | |||||||||||||||||||
30 Year Fixed Rate | - | 1,229,504,747 | - | 1,229,504,747 | |||||||||||||||||||
ARM | - | 461,787,395 | - | 461,787,395 | |||||||||||||||||||
Interest Only | - | 137,053,548 | - | 137,053,548 | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||
Non-Agency RMBS | - | 534,377,006 | 309,840,562 | 844,217,568 | |||||||||||||||||||
ABS | - | - | 71,344,784 | 71,344,784 | |||||||||||||||||||
CMBS | - | 62,954,692 | 23,972,043 | 86,926,735 | |||||||||||||||||||
Interest Only | - | - | 6,324,735 | 6,324,735 | |||||||||||||||||||
Commercial loans | - | - | - | - | |||||||||||||||||||
Linked transactions | - | 34,778,728 | 14,723,169 | 49,501,897 | |||||||||||||||||||
Derivative assets | - | 55,060,075 | - | 55,060,075 | |||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 3,110,173,269 | $ | 426,205,293 | $ | 3,536,378,562 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||
Obligation to return securities borrowed under reverse repurchase agreements | $ | -27,477,188 | $ | - | $ | - | $ | -27,477,188 | |||||||||||||||
Derivative liabilities | - | -2,206,289 | - | -2,206,289 | |||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -27,477,188 | $ | -2,206,289 | $ | - | $ | -29,683,477 | |||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | ' | ||||||||||||||||||||||
The following tables present additional information about the Company’s investments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||
Non-Agency | ABS | CMBS | Interest Only | Residential | Commercial | Linked | |||||||||||||||||
RMBS | Mortgage Loans | Loans | Transactions | ||||||||||||||||||||
Beginning balance | $ | 309,840,562 | $ | 71,344,784 | $ | 23,972,043 | $ | 6,324,735 | $ | - | $ | - | $ | 14,723,169 | |||||||||
Transfers (1): | |||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | - | ||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | - | ||||||||||||||||
Purchases | 75,858,929 | 3,022,000 | - | - | 35,075,171 | 9,927,833 | 1,640,500 | ||||||||||||||||
Reclassification of security type (2) | 7,507,855 | 6,562,500 | 12,683,116 | - | - | - | -5,740,156 | ||||||||||||||||
Proceeds from sales | -10,779,244 | - | - | - | - | - | - | ||||||||||||||||
Proceeds from settlement | -4,119,236 | -7,566,041 | -206,807 | - | - | - | -1,140,885 | ||||||||||||||||
Total net gains/(losses) (3) | |||||||||||||||||||||||
Included in net income | 2,936,083 | 297,786 | 1,476,593 | 73,523 | -135,398 | 72,167 | 428,431 | ||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | - | ||||||||||||||||
Ending Balance | $ | 381,244,949 | $ | 73,661,029 | $ | 37,924,945 | $ | 6,398,258 | $ | 34,939,773 | $ | 10,000,000 | $ | 9,911,059 | |||||||||
Change in unrealized appreciation/depreciation for level 3 assets still held as of March 31, 2014 (4) | $ | 2,972,279 | $ | 297,786 | $ | 1,476,593 | $ | 73,523 | $ | -135,398 | $ | 72,167 | $ | 372,793 | |||||||||
(1) Transfers are assumed to occur at the beginning of the period. | |||||||||||||||||||||||
(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link. | |||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 428,431 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,989,665 | ||||||||||||||||||||||
Net realized gain | -268,911 | ||||||||||||||||||||||
Total | $ | 5,149,185 | |||||||||||||||||||||
(4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 372,793 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,756,950 | ||||||||||||||||||||||
Total | $ | 5,129,743 | |||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||
31-Mar-13 | |||||||||||||||||||||||
Non-Agency | ABS | CMBS | Interest Only | Commercial | Linked | ||||||||||||||||||
RMBS | Loans | Transactions | |||||||||||||||||||||
Beginning balance | $ | 255,043,557 | $ | 33,937,097 | $ | 34,066,710 | $ | - | $ | - | $ | 6,425,683 | |||||||||||
Transfers (1): | |||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | |||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | |||||||||||||||||
Purchases | 22,854,307 | 27,993,404 | - | 7,048,720 | 30,017,825 | 2,658,169 | |||||||||||||||||
Reclassification of security type (2) | - | - | - | - | - | - | |||||||||||||||||
Proceeds from sales | -88,968,242 | -28,086,094 | - | - | - | - | |||||||||||||||||
Proceeds from settlement | -3,056,564 | -15,345,928 | -58,631 | - | - | -1,201,543 | |||||||||||||||||
Total net gains/ (losses) (3) | |||||||||||||||||||||||
Included in net income | 6,516,109 | -7,932 | 338,441 | -142,490 | -17,825 | 261,366 | |||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | |||||||||||||||||
Ending Balance | $ | 192,389,167 | $ | 18,490,547 | $ | 34,346,520 | $ | 6,906,230 | $ | 30,000,000 | $ | 8,143,675 | |||||||||||
Change in unrealized appreciation/depreciation for level 3 assets still held as of March 31, 2013 (4) | $ | 2,733,774 | $ | 84,376 | $ | 338,441 | $ | -142,490 | $ | -17,825 | $ | 261,366 | |||||||||||
(1) Transfers are assumed to occur at the beginning of the period. | |||||||||||||||||||||||
(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occuring which breaks the link. | |||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 261,366 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 2,265,711 | ||||||||||||||||||||||
Interest income | 542,084 | ||||||||||||||||||||||
Net realized gain | 3,878,508 | ||||||||||||||||||||||
Total | $ | 6,947,669 | |||||||||||||||||||||
(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||||
Income from linked transactions, net | $ | 261,366 | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 2,454,192 | ||||||||||||||||||||||
Interest income | 542,084 | ||||||||||||||||||||||
Total | $ | 3,257,642 | |||||||||||||||||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block] | ' | ||||||||||||||||||||||
The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | |||||||||||||||||||
March 31, 2014 | (Weighted Average) | ||||||||||||||||||||||
Yield | 3.22% - 8.15% (4.83%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (5.34%) | ||||||||||||||||||||||
Non Agency RMBS | $ | 381,244,949 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 30.00% (6.78%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (55.70%) | ||||||||||||||||||||||
ABS | $ | 73,661,029 | Discounted Cash Flow | Yield | 3.72% - 8.67% (4.64%) | ||||||||||||||||||
Yield | 4.88% - 6.21% (5.49%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
CMBS | $ | 37,924,945 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Yield | 5.70% - 5.72% (5.71%) | ||||||||||||||||||||||
Interest Only | $ | 6,398,258 | Discounted Cash Flow | Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | ||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Residential Mortgage Loans | $ | 34,939,773 | Market Comparable | Yield | 8.51% - 8.51% (8.51%) | ||||||||||||||||||
Commercial Loans | $ | 10,000,000 | Market Comparable | Yield | 14.94% - 14.94% (14.94%) | ||||||||||||||||||
Yield | 3.85% - 9.01% (4.66%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 4.00% - 12.00% (8.31%) | ||||||||||||||||||||||
Linked Transactions* | $ | 9,911,059 | Discounted Cash Flow | Projected Collateral Losses | 5.00% - 18.00% (12.68%) | ||||||||||||||||||
Projected Collateral Severities | 30.00% - 70.00% (45.15%) | ||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS. | |||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | |||||||||||||||||||
December 31, 2013 | (Weighted Average) | ||||||||||||||||||||||
Yield | 3.35% - 13.99% (5.13%) | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (3.51%) | ||||||||||||||||||||||
Non Agency RMBS | $ | 309,840,562 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 30.00% (7.93%) | ||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (60.40%) | ||||||||||||||||||||||
ABS | $ | 71,344,784 | Discounted Cash Flow | Yield | 3.78% - 5.39% (4.07%) | ||||||||||||||||||
Yield | 4.88% - 5.75% (5.51%) | ||||||||||||||||||||||
CMBS | $ | 23,972,043 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | ||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Interest Only | $ | 6,324,735 | Discounted Cash Flow | Yield | 5.70% - 5.72% (5.71%) | ||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | ||||||||||||||||||||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | ||||||||||||||||||||||
Linked Transactions* | $ | 14,723,169 | Discounted Cash Flow | Yield | 3.85% - 9.01% (4.71%) | ||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (2.43%) | ||||||||||||||||||||||
Projected Collateral Losses | 0.00% - 30.00% (12.83%) | ||||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (41.37%) | ||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments. | |||||||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Disclosure Of Repurchase Agreements [Abstract] | ' | |||||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | ' | |||||||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of March 31, 2014: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted | Weighted Average | |||||||||||||||||
Average Rate | Haircut | |||||||||||||||||||
30 days or less | $ | 1,850,181,064 | 0.79 | % | 10.45 | % | ||||||||||||||
31-60 days | 699,707,714 | 0.61 | % | 7.37 | % | |||||||||||||||
61-90 days | 258,749,660 | 0.49 | % | 5.83 | % | |||||||||||||||
Greater than 90 days | 241,500,000 | 1.56 | % | 13.68 | % | |||||||||||||||
Total / Weighted Average | $ | 3,050,138,438 | 0.78 | % | 9.61 | % | ||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2013: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted | Weighted Average | |||||||||||||||||
Average Rate | Haircut | |||||||||||||||||||
30 days or less | $ | 1,357,768,314 | 0.85 | % | 7.97 | % | ||||||||||||||
31-60 days | 903,866,190 | 0.54 | % | 4.46 | % | |||||||||||||||
61-90 days | 250,387,000 | 0.49 | % | 5.65 | % | |||||||||||||||
Greater than 90 days | 379,612,912 | 1.53 | % | 16.37 | % | |||||||||||||||
Total / Weighted Average | $ | 2,891,634,416 | 0.81 | % | 7.77 | % | ||||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by residential mortgage loans as of March 31, 2014: | ||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | ||||||||||||||||
Repurchase Rate | Funding Cost | Average Haircut | ||||||||||||||||||
30 days or less | $ | - | - | - | - | |||||||||||||||
31-60 days | - | - | - | - | ||||||||||||||||
61-90 days | - | - | - | - | ||||||||||||||||
Greater than 90 days | 19,038,962 | 3.25 | % | 3.6 | % | 37.66 | % | |||||||||||||
Total / Weighted Average | $ | 19,038,962 | 3.25 | % | 3.6 | % | 37.66 | % | ||||||||||||
Schedule Of Securities Collateral Information [Table Text Block] | ' | |||||||||||||||||||
The following table presents information with respect to the Company’s posting of collateral at March 31, 2014 and December 31, 2013: | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Repurchase agreements secured by Agency RMBS | $ | 2,171,778,100 | $ | 2,104,691,819 | ||||||||||||||||
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 2,310,785,213 | 2,235,331,133 | ||||||||||||||||||
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 878,360,338 | 786,942,597 | ||||||||||||||||||
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,131,466,636 | 1,008,813,822 | ||||||||||||||||||
Repurchase agreements secured by Residential Mortgage Loans | 19,038,962 | - | ||||||||||||||||||
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 29,933,511 | - | ||||||||||||||||||
Fair Value of Other Assets pledged | 607,785 | - | ||||||||||||||||||
Cash pledged (i.e., restricted cash) under repurchase agreements | 2,202 | 962,047 | ||||||||||||||||||
Schedule Of Gross and Net Information About Repurchase Agreements [Table Text Block] | ' | |||||||||||||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the statement of financial position as of March 31, 2014: | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Statement of Financial Position | ||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | ||||||||||||||
Recognized | in the Statement of | Presented in the Statement of | Instruments | Posted | ||||||||||||||||
Liabilities | Financial Position | Financial Position | Posted | |||||||||||||||||
Repurchase Agreements | $ | 3,069,177,400 | $ | - | $ | 3,069,177,400 | $ | 3,069,177,400 | $ | - | $ | - | ||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the statement of financial position as of December 31, 2013: | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Statement of Financial Position | ||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | ||||||||||||||
Recognized | in the Statement of | Presented in the Statement of | Instruments | Posted | ||||||||||||||||
Liabilities | Financial Position | Financial Position | Posted | |||||||||||||||||
