Document_And_Entity_Informatio
Document And Entity Information | 3 Months Ended | |
Mar. 31, 2015 | Apr. 30, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | MITT | |
Entity Common Stock, Shares Outstanding | 28,389,211 | |
Entity Registrant Name | AG Mortgage Investment Trust, Inc. | |
Entity Central Index Key | 1514281 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Accelerated Filer |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Assets | ||
Residential mortgage loans, at fair value -$72,247,373 and $73,407,869 pledged as collateral, respectively | $82,392,720 | $85,089,859 |
Commercial loans, at fair value - $62,800,000 pledged as collateral | 72,800,000 | 72,800,000 |
Investments in affiliates | 33,125,334 | 20,345,131 |
Excess mortgage servicing rights, at fair value | 579,734 | 628,367 |
Linked transactions, net, at fair value | 0 | 26,695,091 |
Cash and cash equivalents | 42,107,692 | 64,363,514 |
Restricted cash | 30,655,747 | 34,477,975 |
Interest receivable | 11,789,233 | 11,886,019 |
Receivable under reverse repurchase agreements | 25,125,000 | 0 |
Derivative assets, at fair value | 4,031,370 | 11,382,622 |
Other assets | 10,142,710 | 10,543,072 |
Due from broker | 4,826,056 | 4,586,912 |
Total Assets | 3,559,704,682 | 3,458,405,131 |
Liabilities | ||
Repurchase agreements | 2,670,615,233 | 2,644,955,948 |
Securitized debt | 38,405,163 | 39,777,914 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 25,009,766 | 0 |
Payable on unsettled trades | 63,437,176 | 0 |
Interest payable | 2,598,608 | 2,461,494 |
Derivative liabilities, at fair value | 8,812,676 | 8,608,209 |
Dividend payable | 17,032,569 | 17,031,609 |
Due to affiliates | 4,416,366 | 4,850,807 |
Accrued expenses | 2,376,904 | 2,285,339 |
Taxes payable | 596,191 | 1,743,516 |
Due to broker | 1,258,715 | 4,015,152 |
Total Liabilities | 2,834,559,367 | 2,725,729,988 |
Stockholders' Equity | ||
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,387,615 and 28,386,015 shares issued and outstanding at March 31, 2015 and December 31, 2014, respectively | 283,877 | 283,861 |
Additional paid-in capital | 586,158,388 | 586,051,751 |
Retained earnings/(deficit) | -22,510,955 | -14,874,474 |
Total Stockholders' Equity | 725,145,315 | 732,675,143 |
Total Liabilities & Stockholders' Equity | 3,559,704,682 | 3,458,405,131 |
US Treasury Securities [Member] | ||
Assets | ||
U.S. Treasury securities, at fair value - $75,509,766 and $0 pledged as collateral, respectively | 100,679,688 | |
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: | 1,717,271,435 | 1,808,314,746 |
Non-Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 1,249,988,396 | 1,140,077,928 |
ABS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 69,067,254 | 66,693,243 |
CMBS [Member] | ||
Assets | ||
Real estate securities, at fair value: | $105,122,313 | $100,520,652 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets [Parenthetical] (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
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 | 28,387,615 | 28,386,015 |
Common stock, shares outstanding | 28,387,615 | 28,386,015 |
US Treasury Securities [Member] | ||
Loans Pledged as Collateral (in dollars) | $75,509,766 | $0 |
Residential mortgage loans [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 72,247,373 | 73,407,869 |
Commercial Loan [Member] | ||
Loans Pledged as Collateral (in dollars) | 62,800,000 | |
Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 1,567,961,574 | 1,691,194,581 |
Non-Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 1,169,149,256 | 1,088,398,641 |
ABS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 69,067,254 | 66,693,243 |
CMBS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 101,522,360 | 96,920,646 |
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, 2015 | Mar. 31, 2014 | |
Net Interest Income | ||
Interest income | $36,380,265 | $34,142,740 |
Interest expense | 7,514,178 | 6,146,587 |
Interest Income (Expense), Net | 28,866,087 | 27,996,153 |
Other Income | ||
Net realized gain/(loss) | -9,649,926 | 548,860 |
Income/(loss) from linked transactions, net | 0 | 4,126,741 |
Realized loss on periodic interest settlements of derivative instruments, net | -3,461,227 | -6,307,857 |
Unrealized gain/(loss) on real estate securities and loans, net | 11,259,718 | 29,367,044 |
Unrealized gain/(loss) on derivative and other instruments, net | -8,920,798 | -19,180,715 |
Total other income (loss) | -10,772,233 | 8,554,073 |
Expenses | ||
Management fee to affiliate | 2,507,090 | 2,500,525 |
Other operating expenses | 3,077,998 | 2,643,681 |
Servicing fees | 174,999 | 0 |
Equity based compensation to affiliate | 76,680 | 81,073 |
Excise tax | 375,000 | 500,000 |
Total expenses | 6,211,767 | 5,725,279 |
Income/(loss) before equity in earnings/(loss) from affiliates | 11,882,087 | 30,824,947 |
Equity in earnings/(loss) from affiliates | 881,355 | 361,295 |
Net Income/(Loss) | 12,763,442 | 31,186,242 |
Dividends on preferred stock | 3,367,354 | 3,367,354 |
Net Income/(Loss) Available to Common Stockholders | $9,396,088 | $27,818,888 |
Earnings/(Loss) Per Share of Common Stock | ||
Basic (in dollars per share) | $0.33 | $0.98 |
Diluted (in dollars per share) | $0.33 | $0.98 |
Weighted Average Number of Shares of Common Stock Outstanding | ||
Basic (in shares) | 28,387,615 | 28,371,419 |
Diluted (in shares) | 28,412,205 | 28,373,794 |
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 (Deficit) [Member] |
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/(Loss) | 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 | |||||
Balance at Dec. 31, 2014 | 732,675,143 | 283,861 | 49,920,772 | 111,293,233 | 586,051,751 | -14,874,474 |
Balance (in shares) at Dec. 31, 2014 | 28,386,015 | |||||
Grant of restricted stock and amortization of equity based compensation | 106,653 | 16 | 0 | 0 | 106,637 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | 1,600 | |||||
Common dividends declared | -17,032,569 | 0 | 0 | 0 | 0 | -17,032,569 |
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/(Loss) | 12,763,442 | 0 | 0 | 0 | 0 | 12,763,442 |
Balance at Mar. 31, 2015 | $725,145,315 | $283,877 | $49,920,772 | $111,293,233 | $586,158,388 | ($22,510,955) |
Balance (in shares) at Mar. 31, 2015 | 28,387,615 |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Cash Flows from Operating Activities | ||
Net income | $12,763,442 | $31,186,242 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net realized (gain)/loss | 9,649,926 | -548,860 |
Net amortization of premium | 5,491,860 | 2,922,253 |
Net realized and unrealized (gains)/losses on securities underlying linked transactions | 0 | 386,168 |
Unrealized (gains)/losses on derivative and other instruments, net | 8,920,798 | 19,180,715 |
Unrealized (gains)/losses on real estate securities and loans, net | -11,259,718 | -29,367,044 |
Equity based compensation to affiliate | 76,680 | 81,073 |
Equity based compensation expense | 29,973 | 50,103 |
Change in operating assets/liabilities: | ||
Interest receivable | 490,583 | -339,191 |
Other assets | 276,995 | -252,628 |
Due from broker | -239,144 | 372,589 |
Interest payable | -1,417,363 | 856,985 |
Due to affiliates | -434,441 | -483,771 |
Accrued expenses | 91,565 | 384,631 |
Due to broker | 0 | -871,813 |
Taxes payable | -1,147,325 | 0 |
Net cash provided by operating activities | 23,293,831 | 23,557,452 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | -270,027,414 | -240,437,084 |
Purchase of residential mortgage loans | 0 | -35,075,171 |
Purchase of commercial loans | 0 | -9,927,833 |
Purchase of U.S. treasury securities | -356,445,072 | 0 |
Investments in affiliates | -12,150,900 | -11,358,666 |
Purchase of securities underlying linked transactions | 0 | -22,064,245 |
Proceeds from sale of real estate securities | 326,102,175 | 29,794,180 |
Proceeds from sale of securities underlying linked transactions | 0 | 9,678,945 |
Proceeds from sales of U.S. treasury securities | 280,406,573 | 0 |
Distribution received from investments in affiliates | 6,093 | 189,786 |
Principal repayments on real estate securities | 101,246,269 | 79,295,393 |
Principal repayments on residential mortgage loans | 1,858,700 | 0 |
Principal repayments on securities underlying linked transactions | 0 | 27,469,319 |
Receipt of premium for interest rate swaptions | 0 | 433,750 |
Payment of premium for interest rate swaptions | 0 | -300,000 |
Net proceeds from (payment made) on reverse repurchase agreements | -25,132,464 | -15,844,597 |
Net proceeds from (payment made) on sales of securities borrowed under reverse repurchase agreements | 24,015,493 | 14,968,756 |
Net settlement of interest rate swaps | -12,095,409 | 652,643 |
Net settlement of TBAs | 2,155,078 | 0 |
Cash flows used in other investing activities | 1,548,985 | -4,811,377 |
Restricted cash provided by (used in) investing activities | 11,496,435 | -11,495,662 |
Net cash provided by (used in) investing activities | 72,984,542 | -188,831,863 |
Cash Flows from Financing Activities | ||
Borrowings under repurchase agreements | 7,248,785,207 | 5,267,402,235 |
Borrowings under repurchase agreements underlying linked transactions | 0 | 464,748,879 |
Repayments of repurchase agreements | -7,336,489,795 | -5,089,859,251 |
Repayments of repurchase agreements underlying linked transactions | 0 | -501,016,236 |
Net collateral received from (paid to) derivative counterparty | -11,862,625 | -9,509,852 |
Net collateral received from (paid to) repurchase counterparty | 1,431,981 | 959,845 |
Dividends paid on common stock | -17,031,609 | -17,020,893 |
Dividends paid on preferred stock | -3,367,354 | -3,367,354 |
Net cash provided by (used in) financing activities | -118,534,195 | 112,337,373 |
Net change in cash and cash equivalents | -22,255,822 | -52,937,038 |
Cash and cash equivalents, Beginning of Period | 64,363,514 | 86,190,011 |
Cash and cash equivalents, End of Period | 42,107,692 | 33,252,973 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on repurchase agreements | 7,156,994 | 7,274,129 |
Cash paid for income tax | 1,522,625 | 1,372,482 |
Transfer from Linked Transactions to real estate securities | 139,778,263 | 0 |
Transfer from Linked Transactions to repurchase agreements | 113,363,873 | 0 |
Real estate securities recorded upon unlinking of Linked Transactions | 0 | 26,753,471 |
Repurchase agreements recorded upon unlinking of Linked Transactions | 0 | 21,013,315 |
Transfer from residential mortgage loans to other assets | 1,002,533 | 0 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 17,032,569 | 17,024,351 |
Decrease of securitized debt | $1,810,119 | $0 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2015 | |
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 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 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) 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 asset 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, a Delaware limited liability company (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, 2015 | |||
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. | |||
Previously the Company classified gains and losses related to linked transactions in the “Net realized gain/(loss)” line item, however the Company subsequently included such gains and losses in the “Income/(loss) from linked transactions, net” line item prior to the adoption of Accounting Standards Update (“ASU”) 2014-11 Transfers and Servicing (Topic 860), “Repurchase to Maturity Transactions, Repurchase Financings and Disclosures” as the Company believes this presentation is most consistent with the accounting for other components of net income on linked transactions captured within that line. Refer to Note 7 for further detail on the adoption of ASU 2014-11. | |||
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. As of March 31, 2015, the Company held $0.4 million of money market securities. The Company held no money market securities at December 31, 2014. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Any cash held by the Company as collateral is included in the 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, derivatives and repurchase agreements. Restricted cash is carried at cost, which approximates fair value. | |||
Offering costs | |||
The Company incurred offering 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. 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/(Loss) per share | |||
In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income/(loss) per share by dividing net income/(loss) 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, unvested restricted stock, and unvested restricted stock units 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, ASC 325 or ASC 310-30. 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.” Real estate securities acquired through securitizations are shown in the line item “Purchase of real estate securities” on the consolidated statement of cash flows. | |||
These investments 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 recorded 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 consolidated 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. | |||
When the Company purchases securities with evidence of credit deterioration since origination, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. | |||
The Company accounts for its securities under ASC 310 and ASC 325, and 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 a real estate 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 real estate 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. Additionally 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/(loss)” line item on the consolidated statement of operations. | |||
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. | |||
Increases in interest income may be recognized on a security which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. | |||
Securities in an unrealized loss position at March 31, 2015 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 amortized 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, defaults, severities, amongst others, 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, loans and derivatives are included in the “Net realized gain/(loss)” 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 with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” Mortgage loans that are delinquent 60 or more days are considered non-performing. | |||
The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. 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 affiliates | |||
The Company’s unconsolidated ownership interests in affiliates are 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 investments in affiliates consistently with this election. The investments 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 affiliates.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. | |||
Excess mortgage servicing rights | |||
The Company has acquired the right to receive the excess servicing spread related to excess mortgage servicing rights (“MSRs”). The Company has chosen to make a fair value election pursuant to ASC 825 for MSRs. MSRs are recorded at fair market value on the consolidated balance sheet and any 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 derivative and other instruments, net.” | |||
Investment consolidation and transfers of financial assets | |||
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 refers to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company refers 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 . Refer to Note 3 for more detail. | |||
The Company has entered into resecuritization transactions which result in the Company consolidating the VIEs that were created to facilitate the transactions and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to these resecuritization transactions, the Company evaluated whether the entities used to facilitate these transactions were VIEs and, if so, whether they should be consolidated. Based on its evaluation, the Company concluded that the VIEs should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. | |||
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 consolidated 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 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 is recorded in 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 statement of operations. | |||
For security and loan 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 into pools and uses 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 (loans) 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 an 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 accretion and premium amortization 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, 2015 and December 31, 2014, the Company has met all margin call requirements. | |||
On June 12, 2014, the Financial Accounting Standards Board (the “FASB”) issued ASU No. 2014-11. This amendment requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty. If all derecognition criteria are met, the initial transferee will account for the initial transfer as a purchase and the related repurchase agreement component of the transaction will be accounted for as a secured borrowing. Public business entities are required to apply the accounting changes for the first interim or annual reporting period beginning after December 15, 2014. Entities must present changes in accounting for transactions outstanding on the effective date as a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. | |||
Prior to the adoption of ASU 2014-11, in instances where the Company acquired assets through repurchase agreements with the same counterparty from whom the assets were purchased, ASC 860-10 required the initial transfer of a financial asset and repurchase financing that were entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in ASC 860-10 were met at the inception of the transaction. If the transaction met all of the conditions, the initial transfer was accounted for separately from the repurchase financing, and the Company recorded the assets and the related financing on a gross basis on its consolidated balance sheet with the corresponding interest income and interest expense recorded on a gross basis in the consolidated statement of operations. If the transaction was determined to be linked, the Company recorded the initial transfer and repurchase financing on a net basis and recorded 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 were recorded at fair value with subsequent changes in fair value recognized in income. The Company referred to these transactions as Linked Transactions. The Company recorded interest income, interest expense, and gains and losses related to linked transactions in the “Income/(loss) from linked transactions, net” line item on the consolidated statement of operations. When a transaction was no longer considered to be linked, the real estate asset and related repurchase financing was reported on a gross basis. The unlinking of a transaction caused a realized event in which the fair value of the real estate asset as of the date of unlinking became 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 was the realized gain or loss. Recognition of effective yield for such security was calculated prospectively using the new cost basis. ASU 2014-11 eliminated this guidance for repurchase financings and instead requires that entities consider the initial transfer and the related repurchase agreement separately when applying the derecognition requirements of ASC 860-10. This guidance effectively changes the accounting for linked financings to secured borrowing accounting. Refer to Note 7 for more detail. | |||
Accounting for derivative financial instruments | |||
The Company enters into derivative contracts as a means of mitigating 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, 2015 and December 31, 2014, the Company did not have any 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 forward 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. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” | |||
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.” | |||
U.S. Treasury securities | |||
The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight 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. Interest income and expense associated with purchases and short sales of U.S. treasury securities are recognized in “Interest income” and “Interest expense”, respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on the consolidated statement 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/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax provisions and not financial accounting principles. | |||
The Company has elected to treat certain subsidiaries 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/(loss), a domestic TRS can declare dividends to the Company which will be included in the Company’s taxable income/(loss) 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. | |||
The Company elected to treat one of its consolidated subsidiaries as a foreign TRS 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 (subject to specific timing rules for certain dividends paid in January) 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 non-deductible 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. Compensation 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 and restricted stock units 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. Shares of restricted common stock held by the Manager and independent directors accrue dividends, but these dividends are not paid until vested and are therefore not considered to be participating shares. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares and restricted stock units granted to the Manager. | |||
Recent accounting pronouncements | |||
In January 2014, the FASB issued ASU 2014-04, “Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure” (“ASU 2014-04”). ASU 2014-04 clarifies that an in substance repossession or foreclosure occurs, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, upon either (1) the creditor obtaining legal title to the residential real estate property upon completion of a foreclosure or (2) the borrower conveying all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Additionally, the amendments require interim and annual disclosure of both (1) the amount of foreclosed residential real estate property held by the creditor and (2) the recorded investment in consumer mortgage loans collateralized by residential real estate property that are in the process of foreclosure according to local requirements of the applicable jurisdiction. ASU 2014-04 does not have a material impact on the Company’s financial statements. | |||
In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers (Topic 606)” (“ASU 2014-09”). ASU 2014-09 is a comprehensive new revenue recognition model requiring a company to recognize revenue to depict the transfer of goods or services to a customer at an amount reflecting the consideration it expects to receive in exchange for those goods or services. In adopting ASU 2014-09, companies may use either a full retrospective or a modified retrospective approach. Additionally, this guidance requires improved disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from contracts with customers. ASU 2014-09 is effective for the first interim period within annual reporting periods beginning after December 15, 2016, and early adoption is not permitted. The Company is currently in the process of evaluating the impact the adoption of ASU 2014-09 will have on the Company’s financial position or results of operations. | |||
In August 2014, the FASB issued ASU 2014-13, “Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity” (“ASU 2014-13”). This guidance applies to a reporting entity that is required to consolidate a collateralized financing entity under the Variable Interest Entities Subsections of Subtopic 810-10 when (1) the reporting entity measures all of the financial assets and the financial liabilities of that consolidated collateralized financing entity at fair value in the consolidated financial statements based on other Topics and (2) the changes in the fair values of those financial assets and financial liabilities are reflected in earnings. The amendments in this Update clarify that when the measurement alternative is elected, a reporting entity’s consolidated net income (loss) should reflect the reporting entity’s own economic interests in the collateralized financing entity, including (1) changes in the fair value of the beneficial interests retained by the reporting entity and (2) beneficial interests that represent compensation for services. Beneficial interests retained by the reporting entity that represent compensation for services (for example, management fees or servicing fees) and nonfinancial assets that are held temporarily by a collateralized financing entity should be measured in accordance with other applicable Topics. The amendments in this update are effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2015. The Company is currently assessing the impact of this guidance. | |||
In February 2015, the FASB issued ASU 2015-2, “Consolidation” (“ASU 2015-2”). The amendments in this update affect reporting entities that are required to evaluate whether they should consolidate certain legal entities. All legal entities are subject to reevaluation under the revised consolidation model. Specifically, the amendments, (1) modify the evaluation of whether limited partnerships and similar legal entities are variable interest entities (VIEs) or voting interest entities, (2) eliminate the presumption that a general partner should consolidate a limited partnership, (3) affect the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships partnership, and (4) provide a scope exception from consolidation guidance for reporting entities with interests in legal entities that are required to comply with or operate in accordance with requirements that are similar to those in Rule 2a-7 of the Investment Company Act of 1940 for registered money market funds. The Company is currently assessing the impact of this guidance. | |||
Real_Estate_Securities
Real Estate Securities | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Investments, Debt and Equity 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 weighted average effective yield of the Company’s real estate securities portfolio at March 31, 2015 and December 31, 2014. The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations (“CMOs”) representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae or Freddie Mac. The Company’s 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 on linked transactions. | |||||||||||||||||||||||||||||
The following table details the Company’s real estate securities portfolio as of March 31, 2015: | |||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield | ||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20 Year Fixed Rate | $ | 120,481,882 | $ | 5,630,716 | $ | 126,112,598 | $ | 2,892,474 | $ | - | $ | 129,005,072 | 3.72 | % | 2.76 | % | |||||||||||||
30 Year Fixed Rate | 907,692,408 | 41,572,317 | 949,264,725 | 22,223,509 | -126,557 | 971,361,677 | 3.8 | % | 3.1 | % | |||||||||||||||||||
Fixed Rate CMO | 85,659,227 | 826,794 | 86,486,021 | 3,224,801 | - | 89,710,822 | 3 | % | 2.8 | % | |||||||||||||||||||
ARM | 408,557,899 | -802,634 | 407,755,265 | 10,931,406 | - | 418,686,671 | 2.42 | % | 2.69 | % | |||||||||||||||||||
Interest Only | 712,419,711 | -603,767,274 | 108,652,437 | 3,642,435 | -3,787,679 | 108,507,193 | 4.44 | % | 7.86 | % | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||||||||
Non-Agency RMBS | 1,716,983,671 | -488,239,998 | 1,228,743,673 | 25,851,505 | -4,606,782 | 1,249,988,396 | 3.54 | % | 5.5 | % | |||||||||||||||||||
ABS | 68,967,873 | -524,344 | 68,443,529 | 1,062,967 | -439,242 | 69,067,254 | 5.2 | % | 5.49 | % | |||||||||||||||||||
CMBS | 216,126,251 | -119,511,371 | 96,614,880 | 2,651,983 | -150,577 | 99,116,286 | 5.02 | % | 6.45 | % | |||||||||||||||||||
CMBS Interest Only | 52,357,700 | -46,582,626 | 5,775,074 | 230,953 | - | 6,006,027 | 1.85 | % | 5.76 | % | |||||||||||||||||||
Total | $ | 4,289,246,622 | $ | -1,211,398,420 | $ | 3,077,848,202 | $ | 72,712,033 | $ | -9,110,837 | $ | 3,141,449,398 | 3.68 | % | 4.31 | % | |||||||||||||
(1) The Company has 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). | |||||||||||||||||||||||||||||
(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
The following table details the Company’s real estate securities portfolio as of December 31, 2014: | |||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield | ||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20 Year Fixed Rate | $ | 125,538,084 | $ | 6,009,532 | $ | 131,547,616 | $ | 2,267,721 | $ | -72,467 | $ | 133,742,870 | 3.72 | % | 2.79 | % | |||||||||||||
30 Year Fixed Rate | 973,102,647 | 46,665,955 | 1,019,768,602 | 17,222,909 | -967,492 | 1,036,024,019 | 3.9 | % | 3.15 | % | |||||||||||||||||||
Fixed Rate CMO | 88,345,864 | 880,994 | 89,226,858 | 1,548,517 | - | 90,775,375 | 3 | % | 2.81 | % | |||||||||||||||||||
ARM | 421,043,957 | -888,105 | 420,155,852 | 7,570,945 | -189,430 | 427,537,367 | 2.42 | % | 2.71 | % | |||||||||||||||||||
Interest Only | 754,905,240 | -638,264,371 | 116,640,869 | 5,941,701 | -2,347,455 | 120,235,115 | 4.51 | % | 7.79 | % | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||||||||
Non-Agency RMBS | 1,303,432,523 | -181,488,454 | 1,121,944,069 | 24,415,728 | -6,281,869 | 1,140,077,928 | 4.26 | % | 5.62 | % | |||||||||||||||||||
ABS | 67,696,117 | -379,648 | 67,316,469 | 322,074 | -945,300 | 66,693,243 | 5.15 | % | 5.55 | % | |||||||||||||||||||
CMBS | 220,026,552 | -127,623,416 | 92,403,136 | 2,138,358 | -146,791 | 94,394,703 | 5.13 | % | 6.65 | % | |||||||||||||||||||
