Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | Apr. 29, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | AG Mortgage Investment Trust, Inc. | |
Entity Central Index Key | 1,514,281 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | MITT | |
Entity Common Stock, Shares Outstanding | 28,171,240 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||
Residential mortgage loans, at fair value -$50,650,246 and $50,686,922 pledged as collateral, respectively | $ 56,709,105 | $ 57,080,227 |
Commercial loans, at fair value - $62,800,000 pledged as collateral | 84,800,000 | 72,800,000 |
U.S. Treasury securities, at fair value - $432,376,875 and $203,520,859 pledged as collateral, respectively | 432,376,875 | 223,434,922 |
Investments in debt and equity of affiliates | 40,450,755 | 43,040,191 |
Excess mortgage servicing rights, at fair value | 383,843 | 425,311 |
Cash and cash equivalents | 40,692,737 | 46,253,291 |
Restricted cash | 44,053,892 | 32,200,558 |
Interest receivable | 11,175,814 | 11,154,785 |
Derivative assets, at fair value | 419,340 | 1,755,467 |
Other assets | 15,959,515 | 16,064,115 |
Due from broker | 1,108,986 | 24,904,168 |
Total Assets | 3,281,055,422 | 3,164,076,232 |
Liabilities | ||
Repurchase agreements | 2,556,916,200 | 2,034,963,460 |
FHLBC advances | 0 | 396,894,000 |
Securitized debt, at fair value | 28,256,689 | 30,046,861 |
Loan participation payable, at fair value | 1,800,000 | 0 |
Payable on unsettled trades | 1,238,947 | 1,198,587 |
Interest payable | 3,008,330 | 2,731,846 |
Derivative liabilities, at fair value | 23,071,439 | 6,863,770 |
Dividend payable | 13,423,355 | 13,496,139 |
Due to affiliates | 4,273,803 | 4,407,051 |
Accrued expenses | 1,696,903 | 2,074,628 |
Taxes payable | 579,716 | 1,714,716 |
Due to broker | 533,263 | 2,740,461 |
Total Liabilities | 2,634,798,645 | 2,497,131,519 |
Stockholders' Equity | ||
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,168,928 and 28,286,210 shares issued and outstanding at March 31, 2016 and December 31, 2015, respectively | 281,690 | 282,863 |
Additional paid-in capital | 583,130,368 | 584,581,995 |
Retained earnings/(deficit) | (98,369,286) | (79,134,150) |
Total Stockholders' Equity | 646,256,777 | 666,944,713 |
Total Liabilities & Stockholders' Equity | 3,281,055,422 | 3,164,076,232 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock, value | 49,920,772 | 49,920,772 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock, value | 111,293,233 | 111,293,233 |
Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 1,183,120,918 | 1,201,441,652 |
Non-Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 1,158,092,784 | 1,229,811,018 |
ABS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 64,643,140 | 54,761,837 |
CMBS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 147,067,718 | $ 148,948,690 |
Investments in debt and equity of affiliates | $ 1,400,000 |
Consolidated Balance Sheets _Pa
Consolidated Balance Sheets [Parenthetical] - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
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 | 28,168,928 | 28,286,210 |
Common stock, shares outstanding | 28,168,928 | 28,286,210 |
U.S. Treasury securities, at fair value pledged as collateral (in dollars) | $ 432,376,875 | $ 203,520,859 |
Residential mortgage loans [Member] | ||
Loans Pledged as Collateral (in dollars) | 50,650,246 | 50,686,922 |
Commercial loans [Member] | ||
Loans Pledged as Collateral (in dollars) | 62,800,000 | 62,800,000 |
Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 1,085,517,634 | 1,133,899,693 |
Non-Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 1,112,048,620 | 1,157,357,871 |
ABS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 64,643,140 | 54,761,837 |
CMBS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | $ 143,567,705 | $ 142,852,162 |
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 Oper
Consolidated Statements of Operations - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net Interest Income | ||
Interest income | $ 30,697,158 | $ 36,380,265 |
Interest expense | 8,560,299 | 7,514,178 |
Interest Income (Expense), Net | 22,136,859 | 28,866,087 |
Other Income | ||
Net realized gain/(loss) | (12,986,658) | (9,649,926) |
Realized loss on periodic interest settlements of derivative instruments, net | (2,377,775) | (3,461,227) |
Unrealized gain/(loss) on real estate securities and loans, net | 8,840,770 | 11,259,718 |
Unrealized gain/(loss) on derivative and other instruments, net | (11,956,002) | (8,920,798) |
Total other income (loss) | (18,479,665) | (10,772,233) |
Expenses | ||
Management fee to affiliate | 2,450,143 | 2,507,090 |
Other operating expenses | 3,046,812 | 3,077,998 |
Servicing fees | 104,979 | 174,999 |
Equity based compensation to affiliate | 54,971 | 76,680 |
Excise tax | 375,000 | 375,000 |
Total expenses | 6,031,905 | 6,211,767 |
Income/(loss) before equity in earnings/(loss) from affiliates | (2,374,711) | 11,882,087 |
Equity in earnings/(loss) from affiliates | (69,716) | 881,355 |
Net Income/(Loss) | (2,444,427) | 12,763,442 |
Dividends on preferred stock | 3,367,354 | 3,367,354 |
Net Income/(Loss) Available to Common Stockholders | $ (5,811,781) | $ 9,396,088 |
Earnings/(Loss) Per Share of Common Stock | ||
Basic (in dollars per share) | $ (0.21) | $ 0.33 |
Diluted (in dollars per share) | $ (0.21) | $ 0.33 |
Weighted Average Number of Shares of Common Stock Outstanding | ||
Basic (in shares) | 28,271,930 | 28,387,615 |
Diluted (in shares) | 28,271,930 | 28,412,205 |
Consolidated Statements of Stoc
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, 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 | |||||
Balance at Dec. 31, 2015 | 666,944,713 | $ 282,863 | 49,920,772 | 111,293,233 | 584,581,995 | (79,134,150) |
Balance (in shares) at Dec. 31, 2015 | 28,286,210 | |||||
Repurchase of common stock | (1,537,735) | $ (1,196) | 0 | 0 | (1,536,539) | 0 |
Repurchase of common stock (in shares) | (119,606) | |||||
Grant of restricted stock and amortization of equity based compensation | 84,935 | $ 23 | 0 | 0 | 84,912 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | 2,324 | |||||
Common dividends declared | (13,423,355) | $ 0 | 0 | 0 | 0 | (13,423,355) |
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) | (2,444,427) | 0 | 0 | 0 | 0 | (2,444,427) |
Balance at Mar. 31, 2016 | $ 646,256,777 | $ 281,690 | $ 49,920,772 | $ 111,293,233 | $ 583,130,368 | $ (98,369,286) |
Balance (in shares) at Mar. 31, 2016 | 28,168,928 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ (2,444,427) | $ 12,763,442 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | 2,325,974 | 5,491,860 |
Net realized (gain)/loss | 12,986,658 | 9,649,926 |
Unrealized (gains)/losses on real estate securities and loans, net | (8,840,770) | (11,259,718) |
Unrealized (gains)/losses on derivative and other instruments, net | 11,956,002 | 8,920,798 |
Equity based compensation to affiliate | 54,971 | 76,680 |
Equity based compensation expense | 29,964 | 29,973 |
Change in operating assets/liabilities: | ||
Interest receivable | (21,029) | 490,583 |
Other assets | 386,237 | 276,995 |
Due from broker | (57,492) | (239,144) |
Interest payable | (81,489) | (1,417,363) |
Due to affiliates | (133,248) | (434,441) |
Accrued expenses | (377,725) | 91,565 |
Taxes payable | (1,135,000) | (1,147,325) |
Net cash provided by (used in) operating activities | 14,648,626 | 23,293,831 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (19,691,051) | (270,027,414) |
Origination of commercial loans | (10,428,437) | 0 |
Purchase of U.S. treasury securities | (358,417,649) | (356,445,072) |
Investments in debt and equity of affiliates | (847,210) | (12,150,900) |
Proceeds from sale of real estate securities | 29,872,376 | 326,102,175 |
Proceeds from sale of residential mortgage loans | 23,267,693 | 0 |
Proceeds from sales of U.S. treasury securities | 155,434,431 | 280,406,573 |
Distribution received from investments in debt and equity of affiliates | 308,492 | 6,093 |
Principal repayments on real estate securities | 69,516,938 | 101,246,269 |
Principal repayments on residential mortgage loans | 326,292 | 1,858,700 |
Net proceeds from (payment made) on reverse repurchase agreements | 0 | (25,132,464) |
Net proceeds from (payment made) on sales of securities borrowed under reverse repurchase agreements | 0 | 24,015,493 |
Net settlement of interest rate swaps | (2,893,517) | (12,095,409) |
Net settlement of TBAs | 205,664 | 2,155,078 |
Cash flows provided by (used in) other investing activities | 174,139 | 1,548,985 |
Restricted cash provided by (used in) investing activities | (1,144,043) | 11,496,435 |
Net cash provided by (used in) investing activities | (114,315,882) | 72,984,542 |
Cash Flows from Financing Activities | ||
Repurchase of common stock | (2,736,322) | 0 |
Borrowings under repurchase agreements | 25,749,833,423 | 7,248,785,207 |
Borrowings under FHLBC advances | 147,215,991 | 0 |
Repayments of repurchase agreements | (25,227,880,683) | (7,336,489,795) |
Repayments of FHLBC advances | (544,109,991) | 0 |
Proceeds from transfer of loan participation | 1,564,266 | 0 |
Net collateral received from (paid to) derivative counterparty | (13,538,936) | (11,862,625) |
Net collateral received from (paid to) repurchase counterparty | 622,447 | 1,431,981 |
Dividends paid on common stock | (13,496,139) | (17,031,609) |
Dividends paid on preferred stock | (3,367,354) | (3,367,354) |
Net cash provided by (used in) financing activities | 94,106,702 | (118,534,195) |
Net change in cash and cash equivalents | (5,560,554) | (22,255,822) |
Cash and cash equivalents, Beginning of Period | 46,253,291 | 64,363,514 |
Cash and cash equivalents, End of Period | 40,692,737 | 42,107,692 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on repurchase agreements and FHLBC advances | 7,877,486 | 7,156,994 |
Cash paid for income tax | 1,563,625 | 1,522,625 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 13,423,355 | 17,032,569 |
Decrease of securitized debt | 1,713,596 | 1,810,119 |
Transfer from residential mortgage loans to other assets | 717,815 | 1,002,533 |
Transfer from investments in debt and equity of affiliates to CMBS | 3,103,111 | 0 |
Transfer from Linked Transactions to real estate securities | 0 | 139,778,263 |