Repurchase Agreements | $ | 2,891,634,416 | $ | - | $ | 2,891,634,416 | $ | 2,891,634,416 | $ | - | $ | - | ||||||||
Schedule Of Repurchase Agreement Counterparty [Table Text Block] | ' | |||||||||||||||||||
At March 31, 2014 the following table reflects amounts at risk under its repurchase agreements greater than 5% of the Company’s equity with any counterparty, excluding linked transactions. | ||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | |||||||||||||||||
Maturity (days) | Stockholders' Equity | |||||||||||||||||||
Credit Suisse | $ | 75,150,875 | 41 | 10.5 | % | |||||||||||||||
Wells Fargo Bank, N.A | 49,862,056 | 115 | 7.1 | % | ||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith | 49,250,652 | 35 | 6.9 | % | ||||||||||||||||
Royal Bank of Scotland | 46,048,400 | 142 | 6.4 | % | ||||||||||||||||
JP Morgan | 39,835,254 | 313 | 5.6 | % | ||||||||||||||||
At December 31, 2013, the following table reflects amounts at risk under the Company’s repurchase agreements greater than 5% of its equity with any counterparty, excluding linked transactions. | ||||||||||||||||||||
Counterparty | Amount at Risk | Weighted | Percentage of | |||||||||||||||||
Average | Stockholders' Equity | |||||||||||||||||||
Maturity (days) | ||||||||||||||||||||
Credit Suisse | $ | 62,749,069 | 35 | 8.9 | % | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith | 51,047,394 | 34 | 7.2 | % | ||||||||||||||||
Wells Fargo Bank, N.A | 39,399,377 | 101 | 5.6 | % | ||||||||||||||||
Derivatives_Tables
Derivatives (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||||||||||||||||
Derivatives [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table presents the fair value of the Company's derivative instruments and their balance sheet location at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Non-Hedge | Derivative liabilities, at fair value | $ | -2,680,444 | $ | -1,439,688 | |||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Non-Hedge | Derivative assets, at fair value | 34,970,918 | 54,418,115 | |||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Non-Hedge | Derivative liabilities, at fair value | -257,447 | -559,858 | |||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Non-Hedge | Derivative assets, at fair value | 531,750 | 641,960 | |||||||||||||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative liabilities, at fair value | -227,619 | - | |||||||||||||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative assets, at fair value | 118,205 | - | |||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Non-Hedge | Derivative assets, at fair value | 12,270 | - | |||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Non-Hedge | Derivative liabilities, at fair value | - | -206,743 | |||||||||||||||||||||||||||||||||||||||
Linked transactions, at fair value | Non-Hedge | Linked transactions, net, at fair value | 41,947,972 | 49,501,897 | |||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table summarizes information related to derivatives: | |||||||||||||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||
Non-hedge derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Notional amount of Interest Rate Swap Agreements (1) | $ | 1,930,000,000 | $ | 2,145,000,000 | |||||||||||||||||||||||||||||||||||||||
Net notional amount of Swaptions | 172,000,000 | 115,000,000 | |||||||||||||||||||||||||||||||||||||||||
Notional amount of Linked Transactions (2) | 246,612,695 | 291,734,071 | |||||||||||||||||||||||||||||||||||||||||
-1 | Includes forward starting swaps with a notional of $100.0 million as of December 31, 2013. | ||||||||||||||||||||||||||||||||||||||||||
-2 | This represents the current face of the securities comprising linked transactions. | ||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table summarizes gains/(losses) related to derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Three Months Ended | Three Months Ended | ||||||||||||||||||||||||||||||||||||||||||
Statement of Operations Location | March 31, 2014 | March 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Non-hedge derivatives gain (loss): | |||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | $ | -18,463,039 | $ | 5,091,011 | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Net realized gain | 619,643 | -788,274 | ||||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | -119,049 | - | ||||||||||||||||||||||||||||||||||||||||
Swaptions, at fair value | Net realized gain | 445,000 | - | ||||||||||||||||||||||||||||||||||||||||
TBAs | Unrealized gain/(loss) on derivative and other instruments, net | -109,414 | 132,230 | ||||||||||||||||||||||||||||||||||||||||
TBAs | Net realized gain | - | -339,258 | ||||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | -34,606 | - | ||||||||||||||||||||||||||||||||||||||||
IO Index, at fair value | Net realized gain | 129,761 | - | ||||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | 38,774 | - | ||||||||||||||||||||||||||||||||||||||||
MBS Options, at fair value | Net realized gain | 19,531 | - | ||||||||||||||||||||||||||||||||||||||||
Linked transactions | Income from linked transactions, net | 4,259,130 | 5,838,219 | ||||||||||||||||||||||||||||||||||||||||
Linked transactions | Net realized gain | -132,389 | 339,669 | ||||||||||||||||||||||||||||||||||||||||
Short positions in U.S. Treasurys | Unrealized gain/(loss) on derivative and other instruments, net | -493,381 | - | ||||||||||||||||||||||||||||||||||||||||
Schedule Of Gross and Net Information About Derivative Instruments [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative and other instruments eligible for offset in the statement of financial position as of March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||||||||||||
Statement of Financial Position | |||||||||||||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||||||||||||
Recognized Assets | in the Statement of | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||||||||||||
(Liabilities) | Financial Position | Statement of Financial Position | (Posted)/Received | ||||||||||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 228,164,945 | $ | -186,578,959 | $ | 41,585,986 | $ | -41,585,986 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 43,318,750 | $ | - | $ | 43,318,750 | $ | 42,866,016 | $ | - | $ | 452,734 | |||||||||||||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 41,595,895 | $ | - | $ | 41,595,895 | $ | - | $ | 20,477,974 | $ | 21,117,921 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | 531,750 | - | 531,750 | - | - | 531,750 | |||||||||||||||||||||||||||||||||||||
TBAs | 118,205 | - | 118,205 | - | - | 118,205 | |||||||||||||||||||||||||||||||||||||
IO Index | 12,271 | - | 12,271 | - | - | 12,271 | |||||||||||||||||||||||||||||||||||||
Total Derivative Assets | $ | 42,258,121 | $ | - | $ | 42,258,121 | $ | - | $ | 20,477,974 | $ | 21,780,147 | |||||||||||||||||||||||||||||||
Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -1,580,833 | $ | - | $ | -1,580,833 | $ | - | $ | - | $ | -1,580,833 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | -257,447 | - | -257,447 | - | - | -257,447 | |||||||||||||||||||||||||||||||||||||
TBAs | -227,619 | -227,619 | -227,619 | - | - | ||||||||||||||||||||||||||||||||||||||
Total Derivative Liabilities | $ | -2,065,899 | $ | - | $ | -2,065,899 | $ | -227,619 | $ | - | $ | -1,838,280 | |||||||||||||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $228,164,945, repurchase agreements of $186,578,959 and net accrued interest of $361,986 for a total of $41,947,972. | |||||||||||||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $42,258,121 less accrued interest of $(6,624,978) for a total of $35,633,143. | |||||||||||||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(2,065,899) plus accrued interest of $(1,099,611) for a total of $(3,165,510). | |||||||||||||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative instruments eligible for offset in the statement of financial position as of December 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||||||||||||
Statement of Financial Position | |||||||||||||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts Offset | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||||||||||||
Recognized | in the Statement of | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||||||||||||
Assets (Liabilities) | Financial Position | Statement of Financial Position | (Posted) | ||||||||||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 272,261,350 | $ | -222,846,315 | $ | 49,415,035 | $ | -49,415,035 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 27,475,000 | $ | - | $ | 27,475,000 | $ | 27,475,000 | $ | - | $ | - | |||||||||||||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 59,588,167 | $ | - | $ | 59,588,167 | $ | - | $ | 30,567,000 | $ | 29,021,167 | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | 641,960 | - | 641,960 | - | - | 641,960 | |||||||||||||||||||||||||||||||||||||
Total Derivative Assets | $ | 60,230,127 | $ | - | $ | 60,230,127 | $ | - | $ | 30,567,000 | $ | 29,663,127 | |||||||||||||||||||||||||||||||
Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -1,110,065 | $ | - | $ | -1,110,065 | $ | - | $ | -1,110,065 | $ | - | |||||||||||||||||||||||||||||||
Interest Rate Swaptions | -559,858 | - | -559,858 | - | - | -559,858 | |||||||||||||||||||||||||||||||||||||
MBS Options | -206,743 | - | -206,743 | - | - | -206,743 | |||||||||||||||||||||||||||||||||||||
Total Derivative Liabilities | $ | -1,876,666 | $ | - | $ | -1,876,666 | $ | - | $ | -1,110,065 | $ | -766,601 | |||||||||||||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $272,261,350, repurchase agreements of $(222,846,315) and net accrued interest of $86,862 for a total of $49,501,897. | |||||||||||||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $60,230,127 less accrued interest of $(5,170,052) for a total of $55,060,075. | |||||||||||||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(1,866,666) less accrued interest of $(329,623) for a total of $(2,206,289). | |||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Derivatives [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||||||||||||
2016 | $ | 160,000,000 | 0.85 | % | 0.23 | % | 2.16 | ||||||||||||||||||||||||||||||||||||
2017 | 175,000,000 | 0.98 | % | 0.24 | % | 3.55 | |||||||||||||||||||||||||||||||||||||
2018 | 405,000,000 | 1.17 | % | 0.24 | % | 4.23 | |||||||||||||||||||||||||||||||||||||
2019 | 275,000,000 | 1.29 | % | 0.23 | % | 5.36 | |||||||||||||||||||||||||||||||||||||
2020 | 450,000,000 | 1.62 | % | 0.24 | % | 6 | |||||||||||||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.24 | % | 8.43 | |||||||||||||||||||||||||||||||||||||
2023 | 340,000,000 | 2.49 | % | 0.23 | % | 9.31 | |||||||||||||||||||||||||||||||||||||
2024 | 55,000,000 | 2.75 | % | 0.24 | % | 9.93 | |||||||||||||||||||||||||||||||||||||
2028 | 20,000,000 | 3.47 | % | 0.23 | % | 14.72 | |||||||||||||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,930,000,000 | 1.56 | % | 0.24 | % | 5.84 | ||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of December 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||||||||||||
2016* | $ | 260,000,000 | 0.62 | % | 0.71 | % | 2.63 | ||||||||||||||||||||||||||||||||||||
2017 | 275,000,000 | 1.02 | % | 0.24 | % | 3.83 | |||||||||||||||||||||||||||||||||||||
2018 | 490,000,000 | 1.15 | % | 0.24 | % | 4.43 | |||||||||||||||||||||||||||||||||||||
2019 | 260,000,000 | 1.27 | % | 0.25 | % | 5.64 | |||||||||||||||||||||||||||||||||||||
2020 | 450,000,000 | 1.62 | % | 0.24 | % | 6.25 | |||||||||||||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.24 | % | 8.68 | |||||||||||||||||||||||||||||||||||||
2023 | 340,000,000 | 2.49 | % | 0.24 | % | 9.56 | |||||||||||||||||||||||||||||||||||||
2028 | 20,000,000 | 3.47 | % | 0.25 | % | 14.97 | |||||||||||||||||||||||||||||||||||||
Total/Wtd Avg | $ | 2,145,000,000 | 1.43 | % | 0.3 | % | 5.67 | ||||||||||||||||||||||||||||||||||||
* This figure includes a forward starting swap with a total notional of $100.0 million and a start date of December 23, 2015. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||
Schedule Of To Be Announced Securities Activity [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table presents information about the Company’s TBAs for the three months ended March 31, 2014 and March 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Additions | Sale or | Ending Net | Net Fair Value | Net Payable to | Derivative | Derivative | ||||||||||||||||||||||||||||||||||||
Notional | Settlement | Notional | as of Period End | Broker | Asset | Liability | |||||||||||||||||||||||||||||||||||||