CMBS Interest Only | 52,357,700 | -46,424,765 | 5,932,935 | 193,014 | - | 6,125,949 | 1.85 | % | 5.73 | % | |||||||||||||||||||
Total | $ | 4,006,448,684 | $ | -941,512,278 | $ | 3,064,936,406 | $ | 61,620,967 | $ | -10,950,804 | $ | 3,115,606,569 | 3.97 | % | 4.31 | % | |||||||||||||
(1) The Company has 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). | |||||||||||||||||||||||||||||
(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
The following table presents the gross unrealized losses and 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, 2015 and December 31, 2014: | |||||||||||||||||||||||||||||
Less than 12 months | Greater than 12 months | ||||||||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||||||||
Losses | Losses | ||||||||||||||||||||||||||||
31-Mar-15 | $ | 438,800,357 | $ | -6,320,637 | $ | 90,771,025 | $ | -2,790,200 | |||||||||||||||||||||
31-Dec-14 | 551,097,657 | -6,921,385 | 224,261,493 | -4,029,419 | |||||||||||||||||||||||||
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 a real estate 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.” | |||||||||||||||||||||||||||||
For the three months ended March 31, 2015 the Company recognized $2.7 million of OTTI on certain securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded the $2.7 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. Of the $2.7 million of OTTI recorded, $1.1 million related to securities where OTTI was not previously recognized. For the three months ended March 31, 2014 the Company recognized an OTTI charge of $0.6 million, which is included in the “Net realized gain/(loss)” 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. Of the $0.6 million of OTTI recorded, $0.1 million related to securities where OTTI was not previously recognized. | |||||||||||||||||||||||||||||
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, 2015: | |||||||||||||||||||||||||||||
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 (4) | |||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | 22,175,588 | $ | 22,140,661 | 4.06 | % | |||||||||||||
Greater than one year and less than or equal to five years | 122,540,361 | 120,267,738 | 2.59 | % | 72,680,755 | 72,717,557 | 4.03 | % | 645,098,126 | 636,930,130 | 4.01 | % | |||||||||||||||||
Greater than five years and less than or equal to ten years | 1,466,509,816 | 1,429,833,748 | 3.44 | % | 35,826,438 | 35,934,880 | 5.68 | % | 640,087,087 | 629,894,268 | 3.01 | % | |||||||||||||||||
Greater than ten years | 19,714,065 | 19,517,123 | 3.58 | % | - | - | - | 116,817,162 | 110,612,097 | 5.85 | % | ||||||||||||||||||
Total | $ | 1,608,764,242 | $ | 1,569,618,609 | 3.38 | % | $ | 108,507,193 | $ | 108,652,437 | 4.44 | % | $ | 1,424,177,963 | $ | 1,399,577,156 | 3.63 | % | |||||||||||
(1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 20 Year, Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | |||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Credit Interest Only securities. | |||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||
(4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency IO and Credit Investments as of December 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 (4) | |||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | 39,522,038 | $ | 39,415,933 | 3.48 | % | |||||||||||||
Greater than one year and less than or equal to five years | 72,253,477 | 71,713,942 | 2.57 | % | 67,356,372 | 67,199,203 | 4.16 | % | 621,179,587 | 612,711,131 | 3.93 | % | |||||||||||||||||
Greater than five years and less than or equal to ten years | 1,486,360,763 | 1,461,439,648 | 3.49 | % | 52,878,743 | 49,441,666 | 5.13 | % | 562,808,169 | 557,116,343 | 4.39 | % | |||||||||||||||||
Greater than ten years | 129,465,391 | 127,545,338 | 3.54 | % | - | - | - | 83,782,029 | 78,353,202 | 6.58 | % | ||||||||||||||||||
Total | $ | 1,688,079,631 | $ | 1,660,698,928 | 3.45 | % | $ | 120,235,115 | $ | 116,640,869 | 4.51 | % | $ | 1,307,291,823 | $ | 1,287,596,609 | 4.27 | % | |||||||||||
(1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 20 Year, Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | |||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Credit Interest Only securities. | |||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||
(4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
For the three months ended March 31, 2015, the Company sold 18 securities for total proceeds of $326.1 million, recording realized gains of $5.5 million and realized losses of $0.8 million, respectively. | |||||||||||||||||||||||||||||
For 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. | |||||||||||||||||||||||||||||
There were no sales of investments held within affiliated entities for the three months ended March 31, 2015 or March 31, 2014. | |||||||||||||||||||||||||||||
See Notes 4 and 7 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. | |||||||||||||||||||||||||||||
The Company invests in credit sensitive commercial real estate assets through affiliated entities, and has applied the equity method of accounting for such investments. As of March 31, 2015, the investments had a fair market value of $54.7 million and a weighted average yield of 10.75%. The underlying entities financed the acquisition of certain investments with repurchase agreements. As of March 31, 2015, the repurchase agreement balance, collateral pledged, and rate were $21.3 million, $28.2 million and 3.00%, respectively. As of December 31, 2014, the investments had a fair market value of $42.0 million and a weighted average yield of 12.13%. The underlying entities financed the acquisition of certain investments with repurchase agreements. As of December 31, 2014, the repurchase agreement balance, collateral pledged, and rate were $21.3 million, $28.4 million and 3.00%, respectively. The Company has presented these investments and any related repurchase financing net on the consolidated balance sheet in the “Investments in affiliates” line item, and all income statement components on the consolidated statement of operations within “Equity in earnings/(loss) from affiliates.” | |||||||||||||||||||||||||||||
A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in a SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. Refer to Note 2 for more detail. | |||||||||||||||||||||||||||||
In 2014, the Company entered into a resecuritization transaction that resulted in the Company consolidating the VIE created with the SPE which was used to facilitate the transaction. The Company concluded that the entity created to facilitate this transaction was a VIE. The Company also determined the VIE created to facilitate the resecuritization transaction should be consolidated by the Company and treated as a secured borrowing, based on consideration of its involvement in the VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIE. As of March 31, 2015 and December 31, 2014, the resecuritized asset had an aggregate fair value of $46.1 million and $47.6 million, respectively. As of March 31, 2015 and December 31, 2014, the fair market value of the consolidated tranche was $38.4 million and $39.8 million, respectively, which is included in the Company’s consolidated balance sheet as “Non-Agency RMBS.” As of March 31, 2015 and December 31, 2014, the aggregate security has a weighted average coupon of 5.54% and 5.50%, respectively, and a weighted average yield of 6.14% and 5.14%, respectively. As of March 31, 2015, and December 31, 2014, the Company has recorded secured financing of $38.4 million and $39.8 million, respectively, on the consolidated balance sheet in the “Securitized debt” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows for the year ended December 31, 2014. As of March 31, 2015 and December 31, 2014, the consolidated tranche had a weighted average life of 3.23 years and 3.40 years, respectively and a weighted average yield of 3.55% and 3.75%, respectively. The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to any VIE. | |||||||||||||||||||||||||||||
Loans
Loans | 3 Months Ended | ||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||||||
Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||
Financing Receivables [Text Block] | 4. Loans | ||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans | |||||||||||||||||||||||||||||||||||||
On February 28, 2014, the Company acquired a residential mortgage loan portfolio with an aggregate unpaid principal balance and acquisition fair value of $59.0 million and $34.9 million, respectively. On February 18, 2014, the Company entered into a Master Repurchase Agreement and Securities Contract (“Repurchase facility”) to finance acquisitions of residential mortgage loans. See Note 6 for further detail on the Company’s loan repurchase facility. | |||||||||||||||||||||||||||||||||||||
On July 31, 2014, the Company acquired a residential mortgage loan portfolio with an aggregate unpaid principal balance and acquisition fair value of $13.7 million and $5.7 million, respectively. | |||||||||||||||||||||||||||||||||||||
On September 30, 2014, the Company acquired a residential mortgage loan portfolio with an aggregate unpaid principal balance and acquisition fair value of $50.5 million and $44.0 million, respectively. | |||||||||||||||||||||||||||||||||||||
The table below details certain information regarding the Company’s residential mortgage loan portfolio as of March 31, 2015: | |||||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||||
Unpaid Principal | Premium | Amortized Cost | Gains | Losses (2) | Fair Value | Coupon | Yield | Life | |||||||||||||||||||||||||||||
Balance | (Discount) | ||||||||||||||||||||||||||||||||||||
Residential mortgage loans | $ | 113,434,341 | $ | -32,556,999 | $ | 80,877,342 | $ | 1,778,783 | $ | -263,405 | $ | 82,392,720 | 5.47 | % | 8.66 | % | 6.17 | ||||||||||||||||||||
(1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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). | |||||||||||||||||||||||||||||||||||||
The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2014: | |||||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||||
Unpaid Principal | Premium | Amortized Cost | Gains | Losses (2) | Fair Value | Coupon | Yield | Life | |||||||||||||||||||||||||||||
Balance | (Discount) | ||||||||||||||||||||||||||||||||||||
Residential mortgage loans | $ | 119,882,836 | $ | -35,534,525 | $ | 84,348,311 | $ | 1,101,473 | $ | -359,925 | $ | 85,089,859 | 5.53 | % | 8.9 | % | 5.65 | ||||||||||||||||||||
(1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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). | |||||||||||||||||||||||||||||||||||||
The table below summarizes the distribution of the Company’s residential mortgage loans at fair value: | |||||||||||||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||||||||||||||
Loan Type | Fair Value | Unpaid Principal | Fair Value | Unpaid Principal | |||||||||||||||||||||||||||||||||
Balance | Balance | ||||||||||||||||||||||||||||||||||||
Re-Performing | $ | 67,618,680 | $ | 87,816,458 | $ | 68,581,824 | $ | 89,493,175 | |||||||||||||||||||||||||||||
Non-Performing | 14,774,040 | 25,617,883 | 16,508,035 | 30,389,661 | |||||||||||||||||||||||||||||||||
$ | 82,392,720 | $ | 113,434,341 | $ | 85,089,859 | $ | 119,882,836 | ||||||||||||||||||||||||||||||
The Company’s 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 within the Company’s mortgage loan portfolio: | |||||||||||||||||||||||||||||||||||||
Concentration of Credit Risk | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% | 97 | % | 98 | % | |||||||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | |||||||||||||||||||||||||||||||||||||
Representing 5% or more of fair value: | |||||||||||||||||||||||||||||||||||||
New York | 17 | % | 16 | % | |||||||||||||||||||||||||||||||||
California | 10 | % | 11 | % | |||||||||||||||||||||||||||||||||
Florida | 6 | % | 8 | % | |||||||||||||||||||||||||||||||||
Maryland | 5 | % | 5 | % | |||||||||||||||||||||||||||||||||
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 discounts for the three months ended March 31, 2015 and March 31, 2014, respectively: | |||||||||||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||||||||||||
Beginning Balance | $ | 38,008,263 | $ | - | |||||||||||||||||||||||||||||||||
Additions | - | 17,159,216 | |||||||||||||||||||||||||||||||||||
Accretion | -1,865,295 | -243,898 | |||||||||||||||||||||||||||||||||||
Reclassifications from/(to) non-accretable difference | 4,356,113 | - | |||||||||||||||||||||||||||||||||||
Disposals | -1,041,317 | - | |||||||||||||||||||||||||||||||||||
Ending Balance | $ | 39,457,764 | $ | 16,915,318 | |||||||||||||||||||||||||||||||||
As of March 31, 2015, the Company’s residential mortgage loan portfolio is comprised of 560 conventional loans with original loan balances between $5,000 and $1.1 million. | |||||||||||||||||||||||||||||||||||||
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, 2015. | |||||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||||
Current Face | Premium | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | Stated Maturity | Extended | Location | ||||||||||||||||||||||||||
(Discount) | -5 | Date (6) | Maturity Date | ||||||||||||||||||||||||||||||||||
Loan A (2) | $ | 30,000,000 | $ | -193,809 | $ | 29,806,191 | $ | 193,809 | $ | - | $ | 30,000,000 | 6.5 | % | 8.76 | % | 2.52 | 5-Jun-17 | 5-Jun-19 | FL | |||||||||||||||||
Loan B (3) | 32,800,000 | -138,088 | 32,661,912 | 138,088 | - | 32,800,000 | 5 | % | 6.15 | % | 1.2 | 1-Jul-16 | 1-Jul-19 | TX | |||||||||||||||||||||||
Loan C (4) | 10,000,000 | -59,200 | 9,940,800 | 59,200 | - | 10,000,000 | 13.5 | % | 15.86 | % | 1.36 | 1-Feb-17 | 1-Feb-18 | NY | |||||||||||||||||||||||
$ | 72,800,000 | $ | -391,097 | $ | 72,408,903 | $ | 391,097 | $ | - | $ | 72,800,000 | 6.79 | % | 8.56 | % | 1.77 | |||||||||||||||||||||
(1) The Company has 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) Loan A is comprised of a first mortgage and mezzanine loan of up to $24.0 million and $12.0 million, respectively, of which $20.0 million and $10.0 million has been advanced. | |||||||||||||||||||||||||||||||||||||
(3) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | |||||||||||||||||||||||||||||||||||||
(4) Loan C is mezzanine loan. | |||||||||||||||||||||||||||||||||||||
(5) Each commercial loan investment has a variable coupon rate. | |||||||||||||||||||||||||||||||||||||
(6) The Company has the contractual right to receive a balloon payment. | |||||||||||||||||||||||||||||||||||||
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 December 31, 2014. | |||||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||||
Current Face | Premium | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | Stated Maturity | Extended | Location | ||||||||||||||||||||||||||
(Discount) | -5 | Date (6) | Maturity Date | ||||||||||||||||||||||||||||||||||
Loan A (2) | $ | 30,000,000 | $ | -240,326 | $ | 29,759,674 | $ | 240,326 | $ | - | $ | 30,000,000 | 6.5 | % | 8.76 | % | 2.77 | 5-Jun-17 | 5-Jun-19 | FL | |||||||||||||||||
Loan B (3) | 32,800,000 | -189,506 | 32,610,494 | 189,506 | - | 32,800,000 | 5 | % | 6.15 | % | 1.45 | 1-Jul-16 | 1-Jul-19 | TX | |||||||||||||||||||||||
Loan C (4) | 10,000,000 | -66,187 | 9,933,813 | 66,187 | - | 10,000,000 | 13.5 | % | 15.77 | % | 1.61 | 1-Feb-17 | 1-Feb-18 | NY | |||||||||||||||||||||||
$ | 72,800,000 | $ | -496,019 | $ | 72,303,981 | $ | 496,019 | $ | - | $ | 72,800,000 | 6.79 | % | 8.55 | % | 2.02 | |||||||||||||||||||||
(1) The Company has 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) Loan A is comprised of a first mortgage and mezzanine loan of up to $24.0 million and $12.0 million, respectively, of which $20.0 million and $10.0 million has been advanced. | |||||||||||||||||||||||||||||||||||||
(3) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | |||||||||||||||||||||||||||||||||||||
(4) Loan C is mezzanine loan. | |||||||||||||||||||||||||||||||||||||
(5) Each commercial loan investment has a variable coupon rate. | |||||||||||||||||||||||||||||||||||||
(6) The Company has the contractual right to receive a balloon payment. | |||||||||||||||||||||||||||||||||||||
During the three months ended March 31, 2015 the Company recorded [$0.3] million of discount accretion. During the three months ended March 31, 2014 the Company recorded [$0.0] million of discount accretion | |||||||||||||||||||||||||||||||||||||
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
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, securitized debt, 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 Counterparty Clearing House (“CCP”) now stands between the Company and the over-the-counter derivative counterparties. In order to access clearing, the Company has entered into clearing agreements with Futures Commissions Merchants (“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 were valued using similar techniques to those used for the Company’s securities portfolio. The value of the underlying security was 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. | ||||||||||||||||||||||||||
U.S. Treasury securities are valued using quoted prices for identical instruments in active markets. The fair value of the Company’s obligation to return securities borrowed under reverse repurchase agreements is based upon the value of the underlying borrowed U.S. Treasury securities as of the reporting date. | ||||||||||||||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2015: | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
20 Year Fixed Rate | $ | - | $ | 129,005,072 | $ | - | $ | 129,005,072 | ||||||||||||||||||
30 Year Fixed Rate | - | 971,361,677 | - | 971,361,677 | ||||||||||||||||||||||
Fixed Rate CMO | - | 89,710,822 | - | 89,710,822 | ||||||||||||||||||||||
ARM | - | 418,686,671 | - | 418,686,671 | ||||||||||||||||||||||
Interest Only | - | 108,507,193 | - | 108,507,193 | ||||||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||
Non-Agency RMBS | - | 740,443,224 | 509,545,172 | 1,249,988,396 | ||||||||||||||||||||||
ABS | - | - | 69,067,254 | 69,067,254 | ||||||||||||||||||||||
CMBS | - | 45,305,727 | 53,810,559 | 99,116,286 | ||||||||||||||||||||||
CMBS Interest Only | - | - | 6,006,027 | 6,006,027 | ||||||||||||||||||||||
Residential mortgage loans | - | - | 82,392,720 | 82,392,720 | ||||||||||||||||||||||
Commercial loans | - | - | 72,800,000 | 72,800,000 | ||||||||||||||||||||||
U.S. Treasury Securities | 100,679,688 | - | - | 100,679,688 | ||||||||||||||||||||||
Excess mortgage servicing rights | - | - | 579,734 | 579,734 | ||||||||||||||||||||||
Derivative assets | - | 4,031,370 | - | 4,031,370 | ||||||||||||||||||||||
Total Assets Carried at Fair Value | $ | 100,679,688 | $ | 2,507,051,756 | $ | 794,201,466 | $ | 3,401,932,910 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securitized debt | $ | - | $ | -38,405,163 | $ | - | $ | -38,405,163 | ||||||||||||||||||
Securities borrowed under reverse repurchase agreements | -25,009,766 | - | - | -25,009,766 | ||||||||||||||||||||||
Derivative liabilities | - | -8,812,676 | - | -8,812,676 | ||||||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -25,009,766 | $ | -47,217,839 | $ | - | $ | -72,227,605 | ||||||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2014. | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
20 Year Fixed Rate | $ | - | $ | 133,742,870 | $ | - | $ | 133,742,870 | ||||||||||||||||||
30 Year Fixed Rate | - | 1,036,024,019 | - | 1,036,024,019 | ||||||||||||||||||||||
Fixed Rate CMO | - | 90,775,375 | - | 90,775,375 | ||||||||||||||||||||||
ARM | - | 427,537,367 | - | 427,537,367 | ||||||||||||||||||||||
Interest Only | - | 120,235,115 | - | 120,235,115 | ||||||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||
Non-Agency RMBS | - | 684,841,649 | 455,236,279 | 1,140,077,928 | ||||||||||||||||||||||
ABS | - | - | 66,693,243 | 66,693,243 | ||||||||||||||||||||||
CMBS | - | 55,051,429 | 39,343,274 | 94,394,703 | ||||||||||||||||||||||
CMBS Interest Only | - | - | 6,125,949 | 6,125,949 | ||||||||||||||||||||||
Residential mortgage loans | - | - | 85,089,859 | 85,089,859 | ||||||||||||||||||||||
Commercial loans | - | - | 72,800,000 | 72,800,000 | ||||||||||||||||||||||
Excess mortgage servicing rights | - | - | 628,367 | 628,367 | ||||||||||||||||||||||
Linked transactions | - | 21,612,360 | 5,082,731 | 26,695,091 | ||||||||||||||||||||||
Derivative assets | - | 11,382,622 | - | 11,382,622 | ||||||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 2,581,202,806 | $ | 730,999,702 | $ | 3,312,202,508 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securitized debt | $ | - | $ | -39,777,914 | $ | - | $ | -39,777,914 | ||||||||||||||||||
Derivative liabilities | - | -8,608,209 | - | -8,608,209 | ||||||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | - | $ | -48,386,123 | $ | - | $ | -48,386,123 | ||||||||||||||||||
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, 2015 and March 31, 2014. | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||||||||
Non-Agency | ABS | CMBS | CMBS Interest | Residential | Commercial | Excess Mortgage | Linked | |||||||||||||||||||
RMBS | Only | Mortgage Loans | Loans | Servicing Rights | Transactions | |||||||||||||||||||||
Beginning balance | $ | 455,236,279 | $ | 66,693,243 | $ | 39,343,274 | $ | 6,125,949 | $ | 85,089,859 | $ | 72,800,000 | $ | 628,367 | $ | 5,082,731 | ||||||||||
Transfers (1): | ||||||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | - | - | ||||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | - | - | ||||||||||||||||||
Purchases | 74,146,136 | 4,027,500 | 14,642,289 | - | - | - | - | - | ||||||||||||||||||
Reclassification of security type (2) | 24,129,591 | - | - | - | - | - | - | -5,082,731 | ||||||||||||||||||
Proceeds from sales | -12,383,544 | -2,595,898 | - | - | - | - | - | - | ||||||||||||||||||
Proceeds from settlement | -35,224,917 | -228,246 | -387,963 | - | -1,858,699 | - | -48,633 | - | ||||||||||||||||||
Total net gains/(losses) (3) | ||||||||||||||||||||||||||
Included in net income | 3,641,627 | 1,170,655 | 212,959 | -119,922 | -838,440 | - | - | - | ||||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | - | - | ||||||||||||||||||
Ending Balance | $ | 509,545,172 | $ | 69,067,254 | $ | 53,810,559 | $ | 6,006,027 | $ | 82,392,720 | $ | 72,800,000 | $ | 579,734 | $ | - | ||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of March 31, 2015 (4) | $ | 3,447,627 | $ | 1,073,361 | $ | 212,959 | $ | -119,922 | $ | -770,629 | $ | - | $ | - | $ | - | ||||||||||
(1) Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||||||||
(2) Primarily represents an accounting reclassification between a linked transaction and a real estate security. | ||||||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 4,083,812 | ||||||||||||||||||||||||
Net realized gain/(loss) | -16,933 | |||||||||||||||||||||||||
Total | $ | 4,066,879 | ||||||||||||||||||||||||
(4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 4,359,636 | ||||||||||||||||||||||||
Net realized gain/(loss) | -516,240 | |||||||||||||||||||||||||
Total | $ | 3,843,396 | ||||||||||||||||||||||||
Three Months Ended | ||||||||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||||||||
Non-Agency | ABS | CMBS | CMBS Interest | Residential | Commercial | Linked | ||||||||||||||||||||
RMBS | Only | 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 between a linked transaction and a real estate security. | ||||||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Income/(loss) from linked transactions, net | $ | 428,431 | ||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,989,665 | |||||||||||||||||||||||||
Interest income | -268,911 | |||||||||||||||||||||||||
Total | $ | 5,149,185 | ||||||||||||||||||||||||
(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Income/(loss) from linked transactions, net | $ | 372,793 | ||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,756,950 | |||||||||||||||||||||||||
Total | $ | 5,129,743 | ||||||||||||||||||||||||
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, 2015 and March 31, 2014. | ||||||||||||||||||||||||||
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, 2015 | (Weighted Average) | |||||||||||||||||||||||||
Yield | 0.00% - 36.02% (5.36%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 15.00% (3.45%) | |||||||||||||||||||||||||
Non-Agency RMBS | $ | 509,545,172 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 35.00% (11.33%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (31.60%) | |||||||||||||||||||||||||
Yield | 4.62% - 7.25% (5.49%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 100.00% (79.59%) | |||||||||||||||||||||||||
ABS | $ | 69,067,254 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 8.30% (6.43%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 30.00% (5.52%) | |||||||||||||||||||||||||
Yield | 4.20% - 9.98% (5.81%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 50.00% (6.27%) | |||||||||||||||||||||||||
CMBS | $ | 53,810,559 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.76% - 5.78% (5.76%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
CMBS Interest Only | $ | 6,006,027 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.52% - 40.22% (8.66%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 1.91% - 8.24% (6.56%) | |||||||||||||||||||||||||
Residential Mortgage Loans | $ | 82,392,720 | Discounted Cash Flow | Projected Collateral Losses | 4.59% - 11.21% (5.99%) | |||||||||||||||||||||
Projected Collateral Severities | 20.19% - 51.78% (27.79%) | |||||||||||||||||||||||||
Yield | 6.15% - 15.86% (8.56%) | |||||||||||||||||||||||||
Commercial Loans | $ | 72,800,000 | Discounted Cash Flow | Credit Spread | 4.75 bps - 13.25 bps (6.54 bps) | |||||||||||||||||||||
Recovery Percentage* | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
Excess Mortgage Servicing Rights | $ | 579,734 | Discounted Cash Flow | Yield | 7.16% - 7.46% (7.22%) | |||||||||||||||||||||
* Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2015. | ||||||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | ||||||||||||||||||||||
December 31, 2014 | (Weighted Average) | |||||||||||||||||||||||||
Yield | 0.29% - 35.48% (5.30%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (3.21%) | |||||||||||||||||||||||||
Non-Agency RMBS | $ | 455,236,279 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 35.00% (13.07%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (36.04%) | |||||||||||||||||||||||||
Yield | 4.62% - 7.95% (5.55%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 20.00% - 100.00% (88.56%) | |||||||||||||||||||||||||
ABS | $ | 66,693,243 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 8.30% (5.13%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 50.00% (7.15%) | |||||||||||||||||||||||||
Yield | 4.80% - 10.52% (6.34%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
CMBS | $ | 39,343,274 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.72% - 5.78% (5.73%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
CMBS Interest Only | $ | 6,125,949 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.60% - 23.67% (8.90%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 1.98% - 8.36% (6.44%) | |||||||||||||||||||||||||
Residential Mortgage Loans | $ | 85,089,859 | Discounted Cash Flow | Projected Collateral Losses | 4.47% - 9.64% (6.20%) | |||||||||||||||||||||
Projected Collateral Severities | 20.93% - 41.94% (27.65%) | |||||||||||||||||||||||||
Yield | 6.15% - 15.77% (8.55%) | |||||||||||||||||||||||||
Commercial Loans | $ | 72,800,000 | Discounted Cash Flow | Credit Spread | 4.75 bps - 13.25 bps (6.54 bps) | |||||||||||||||||||||
Recovery Percentage** | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
Excess Mortgage Servicing Rights | $ | 628,367 | Discounted Cash Flow | Yield | 9.09% - 12.52% (9.78%) | |||||||||||||||||||||
Yield | 4.49% - 6.45% (5.50%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 3.00% - 12.00% (6.94%) | |||||||||||||||||||||||||
Linked Transactions* | $ | 5,082,731 | Discounted Cash Flow | Projected Collateral Losses | 4.00% - 14.00% (8.09%) | |||||||||||||||||||||
Projected Collateral Severities | 42.00% - 60.00% (52.87%) | |||||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS investments. | ||||||||||||||||||||||||||
** Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2014. | ||||||||||||||||||||||||||
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, re-performance 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, 2015 | |||||||||||||||||||||||||
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, typically 30 to 90 days. 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, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
30 days or less | $ | 1,849,733,715 | 0.9 | % | 11.4 | % | $ | 2,116,899,525 | $ | 2,064,016,539 | $ | 7,100,101 | |||||||||||||
31-60 days | 349,901,000 | 1.08 | % | 11.4 | % | 399,242,468 | 393,611,106 | 1,108,847 | |||||||||||||||||
61-90 days | 27,423,000 | 1.82 | % | 24.8 | % | 36,814,681 | 35,762,537 | 57,038 | |||||||||||||||||
Greater than 90 days | 295,294,784 | 1.71 | % | 12 | % | 348,742,242 | 341,453,315 | 614,850 | |||||||||||||||||
Total / Weighted Average | $ | 2,522,352,499 | 1.03 | % | 11.6 | % | $ | 2,901,698,916 | $ | 2,834,843,497 | $ | 8,880,836 | |||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
30 days or less | $ | 1,969,873,000 | 0.75 | % | 10.4 | % | $ | 2,205,969,794 | $ | 2,174,485,394 | $ | 6,903,437 | |||||||||||||
31-60 days | 220,953,000 | 1.11 | % | 12.2 | % | 253,788,749 | 249,993,183 | 816,574 | |||||||||||||||||
61-90 days | 51,090,128 | 1.26 | % | 13.1 | % | 60,149,910 | 58,111,076 | 171,277 | |||||||||||||||||
Greater than 90 days | 329,966,102 | 1.84 | % | 17.7 | % | 416,125,338 | 408,496,220 | 1,105,242 | |||||||||||||||||
Total / Weighted Average | $ | 2,571,882,230 | 0.93 | % | 11.5 | % | $ | 2,936,033,791 | $ | 2,891,085,873 | $ | 8,996,530 | |||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 50,856,483 | 2.68 | % | 2.85 | % | 29.5 | % | 72,247,373 | 72,543,319 | 95,139 | |||||||||||||||