Transfer from Linked Transactions to repurchase agreements | $ 0 | $ 113,363,873 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2016 | |
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 entity such as Fannie Mae or Freddie Mac (collectively, “GSEs”), 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 entity 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” or “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 residential and commercial 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 Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | 2. Summary of Significant Accounting Policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair presentation for the interim period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash 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, 2016 and December 31, 2015, the Company held no cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of “Cash and cash equivalents” on the consolidated balance sheet. 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 includes cash pledged as collateral for clearing and executing trades, derivatives and repurchase agreements and is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or repurchase agreement. Restricted cash is carried at cost, which approximates fair value. 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. 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. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. 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. Investments in real estate securities are recorded in accordance with ASC 320-10, “Investments Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” 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 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 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 an investment security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the 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, 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 include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows 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 on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any unrealized losses on securities at March 31, 2016 do not represent other than temporary impairment 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. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. 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. 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. 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, “Accounting Changes and Error Corrections” 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. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities and loans. These underlying entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. As of March 31, 2016 and December 31, 2015, these investments had a fair market value of $ 56.8 62.2 In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, formed Arc Home LLC (“Arc Home”) to originate conforming, FHA, Jumbo and non-qualifying residential mortgage loans (“non-QM”). The Company invests in Arc Home through AG Arc LLC, one of its subsidiaries (“AG Arc”), and has chosen to make a fair value election on AG Arc pursuant to ASC 825. As of March 31, 2016 and December 31, 2015, AG Arc had a fair market value of $ 0.3 (0.3) In January 2016, Arc Home entered into a definitive agreement to acquire a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 46 states. Arc Home is currently working to secure approval of the acquisition from the GSEs, FHA, VA, Ginnie Mae and various state licensing authorities, which is required prior to closing the transaction. The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheet in the “Investments in debt and equity of affiliates” line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations 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. 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.” 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. See Note 3 for more detail. In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810): Amendments to the Consolidation Analysis.” This standard modifies existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The company adopted ASU 2015-02 on January 1, 2016 using the modified retrospective approach, which did not require the restatement of prior periods to conform to the post-adoption presentation. The Company concluded the adoption of this guidance did not have a material impact on its financial statements. 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 transfers assets to a third party. 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 salelegal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred controlan 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. On February 12, 2016, the Company originated a $ 12.0 1.8 representing the transfer of the participation interest. The Company has chosen to make a fair value election on the consolidated interest pursuant to ASC 825. The holder of the participation interest has no recourse to the general credit of the Company. See Note 4 for more detail. 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 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 or ASC 325-40 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 premiums on its 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. The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Prior to March 31, 2016, the Company also financed its Agency RMBS portfolio with advances from the Federal Home Loan Bank of Cincinnati (“FHLBC Advances”) (see the following paragraph regarding the current status of the FHLBC Advances). Repurchase agreements are, and while the Company had them, FHLBC Advances were treated as collateralized financing transactions and carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and FHLBC Advances approximates fair value. In July 2015, the Company’s wholly-owned captive insurance subsidiary, MITT Insurance Company LLC (“MITT Insurance”), was granted membership in the Federal Home Loan Bank (“FHLB”) system, specifically in the FHLB of Cincinnati (“FHLBC”). However, in January 2016, the Federal Housing Finance Agency, the FHFA, issued RIN 2590-AA39, Members of Federal Home Loan Banks (“the Final Rule”), which expressly excludes captive insurance companies, such as MITT Insurance (“Excluded Captives”), from being eligible for membership in the FHLBC. The Final Rule prevents the FHLBC from making any new advances or extending any existing advances to Excluded Captives. In addition, upon the termination of membership, the FHLB must liquidate all outstanding advances to Excluded Captives, settle all other business transactions, and repurchase or redeem all FHLB stock held by the terminated Excluded Captive in accordance with the Final Rule. Therefore, MITT Insurance, along with all other Excluded Captives, must completely wind down all business relationships with the FHLB, including the repayment of all outstanding advances, prior to or simultaneously with the termination of MITT Insurance’s membership with the FHLBC where it is a member. As a result of the Final Rule, MITT Insurance exited all FHLBC Advances and as of March 31, 2016, the Company had no outstanding advances with the FHLBC. 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, 2016 and December 31, 2015, the Company has met all margin call requirements. The Company's subsidiary, MITT Insurance, is a member of, and owns capital stock in the FHLBC. The FHLBC provided MITT Insurance with financing for its Agency RMBS portfolio, but due to the Final Rule, as of March 31, 2016, the Company has no outstanding advances with the FHLBC. The amount of FHLBC Advances is included in the “FHLBC advances" line item on the Company's consolidated balance sheets. Although the FHLBC no longer provides MITT Insurance with financing, MITT Insurance remains a member of the FHLBC and at March 31, 2016 and December 31, 2015 the Company owned FHLBC stock totaling $ 8.0 0.1 record any dividend income for the three months ended March 31, 2015 as it did not own 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, 2016 and December 31, 2015, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis. When the Company unwinds a derivative, it records a realized gain/(loss) in the period in which it was generated in the “Net realized gain/(loss)” line item in the consolidated statement of operations. 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 R |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 and December 31, 2015. 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, Freddie Mac or Ginnie Mae. 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 entity. Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 761,491,586 $ 32,645,952 $ 794,137,538 $ 17,390,556 $ (159,788) $ 811,368,306 3.76 % 3.03 % Fixed Rate CMO 73,624,178 617,181 74,241,359 2,544,359 - 76,785,718 3.00 % 2.80 % ARM 240,552,349 (2,643,704) 237,908,645 8,293,644 - 246,202,289 2.36 % 2.80 % Interest Only 499,337,856 (450,533,308) 48,804,548 1,310,373 (1,350,316) 48,764,605 2.64 % 5.67 % Credit Securities: Non-Agency RMBS 1,327,740,329 (178,805,795) 1,148,934,534 19,176,297 (14,070,327) 1,154,040,504 4.19 % 5.42 % Non-Agency RMBS Interest Only 447,889,359 (443,022,963) 4,866,396 - (814,116) 4,052,280 0.14 % -4.62 % ABS 66,836,631 (451,545) 66,385,086 11,735 (1,753,681) 64,643,140 5.13 % 5.29 % CMBS 210,670,298 (76,184,028) 134,486,270 250,883 (4,796,303) 129,940,850 5.21 % 6.15 % CMBS Interest Only 1,644,448,246 (1,627,839,870) 16,608,376 648,852 (130,360) 17,126,868 0.21 % 6.43 % Total $ 5,272,590,832 $ (2,746,218,080) $ 2,526,372,752 $ 49,626,699 $ (23,074,891) $ 2,552,924,560 2.27 % 4.36 % (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 782,276,607 $ 34,905,903 $ 817,182,510 $ 6,674,932 $ (3,720,150) $ 820,137,292 3.76 % 3.10 % Fixed Rate CMO 76,098,478 672,376 76,770,854 1,254,658 - 78,025,512 3.00 % 2.81 % ARM 248,169,781 (2,658,877) 245,510,904 4,298,463 - 249,809,367 2.37 % 2.84 % Interest Only 522,058,244 (468,676,886) 53,381,358 2,226,513 (2,138,390) 53,469,481 2.70 % 7.56 % Credit Securities: Non-Agency RMBS 1,395,179,483 (183,015,256) 1,212,164,227 23,555,968 (11,462,911) 1,224,257,284 4.17 % 5.56 % Non-Agency RMBS Interest