Amount | Amount | ||||||||||||||||||||||||||||||||||||||||||
TBAs | $ | - | $ | 147,000,000 | $ | -147,000,000 | $ | - | $ | - | $ | -109,414 | $ | 118,205 | $ | -227,619 | |||||||||||||||||||||||||||
For the Three Months Ended March 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Additions | Sale or | Ending Net | Net Fair Value | Net Payable to | Derivative | Derivative | ||||||||||||||||||||||||||||||||||||
Notional | Settlement | Notional | as of Period End | Broker | Asset | Liability | |||||||||||||||||||||||||||||||||||||
Amount | Amount | ||||||||||||||||||||||||||||||||||||||||||
TBAs | $ | 40,000,000 | $ | 210,000,000 | $ | -210,000,000 | $ | 40,000,000 | $ | 41,139,064 | $ | -41,144,531 | $ | 412,703 | $ | -418,170 | |||||||||||||||||||||||||||
Schedule Of Repurchase Agreements Comprising Linked Transaction [Table Text Block] | ' | ||||||||||||||||||||||||||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as a part of linked transactions for the three months ended March 31, 2014: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | Repurchase Agreement Data | ||||||||||||||||||||||||||||||||||||||||||
Instrument | Current Face | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted | Weighted | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Average | Average | Agreement | Average | Average | |||||||||||||||||||||||||||||||||
Gain/(Loss) | Statement of | Coupon | Life | Interest | Years to | ||||||||||||||||||||||||||||||||||||||
Operations | Rate | Maturity | |||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 236,612,695 | $ | 211,115,545 | $ | 218,648,145 | 365,615 | $ | 4,368,207 | $ | -377,808 | $ | 35,033 | $ | 4,025,432 | 3.7 | % | 5.76 | $ | 180,103,626 | 1.89 | % | 0.16 | ||||||||||||||||||||
CMBS | 10,000,000 | 9,278,989 | 9,516,800 | -3,629 | 144,702 | 124,029 | -167,422 | 101,309 | 0.4 | % | 1.04 | 6,475,333 | 1.56 | % | 0.06 | ||||||||||||||||||||||||||||
Total | $ | 246,612,695 | $ | 220,394,534 | $ | 228,164,945 | $ | 361,986 | $ | 4,512,909 | $ | -253,779 | $ | -132,389 | $ | 4,126,741 | 3.57 | % | 5.57 | $ | 186,578,959 | 1.88 | % | 0.16 | |||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as a part of linked transactions for the three months ended March 31, 2013: | |||||||||||||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2013 | Repurchase Agreement Data | ||||||||||||||||||||||||||||||||||||||||||
Instrument | Current | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted | Weighted | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Face | Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Average | Average | Agreement | Average | Average | ||||||||||||||||||||||||||||||||
Gain | Statement of | Coupon | Life | Interest | Years to | ||||||||||||||||||||||||||||||||||||||
Operations | Rate | Maturity | |||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 496,559,104 | $ | 448,887,608 | $ | 459,268,058 | $ | 1,322,686 | $ | 3,052,876 | $ | 2,169,017 | $ | 339,669 | $ | 5,561,562 | 4.93 | % | 5.94 | $ | 360,317,253 | 2 | % | 0.06 | |||||||||||||||||||
CMBS | 18,870,000 | 17,716,566 | 18,104,280 | 37,279 | 157,766 | 458,560 | - | 616,326 | 2.87 | % | 4.75 | 14,878,000 | 1.29 | % | 0.06 | ||||||||||||||||||||||||||||
Total | $ | 515,429,104 | $ | 466,604,174 | $ | 477,372,338 | $ | 1,359,965 | $ | 3,210,642 | $ | 2,627,577 | $ | 339,669 | $ | 6,177,888 | 4.85 | % | 5.9 | $ | 375,195,253 | 1.97 | % | 0.06 | |||||||||||||||||||
Earnings_per_Share_Tables
Earnings per Share (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Schedule of Earning Per Share Basic And Diluted [Line Items] | ' | |||||||
Schedule of Stockholders' Equity Note, Warrants or Rights [Table Text Block] | ' | |||||||
As of March 31, 2014 and March 31, 2013, the Company’s outstanding warrants and unvested shares of restricted common stock were as follows: | ||||||||
March 31, 2014 | March 31, 2013 | |||||||
Warrants | 1,007,500 | 1,207,500 | ||||||
Restricted stock granted to the Manager | 6,710 | 20,126 | ||||||
Restricted stock granted to the independent directors | 2,500 | 4,000 | ||||||
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | ' | |||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three months ended March 31, 2014 and March 31, 2013: | ||||||||
Three Months Ended | Three Months Ended | |||||||
March 31, 2014 | March 31, 2013 | |||||||
Numerator: | ||||||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ | 27,818,888 | $ | 13,403,455 | ||||
Denominator: | ||||||||
Basic weighted average common shares outstanding | 28,371,419 | 27,280,531 | ||||||
Dilutive effect of manager and director restricted stock and warrants | 2,375 | 121,774 | ||||||
Dilutive weighted average common shares outstanding | 28,373,794 | 27,402,305 | ||||||
Basic Earnings/(Loss) Per Share of Common Stock: | $ | 0.98 | $ | 0.49 | ||||
Diluted Earnings/(Loss) Per Share of Common Stock: | $ | 0.98 | $ | 0.49 | ||||
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details Textual) | 3 Months Ended |
Mar. 31, 2014 | |
Significant Accounting Policies Disclosure [Line Items] | ' |
Description Of Real Estate Investment Trust For Federal Income Tax Purposes | 'As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i)85% of its ordinary income for such year, (ii)95% of its capital gain net income for such year, and (iii)any undistributed taxable income from the prior year, the Company would be subject to a nondeductible 4% excise tax on the excess of such required distribution over the sum of (i)the amounts actually distributed and (ii)the amounts of income retained and on which the Company has paid corporate income tax. |
Real_Estate_Securities_Details
Real Estate Securities (Details) (USD $) | 3 Months Ended | |||
Mar. 31, 2014 | Dec. 31, 2013 | |||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | $4,198,550,955 | $4,147,597,794 | ||
Premium (Discount) | -728,880,031 | -695,014,422 | ||
Amortized Cost | 3,469,670,924 | 3,452,583,372 | ||
Gross Unrealized Gain | 41,282,613 | [1] | 29,670,900 | [1] |
Gross Unrealized Losses | -32,371,390 | [1] | -50,437,682 | [1] |
Fair Value | 3,478,582,147 | 3,431,816,590 | ||
Weighted Average Coupon | 3.93% | 3.94% | ||
Weighted Average Yield | 4.01% | 3.94% | ||
Agency RMBS: 15 Year Fixed Rate [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 272,447,062 | 435,843,408 | ||
Premium (Discount) | 7,280,496 | 12,909,886 | ||
Amortized Cost | 279,727,558 | 448,753,294 | ||
Gross Unrealized Gain | 2,901,589 | [1] | 1,509,418 | [1] |
Gross Unrealized Losses | -11,256 | [1] | -2,662,880 | [1] |
Fair Value | 282,617,891 | 447,599,832 | ||
Weighted Average Coupon | 3.20% | 3.13% | ||
Weighted Average Yield | 2.55% | 2.50% | ||
Agency RMBS: 20 Year Fixed Rate [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 139,314,748 | 142,296,219 | ||
Premium (Discount) | 7,004,756 | 7,316,644 | ||
Amortized Cost | 146,319,504 | 149,612,863 | ||
Gross Unrealized Gain | 1,009,426 | [1] | 610,806 | [1] |
Gross Unrealized Losses | -2,070,113 | [1] | -3,166,423 | [1] |
Fair Value | 145,258,817 | 147,057,246 | ||
Weighted Average Coupon | 3.73% | 3.73% | ||
Weighted Average Yield | 2.86% | 2.89% | ||
Agency RMBS: 30 Year Fixed Rate [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 1,166,383,202 | 1,191,781,474 | ||
Premium (Discount) | 66,393,682 | 68,531,950 | ||
Amortized Cost | 1,232,776,884 | 1,260,313,424 | ||
Gross Unrealized Gain | 1,318,024 | [1] | 60,020 | [1] |
Gross Unrealized Losses | -20,206,331 | [1] | -30,868,697 | [1] |
Fair Value | 1,213,888,577 | 1,229,504,747 | ||
Weighted Average Coupon | 4.03% | 4.03% | ||
Weighted Average Yield | 3.25% | 3.28% | ||
Agency RMBS Fixed Rate CMO [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 97,000,000 | ' | ||
Premium (Discount) | 995,313 | ' | ||
Amortized Cost | 97,995,313 | ' | ||
Gross Unrealized Gain | 0 | [1] | ' | |
Gross Unrealized Losses | -296,913 | [1] | ' | |
Fair Value | 97,698,400 | ' | ||
Weighted Average Coupon | 3.00% | ' | ||
Weighted Average Yield | 2.88% | ' | ||
Agency RMBS: ARM [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 458,475,998 | 466,047,819 | ||
Premium (Discount) | -1,236,787 | -1,583,428 | ||
Amortized Cost | 457,239,211 | 464,464,391 | ||
Gross Unrealized Gain | 1,349,896 | [1] | 187,111 | [1] |
Gross Unrealized Losses | -1,062,888 | [1] | -2,864,107 | [1] |
Fair Value | 457,526,219 | 461,787,395 | ||
Weighted Average Coupon | 2.42% | 2.43% | ||
Weighted Average Yield | 2.83% | 2.78% | ||
Agency RMBS: Interest Only [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 756,169,856 | 736,263,003 | ||
Premium (Discount) | -621,724,778 | -601,525,564 | ||
Amortized Cost | 134,445,078 | 134,737,439 | ||
Gross Unrealized Gain | 5,843,842 | [1] | 5,083,736 | [1] |
Gross Unrealized Losses | -4,248,083 | [1] | -2,767,627 | [1] |
Fair Value | 136,040,837 | 137,053,548 | ||
Weighted Average Coupon | 4.94% | 4.92% | ||
Weighted Average Yield | 7.33% | 6.49% | ||
Non-Agency RMBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 1,096,949,615 | 962,852,550 | ||
Premium (Discount) | -137,889,476 | -132,283,547 | ||
Amortized Cost | 959,060,139 | 830,569,003 | ||
Gross Unrealized Gain | 25,633,054 | [1] | 20,615,586 | [1] |
Gross Unrealized Losses | -4,353,838 | [1] | -6,967,021 | [1] |
Fair Value | 980,339,355 | 844,217,568 | ||
Weighted Average Coupon | 4.06% | 4.19% | ||
Weighted Average Yield | 5.48% | 5.79% | ||
Credit Investments Abs [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 73,960,807 | 71,326,847 | ||
Premium (Discount) | -834,763 | -315,657 | ||
Amortized Cost | 73,126,044 | 71,011,190 | ||
Gross Unrealized Gain | 614,796 | [1] | 333,594 | [1] |
Gross Unrealized Losses | -79,811 | [1] | 0 | [1] |
Fair Value | 73,661,029 | 71,344,784 | ||
Weighted Average Coupon | 4.00% | 3.82% | ||
Weighted Average Yield | 4.64% | 4.07% | ||
CMBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 85,491,967 | 88,828,774 | ||
Premium (Discount) | -2,924,052 | -2,269,882 | ||
Amortized Cost | 82,567,915 | 86,558,892 | ||
Gross Unrealized Gain | 2,611,986 | [1] | 1,270,629 | [1] |
Gross Unrealized Losses | -27,137 | [1] | -902,786 | [1] |
Fair Value | 85,152,764 | 86,926,735 | ||
Weighted Average Coupon | 4.76% | 5.16% | ||
Weighted Average Yield | 6.41% | 6.53% | ||
Credit Investments Interest Only [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Current Face | 52,357,700 | 52,357,700 | ||
Premium (Discount) | -45,944,422 | -45,794,824 | ||
Amortized Cost | 6,413,278 | 6,562,876 | ||
Gross Unrealized Gain | 0 | [1] | 0 | [1] |
Gross Unrealized Losses | -15,020 | [1] | -238,141 | [1] |
Fair Value | $6,398,258 | $6,324,735 | ||
Weighted Average Coupon | 1.85% | 1.85% | ||
Weighted Average Yield | 5.71% | 5.71% | ||
[1] | We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). |
Real_Estate_Securities_Details1
Real Estate Securities (Details 1) (USD $) | 12 Months Ended | |
Dec. 31, 2013 | Mar. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than Twelve Months, Fair Value | $2,330,415,740 | $1,380,045,456 |
Less than Twelve Months, Unrealized Losses | -43,557,831 | -22,505,105 |
Greater than Twelve Months, Fair Value | 112,253,956 | 188,271,916 |
Greater than Twelve Months, Unrealized Losses | ($6,879,851) | ($9,866,285) |
Real_Estate_Securities_Details2
Real Estate Securities (Details 2) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Fair Value Less than or equal to 1 year | $0 | [1],[2] | $0 | [1],[3] |
Fair Value Greater than one year and less than or equal to five years | 346,450,124 | [1],[2] | 292,921,980 | [1],[3] |
Fair Value Greater than five years and less than or equal to ten years | 1,775,308,966 | [1],[2] | 1,514,649,739 | [1],[3] |
Fair Value Greater than ten years | 75,230,814 | [1],[2] | 478,377,501 | [1],[3] |
Fair Value Total | 2,196,989,904 | [1],[2] | 2,285,949,220 | [1],[3] |
Amortized Cost Less than or equal to 1 year | 0 | [1],[2] | 0 | [1],[3] |
Amortized Cost Greater than one year and less than or equal to five years | 343,353,264 | [1],[2] | 292,010,291 | [1],[3] |
Amortized Cost Greater than five years and less than or equal to ten years | 1,794,514,157 | [1],[2] | 1,534,246,672 | [1],[3] |
Amortized Cost Greater than ten years | 76,191,049 | [1],[2] | 496,887,009 | [1],[3] |
Amortized Cost Total | 2,214,058,470 | [1],[2] | 2,323,143,972 | [1],[3] |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | [1],[2] | 0.00% | [1],[3] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 3.09% | [1],[2] | 3.12% | [1],[3] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 3.58% | [1],[2] | 3.50% | [1],[3] |