Total / Weighted Average | $ | 50,856,483 | 2.68 | % | 2.85 | % | 29.5 | % | $ | 72,247,373 | $ | 72,543,319 | $ | 95,139 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 50,573,718 | 2.93 | % | 3.08 | % | 31.1 | % | 73,407,869 | 73,084,817 | 709,585 | |||||||||||||||
Total / Weighted Average | $ | 50,573,718 | 2.93 | % | 3.08 | % | 31.1 | % | $ | 73,407,869 | $ | 73,084,817 | $ | 709,585 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in commercial mortgage loans as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 22,500,000 | 2.5 | % | 2.84 | % | 64.2 | % | 62,800,000 | 62,468,103 | 678,721 | |||||||||||||||
Total / Weighted Average | $ | 22,500,000 | 2.5 | % | 2.84 | % | 64.2 | % | $ | 62,800,000 | $ | 62,468,103 | $ | 678,721 | |||||||||||
The following table presents certain information regarding collateral pledged under the Company’s repurchase agreements secured by commercial mortgage loans as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 22,500,000 | 2.5 | % | 2.83 | % | 64.2 | % | 62,800,000 | 62,370,168 | 533,832 | |||||||||||||||
Total / Weighted Average | $ | 22,500,000 | 2.5 | % | 2.83 | % | 64.2 | % | $ | 62,800,000 | $ | 62,370,168 | $ | 533,832 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
Overnight | $ | 74,906,251 | -0.3 | % | 0.8 | % | $ | 75,509,766 | $ | 75,022,998 | $ | 139,848 | |||||||||||||
30 days or less | - | - | - | - | - | - | |||||||||||||||||||
31-60 days | - | - | - | - | - | - | |||||||||||||||||||
61-90 days | - | - | - | - | - | - | |||||||||||||||||||
Greater than 90 days | - | - | - | - | - | - | |||||||||||||||||||
Total / Weighted Average | $ | 74,906,251 | -0.3 | % | 0.8 | % | $ | 75,509,766 | $ | 75,022,998 | $ | 139,848 | |||||||||||||
The Company did not hold any positions in U.S. Treasury securities at December 31 2014. | |||||||||||||||||||||||||
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 under repurchase agreements at March 31, 2015 and December 31, 2014: | |||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Repurchase agreements secured by Agency RMBS | $ | 1,463,845,000 | $ | 1,583,911,000 | |||||||||||||||||||||
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 1,561,960,046 | 1,684,021,261 | |||||||||||||||||||||||
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 1,058,507,499 | 987,971,230 | |||||||||||||||||||||||
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,339,738,870 | 1,252,012,530 | |||||||||||||||||||||||
Repurchase agreements secured by Residential Mortgage Loans | 50,856,483 | 50,573,718 | |||||||||||||||||||||||
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 72,247,373 | 73,407,869 | |||||||||||||||||||||||
Repurchase agreements secured by Commercial Mortgage Loans | 22,500,000 | 22,500,000 | |||||||||||||||||||||||
Fair Value of Commercial Mortgage Loans pledged as collateral under repurchase agreements | 62,800,000 | 62,800,000 | |||||||||||||||||||||||
Repurchase agreements secured by U.S. Treasury Securities | 74,906,251 | - | |||||||||||||||||||||||
Fair Value of Agency U.S. Treasury Securities pledged as collateral under repurchase agreements | 75,509,766 | - | |||||||||||||||||||||||
Cash pledged (i.e., restricted cash) under repurchase agreements | 12,074,672 | 13,374,600 | |||||||||||||||||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheet as of March 31, 2015: | |||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | |||||||||||||||||||
Recognized | Offset in the | Presented in the Consolidated | Instruments | Posted | |||||||||||||||||||||
Liabilities | Consolidated Balance | Balance Sheet | Posted | ||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | 2,670,615,233 | $ | - | $ | 2,670,615,233 | $ | 2,670,615,233 | $ | - | $ | - | |||||||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheet as of December 31, 2014: | |||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | |||||||||||||||||||
Recognized | Offset in the | Presented in the Consolidated | Instruments | Posted | |||||||||||||||||||||
Liabilities | Consolidated Balance | Balance Sheet | Posted | ||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | 2,644,955,948 | $ | - | $ | 2,644,955,948 | $ | 2,644,955,948 | $ | - | $ | - | |||||||||||||
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 34 counterparties, under which it had outstanding debt with 22 counterparties at March 31, 2015 and December 31, 2014 on a GAAP basis. | |||||||||||||||||||||||||
At March 31, 2015 the following table reflects amounts at risk under its repurchase agreements greater than 5% of the Company’s equity with any counterparty, excluding repurchase agreements through affiliated entities. | |||||||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | ||||||||||||||||||||||
Maturity (days) | Stockholders' Equity | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | $ | 86,660,525 | 443 | 12 | % | ||||||||||||||||||||
Credit Suisse Securities, LLC | 83,581,570 | 95 | 12 | % | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Incorporated | 48,577,118 | 9 | 7 | % | |||||||||||||||||||||
JP Morgan Securities, LLC | 46,958,895 | 444 | 6 | % | |||||||||||||||||||||
The Royal Bank of Canada | 37,680,810 | 33 | 5 | % | |||||||||||||||||||||
At December 31, 2014, the following table reflects amounts at risk under the Company’s repurchase agreements greater than 5% of its equity with any counterparty, excluding repurchase agreements accounted for as linked transactions and repurchase agreements through affiliated entities. | |||||||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | ||||||||||||||||||||||
Maturity (days) | Stockholders' Equity | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | $ | 92,478,572 | 509 | 13 | % | ||||||||||||||||||||
Credit Suisse Securities, LLC | 85,479,003 | 117 | 12 | % | |||||||||||||||||||||
JP Morgan Securities, LLC | 51,502,631 | 168 | 7 | % | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Incorporated | 42,082,013 | 13 | 6 | % | |||||||||||||||||||||
Goldman, Sachs & Co. | 32,078,210 | 18 | 4 | % | |||||||||||||||||||||
In addition to the amount at risk in the table above, at December 31, 2014, the Company had repurchase agreements with Credit Suisse Securities, LLC, and JP Morgan Securities, LLC and Goldman, Sachs & Co. determined to be linked. The amount at risk including linked transactions is $88.3 million, $52.8 million and $39.2 million, respectively, with weighted average maturities of 114 days, 165 days and 16 days, respectively, representing approximately 12%, 7%, and 5% of stockholders’ equity, respectively. | |||||||||||||||||||||||||
On April 13, 2015, the Company, AG MIT LLC and AG MIT CMO, LLC, each a direct, wholly-owned subsidiary of the Company, entered into an Amendment Number 2 to the Master Repurchase and Securities Contract (the “Second Renewal”) with Wells Fargo Bank, National Association (“Wells Fargo”) 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 amends the repurchase agreement entered into by the Company, AG MIT and AG MIT CMO with Wells Fargo Bank, National Association, in 2014. Each transaction under the Second Renewal 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 includes a 270 day evergreen structure providing for the automatic renewal of the agreement each day for a new term of 270 days unless Wells Fargo notifies AG MIT and AG MIT CMO that it has decided not to renew, at which point the agreement will terminate 270 days after the date of nonrenewal. The Second Renewal also increased the aggregate maximum borrowing capacity to $200 million and extended the maturity date to April 13, 2017. At the request of AG MIT and AG MIT CMO, Wells Fargo may grant a 90 day extension of the maturity date. The Second Renewal 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. As of March 31, 2015, the Company had $90.4 million of debt outstanding under this facility. | |||||||||||||||||||||||||
On February 27, 2015, AG MIT WFB1 2014 LLC, (“AG MIT WFB1”), a direct, wholly-owned subsidiary of the Company, entered into Amendment Number Three of the Master Repurchase Agreement and Securities Contract, (as so amended, the “WFB1 Repurchase Agreement”) with Wells Fargo Bank to finance the ownership and 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 has 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 26, 2016 and a facility termination date of February 27, 2017. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $100.0 million. At the request of the Company, Wells Fargo may grant a one year extension of the facility termination date. 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 are the same as those in the Second Renewal Agreement. As of March 31, 2015, the Company had $50.9 million of debt outstanding under the WFB1 Repurchase Agreement. | |||||||||||||||||||||||||
On September 17, 2014, AG MIT CREL, LLC (“AG MIT CREL”), an indirect, wholly-owned subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract, dated as of September 17, 2014 (the “CREL Repurchase Agreement”), with Wells Fargo to finance AG MIT CREL’s acquisition of certain beneficial interests in one or more commercial mortgage loans. Each transaction under the CREL 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 CREL Repurchase Agreement provides for a funding period ending September 17, 2016 and an initial facility termination date of September 17, 2016 (the “Initial Termination Date”). AG MIT CREL has three (3) one-year options to extend the term of the CREL Repurchase Agreement: (i) the first for an additional one year period (the “First Extension Period”) ending September 17, 2017 (the “First Extended Termination Date”), (ii) the second for an additional one year period (the “Second Extension Period”) ending September 17, 2018 (the “Second Extended Termination Date”) and (iii) the third for an additional one year period ending September 17, 2019 (the “Third Extended Termination Date”). For each of the Initial Termination Date, the First Extended Termination Date, the Second Extended Termination Date and the Third Extended Termination Date, if such day is not a Business Day, such date shall be the next succeeding Business Day. Each option shall be exercisable in each case no more than ninety (90) days and no fewer than thirty (30) days prior to the initial facility termination date, the First Extended Termination Date or the Second Extended Termination Date, as the case may be. The maximum aggregate borrowing capacity available under the CREL Repurchase Agreement is $150.0 million. The Company records its financing at cost, which approximates its estimated fair value. As of March 31, 2015, the Company had $22.5 million of debt outstanding under this facility. | |||||||||||||||||||||||||
The CREL Repurchase Agreement contains representations, warranties, covenants, events of default and indemnities that are customary for agreements of this type. It also contains financial covenants that are the same as the financial covenants in the Second Renewal Agreement. | |||||||||||||||||||||||||
The Company’s MRAs 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 December 31, 2014, the Company had repurchase agreements of $113.4 million that were accounted for as linked. These linked repurchase agreements are not included in the above tables. There were no linked transactions as of March 31, 2015. See Note 7 for details. | |||||||||||||||||||||||||
Derivatives
Derivatives | 3 Months Ended | ||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||
Derivatives [Abstract] | |||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 7. Derivatives | ||||||||||||||||||||||||||||||||
The Company’s derivatives may include interest rate swaps (“swaps”), swaptions, TBAs, MBS options, IO Indexes 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 long 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, 2015 and December 31, 2014. | |||||||||||||||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||
Interest rate swaps | Non-Hedge | Derivative liabilities, at fair value | $ | -8,812,676 | $ | -8,608,209 | |||||||||||||||||||||||||||
Interest rate swaps | Non-Hedge | Derivative assets, at fair value | 1,864,570 | 9,902,151 | |||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative assets, at fair value | 2,166,800 | 1,480,471 | |||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Non-Hedge | U.S. Treasury securities, at fair value | 100,679,688 | - | |||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Non-Hedge | Obligation to return securities borrowed under reverse repurchase | -25,009,766 | - | |||||||||||||||||||||||||||||
agreements, at fair value (1) | |||||||||||||||||||||||||||||||||
Linked transactions | Non-Hedge | Linked transactions, net, at fair value | - | 26,695,091 | |||||||||||||||||||||||||||||
(1) The Company's obligation to return securities borrowed under reverse repurchase agreements as of March 31, 2015 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company's consolidated statement of operations. | |||||||||||||||||||||||||||||||||
The following table summarizes information related to derivatives: | |||||||||||||||||||||||||||||||||
Non-hedge derivatives held long/(short): | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements | $ | 1,040,000,000 | $ | 1,441,000,000 | |||||||||||||||||||||||||||||
Notional amount of Receive Fix/Pay Float Interest Rate Swap Agreements | -5,000,000 | -5,000,000 | |||||||||||||||||||||||||||||||
Notional amount of TBAs | 180,000,000 | 225,000,000 | |||||||||||||||||||||||||||||||
Notional amount of long positions on U.S. Treasuries | 100,000,000 | - | |||||||||||||||||||||||||||||||
Notional amount of short positions on U.S. Treasuries | -25,000,000 | - | |||||||||||||||||||||||||||||||
Notional amount of Linked Transactions (1) | - | 150,836,900 | |||||||||||||||||||||||||||||||
(1) Represents the current face of the securities comprising linked transactions as of December 31, 2014. | |||||||||||||||||||||||||||||||||
The following table summarizes gains/(losses) related to derivatives: | |||||||||||||||||||||||||||||||||
Three Months Ended | Three Months Ended | ||||||||||||||||||||||||||||||||
Non-hedge derivatives gain (loss): | Statement of Operations Location | March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | $ | -9,681,958 | $ | -18,463,039 | ||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Net realized gain/(loss) | -12,095,409 | 619,643 | ||||||||||||||||||||||||||||||
Swaptions, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | - | -119,049 | ||||||||||||||||||||||||||||||
Swaptions, at fair value | Net realized gain/(loss) | - | 445,000 | ||||||||||||||||||||||||||||||
TBAs (1) | Unrealized gain/(loss) on derivative and other instruments, net | 686,330 | -109,414 | ||||||||||||||||||||||||||||||
TBAs | Net realized gain/(loss) | 2,155,078 | - | ||||||||||||||||||||||||||||||
IO Index, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | - | -34,606 | ||||||||||||||||||||||||||||||
IO Index, at fair value | Net realized gain/(loss) | - | 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/(loss) | - | 19,531 | ||||||||||||||||||||||||||||||
Linked transactions | Income/(loss) from linked transactions, net | - | 4,126,741 | ||||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Unrealized gain/(loss) on derivative and other instruments, net | 649,023 | - | ||||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Net realized gain/(loss) | -1,263,672 | - | ||||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Unrealized gain/(loss) on derivative and other instruments, net | -369,141 | -493,381 | ||||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Net realized gain/(loss) | -442,969 | - | ||||||||||||||||||||||||||||||
(1) For the three months ended March 31, 2015, gains and losses from purchases and sales of TBAs consisted of $1.2 million of net TBA dollar roll net interest income and net gains of $1.6 million due to price changes. For the three months ended March 31, 2014, gains and losses from purchases and sales of TBAs consisted of net losses of $0.1 million, due to price changes. There was no income recorded on TBA dollar rolls for the three months ended March 31, 2014. | |||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheet as of March 31, 2015: | |||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||
Recognized | Offset in the | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||
Assets | Consolidated Balance | Consolidated Balance Sheet | (Posted)/Received | ||||||||||||||||||||||||||||||
(Liabilities) | Sheet | ||||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 25,125,000 | $ | - | $ | 25,125,000 | $ | 25,009,766 | $ | - | $ | 115,234 | |||||||||||||||||||||
Derivative Assets (1) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 2,795,632 | $ | - | $ | 2,795,632 | $ | - | $ | 1,178,836 | $ | 1,616,796 | |||||||||||||||||||||
TBAs | 2,166,800 | - | 2,166,800 | - | 2,166,800 | - | |||||||||||||||||||||||||||
Total Derivative Assets | $ | 4,962,432 | $ | - | $ | 4,962,432 | $ | - | $ | 3,345,636 | $ | 1,616,796 | |||||||||||||||||||||
Derivative Liabilities (2) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -6,614,876 | $ | - | $ | -6,614,876 | $ | -172,624 | $ | -6,442,252 | $ | - | |||||||||||||||||||||
Total Derivative Liabilities | $ | -6,614,876 | $ | - | $ | -6,614,876 | $ | -172,624 | $ | -6,442,252 | $ | - | |||||||||||||||||||||
(1) Included in Derivative Assets on the consolidated balance sheet is $4,962,432 less accrued interest of $931,062 for a total of $4,031,370. | |||||||||||||||||||||||||||||||||
(2) Included in Derivative Liabilities on the consolidated balance sheet is $6,614,876 plus accrued interest of $2,197,800 for a total of $8,812,676. | |||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheet as of December 31, 2014: | |||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||
Recognized | Offset in the | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||
Assets | Consolidated Balance | Consolidated Balance Sheet | (Posted)/Received | ||||||||||||||||||||||||||||||
(Liabilities) | sheet | ||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 139,778,263 | $ | -113,363,873 | $ | 26,414,390 | $ | -26,414,390 | $ | - | $ | - | |||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 13,369,511 | $ | - | $ | 13,369,511 | $ | - | $ | 3,907,000 | $ | 9,462,511 | |||||||||||||||||||||
TBAs | 1,480,471 | - | 1,480,471 | - | 1,480,471 | - | |||||||||||||||||||||||||||
Total Derivative Assets | $ | 14,849,982 | $ | - | $ | 14,849,982 | $ | - | $ | 5,387,471 | $ | 9,462,511 | |||||||||||||||||||||
Derivative Liabilities (3) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | |||||||||||||||||||||
Total Derivative Liabilities | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | |||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $139,778,263, less repurchase agreements of $(113,363,873), plus net accrued interest of $280,701 for a total of $26,695,091. | |||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $14,849,982 less accrued interest of $(3,467,360) for a total of $11,382,622. | |||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(7,506,798) plus accrued interest of $(1,101,411) for a total of $(8,608,209). | |||||||||||||||||||||||||||||||||
At March 31, 2015, the Company had real estate securities with a fair value of $6.0 million and $18.6 million of cash pledged as collateral against certain derivatives. The Company had $1.2 million of cash received as collateral against certain derivatives. At December 31, 2014, the Company had real estate securities with a fair value of $7.2 million and $21.1 million of cash pledged as collateral against certain derivatives. The Company had $3.9 million of cash received as collateral against certain derivatives. The Company pledged assets accounted for within linked transactions with a fair value of $139.6 million as collateral against the related linked repurchase agreements. | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||||||||||||||
To help mitigate exposure to higher short-term interest rates, the Company uses currently-paying and may use 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, 2015: | |||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||
2017 | $ | 80,000,000 | 0.87 | % | 0.3 | % | 2.43 | ||||||||||||||||||||||||||
2018 | 210,000,000 | 1.05 | % | 0.26 | % | 3.01 | |||||||||||||||||||||||||||
2019 | 260,000,000 | 1.27 | % | 0.26 | % | 4.39 | |||||||||||||||||||||||||||
2020 | 265,000,000 | 1.95 | % | 0.29 | % | 6.07 | |||||||||||||||||||||||||||
2022 | 70,000,000 | 1.75 | % | 0.25 | % | 7.27 | |||||||||||||||||||||||||||
2023 | 160,000,000 | 1.8 | % | 0.2 | % | 6.38 | |||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,045,000,000 | 1.48 | % | 0.26 | % | 4.89 | ||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of December 31, 2014: | |||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||
2017 | $ | 80,000,000 | 0.86 | % | 0.27 | % | 2.68 | ||||||||||||||||||||||||||
2018 | 210,000,000 | 1.05 | % | 0.23 | % | 3.26 | |||||||||||||||||||||||||||
2019 | 350,000,000 | 1.39 | % | 0.23 | % | 4.59 | |||||||||||||||||||||||||||
2020 | 440,000,000 | 1.61 | % | 0.23 | % | 5.24 | |||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.23 | % | 7.68 | |||||||||||||||||||||||||||
2023 | 278,000,000 | 2.43 | % | 0.23 | % | 8.52 | |||||||||||||||||||||||||||
2024 | 38,000,000 | 2.75 | % | 0.23 | % | 9.18 | |||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,446,000,000 | 1.62 | % | 0.24 | % | 5.47 | ||||||||||||||||||||||||||
TBAs | |||||||||||||||||||||||||||||||||
The Company has entered into TBA positions to facilitate the future purchase or sale of 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 may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The agency securities purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable until the settlement date of the transaction. Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if the delivery of the Agency security and settlement extends beyond the shortest period possible for that type of security. Our maximum exposure to loss represents the net payable amount until the settlement date. As of March 31, 2015, our maximum exposure to loss on TBAs was $187.8 million. As of December 31, 2014, our maximum exposure to loss on TBAs was $235.2 million. | |||||||||||||||||||||||||||||||||
The following table presents information about the Company’s TBAs for the three months ended March 31, 2015 and March 31, 2014: | |||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2015 | |||||||||||||||||||||||||||||||||
Beginning | Buys or Covers | Sales or Shorts | Ending Notional | Fair Value as of | Receivable/(Payable) | Derivative | Derivative | ||||||||||||||||||||||||||
Notional | Amount | Period End | from/to Broker | Asset | Liability | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
TBAs - Long | $ | 225,000,000 | $ | 605,000,000 | $ | -650,000,000 | $ | 180,000,000 | $ | 189,959,769 | $ | -187,792,969 | $ | 2,166,800 | $ | - | |||||||||||||||||
TBAs - Short | $ | - | $ | 219,000,000 | $ | -219,000,000 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||
Beginning | Buys or Covers | Sales or Shorts | Ending Notional | Fair Value as of | Receivable/(Payable) | Derivative | Derivative | ||||||||||||||||||||||||||
Notional | Amount | Period End | from/to Broker | Asset | Liability | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
TBAs - Long | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
TBAs - Short | $ | - | $ | 147,000,000 | $ | -147,000,000 | $ | - | $ | - | $ | -109,414 | $ | 118,205 | $ | -227,619 | |||||||||||||||||
Linked Transactions | |||||||||||||||||||||||||||||||||
In June 2014, the FASB issued final guidance for repurchase financings, ASU 2014-11, “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures,” which requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty. If all derecognition criteria are met, the initial transferee will account for the initial transfer as a purchase and the related repurchase agreement component of the transaction will be accounted for as a secured borrowing. ASU 2014-11 also requires repurchase-to-maturity transactions to be accounted for as secured borrowings as if the transferor retains effective control, even though the transferred financial assets are not returned to the transferor at settlement. The accounting changes are effective for public business entities for the first interim or annual period beginning after December 15, 2014. Entities are required to present changes in accounting for transactions outstanding on the effective date as a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. | |||||||||||||||||||||||||||||||||
The Company has adopted this guidance as of January 1, 2015. This change had no effect on net income or stockholders’ equity, but did impact the amounts reported on the consolidated balance sheet and the consolidated statement of operations. The Company has disaggregated amounts previously netted together in the “Linked transactions, net, at fair value” line item on the consolidated balance sheet and has presented these amounts gross. As of January 1, 2015, the Company made a cumulative-effect adjustment to transfer real estate securities with values of $124.9 million and $14.9 million to the “Non-Agency” and “CMBS” line items, respectively, and to transfer secured borrowings of $113.4 million to the “Repurchase agreements” line item on the consolidated balance sheet. As part of the cumulative-effect adjustment the Company also transferred interest receivable and payable of $0.4 million and $0.1 million to the “Interest receivable” and “Interest payable” line items, respectively. There was no effect on prior periods as the FASB did not require full retrospective application. As a result, disclosures for periods prior to January 1, 2015 will not be comparable to disclosures subsequent to that date. | |||||||||||||||||||||||||||||||||
Under previous GAAP, when the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another, the transaction was considered linked unless all of the criteria found in ASC 860-10 were met at the inception of the transaction. If the transaction was determined to be linked, the Company recorded the initial transfer and repurchase financing on a net basis and recorded a forward commitment to purchase assets as a derivative instrument. Gains and losses were recorded together with net interest income in the “Income/(loss) from linked transactions, net” line item on the consolidated statement of operations. When, or if a transaction was no longer considered linked, the security and related repurchase agreement was recorded on a gross basis. The fair value of linked transactions reflected the value of the underlying security’s fair market value netted with the respective linked repurchase agreement borrowings and net accrued interest. Disclosures required under previous GAAP have been presented for periods under which the superseded guidance applied. | |||||||||||||||||||||||||||||||||
The following table presents certain information related to the securities accounted for as a part of linked transactions during the three months ended March 31, 2014: | |||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||
Instrument | Current Face | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted Average | Weighted Average Life | |||||||||||||||||||||||
Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Coupon | |||||||||||||||||||||||||||
Gain/(Loss) | Statement of | ||||||||||||||||||||||||||||||||
Operations | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||
CMBS | 10,000,000 | 9,278,989 | 9,516,800 | -3,629 | 144,702 | 124,029 | -167,422 | 101,309 | 0.4 | % | 1.04 | ||||||||||||||||||||||
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 | ||||||||||||||
The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of March 31, 2014: | |||||||||||||||||||||||||||||||||
Instrument | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Agreement | Average | Average Years | |||||||||||||||||||||||||||||||
Interest Rate | to Maturity | ||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 180,103,626 | 1.89 | % | 0.16 | ||||||||||||||||||||||||||||
CMBS | 6,475,333 | 1.56 | % | 0.06 | |||||||||||||||||||||||||||||
$ | 186,578,959 | 1.88 | % | 0.16 | |||||||||||||||||||||||||||||
For the three months ended March 31, 2014, Non-Agency RMBS, ABS and CMBS with 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, became unlinked, and the Company recorded net realized losses of $0.2 million from the unlinking of the Linked Transactions. | |||||||||||||||||||||||||||||||||
Earnings_per_Share
Earnings per Share | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
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, unvested restricted stock and unvested restricted stock units 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, 2015 and March 31, 2014, the Company’s outstanding warrants, unvested shares of restricted common stock and restricted stock units were as follows: | ||||||||
March 31, 2015 | March 31, 2014 | |||||||
Warrants | 1,007,500 | 1,007,500 | ||||||
Restricted stock granted to the Manager | - | 6,710 | ||||||
Restricted stock units granted to the Manager | 60,000 | - | ||||||
Restricted stock granted to the independent directors | - | 2,500 | ||||||
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. For the three months ended March 31, 2015 and 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. | ||||||||
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. Restricted stock units granted to the manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. The dilutive effects of these shares and restricted stock units 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, 2015 and March 31, 2014: | ||||||||