Only 465,387,354 (459,897,579) 5,489,775 351,842 (287,883) 5,553,734 0.12 % 11.05 % ABS 56,264,253 (353,693) 55,910,560 236,424 (1,385,147) 54,761,837 5.26 % 5.62 % CMBS 224,844,665 (89,380,593) 135,464,072 789,264 (1,382,362) 134,870,974 5.15 % 6.28 % CMBS Interest Only 1,138,848,526 (1,124,644,529) 14,203,997 37,717 (163,998) 14,077,716 0.25 % 6.67 % Total $ 4,909,127,391 $ (2,293,049,134) $ 2,616,078,257 $ 39,425,781 $ (20,540,841) $ 2,634,963,197 2.52 % 4.55 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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. Less than 12 months Greater than 12 months As of Fair Value Unrealized Fair Value Unrealized March 31, 2016 $ 554,413,241 $ (16,171,213) $ 177,554,837 $ (6,903,678) December 31, 2015 905,669,623 (13,906,215) 154,287,673 (6,634,626) 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, 2016 the Company recognized OTTI charges of $ 9.2 9.2 5.1 2.7 2.7 1.1 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 the investments for regulatory or other reasons. Unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 were not due to credit losses given their explicit guarantee of principal and interest by either an agency of the U.S. government of a Agency RMBS (1) Agency IO Credit Securities (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 68,285,349 $ 69,746,379 4.48 % Greater than one year and less than or equal to five years 148,398,000 143,439,546 2.74 % 38,804,841 38,885,566 2.38 % 526,770,684 529,787,755 1.04 % Greater than five years and less than or equal to ten years 985,958,313 962,847,996 3.49 % 9,959,764 9,918,982 4.90 % 525,375,510 525,111,391 2.15 % Greater than ten years - - - - - - 249,372,099 246,635,137 5.92 % Total $ 1,134,356,313 $ 1,106,287,542 3.39 % $ 48,764,605 $ 48,804,548 2.64 % $ 1,369,803,642 $ 1,371,280,662 1.88 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit 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 broken out by Agency RMBS, Agency IO and Credit Securities as of December 31, 2015: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 61,279,492 $ 62,031,034 4.92 % Greater than one year and less than or equal to five years 8,855,191 8,698,829 2.53 % 35,583,940 36,517,583 2.19 % 465,361,086 465,420,736 1.20 % Greater than five years and less than or equal to ten years 1,130,350,078 1,122,059,484 3.39 % 17,885,541 16,863,775 5.33 % 602,483,200 599,969,280 2.21 % Greater than ten years 8,766,902 8,705,955 4.11 % - - - 304,397,767 295,811,581 5.71 % Total $ 1,147,972,171 $ 1,139,464,268 3.39 % $ 53,469,481 $ 53,381,358 2.70 % $ 1,433,521,545 $ 1,423,232,631 2.18 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit 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, 2016, the Company sold 6 29.9 41,181 1.4 For the three months ended March 31, 2015, the Company sold 18 326.1 5.5 0.8 See Notes 4 and 7 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. 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 an 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. See 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, 2016 and December 31, 2015, the resecuritized asset had an aggregate principal balance of $ 37.9 40.0 34.9 37.1 28.7 30.4 28.3 30.0 5.21 5.32 6.06 6.14 28.3 30.0 3.38 4.04 3.11 3.67 |
Loans
Loans | 3 Months Ended |
Mar. 31, 2016 | |
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 34.9 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 5.7 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 44.0 Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 77,639,271 $ (23,464,440) $ 54,174,831 $ 2,534,274 $ - $ 56,709,105 5.45 % 9.24 % 5.27 (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). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2015: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 78,834,774 $ (24,413,319) $ 54,421,455 $ 2,658,772 $ - $ 57,080,227 5.46 % 8.70 % 5.58 (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). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. March 31, 2016 December 31, 2015 Loan Type Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 43,091,272 $ 55,830,445 $ 43,152,987 $ 56,424,387 Non-Performing 13,617,833 21,808,826 13,927,240 22,410,387 $ 56,709,105 $ 77,639,271 $ 57,080,227 $ 78,834,774 As described in Note 2, the Company evaluates loans for OTTI on at least a quarterly basis. The determination of whether a loan is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a loan is less than its amortized cost at the balance sheet date, the loan is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” No OTTI was recorded on loans for the three months ended March 31, 2016 or March 31, 2015. Concentration of Credit Risk March 31, 2016 December 31, 2015 Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% 93 % 95 % Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: New York 19 % 20 % California 9 % 9 % Florida 6 % 6 % 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, 2016 and March 31, 2015, respectively: Three Months Ended March 31, 2016 March 31, 2015 Beginning Balance $ 24,216,638 $ 38,008,263 Additions - - Accretion (1,104,027) (1,865,295) Reclassifications from/(to) non-accretable difference 154,405 4,356,113 Disposals (103,869) (1,041,317) Ending Balance $ 23,163,147 $ 39,457,764 As of March 31, 2016, the Company’s residential mortgage loan portfolio is comprised of 385 conventional loans with original loan balances between $ 9,000 1.1 Commercial Loans Gross Unrealized (1) Weighted Average Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan A (2) $ 30,000,000 $ (26,196) $ 29,973,804 $ 26,196 $ - $ 30,000,000 6.69 % 8.53 % 0.19 June 5, 2017 June 5, 2019 FL Loan B (3) 32,800,000 (14,560) 32,785,440 14,560 - 32,800,000 5.19 % 5.75 % 0.27 July 1, 2016 July 1, 2019 TX Loan C (4) 10,000,000 (22,173) 9,977,827 22,173 - 10,000,000 13.44 % 15.41 % 0.85 February 1, 2017 February 1, 2018 NY Loan D (5) 12,000,000 (1,374,502) 10,625,498 1,374,502 - 12,000,000 10.44 % 15.11 % 0.88 February 11, 2017 August 11, 2017 NY $ 84,800,000 $ (1,437,431) $ 83,362,569 $ 1,437,431 $ - $ 84,800,000 7.44 % 9.20 % 0.40 (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). (2) Loan A is comprised of a first mortgage and mezzanine loan of $ 20.0 10.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C is a mezzanine loan. (5) Loan D is a first mortgage loan. See below for further information. (6) Each commercial loan investment has a variable coupon rate. (7) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (8) The Company has the contractual right to receive a balloon payment. In February 2016, the Company originated a $ 12.0 15.0 1.8 Gross Unrealized (1) Weighted Average Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan A (2) $ 30,000,000 $ (70,981) $ 29,929,019 $ 70,981 $ - $ 30,000,000 6.52 % 8.50 % 0.44 June 5, 2017 June 5, 2019 FL Loan B (3) 32,800,000 (38,441) 32,761,559 38,441 - 32,800,000 5.02 % 5.72 % 0.52 July 1, 2016 July 1, 2019 TX Loan C (4) 10,000,000 (29,607) 9,970,393 29,607 - 10,000,000 13.50 % 16.13 % 1.19 February 1, 2017 February 1, 2018 NY $ 72,800,000 $ (139,029) $ 72,660,971 $ 139,029 $ - $ 72,800,000 6.80 % 8.30 % 0.58 (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). (2) Loan A is comprised of a first mortgage and mezzanine loan of $ 20.0 10.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C is a mezzanine loan. (5) Each commercial loan investment has a variable coupon rate. (6) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (7) The Company has the contractual right to receive a balloon payment. During the three months ended March 31, 2016 the Company recorded $ 0.1 0.3 |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2016 | |
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, and derivatives 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 and loan participation 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. 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 Company entered into a resecuritization transaction that resulted in the Company consolidating a VIE created with the SPE which was used to facilitate the transaction. The Company categorizes the fair value measurement of the consolidated tranche as Level 2. In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, formed Arc Home to originate conforming, FHA, Jumbo and non-QM loans. The Company invests in Arc Home through AG Arc. The Company categorizes the fair value measurement of AG Arc as Level 1. In 12.0 15 As a condition to membership in the FHLBC, members are required to purchase and hold a certain amount of FHLBC stock, which is considered a non-marketable, long-term investment. Because this stock can only be transacted at its par value, and only to the FHLBC, the Manager believes cost approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3. As part of the Final Rule mentioned previously, the Company will have to sell back all of its FHLBC stock by February 19, 2017. Fair Value at March 31, 2016 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 811,368,306 $ - $ 811,368,306 Fixed Rate CMO - 76,785,718 - 76,785,718 ARM - 246,202,289 - 246,202,289 Interest Only - 48,764,605 - 48,764,605 Credit Investments: Non-Agency RMBS - 394,035,740 760,004,764 1,154,040,504 Non-Agency RMBS Interest Only - - 4,052,280 4,052,280 ABS - - 64,643,140 64,643,140 CMBS - 42,960,845 86,980,005 129,940,850 CMBS Interest Only - - 17,126,868 17,126,868 Residential mortgage loans - - 56,709,105 56,709,105 Commercial loans - - 84,800,000 84,800,000 U.S. Treasury securities 432,376,875 - - 432,376,875 Excess mortgage servicing rights - - 383,843 383,843 Derivative assets - 419,340 - 419,340 FHLBC stock - - 8,015,900 8,015,900 AG ARC 302,495 - - 302,495 Total Assets Carried at Fair Value $ 432,679,370 $ 1,620,536,843 $ 1,082,715,905 $ 3,135,932,118 Liabilities: Securitized debt $ - $ - $ (28,256,689) $ (28,256,689) Loan participation payable - - (1,800,000) (1,800,000) Derivative liabilities - (23,071,439) - (23,071,439) Total Liabilities Carried at Fair Value $ - $ (23,071,439) $ (30,056,689) $ (53,128,128) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2015. Fair Value at December 31, 2015 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 820,137,292 $ - $ 820,137,292 Fixed Rate CMO - 78,025,512 - 78,025,512 ARM - 249,809,367 - 249,809,367 Interest