Weighted Average Coupon Greater than ten years | 3.91% | [1],[2] | 3.73% | [1],[3] |
Weighted Average Coupon Total | 3.51% | [1],[2] | 3.50% | [1],[3] |
Residential Mortgage Backed Securities Interest Only Member [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Fair Value Less than or equal to 1 year | 0 | [1] | 5,406,120 | [1] |
Fair Value Greater than one year and less than or equal to five years | 83,056,233 | [1] | 109,110,653 | [1] |
Fair Value Greater than five years and less than or equal to ten years | 52,984,604 | [1] | 22,536,775 | [1] |
Fair Value Greater than ten years | 0 | [1] | 0 | [1] |
Fair Value Total | 136,040,837 | [1] | 137,053,548 | [1] |
Amortized Cost Less than or equal to 1 year | 0 | [1] | 4,739,053 | [1] |
Amortized Cost Greater than one year and less than or equal to five years | 81,931,840 | [1] | 107,278,916 | [1] |
Amortized Cost Greater than five years and less than or equal to ten years | 52,513,238 | [1] | 22,719,470 | [1] |
Amortized Cost Greater than ten years | 0 | [1] | 0 | [1] |
Amortized Cost Total | 134,445,078 | [1] | 134,737,439 | [1] |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | [1] | 0.00% | [1] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 4.89% | [1] | 5.11% | [1] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 5.04% | [1] | 4.48% | [1] |
Weighted Average Coupon Greater than ten years | 0.00% | [1] | 0.00% | [1] |
Weighted Average Coupon Total | 4.94% | [1] | 4.92% | [1] |
Non-Agency Rmbs [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Fair Value Less than or equal to 1 year | 0 | [1],[4] | 5,227,857 | [1],[5] |
Fair Value Greater than one year and less than or equal to five years | 440,571,472 | [1],[4] | 367,316,237 | [1],[5] |
Fair Value Greater than five years and less than or equal to ten years | 613,282,937 | [1],[4] | 513,581,646 | [1],[5] |
Fair Value Greater than ten years | 91,696,997 | [1],[4] | 122,688,082 | [1],[5] |
Fair Value Total | 1,145,551,406 | [1],[4] | 1,008,813,822 | [1],[5] |
Amortized Cost Less than or equal to 1 year | 0 | [1],[4] | 5,355,113 | [1],[5] |
Amortized Cost Greater than one year and less than or equal to five years | 429,360,454 | [1],[4] | 359,557,150 | [1],[5] |
Amortized Cost Greater than five years and less than or equal to ten years | 599,581,305 | [1],[4] | 504,612,828 | [1],[5] |
Amortized Cost Greater than ten years | 92,225,617 | [1],[4] | 125,176,870 | [1],[5] |
Amortized Cost Total | $1,121,167,376 | [1],[4] | $994,701,961 | [1],[5] |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | [1],[4] | 0.67% | [1],[5] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 3.90% | [1],[4] | 4.29% | [1],[5] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 3.89% | [1],[4] | 3.74% | [1],[5] |
Weighted Average Coupon Greater than ten years | 5.37% | [1],[4] | 5.56% | [1],[5] |
Weighted Average Coupon Total | 4.02% | [1],[4] | 4.14% | [1],[5] |
[1] | Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | |||
[2] | For purposes of this table, Agency RMBS held as of March 31, 2014 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year, Fixed Rate CMO and ARM. | |||
[3] | For purposes of this table, Agency RMBS held as of December 31, 2013 represent Fixed Rate 15 Year, Fixed Rate 20 Year, Fixed Rate 30 Year and ARM. | |||
[4] | For purposes of this table, Credit Investments held as of March 31, 2014 represent Non-Agency RMBS, ABS, CMBS and Interest Only. | |||
[5] | For purposes of this table, Credit Investments held as of December 31, 2013 represent Non-Agency RMBS, ABS, CMBS and Interest Only. |
Real_Estate_Securities_Details3
Real Estate Securities (Details Textual) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | $29,794,180 | $537,088,261 |
Commercial Real Estate [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Equity Method Investments | 28,000,000 | ' |
Equity Method Investment Weighted Average Yield | 11.93% | ' |
Residential Mortgage Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Debt Securities, Total | 600,000 | 1,100,000 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 600,000 | 1,100,000 |
Settled Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Number Of Securities Sold | 3 | 20 |
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 29,800,000 | 537,100,000 |
Unsettled Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Number Of Securities Sold | 7 | 1 |
Securities, Gross Realized Gains | 700,000 | 8,200,000 |
Securities, Gross Realized Losses | 700,000 | 3,600,000 |
Proceeds From Unsettled Securities | $152,500,000 | $125,000,000 |
Loans_Details
Loans (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | ||
Residential Mortgage [Member] | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | |
Current Face | $59,046,267 | [1] |
Premium (Discount) | -23,722,567 | [1] |
Amortized Cost | 35,323,700 | [1] |
Gross Unrealized Gains | 0 | [1],[2] |
Net Accrued Interest | -383,927 | [1],[2] |
Fair Value | 34,939,773 | [1] |
Weighted Average Coupon Rate | 5.05% | [1] |
Weighted Average Yield | 8.51% | [1] |
Weighted Average Useful Life | '5 years 9 months 25 days | [1] |
Commercial Loan [Member] | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | |
Current Face | 10,000,000 | |
Premium (Discount) | -72,167 | |
Amortized Cost | 9,927,833 | |
Gross Unrealized Gains | 72,167 | [2] |
Net Accrued Interest | 0 | [2] |
Fair Value | $10,000,000 | |
Weighted Average Coupon Rate | 12.50% | |
Weighted Average Yield | 14.94% | |
Weighted Average Useful Life | '2 years 4 months 13 days | |
[1] | Pool A is comprised of re-performing and non-performing loans with unpaid principal balances of $33.7 million and $25.3 million, respectively. | |
[2] | We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized stated above represents inception to date unrealized gains/(losses). |
Loans_Details_1
Loans (Details 1) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Current Property Value In Excess Of Hundred Percentage [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Concentration Risk, Percentage | 100.00% | ' |
Residential Mortgage [Member] | New York [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Concentration Risk, Percentage | 28.00% | 0.00% |
Residential Mortgage [Member] | Massachusetts [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Concentration Risk, Percentage | 6.00% | 0.00% |
Residential Mortgage [Member] | New Jersey [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Concentration Risk, Percentage | 6.00% | 0.00% |
Residential Mortgage [Member] | Current Property Value In Excess Of Hundred Percentage [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Concentration Risk, Percentage | 95.00% | 0.00% |
Loans_Details_2
Loans (Details 2) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Beginning Balance | $0 | $0 |
Additions | 17,159,216 | 0 |
Accretion | -243,898 | 0 |
Reclassifications from non-accretable difference | 0 | 0 |
Disposals | 0 | 0 |
Ending Balance | $16,915,318 | $0 |
Loans_Details_Textual
Loans (Details Textual) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2014 | Dec. 31, 2013 | ||
Current Property Value In Excess Of Hundred Percentage [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Concentration Risk, Percentage | 100.00% | ' | |
Secured By Properties [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Concentration Risk, Percentage | 5.00% | ' | |
Residential Mortgage [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 59,046,267 | [1] | ' |
Loans Receivable, Fair Value Disclosure | 34,939,773 | [1] | ' |
Loans and Leases Receivable, Gross, Total | 35,323,700 | [1] | ' |
Residential Mortgage [Member] | Current Property Value In Excess Of Hundred Percentage [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Concentration Risk, Percentage | 95.00% | 0.00% | |
Residential Mortgage [Member] | Performing Financing Receivable [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 33,700,000 | ' | |
Residential Mortgage [Member] | Nonperforming Financing Receivable [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 25,300,000 | ' | |
Pool A [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Certain Loans Acquired in Transfer Accounted for as Debt Securities, Acquired During Period, Contractually Required Payments Receivable at Acquisition | 59,000,000 | ' | |
Payments to Acquire Loans Receivable | 52,200,000 | ' | |
Commercial Loan [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Proceeds from Sale of Loans Held-for-sale | ' | 37,000,000 | |
Realized Gain On Sale of Loan | ' | 100,000 | |
Realized loss On Sale Of Loan | ' | 200,000 | |
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 10,000,000 | ' | |
Loans Receivable, Fair Value Disclosure | 10,000,000 | ' | |
Loans and Leases Receivable, Gross, Total | 9,927,833 | ' | |
loan Repurchase Facility [Member] | ' | ' | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Loans Receivable, Fair Value Disclosure | 19,000,000 | ' | |
[1] | Pool A is comprised of re-performing and non-performing loans with unpaid principal balances of $33.7 million and $25.3 million, respectively. |
Fair_Value_Measurements_Detail
Fair Value Measurements (Details) (Fair Value, Measurements, Recurring [Member], USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | ($3,165,510) | ($2,206,289) |
Obligation to return securities borrowed under reverse repurchase agreements [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -42,866,016 | -27,477,188 |
Derivative Assets [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 35,633,143 | 55,060,075 |
Residential mortgage loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 34,939,773 | ' |
Liabilities, Total [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -46,031,526 | -29,683,477 |
Assets, Total [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 3,601,103,035 | 3,536,378,562 |
Agency RMBS: 15 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 282,617,891 | 447,599,832 |
Agency RMBS: 20 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 145,258,817 | 147,057,246 |
Agency RMBS: 30 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 1,213,888,577 | 1,229,504,747 |
Agency RMBS: Fixed Rate CMO [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 97,698,400 | ' |
Agency RMBS: ARM [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 457,526,219 | 461,787,395 |
Agency RMBS: Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 136,040,837 | 137,053,548 |
Credit Investments Non-Agency Rmbs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 980,339,355 | 844,217,568 |
Credit Investments Abs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 73,661,029 | 71,344,784 |
Credit Investments CMBS [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 85,152,764 | 86,926,735 |
Credit Investments Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 6,398,258 | 6,324,735 |
Commercial Loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 10,000,000 | 0 |
Linked Transactions [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 41,947,972 | 49,501,897 |
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Obligation to return securities borrowed under reverse repurchase agreements [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -42,866,016 | -27,477,188 |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Residential mortgage loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | ' |
Fair Value, Inputs, Level 1 [Member] | Liabilities, Total [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -42,866,016 | -27,477,188 |
Fair Value, Inputs, Level 1 [Member] | Assets, Total [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 15 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 20 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: ARM [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments Non-Agency Rmbs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments Abs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments CMBS [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Commercial Loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Linked Transactions [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -3,165,510 | -2,206,289 |
Fair Value, Inputs, Level 2 [Member] | Obligation to return securities borrowed under reverse repurchase agreements [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 35,633,143 | 55,060,075 |
Fair Value, Inputs, Level 2 [Member] | Residential mortgage loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | ' |
Fair Value, Inputs, Level 2 [Member] | Liabilities, Total [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | -3,165,510 | -2,206,289 |