Three Months Ended | Three Months Ended | |||||||
March 31, 2015 | March 31, 2014 | |||||||
Numerator: | ||||||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ | 9,396,088 | $ | 27,818,888 | ||||
Denominator: | ||||||||
Basic weighted average common shares outstanding | 28,387,615 | 28,371,419 | ||||||
Dilutive effect of manager and director restricted stock, and restricted stock units | 24,590 | 2,375 | ||||||
Dilutive weighted average common shares outstanding | 28,412,205 | 28,373,794 | ||||||
Basic Earnings/(Loss) Per Share of Common Stock: | $ | 0.33 | $ | 0.98 | ||||
Diluted Earnings/(Loss) Per Share of Common Stock: | $ | 0.33 | $ | 0.98 | ||||
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2015 | |
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. | |
For the three months ended March 31, 2015 and March 31, 2014, the Company recorded excise tax expense of $0.4 million and $0.5 million, respectively. Excise tax represents a four percent tax on the required amount of our ordinary income and net capital gains not distributed during the year. The quarterly expense is calculated in accordance with applicable tax regulations. | |
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 subsidiaries 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. | |
The Company elected to treat one of its consolidated subsidiaries as a foreign TRS 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, 2015 and December 31, 2014. The Company’s federal income tax returns for the last three 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, 2015 | |
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 provided 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. At its regular quarterly meeting in April 2014, the Board of Directors approved the renewal of the management agreement for an additional one-year period ending June 30, 2015. 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 initial public offering (the “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, 2015, the Company incurred a management fee of approximately $2.5 million. For the three months ended March 31, 2014, the Company incurred a management fee of approximately $2.5 million. | |
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, 2015 and December 31, 2014, 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 either incurred by the Manager or on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation, however expenses are evaluated in accordance with its policy. The reimbursement is subject to an annual budget process which combines guidelines found in the Management Agreement with oversight by the Company’s board of directors. 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, 2015, and March 31, 2014, the Company expensed into Other operating expenses $1.8 million, and $1.7 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 that vested on July 6, 2014 were granted to Mr. Ainsberg under the Equity Incentive Plan. As of July 6, 2014, an aggregate of 46,750 shares awarded to the Manager and the independent directors were fully vested. | |
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, 2015, 147,542 shares of common stock were 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. | |
On July 1, 2014, the Company granted 60,000 restricted stock units to the Manager that represent the right to receive an equivalent number of shares of the Company’s common stock to be issued if and when such units vest. Annual vesting of 20,000 units will occur on each of July 1, 2015, July 1, 2016, and July 1, 2017. The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. As of March 31, 2015, all of these units remained outstanding. | |
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. | |
Investments in Affiliates | |
The Company invests in credit sensitive commercial and residential real estate assets through affiliated entities which also hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by the Manager, in such entities and has applied the equity method of accounting for such investments. These assets include investments in unguaranteed portions of CMBS issued by a GSE and secured by mortgages on multifamily properties. These assets also include an investment in a portfolio of non-performing single-family mortgage loans acquired through a competitive auction conducted by a U.S. government agency. Our maximum exposure to loss with respect to these investments is generally equal to the amount that we invested. | |
Equity
Equity | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
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 our securities, including capital stock. The registration statement was declared effective on July 20, 2012. At March 31, 2015, approximately $549.5 million of our securities, including 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 Company’s 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 Company’s Series A Preferred Stock is convertible to shares of the common stock. Holders of the Company’s 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 Company’s 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, 2015, the Company had declared all required quarterly dividends on the Company’s 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, 2015, the Company had sold 1,254,854 shares of common stock through the Sales Agents for net proceeds of approximately $31.3 million with the last sale settling on June 13, 2013. | |||||||||||
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 Company’s 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 Company’s Series B Preferred Stock is convertible to shares of the common stock. Holders of the Company’s 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, 2015, 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. | |||||||||||
Concurrently with the IPO, the Company offered a private placement of 3,205,000 units at $20.00 per share to a limited number of investors qualifying as “accredited investors” under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the “Securities Act”). Each unit consisted of one share of common stock (“private placement share”) and a warrant (“private placement warrant”) to purchase 0.5 of a share of common stock. Each private placement warrant had an exercise price of $20.50 per share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like). No warrants were exercised for the three months ended March 31, 2015 and March 31, 2014. | |||||||||||
The following table details the Company’s common stock dividends during the three months ended March 31, 2015 and March 31, 2014: | |||||||||||
2015 | |||||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||||
3/12/15 | 3/23/15 | 4/30/15 | $ | 0.6 | |||||||
2014 | |||||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||||
3/5/14 | 3/18/14 | 4/28/14 | $ | 0.6 | |||||||
The following table details the Company’s preferred stock dividends during the three months ended March 31, 2015 and March 31, 2014: | |||||||||||
2015 | |||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||||
8.25% Series A | 2/12/15 | 2/27/15 | 3/17/15 | $ | 0.51563 | ||||||
8.00% Series B | 2/12/15 | 2/27/15 | 3/17/15 | $ | 0.5 | ||||||
2014 | |||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||||
8.25% Series A | 2/14/14 | 2/28/14 | 3/17/14 | $ | 0.51563 | ||||||
8.00% Series B | 2/14/14 | 2/28/14 | 3/17/14 | $ | 0.5 | ||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2015 | |
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 commitments and contingencies at March 31, 2015 and December 31, 2014. | |
In the normal course of business, the Company enters into agreements where payment may become due if certain events occur. Management believes that the probability of making such payments is remote. | |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 3 Months Ended | ||
Mar. 31, 2015 | |||
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. As of March 31, 2015, the Company held $0.4 million of money market securities. The Company held no money market securities at December 31, 2014. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Any cash held by the Company as collateral is included in the 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, derivatives 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 offering 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. 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/(Loss) per share | ||
In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income/(loss) per share by dividing net income/(loss) 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, unvested restricted stock, and unvested restricted stock units 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, ASC 325 or ASC 310-30. 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.” Real estate securities acquired through securitizations are shown in the line item “Purchase of real estate securities” on the consolidated statement of cash flows. | |||
These investments 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 recorded 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 consolidated 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. | |||
When the Company purchases securities with evidence of credit deterioration since origination, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. | |||
The Company accounts for its securities under ASC 310 and ASC 325, and 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 a real estate 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 real estate 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. Additionally 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/(loss)” line item on the consolidated statement of operations. | |||
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. | |||
Increases in interest income may be recognized on a security which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. | |||
Securities in an unrealized loss position at March 31, 2015 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 amortized 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, defaults, severities, amongst others, 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, loans and derivatives are included in the “Net realized gain/(loss)” 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 with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” Mortgage loans that are delinquent 60 or more days are considered non-performing. | |||
The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. 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] | Investments in affiliates | ||
The Company’s unconsolidated ownership interests in affiliates are 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 investments in affiliates consistently with this election. The investments 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 affiliates.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. | |||
Excess Mortgage Servicing Rights, Basis Of Accounting Policy [Policy Text Block] | Excess mortgage servicing rights | ||
The Company has acquired the right to receive the excess servicing spread related to excess mortgage servicing rights (“MSRs”). The Company has chosen to make a fair value election pursuant to ASC 825 for MSRs. MSRs are recorded at fair market value on the consolidated balance sheet and any 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 derivative and other instruments, net.” | |||
Investment, Policy [Policy Text Block] | Investment consolidation and transfers of financial assets | ||
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 refers to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company refers 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 . Refer to Note 3 for more detail. | |||
The Company has entered into resecuritization transactions which result in the Company consolidating the VIEs that were created to facilitate the transactions and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to these resecuritization transactions, the Company evaluated whether the entities used to facilitate these transactions were VIEs and, if so, whether they should be consolidated. Based on its evaluation, the Company concluded that the VIEs should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. | |||
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 consolidated 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 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 is recorded in 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 statement of operations. | |||
For security and loan 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 into pools and uses 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 (loans) 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 an 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 accretion and premium amortization 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, 2015 and December 31, 2014, the Company has met all margin call requirements. | |||
On June 12, 2014, the Financial Accounting Standards Board (the “FASB”) issued ASU No. 2014-11. This amendment requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty. If all derecognition criteria are met, the initial transferee will account for the initial transfer as a purchase and the related repurchase agreement component of the transaction will be accounted for as a secured borrowing. Public business entities are required to apply the accounting changes for the first interim or annual reporting period beginning after December 15, 2014. Entities must present changes in accounting for transactions outstanding on the effective date as a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. | |||
Prior to the adoption of ASU 2014-11, in instances where the Company acquired assets through repurchase agreements with the same counterparty from whom the assets were purchased, ASC 860-10 required the initial transfer of a financial asset and repurchase financing that were entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in ASC 860-10 were met at the inception of the transaction. If the transaction met all of the conditions, the initial transfer was accounted for separately from the repurchase financing, and the Company recorded the assets and the related financing on a gross basis on its consolidated balance sheet with the corresponding interest income and interest expense recorded on a gross basis in the consolidated statement of operations. If the transaction was determined to be linked, the Company recorded the initial transfer and repurchase financing on a net basis and recorded 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 were recorded at fair value with subsequent changes in fair value recognized in income. The Company referred to these transactions as Linked Transactions. The Company recorded interest income, interest expense, and gains and losses related to linked transactions in the “Income/(loss) from linked transactions, net” line item on the consolidated statement of operations. When a transaction was no longer considered to be linked, the real estate asset and related repurchase financing was reported on a gross basis. The unlinking of a transaction caused a realized event in which the fair value of the real estate asset as of the date of unlinking became 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 was the realized gain or loss. Recognition of effective yield for such security was calculated prospectively using the new cost basis. ASU 2014-11 eliminated this guidance for repurchase financings and instead requires that entities consider the initial transfer and the related repurchase agreement separately when applying the derecognition requirements of ASC 860-10. This guidance effectively changes the accounting for linked financings to secured borrowing accounting. Refer to Note 7 for more detail. | |||
Derivatives, Policy [Policy Text Block] | Accounting for derivative financial instruments | ||
The Company enters into derivative contracts as a means of mitigating 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, 2015 and December 31, 2014, the Company did not have any 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 forward 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. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” | |||
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] | U.S. Treasury securities | ||
The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight 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. Interest income and expense associated with purchases and short sales of U.S. treasury securities are recognized in “Interest income” and “Interest expense”, respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on the consolidated statement 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/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax provisions and not financial accounting principles. | |||
The Company has elected to treat certain subsidiaries 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/(loss), a domestic TRS can declare dividends to the Company which will be included in the Company’s taxable income/(loss) 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. | |||
The Company elected to treat one of its consolidated subsidiaries as a foreign TRS 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 (subject to specific timing rules for certain dividends paid in January) 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 non-deductible 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. Compensation 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 and restricted stock units 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. Shares of restricted common stock held by the Manager and independent directors accrue dividends, but these dividends are not paid until vested and are therefore not considered to be participating shares. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares and restricted stock units granted to the Manager. | |||
New Accounting Pronouncements, Policy [Policy Text Block] | Recent accounting pronouncements | ||
In January 2014, the FASB issued ASU 2014-04, “Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure” (“ASU 2014-04”). ASU 2014-04 clarifies that an in substance repossession or foreclosure occurs, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, upon either (1) the creditor obtaining legal title to the residential real estate property upon completion of a foreclosure or (2) the borrower conveying all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Additionally, the amendments require interim and annual disclosure of both (1) the amount of foreclosed residential real estate property held by the creditor and (2) the recorded investment in consumer mortgage loans collateralized by residential real estate property that are in the process of foreclosure according to local requirements of the applicable jurisdiction. ASU 2014-04 does not have a material impact on the Company’s financial statements. | |||
In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers (Topic 606)” (“ASU 2014-09”). ASU 2014-09 is a comprehensive new revenue recognition model requiring a company to recognize revenue to depict the transfer of goods or services to a customer at an amount reflecting the consideration it expects to receive in exchange for those goods or services. In adopting ASU 2014-09, companies may use either a full retrospective or a modified retrospective approach. Additionally, this guidance requires improved disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from contracts with customers. ASU 2014-09 is effective for the first interim period within annual reporting periods beginning after December 15, 2016, and early adoption is not permitted. The Company is currently in the process of evaluating the impact the adoption of ASU 2014-09 will have on the Company’s financial position or results of operations. | |||
In August 2014, the FASB issued ASU 2014-13, “Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity” (“ASU 2014-13”). This guidance applies to a reporting entity that is required to consolidate a collateralized financing entity under the Variable Interest Entities Subsections of Subtopic 810-10 when (1) the reporting entity measures all of the financial assets and the financial liabilities of that consolidated collateralized financing entity at fair value in the consolidated financial statements based on other Topics and (2) the changes in the fair values of those financial assets and financial liabilities are reflected in earnings. The amendments in this Update clarify that when the measurement alternative is elected, a reporting entity’s consolidated net income (loss) should reflect the reporting entity’s own economic interests in the collateralized financing entity, including (1) changes in the fair value of the beneficial interests retained by the reporting entity and (2) beneficial interests that represent compensation for services. Beneficial interests retained by the reporting entity that represent compensation for services (for example, management fees or servicing fees) and nonfinancial assets that are held temporarily by a collateralized financing entity should be measured in accordance with other applicable Topics. The amendments in this update are effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2015. The Company is currently assessing the impact of this guidance. | |||
In February 2015, the FASB issued ASU 2015-2, “Consolidation” (“ASU 2015-2”). The amendments in this update affect reporting entities that are required to evaluate whether they should consolidate certain legal entities. All legal entities are subject to reevaluation under the revised consolidation model. Specifically, the amendments, (1) modify the evaluation of whether limited partnerships and similar legal entities are variable interest entities (VIEs) or voting interest entities, (2) eliminate the presumption that a general partner should consolidate a limited partnership, (3) affect the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships partnership, and (4) provide a scope exception from consolidation guidance for reporting entities with interests in legal entities that are required to comply with or operate in accordance with requirements that are similar to those in Rule 2a-7 of the Investment Company Act of 1940 for registered money market funds. The Company is currently assessing the impact of this guidance. | |||
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||
Schedule Of Real Estate Securities [Table Text Block] | The following table details the Company’s real estate securities portfolio as of March 31, 2015: | ||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield | ||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20 Year Fixed Rate | $ | 120,481,882 | $ | 5,630,716 | $ | 126,112,598 | $ | 2,892,474 | $ | - | $ | 129,005,072 | 3.72 | % | 2.76 | % | |||||||||||||
30 Year Fixed Rate | 907,692,408 | 41,572,317 | 949,264,725 | 22,223,509 | -126,557 | 971,361,677 | 3.8 | % | 3.1 | % | |||||||||||||||||||
Fixed Rate CMO | 85,659,227 | 826,794 | 86,486,021 | 3,224,801 | - | 89,710,822 | 3 | % | 2.8 | % | |||||||||||||||||||
ARM | 408,557,899 | -802,634 | 407,755,265 | 10,931,406 | - | 418,686,671 | 2.42 | % | 2.69 | % | |||||||||||||||||||
Interest Only | 712,419,711 | -603,767,274 | 108,652,437 | 3,642,435 | -3,787,679 | 108,507,193 | 4.44 | % | 7.86 | % | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||||||||
Non-Agency RMBS | 1,716,983,671 | -488,239,998 | 1,228,743,673 | 25,851,505 | -4,606,782 | 1,249,988,396 | 3.54 | % | 5.5 | % | |||||||||||||||||||
ABS | 68,967,873 | -524,344 | 68,443,529 | 1,062,967 | -439,242 | 69,067,254 | 5.2 | % | 5.49 | % | |||||||||||||||||||
CMBS | 216,126,251 | -119,511,371 | 96,614,880 | 2,651,983 | -150,577 | 99,116,286 | 5.02 | % | 6.45 | % | |||||||||||||||||||
CMBS Interest Only | 52,357,700 | -46,582,626 | 5,775,074 | 230,953 | - | 6,006,027 | 1.85 | % | 5.76 | % | |||||||||||||||||||
Total | $ | 4,289,246,622 | $ | -1,211,398,420 | $ | 3,077,848,202 | $ | 72,712,033 | $ | -9,110,837 | $ | 3,141,449,398 | 3.68 | % | 4.31 | % | |||||||||||||
(1) The Company has 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). | |||||||||||||||||||||||||||||
(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
The following table details the Company’s real estate securities portfolio as of December 31, 2014: | |||||||||||||||||||||||||||||
Premium / | Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||||
Current Face | (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield | ||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20 Year Fixed Rate | $ | 125,538,084 | $ | 6,009,532 | $ | 131,547,616 | $ | 2,267,721 | $ | -72,467 | $ | 133,742,870 | 3.72 | % | 2.79 | % | |||||||||||||
30 Year Fixed Rate | 973,102,647 | 46,665,955 | 1,019,768,602 | 17,222,909 | -967,492 | 1,036,024,019 | 3.9 | % | 3.15 | % | |||||||||||||||||||
Fixed Rate CMO | 88,345,864 | 880,994 | 89,226,858 | 1,548,517 | - | 90,775,375 | 3 | % | 2.81 | % | |||||||||||||||||||
ARM | 421,043,957 | -888,105 | 420,155,852 | 7,570,945 | -189,430 | 427,537,367 | 2.42 | % | 2.71 | % | |||||||||||||||||||
Interest Only | 754,905,240 | -638,264,371 | 116,640,869 | 5,941,701 | -2,347,455 | 120,235,115 | 4.51 | % | 7.79 | % | |||||||||||||||||||
Credit Investments: | |||||||||||||||||||||||||||||
Non-Agency RMBS | 1,303,432,523 | -181,488,454 | 1,121,944,069 | 24,415,728 | -6,281,869 | 1,140,077,928 | 4.26 | % | 5.62 | % | |||||||||||||||||||
ABS | 67,696,117 | -379,648 | 67,316,469 | 322,074 | -945,300 | 66,693,243 | 5.15 | % | 5.55 | % | |||||||||||||||||||
CMBS | 220,026,552 | -127,623,416 | 92,403,136 | 2,138,358 | -146,791 | 94,394,703 | 5.13 | % | 6.65 | % | |||||||||||||||||||
CMBS Interest Only | 52,357,700 | -46,424,765 | 5,932,935 | 193,014 | - | 6,125,949 | 1.85 | % | 5.73 | % | |||||||||||||||||||
Total | $ | 4,006,448,684 | $ | -941,512,278 | $ | 3,064,936,406 | $ | 61,620,967 | $ | -10,950,804 | $ | 3,115,606,569 | 3.97 | % | 4.31 | % | |||||||||||||
(1) The Company has 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). | |||||||||||||||||||||||||||||
(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
Available-For-Sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | The following table presents the gross unrealized losses and 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, 2015 and December 31, 2014: | ||||||||||||||||||||||||||||
Less than 12 months | Greater than 12 months | ||||||||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||||||||
Losses | Losses | ||||||||||||||||||||||||||||
31-Mar-15 | $ | 438,800,357 | $ | -6,320,637 | $ | 90,771,025 | $ | -2,790,200 | |||||||||||||||||||||
31-Dec-14 | 551,097,657 | -6,921,385 | 224,261,493 | -4,029,419 | |||||||||||||||||||||||||
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, 2015: | ||||||||||||||||||||||||||||
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 (4) | |||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | 22,175,588 | $ | 22,140,661 | 4.06 | % | |||||||||||||
Greater than one year and less than or equal to five years | 122,540,361 | 120,267,738 | 2.59 | % | 72,680,755 | 72,717,557 | 4.03 | % | 645,098,126 | 636,930,130 | 4.01 | % | |||||||||||||||||
Greater than five years and less than or equal to ten years | 1,466,509,816 | 1,429,833,748 | 3.44 | % | 35,826,438 | 35,934,880 | 5.68 | % | 640,087,087 | 629,894,268 | 3.01 | % | |||||||||||||||||
Greater than ten years | 19,714,065 | 19,517,123 | 3.58 | % | - | - | - | 116,817,162 | 110,612,097 | 5.85 | % | ||||||||||||||||||
Total | $ | 1,608,764,242 | $ | 1,569,618,609 | 3.38 | % | $ | 108,507,193 | $ | 108,652,437 | 4.44 | % | $ | 1,424,177,963 | $ | 1,399,577,156 | 3.63 | % | |||||||||||
(1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 20 Year, Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | |||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Credit Interest Only securities. | |||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||
(4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
The following table details weighted average life by Agency RMBS, Agency IO and Credit Investments as of December 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 (4) | |||||||||||||||||||||||||||
Less than or equal to 1 year | $ | - | $ | - | - | $ | - | $ | - | - | $ | 39,522,038 | $ | 39,415,933 | 3.48 | % | |||||||||||||
Greater than one year and less than or equal to five years | 72,253,477 | 71,713,942 | 2.57 | % | 67,356,372 | 67,199,203 | 4.16 | % | 621,179,587 | 612,711,131 | 3.93 | % | |||||||||||||||||
Greater than five years and less than or equal to ten years | 1,486,360,763 | 1,461,439,648 | 3.49 | % | 52,878,743 | 49,441,666 | 5.13 | % | 562,808,169 | 557,116,343 | 4.39 | % | |||||||||||||||||
Greater than ten years | 129,465,391 | 127,545,338 | 3.54 | % | - | - | - | 83,782,029 | 78,353,202 | 6.58 | % | ||||||||||||||||||
Total | $ | 1,688,079,631 | $ | 1,660,698,928 | 3.45 | % | $ | 120,235,115 | $ | 116,640,869 | 4.51 | % | $ | 1,307,291,823 | $ | 1,287,596,609 | 4.27 | % | |||||||||||
(1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 20 Year, Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | |||||||||||||||||||||||||||||
(2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Credit Interest Only securities. | |||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||
(4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | |||||||||||||||||||||||||||||
Loans_Tables
Loans (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||||
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, 2015: | ||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||
Unpaid Principal | Premium | Amortized Cost | Gains | Losses (2) | Fair Value | Coupon | Yield | Life | |||||||||||||||||||||||||||
Balance | (Discount) | ||||||||||||||||||||||||||||||||||