Only - 53,469,481 - 53,469,481 Credit Investments: Non-Agency RMBS - 772,579,324 451,677,960 1,224,257,284 Non-Agency RMBS Interest Only - - 5,553,734 5,553,734 ABS - - 54,761,837 54,761,837 CMBS - 43,846,556 91,024,418 134,870,974 CMBS Interest Only - - 14,077,716 14,077,716 Residential mortgage loans - - 57,080,227 57,080,227 Commercial loans - - 72,800,000 72,800,000 U.S. Treasury securities 223,434,922 - - 223,434,922 Excess mortgage servicing rights - - 425,311 425,311 Derivative assets - 1,755,467 - 1,755,467 FHLBC stock - - 8,015,900 8,015,900 AG ARC (316,580) - - (316,580) Total Assets Carried at Fair Value $ 223,118,342 $ 2,019,622,999 $ 755,417,103 $ 2,998,158,444 Liabilities: Securitized debt $ - $ (30,046,861) $ - $ (30,046,861) Derivative liabilities - (6,863,770) - (6,863,770) Total Liabilities Carried at Fair Value $ - $ (36,910,631) $ - $ (36,910,631) 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, 2016 and March 31, 2015. Three Months Ended March 31, 2016 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess FHLBC Stock Securitized Loan Beginning balance $ 451,677,960 $ 5,553,734 $ 54,761,837 $ 91,024,418 $ 14,077,716 $ 57,080,227 $ 72,800,000 $ 425,311 $ 8,015,900 $ - $ - Transfers (1): Transfers into level 3 341,075,247 - - - - - - - - (30,046,861) - Transfers out of level 3 - - - - - - - - - - - Purchases/transfers (2) 6,724,062 - 11,198,203 - 29,884 - 10,428,437 - - - (1,564,266) Reclassification of security type (3) - - - - 3,103,111 - - - - - - Proceeds from sales (7,494,697) - - - - - - - - - - Proceeds from settlement (22,910,622) - (627,620) (920,368) - (326,292) - (41,468) - 1,713,596 - Total net gains/(losses) (4) Included in net income (9,067,186) (1,501,454) (689,280) (3,124,045) (83,843) (44,830) 1,571,563 - - 76,576 (235,734) Included in other comprehensive income (loss) - - - - - - - - - - - Ending Balance $ 760,004,764 $ 4,052,280 $ 64,643,140 $ 86,980,005 $ 17,126,868 $ 56,709,105 $ 84,800,000 $ 383,843 $ 8,015,900 $ (28,256,689) $ (1,800,000) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2016 (5) $ (4,319,506) $ (1,007,267) $ (551,022) $ (2,794,125) $ (83,843) $ (44,830) $ 1,571,563 $ - $ - $ 76,576 $ (235,734) (1) Transfers are assumed to occur at the beginning of the period. (2) Transfers represent proceeds from transfer of loan participation. (3) Represents a reclassification from investments in debt and equity of affiliates. (4) 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 $ (7,225,630) Unrealized gain/(loss) on derivative and other instruments, net (159,158) Net realized gain/(loss) (5,713,445) Total $ (13,098,233) (5) 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 $ (7,229,030) Unrealized gain/(loss) on derivative and other instruments, net (159,158) Total $ (7,388,188) Three Months Ended March 31, 2015 Non-Agency Non-Agency ABS CMBS CMBS Interest Only Residential Commercial Excess Linked 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 71,926,246 2,219,890 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 $ 507,325,282 $ 2,219,890 $ 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) 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 Interest income (16,933) Total $ 4,066,879 (4) 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 During the three months ended March 31, 2016, the Company transferred 29 Non-Agency RMBS securities and its securitized debt instrument with a total fair market value of $ 341.1 30.0 Fair Value at Range Asset Class March 31, 2016 Valuation Technique Unobservable Input (Weighted Average) Yield -1.46% - 21.14% (5.54%) Non-Agency RMBS $ 760,004,764 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (6.69%) Projected Collateral Losses 0.00% - 38.00% (8.45%) Projected Collateral Severities 0.00% - 100.00% (46.78%) Yield -28.45% - 10.18% (-23.58%) Non-Agency RMBS $ 4,052,280 Discounted Cash Flow Projected Collateral Prepayments 25.00% - 25.00% (25.00%) Interest Only Projected Collateral Losses 1.00% - 1.00% (1.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 2.45% - 7.02% (5.29%) ABS $ 64,643,140 Discounted Cash Flow Projected Collateral Prepayments 1.50% - 100.00% (77.58%) Projected Collateral Losses 0.00% - 8.30% (5.85%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 3.53% - 17.94% (5.61%) CMBS $ 86,980,005 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (0.53%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 3.43% - 11.30% (6.43%) CMBS Interest Only $ 17,126,868 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.96% - 43.37% (9.24%) Residential Mortgage Loans $ 56,709,105 Discounted Cash Flow Projected Collateral Prepayments 4.31% - 7.92% (6.86%) Projected Collateral Losses 7.78% - 11.67% (10.15%) Projected Collateral Severities 28.95% - 38.94% (35.22%) Yield 5.75% - 24.18% (9.20%) Commercial Loans $ 84,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 13 bps (7 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) Excess Mortgage Servicing Rights $ 383,843 Discounted Cash Flow Yield 5.94% - 7.67% (6.15%) FHLBC stock $ 8,015,900 ** Yield 4.00% - 4.00% (4.00%) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.11% - 3.11% (3.11%) Securitized debt $ (28,256,689) Discounted Cash Flow Projected Collateral Prepayments 12.00% - 12.00% (12.00%) Projected Collateral Losses 5.50% - 5.50% (5.50%) Projected Collateral Severities 43.00% - 43.00% (43.00%) Yield 24.18% - 24.18% (24.18%) Loan participation payable $ (1,800,000) Discounted Cash Flow Credit Spread 10 bps - 10 bps (10 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2016. ** Fair value of the FHLBC stock approximates outstanding face amount as the Company's wholly-owned subsidiary is restricted from trading the stock and can only put the stock back to the FHLBC, at the FHLBC's discretion, at par. Fair Value at Range Asset Class December 31, 2015 Valuation Technique Unobservable Input (Weighted Average) Yield 0.81% - 16.11% (5.82%) Non-Agency RMBS $ 451,677,960 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (6.36%) Projected Collateral Losses 0.00% - 38.00% (10.27%) Projected Collateral Severities 0.00% - 88.08% (31.22%) Yield 10.59% - 11.40% (10.70%) Non-Agency RMBS Interest Only $ 5,553,734 Discounted Cash Flow Projected Collateral Prepayments 25.00% - 25.00% (25.00%) Projected Collateral Losses 1.00% - 1.00% (1.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 2.44% - 7.57% (5.62%) ABS $ 54,761,837 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 100.00% (79.96%) Projected Collateral Losses 0.00% - 8.30% (6.06%) Projected Collateral Severities 0.00% - 50.00% (10.98%) Yield 3.94% - 16.87% (5.83%) CMBS $ 91,024,418 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (0.37%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 5.78% - 7.28% (6.67%) CMBS Interest Only $ 14,077,716 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.27% - 38.49% (8.70%) Residential Mortgage Loans $ 57,080,227 Discounted Cash Flow Projected Collateral Prepayments 3.42% - 7.41% (6.54%) Projected Collateral Losses 6.32% - 12.26% (10.17%) Projected Collateral Severities 28.10% - 37.47% (34.05%) Yield 5.72% - 16.13% (8.30%) 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 $ 425,311 Discounted Cash Flow Yield 5.49% - 11.51% (6.33%) FHLBC stock $ 8,015,900 ** Yield 4.00% - 4.00% (4.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2015. ** Fair value of the FHLBC stock approximates outstanding face amount as the Company's wholly-owned subsidiary is restricted from trading the stock and can only put the stock back to the FHLBC, at the FHLBC's discretion, at par. 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 securities 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 and FHLBC
Repurchase Agreements and FHLBC Advances | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure Of Repurchase Agreements [Abstract] | |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | 6. Repurchase Agreements and FHLBC Advances 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. FHLBC Advances involve loan advances made to the Company by the FHLBC in exchange for real estate securities as collateral. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” The Company calculates haircuts disclosed in the tables below due to their short-term maturities or floating rate coupons In January 2016, the FHFA issued the Final Rule, which prevents MITT Insurance from renewing, extending or receiving any additional FHLBC Advances. As of March 31, 2016, the Company had no outstanding advances with the FHLBC. See Note 2 for more detail. Any FHLBC Advances reflected in the tables below are as of December 31, 2015. Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 1,381,399,000 1.30 % 12.5 % $ 1,608,225,524 $ 1,591,368,251 $ 5,121,864 31-60 days 138,255,000 1.48 % 11.1 % 156,115,130 157,014,464 502,301 61-90 days 165,811,000 1.45 % 13.8 % 195,833,906 195,056,307 533,650 Greater than 90 days 364,544,074 1.73 % 9.8 % 440,628,465 432,153,023 1,127,571 Total / Weighted Average $ 2,050,009,074 1.40 % 12.0 % $ 2,400,803,025 $ 2,375,592,045 $ 7,285,386 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 1,052,983,000 1.43 % 15.4 % $ 1,268,366,695 $ 1,256,686,536 $ 4,308,583 31-60 days 245,124,000 1.23 % 11.8 % 281,093,633 280,893,609 887,640 61-90 days 76,739,000 1.98 % 21.1 % 98,349,611 97,456,598 222,769 Greater than 90 days 364,352,658 1.57 % 9.4 % 431,942,111 425,617,273 1,315,462 Total / Weighted Average $ 1,739,198,658 1.46 % 13.9 % $ 2,079,752,050 $ 2,060,654,016 $ 6,734,454 The Company had no FHLBC Advances as of March 31, 2016. The following table presents certain financial information regarding the Company’s FHLBC Advances secured by Agency RMBS as of December 31, 2015: FHLBC Advances Collateral Pledged FHLBC Advances Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 186,449,500 0.36 % 0.2 % $ 187,002,677 $ 186,972,618 $ 550,689 31-60 days 39,750,000 0.44 % 2.7 % 40,857,352 40,726,086 115,211 61-90 days 170,694,500 0.49 % 0.3 % 176,322,379 174,577,627 471,330 Greater than 90 days - - - - - - Total / Weighted Average $ 396,894,000 0.42 % 0.5 % $ 404,182,408 $ 402,276,331 $ 1,137,230 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 33,987,376 2.94 % 3.07 % 32.6 % 50,650,246 48,176,665 58,795 Total / Weighted Average $ 33,987,376 2.94 % 3.07 % 32.6 % $ 50,650,246 $ 48,176,665 $ 58,795 Although repurchase agreements and FHLBC Advances 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. See Note 7 for details on collateral posted /received against certain derivatives. March 31, 2016 December 31, 2015 Fair Value of investments pledged as collateral under repurchase agreements and FHLBC advances: Agency RMBS (1) $ 1,080,543,560 $ 1,128,962,588 Non-Agency RMBS 1,110,784,765 1,157,357,871 ABS 64,643,140 54,761,837 CMBS 143,567,705 142,852,162 Residential Mortgage Loans 50,650,246 50,686,922 Commercial Mortgage Loans 62,800,000 62,800,000 U.S. Treasury Securities 432,376,875 203,520,859 Cash pledged (i.e., restricted cash) under repurchase agreements 16,539,634 16,662,156 Total collateral pledged under Repurchase agreements and FHLBC advances $ 2,961,905,925 $ 2,817,604,395 (1) Collateral for FHLBC advances consist solely of Agency RMBS March 31, 2016 December 31, 2015 Repurchase agreements secured by investments: Agency RMBS $ 1,017,072,000 $ 676,679,000 Non-Agency RMBS 876,448,074 914,276,658 ABS 50,575,000 43,544,000 CMBS 105,914,000 104,699,000 Residential Mortgage Loans 33,987,376 50,606,302 Commercial Mortgage Loans 42,796,000 42,796,000 U.S. Treasury Securities 430,123,750 202,362,500 FHLBC advances secured by investments: Agency RMBS - 396,894,000 Gross Liability for Repurchase agreements and FHLBC advances $ 2,556,916,200 $ 2,034,963,460 Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 2,556,916,200 $ - $ 2,556,916,200 $ 2,556,916,200 $ - $ - The Company had no FHLBC Advances as of March 31, 2016. The following table presents both gross information and net information about repurchase agreements and FHLBC Advances eligible for offset in the consolidated balance sheet as of December 31, 2015: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 2,034,963,460 $ - $ 2,034,963,460 $ 2,034,963,460 $ - $ - FHLBC advances 396,894,000 - 396,894,000 396,894,000 - - Total $ 2,431,857,460 $ - $ 2,431,857,460 $ 2,431,857,460 $ - $ - The Company seeks financing from several different financing counterparties in order to reduce the financing risk related to any single counterparty. The Company has entered into master repurchase agreements (“MRAs”) or loan agreements with such financing counterparties. As of March 31, 2016 and December 31, 2015 the Company had 37 and 38 financing counterparties, under which it had outstanding debt with 21 and 21 counterparties on a GAAP basis, respectively. Counterparty Amount at Risk Weighted Average Percentage of Wells Fargo Bank, N.A. $ 75,700,781 595 12 % JP Morgan Securities, LLC 43,474,663 179 7 % RBC (Barbados) Trading Bank Corporation 35,157,707 28 5 % The following table reflects the total amount of financing at risk as of December 31, 2015 that the Company has with counterparties under the Company’s repurchase agreements and FHLBC Advances that represent greater than 5% of the Company’s stockholders’ equity, excluding repurchase agreements through affiliated entities. Counterparty Amount at Risk Weighted Average Percentage of Wells Fargo Bank, N.A. $ 59,863,639 543 9 % JP Morgan Securities, LLC 45,341,579 187 7 % RBC (Barbados) Trading Bank Corporation 41,788,752 44 6 % Credit Suisse Securities, LLC 40,797,732 44 6 % On April 13, 2015, the Company, AG MIT LLC and AG MIT CMO, LLC, each a 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 both AG MIT’s and AG MIT CMO’s acquisition of certain consumer asset-backed securities and commercial mortgage-backed securities as well as residential, Non-Agency RMBS. 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 98.7 On February 26, 2016, AG MIT WFB1 2014 LLC (“AG MIT WFB1”), a subsidiary of the Company, entered into Amendment Number Four of the Master Repurchase Agreement and Securities Contract (as amended, the “WFB1 Repurchase Agreement”) with Wells Fargo 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 24, 2017 and a facility termination date of February 23, 2018. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $ 100.0 34.0 On September 17, 2014, AG MIT CREL, LLC (“AG MIT CREL”), a subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract (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”), subject to the satisfaction of certain terms of the extensions described below. 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 80 On August 4, 2015, the Company, AG MIT CREL and AG MIT, LLC, entered into an Omnibus Amendment No. 1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “Amendment”) with Wells Fargo. The Amendment amended certain terms in the CREL Repurchase Agreement, the Guarantee, dated as of September 17, 2014, delivered by the Company and AG MIT to Wells Fargo and the Fee and Pricing Letter, dated as of September 17, 2014, between AG MIT CREL and Wells Fargo. The Amendment lowered the maximum aggregate borrowing capacity available under the CREL Repurchase Agreement from $ 150 42.8 20.3 42.8 42.8 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. 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. The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 50,606,302 2.93 % 3.18 % N/A 50,686,922 48,426,156 53,074 Total / Weighted Average $ 50,606,302 2.93 % 3.18 % N/A $ 50,686,922 $ 48,426,156 $ 53,074 (1) As of December 31, 2015, the Company had a total of $ 74.0 50.7 23.3 31.1 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Funding Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 42,796,000 2.68 % 3.72 % 31.8 % 62,800,000 62,759,244 1,052,626 Total / Weighted Average $ 42,796,000 2.68 % 3.72 % 31.8 % $ 62,800,000 $ 62,759,244 $ 1,052,626 The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Funding Weighted Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 42,796,000 2.67 % 3.62 % 31.8 % 62,800,000 62,690,578 941,247 Total / Weighted Average $ 42,796,000 2.67 % 3.62 % 31.8 % $ 62,800,000 $ 62,690,578 $ 941,247 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Amortized Accrued Overnight $ 430,123,750 0.57 % 0.52 % $ 432,376,875 $ 428,972,852 $ 975,575 30 days or less - - - - - - 31-60 days - - - - - - 61-90 days - - - - - - Greater than 90 days - - - - - - Total / Weighted Average $ 430,123,750 0.57 % 0.52 % $ 432,376,875 $ 428,972,852 $ 975,575 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Weighted Average Haircut Fair Value Amortized Accrued Overnight $ 202,362,500 0.42 % 0.57 % $ 203,520,859 $ 205,763,477 $ 693,430 30 days or less - - - - - - 31-60 days - - - - - - 61-90 days - - - - - - Greater than 90 days - - - - - - Total / Weighted Average $ 202,362,500 0.42 % 0.57 % $ 203,520,859 $ 205,763,477 $ 693,430 |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2016 | |
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, and IO Indexes. Derivatives have not been designated as hedging instruments. The Company may also enter into non-derivative instruments to manage interest rate risk, including Agency Interest Only securities and long and short positions in U.S. Treasury securities. Derivative Instrument Designation Balance Sheet Location March 31, 2016 December 31, 2015 Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (22,510,107) $ (6,722,170) Interest rate swaps Non-Hedge Derivative assets, at fair value - 1,755,467 TBAs Non-Hedge Derivative liabilities, at fair value (561,332) (141,600) TBAs Non-Hedge Derivative assets, at fair value 419,340 - Long positions on U.S. Treasuries Non-Hedge U.S. Treasury securities, at fair value 432,376,875 223,434,922 Non-hedge derivatives held long/(short): March 31, 2016 December 31, 2015 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 899,000,000 $ 969,000,000 Notional amount of TBAs - 75,000,000 Notional amount of long positions on U.S. Treasuries 426,000,000 226,000,000 Three Months Ended Three Months Ended Non-hedge derivatives gain (loss): Statement of Operations Location March 31, 2016 March 31, 2015 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ (17,901,375) $ (9,681,958) Interest rate swaps, at fair value Net realized gain/(loss) (2,893,517) (12,095,409) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net (392) 686,330 TBAs (1) Net realized gain/(loss) 205,664 2,155,078 Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net 5,992,733 649,023 Long positions on U.S. Treasuries Net realized gain/(loss) 314,766 (1,263,672) Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - (369,141) Short positions on U.S. Treasuries Net realized gain - (442,969) (1) For the three months ended March 31, 2016, gains and losses from purchases and sales of TBAs consisted of $ 0.1 0.1 1.2 1.6 Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Offset in Net Amounts of Assets Financial Instruments Cash Collateral Net Amount Derivative Assets TBAs $ 419,340 $ - $ 419,340 $ - $ - $ 419,340 Total Derivative Assets $ 419,340 $ - $ 419,340 $ - $ - $ 419,340 Derivative Liabilities (1) Interest Rate Swaps $ (20,057,565) $ - $ (20,057,565) $ - $ (20,057,565) $ - TBAs (561,332) - (561,332) (561,332) - - Total Derivative Liabilities $ (20,618,897) $ - $ (20,618,897) $ (561,332) $ (20,057,565) $ - (1) Included in Derivative Liabilities on the consolidated balance sheet is $ 20,618,897 2,452,542 23,071,439 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, 2015: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Assets Financial Instruments Cash Collateral Net Amount Derivative Assets (1) Interest Rate Swaps $ 3,195,522 $ - $ 3,195,522 $ - $ 1,820,022 $ 1,375,500 Total Derivative Assets $ 3,195,522 $ - $ 3,195,522 $ - $ 1,820,022 $ 1,375,500 Derivative Liabilities (2) Interest Rate Swaps $ (5,351,711) $ - $ (5,351,711) $ - $ (5,351,711) $ - TBAs (141,600) - (141,600) (141,600) - - Total Derivative Liabilities $ (5,493,311) $ - $ (5,493,311) $ (141,600) $ (5,351,711) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 3,195,522 1,440,055 1,755,467 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (5,493,311) (1,370,459) (6,863,770) The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it 5.0 27.3 Company’s counterparties did not post 4.9 15.3 Company’s counterparties posted cash of 1.8 Interest Rate Swaps To help mitigate exposure to higher short-term interest rates, the Company uses currently-paying and may use forward-starting, one- or 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. Maturity Notional Amount Weighted Average Pay Rate Weighted Average Weighted Average Years to 2017 $ 36,000,000 0.88 % 0.62 % 1.59 2018 165,000,000 1.06 % 0.63 % 1.95 2019 210,000,000 1.29 % 0.63 % 3.48 2020 295,000,000 1.67 % 0.63 % 4.02 2022 53,000,000 1.69 % 0.63 % 6.44 2023 110,000,000 2.31 % 0.63 % 7.18 2025 30,000,000 2.48 % 0.64 % 9.18 Total/Wtd Avg $ 899,000,000 1.54 % 0.63 % 4.12 The following table presents information about the Company’s interest rate swaps as of December 31, 2015: Maturity Notional Amount Weighted Average Pay Rate Weighted Average Weighted Average Years to 2017 $ 36,000,000 0.88 % 0.33 % 1.84 2018 165,000,000 1.06 % 0.50 % 2.20 2019 210,000,000 1.29 % 0.43 % 3.73 2020 295,000,000 1.67 % 0.40 % 4.27 2022 73,000,000 1.75 % 0.42 % 6.53 2023 160,000,000 2.31 % 0.43 % 7.42 2025 30,000,000 2.48 % 0.45 % 9.43 Total/Wtd Avg $ 969,000,000 1.59 % 0.43 % 4.56 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 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). 