Fair Value, Inputs, Level 2 [Member] | Assets, Total [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 3,047,023,022 | 3,110,173,269 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 15 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 282,617,891 | 447,599,832 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 20 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 145,258,817 | 147,057,246 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 1,213,888,577 | 1,229,504,747 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 97,698,400 | ' |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 457,526,219 | 461,787,395 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 136,040,837 | 137,053,548 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments Non-Agency Rmbs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 599,094,406 | 534,377,006 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments Abs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments CMBS [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 47,227,819 | 62,954,692 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Commercial Loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Linked Transactions [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 32,036,913 | 34,778,728 |
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Obligation to return securities borrowed under reverse repurchase agreements [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Assets [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Residential mortgage loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 34,939,773 | ' |
Fair Value, Inputs, Level 3 [Member] | Liabilities, Total [Member] | ' | ' |
Liabilities | ' | ' |
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Assets, Total [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 554,080,013 | 426,205,293 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 15 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 20 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: ARM [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments Non-Agency Rmbs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 381,244,949 | 309,840,562 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments Abs [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 73,661,029 | 71,344,784 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments CMBS [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 37,924,945 | 23,972,043 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments Interest Only [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 6,398,258 | 6,324,735 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | 10,000,000 | 0 |
Fair Value, Inputs, Level 3 [Member] | Linked Transactions [Member] | ' | ' |
Assets | ' | ' |
Assets, Fair Value Disclosure | $9,911,059 | $14,723,169 |
Fair_Value_Measurements_Detail1
Fair Value Measurements (Details 1) (Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended | |||
Mar. 31, 2014 | Mar. 31, 2013 | |||
Residential Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | $0 | ' | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | ' | |
Transfers out of level 3 | 0 | [1] | ' | |
Purchases | 35,075,171 | ' | ||
Reclassification of security type | 0 | [2] | ' | |
Proceeds from sales | 0 | ' | ||
Proceeds from settlement | 0 | ' | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | -135,398 | ' | ||
Included in other comprehensive income (loss) | 0 | [3] | ' | |
Ending Balance | 34,939,773 | ' | ||
Change in unrealized appreciation/depreciation for level 3 assets | -135,398 | [4] | ' | |
Non-Agency Rmbs [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 309,840,562 | 255,043,557 | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 75,858,929 | 22,854,307 | ||
Reclassification of security type | 7,507,855 | [2] | 0 | [2] |
Proceeds from sales | -10,779,244 | -88,968,242 | ||
Proceeds from settlement | -4,119,236 | -3,056,564 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 2,936,083 | 6,516,109 | [5] | |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 381,244,949 | 192,389,167 | ||
Change in unrealized appreciation/depreciation for level 3 assets | 2,972,279 | [4] | 2,733,774 | [6] |
Credit Investments Abs [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 71,344,784 | 33,937,097 | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 3,022,000 | 27,993,404 | ||
Reclassification of security type | 6,562,500 | [2] | 0 | [2] |
Proceeds from sales | 0 | -28,086,094 | ||
Proceeds from settlement | -7,566,041 | -15,345,928 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 297,786 | -7,932 | [5] | |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 73,661,029 | 18,490,547 | ||
Change in unrealized appreciation/depreciation for level 3 assets | 297,786 | [4] | 84,376 | [6] |
CMBS [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 23,972,043 | 34,066,710 | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 0 | 0 | ||
Reclassification of security type | 12,683,116 | [2] | 0 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | -206,807 | -58,631 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 1,476,593 | 338,441 | [5] | |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 37,924,945 | 34,346,520 | ||
Change in unrealized appreciation/depreciation for level 3 assets | 1,476,593 | [4] | 338,441 | [6] |
Interest only [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 6,324,735 | 0 | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 0 | 7,048,720 | ||
Reclassification of security type | 0 | [2] | 0 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | 0 | 0 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 73,523 | -142,490 | [5] | |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 6,398,258 | 6,906,230 | ||
Change in unrealized appreciation/depreciation for level 3 assets | 73,523 | [4] | -142,490 | [6] |
Commercial Loans [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 0 | 0 | ||
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 9,927,833 | 30,017,825 | ||
Reclassification of security type | 0 | [2] | 0 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | 0 | 0 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 72,167 | [3] | -17,825 | [5] |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 10,000,000 | 30,000,000 | ||
Change in unrealized appreciation/depreciation for level 3 assets | 72,167 | [4] | -17,825 | [6] |
Linked Transactions [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ||
Beginning balance | 14,723,169 | [7] | 6,425,683 | |
Transfers: | ' | ' | ||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 1,640,500 | 2,658,169 | ||
Reclassification of security type | -5,740,156 | [2] | 0 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | -1,140,885 | -1,201,543 | ||
Total net gains/(losses) | ' | ' | ||
Included in net income | 428,431 | [3] | 261,366 | [5] |
Included in other comprehensive income (loss) | 0 | [3] | 0 | [5] |
Ending Balance | 9,911,059 | [7] | 8,143,675 | |
Change in unrealized appreciation/depreciation for level 3 assets | $372,793 | [4] | $261,366 | [6] |
[1] | Transfers are assumed to occur at the beginning of the period. | |||
[2] | Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link. | |||
[3] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Income from linked transactions, net $ - Unrealized gain on real estate securities and loans, net - Net realized gain - Total $ - | |||
[4] | Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Income from linked transactions, net $ - Unrealized gain on real estate securities and loans, net - Total $ - | |||
[5] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Gain on linked transactions, net $ 261,366 Unrealized loss on real estate securities and loans, net 2,265,711 Interest income 542,084 Net realized gain 3,878,508 Total $ 6,947,669 | |||
[6] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Gain on linked transactions, net $ 261,366 Unrealized loss on real estate securities and loans, net 2,454,192 Interest income 542,084 Total $ 3,257,642 | |||
[7] | Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments. |
Fair_Value_Measurements_Detail2
Fair Value Measurements (Details 2) (Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Condensed Income Statements, Captions [Line Items] | ' | ' |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | $5,149,185 | $6,947,669 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 5,129,743 | 3,257,642 |
Trading Securities [Member] | ' | ' |
Condensed Income Statements, Captions [Line Items] | ' | ' |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | -268,911 | 3,878,508 |
Interest Income [Member] | ' | ' |
Condensed Income Statements, Captions [Line Items] | ' | ' |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | ' | 542,084 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | ' | 542,084 |
Linked Transactions [Member] | ' | ' |
Condensed Income Statements, Captions [Line Items] | ' | ' |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | 428,431 | 261,366 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 372,793 | 261,366 |
Real Estate Securities And Loans [Member] | ' | ' |
Condensed Income Statements, Captions [Line Items] | ' | ' |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | 4,989,665 | 2,265,711 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $4,756,950 | $2,454,192 |
Fair_Value_Measurements_Detail3
Fair Value Measurements (Details 3) (Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | |||
Non-Agency Rmbs [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $381,244,949 | $309,840,562 | $192,389,167 | $255,043,557 | ||
Fair Value Measurements, Valuation Techniques | 'Discounted Cash Flow | 'Discounted Cash Flow | ' | ' | ||
Non-Agency Rmbs [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | 'Yield | ' | ' | ||
Non-Agency Rmbs [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.15% | 13.99% | ' | ' | ||
Non-Agency Rmbs [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 3.22% | 3.35% | ' | ' | ||
Non-Agency Rmbs [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 4.83% | 5.13% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Prepayments [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Prepayments | 'Projected Collateral Prepayments | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 12.00% | 12.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.34% | 3.51% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Losses [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Losses | 'Projected Collateral Losses | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 30.00% | 30.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Losses [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 6.78% | 7.93% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Severities [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Severities | 'Projected Collateral Severities | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 80.00% | 80.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Severities [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Non-Agency Rmbs [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 55.70% | 60.40% | ' | ' | ||
Abs [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 73,661,029 | 71,344,784 | 18,490,547 | 33,937,097 | ||
Fair Value Measurements, Valuation Techniques | 'Discounted Cash Flow | 'Discounted Cash Flow | ' | ' | ||
Abs [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | 'Yield | ' | ' | ||
Abs [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.67% | 5.39% | ' | ' | ||
Abs [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 3.72% | 3.78% | ' | ' | ||
Abs [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 4.64% | 4.07% | ' | ' | ||
Linked Transactions [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 9,911,059 | [1] | 14,723,169 | [1] | 8,143,675 | 6,425,683 |
Fair Value Measurements, Valuation Techniques | 'Discounted Cash Flow | [1] | 'Discounted Cash Flow | [1] | ' | ' |
Linked Transactions [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | [1] | 'Yield | [1] | ' | ' |
Linked Transactions [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 9.01% | [1] | 9.01% | [1] | ' | ' |
Linked Transactions [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 3.85% | [1] | 3.85% | [1] | ' | ' |