Residential mortgage loans | $ | 113,434,341 | $ | -32,556,999 | $ | 80,877,342 | $ | 1,778,783 | $ | -263,405 | $ | 82,392,720 | 5.47 | % | 8.66 | % | 6.17 | ||||||||||||||||||
(1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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). | |||||||||||||||||||||||||||||||||||
The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2014: | |||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||
Unpaid Principal | Premium | Amortized Cost | Gains | Losses (2) | Fair Value | Coupon | Yield | Life | |||||||||||||||||||||||||||
Balance | (Discount) | ||||||||||||||||||||||||||||||||||
Residential mortgage loans | $ | 119,882,836 | $ | -35,534,525 | $ | 84,348,311 | $ | 1,101,473 | $ | -359,925 | $ | 85,089,859 | 5.53 | % | 8.9 | % | 5.65 | ||||||||||||||||||
(1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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). | |||||||||||||||||||||||||||||||||||
Financing Receivable Credit Quality Indicators [Table Text Block] | The table below summarizes the distribution of the Company’s residential mortgage loans at fair value: | ||||||||||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||||||||||||
Loan Type | Fair Value | Unpaid Principal | Fair Value | Unpaid Principal | |||||||||||||||||||||||||||||||
Balance | Balance | ||||||||||||||||||||||||||||||||||
Re-Performing | $ | 67,618,680 | $ | 87,816,458 | $ | 68,581,824 | $ | 89,493,175 | |||||||||||||||||||||||||||
Non-Performing | 14,774,040 | 25,617,883 | 16,508,035 | 30,389,661 | |||||||||||||||||||||||||||||||
$ | 82,392,720 | $ | 113,434,341 | $ | 85,089,859 | $ | 119,882,836 | ||||||||||||||||||||||||||||
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The Company’s 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 within the Company’s mortgage loan portfolio: | ||||||||||||||||||||||||||||||||||
Concentration of Credit Risk | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% | 97 | % | 98 | % | |||||||||||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | |||||||||||||||||||||||||||||||||||
Representing 5% or more of fair value: | |||||||||||||||||||||||||||||||||||
New York | 17 | % | 16 | % | |||||||||||||||||||||||||||||||
California | 10 | % | 11 | % | |||||||||||||||||||||||||||||||
Florida | 6 | % | 8 | % | |||||||||||||||||||||||||||||||
Maryland | 5 | % | 5 | % | |||||||||||||||||||||||||||||||
Schedule Certain Loans Acquired In Transfer Accretable Yield [Table Text Block] | The following is a summary of the changes in the accretable portion of discounts for the three months ended March 31, 2015 and March 31, 2014, respectively: | ||||||||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||||||||||
Beginning Balance | $ | 38,008,263 | $ | - | |||||||||||||||||||||||||||||||
Additions | - | 17,159,216 | |||||||||||||||||||||||||||||||||
Accretion | -1,865,295 | -243,898 | |||||||||||||||||||||||||||||||||
Reclassifications from/(to) non-accretable difference | 4,356,113 | - | |||||||||||||||||||||||||||||||||
Disposals | -1,041,317 | - | |||||||||||||||||||||||||||||||||
Ending Balance | $ | 39,457,764 | $ | 16,915,318 | |||||||||||||||||||||||||||||||
Commercial Loans [Member] | |||||||||||||||||||||||||||||||||||
Gain (Loss) on Investments [Line Items] | |||||||||||||||||||||||||||||||||||
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | 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, 2015. | ||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||
Current Face | Premium | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | Stated Maturity | Extended | Location | ||||||||||||||||||||||||
(Discount) | -5 | Date (6) | Maturity Date | ||||||||||||||||||||||||||||||||
Loan A (2) | $ | 30,000,000 | $ | -193,809 | $ | 29,806,191 | $ | 193,809 | $ | - | $ | 30,000,000 | 6.5 | % | 8.76 | % | 2.52 | 5-Jun-17 | 5-Jun-19 | FL | |||||||||||||||
Loan B (3) | 32,800,000 | -138,088 | 32,661,912 | 138,088 | - | 32,800,000 | 5 | % | 6.15 | % | 1.2 | 1-Jul-16 | 1-Jul-19 | TX | |||||||||||||||||||||
Loan C (4) | 10,000,000 | -59,200 | 9,940,800 | 59,200 | - | 10,000,000 | 13.5 | % | 15.86 | % | 1.36 | 1-Feb-17 | 1-Feb-18 | NY | |||||||||||||||||||||
$ | 72,800,000 | $ | -391,097 | $ | 72,408,903 | $ | 391,097 | $ | - | $ | 72,800,000 | 6.79 | % | 8.56 | % | 1.77 | |||||||||||||||||||
(1) The Company has 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) Loan A is comprised of a first mortgage and mezzanine loan of up to $24.0 million and $12.0 million, respectively, of which $20.0 million and $10.0 million has been advanced. | |||||||||||||||||||||||||||||||||||
(3) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | |||||||||||||||||||||||||||||||||||
(4) Loan C is mezzanine loan. | |||||||||||||||||||||||||||||||||||
(5) Each commercial loan investment has a variable coupon rate. | |||||||||||||||||||||||||||||||||||
(6) The Company has the contractual right to receive a balloon payment. | |||||||||||||||||||||||||||||||||||
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 December 31, 2014. | |||||||||||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | ||||||||||||||||||||||||||||||||||
Current Face | Premium | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life | Stated Maturity | Extended | Location | ||||||||||||||||||||||||
(Discount) | -5 | Date (6) | Maturity Date | ||||||||||||||||||||||||||||||||
Loan A (2) | $ | 30,000,000 | $ | -240,326 | $ | 29,759,674 | $ | 240,326 | $ | - | $ | 30,000,000 | 6.5 | % | 8.76 | % | 2.77 | 5-Jun-17 | 5-Jun-19 | FL | |||||||||||||||
Loan B (3) | 32,800,000 | -189,506 | 32,610,494 | 189,506 | - | 32,800,000 | 5 | % | 6.15 | % | 1.45 | 1-Jul-16 | 1-Jul-19 | TX | |||||||||||||||||||||
Loan C (4) | 10,000,000 | -66,187 | 9,933,813 | 66,187 | - | 10,000,000 | 13.5 | % | 15.77 | % | 1.61 | 1-Feb-17 | 1-Feb-18 | NY | |||||||||||||||||||||
$ | 72,800,000 | $ | -496,019 | $ | 72,303,981 | $ | 496,019 | $ | - | $ | 72,800,000 | 6.79 | % | 8.55 | % | 2.02 | |||||||||||||||||||
(1) The Company has 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) Loan A is comprised of a first mortgage and mezzanine loan of up to $24.0 million and $12.0 million, respectively, of which $20.0 million and $10.0 million has been advanced. | |||||||||||||||||||||||||||||||||||
(3) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | |||||||||||||||||||||||||||||||||||
(4) Loan C is mezzanine loan. | |||||||||||||||||||||||||||||||||||
(5) Each commercial loan investment has a variable coupon rate. | |||||||||||||||||||||||||||||||||||
(6) The Company has the contractual right to receive a balloon payment. | |||||||||||||||||||||||||||||||||||
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
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, 2015: | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
20 Year Fixed Rate | $ | - | $ | 129,005,072 | $ | - | $ | 129,005,072 | ||||||||||||||||||
30 Year Fixed Rate | - | 971,361,677 | - | 971,361,677 | ||||||||||||||||||||||
Fixed Rate CMO | - | 89,710,822 | - | 89,710,822 | ||||||||||||||||||||||
ARM | - | 418,686,671 | - | 418,686,671 | ||||||||||||||||||||||
Interest Only | - | 108,507,193 | - | 108,507,193 | ||||||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||
Non-Agency RMBS | - | 740,443,224 | 509,545,172 | 1,249,988,396 | ||||||||||||||||||||||
ABS | - | - | 69,067,254 | 69,067,254 | ||||||||||||||||||||||
CMBS | - | 45,305,727 | 53,810,559 | 99,116,286 | ||||||||||||||||||||||
CMBS Interest Only | - | - | 6,006,027 | 6,006,027 | ||||||||||||||||||||||
Residential mortgage loans | - | - | 82,392,720 | 82,392,720 | ||||||||||||||||||||||
Commercial loans | - | - | 72,800,000 | 72,800,000 | ||||||||||||||||||||||
U.S. Treasury Securities | 100,679,688 | - | - | 100,679,688 | ||||||||||||||||||||||
Excess mortgage servicing rights | - | - | 579,734 | 579,734 | ||||||||||||||||||||||
Derivative assets | - | 4,031,370 | - | 4,031,370 | ||||||||||||||||||||||
Total Assets Carried at Fair Value | $ | 100,679,688 | $ | 2,507,051,756 | $ | 794,201,466 | $ | 3,401,932,910 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securitized debt | $ | - | $ | -38,405,163 | $ | - | $ | -38,405,163 | ||||||||||||||||||
Securities borrowed under reverse repurchase agreements | -25,009,766 | - | - | -25,009,766 | ||||||||||||||||||||||
Derivative liabilities | - | -8,812,676 | - | -8,812,676 | ||||||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | -25,009,766 | $ | -47,217,839 | $ | - | $ | -72,227,605 | ||||||||||||||||||
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2014. | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||
20 Year Fixed Rate | $ | - | $ | 133,742,870 | $ | - | $ | 133,742,870 | ||||||||||||||||||
30 Year Fixed Rate | - | 1,036,024,019 | - | 1,036,024,019 | ||||||||||||||||||||||
Fixed Rate CMO | - | 90,775,375 | - | 90,775,375 | ||||||||||||||||||||||
ARM | - | 427,537,367 | - | 427,537,367 | ||||||||||||||||||||||
Interest Only | - | 120,235,115 | - | 120,235,115 | ||||||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||
Non-Agency RMBS | - | 684,841,649 | 455,236,279 | 1,140,077,928 | ||||||||||||||||||||||
ABS | - | - | 66,693,243 | 66,693,243 | ||||||||||||||||||||||
CMBS | - | 55,051,429 | 39,343,274 | 94,394,703 | ||||||||||||||||||||||
CMBS Interest Only | - | - | 6,125,949 | 6,125,949 | ||||||||||||||||||||||
Residential mortgage loans | - | - | 85,089,859 | 85,089,859 | ||||||||||||||||||||||
Commercial loans | - | - | 72,800,000 | 72,800,000 | ||||||||||||||||||||||
Excess mortgage servicing rights | - | - | 628,367 | 628,367 | ||||||||||||||||||||||
Linked transactions | - | 21,612,360 | 5,082,731 | 26,695,091 | ||||||||||||||||||||||
Derivative assets | - | 11,382,622 | - | 11,382,622 | ||||||||||||||||||||||
Total Assets Carried at Fair Value | $ | - | $ | 2,581,202,806 | $ | 730,999,702 | $ | 3,312,202,508 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securitized debt | $ | - | $ | -39,777,914 | $ | - | $ | -39,777,914 | ||||||||||||||||||
Derivative liabilities | - | -8,608,209 | - | -8,608,209 | ||||||||||||||||||||||
Total Liabilities Carried at Fair Value | $ | - | $ | -48,386,123 | $ | - | $ | -48,386,123 | ||||||||||||||||||
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 | ||||||||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||||||||
Non-Agency | ABS | CMBS | CMBS Interest | Residential | Commercial | Excess Mortgage | Linked | |||||||||||||||||||
RMBS | Only | Mortgage Loans | Loans | Servicing Rights | Transactions | |||||||||||||||||||||
Beginning balance | $ | 455,236,279 | $ | 66,693,243 | $ | 39,343,274 | $ | 6,125,949 | $ | 85,089,859 | $ | 72,800,000 | $ | 628,367 | $ | 5,082,731 | ||||||||||
Transfers (1): | ||||||||||||||||||||||||||
Transfers into level 3 | - | - | - | - | - | - | - | - | ||||||||||||||||||
Transfers out of level 3 | - | - | - | - | - | - | - | - | ||||||||||||||||||
Purchases | 74,146,136 | 4,027,500 | 14,642,289 | - | - | - | - | - | ||||||||||||||||||
Reclassification of security type (2) | 24,129,591 | - | - | - | - | - | - | -5,082,731 | ||||||||||||||||||
Proceeds from sales | -12,383,544 | -2,595,898 | - | - | - | - | - | - | ||||||||||||||||||
Proceeds from settlement | -35,224,917 | -228,246 | -387,963 | - | -1,858,699 | - | -48,633 | - | ||||||||||||||||||
Total net gains/(losses) (3) | ||||||||||||||||||||||||||
Included in net income | 3,641,627 | 1,170,655 | 212,959 | -119,922 | -838,440 | - | - | - | ||||||||||||||||||
Included in other comprehensive income (loss) | - | - | - | - | - | - | - | - | ||||||||||||||||||
Ending Balance | $ | 509,545,172 | $ | 69,067,254 | $ | 53,810,559 | $ | 6,006,027 | $ | 82,392,720 | $ | 72,800,000 | $ | 579,734 | $ | - | ||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of March 31, 2015 (4) | $ | 3,447,627 | $ | 1,073,361 | $ | 212,959 | $ | -119,922 | $ | -770,629 | $ | - | $ | - | $ | - | ||||||||||
(1) Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||||||||
(2) Primarily represents an accounting reclassification between a linked transaction and a real estate security. | ||||||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 4,083,812 | ||||||||||||||||||||||||
Net realized gain/(loss) | -16,933 | |||||||||||||||||||||||||
Total | $ | 4,066,879 | ||||||||||||||||||||||||
(4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 4,359,636 | ||||||||||||||||||||||||
Net realized gain/(loss) | -516,240 | |||||||||||||||||||||||||
Total | $ | 3,843,396 | ||||||||||||||||||||||||
Three Months Ended | ||||||||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||||||||
Non-Agency | ABS | CMBS | CMBS Interest | Residential | Commercial | Linked | ||||||||||||||||||||
RMBS | Only | 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 between a linked transaction and a real estate security. | ||||||||||||||||||||||||||
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Income/(loss) from linked transactions, net | $ | 428,431 | ||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,989,665 | |||||||||||||||||||||||||
Interest income | -268,911 | |||||||||||||||||||||||||
Total | $ | 5,149,185 | ||||||||||||||||||||||||
(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||||||||||||||||||||||
Income/(loss) from linked transactions, net | $ | 372,793 | ||||||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 4,756,950 | |||||||||||||||||||||||||
Total | $ | 5,129,743 | ||||||||||||||||||||||||
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, 2015 | (Weighted Average) | |||||||||||||||||||||||||
Yield | 0.00% - 36.02% (5.36%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 15.00% (3.45%) | |||||||||||||||||||||||||
Non-Agency RMBS | $ | 509,545,172 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 35.00% (11.33%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (31.60%) | |||||||||||||||||||||||||
Yield | 4.62% - 7.25% (5.49%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 100.00% (79.59%) | |||||||||||||||||||||||||
ABS | $ | 69,067,254 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 8.30% (6.43%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 30.00% (5.52%) | |||||||||||||||||||||||||
Yield | 4.20% - 9.98% (5.81%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 50.00% (6.27%) | |||||||||||||||||||||||||
CMBS | $ | 53,810,559 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.76% - 5.78% (5.76%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
CMBS Interest Only | $ | 6,006,027 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.52% - 40.22% (8.66%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 1.91% - 8.24% (6.56%) | |||||||||||||||||||||||||
Residential Mortgage Loans | $ | 82,392,720 | Discounted Cash Flow | Projected Collateral Losses | 4.59% - 11.21% (5.99%) | |||||||||||||||||||||
Projected Collateral Severities | 20.19% - 51.78% (27.79%) | |||||||||||||||||||||||||
Yield | 6.15% - 15.86% (8.56%) | |||||||||||||||||||||||||
Commercial Loans | $ | 72,800,000 | Discounted Cash Flow | Credit Spread | 4.75 bps - 13.25 bps (6.54 bps) | |||||||||||||||||||||
Recovery Percentage* | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
Excess Mortgage Servicing Rights | $ | 579,734 | Discounted Cash Flow | Yield | 7.16% - 7.46% (7.22%) | |||||||||||||||||||||
* Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2015. | ||||||||||||||||||||||||||
Asset Class | Fair Value at | Valuation Technique | Unobservable Input | Range | ||||||||||||||||||||||
December 31, 2014 | (Weighted Average) | |||||||||||||||||||||||||
Yield | 0.29% - 35.48% (5.30%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 12.00% (3.21%) | |||||||||||||||||||||||||
Non-Agency RMBS | $ | 455,236,279 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 35.00% (13.07%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 80.00% (36.04%) | |||||||||||||||||||||||||
Yield | 4.62% - 7.95% (5.55%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 20.00% - 100.00% (88.56%) | |||||||||||||||||||||||||
ABS | $ | 66,693,243 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 8.30% (5.13%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 50.00% (7.15%) | |||||||||||||||||||||||||
Yield | 4.80% - 10.52% (6.34%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
CMBS | $ | 39,343,274 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.72% - 5.78% (5.73%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
CMBS Interest Only | $ | 6,125,949 | Discounted Cash Flow | Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||||||||||||||||||
Yield | 5.60% - 23.67% (8.90%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 1.98% - 8.36% (6.44%) | |||||||||||||||||||||||||
Residential Mortgage Loans | $ | 85,089,859 | Discounted Cash Flow | Projected Collateral Losses | 4.47% - 9.64% (6.20%) | |||||||||||||||||||||
Projected Collateral Severities | 20.93% - 41.94% (27.65%) | |||||||||||||||||||||||||
Yield | 6.15% - 15.77% (8.55%) | |||||||||||||||||||||||||
Commercial Loans | $ | 72,800,000 | Discounted Cash Flow | Credit Spread | 4.75 bps - 13.25 bps (6.54 bps) | |||||||||||||||||||||
Recovery Percentage** | 100.00% - 100.00% (100.00%) | |||||||||||||||||||||||||
Excess Mortgage Servicing Rights | $ | 628,367 | Discounted Cash Flow | Yield | 9.09% - 12.52% (9.78%) | |||||||||||||||||||||
Yield | 4.49% - 6.45% (5.50%) | |||||||||||||||||||||||||
Projected Collateral Prepayments | 3.00% - 12.00% (6.94%) | |||||||||||||||||||||||||
Linked Transactions* | $ | 5,082,731 | Discounted Cash Flow | Projected Collateral Losses | 4.00% - 14.00% (8.09%) | |||||||||||||||||||||
Projected Collateral Severities | 42.00% - 60.00% (52.87%) | |||||||||||||||||||||||||
*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS investments. | ||||||||||||||||||||||||||
** Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2014. | ||||||||||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
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, 2015: | ||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
30 days or less | $ | 1,849,733,715 | 0.9 | % | 11.4 | % | $ | 2,116,899,525 | $ | 2,064,016,539 | $ | 7,100,101 | |||||||||||||
31-60 days | 349,901,000 | 1.08 | % | 11.4 | % | 399,242,468 | 393,611,106 | 1,108,847 | |||||||||||||||||
61-90 days | 27,423,000 | 1.82 | % | 24.8 | % | 36,814,681 | 35,762,537 | 57,038 | |||||||||||||||||
Greater than 90 days | 295,294,784 | 1.71 | % | 12 | % | 348,742,242 | 341,453,315 | 614,850 | |||||||||||||||||
Total / Weighted Average | $ | 2,522,352,499 | 1.03 | % | 11.6 | % | $ | 2,901,698,916 | $ | 2,834,843,497 | $ | 8,880,836 | |||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
30 days or less | $ | 1,969,873,000 | 0.75 | % | 10.4 | % | $ | 2,205,969,794 | $ | 2,174,485,394 | $ | 6,903,437 | |||||||||||||
31-60 days | 220,953,000 | 1.11 | % | 12.2 | % | 253,788,749 | 249,993,183 | 816,574 | |||||||||||||||||
61-90 days | 51,090,128 | 1.26 | % | 13.1 | % | 60,149,910 | 58,111,076 | 171,277 | |||||||||||||||||
Greater than 90 days | 329,966,102 | 1.84 | % | 17.7 | % | 416,125,338 | 408,496,220 | 1,105,242 | |||||||||||||||||
Total / Weighted Average | $ | 2,571,882,230 | 0.93 | % | 11.5 | % | $ | 2,936,033,791 | $ | 2,891,085,873 | $ | 8,996,530 | |||||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 50,856,483 | 2.68 | % | 2.85 | % | 29.5 | % | 72,247,373 | 72,543,319 | 95,139 | |||||||||||||||
Total / Weighted Average | $ | 50,856,483 | 2.68 | % | 2.85 | % | 29.5 | % | $ | 72,247,373 | $ | 72,543,319 | $ | 95,139 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 50,573,718 | 2.93 | % | 3.08 | % | 31.1 | % | 73,407,869 | 73,084,817 | 709,585 | |||||||||||||||
Total / Weighted Average | $ | 50,573,718 | 2.93 | % | 3.08 | % | 31.1 | % | $ | 73,407,869 | $ | 73,084,817 | $ | 709,585 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in commercial mortgage loans as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 22,500,000 | 2.5 | % | 2.84 | % | 64.2 | % | 62,800,000 | 62,468,103 | 678,721 | |||||||||||||||
Total / Weighted Average | $ | 22,500,000 | 2.5 | % | 2.84 | % | 64.2 | % | $ | 62,800,000 | $ | 62,468,103 | $ | 678,721 | |||||||||||
The following table presents certain information regarding collateral pledged under the Company’s repurchase agreements secured by commercial mortgage loans as of December 31, 2014: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Weighted | Fair Value | Amortized Cost | Accrued Interest | ||||||||||||||||||
Rate | Funding Cost | Average Haircut | Pledged | ||||||||||||||||||||||
30 days or less | $ | - | - | - | - | $ | - | $ | - | $ | - | ||||||||||||||
31-60 days | - | - | - | - | - | - | - | ||||||||||||||||||
61-90 days | - | - | - | - | - | - | - | ||||||||||||||||||
Greater than 90 days | 22,500,000 | 2.5 | % | 2.83 | % | 64.2 | % | 62,800,000 | 62,370,168 | 533,832 | |||||||||||||||
Total / Weighted Average | $ | 22,500,000 | 2.5 | % | 2.83 | % | 64.2 | % | $ | 62,800,000 | $ | 62,370,168 | $ | 533,832 | |||||||||||
The following table presents certain information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of March 31, 2015: | |||||||||||||||||||||||||
Repurchase Agreements | Collateral Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average | Weighted Average | Fair Value | Amortized Cost | Accrued Interest | |||||||||||||||||||
Rate | Haircut | Pledged | |||||||||||||||||||||||
Overnight | $ | 74,906,251 | -0.3 | % | 0.8 | % | $ | 75,509,766 | $ | 75,022,998 | $ | 139,848 | |||||||||||||
30 days or less | - | - | - | - | - | - | |||||||||||||||||||
31-60 days | - | - | - | - | - | - | |||||||||||||||||||
61-90 days | - | - | - | - | - | - | |||||||||||||||||||
Greater than 90 days | - | - | - | - | - | - | |||||||||||||||||||
Total / Weighted Average | $ | 74,906,251 | -0.3 | % | 0.8 | % | $ | 75,509,766 | $ | 75,022,998 | $ | 139,848 | |||||||||||||
Schedule Of Securities Collateral Information [Table Text Block] | The following table presents information with respect to the Company’s posting of collateral under repurchase agreements at March 31, 2015 and December 31, 2014: | ||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Repurchase agreements secured by Agency RMBS | $ | 1,463,845,000 | $ | 1,583,911,000 | |||||||||||||||||||||
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 1,561,960,046 | 1,684,021,261 | |||||||||||||||||||||||
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 1,058,507,499 | 987,971,230 | |||||||||||||||||||||||
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,339,738,870 | 1,252,012,530 | |||||||||||||||||||||||
Repurchase agreements secured by Residential Mortgage Loans | 50,856,483 | 50,573,718 | |||||||||||||||||||||||
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 72,247,373 | 73,407,869 | |||||||||||||||||||||||
Repurchase agreements secured by Commercial Mortgage Loans | 22,500,000 | 22,500,000 | |||||||||||||||||||||||
Fair Value of Commercial Mortgage Loans pledged as collateral under repurchase agreements | 62,800,000 | 62,800,000 | |||||||||||||||||||||||
Repurchase agreements secured by U.S. Treasury Securities | 74,906,251 | - | |||||||||||||||||||||||
Fair Value of Agency U.S. Treasury Securities pledged as collateral under repurchase agreements | 75,509,766 | - | |||||||||||||||||||||||
Cash pledged (i.e., restricted cash) under repurchase agreements | 12,074,672 | 13,374,600 | |||||||||||||||||||||||
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 consolidated balance sheet as of March 31, 2015: | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | |||||||||||||||||||
Recognized | Offset in the | Presented in the Consolidated | Instruments | Posted | |||||||||||||||||||||
Liabilities | Consolidated Balance | Balance Sheet | Posted | ||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | 2,670,615,233 | $ | - | $ | 2,670,615,233 | $ | 2,670,615,233 | $ | - | $ | - | |||||||||||||
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheet as of December 31, 2014: | |||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Liabilities | Financial | Cash Collateral | Net Amount | |||||||||||||||||||
Recognized | Offset in the | Presented in the Consolidated | Instruments | Posted | |||||||||||||||||||||
Liabilities | Consolidated Balance | Balance Sheet | Posted | ||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | 2,644,955,948 | $ | - | $ | 2,644,955,948 | $ | 2,644,955,948 | $ | - | $ | - | |||||||||||||
Schedule Of Repurchase Agreement Counterparty [Table Text Block] | At March 31, 2015 the following table reflects amounts at risk under its repurchase agreements greater than 5% of the Company’s equity with any counterparty, excluding repurchase agreements through affiliated entities. | ||||||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | ||||||||||||||||||||||
Maturity (days) | Stockholders' Equity | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | $ | 86,660,525 | 443 | 12 | % | ||||||||||||||||||||
Credit Suisse Securities, LLC | 83,581,570 | 95 | 12 | % | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Incorporated | 48,577,118 | 9 | 7 | % | |||||||||||||||||||||
JP Morgan Securities, LLC | 46,958,895 | 444 | 6 | % | |||||||||||||||||||||
The Royal Bank of Canada | 37,680,810 | 33 | 5 | % | |||||||||||||||||||||
At December 31, 2014, the following table reflects amounts at risk under the Company’s repurchase agreements greater than 5% of its equity with any counterparty, excluding repurchase agreements accounted for as linked transactions and repurchase agreements through affiliated entities. | |||||||||||||||||||||||||
Counterparty | Amount at Risk | Weighted Average | Percentage of | ||||||||||||||||||||||
Maturity (days) | Stockholders' Equity | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | $ | 92,478,572 | 509 | 13 | % | ||||||||||||||||||||
Credit Suisse Securities, LLC | 85,479,003 | 117 | 12 | % | |||||||||||||||||||||
JP Morgan Securities, LLC | 51,502,631 | 168 | 7 | % | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Incorporated | 42,082,013 | 13 | 6 | % | |||||||||||||||||||||
Goldman, Sachs & Co. | 32,078,210 | 18 | 4 | % | |||||||||||||||||||||
Derivatives_Tables
Derivatives (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||
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, 2015 and December 31, 2014. | ||||||||||||||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||
Interest rate swaps | Non-Hedge | Derivative liabilities, at fair value | $ | -8,812,676 | $ | -8,608,209 | |||||||||||||||||||||||||||
Interest rate swaps | Non-Hedge | Derivative assets, at fair value | 1,864,570 | 9,902,151 | |||||||||||||||||||||||||||||
TBAs | Non-Hedge | Derivative assets, at fair value | 2,166,800 | 1,480,471 | |||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Non-Hedge | U.S. Treasury securities, at fair value | 100,679,688 | - | |||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Non-Hedge | Obligation to return securities borrowed under reverse repurchase | -25,009,766 | - | |||||||||||||||||||||||||||||
agreements, at fair value (1) | |||||||||||||||||||||||||||||||||
Linked transactions | Non-Hedge | Linked transactions, net, at fair value | - | 26,695,091 | |||||||||||||||||||||||||||||
(1) The Company's obligation to return securities borrowed under reverse repurchase agreements as of March 31, 2015 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company's consolidated statement of operations. | |||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | The following table summarizes information related to derivatives: | ||||||||||||||||||||||||||||||||
Non-hedge derivatives held long/(short): | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements | $ | 1,040,000,000 | $ | 1,441,000,000 | |||||||||||||||||||||||||||||
Notional amount of Receive Fix/Pay Float Interest Rate Swap Agreements | -5,000,000 | -5,000,000 | |||||||||||||||||||||||||||||||
Notional amount of TBAs | 180,000,000 | 225,000,000 | |||||||||||||||||||||||||||||||
Notional amount of long positions on U.S. Treasuries | 100,000,000 | - | |||||||||||||||||||||||||||||||
Notional amount of short positions on U.S. Treasuries | -25,000,000 | - | |||||||||||||||||||||||||||||||
Notional amount of Linked Transactions (1) | - | 150,836,900 | |||||||||||||||||||||||||||||||
(1) Represents the current face of the securities comprising linked transactions as of December 31, 2014. | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Non-hedge derivatives gain (loss): | Statement of Operations Location | March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | $ | -9,681,958 | $ | -18,463,039 | ||||||||||||||||||||||||||||
Interest rate swaps, at fair value | Net realized gain/(loss) | -12,095,409 | 619,643 | ||||||||||||||||||||||||||||||
Swaptions, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | - | -119,049 | ||||||||||||||||||||||||||||||
Swaptions, at fair value | Net realized gain/(loss) | - | 445,000 | ||||||||||||||||||||||||||||||
TBAs (1) | Unrealized gain/(loss) on derivative and other instruments, net | 686,330 | -109,414 | ||||||||||||||||||||||||||||||
TBAs | Net realized gain/(loss) | 2,155,078 | - | ||||||||||||||||||||||||||||||
IO Index, at fair value | Unrealized gain/(loss) on derivative and other instruments, net | - | -34,606 | ||||||||||||||||||||||||||||||
IO Index, at fair value | Net realized gain/(loss) | - | 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/(loss) | - | 19,531 | ||||||||||||||||||||||||||||||
Linked transactions | Income/(loss) from linked transactions, net | - | 4,126,741 | ||||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Unrealized gain/(loss) on derivative and other instruments, net | 649,023 | - | ||||||||||||||||||||||||||||||
Long positions on U.S. Treasuries | Net realized gain/(loss) | -1,263,672 | - | ||||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Unrealized gain/(loss) on derivative and other instruments, net | -369,141 | -493,381 | ||||||||||||||||||||||||||||||
Short positions on U.S. Treasuries | Net realized gain/(loss) | -442,969 | - | ||||||||||||||||||||||||||||||