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 they do not qualify for the “regular way” security trade scope exception found in ASC 815-10. To be eligible for this scope exception, the contract must meet the following conditions: (1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued. Our maximum exposure to loss represents the net payable amount until the settlement date. As of March 31, 2016, the Company’s maximum exposure to loss on TBAs was $0.1 million. As of December 31, 2015, the Company’s maximum exposure to loss on TBAs was $ 77.5 For the Three Months Ended March 31, 2016 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Derivative Asset Derivative Liability TBAs - Long $ 75,000,000 $ 45,000,000 $ (120,000,000) $ - $ - $ 23,047 $ 88,282 $ (65,235) TBAs - Short $ - $ 150,000,000 $ (150,000,000) $ - $ - $ (165,039) $ 331,058 $ (496,097) For the Three Months Ended March 31, 2015 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) Derivative Asset Derivative Liability 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) $ - $ - $ - $ - $ - |
Earnings per Share
Earnings per Share | 3 Months Ended |
Mar. 31, 2016 | |
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. March 31, 2016 March 31, 2015 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 40,006 60,000 Each warrant entitles the holder to purchase half a share of the Company’s common stock at a fixed price upon exercise of the warrant. For the three months ended March 31, 2016 and March 31, 2015, the Company excluded the effects of such from the computation of diluted earnings per share because their effect would be anti-dilutive. 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 the restricted stock units are only included in diluted weighted average common shares outstanding. Three Months Ended Three Months Ended March 31, 2016 March 31, 2015 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ (5,811,781) $ 9,396,088 Denominator: Basic weighted average common shares outstanding 28,271,930 28,387,615 Dilutive effect of restricted stock units - 24,590 Dilutive weighted average common shares outstanding 28,271,930 28,412,205 Basic Earnings/(Loss) Per Share of Common Stock: $ (0.21) $ 0.33 Diluted Earnings/(Loss) Per Share of Common Stock: $ (0.21) $ 0.33 Excluded from the computation of diluted earnings per share because its effect would be anti-dilutive was manager restricted stock units of 14,960 2016 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2016 3/21/2016 4/29/2016 $ 0.475 2015 Declaration Date Record Date Payment Date Dividend Per Share 3/12/2015 3/23/2015 4/30/2015 $ 0.60 2016 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/12/2016 2/29/2016 3/17/2016 $ 0.51563 8.00% Series B 2/12/2016 2/29/2016 3/17/2016 $ 0.50 2015 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/12/2015 2/27/2015 3/17/2015 $ 0.51563 8.00% Series B 2/12/2015 2/27/2015 3/17/2015 $ 0.50 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 and March 31, 2015, the Company recorded excise tax expense of $ 0.4 0.4 The Company files tax returns in several U.S jurisdictions. There are no ongoing U.S. federal, state or local tax examinations. The Company elected to treat certain domestic 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 foreign subsidiaries as a TRS and, accordingly, taxable income generated by this 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, 2016 or December 31, 2015. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2016 | |
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 and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. As of March 31, 2016 and December 31, 2015, no event of termination had occurred. 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 of 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 For the three months ended March 31, 2016, the Company incurred a management fee of approximately $ 2.5 2.5 Termination fee The termination fee, payable upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach 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, 2016 and December 31, 2015, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager 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, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s board of directors. The Company reimburses the Manager or its affiliates for the Company’s 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 time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of 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 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, 2016 and March 31, 2015, the Company expensed into Other operating expenses $ 1.8 1.8 Restricted stock grants Pursuant to the Company’s Manager Equity Incentive Plan and the Equity Incentive Plan adopted on July 6, 2011, the Company can award up to 277,500 139,902 On July 1, 2014, the Company granted 60,000 20,000 20,000 40,000 Director compensation The Company pays a $ 90,000 Investments in debt and equity of affiliates The Company invests in credit sensitive residential and commercial 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 the Department of Housing and Urban Development (“HUD”). Our maximum exposure to loss with respect to these investments is generally equal to the amount that we invested. See Note 3 for more detail. On December 9, 2015, the Company, alongside private funds under the management of Angelo, Gordon, entered into the Amended and Restated Limited Liability Company Agreement (the “LLC Agreement”) of Arc Home LLC (“Arc Home”), a Delaware limited liability company. Arc Home plans to originate conforming, FHA, Jumbo and non-QM residential mortgage loans and will be led by an external management team (the “Management Team”). The Board of Managers of Arc Home will consist of three (3) members appointed by the Company and certain affiliates of the Company and two (2) members appointed by the Management Team. The Company invests in Arc Home through AG Arc. Its investment is reflected on the “Investments in debt and equity of affiliates” line item on its consolidated balance sheet and has a fair value of $ 0.3 0.3 On March 8, 2016, an affiliate of the Manager (“the Affiliate”) became a member of AG Arc. The Affiliate acquired an ownership interest in AG Arc, which resulted in the ownership interest of the Company being reduced on a pro-rata basis. As a result of the Affiliate becoming a member of AG Arc, the Company’s overall commitment to Arc Home was reduced to $ 13.4 Transactions with affiliates In July 2015, the Company completed an arm’s-length purchase at fair value. Certain entities managed by an affiliate of the Company's Manager (“Related Entities”) had previously formed a joint venture (“Joint Venture”) with an unaffiliated third party. The Joint Venture owns certain multi-family properties for which the mortgages partly collateralize a securitization wherein the Company purchased certain bond tranches. To ensure an arm’s-length transaction, the Manager delegated its decision making rights with respect to the securitization to a third party servicer. In addition, the members of the Joint Venture agreed to cease sharing material non-public information with the Company’s investment team regarding the collateral. The investment by the Company in these bond tranches is reflected on the “Investments in debt and equity of affiliates” and “CMBS” line items on the consolidated balance sheet with fair values of $ 6.6 1.4 7.6 In May 2015, the Company completed an arm’s-length securitization with other investors managed by an affiliate of the Manager (the “Related Parties”) by combining the assets of a prior private securitization, in which the Company held a 10.0 4.3 3.0 7.5 5.3 5.2 In connection with the Company’s investments in residential mortgage loans and residential mortgage loans in securitized form that it purchases from a related party or parties (“Securitized Whole Loans”), the Company engages asset managers to provide advisory, consultation, asset management and other services to formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan. Beginning in November 2015, the Company engaged Red Creek Asset Management LLC (“Asset Manager”), a related party of the Manager and direct subsidiary of Angelo, Gordon, as the asset manager for certain of its residential loans and Securitized Whole Loans. The Asset Manager acknowledges that the Company will at all times have and retain ownership and control of all loans and that the Asset Manager will not acquire (i) title to any loan, (ii) any security interest in any loan, or (iii) any other rights or interests of any kind or any nature whatsoever in or to any loan. The Company pays separate arm’s-length asset management fees as assessed and confirmed by a third party valuation firm for (i) non-performing loans and (ii) reperforming loans. For the three months ended March 31, 2016, the fees paid by the Company to the Asset Manager totaled less than $ 120,000 |
Equity