Linked Transactions [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 4.66% | [1] | 4.71% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Prepayments [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Prepayments | [1] | 'Projected Collateral Prepayments | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 12.00% | [1] | 12.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 4.00% | [1] | 0.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.31% | [1] | 2.43% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Losses [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Losses | [1] | 'Projected Collateral Losses | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 18.00% | [1] | 30.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Losses [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.00% | [1] | 0.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 12.68% | [1] | 12.83% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Severities [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Severities | [1] | 'Projected Collateral Severities | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 70.00% | [1] | 80.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Severities [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 30.00% | [1] | 0.00% | [1] | ' | ' |
Linked Transactions [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 45.15% | [1] | 41.37% | [1] | ' | ' |
Commercial Loans [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 10,000,000 | 0 | 30,000,000 | 0 | ||
Fair Value Measurements, Valuation Techniques | 'Market Comparable | ' | ' | ' | ||
Commercial Loans [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | ' | ' | ' | ||
Commercial Loans [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 14.94% | ' | ' | ' | ||
Commercial Loans [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 14.94% | ' | ' | ' | ||
Commercial Loans [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 14.94% | ' | ' | ' | ||
Credit Investments Interest Only [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 6,398,258 | 6,324,735 | 6,906,230 | 0 | ||
Fair Value Measurements, Valuation Techniques | 'Discounted Cash Flow | 'Discounted Cash Flow | ' | ' | ||
Credit Investments Interest Only [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | 'Yield | ' | ' | ||
Credit Investments Interest Only [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.72% | 5.72% | ' | ' | ||
Credit Investments Interest Only [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.70% | 5.70% | ' | ' | ||
Credit Investments Interest Only [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.71% | 5.71% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Prepayments [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Prepayments | 'Projected Collateral Prepayments | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 100.00% | 100.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 100.00% | 100.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 100.00% | 100.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Losses [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Losses | 'Projected Collateral Losses | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Losses [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Severities [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Severities | 'Projected Collateral Severities | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Severities [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Credit Investments Interest Only [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 37,924,945 | 23,972,043 | 34,346,520 | 34,066,710 | ||
Fair Value Measurements, Valuation Techniques | 'Discounted Cash Flow | 'Discounted Cash Flow | ' | ' | ||
CMBS [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | 'Yield | ' | ' | ||
CMBS [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 6.21% | 5.75% | ' | ' | ||
CMBS [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 4.88% | 4.88% | ' | ' | ||
CMBS [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 5.49% | 5.51% | ' | ' | ||
CMBS [Member] | Projected Collateral Prepayments [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Prepayments | 'Projected Collateral Prepayments | ' | ' | ||
CMBS [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Losses [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Losses | 'Projected Collateral Losses | ' | ' | ||
Fair Value Input Interest Rate | ' | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Losses [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Severities [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Projected Collateral Severities | 'Projected Collateral Severities | ' | ' | ||
CMBS [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Severities [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
CMBS [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 0.00% | 0.00% | ' | ' | ||
Residential Mortgage Backed Securities [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $34,939,773 | ' | ' | ' | ||
Fair Value Measurements, Valuation Techniques | 'Market Comparable | ' | ' | ' | ||
Residential Mortgage Backed Securities [Member] | Yield [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Measurements Unobservable Input Description | 'Yield | ' | ' | ' | ||
Residential Mortgage Backed Securities [Member] | Yield [Member] | Maximum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.51% | ' | ' | ' | ||
Residential Mortgage Backed Securities [Member] | Yield [Member] | Minimum [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.51% | ' | ' | ' | ||
Residential Mortgage Backed Securities [Member] | Yield [Member] | Weighted Average [Member] | ' | ' | ' | ' | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' | ' | ' | ||
Fair Value Input Interest Rate | 8.51% | ' | ' | ' | ||
[1] | Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments. |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | $3,050,138,438 | $2,891,634,416 |
Weighted Average Rate | 0.78% | 0.81% |
Weighted Average Haircut | 9.61% | 7.77% |
Residential mortgage loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 19,038,962 | ' |
Weighted Average Rate | 3.25% | ' |
Weighted Average Funding Cost | 3.60% | ' |
Weighted Average Haircut | 37.66% | ' |
30 days or less [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 1,850,181,064 | 1,357,768,314 |
Weighted Average Rate | 0.79% | 0.85% |
Weighted Average Haircut | 10.45% | 7.97% |
30 days or less [Member] | Residential mortgage loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 0 | ' |
Weighted Average Rate | 0.00% | ' |
Weighted Average Funding Cost | 0.00% | ' |
Weighted Average Haircut | 0.00% | ' |
31-60 days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 699,707,714 | 903,866,190 |
Weighted Average Rate | 0.61% | 0.54% |
Weighted Average Haircut | 7.37% | 4.46% |
31-60 days [Member] | Residential mortgage loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 0 | ' |
Weighted Average Rate | 0.00% | ' |
Weighted Average Funding Cost | 0.00% | ' |
Weighted Average Haircut | 0.00% | ' |
61-90 days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 258,749,660 | 250,387,000 |
Weighted Average Rate | 0.49% | 0.49% |
Weighted Average Haircut | 5.83% | 5.65% |
61-90 days [Member] | Residential mortgage loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 0 | ' |
Weighted Average Rate | 0.00% | ' |
Weighted Average Funding Cost | 0.00% | ' |
Weighted Average Haircut | 0.00% | ' |
Greater than 90 days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 241,500,000 | 379,612,912 |
Weighted Average Rate | 1.56% | 1.53% |
Weighted Average Haircut | 13.68% | 16.37% |
Greater than 90 days [Member] | Residential mortgage loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | $19,038,962 | ' |
Weighted Average Rate | 3.25% | ' |
Weighted Average Funding Cost | 3.60% | ' |
Weighted Average Haircut | 37.66% | ' |
Repurchase_Agreements_Details_
Repurchase Agreements (Details 1) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Schedule Of Securities Collateral Information Line Items [Line Items] | ' | ' |
Repurchase agreements secured by Agency RMBS | $2,171,778,100 | $2,104,691,819 |
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 2,310,785,213 | 2,235,331,133 |
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 878,360,338 | 786,942,597 |
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,131,466,636 | 1,008,813,822 |
Repurchase agreements secured by Residential Mortgage Loans | 19,038,962 | 0 |
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 29,933,511 | 0 |
Fair Value of Other Assets pledged | 607,785 | 0 |
Cash pledged (i.e., restricted cash) under repurchase agreements | $2,202 | $962,047 |
Repurchase_Agreements_Details_1
Repurchase Agreements (Details 2) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | ($3,069,177,400) | ($2,891,634,416) |
Gross Amounts Of Recognized Liabilities [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | 3,069,177,400 | 2,891,634,416 |
Gross Amounts Offset In The Statement Of Financial Position [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | 0 | 0 |
Net Amounts Of Liabilities Presented In The Statement Of Financial Position [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | 3,069,177,400 | 2,891,634,416 |
Gross Amounts Not Offset In The Statement Of Financial Instruments Posted [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | 3,069,177,400 | 2,891,634,416 |
Gross Amounts Not Offset In The Statement Of Cash Collateral Posted [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | 0 | 0 |
Net Amount [Member] | ' | ' |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ' | ' |
Repurchase agreements | $0 | $0 |
Repurchase_Agreements_Details_2
Repurchase Agreements (Details 3) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Credit Suisse [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount at Risk | $75,150,875 | $62,749,069 |
Weighted Average Maturity (days) | '41 days | '35 days |
Percentage of Stockholders' Equity | 10.50% | 8.90% |
Wells Fargo Bank, N.A [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount at Risk | 49,862,056 | 39,399,377 |
Weighted Average Maturity (days) | '115 days | '101 days |
Percentage of Stockholders' Equity | 7.10% | 5.60% |
Merrill Lynch, Pierce, Fenner Smith [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount at Risk | 49,250,652 | 51,047,394 |
Weighted Average Maturity (days) | '35 days | '34 days |
Percentage of Stockholders' Equity | 6.90% | 7.20% |
Royal Bank of Scotland [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount at Risk | 46,048,400 | ' |
Weighted Average Maturity (days) | '142 days | ' |
Percentage of Stockholders' Equity | 6.40% | ' |
JP Morgan [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount at Risk | $39,835,254 | ' |
Weighted Average Maturity (days) | '313 days | ' |
Percentage of Stockholders' Equity | 5.60% | ' |
Repurchase_Agreements_Details_3
Repurchase Agreements (Details Textual) (USD $) | 1 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | |||||||
Apr. 30, 2014 | Mar. 31, 2014 | Feb. 18, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | |
Credit Suisse [Member] | Credit Suisse [Member] | Merrill Lynch, Pierce, Fenner Smith [Member] | Merrill Lynch, Pierce, Fenner Smith [Member] | Wells Fargo Bank, N.A [Member] | Wells Fargo Bank, N.A [Member] | Royal Bank of Scotland [Member] | JP Morgan [Member] | Linked Transactions [Member] | Linked Transactions [Member] | Linked Transactions [Member] | Linked Transactions [Member] | Linked Transactions [Member] | Linked Transactions [Member] | |||||
Credit Suisse [Member] | Credit Suisse [Member] | Royal Bank of Scotland [Member] | JP Morgan [Member] | |||||||||||||||
Repurchase Agreement Disclosure [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Holders Equity Percentage At Risk | ' | 5.00% | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Adjusted Tangible Net Worth | $430,000,000 | ' | $430,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Liquidity Available | 30,000,000 | ' | 30,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum Unrestricted Cash To Be Maintained | 5,000,000 | ' | 5,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Maximum borrowing capacity on renewal of repurchase agreement | 165,000,000 | 100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase Agreement Counterparty, Amount at Risk | ' | ' | ' | ' | 75,150,875 | 62,749,069 | 49,250,652 | 51,047,394 | 49,862,056 | 39,399,377 | 46,048,400 | 39,835,254 | 186,600,000 | 222,800,000 | 82,100,000 | 72,100,000 | 54,100,000 | 41,200,000 |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | ' | ' | ' | ' | '41 days | '35 days | '35 days | '34 days | '115 days | '101 days | '142 days | '313 days | ' | ' | '41 days | '30 days | '147 days | '309 days |