(1) For the three months ended March 31, 2015, gains and losses from purchases and sales of TBAs consisted of $1.2 million of net TBA dollar roll net interest income and net gains of $1.6 million due to price changes. For the three months ended March 31, 2014, gains and losses from purchases and sales of TBAs consisted of net losses of $0.1 million, due to price changes. There was no income recorded on TBA dollar rolls for the three months ended March 31, 2014. | |||||||||||||||||||||||||||||||||
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 consolidated balance sheet as of March 31, 2015: | ||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||
Recognized | Offset in the | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||
Assets | Consolidated Balance | Consolidated Balance Sheet | (Posted)/Received | ||||||||||||||||||||||||||||||
(Liabilities) | Sheet | ||||||||||||||||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 25,125,000 | $ | - | $ | 25,125,000 | $ | 25,009,766 | $ | - | $ | 115,234 | |||||||||||||||||||||
Derivative Assets (1) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 2,795,632 | $ | - | $ | 2,795,632 | $ | - | $ | 1,178,836 | $ | 1,616,796 | |||||||||||||||||||||
TBAs | 2,166,800 | - | 2,166,800 | - | 2,166,800 | - | |||||||||||||||||||||||||||
Total Derivative Assets | $ | 4,962,432 | $ | - | $ | 4,962,432 | $ | - | $ | 3,345,636 | $ | 1,616,796 | |||||||||||||||||||||
Derivative Liabilities (2) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -6,614,876 | $ | - | $ | -6,614,876 | $ | -172,624 | $ | -6,442,252 | $ | - | |||||||||||||||||||||
Total Derivative Liabilities | $ | -6,614,876 | $ | - | $ | -6,614,876 | $ | -172,624 | $ | -6,442,252 | $ | - | |||||||||||||||||||||
(1) Included in Derivative Assets on the consolidated balance sheet is $4,962,432 less accrued interest of $931,062 for a total of $4,031,370. | |||||||||||||||||||||||||||||||||
(2) Included in Derivative Liabilities on the consolidated balance sheet is $6,614,876 plus accrued interest of $2,197,800 for a total of $8,812,676. | |||||||||||||||||||||||||||||||||
The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheet as of December 31, 2014: | |||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||||||||||
Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||
Description | Gross Amounts of | Gross Amounts | Net Amounts of Assets | Financial | Cash Collateral | Net Amount | |||||||||||||||||||||||||||
Recognized | Offset in the | (Liabilities) Presented in the | Instruments | (Posted)/Received | |||||||||||||||||||||||||||||
Assets | Consolidated Balance | Consolidated Balance Sheet | (Posted)/Received | ||||||||||||||||||||||||||||||
(Liabilities) | sheet | ||||||||||||||||||||||||||||||||
Linked Transactions (1) | $ | 139,778,263 | $ | -113,363,873 | $ | 26,414,390 | $ | -26,414,390 | $ | - | $ | - | |||||||||||||||||||||
Derivative Assets (2) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 13,369,511 | $ | - | $ | 13,369,511 | $ | - | $ | 3,907,000 | $ | 9,462,511 | |||||||||||||||||||||
TBAs | 1,480,471 | - | 1,480,471 | - | 1,480,471 | - | |||||||||||||||||||||||||||
Total Derivative Assets | $ | 14,849,982 | $ | - | $ | 14,849,982 | $ | - | $ | 5,387,471 | $ | 9,462,511 | |||||||||||||||||||||
Derivative Liabilities (3) | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | |||||||||||||||||||||
Total Derivative Liabilities | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | $ | -7,506,798 | $ | - | |||||||||||||||||||||
(1) Included in Linked Transactions on the consolidated balance sheet is security fair market value of $139,778,263, less repurchase agreements of $(113,363,873), plus net accrued interest of $280,701 for a total of $26,695,091. | |||||||||||||||||||||||||||||||||
(2) Included in Derivative Assets on the consolidated balance sheet is $14,849,982 less accrued interest of $(3,467,360) for a total of $11,382,622. | |||||||||||||||||||||||||||||||||
(3) Included in Derivative Liabilities on the consolidated balance sheet is $(7,506,798) plus accrued interest of $(1,101,411) for a total of $(8,608,209). | |||||||||||||||||||||||||||||||||
Schedule of Interest Rate Derivatives [Table Text Block] | The following table presents information about the Company’s interest rate swaps as of March 31, 2015: | ||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||
2017 | $ | 80,000,000 | 0.87 | % | 0.3 | % | 2.43 | ||||||||||||||||||||||||||
2018 | 210,000,000 | 1.05 | % | 0.26 | % | 3.01 | |||||||||||||||||||||||||||
2019 | 260,000,000 | 1.27 | % | 0.26 | % | 4.39 | |||||||||||||||||||||||||||
2020 | 265,000,000 | 1.95 | % | 0.29 | % | 6.07 | |||||||||||||||||||||||||||
2022 | 70,000,000 | 1.75 | % | 0.25 | % | 7.27 | |||||||||||||||||||||||||||
2023 | 160,000,000 | 1.8 | % | 0.2 | % | 6.38 | |||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,045,000,000 | 1.48 | % | 0.26 | % | 4.89 | ||||||||||||||||||||||||||
The following table presents information about the Company’s interest rate swaps as of December 31, 2014: | |||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||||||||||||||
Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||||||||||||||||||
2017 | $ | 80,000,000 | 0.86 | % | 0.27 | % | 2.68 | ||||||||||||||||||||||||||
2018 | 210,000,000 | 1.05 | % | 0.23 | % | 3.26 | |||||||||||||||||||||||||||
2019 | 350,000,000 | 1.39 | % | 0.23 | % | 4.59 | |||||||||||||||||||||||||||
2020 | 440,000,000 | 1.61 | % | 0.23 | % | 5.24 | |||||||||||||||||||||||||||
2022 | 50,000,000 | 1.69 | % | 0.23 | % | 7.68 | |||||||||||||||||||||||||||
2023 | 278,000,000 | 2.43 | % | 0.23 | % | 8.52 | |||||||||||||||||||||||||||
2024 | 38,000,000 | 2.75 | % | 0.23 | % | 9.18 | |||||||||||||||||||||||||||
Total/Wtd Avg | $ | 1,446,000,000 | 1.62 | % | 0.24 | % | 5.47 | ||||||||||||||||||||||||||
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, 2015 and March 31, 2014: | ||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2015 | |||||||||||||||||||||||||||||||||
Beginning | Buys or Covers | Sales or Shorts | Ending Notional | Fair Value as of | Receivable/(Payable) | Derivative | Derivative | ||||||||||||||||||||||||||
Notional | Amount | Period End | from/to Broker | Asset | Liability | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
TBAs - Long | $ | 225,000,000 | $ | 605,000,000 | $ | -650,000,000 | $ | 180,000,000 | $ | 189,959,769 | $ | -187,792,969 | $ | 2,166,800 | $ | - | |||||||||||||||||
TBAs - Short | $ | - | $ | 219,000,000 | $ | -219,000,000 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||
Beginning | Buys or Covers | Sales or Shorts | Ending Notional | Fair Value as of | Receivable/(Payable) | Derivative | Derivative | ||||||||||||||||||||||||||
Notional | Amount | Period End | from/to Broker | Asset | Liability | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
TBAs - Long | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
TBAs - Short | $ | - | $ | 147,000,000 | $ | -147,000,000 | $ | - | $ | - | $ | -109,414 | $ | 118,205 | $ | -227,619 | |||||||||||||||||
Schedule Of Repurchase Agreements Comprising Linked Transaction [Table Text Block] | The following table presents certain information related to the securities accounted for as a part of linked transactions during the three months ended March 31, 2014: | ||||||||||||||||||||||||||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||||||||||||||||||||
Instrument | Current Face | Amortized | Fair Value | Net Accrued | Net Interest | Unrealized | Net | Amount | Weighted Average | Weighted Average Life | |||||||||||||||||||||||
Cost | Interest | Income | Gain/(Loss) | Realized | Included in | Coupon | |||||||||||||||||||||||||||
Gain/(Loss) | Statement of | ||||||||||||||||||||||||||||||||
Operations | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||
CMBS | 10,000,000 | 9,278,989 | 9,516,800 | -3,629 | 144,702 | 124,029 | -167,422 | 101,309 | 0.4 | % | 1.04 | ||||||||||||||||||||||
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 | ||||||||||||||
The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of March 31, 2014: | |||||||||||||||||||||||||||||||||
Instrument | Repurchase | Weighted | Weighted | ||||||||||||||||||||||||||||||
Agreement | Average | Average Years | |||||||||||||||||||||||||||||||
Interest Rate | to Maturity | ||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 180,103,626 | 1.89 | % | 0.16 | ||||||||||||||||||||||||||||
CMBS | 6,475,333 | 1.56 | % | 0.06 | |||||||||||||||||||||||||||||
$ | 186,578,959 | 1.88 | % | 0.16 | |||||||||||||||||||||||||||||
Earnings_per_Share_Tables
Earnings per Share (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share [Abstract] | ||||||||
Schedule of Stockholders' Equity Note, Warrants or Rights [Table Text Block] | As of March 31, 2015 and March 31, 2014, the Company’s outstanding warrants, unvested shares of restricted common stock and restricted stock units were as follows: | |||||||
March 31, 2015 | March 31, 2014 | |||||||
Warrants | 1,007,500 | 1,007,500 | ||||||
Restricted stock granted to the Manager | - | 6,710 | ||||||
Restricted stock units granted to the Manager | 60,000 | - | ||||||
Restricted stock granted to the independent directors | - | 2,500 | ||||||
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, 2015 and March 31, 2014: | |||||||
Three Months Ended | Three Months Ended | |||||||
March 31, 2015 | March 31, 2014 | |||||||
Numerator: | ||||||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ | 9,396,088 | $ | 27,818,888 | ||||
Denominator: | ||||||||
Basic weighted average common shares outstanding | 28,387,615 | 28,371,419 | ||||||
Dilutive effect of manager and director restricted stock, and restricted stock units | 24,590 | 2,375 | ||||||
Dilutive weighted average common shares outstanding | 28,412,205 | 28,373,794 | ||||||
Basic Earnings/(Loss) Per Share of Common Stock: | $ | 0.33 | $ | 0.98 | ||||
Diluted Earnings/(Loss) Per Share of Common Stock: | $ | 0.33 | $ | 0.98 | ||||
Equity_Tables
Equity (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Equity [Abstract] | |||||||||||
Schedule of Dividends Payable [Table Text Block] | The following table details the Company’s common stock dividends during the three months ended March 31, 2015 and March 31, 2014: | ||||||||||
2015 | |||||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||||
3/12/15 | 3/23/15 | 4/30/15 | $ | 0.6 | |||||||
2014 | |||||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||||
3/5/14 | 3/18/14 | 4/28/14 | $ | 0.6 | |||||||
The following table details the Company’s preferred stock dividends during the three months ended March 31, 2015 and March 31, 2014: | |||||||||||
2015 | |||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||||
8.25% Series A | 2/12/15 | 2/27/15 | 3/17/15 | $ | 0.51563 | ||||||
8.00% Series B | 2/12/15 | 2/27/15 | 3/17/15 | $ | 0.5 | ||||||
2014 | |||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||||
8.25% Series A | 2/14/14 | 2/28/14 | 3/17/14 | $ | 0.51563 | ||||||
8.00% Series B | 2/14/14 | 2/28/14 | 3/17/14 | $ | 0.5 | ||||||
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details Textual) (USD $) | 3 Months Ended |
In Millions, unless otherwise specified | Mar. 31, 2015 |
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 (subject to specific timing rules for certain dividends paid in January) 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 non-deductible 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 |
Money Market Funds, at Carrying Value | $0.40 |
Real_Estate_Securities_Details
Real Estate Securities (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | $4,289,246,622 | $4,006,448,684 | ||
Premium/(Discount) | -1,211,398,420 | -941,512,278 | ||
Amortized Cost | 3,077,848,202 | 3,064,936,406 | ||
Gross Unrealized Gains | 72,712,033 | 61,620,967 | [1] | |
Gross Unrealized Losses | -9,110,837 | [1] | -10,950,804 | [1] |
Fair Value | 3,141,449,398 | 3,115,606,569 | ||
Weighted Average Coupon | 3.68% | [2] | 3.97% | [2] |
Weighted Average Yield | 4.31% | 4.31% | ||
Agency RMBS: 20 Year Fixed Rate [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 120,481,882 | 125,538,084 | ||
Premium/(Discount) | 5,630,716 | 6,009,532 | ||
Amortized Cost | 126,112,598 | 131,547,616 | ||
Gross Unrealized Gains | 2,892,474 | 2,267,721 | [1] | |
Gross Unrealized Losses | 0 | [1] | -72,467 | [1] |
Fair Value | 129,005,072 | 133,742,870 | ||
Weighted Average Coupon | 3.72% | [2] | 3.72% | [2] |
Weighted Average Yield | 2.76% | 2.79% | ||
Agency RMBS: 30 Year Fixed Rate [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 907,692,408 | 973,102,647 | ||
Premium/(Discount) | 41,572,317 | 46,665,955 | ||
Amortized Cost | 949,264,725 | 1,019,768,602 | ||
Gross Unrealized Gains | 22,223,509 | 17,222,909 | [1] | |
Gross Unrealized Losses | -126,557 | [1] | -967,492 | [1] |
Fair Value | 971,361,677 | 1,036,024,019 | ||
Weighted Average Coupon | 3.80% | [2] | 3.90% | [2] |
Weighted Average Yield | 3.10% | 3.15% | ||
Agency RMBS: Fixed Rate CMO [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 85,659,227 | 88,345,864 | ||
Premium/(Discount) | 826,794 | 880,994 | ||
Amortized Cost | 86,486,021 | 89,226,858 | ||
Gross Unrealized Gains | 3,224,801 | 1,548,517 | [1] | |
Gross Unrealized Losses | 0 | [1] | 0 | [1] |
Fair Value | 89,710,822 | 90,775,375 | ||
Weighted Average Coupon | 3.00% | [2] | 3.00% | [2] |
Weighted Average Yield | 2.80% | 2.81% | ||
Agency RMBS: ARM [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 408,557,899 | 421,043,957 | ||
Premium/(Discount) | -802,634 | -888,105 | ||
Amortized Cost | 407,755,265 | 420,155,852 | ||
Gross Unrealized Gains | 10,931,406 | 7,570,945 | [1] | |
Gross Unrealized Losses | 0 | [1] | -189,430 | [1] |
Fair Value | 418,686,671 | 427,537,367 | ||
Weighted Average Coupon | 2.42% | [2] | 2.42% | [2] |
Weighted Average Yield | 2.69% | 2.71% | ||
Agency RMBS: Interest Only [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 712,419,711 | 754,905,240 | ||
Premium/(Discount) | -603,767,274 | -638,264,371 | ||
Amortized Cost | 108,652,437 | 116,640,869 | ||
Gross Unrealized Gains | 3,642,435 | 5,941,701 | [1] | |
Gross Unrealized Losses | -3,787,679 | [1] | -2,347,455 | [1] |
Fair Value | 108,507,193 | 120,235,115 | ||
Weighted Average Coupon | 4.44% | [2] | 4.51% | [2] |
Weighted Average Yield | 7.86% | 7.79% | ||
Credit Investments: Non-Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 1,716,983,671 | 1,303,432,523 | ||
Premium/(Discount) | -488,239,998 | -181,488,454 | ||
Amortized Cost | 1,228,743,673 | 1,121,944,069 | ||
Gross Unrealized Gains | 25,851,505 | 24,415,728 | [1] | |
Gross Unrealized Losses | -4,606,782 | [1] | -6,281,869 | [1] |
Fair Value | 1,249,988,396 | 1,140,077,928 | ||
Weighted Average Coupon | 3.54% | [2] | 4.26% | [2] |
Weighted Average Yield | 5.50% | 5.62% | ||
Credit Investments: ABS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 68,967,873 | 67,696,117 | ||
Premium/(Discount) | -524,344 | -379,648 | ||
Amortized Cost | 68,443,529 | 67,316,469 | ||
Gross Unrealized Gains | 1,062,967 | 322,074 | [1] | |
Gross Unrealized Losses | -439,242 | [1] | -945,300 | [1] |
Fair Value | 69,067,254 | 66,693,243 | ||
Weighted Average Coupon | 5.20% | [2] | 5.15% | [2] |
Weighted Average Yield | 5.49% | 5.55% | ||
Credit Investments: CMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 216,126,251 | 220,026,552 | ||
Premium/(Discount) | -119,511,371 | -127,623,416 | ||
Amortized Cost | 96,614,880 | 92,403,136 | ||
Gross Unrealized Gains | 2,651,983 | 2,138,358 | [1] | |
Gross Unrealized Losses | -150,577 | [1] | -146,791 | [1] |
Fair Value | 99,116,286 | 94,394,703 | ||
Weighted Average Coupon | 5.02% | [2] | 5.13% | [2] |
Weighted Average Yield | 6.45% | 6.65% | ||
Credit Investments: CMBS Interest Only [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Current Face | 52,357,700 | 52,357,700 | ||
Premium/(Discount) | -46,582,626 | -46,424,765 | ||
Amortized Cost | 5,775,074 | 5,932,935 | ||
Gross Unrealized Gains | 230,953 | 193,014 | [1] | |
Gross Unrealized Losses | 0 | [1] | 0 | [1] |
Fair Value | $6,006,027 | $6,125,949 | ||
Weighted Average Coupon | 1.85% | [2] | 1.85% | [2] |
Weighted Average Yield | 5.76% | 5.73% | ||
[1] | The Company has 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). | |||
[2] | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Real_Estate_Securities_Details1
Real Estate Securities (Details 1) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than Twelve Months, Fair Value | $438,800,357 | $551,097,657 |
Less than Twelve Months, Unrealized Losses | -6,320,637 | -6,921,385 |
Greater than Twelve Months, Fair Value | 90,771,025 | 224,261,493 |
Greater than Twelve Months, Unrealized Losses | ($2,790,200) | ($4,029,419) |
Real_Estate_Securities_Details2
Real Estate Securities (Details 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Total | $1,608,764,242 | [1],[2] | $1,688,079,631 | [1],[2] |
Amortized Cost Total | 1,569,618,609 | [1],[2] | 1,660,698,928 | [1],[2] |
Weighted Average Coupon Total | 3.38% | [1],[2] | 3.45% | [1],[2] |
Agency RMBS [Member] | Less Than Or Equal To 1 Year [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Less than or equal to 1 year | 0 | [1],[2] | 0 | [1],[2] |
Amortized Cost Less than or equal to 1 year | 0 | [1],[2] | 0 | [1],[2] |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | [1],[2] | 0.00% | [1],[2] |
Agency RMBS [Member] | Greater Than One Year and Less Than Or Equal To Five Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than one year and less than or equal to five years | 122,540,361 | [1],[2] | 72,253,477 | [1],[2] |
Amortized Cost Greater than one year and less than or equal to five years | 120,267,738 | [1],[2] | 71,713,942 | [1],[2] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 2.59% | [1],[2] | 2.57% | [1],[2] |
Agency RMBS [Member] | Greater Than Five Years and Less Than Or Equal To Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than five years and less than or equal to ten years | 1,466,509,816 | [1],[2] | 1,486,360,763 | [1],[2] |
Amortized Cost Greater than five years and less than or equal to ten years | 1,429,833,748 | [1],[2] | 1,461,439,648 | [1],[2] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 3.44% | [1],[2] | 3.49% | [1],[2] |
Agency RMBS [Member] | Greater Than Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than ten years | 19,714,065 | [1],[2] | 129,465,391 | [1],[2] |
Amortized Cost Greater than ten years | 19,517,123 | [1],[2] | 127,545,338 | [1],[2] |
Weighted Average Coupon Greater than ten years | 3.58% | [1],[2] | 3.54% | [1],[2] |
Agency IO [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Total | 108,507,193 | [1] | 120,235,115 | [1] |
Amortized Cost Total | 108,652,437 | [1] | 116,640,869 | [1] |
Weighted Average Coupon Total | 4.44% | [1] | 4.51% | [1] |
Agency IO [Member] | Less Than Or Equal To 1 Year [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Less than or equal to 1 year | 0 | [1] | 0 | [1] |
Amortized Cost Less than or equal to 1 year | 0 | [1] | 0 | [1] |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | [1] | 0.00% | [1] |
Agency IO [Member] | Greater Than One Year and Less Than Or Equal To Five Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than one year and less than or equal to five years | 72,680,755 | [1] | 67,356,372 | [1] |
Amortized Cost Greater than one year and less than or equal to five years | 72,717,557 | [1] | 67,199,203 | [1] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 4.03% | [1] | 4.16% | [1] |
Agency IO [Member] | Greater Than Five Years and Less Than Or Equal To Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than five years and less than or equal to ten years | 35,826,438 | [1] | 52,878,743 | [1] |
Amortized Cost Greater than five years and less than or equal to ten years | 35,934,880 | [1] | 49,441,666 | [1] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 5.68% | [1] | 5.13% | [1] |
Agency IO [Member] | Greater Than Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than ten years | 0 | [1] | 0 | [1] |
Amortized Cost Greater than ten years | 0 | [1] | 0 | [1] |
Weighted Average Coupon Greater than ten years | 0.00% | 0.00% | [1] | |
Credit Investments [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Total | 1,424,177,963 | [1],[3] | 1,307,291,823 | [1],[3] |
Amortized Cost Total | 1,399,577,156 | [1],[3] | 1,287,596,609 | [1],[3] |
Weighted Average Coupon Total | 3.63% | [1],[3],[4] | 4.27% | [1],[3],[4] |
Credit Investments [Member] | Less Than Or Equal To 1 Year [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Less than or equal to 1 year | 22,175,588 | [1],[3] | 39,522,038 | [1],[3] |
Amortized Cost Less than or equal to 1 year | 22,140,661 | [1],[3] | 39,415,933 | [1],[3] |
Weighted Average Coupon Less than or equal to 1 year | 4.06% | [1],[3],[4] | 3.48% | [1],[3],[4] |
Credit Investments [Member] | Greater Than One Year and Less Than Or Equal To Five Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than one year and less than or equal to five years | 645,098,126 | [1],[3] | 621,179,587 | [1],[3] |
Amortized Cost Greater than one year and less than or equal to five years | 636,930,130 | [1],[3] | 612,711,131 | [1],[3] |
Weighted Average Coupon Greater than one year and less than or equal to five years | 4.01% | [1],[3],[4] | 3.93% | [1],[3],[4] |
Credit Investments [Member] | Greater Than Five Years and Less Than Or Equal To Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than five years and less than or equal to ten years | 640,087,087 | [1],[3] | 562,808,169 | [1],[3] |
Amortized Cost Greater than five years and less than or equal to ten years | 629,894,268 | [1],[3] | 557,116,343 | [1],[3] |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 3.01% | [1],[3],[4] | 4.39% | [1],[3],[4] |
Credit Investments [Member] | Greater Than Ten Years [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Fair Value Greater than ten years | 116,817,162 | [1],[3] | 83,782,029 | [1],[3] |
Amortized Cost Greater than ten years | $110,612,097 | [1],[3] | $78,353,202 | [1],[3] |
Weighted Average Coupon Greater than ten years | 5.85% | [1],[3],[4] | 6.58% | [1],[3],[4] |
[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 represent securities backed by Fixed Rate 20 Year, Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | |||
[3] | For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Credit Interest Only securities. | |||
[4] | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Real_Estate_Securities_Details3
Real Estate Securities (Details Textual) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Number Of Securities Sold | 18 | ||
Securities, Gross Realized Gains | $5,500,000 | ||
Securities, Gross Realized Losses | 800,000 | ||
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 326,102,175 | 29,794,180 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Debt Securities, Total | 2,700,000 | 600,000 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 2,700,000 | 600,000 | |
Repurchase Agreements | 2,670,615,233 | 2,644,955,948 | |
Assets Sold Under Agreements To Repurchase, Interest Rate | 1.03% | 1.88% | 0.93% |
Assets, Fair Value Disclosure | 3,401,932,910 | 3,312,202,508 | |
Weighted Average Life Of Securitized Debt | 3 years 2 months 23 days | 3 years 4 months 24 days | |
Weighted Average Rate Of Securitized Debt | 3.55% | 3.75% | |
Other Secured Financings | 38,405,163 | 39,777,914 | |
Weighted Average Yield of Aggregate Security | 6.14% | 5.14% | |
Weighted Average Coupon of Aggregate Security | 5.54% | 5.50% | |
Repurchase Agreement [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Repurchase Agreements | 21,300,000 | 21,300,000 | |
Assets Sold Under Agreements To Repurchase, Interest Rate | 3.00% | 3.00% | |
Collateral Pledged [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Repurchase Agreements | 28,200,000 | 28,400,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Senior Notes [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 38,400,000 | 39,800,000 | |
Commercial Real Estate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Equity Method Investments | 54,700,000 | 42,000,000 | |
Equity Method Investment Weighted Average Yield | 10.75% | 12.13% | |
Settled Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Number Of Securities Sold | 3 | ||
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 29,800,000 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 1,100,000 | 100,000 | |
Unsettled Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Number Of Securities Sold | 7 | ||
Securities, Gross Realized Gains | 700,000 | ||
Securities, Gross Realized Losses | 700,000 | ||
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 152,500,000 | ||
Resecuritization [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Assets, Fair Value Disclosure | $46,100,000 | $47,600,000 |
Loans_Details
Loans (Details) (Residential Mortgage [Member], USD $) | 3 Months Ended | 12 Months Ended | |||||
Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | |||
Residential Mortgage [Member] | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Unpaid Principal balance | $113,434,341 | $119,882,836 | $50,500,000 | $13,700,000 | $59,000,000 | ||
Premium (Discount) | -32,556,999 | -35,534,525 | |||||
Amortized Cost | 80,877,342 | 84,348,311 | |||||
Gross Unrealized Gains | 1,778,783 | [1] | 1,101,473 | [1] | |||
Gross Unrealized Losses | -263,405 | [1] | -359,925 | [1] | |||
Fair Value | $82,392,720 | $85,089,859 | |||||
Weighted Average Coupon | 5.47% | 5.53% | |||||
Weighted Average Yield | 8.66% | 8.90% | |||||
Weighted Average Useful Life (in years) | 6 years 2 months 1 day | 5 years 7 months 24 days | |||||
[1] | The Company has chosen to make a fair value election pursuant to ASC 825 for its 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). |
Loans_Details_1
Loans (Details 1) (Residential Mortgage [Member], USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 |
Loans Receivable, Fair Value Disclosure | $82,392,720 | $85,089,859 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | 113,434,341 | 119,882,836 | 50,500,000 | 13,700,000 | 59,000,000 |
Re-Performing Financing Receivable [Member] | |||||
Loans Receivable, Fair Value Disclosure | 67,618,680 | 68,581,824 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | 87,816,458 | 89,493,175 | |||
Non-Performing Financing Receivable [Member] | |||||
Loans Receivable, Fair Value Disclosure | 14,774,040 | 16,508,035 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | $25,617,883 | $30,389,661 |
Loans_Details_2
Loans (Details 2) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 97.00% | 98.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 17.00% | 16.00% |
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 10.00% | 11.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 6.00% | 8.00% |
Maryland [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 5.00% | 5.00% |
Loans_Details_3
Loans (Details 3) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Beginning Balance | $38,008,263 | $0 |
Additions | 0 | 17,159,216 |
Accretion | -1,865,295 | -243,898 |
Reclassifications from/(to) non-accretable difference | 4,356,113 | 0 |
Disposals | -1,041,317 | 0 |
Ending Balance | $39,457,764 | $16,915,318 |
Loans_Details_4
Loans (Details 4) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Current Face, Commerical Loans | $72,800,000 | $72,800,000 | ||
Premium (Discount), Commercial Loans | -391,097 | -496,019 | ||
Amortized Cost, Commercial Loans | 72,408,903 | 72,303,981 | ||
Gross Unrealized Gains, Commercial Loans | 391,097 | [1] | 496,019 | [1] |
Gross Unrealized Losses, Commercial Loans | 0 | [1] | 0 | [1] |
Fair Value, Commercial Loans | 72,800,000 | 72,800,000 | ||
Weighted Average Coupon, Commercial Loans | 6.79% | [2] | 6.79% | [2] |
Weighted Average Yield, Commercial Loans | 8.56% | 8.55% | ||
Weighted Average Life, Commercial Loans | 1 year 9 months 7 days | 2 years 7 days | ||
Loan A [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Stated Maturity Date | 5-Jun-17 | [3],[4] | 5-Jun-17 | [3],[4] |
Extended Maturity Date | 5-Jun-19 | [3] | 5-Jun-19 | [3] |
Loan A [Member] | Commercial Loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Current Face, Commerical Loans | 30,000,000 | [3] | 30,000,000 | [3] |
Premium (Discount), Commercial Loans | -193,809 | [3] | -240,326 | [3] |
Amortized Cost, Commercial Loans | 29,806,191 | [3] | 29,759,674 | [3] |
Gross Unrealized Gains, Commercial Loans | 193,809 | [1],[3] | 240,326 | [1],[3] |
Gross Unrealized Losses, Commercial Loans | 0 | [1],[3] | 0 | [1],[3] |
Fair Value, Commercial Loans | 30,000,000 | [3] | 30,000,000 | [3] |
Weighted Average Coupon, Commercial Loans | 6.50% | [2],[3] | 6.50% | [2],[3] |
Weighted Average Yield, Commercial Loans | 8.76% | [3] | 8.76% | [3] |
Weighted Average Life, Commercial Loans | 2 years 6 months 7 days | [3] | 2 years 9 months 7 days | [3] |
Loan B [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Stated Maturity Date | 1-Jul-16 | 1-Jul-16 | ||
Extended Maturity Date | 1-Jul-19 | 1-Jul-19 | ||
Loan B [Member] | Commercial Loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Current Face, Commerical Loans | 32,800,000 | [5] | 32,800,000 | [5] |
Premium (Discount), Commercial Loans | -138,088 | [5] | -189,506 | [5] |
Amortized Cost, Commercial Loans | 32,661,912 | [5] | 32,610,494 | [5] |
Gross Unrealized Gains, Commercial Loans | 138,088 | [1],[5] | 189,506 | [1],[5] |
Gross Unrealized Losses, Commercial Loans | 0 | 0 | ||
Fair Value, Commercial Loans | 32,800,000 | [5] | 32,800,000 | [5] |
Weighted Average Coupon, Commercial Loans | 5.00% | [2],[5] | 5.00% | [2],[5] |
Weighted Average Yield, Commercial Loans | 6.15% | [5] | 6.15% | [5] |
Weighted Average Life, Commercial Loans | 1 year 2 months 12 days | [5] | 1 year 5 months 12 days | [5] |
Loan C [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Stated Maturity Date | 1-Feb-17 | [4],[6] | 1-Feb-17 | [4],[6] |