Equity | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | 11. Equity On May 6, 2015, the Company filed a shelf registration statement, registering up to $ 750.0 750.0 Concurrently with the IPO, the Company offered a private placement of 3,205,000 20.00 0.5 20.50 The Company’s Series A and Series B Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Company’s Series A and Series B Preferred Stock are convertible to shares of the common stock. Holders of the Company’s Series A and 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 8.25 8.00 25.00 25.00 On November 3, 2015, the Company’s board of directors authorized a stock repurchase program (“Repurchase Program”) to repurchase up to $ 25.0 119,606 1.5 12.86 21.8 Month Purchased (1) Total Number of Shares Repurchased Weighted Average Price per Share Paid (2) Total Number of Shares Purchased as Part of Maximum Number (or approximate dollar value) of March 2016 119,606 $ 12.86 246,321 $ 21,790,786 Total 119,606 $ 12.86 246,321 $ 21,790,786 (1) Based on trade date. The Program was announced on November 4, 2015. The Program does not have an expiration date. (2) Includes brokerage commissions and clearing fees. (3) The maximum dollar amount authorized was $ 25.0 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | 12. Commitments and Contingencies On December 9, 2015, the Company, alongside private funds under the management of Angelo, Gordon, entered into the LLC Agreement of Arc Home. The capital commitment to Arc Home is $ 30.0 13.4 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 Accoun19
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 and December 31, 2015, the Company held no cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of “Cash and cash equivalents” on the consolidated balance sheet. 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 and is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or repurchase agreement. Restricted cash is carried at cost, which approximates fair value. |
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. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. |
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 320-10, “Investments Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” 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 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 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 an investment security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the 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, 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 include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows 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 on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any unrealized losses on securities at March 31, 2016 do not represent other than temporary impairment 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. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. |
Marketable Securities, Available-for-sale Securities, Policy [Policy Text Block] | 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. 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, “Accounting Changes and Error Corrections” 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. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. |
Investments In and Advances To Affiliates Schedule Of Investments [Policy Text Block] | Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities and loans. These underlying entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. As of March 31, 2016 and December 31, 2015, these investments had a fair market value of $ 56.8 62.2 In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, formed Arc Home LLC (“Arc Home”) to originate conforming, FHA, Jumbo and non-qualifying residential mortgage loans (“non-QM”). The Company invests in Arc Home through AG Arc LLC, one of its subsidiaries (“AG Arc”), and has chosen to make a fair value election on AG Arc pursuant to ASC 825. As of March 31, 2016 and December 31, 2015, AG Arc had a fair market value of $ 0.3 (0.3) In January 2016, Arc Home entered into a definitive agreement to acquire a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 46 states. Arc Home is currently working to secure approval of the acquisition from the GSEs, FHA, VA, Ginnie Mae and various state licensing authorities, which is required prior to closing the transaction. The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheet in the “Investments in debt and equity of affiliates” line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations 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. See Note 3 for more detail. In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810): Amendments to the Consolidation Analysis.” This standard modifies existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The company adopted ASU 2015-02 on January 1, 2016 using the modified retrospective approach, which did not require the restatement of prior periods to conform to the post-adoption presentation. The Company concluded the adoption of this guidance did not have a material impact on its financial statements. 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 transfers assets to a third party. 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 salelegal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred controlan 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. On February 12, 2016, the Company originated a $ 12.0 1.8 representing the transfer of the participation interest. The Company has chosen to make a fair value election on the consolidated interest pursuant to ASC 825. The holder of the participation interest has no recourse to the general credit of the Company. See Note 4 for more detail. 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 or ASC 325-40 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 premiums on its 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 and FHLBC Advances The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Prior to March 31, 2016, the Company also financed its Agency RMBS portfolio with advances from the Federal Home Loan Bank of Cincinnati (“FHLBC Advances”) (see the following paragraph regarding the current status of the FHLBC Advances). Repurchase agreements are, and while the Company had them, FHLBC Advances were treated as collateralized financing transactions and carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and FHLBC Advances approximates fair value. In July 2015, the Company’s wholly-owned captive insurance subsidiary, MITT Insurance Company LLC (“MITT Insurance”), was granted membership in the Federal Home Loan Bank (“FHLB”) system, specifically in the FHLB of Cincinnati (“FHLBC”). However, in January 2016, the Federal Housing Finance Agency, the FHFA, issued RIN 2590-AA39, Members of Federal Home Loan Banks (“the Final Rule”), which expressly excludes captive insurance companies, such as MITT Insurance (“Excluded Captives”), from being eligible for membership in the FHLBC. The Final Rule prevents the FHLBC from making any new advances or extending any existing advances to Excluded Captives. In addition, upon the termination of membership, the FHLB must liquidate all outstanding advances to Excluded Captives, settle all other business transactions, and repurchase or redeem all FHLB stock held by the terminated Excluded Captive in accordance with the Final Rule. Therefore, MITT Insurance, along with all other Excluded Captives, must completely wind down all business relationships with the FHLB, including the repayment of all outstanding advances, prior to or simultaneously with the termination of MITT Insurance’s membership with the FHLBC where it is a member. As a result of the Final Rule, MITT Insurance exited all FHLBC Advances and as of March 31, 2016, the Company had no outstanding advances with the FHLBC. 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, 2016 and December 31, 2015, the Company has met all margin call requirements. |
Other Investments [Policy Text Block] | Other investments The Company's subsidiary, MITT Insurance, is a member of, and owns capital stock in the FHLBC. The FHLBC provided MITT Insurance with financing for its Agency RMBS portfolio, but due to the Final Rule, as of March 31, 2016, the Company has no outstanding advances with the FHLBC. The amount of FHLBC Advances is included in the “FHLBC advances" line item on the Company's consolidated balance sheets. Although the FHLBC no longer provides MITT Insurance with financing, MITT Insurance remains a member of the FHLBC and at March 31, 2016 and December 31, 2015 the Company owned FHLBC stock totaling $ 8.0 0.1 record any dividend income for the three months ended March 31, 2015 as it did not own |
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, 2016 and December 31, 2015, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis. When the Company unwinds a derivative, it records a realized gain/(loss) in the period in which it was generated in the “Net realized gain/(loss)” line item in the consolidated statement of operations. |
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 principles and not financial accounting principles. The Company has elected to treat certain domestic 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. A domestic TRS may 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 foreign subsidiaries as a 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 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, “CompensationStock 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 therefore the shares are 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 restricted common shares and restricted stock units. |