Debt Outstanding Under Repurchase Agreement | ' | $106,500,000 | ' | ' | ' | ' | ' | ' | $19,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cost Method Investment Ownership Percentage | ' | ' | ' | ' | 10.50% | 8.90% | 6.90% | 7.20% | 7.10% | 5.60% | 6.40% | 5.60% | ' | ' | 11.50% | 10.20% | 7.60% | 5.80% |
Debt Instrument, Maturity Date | 13-Apr-15 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivatives_Details
Derivatives (Details) (Non-Hedge [Member], USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Notional amount of Interest Rate Swap Agreements [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | ($2,680,444) | ($1,439,688) |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Asset at Fair Value | 34,970,918 | 54,418,115 |
TBAs [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -227,619 | 0 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Asset at Fair Value | 118,205 | 0 |
Linked transactions, at fair value [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Asset at Fair Value | 41,947,972 | 49,501,897 |
Swaption [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -257,447 | -559,858 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Asset at Fair Value | 531,750 | 641,960 |
MBS Options, at fair value [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 0 | -206,743 |
IO Index [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Asset at Fair Value | $12,270 | $0 |
Derivatives_Details_1
Derivatives (Details 1) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Notional Amount | $1,930,000,000 | $2,145,000,000 | ||
Notional amount of Interest Rate Swap Agreements [Member] | Non-Hedge [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Notional Amount | 1,930,000,000 | [1] | 2,145,000,000 | [1] |
Notional amount of Linked Transactions [Member] | Non-Hedge [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Notional Amount | 246,612,695 | [2] | 291,734,071 | [2] |
Net notional amount of Swaptions [Member] | Non-Hedge [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Notional Amount | $172,000,000 | $115,000,000 | ||
[1] | Includes forward starting swaps with a notional of $100.0 million as of December 31, 2013. | |||
[2] | This represents the current face of the securities comprising linked transactions. |
Derivatives_Details_2
Derivatives (Details 2) (Not Designated as Hedging Instrument [Member], USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Option on Securities [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | $38,774 | $0 |
Net realized gain | 19,531 | 0 |
Interest Rate Swaps, At Fair Value [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | -18,463,039 | 5,091,011 |
Net realized gain | 619,643 | -788,274 |
Swaption [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | -119,049 | 0 |
Net realized gain | 445,000 | 0 |
TBAs [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | -109,414 | 132,230 |
Net realized gain | 0 | -339,258 |
Linked Transactions [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | 4,259,130 | 5,838,219 |
Net realized gain | -132,389 | 339,669 |
IO Index [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | -34,606 | 0 |
Net realized gain | 129,761 | 0 |
Short Positions In US Treasurys [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain/(loss) on derivative and other instruments, net | ($493,381) | $0 |
Derivatives_Details_3
Derivatives (Details 3) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | $42,258,121 | [1] | $60,230,127 | [2] |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | [1] | 0 | [2] |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 42,258,121 | [1] | 60,230,127 | [2] |
Financial Instruments (Posted)/Received, Total Derivative Assets | 0 | [1] | 0 | [2] |
Cash Collateral (Posted)/Received, Total Derivative Assets | 20,477,974 | [1] | 30,567,000 | [2] |
Net Amount, Total Derivative Assets | 21,780,147 | [1] | 29,663,127 | [2] |
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Liabilities | -2,065,899 | -1,876,666 | ||
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Liabilities | 0 | 0 | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Liabilities | -2,065,899 | -1,876,666 | ||
Financial Instruments (Posted)/Received, Total Derivative Liabilities | -227,619 | 0 | ||
Cash Collateral (Posted)/Received, Total Derivative Liabilities | 0 | -1,110,065 | ||
Net Amount, Total Derivative Assets | -1,838,280 | -766,601 | ||
Swaption [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 531,750 | [1] | 641,960 | [2] |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | [1] | 0 | [2] |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 531,750 | [1] | 641,960 | [2] |
Financial Instruments (Posted)/Received, Total Derivative Assets | 0 | [1] | 0 | [2] |
Cash Collateral (Posted)/Received, Total Derivative Assets | 0 | [1] | 0 | [2] |
Net Amount, Total Derivative Assets | 531,750 | [1] | 641,960 | [2] |
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Liabilities | -257,447 | -559,858 | ||
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Liabilities | 0 | 0 | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Liabilities | -257,447 | -559,858 | ||
Financial Instruments (Posted)/Received, Total Derivative Liabilities | 0 | 0 | ||
Cash Collateral (Posted)/Received, Total Derivative Liabilities | 0 | 0 | ||
Net Amount, Total Derivative Assets | -257,447 | -559,858 | ||
Interest Rate Swaps, At Fair Value [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 41,595,895 | [1] | 59,588,167 | [2] |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | [1] | 0 | [2] |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 41,595,895 | [1] | 59,588,167 | [2] |
Financial Instruments (Posted)/Received, Total Derivative Assets | 0 | [1] | 0 | [2] |
Cash Collateral (Posted)/Received, Total Derivative Assets | 20,477,974 | [1] | 30,567,000 | [2] |
Net Amount, Total Derivative Assets | 21,117,921 | [1] | 29,021,167 | [2] |
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Liabilities | -1,580,833 | -1,110,065 | ||
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Liabilities | 0 | 0 | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Liabilities | -1,580,833 | -1,110,065 | ||
Financial Instruments (Posted)/Received, Total Derivative Liabilities | 0 | 0 | ||
Cash Collateral (Posted)/Received, Total Derivative Liabilities | 0 | -1,110,065 | ||
Net Amount, Total Derivative Assets | -1,580,833 | 0 | ||
Repurchase Agreements [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 43,318,750 | 27,475,000 | ||
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | 0 | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 43,318,750 | 27,475,000 | ||
Financial Instruments (Posted)/Received, Total Derivative Assets | 42,866,016 | 27,475,000 | ||
Cash Collateral (Posted)/Received, Total Derivative Assets | 0 | 0 | ||
Net Amount, Total Derivative Assets | 452,734 | 0 | ||
TBA [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 118,205 | [1] | ' | |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | [1] | ' | |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 118,205 | [1] | ' | |
Financial Instruments (Posted)/Received, Total Derivative Assets | 0 | [1] | ' | |
Cash Collateral (Posted)/Received, Total Derivative Assets | 0 | [1] | ' | |
Net Amount, Total Derivative Assets | 118,205 | [1] | ' | |
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Liabilities | -227,619 | ' | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Liabilities | -227,619 | ' | ||
Financial Instruments (Posted)/Received, Total Derivative Liabilities | -227,619 | ' | ||
Cash Collateral (Posted)/Received, Total Derivative Liabilities | 0 | ' | ||
Net Amount, Total Derivative Assets | 0 | ' | ||
Linked Transactions [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 228,164,945 | [3] | 272,261,350 | [4] |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | -186,578,959 | [3] | -222,846,315 | [4] |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 41,585,986 | [3] | 49,415,035 | [4] |
Financial Instruments (Posted)/Received, Total Derivative Assets | -41,585,986 | [3] | -49,415,035 | [4] |
Cash Collateral (Posted)/Received, Total Derivative Assets | 0 | [3] | 0 | [4] |
Net Amount, Total Derivative Assets | 0 | [3] | 0 | [4] |
IO Index [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Assets | 12,271 | [1] | ' | |
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Assets | 0 | [1] | ' | |
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Assets | 12,271 | [1] | ' | |
Financial Instruments (Posted)/Received, Total Derivative Assets | 0 | [1] | ' | |
Cash Collateral (Posted)/Received, Total Derivative Assets | 0 | [1] | ' | |
Net Amount, Total Derivative Assets | 12,271 | [1] | ' | |
MBS Options [Member] | ' | ' | ||
Schedule Of Gross And Net Information About Derivative Instruments Line Items [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets (Liabilities), Total Derivative Liabilities | ' | -206,743 | ||
Gross Amounts Offset in the Statement of Financial Position, Total Derivative Liabilities | ' | 0 | ||
Net Amounts of Assets (Liabilities) Presented in the Statement of Financial Position, Total Derivative Liabilities | ' | -206,743 | ||
Financial Instruments (Posted)/Received, Total Derivative Liabilities | ' | 0 | ||
Cash Collateral (Posted)/Received, Total Derivative Liabilities | ' | 0 | ||
Net Amount, Total Derivative Assets | ' | ($206,743) | ||
[1] | Included in Derivative Assets on the consolidated balance sheet is $42,258,121 less accrued interest of $(6,624,978) for a total of $35,633,143. | |||
[2] | Included in Derivative Assets on the consolidated balance sheet is $60,230,127 less accrued interest of $(5,170,052) for a total of $55,060,075. | |||
[3] | Included in Linked Transactions on the consolidated balance sheet is security fair market value of $228,164,945, repurchase agreements of $186,578,959 and net accrued interest of $361,986 for a total of $41,947,972. | |||
[4] | Included in Linked Transactions on the consolidated balance sheet is security fair market value of $272,261,350, repurchase agreements of $(222,846,315) and net accrued interest of $86,862 for a total of $49,501,897. |
Derivatives_Details_4
Derivatives (Details 4) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2014 | Dec. 31, 2013 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | $1,930,000,000 | $2,145,000,000 | |
Weighted Average Pay Rate | 1.56% | 1.43% | |
Weighted Average Receive Rate | 0.24% | 0.30% | |
Weighted Average Years to Maturity | '5 years 10 months 2 days | '5 years 8 months 1 day | |
2016 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 160,000,000 | 260,000,000 | [1] |
Weighted Average Pay Rate | 0.85% | 0.62% | [1] |
Weighted Average Receive Rate | 0.23% | 0.71% | [1] |
Weighted Average Years to Maturity | '2 years 1 month 28 days | '2 years 7 months 17 days | [1] |
2017 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 175,000,000 | 275,000,000 | |
Weighted Average Pay Rate | 0.98% | 1.02% | |
Weighted Average Receive Rate | 0.24% | 0.24% | |
Weighted Average Years to Maturity | '3 years 6 months 18 days | '3 years 9 months 29 days | |
2018 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 405,000,000 | 490,000,000 | |
Weighted Average Pay Rate | 1.17% | 1.15% | |
Weighted Average Receive Rate | 0.24% | 0.24% | |
Weighted Average Years to Maturity | '4 years 2 months 23 days | '4 years 5 months 5 days | |
2019 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 275,000,000 | 260,000,000 | |
Weighted Average Pay Rate | 1.29% | 1.27% | |
Weighted Average Receive Rate | 0.23% | 0.25% | |
Weighted Average Years to Maturity | '5 years 4 months 10 days | '5 years 7 months 20 days | |
2020 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 450,000,000 | 450,000,000 | |
Weighted Average Pay Rate | 1.62% | 1.62% | |
Weighted Average Receive Rate | 0.24% | 0.24% | |
Weighted Average Years to Maturity | '6 years | '6 years 3 months | |
2022 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 50,000,000 | 50,000,000 | |
Weighted Average Pay Rate | 1.69% | 1.69% | |
Weighted Average Receive Rate | 0.24% | 0.24% | |
Weighted Average Years to Maturity | '8 years 5 months 5 days | '8 years 8 months 5 days | |
2023 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 340,000,000 | 340,000,000 | |
Weighted Average Pay Rate | 2.49% | 2.49% | |
Weighted Average Receive Rate | 0.23% | 0.24% | |
Weighted Average Years to Maturity | '9 years 3 months 22 days | '9 years 6 months 22 days | |
2024 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | 55,000,000 | ' | |
Weighted Average Pay Rate | 2.75% | ' | |
Weighted Average Receive Rate | 0.24% | ' | |