Extended Maturity Date | 1-Feb-18 | [6] | 1-Feb-18 | [6] |
Loan C [Member] | Commercial Loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Current Face, Commerical Loans | 10,000,000 | [6] | 10,000,000 | [6] |
Premium (Discount), Commercial Loans | -59,200 | [6] | -66,187 | [6] |
Amortized Cost, Commercial Loans | 9,940,800 | [6] | 9,933,813 | [6] |
Gross Unrealized Gains, Commercial Loans | 59,200 | [1],[6] | 66,187 | [1],[6] |
Gross Unrealized Losses, Commercial Loans | 0 | [1],[6] | 0 | [1],[6] |
Fair Value, Commercial Loans | $10,000,000 | [6] | $10,000,000 | [6] |
Weighted Average Coupon, Commercial Loans | 13.50% | [2],[6] | 13.50% | [2],[6] |
Weighted Average Yield, Commercial Loans | 15.86% | [6] | 15.77% | [6] |
Weighted Average Life, Commercial Loans | 1 year 4 months 10 days | [6] | 1 year 7 months 10 days | [6] |
[1] | The Company has 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] | Each commercial loan investment has a variable coupon rate. | |||
[3] | Loan A is comprised of a first mortgage and mezzanine loan of up to $24.0 million and $12.0 million, respectively, of which $20.0 million and $10.0 million has been advanced. | |||
[4] | The Company has the contractual right to receive a balloon payment. | |||
[5] | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | |||
[6] | Loan C is mezzanine loan. |
Loans_Details_Textual
Loans (Details Textual) (USD $) | 3 Months Ended | |||||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | |
Gain (Loss) on Investments [Line Items] | ||||||
Accretion of Discount | $300,000 | $0 | ||||
Loan A [Member] | Maximum [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 24,000,000 | |||||
Loan A [Member] | First Mortgage [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 20,000,000 | 20,000,000 | ||||
Loan A [Member] | First Mortgage [Member] | Maximum [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 24,000,000 | |||||
Loan B [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 31,800,000 | |||||
Loan B [Member] | First Mortgage [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 31,800,000 | |||||
Residential Mortgage [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 113,434,341 | 119,882,836 | 50,500,000 | 13,700,000 | 59,000,000 | |
Mortgages Held-for-sale, Fair Value Disclosure | 44,000,000 | 5,700,000 | 34,900,000 | |||
Mortgage Loans on Real Estate, Number of Loans | 560 | |||||
Residential Mortgage [Member] | Maximum [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 1,100,000 | |||||
Residential Mortgage [Member] | Minimum [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 5,000 | |||||
Mezzanine Loan [Member] | Loan A [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 10,000,000 | 10,000,000 | ||||
Mezzanine Loan [Member] | Loan A [Member] | Maximum [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 12,000,000 | 12,000,000 | ||||
Mezzanine Loan [Member] | Loan B [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | $1,000,000 | $1,000,000 |
Fair_Value_Measurements_Detail
Fair Value Measurements (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Assets: | ||
Assets, Fair Value Disclosure | $3,401,932,910 | $3,312,202,508 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | -72,227,605 | -48,386,123 |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,031,370 | 11,382,622 |
Securities borrowed under reverse repurchase agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -25,009,766 | |
Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -38,405,163 | -39,777,914 |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -8,812,676 | -8,608,209 |
Agency RMBS: 20 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 129,005,072 | 133,742,870 |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 971,361,677 | 1,036,024,019 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 89,710,822 | 90,775,375 |
Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 418,686,671 | 427,537,367 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 108,507,193 | 120,235,115 |
Credit Investments Non-Agency Rmbs [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,249,988,396 | 1,140,077,928 |
Credit Investments ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 69,067,254 | 66,693,243 |
Credit Investments CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 99,116,286 | 94,394,703 |
Credit Investments CMBS Interest Only [Member] [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 6,006,027 | 6,125,949 |
Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 82,392,720 | 85,089,859 |
Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 72,800,000 | 72,800,000 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 579,734 | 628,367 |
Linked Transactions [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 26,695,091 | |
US Treasury Securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 100,679,688 | |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 100,679,688 | 0 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | -25,009,766 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securities borrowed under reverse repurchase agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -25,009,766 | |
Fair Value, Inputs, Level 1 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, 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: Fixed Rate CMO [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 CMBS Interest Only [Member] [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Residential Mortgage [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] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Linked Transactions [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 100,679,688 | |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,507,051,756 | 2,581,202,806 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | -47,217,839 | -48,386,123 |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,031,370 | 11,382,622 |
Fair Value, Inputs, Level 2 [Member] | Securities borrowed under reverse repurchase agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -38,405,163 | -39,777,914 |
Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | -8,812,676 | -8,608,209 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 20 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 129,005,072 | 133,742,870 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 971,361,677 | 1,036,024,019 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 89,710,822 | 90,775,375 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 418,686,671 | 427,537,367 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 108,507,193 | 120,235,115 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments Non-Agency Rmbs [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 740,443,224 | 684,841,649 |
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 | 45,305,727 | 55,051,429 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments CMBS Interest Only [Member] [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage [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] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Linked Transactions [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 21,612,360 | |
Fair Value, Inputs, Level 2 [Member] | US Treasury Securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 794,201,466 | 730,999,702 |
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] | Securities borrowed under reverse repurchase agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 3 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, 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: Fixed Rate CMO [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 | 509,545,172 | 455,236,279 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 69,067,254 | 66,693,243 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 53,810,559 | 39,343,274 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments CMBS Interest Only [Member] [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 6,006,027 | 6,125,949 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 82,392,720 | 85,089,859 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 72,800,000 | 72,800,000 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 579,734 | 628,367 |
Fair Value, Inputs, Level 3 [Member] | Linked Transactions [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 5,082,731 | |
Fair Value, Inputs, Level 3 [Member] | US Treasury Securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | $0 |
Fair_Value_Measurements_Detail1
Fair Value Measurements (Details 1) (Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Residential Mortgage Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | $85,089,859 | $0 | ||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | |
Transfers out of level 3 | 0 | [1] | 0 | |
Purchases | 0 | 35,075,171 | ||
Reclassification of security type | 0 | [2] | 0 | |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | -1,858,699 | 0 | ||
Total net gains/(losses) | ||||
Included in net income | -838,440 | -135,398 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 82,392,720 | 34,939,773 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | -770,629 | -135,398 | ||
Non-Agency RMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 455,236,279 | 309,840,562 | ||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 74,146,136 | 75,858,929 | ||
Reclassification of security type | 24,129,591 | [2] | 7,507,855 | [2] |
Proceeds from sales | -12,383,544 | -10,779,244 | ||
Proceeds from settlement | -35,224,917 | -4,119,236 | ||
Total net gains/(losses) | ||||
Included in net income | 3,641,627 | 2,936,083 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 509,545,172 | 381,244,949 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | 3,447,627 | 2,972,279 | ||
Credit Investments ABS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 66,693,243 | 71,344,784 | ||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 4,027,500 | 3,022,000 | ||
Reclassification of security type | 0 | [2] | 6,562,500 | [2] |
Proceeds from sales | -2,595,898 | 0 | ||
Proceeds from settlement | -228,246 | -7,566,041 | ||
Total net gains/(losses) | ||||
Included in net income | 1,170,655 | 297,786 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 69,067,254 | 73,661,029 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | 1,073,361 | 297,786 | ||
CMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 39,343,274 | 23,972,043 | ||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] |
Purchases | 14,642,289 | 0 | ||
Reclassification of security type | 0 | [2] | 12,683,116 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | -387,963 | -206,807 | ||
Total net gains/(losses) | ||||
Included in net income | 212,959 | 1,476,593 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 53,810,559 | 37,924,945 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | 212,959 | 1,476,593 | ||
CMBS Interest Only [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 6,125,949 | 6,324,735 | ||
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 | 0 | [2] | 0 | [2] |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | 0 | 0 | ||
Total net gains/(losses) | ||||
Included in net income | -119,922 | 73,523 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 6,006,027 | 6,398,258 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | -119,922 | 73,523 | ||
Commercial Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 72,800,000 | 0 | ||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | |
Transfers out of level 3 | 0 | [1] | 0 | |
Purchases | 0 | 9,927,833 | ||
Reclassification of security type | 0 | [2] | 0 | |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | 0 | 0 | ||
Total net gains/(losses) | ||||
Included in net income | 0 | 72,167 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 72,800,000 | 10,000,000 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | 0 | 72,167 | ||
Excess Mortgage Servicing Rights [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 628,367 | |||
Transfers: | ||||
Transfers into level 3 | 0 | [1] | ||
Transfers out of level 3 | 0 | [1] | ||
Purchases | 0 | |||
Reclassification of security type | 0 | [2] | ||
Proceeds from sales | 0 | |||
Proceeds from settlement | -48,633 | |||
Total net gains/(losses) | ||||
Included in net income | 0 | |||
Included in other comprehensive income (loss) | 0 | |||
Ending Balance | 579,734 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | 0 | |||
Linked Transactions [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 5,082,731 | [3] | 14,723,169 | |
Transfers: | ||||
Transfers into level 3 | 0 | [1] | 0 | |
Transfers out of level 3 | 0 | [1] | 0 | |
Purchases | 0 | 1,640,500 | ||
Reclassification of security type | -5,082,731 | [2] | -5,740,156 | |
Proceeds from sales | 0 | 0 | ||
Proceeds from settlement | 0 | -1,140,885 | ||
Total net gains/(losses) | ||||
Included in net income | 0 | 428,431 | ||
Included in other comprehensive income (loss) | 0 | 0 | ||
Ending Balance | 0 | 9,911,059 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2014 (4) | $0 | $372,793 | ||
[1] | Transfers are assumed to occur at the beginning of the period. | |||
[2] | Represents an accounting reclassification between a linked transaction and a real estate security. | |||
[3] | Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS investments. |
Fair_Value_Measurements_Detail2
Fair Value Measurements (Details 2) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $3,843,396 | |
Fair Value, Inputs, Level 3 [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | 4,066,879 | 5,149,185 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | -516,240 | 5,129,743 |
Fair Value, Inputs, Level 3 [Member] | Trading Securities [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | -16,933 | |
Fair Value, Inputs, Level 3 [Member] | Interest Income [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | -268,911 | |
Fair Value, Inputs, Level 3 [Member] | Linked Transactions [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | 428,431 | |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 372,793 | |
Fair Value, Inputs, Level 3 [Member] | Real Estate Securities And Loans [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | 4,083,812 | 4,989,665 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $4,359,636 | $4,756,950 |
Fair_Value_Measurements_Detail3
Fair Value Measurements (Details 3) (Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |||
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 | $509,545,172 | $455,236,279 | $381,244,949 | $309,840,562 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Option One [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] | Option Two [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] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 36.02% | 35.48% | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Maximum [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.25% | 7.95% | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Minimum [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.00% | 0.29% | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Minimum [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.62% | 4.62% | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Weighted Average [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.36% | -5.30% | ||||
Non-Agency Rmbs [Member] | Yield [Member] | Weighted Average [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.49% | -5.55% | ||||
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 | 15.00% | 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 | -3.45% | -3.21% | ||||
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 | 35.00% | 35.00% | ||||
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 | -11.33% | -13.07% | ||||
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 | -31.60% | -36.04% | ||||
Abs [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 69,067,254 | 66,693,243 | 73,661,029 | 71,344,784 | ||
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 | 9.98% | 10.52% | ||||
Abs [Member] | Yield [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.20% | 4.80% | ||||
Abs [Member] | Yield [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.81% | -6.34% | ||||
Abs [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 | ||||
Abs [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% | ||||
Abs [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.00% | 20.00% | ||||
Abs [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -79.59% | -88.56% | ||||
Abs [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 | ||||
Abs [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 8.30% | 8.30% | ||||
Abs [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% | ||||
Abs [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -6.43% | -5.13% | ||||
Abs [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 | ||||
Abs [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 30.00% | 50.00% | ||||
Abs [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% | ||||
Abs [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.52% | -7.15% | ||||
Linked Transactions [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 0 | 5,082,731 | [1] | 9,911,059 | 14,723,169 | |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | [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] | ||||
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] | ||||
Linked Transactions [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.00% | [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 | -6.94% | [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] | ||||
Linked Transactions [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 14.00% | [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 | 4.00% | [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 | -8.09% | [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] | ||||
Linked Transactions [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 60.00% | [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 | 42.00% | [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 | -52.87% | [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 | 72,800,000 | 72,800,000 | 10,000,000 | 0 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Commercial Loans [Member] | Credit Spread [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Credit Spread | Credit Spread | ||||
Commercial Loans [Member] | Credit Spread [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 13.25% | 13.25% | ||||
Commercial Loans [Member] | Credit Spread [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.75% | 4.75% | ||||
Commercial Loans [Member] | Credit Spread [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -6.54% | |||||
Commercial Loans [Member] | Recovery Percentage [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Recovery Percentage | [2] | Recovery Percentage | [3] | ||
Commercial Loans [Member] | Recovery Percentage [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 100.00% | ||||
Commercial Loans [Member] | Recovery Percentage [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 100.00% | ||||
Commercial Loans [Member] | Recovery Percentage [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -100.00% | -100.00% | ||||
CMBS Interest Only [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 6,006,027 | 6,125,949 | 6,398,258 | 6,324,735 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
CMBS Interest Only [Member] | Yield [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | ||||
CMBS Interest Only [Member] | Yield [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 40.22% | 23.67% | ||||
CMBS Interest Only [Member] | Yield [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.52% | 5.60% | ||||
CMBS Interest Only [Member] | Yield [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -8.66% | -8.90% | ||||
CMBS 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 | ||||
CMBS 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% | ||||
CMBS 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% | ||||
CMBS 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% | ||||
CMBS 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 | ||||
CMBS 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% | ||||
CMBS 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% | ||||
CMBS 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% | ||||
CMBS 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 | ||||
CMBS 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% | ||||
CMBS 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% | ||||
CMBS 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 | 53,810,559 | 39,343,274 | 37,924,945 | 23,972,043 | ||
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 | 5.78% | 5.78% | ||||
CMBS [Member] | Yield [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.76% | 5.72% | ||||
CMBS [Member] | Yield [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.76% | -5.73% | ||||
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 | 50.00% | 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 | -6.27% | 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 | ||||
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 | 82,392,720 | 85,089,859 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Residential Mortgage Backed Securities [Member] | Yield [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | 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 | 15.86% | 15.77% | ||||
Residential Mortgage Backed Securities [Member] | Yield [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 6.15% | 6.15% | ||||
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 | -8.56% | -8.55% | ||||
Residential Mortgage Backed Securities [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 | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 8.24% | 8.36% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 1.91% | 1.98% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -6.56% | -6.44% | ||||
Residential Mortgage Backed Securities [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 | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Losses [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 11.21% | 9.64% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Losses [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.59% | 4.47% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.99% | -6.20% | ||||
Residential Mortgage Backed Securities [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 | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Severities [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 51.78% | 41.94% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Severities [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 20.19% | 20.93% | ||||
Residential Mortgage Backed Securities [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -27.79% | -27.65% | ||||
Excess Mortgage Servicing Rights [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $579,734 | $628,367 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | [1] | ||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Maximum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.46% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Maximum [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 12.52% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Maximum [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 6.45% | [1] | ||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Minimum [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.16% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Minimum [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 9.09% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Minimum [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.49% | [1] | ||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Weighted Average [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -7.22% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Weighted Average [Member] | Option One [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -9.78% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Weighted Average [Member] | Option Two [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | -5.50% | [1] | ||||
[1] | Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS investments. | |||||
[2] | Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2015. | |||||
[3] | Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2014. |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $2,522,352,499 | $2,571,882,230 | $186,578,959 |
Weighted Average Rate | 1.03% | 0.93% | 1.88% |
Weighted Average Haircut | 11.60% | 11.50% | |
Fair Value Pledged | 2,901,698,916 | 2,936,033,791 | |
Amortized Cost | 2,834,843,497 | 2,891,085,873 | |
Accrued Interest | 8,880,836 | 8,996,530 | |
Residential mortgage loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 50,856,483 | 50,573,718 | |
Weighted Average Rate | 2.68% | 2.93% | |
Weighted Average Funding Cost | 2.85% | 3.08% | |
Weighted Average Haircut | 29.50% | 31.10% | |
Fair Value Pledged | 72,247,373 | 73,407,869 | |
Amortized Cost | 72,543,319 | 73,084,817 | |
Accrued Interest | 95,139 | 709,585 | |
Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 22,500,000 | 22,500,000 | |
Weighted Average Rate | 2.50% | 2.50% | |
Weighted Average Funding Cost | 2.84% | 2.83% | |
Weighted Average Haircut | 64.20% | 64.20% | |
Fair Value Pledged | 62,800,000 | 62,800,000 | |
Amortized Cost | 62,468,103 | 62,370,168 | |
Accrued Interest | 678,721 | 533,832 | |
US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 74,906,251 | ||
Weighted Average Rate | -0.30% | ||
Weighted Average Haircut | 0.80% | ||
Fair Value Pledged | 75,509,766 | ||
Amortized Cost | 75,022,998 | ||
Accrued Interest | 139,848 | ||
Overnight | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 74,906,251 | ||
Weighted Average Rate | -0.30% | ||
Weighted Average Haircut | 0.80% | ||
Fair Value Pledged | 75,509,766 | ||
Amortized Cost | 75,022,998 | ||
Accrued Interest | 139,848 | ||
30 days or less [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 1,849,733,715 | 1,969,873,000 | |
Weighted Average Rate | 0.90% | 0.75% | |
Weighted Average Haircut | 11.40% | 10.40% | |
Fair Value Pledged | 2,116,899,525 | 2,205,969,794 | |
Amortized Cost | 2,064,016,539 | 2,174,485,394 | |
Accrued Interest | 7,100,101 | 6,903,437 | |
30 days or less [Member] | Residential mortgage loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
30 days or less [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
30 days or less [Member] | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | ||
Weighted Average Rate | 0.00% | ||
Weighted Average Haircut | 0.00% | ||
Fair Value Pledged | 0 | ||
Amortized Cost | 0 | ||
Accrued Interest | 0 | ||
31-60 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 349,901,000 | 220,953,000 | |
Weighted Average Rate | 1.08% | 1.11% | |
Weighted Average Haircut | 11.40% | 12.20% | |
Fair Value Pledged | 399,242,468 | 253,788,749 | |
Amortized Cost | 393,611,106 | 249,993,183 | |
Accrued Interest | 1,108,847 | 816,574 | |
31-60 days [Member] | Residential mortgage loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
31-60 days [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
31-60 days [Member] | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | ||
Weighted Average Rate | 0.00% | ||
Weighted Average Haircut | 0.00% | ||
Fair Value Pledged | 0 | ||
Amortized Cost | 0 | ||
Accrued Interest | 0 | ||
61-90 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 27,423,000 | 51,090,128 | |
Weighted Average Rate | 1.82% | 1.26% | |
Weighted Average Haircut | 24.80% | 13.10% | |
Fair Value Pledged | 36,814,681 | 60,149,910 | |
Amortized Cost | 35,762,537 | 58,111,076 | |
Accrued Interest | 57,038 | 171,277 | |
61-90 days [Member] | Residential mortgage loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
61-90 days [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Funding Cost | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | 0 | 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
61-90 days [Member] | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | ||
Weighted Average Rate | 0.00% | ||
Weighted Average Haircut | 0.00% | ||
Fair Value Pledged | 0 | ||
Amortized Cost | 0 | ||
Accrued Interest | 0 | ||
Greater than 90 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 295,294,784 | 329,966,102 | |
Weighted Average Rate | 1.71% | 1.84% | |
Weighted Average Haircut | 12.00% | 17.70% | |
Fair Value Pledged | 348,742,242 | 416,125,338 | |
Amortized Cost | 341,453,315 | 408,496,220 | |
Accrued Interest | 614,850 | 1,105,242 | |
Greater than 90 days [Member] | Residential mortgage loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 50,856,483 | 50,573,718 | |
Weighted Average Rate | 2.68% | 2.93% | |
Weighted Average Funding Cost | 2.85% | 3.08% | |
Weighted Average Haircut | 29.50% | 31.10% | |
Fair Value Pledged | 72,247,373 | 73,407,869 | |
Amortized Cost | 72,543,319 | 73,084,817 | |
Accrued Interest | 95,139 | 709,585 | |
Greater than 90 days [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 22,500,000 | 22,500,000 | |
Weighted Average Rate | 2.50% | 2.50% | |
Weighted Average Funding Cost | 2.84% | 2.83% | |
Weighted Average Haircut | 64.20% | 64.20% | |
Fair Value Pledged | 62,800,000 | 62,800,000 | |
Amortized Cost | 62,468,103 | 62,370,168 | |
Accrued Interest | 678,721 | 533,832 | |
Greater than 90 days [Member] | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | ||
Weighted Average Rate | 0.00% | ||
Weighted Average Haircut | 0.00% | ||
Fair Value Pledged | 0 | ||
Amortized Cost | 0 | ||
Accrued Interest | $0 |
Repurchase_Agreements_Details_
Repurchase Agreements (Details 1) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Schedule Of Securities Collateral Information Line Items [Line Items] | ||
Repurchase agreements secured by Agency RMBS | $1,463,845,000 | $1,583,911,000 |
Fair Value of Agency RMBS pledged as collateral under repurchase agreements | 1,561,960,046 | 1,684,021,261 |
Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS | 1,058,507,499 | 987,971,230 |
Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements | 1,339,738,870 | 1,252,012,530 |
Repurchase agreements secured by Residential Mortgage Loans | 50,856,483 | 50,573,718 |
Fair Value of Residential Mortgage Loans pledged as collateral under repurchase agreements | 72,247,373 | 73,407,869 |
Repurchase agreements secured by Commercial Mortgage Loans | 22,500,000 | 22,500,000 |
Fair Value of Commercial Mortgage Loans pledged as collateral under repurchase agreements | 62,800,000 | 62,800,000 |
Repurchase agreements secured by U.S. Treasury Securities | 74,906,251 | 0 |
Fair Value of Agency U.S. Treasury Securities pledged as collateral under repurchase agreements | 75,509,766 | 0 |
Cash pledged (i.e., restricted cash) under repurchase agreements | $12,074,672 | $13,374,600 |
Repurchase_Agreements_Details_1
Repurchase Agreements (Details 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $2,670,615,233 | $2,644,955,948 |
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,670,615,233 | 2,644,955,948 |
Gross Amounts Offset In The Consolidated Balance Sheet [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 0 | 0 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheet [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,670,615,233 | 2,644,955,948 |
Gross Amounts Not Offset in the Statement of Financial Position [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,670,615,233 | 2,644,955,948 |
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 | Mar. 31, 2015 | Dec. 31, 2014 | |
Repurchase Agreement Counterparty [Line Items] | |||
Weighted Average Maturity (days) | 1 month 28 days | ||
Wells Fargo Bank, N.A [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | $86,660,525 | $92,478,572 | |
Weighted Average Maturity (days) | 443 days | 509 days | |
Percentage of Stockholders' Equity | 12.00% | 13.00% | |
Credit Suisse Securities, LLC [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | 83,581,570 | 85,479,003 | |
Weighted Average Maturity (days) | 95 days | 117 days | |
Percentage of Stockholders' Equity | 12.00% | 12.00% | |
Merrill Lynch, Pierce, Fenner & Smith Incorporated [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | 48,577,118 | 42,082,013 | |
Weighted Average Maturity (days) | 9 days | 13 days | |
Percentage of Stockholders' Equity | 7.00% | 6.00% | |
JP Morgan Securities, LLC [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | 46,958,895 | 51,502,631 | |
Weighted Average Maturity (days) | 444 days | 168 days | |
Percentage of Stockholders' Equity | 6.00% | 7.00% | |
Goldman, Sachs & Co.:AG MIT, LLC | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | 32,078,210 | ||
Weighted Average Maturity (days) | 18 days | ||
Percentage of Stockholders' Equity | 4.00% | ||
The Royal Bank of Canada [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at Risk | $37,680,810 | ||
Weighted Average Maturity (days) | 33 days | ||
Percentage of Stockholders' Equity | 5.00% |
Repurchase_Agreements_Details_3
Repurchase Agreements (Details Textual) (USD $) | 3 Months Ended | 12 Months Ended | 1 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Sep. 17, 2014 | Apr. 13, 2014 | Feb. 27, 2015 | |
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $200,000,000 | |||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 1 month 28 days | |||||
Debt Instrument, Maturity Date | 13-Apr-17 | |||||
Long-term Debt, Gross | 90,400,000 | |||||
Credit Suisse [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 83,581,570 | 85,479,003 | ||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 95 days | 117 days | ||||
Cost Method Investment Ownership Percentage | 12.00% | 12.00% | ||||
Merrill Lynch, Pierce, Fenner Smith [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 48,577,118 | 42,082,013 | ||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 9 days | 13 days | ||||
Cost Method Investment Ownership Percentage | 7.00% | 6.00% | ||||
Wells Fargo Bank, N.A [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | 100,000,000 | |||||
Repurchase Agreement Counterparty, Amount at Risk | 86,660,525 | 92,478,572 | ||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 443 days | 509 days | ||||
Cost Method Investment Ownership Percentage | 12.00% | 13.00% | ||||
Debt Instrument, Maturity Date | 27-Feb-17 | |||||
Long-term Debt, Gross | 50,900,000 | |||||
Wells Fargo Securities LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | 150,000,000 | |||||
Debt Instrument, Maturity Date | 17-Sep-16 | |||||
Long-term Debt, Gross | 22,500,000 | |||||
Goldman, Sachs Co.AG MIT, LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 32,078,210 | |||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 18 days | |||||
Cost Method Investment Ownership Percentage | 4.00% | |||||
JP Morgan [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 46,958,895 | 51,502,631 | ||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 444 days | 168 days | ||||
Cost Method Investment Ownership Percentage | 6.00% | 7.00% | ||||
Credit Suisse Securities LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 88,300,000 | |||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 114 days | |||||
Cost Method Investment Ownership Percentage | 12.00% | |||||
JP Morgan Securities LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 52,800,000 | |||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 165 days | |||||
Cost Method Investment Ownership Percentage | 7.00% | |||||
Goldman, Sachs Co [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | 39,200,000 | |||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 16 days | |||||
Cost Method Investment Ownership Percentage | 5.00% | |||||
Linked Transactions [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Repurchase Agreement Counterparty, Amount at Risk | $113,400,000 |
Derivatives_Details
Derivatives (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Interest rate swaps [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | ($8,812,676) | ($8,608,209) | ||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 1,864,570 | 9,902,151 | ||
TBAs [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | 2,166,800 | 1,480,471 | ||
Linked transactions [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 0 | 26,695,091 | ||
Long positions on U.S. Treasuries [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 100,679,688 | 0 | ||
Short positions on U.S. Treasuries [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | ($25,009,766) | [1] | $0 | [1] |
[1] | The Company's obligation to return securities borrowed under reverse repurchase agreements as of March 31, 2015 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company's consolidated statement of operations. |
Derivatives_Details_1
Derivatives (Details 1) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | ||
Derivative [Line Items] | |||||
Derivative, Notional Amount | $1,045,000,000 | $1,446,000,000 | $246,612,695 | ||
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | 1,040,000,000 | 1,441,000,000 | |||
Notional amount of Receive Fix/Pay Float Interest Rate Swap Agreements [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | -5,000,000 | -5,000,000 | |||
Notional amount of TBAs [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | 180,000,000 | 225,000,000 | |||
Notional amount of short positions on U.S. Treasuries [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | -25,000,000 | 0 | |||
Notional amount of long positions on U.S. Treasuries [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | 100,000,000 | 0 | |||
Notional amount of Linked Transactions [Member] | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | $0 | [1] | $150,836,900 | [1] | |
[1] | Represents the current face of the securities comprising linked transactions as of December 31, 2014. |
Derivatives_Details_2
Derivatives (Details 2) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Income (loss) from linked transactions, net | $4,126,741 | |||
MBS Options, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 38,774 | ||
Net realized gain/(loss) | 0 | 19,531 | ||
Interest rate swaps, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | -9,681,958 | -18,463,039 | ||
Net realized gain/(loss) | -12,095,409 | 619,643 | ||
Swaptions, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | -119,049 | ||
Net realized gain/(loss) | 0 | 445,000 | ||
TBAs [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 686,330 | [1] | -109,414 | [1] |
Net realized gain/(loss) | 2,155,078 | 0 | ||
IO Index, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | -34,606 | ||
Net realized gain/(loss) | 0 | 129,761 | ||
Linked Transactions [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Income (loss) from linked transactions, net | 0 | 4,126,741 | ||
Short positions on U.S. Treasuries [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | -369,141 | -493,381 | ||
Net realized gain/(loss) | -442,969 | 0 | ||
Long positions on U.S. Treasuries [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 649,023 | 0 | ||
Net realized gain/(loss) | ($1,263,672) | $0 | ||
[1] | For the three months ended March 31, 2015, gains and losses from purchases and sales of TBAs consisted of $1.2 million, of net TBA dollar roll net interest income, and net gains of $1.6 million, due to price changes. For the three months ended March 31, 2014, gains and losses from purchases and sales of TBAs consisted of net losses of $0.1 million, due to price changes. There was no income recorded on TBA dollar rolls for the three months ended March 31, 2014. |
Derivatives_Details_3
Derivatives (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | $4,962,432 | [1] | $14,849,982 | [2] |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [1] | 0 | [2] |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 4,962,432 | [1] | 14,849,982 | [2] |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | 0 | [2] |
Derivative Assets, Cash Collateral (Posted)/Received | 3,345,636 | [1] | 5,387,471 | [2] |
Derivative Assets, Net Amount | 1,616,796 | [1] | 9,462,511 | [2] |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | -6,614,876 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [3] | 0 | [4] |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | -6,614,876 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Financial Instruments (Posted)/Received | -172,624 | [3] | 0 | [4] |
Derivative Liabilities, Cash Collateral (Posted)/Received | -6,442,252 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Net Amount | 0 | [3] | 0 | [4] |
Interest Rate Swaptions [Member] | ||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Net Amount | 0 | [2] | ||
Interest Rate Swaps [Member] | ||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 2,795,632 | [1] | 13,369,511 | [2] |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [1] | 0 | [2] |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 2,795,632 | [1] | 13,369,511 | [2] |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | 0 | [2] |
Derivative Assets, Cash Collateral (Posted)/Received | 1,178,836 | [1] | 3,907,000 | [2] |
Derivative Assets, Net Amount | 1,616,796 | [1] | 9,462,511 | [2] |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | -6,614,876 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [3] | 0 | [4] |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | -6,614,876 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Financial Instruments (Posted)/Received | -172,624 | [3] | 0 | [4] |
Derivative Liabilities, Cash Collateral (Posted)/Received | -6,442,252 | [3] | -7,506,798 | [4] |
Derivative Liabilities, Net Amount | 0 | [3] | 0 | [4] |
Receivable Under Reverse Repurchase Agreements [Member] | ||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 25,125,000 | |||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | |||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 25,125,000 | |||
Derivative Assets, Financial Instruments (Posted)/Received | 25,009,766 | |||
Derivative Assets, Cash Collateral (Posted)/Received | 0 | |||
Derivative Assets, Net Amount | 115,234 | |||
TBAs [Member] | ||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 2,166,800 | [1] | 1,480,471 | [2] |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [1] | 0 | [2] |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 2,166,800 | [1] | 1,480,471 | [2] |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | 0 | [2] |
Derivative Assets, Cash Collateral (Posted)/Received | 2,166,800 | [1] | 1,480,471 | [2] |
Derivative Assets, Net Amount | 0 | [1] | ||
Linked Transactions [Member] | ||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 139,778,263 | [5] | ||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 26,414,390 | [5] | ||
Derivative Assets, Financial Instruments (Posted)/Received | -26,414,390 | [5] | ||
Derivative Assets, Cash Collateral (Posted)/Received | 0 | [5] | ||
Derivative Assets, Net Amount | 0 | [5] | ||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | ($113,363,873) | [5] | ||
[1] | Included in Derivative Assets on the consolidated balance sheet is $4,962,432 less accrued interest of $931,062 for a total of $4,031,370. | |||
[2] | Included in Derivative Assets on the consolidated balance sheet is $14,849,982 less accrued interest of $(3,467,360) for a total of $11,382,622. | |||
[3] | Included in Derivative Liabilities on the consolidated balance sheet is $6,614,876 plus accrued interest of $2,197,800 for a total of $8,812,676. | |||
[4] | Included in Derivative Liabilities on the consolidated balance sheet is $(7,506,798) plus accrued interest of $(1,101,411) for a total of $(8,608,209). | |||
[5] | Included in Linked Transactions on the consolidated balance sheet is security fair market value of $139,778,263, less repurchase agreements of $(113,363,873), plus net accrued interest of $280,701 for a total of $26,695,091. |
Derivatives_Details_4
Derivatives (Details 4) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | $1,045,000,000 | $1,446,000,000 | $246,612,695 |
Weighted Average Pay Rate | 1.48% | 1.62% | |
Weighted Average Receive Rate | 0.26% | 0.24% | |
Weighted Average Years to Maturity | 4 years 10 months 20 days | 5 years 5 months 19 days | |
2017 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 80,000,000 | 80,000,000 | |
Weighted Average Pay Rate | 0.87% | 0.86% | |
Weighted Average Receive Rate | 0.30% | 0.27% | |
Weighted Average Years to Maturity | 2 years 5 months 5 days | 2 years 8 months 5 days | |
2018 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 210,000,000 | 210,000,000 | |
Weighted Average Pay Rate | 1.05% | 1.05% | |
Weighted Average Receive Rate | 0.26% | 0.23% | |
Weighted Average Years to Maturity | 3 years 4 days | 3 years 3 months 4 days | |
2019 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 260,000,000 | 350,000,000 | |
Weighted Average Pay Rate | 1.27% | 1.39% | |
Weighted Average Receive Rate | 0.26% | 0.23% | |
Weighted Average Years to Maturity | 4 years 4 months 20 days | 4 years 7 months 2 days | |
2020 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 265,000,000 | 440,000,000 | |
Weighted Average Pay Rate | 1.95% | 1.61% | |
Weighted Average Receive Rate | 0.29% | 0.23% | |
Weighted Average Years to Maturity | 6 years 25 days | 5 years 2 months 26 days | |
2022 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 70,000,000 | 50,000,000 | |
Weighted Average Pay Rate | 1.75% | 1.69% | |
Weighted Average Receive Rate | 0.25% | 0.23% | |
Weighted Average Years to Maturity | 7 years 3 months 7 days | 7 years 8 months 5 days | |
2023 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | 160,000,000 | 278,000,000 | |
Weighted Average Pay Rate | 1.80% | 2.43% | |
Weighted Average Receive Rate | 0.20% | 0.23% | |
Weighted Average Years to Maturity | 6 years 4 months 17 days | 8 years 6 months 7 days | |
2024 [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Notional Amount | $38,000,000 | ||
Weighted Average Pay Rate | 2.75% | ||
Weighted Average Receive Rate | 0.23% | ||
Weighted Average Years to Maturity | 9 years 2 months 5 days |
Derivatives_Details_5
Derivatives (Details 5) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | $1,446,000,000 | ||
Ending Notional Amount | 1,045,000,000 | 246,612,695 | 1,446,000,000 |
Receivable/(Payable) to/from Broker | -1,258,715 | -4,015,152 | |
Derivative Asset | 4,031,370 | 11,382,622 | |
Derivative Liability | -8,812,676 | -8,608,209 | |
TBAs - Long [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 225,000,000 | 0 | |
Buys or Covers | 605,000,000 | 0 | |
Sales or Shorts | -650,000,000 | 0 | |
Ending Notional Amount | 180,000,000 | 0 | |
Fair Value as of Period End | 189,959,769 | 0 | |
Receivable/(Payable) to/from Broker | -187,792,969 | 0 | |
Derivative Asset | 2,166,800 | 0 | |
Derivative Liability | 0 | 0 | |
TBAs - Short [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 0 | 0 | |
Buys or Covers | 219,000,000 | 147,000,000 | |
Sales or Shorts | -219,000,000 | -147,000,000 | |
Ending Notional Amount | 0 | 0 | |
Fair Value as of Period End | 0 | 0 | |
Receivable/(Payable) to/from Broker | 0 | -109,414 | |
Derivative Asset | 0 | 118,205 | |
Derivative Liability | $0 | ($227,619) |
Derivatives_Details_6
Derivatives (Details 6) (USD $) | 3 Months Ended | ||||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |||
Linked Transaction Disclosure [Line Items] | |||||
Current Face | $1,045,000,000 | $246,612,695 | $1,446,000,000 | ||
Amortized Cost | 220,394,534 | ||||
Fair Value | 228,164,945 | ||||
Net Accrued Interest | 2,598,608 | 361,986 | 2,461,494 | ||
Net Interest Income | 28,866,087 | 27,996,153 | |||
Unrealized Gain/(Loss) | 0 | -386,168 | |||
Net Realized Gain/(Loss) | -132,389 | ||||
Amount Included in Statement of Operations | 4,126,741 | ||||
Weighted Average Coupon | 3.57% | ||||
Weighted Average Life | 5 years 6 months 25 days | ||||
Repurchase Agreement | 2,522,352,499 | 186,578,959 | 2,571,882,230 | ||
Weighted Average Interest Rate | 1.03% | 1.88% | 0.93% | ||
Weighted Average Years to Maturity | 1 month 28 days | ||||
Non-Agency Rmbs [Member] | |||||
Linked Transaction Disclosure [Line Items] | |||||
Current Face | 236,612,695 | ||||
Amortized Cost | 211,115,545 | ||||
Fair Value | 218,648,145 | ||||
Net Accrued Interest | 365,615 | ||||
Net Interest Income | 4,368,207 | ||||
Unrealized Gain/(Loss) | -377,808 | ||||
Net Realized Gain/(Loss) | 35,033 | ||||
Amount Included in Statement of Operations | 4,025,432 | ||||
Weighted Average Coupon | 3.70% | ||||
Weighted Average Life | 5 years 9 months 4 days | ||||
Repurchase Agreement | 180,103,626 | ||||
Weighted Average Interest Rate | 1.89% | ||||
Weighted Average Years to Maturity | 1 month 28 days | ||||
CMBS [Member] | |||||
Linked Transaction Disclosure [Line Items] | |||||
Current Face | 10,000,000 | ||||
Amortized Cost | 9,278,989 | ||||
Fair Value | 9,516,800 | ||||
Net Accrued Interest | -3,629 | ||||
Net Interest Income | 144,702 | ||||
Unrealized Gain/(Loss) | 124,029 | ||||
Net Realized Gain/(Loss) | -167,422 | ||||
Amount Included in Statement of Operations | 101,309 | ||||
Weighted Average Coupon | 0.40% | ||||
Weighted Average Life | 1 year 14 days | ||||
Repurchase Agreement | 6,475,333 | ||||
Weighted Average Interest Rate | 1.56% | ||||
Weighted Average Years to Maturity | 22 days | ||||
Linked Transactions [Member] | |||||
Linked Transaction Disclosure [Line Items] | |||||
Current Face | 0 | [1] | 150,836,900 | [1] | |
Fair Value | 139,778,263 | ||||
Net Accrued Interest | 100,000 | 280,701 | |||
Amount Included in Statement of Operations | $0 | $4,126,741 | |||
[1] | Represents the current face of the securities comprising linked transactions as of December 31, 2014. |
Derivatives_Details_Textual
Derivatives (Details Textual) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Linked transactions, net, at fair value | $0 | $26,695,091 | |
Linked Securities Fair Value | 228,164,945 | ||
Interest payable | 2,598,608 | 361,986 | 2,461,494 |
Derivative Assets Before Accrued Interest | 4,962,432 | 14,849,982 | |
Derivative Assets Accrued Interest | 931,062 | -3,467,360 | |
Derivative Assets, At Fair Value | 4,031,370 | 11,382,622 | |
Derivative Liabilities Before Accrued Interest | 6,614,876 | -7,506,798 | |
Derivative Liabilities Accrued Interest | 2,197,800 | -1,101,411 | |
Derivative Liabilities, At Fair Value | -8,812,676 | -8,608,209 | |
Net Realized Losses From Unlinking Of Linked Transactions | 200,000 | ||
Unrealized Gain (Loss) on Securities | 11,259,718 | 29,367,044 | |
Due to Correspondent Brokers | 1,258,715 | 4,015,152 | |
Proceeds From Collateral Transactions Against Pledged Assets | 1,200,000 | ||
Interest Receivable | 11,789,233 | 11,886,019 | |
Linked Transactions [Member] | |||
Derivative [Line Items] | |||
Repurchase Agreement Borrowing Security | -113,363,873 | ||
Linked transactions, net, at fair value | 26,695,091 | ||
Linked Securities Fair Value | 139,778,263 | ||
Interest payable | 100,000 | 280,701 | |
Interest Receivable | 400,000 | ||
Linked Transactions [Member] | Repurchase Agreements [Member] | |||
Derivative [Line Items] | |||
Pledged Assets Separately Reported, Other Assets Pledged as Collateral, at Fair Value | 139,600,000 | ||
Derivative [Member] | |||
Derivative [Line Items] | |||
Proceeds From Collateral Transactions Against Pledged Assets | 3,900,000 | ||
Derivative [Member] | Real Estate [Member] | |||
Derivative [Line Items] | |||
Pledged Assets Separately Reported, Real Estate Pledged as Collateral, at Fair Value | 6,000,000 | 7,200,000 | |
Non-Agency Rmbs [Member] | |||
Derivative [Line Items] | |||
Securities Held as Collateral, at Fair Value | 124,900,000 | 7,500,000 | |
Repurchase Agreement Borrowing Security | 113,400,000 | 6,400,000 | |
Linked Securities Fair Value | 218,648,145 | ||
Interest payable | 365,615 | ||
CMBS [Member] | |||
Derivative [Line Items] | |||
Securities Held as Collateral, at Fair Value | 14,900,000 | 12,700,000 | |
Repurchase Agreement Borrowing Security | 9,700,000 | ||
Linked Securities Fair Value | 9,516,800 | ||
Interest payable | -3,629 | ||
ABS [Member] | |||
Derivative [Line Items] | |||
Securities Held as Collateral, at Fair Value | 6,600,000 | ||
Repurchase Agreement Borrowing Security | 4,900,000 | ||
TBA [Member] | |||
Derivative [Line Items] | |||
Unrealized Gain (Loss) on Securities | 1,200,000 | ||
Unrealized Gain on Securities | 1,600,000 | ||
Unrealized Loss on Securities | 100,000 | ||
Due to Correspondent Brokers | 187,800,000 | 235,200,000 | |
Cash [Member] | Derivative [Member] | |||
Derivative [Line Items] | |||
Pledged Assets Separately Reported, Real Estate Pledged as Collateral, at Fair Value | $18,600,000 | $21,100,000 |
Earnings_per_Share_Details
Earnings per Share (Details) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Class of Warrant or Right [Line Items] | |||
Warrants | 1,007,500 | 1,007,500 | |
Common stock, shares outstanding | 28,387,615 | 28,386,015 | |
Restricted Stock [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Common stock, shares outstanding | 0 | 6,710 | |
Restricted Stock [Member] | Directors [Member] | |||
Class of Warrant or Right [Line Items] | |||
Common stock, shares outstanding | 0 | 2,500 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Common stock, shares outstanding | 60,000 | 0 |
Earnings_per_Share_Details_1
Earnings per Share (Details 1) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Numerator: | ||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $9,396,088 | $27,818,888 |
Denominator: | ||
Basic weighted average common shares outstanding (in shares) | 28,387,615 | 28,371,419 |
Dilutive effect of manager and director restricted stock, and restricted stock units (in shares) | 24,590 | 2,375 |
Dilutive weighted average common shares outstanding (in shares) | 28,412,205 | 28,373,794 |
Basic Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $0.33 | $0.98 |
Diluted Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $0.33 | $0.98 |
Income_Taxes_Details_Textual
Income Taxes (Details Textual) (USD $) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Excise Tax Expenses | $0.40 | $0.50 |
Related_Party_Transactions_Det
Related Party Transactions (Details Textual) (USD $) | 3 Months Ended | 0 Months Ended | 1 Months Ended | 0 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Jul. 06, 2011 | Jul. 31, 2014 | Jul. 06, 2014 | |
Related Party Transaction [Line Items] | |||||
Management fee to affiliate | $2,507,090 | $2,500,525 | |||
Noninterest Expense Directors Fees | 90,000 | ||||
Non Reimbursable expenses Incurred By Manager | $1,800,000 | $1,700,000 | |||
Management Fee Percentage | 1.50% | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 24 months | ||||
Ainsberg [Member] | |||||
Related Party Transaction [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested and Expected to Vest, Outstanding, Number | 500 | ||||
Manager Equity Incentive Plan [Member] | |||||
Related Party Transaction [Line Items] | |||||
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | 40,250 | ||||
Share-Based Compensation Arrangement By Share-Based Payment Award, Shares Issued In Period | 277,500 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 147,542 | ||||
Equity Incentive Plan [Member] | |||||
Related Party Transaction [Line Items] | |||||
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | 1,500 | ||||
Manager [Member] | July 1, 2017 [Member] | |||||
Related Party Transaction [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested and Expected to Vest, Outstanding, Number | 20,000 | ||||
Manager [Member] | Restricted Stock [Member] | |||||
Related Party Transaction [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 60,000 | ||||
Manager and Director [Member] | |||||
Related Party Transaction [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 46,750 |
Equity_Details
Equity (Details) (USD $) | 0 Months Ended | 3 Months Ended | |
Aug. 03, 2012 | Mar. 31, 2015 | Mar. 31, 2014 | |
Series A Preferred Stock [Member] | |||
Dividends Payable [Line Items] | |||
Declaration Date | 12-Feb-15 | 14-Feb-14 | |
Record Date | 27-Feb-15 | 28-Feb-14 | |
Payment Date | 17-Mar-15 | 17-Mar-14 | |
Preferred Stock, Dividend Rate, Percentage | 8.25% | 8.25% | 8.25% |
Preferred Stock Dividend Per Share | $0.52 | $0.52 | |
Series B Preferred Stock [Member] | |||
Dividends Payable [Line Items] | |||
Declaration Date | 12-Feb-15 | 14-Feb-14 | |
Record Date | 27-Feb-15 | 28-Feb-14 | |
Payment Date | 17-Mar-15 | 17-Mar-14 | |
Preferred Stock, Dividend Rate, Percentage | 8.00% | 8.00% | |
Preferred Stock Dividend Per Share | $0.50 | $0.50 | |
Common Stock [Member] | |||
Dividends Payable [Line Items] | |||
Declaration Date | 12-Mar-15 | 5-Mar-14 | |
Record Date | 23-Mar-15 | 18-Mar-14 | |
Payment Date | 30-Apr-15 | 28-Apr-14 | |
Common Stock Dividend Per Share | $0.60 | $0.60 |
Equity_Details_Textual
Equity (Details Textual) (USD $) | 1 Months Ended | 0 Months Ended | 3 Months Ended | 0 Months Ended | 3 Months Ended | 1 Months Ended | |||
In Millions, except Share data, unless otherwise specified | Jan. 24, 2012 | Dec. 26, 2012 | Aug. 15, 2012 | Sep. 06, 2012 | Mar. 31, 2015 | Aug. 03, 2012 | Mar. 31, 2014 | Sep. 27, 2012 | Jul. 13, 2012 |
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 5,000,000 | ||||||||
Proceeds from issuance of common stock | $109.30 | ||||||||
Offering costs paid | 5.3 | ||||||||
Proceeds From Issuance Of Common Stock Net | 104 | ||||||||
Capital Available For Issuance | 549.5 | 1,000 | |||||||
Public Offering [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 3,750,000 | 6,000,000 | |||||||
Sale of Stock, Price Per Share | $24.33 | ||||||||
Proceeds from issuance of common stock | 91.2 | 160.7 | |||||||
Proceeds From Issuance Of Common Stock Net | 87.5 | 152.7 | |||||||
Sale Agents [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 3,000,000 | 1,254,854 | |||||||
Proceeds From Issuance Of Common Stock Net | 31.3 | ||||||||
Series A Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $25 | ||||||||
Dividend | 8.25% | 8.25% | 8.25% | ||||||
Series A Cumulative Redeemable Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Proceeds from issuance of common stock | 51.8 | ||||||||
Proceeds From Issuance Of Common Stock Net | 49.9 | ||||||||
Series A Cumulative Redeemable Preferred Stock [Member] | Public Offering [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 1,800,000 | ||||||||
Dividend | 8.25% | ||||||||
Series B Cumulative Redeemable Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 4,000,000 | ||||||||
Proceeds from issuance of common stock | 115 | ||||||||
Proceeds From Issuance Of Common Stock Net | $111.30 | ||||||||
Dividend | 8.00% | ||||||||
Series B Preferred Stocks [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $25 | ||||||||
Dividend | 8.00% | ||||||||
Private Placement [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Sale of Stock, Price Per Share | $20 | ||||||||
Sale of Stock, Number of Shares Issued in Transaction | 3,205,000 | ||||||||
Class of Warrant or Right, Number of Securities Called by Each Warrant or Right | 0.5 | ||||||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $20.50 | ||||||||
Underwriters Over-Allotment Option [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 750,000 | 900,000 | |||||||
Sale of Stock, Price Per Share | $19 | $23.29 | |||||||
Underwriters Over-Allotment Option [Member] | Series A Cumulative Redeemable Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 270,000 | ||||||||
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $25 | ||||||||
Underwriters Over-Allotment Option [Member] | Series B Cumulative Redeemable Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Stock Issued During Period Shares New Issues | 600,000 | ||||||||
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $25 |