Weighted Average Years to Maturity | '9 years 11 months 5 days | ' | |
2028 [Member] | ' | ' | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ' | ' | |
Derivative, Notional Amount | $20,000,000 | $20,000,000 | |
Weighted Average Pay Rate | 3.47% | 3.47% | |
Weighted Average Receive Rate | 0.23% | 0.25% | |
Weighted Average Years to Maturity | '14 years 8 months 19 days | '14 years 11 months 19 days | |
[1] | This figure includes a forward starting swap with a total notional of $100.0 million and a start date of December 23, 2015. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2013. |
Derivatives_Details_5
Derivatives (Details 5) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 |
TBAs [Member] | TBAs [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | ' | ' | ' | ' |
Beginning Notional Amount | $1,930,000,000 | $2,145,000,000 | $0 | $40,000,000 |
Additions | ' | ' | 147,000,000 | 210,000,000 |
Sale or Settlement | ' | ' | -147,000,000 | -210,000,000 |
Ending Net Notional Amount | 1,930,000,000 | 2,145,000,000 | 0 | 40,000,000 |
Net Fair Value as of Period End | ' | ' | 0 | 41,139,064 |
Net Payable To Broker | -20,487,000 | -30,567,000 | -109,414 | -41,144,531 |
Derivative Asset | 35,633,143 | 55,060,075 | 118,205 | 412,703 |
Derivative Liability | ($3,165,510) | ($2,206,289) | ($227,619) | ($418,170) |
Derivatives_Details_6
Derivatives (Details 6) (USD $) | 3 Months Ended | ||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |
Linked Transaction Disclosure [Line Items] | ' | ' | ' |
Current Face | $1,930,000,000 | ' | $2,145,000,000 |
Net Accrued Interest | 2,695,609 | ' | 3,839,045 |
Net Interest Income | 27,996,153 | 31,741,754 | ' |
Unrealized Gain/(Loss) | -253,779 | 2,627,577 | ' |
Repurchase Agreement | 3,050,138,438 | ' | 2,891,634,416 |
Weighted Average Interest Rate | 0.78% | ' | 0.81% |
Linked Transaction Securities [Member] | ' | ' | ' |
Linked Transaction Disclosure [Line Items] | ' | ' | ' |
Current Face | 246,612,695 | 515,429,104 | ' |
Amortized Cost | 220,394,534 | 466,604,174 | ' |
Fair Value | 228,164,945 | 477,372,338 | ' |
Net Accrued Interest | 361,986 | 1,359,965 | ' |
Net Interest Income | 4,512,909 | 3,210,642 | ' |
Unrealized Gain/(Loss) | -253,779 | 2,627,577 | ' |
Net Realized Gain/(Loss) | -132,389 | 339,669 | ' |
Amount Included in Statement of Operations | 4,126,741 | 6,177,888 | ' |
Weighted Average Coupon | 3.57% | 4.85% | ' |
Weighted Average Life | '5 years 6 months 25 days | '5 years 10 months 24 days | ' |
Repurchase Agreement | 186,578,959 | 375,195,253 | ' |
Weighted Average Interest Rate | 1.88% | 1.97% | ' |
Weighted Average Years to Maturity | '1 month 28 days | '22 days | ' |
Non-Agency Rmbs [Member] | Linked Transaction Securities [Member] | ' | ' | ' |
Linked Transaction Disclosure [Line Items] | ' | ' | ' |
Current Face | 236,612,695 | 496,559,104 | ' |
Amortized Cost | 211,115,545 | 448,887,608 | ' |
Fair Value | 218,648,145 | 459,268,058 | ' |
Net Accrued Interest | 365,615 | 1,322,686 | ' |
Net Interest Income | 4,368,207 | 3,052,876 | ' |
Unrealized Gain/(Loss) | -377,808 | 2,169,017 | ' |
Net Realized Gain/(Loss) | 35,033 | 339,669 | ' |
Amount Included in Statement of Operations | 4,025,432 | 5,561,562 | ' |
Weighted Average Coupon | 3.70% | 4.93% | ' |
Weighted Average Life | '5 years 9 months 4 days | '5 years 11 months 8 days | ' |
Repurchase Agreement | 180,103,626 | 360,317,253 | ' |
Weighted Average Interest Rate | 1.89% | 2.00% | ' |
Weighted Average Years to Maturity | '1 month 28 days | '22 days | ' |
CMBS [Member] | Linked Transaction Securities [Member] | ' | ' | ' |
Linked Transaction Disclosure [Line Items] | ' | ' | ' |
Current Face | 10,000,000 | 18,870,000 | ' |
Amortized Cost | 9,278,989 | 17,716,566 | ' |
Fair Value | 9,516,800 | 18,104,280 | ' |
Net Accrued Interest | -3,629 | 37,279 | ' |
Net Interest Income | 144,702 | 157,766 | ' |
Unrealized Gain/(Loss) | 124,029 | 458,560 | ' |
Net Realized Gain/(Loss) | -167,422 | 0 | ' |
Amount Included in Statement of Operations | 101,309 | 616,326 | ' |
Weighted Average Coupon | 0.40% | 2.87% | ' |
Weighted Average Life | '1 year 14 days | '4 years 9 months | ' |
Repurchase Agreement | $6,475,333 | $14,878,000 | ' |
Weighted Average Interest Rate | 1.56% | 1.29% | ' |
Weighted Average Years to Maturity | '22 days | '22 days | ' |
Derivatives_Details_Textual
Derivatives (Details Textual) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | $1,930,000,000 | ' | $2,145,000,000 |
Net Realized Gains From Unlinking Of Linked Transactions | 200,000 | ' | ' |
Linked transactions, net, at fair value | 41,947,972 | ' | 49,501,897 |
Balance | 3,050,138,438 | ' | 2,891,634,416 |
Interest payable | 2,695,609 | ' | 3,839,045 |
Derivative Assets Before Accrued Interest | 42,258,121 | ' | 60,230,127 |
Derivative Assets Accrued Interest | -6,624,978 | ' | -5,170,052 |
Derivative Assets, At Fair Value | 35,633,143 | ' | 55,060,075 |
Derivative Liabilities Before Accrued Interest | -2,065,899 | ' | -1,876,666 |
Derivative Liabilities Accrued Interest | -1,099,611 | ' | -329,623 |
Derivative Liabilities, At Fair Value | -3,165,510 | ' | -2,206,289 |
Linked Transactions [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Linked transactions, net, at fair value | 41,947,972 | ' | 49,501,897 |
Linked Securities Fair Value | 228,164,945 | ' | 272,261,350 |
Balance | 186,578,959 | ' | 222,846,315 |
Interest payable | 361,986 | ' | 86,862 |
Linked Transactions [Member] | Repurchase Agreements [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | 228,200,000 | ' | 272,300,000 |
Non-Agency Rmbs [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | 7,500,000 | 13,200,000 | ' |
Repurchase Agreement Borrowing Security | 6,400,000 | ' | 11,600,000 |
Net Realized Gains From Unlinking Of Linked Transactions | ' | 300,000 | ' |
Net Realized Losses From Unlinking Of Linked Transactions | 0 | ' | ' |
Forward Contracts [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | ' | ' | 100,000,000 |
CMBS [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | 12,700,000 | ' | ' |
Repurchase Agreement Borrowing Security | 9,700,000 | ' | ' |
ABS [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | 6,600,000 | ' | ' |
Repurchase Agreement Borrowing Security | 4,900,000 | ' | ' |
Restricted Cash [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative Asset, Notional Amount | 20,500,000 | ' | 2,600,000 |
Derivative Liability, Notional Amount | ' | ' | 30,600,000 |
US Treasury Securities [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | 42,900,000 | ' | 27,500,000 |
Fair Value Of Borrowed Securities Under Reverse Repurchase agreement | 43,000,000 | ' | 28,000,000 |
Repurchase agreement Securities Maturity Period | '7 years 6 months | ' | '6 years 7 months 6 days |
Collateralized Securities Under Reverse repurchase Agreement | 43,300,000 | ' | 27,500,000 |
Real Estate Investment [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Securities Held as Collateral, at Fair Value | $6,900,000 | ' | $7,000,000 |
Earnings_per_Share_Details
Earnings per Share (Details) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 |
Class of Warrant or Right [Line Items] | ' | ' | ' |
Warrants | 1,007,500 | ' | 1,207,500 |
Common stock, shares outstanding | 28,371,419 | 28,365,655 | ' |
Manager [Member] | ' | ' | ' |
Class of Warrant or Right [Line Items] | ' | ' | ' |
Common stock, shares outstanding | 6,710 | ' | 20,126 |
Directors [Member] | ' | ' | ' |
Class of Warrant or Right [Line Items] | ' | ' | ' |
Common stock, shares outstanding | 2,500 | ' | 4,000 |
Earnings_per_Share_Details_1
Earnings per Share (Details 1) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Numerator: | ' | ' |
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $27,818,888 | $13,403,455 |
Denominator: | ' | ' |
Basic weighted average common shares outstanding (in shares) | 28,371,419 | 27,280,531 |
Dilutive effect of manager and director restricted stock and warrants (in shares) | 2,375 | 121,774 |
Dilutive weighted average common shares outstanding (in shares) | 28,373,794 | 27,402,305 |
Basic Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $0.98 | $0.49 |
Diluted Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $0.98 | $0.49 |
Income_Taxes_Details_Textual
Income Taxes (Details Textual) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Income Tax Disclosure [Line Items] | ' | ' |
Income Tax Expense (Benefit) | $0 | $2,632,269 |
Sale Of Investments [Member] | ' | ' |
Income Tax Disclosure [Line Items] | ' | ' |
Income Tax Expense (Benefit) | $0 | $2,600,000 |
Related_Party_Transactions_Det
Related Party Transactions (Details Textual) (USD $) | 3 Months Ended | 0 Months Ended | |||
Mar. 31, 2014 | Mar. 31, 2013 | Jul. 06, 2011 | Jul. 06, 2011 | Jul. 06, 2011 | |
Fifth Independent Director [Member] | Manager Equity Incentive Plan [Member] | Equity Incentive Plan [Member] | |||
Related Party Transaction [Line Items] | ' | ' | ' | ' | ' |
Management fee to affiliate | $2,500,525 | $2,859,340 | ' | ' | ' |
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | ' | ' | ' | 40,250 | 1,500 |
Share-Based Compensation Arrangement By Share-Based Payment Award, Shares Issued In Period | 214,528 | ' | ' | 277,500 | ' |
Noninterest Expense Directors Fees | 90,000 | ' | ' | ' | ' |
Non Reimbursable expenses Incurred By Manager | $1,700,000 | $1,300,000 | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | ' | ' | 500 | ' | ' |
Management Fee Percentage | 1.50% | ' | ' | ' | ' |
Equity_Details_Textual
Equity (Details Textual) (USD $) | 0 Months Ended | 1 Months Ended | 0 Months Ended | 1 Months Ended | 3 Months Ended | 1 Months Ended | 0 Months Ended | 3 Months Ended | 0 Months Ended | 1 Months Ended | 3 Months Ended | 0 Months Ended | 1 Months Ended | 0 Months Ended | 1 Months Ended | ||||||||
Aug. 03, 2012 | Sep. 27, 2012 | Aug. 15, 2012 | Jan. 24, 2012 | Mar. 31, 2014 | Mar. 31, 2013 | Jul. 13, 2012 | Dec. 26, 2012 | Aug. 15, 2012 | Sep. 06, 2012 | Mar. 31, 2014 | Aug. 03, 2012 | Sep. 27, 2012 | Mar. 31, 2013 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Aug. 15, 2012 | Jan. 24, 2012 | Aug. 03, 2012 | Sep. 27, 2012 | |
Public Offering [Member] | Public Offering [Member] | Sale Agents [Member] | Sale Agents [Member] | 8.25% Series A Cumulative Redeemable Preferred Stock [Member] | 8.00% Series B Cumulative Redeemable Preferred Stock [Member] | Cash Less Warrants [Member] | Cash Excercise Warrants [Member] | Quarterly Distribution [Member] | Quarterly Distribution [Member] | Distribution [Member] | Distribution [Member] | Underwriters Over-Allotment Option [Member] | Underwriters Over-Allotment Option [Member] | Underwriters Over-Allotment Option [Member] | Underwriters Over-Allotment Option [Member] | ||||||||
Series A Preferred Stock [Member] | Series B Preferred Stocks [Member] | Series A Preferred Stock [Member] | Series B Preferred Stocks [Member] | 8.25% Series A Cumulative Redeemable Preferred Stock [Member] | 8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Issued During Period Shares New Issues | ' | ' | ' | 5,000,000 | ' | ' | ' | 3,750,000 | 6,000,000 | 3,000,000 | 1,254,854 | 1,800,000 | 4,000,000 | ' | ' | ' | ' | ' | ' | 900,000 | 750,000 | 270,000 | 600,000 |
Sale of Stock, Price Per Share | ' | ' | ' | ' | ' | ' | ' | $24.33 | ' | ' | ' | ' | $25 | ' | ' | ' | ' | ' | ' | $23.29 | $19 | $25 | ' |
Proceeds from issuance of common stock | ' | ' | $160,700,000 | $109,300,000 | $0 | $14,791,745 | ' | $91,200,000 | ' | ' | ' | $51,800,000 | $115,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Offering costs paid | ' | ' | ' | 5,300,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds From Issuance Of Common Stock Net | ' | ' | 152,700,000 | 104,000,000 | ' | ' | ' | 87,500,000 | ' | ' | 31,300,000 | 49,900,000 | 111,300,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 11,371 | 146,250 | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Issued During Period, Value, Stock Options Exercised | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $25 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Capital Available For Issuance | ' | ' | ' | ' | 549,500,000 | ' | 1,000,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividend | 8.25% | 8.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common Stock, Dividends, Per Share, Declared | ' | ' | ' | ' | $0.60 | $0.80 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends, Common Stock, Total | ' | ' | ' | ' | $17,000,000 | $22,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, Dividends Per Share, Declared | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.52 | $0.50 | $0.52 | $0.50 | ' | ' | ' | ' |