New Accounting Pronouncements, Policy [Policy Text Block] | In May 2014, the FASB issued Accounting Standards Updates (“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. In August 2015, the FASB deferred the effective date of the new revenue recognition standard by one year. The new standard is effective for the first interim period within annual reporting periods beginning after December 15, 2017 and early adoption is permitted. The Company is continuing to evaluate its method of adoption and the impact this ASU will have on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, “Recognition and Measurement of Financial Assets and Financial Liabilities” (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption is not permitted for public business entities, except for a provision related to financial statements of fiscal years or interim periods that have not yet been issued, to recognize in other comprehensive income, the change in fair value of a liability resulting from a change in the instrument-specific credit risk measured using the fair value option. Entities should apply the amendments in this ASU by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. In March 2016, the FASB issued ASU 2016-09, “Improvements to Employee Share-Based Payment Accounting (Topic 718),” (“ASU 2016-09”). ASU 2016-09 requires all income tax effects of share-based payment awards to be recognized in the income statement when the awards vest or are settled. ASU 2016-09 also allows an employer to repurchase more of an employee’s shares for tax withholding purposes than is permitted under current guidance without triggering liability accounting. Finally, ASU 2016-09 allows a policy election to account for forfeitures as they occur. ASU 2016-09 is effective for fiscal years beginning after December 15, 2016, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016: Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 761,491,586 $ 32,645,952 $ 794,137,538 $ 17,390,556 $ (159,788) $ 811,368,306 3.76 % 3.03 % Fixed Rate CMO 73,624,178 617,181 74,241,359 2,544,359 - 76,785,718 3.00 % 2.80 % ARM 240,552,349 (2,643,704) 237,908,645 8,293,644 - 246,202,289 2.36 % 2.80 % Interest Only 499,337,856 (450,533,308) 48,804,548 1,310,373 (1,350,316) 48,764,605 2.64 % 5.67 % Credit Securities: Non-Agency RMBS 1,327,740,329 (178,805,795) 1,148,934,534 19,176,297 (14,070,327) 1,154,040,504 4.19 % 5.42 % Non-Agency RMBS Interest Only 447,889,359 (443,022,963) 4,866,396 - (814,116) 4,052,280 0.14 % -4.62 % ABS 66,836,631 (451,545) 66,385,086 11,735 (1,753,681) 64,643,140 5.13 % 5.29 % CMBS 210,670,298 (76,184,028) 134,486,270 250,883 (4,796,303) 129,940,850 5.21 % 6.15 % CMBS Interest Only 1,644,448,246 (1,627,839,870) 16,608,376 648,852 (130,360) 17,126,868 0.21 % 6.43 % Total $ 5,272,590,832 $ (2,746,218,080) $ 2,526,372,752 $ 49,626,699 $ (23,074,891) $ 2,552,924,560 2.27 % 4.36 % (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 782,276,607 $ 34,905,903 $ 817,182,510 $ 6,674,932 $ (3,720,150) $ 820,137,292 3.76 % 3.10 % Fixed Rate CMO 76,098,478 672,376 76,770,854 1,254,658 - 78,025,512 3.00 % 2.81 % ARM 248,169,781 (2,658,877) 245,510,904 4,298,463 - 249,809,367 2.37 % 2.84 % Interest Only 522,058,244 (468,676,886) 53,381,358 2,226,513 (2,138,390) 53,469,481 2.70 % 7.56 % Credit Securities: Non-Agency RMBS 1,395,179,483 (183,015,256) 1,212,164,227 23,555,968 (11,462,911) 1,224,257,284 4.17 % 5.56 % Non-Agency RMBS Interest Only 465,387,354 (459,897,579) 5,489,775 351,842 (287,883) 5,553,734 0.12 % 11.05 % ABS 56,264,253 (353,693) 55,910,560 236,424 (1,385,147) 54,761,837 5.26 % 5.62 % CMBS 224,844,665 (89,380,593) 135,464,072 789,264 (1,382,362) 134,870,974 5.15 % 6.28 % CMBS Interest Only 1,138,848,526 (1,124,644,529) 14,203,997 37,717 (163,998) 14,077,716 0.25 % 6.67 % Total $ 4,909,127,391 $ (2,293,049,134) $ 2,616,078,257 $ 39,425,781 $ (20,540,841) $ 2,634,963,197 2.52 % 4.55 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its 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 on March 31, 2016 and December 31, 2015: Less than 12 months Greater than 12 months As of Fair Value Unrealized Fair Value Unrealized March 31, 2016 $ 554,413,241 $ (16,171,213) $ 177,554,837 $ (6,903,678) December 31, 2015 905,669,623 (13,906,215) 154,287,673 (6,634,626) |
Weighted Average Life Of Real Estate Securities [Table Text Block] | The following table details weighted average life broken out by Agency RMBS, Agency Interest-Only (“IO”) and Credit Securities as of March 31, 2016: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 68,285,349 $ 69,746,379 4.48 % Greater than one year and less than or equal to five years 148,398,000 143,439,546 2.74 % 38,804,841 38,885,566 2.38 % 526,770,684 529,787,755 1.04 % Greater than five years and less than or equal to ten years 985,958,313 962,847,996 3.49 % 9,959,764 9,918,982 4.90 % 525,375,510 525,111,391 2.15 % Greater than ten years - - - - - - 249,372,099 246,635,137 5.92 % Total $ 1,134,356,313 $ 1,106,287,542 3.39 % $ 48,764,605 $ 48,804,548 2.64 % $ 1,369,803,642 $ 1,371,280,662 1.88 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit 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 broken out by Agency RMBS, Agency IO and Credit Securities as of December 31, 2015: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 61,279,492 $ 62,031,034 4.92 % Greater than one year and less than or equal to five years 8,855,191 8,698,829 2.53 % 35,583,940 36,517,583 2.19 % 465,361,086 465,420,736 1.20 % Greater than five years and less than or equal to ten years 1,130,350,078 1,122,059,484 3.39 % 17,885,541 16,863,775 5.33 % 602,483,200 599,969,280 2.21 % Greater than ten years 8,766,902 8,705,955 4.11 % - - - 304,397,767 295,811,581 5.71 % Total $ 1,147,972,171 $ 1,139,464,268 3.39 % $ 53,469,481 $ 53,381,358 2.70 % $ 1,433,521,545 $ 1,423,232,631 2.18 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit 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, 2016 | |
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, 2016: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 77,639,271 $ (23,464,440) $ 54,174,831 $ 2,534,274 $ - $ 56,709,105 5.45 % 9.24 % 5.27 (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). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2015: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 78,834,774 $ (24,413,319) $ 54,421,455 $ 2,658,772 $ - $ 57,080,227 5.46 % 8.70 % 5.58 (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). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
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, 2016 December 31, 2015 Loan Type Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 43,091,272 $ 55,830,445 $ 43,152,987 $ 56,424,387 Non-Performing 13,617,833 21,808,826 13,927,240 22,410,387 $ 56,709,105 $ 77,639,271 $ 57,080,227 $ 78,834,774 |
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, 2016 December 31, 2015 Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% 93 % 95 % Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: New York 19 % 20 % California 9 % 9 % Florida 6 % 6 % Maryland 5 % 5 % |
Schedule Certain Loans Acquired In Transfer Accretable Yield [Table Text Block] | 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, 2016 and March 31, 2015, respectively: Three Months Ended March 31, 2016 March 31, 2015 Beginning Balance $ 24,216,638 $ 38,008,263 Additions - - Accretion (1,104,027) (1,865,295) Reclassifications from/(to) non-accretable difference 154,405 4,356,113 Disposals (103,869) (1,041,317) Ending Balance $ 23,163,147 $ 39,457,764 |
Commercial Loans [Member] | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | Gross Unrealized (1) Weighted Average Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan A (2) $ 30,000,000 $ (26,196) $ 29,973,804 $ 26,196 $ - $ 30,000,000 6.69 % 8.53 % 0.19 June 5, 2017 June 5, 2019 FL Loan B (3) 32,800,000 (14,560) 32,785,440 14,560 - 32,800,000 5.19 % 5.75 % 0.27 July 1, 2016 July 1, 2019 TX Loan C (4) 10,000,000 (22,173) 9,977,827 22,173 - 10,000,000 13.44 % 15.41 % 0.85 February 1, 2017 February 1, 2018 NY Loan D (5) 12,000,000 (1,374,502) 10,625,498 1,374,502 - 12,000,000 10.44 % 15.11 % 0.88 February 11, 2017 August 11, 2017 NY $ 84,800,000 $ (1,437,431) $ 83,362,569 $ 1,437,431 $ - $ 84,800,000 7.44 % 9.20 % 0.40 (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). (2) Loan A is comprised of a first mortgage and mezzanine loan of $ 20.0 10.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C is a mezzanine loan. (5) Loan D is a first mortgage loan. See below for further information. (6) Each commercial loan investment has a variable coupon rate. (7) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (8) 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 on December 31, 2015. Gross Unrealized (1) Weighted Average Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan A (2) $ 30,000,000 $ (70,981) $ 29,929,019 $ 70,981 $ - $ 30,000,000 6.52 % 8.50 % 0.44 June 5, 2017 June 5, 2019 FL Loan B (3) 32,800,000 (38,441) 32,761,559 38,441 - 32,800,000 5.02 % 5.72 % 0.52 July 1, 2016 July 1, 2019 TX Loan C (4) 10,000,000 (29,607) 9,970,393 29,607 - 10,000,000 13.50 % 16.13 % 1.19 February 1, 2017 February 1, 2018 NY $ 72,800,000 $ (139,029) $ 72,660,971 $ 139,029 $ - $ 72,800,000 6.80 % 8.30 % 0.58 (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). (2) Loan A is comprised of a first mortgage and mezzanine loan of $ 20.0 10.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C is a mezzanine loan. (5) Each commercial loan investment has a variable coupon rate. (6) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (7) The Company has the contractual right to receive a balloon payment. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 as of March 31, 2016: Fair Value at March 31, 2016 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 811,368,306 $ - $ 811,368,306 Fixed Rate CMO - 76,785,718 - 76,785,718 ARM - 246,202,289 - 246,202,289 Interest Only - 48,764,605 - 48,764,605 Credit Investments: Non-Agency RMBS - 394,035,740 760,004,764 1,154,040,504 Non-Agency RMBS Interest Only - - 4,052,280 4,052,280 ABS - - 64,643,140 64,643,140 CMBS - 42,960,845 86,980,005 129,940,850 CMBS Interest Only - - 17,126,868 17,126,868 Residential mortgage loans - - 56,709,105 56,709,105 Commercial loans - - 84,800,000 84,800,000 U.S. Treasury securities 432,376,875 - - 432,376,875 Excess mortgage servicing rights - - 383,843 383,843 Derivative assets - 419,340 - 419,340 FHLBC stock - - 8,015,900 8,015,900 AG ARC 302,495 - - 302,495 Total Assets Carried at Fair Value $ 432,679,370 $ 1,620,536,843 $ 1,082,715,905 $ 3,135,932,118 Liabilities: Securitized debt $ - $ - $ (28,256,689) $ (28,256,689) Loan participation payable - - (1,800,000) (1,800,000) Derivative liabilities - (23,071,439) - (23,071,439) Total Liabilities Carried at Fair Value $ - $ (23,071,439) $ (30,056,689) $ (53,128,128) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2015. Fair Value at December 31, 2015 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 820,137,292 $ - $ 820,137,292 Fixed Rate CMO - 78,025,512 - 78,025,512 ARM - 249,809,367 - 249,809,367 Interest Only - 53,469,481 - 53,469,481 Credit Investments: Non-Agency RMBS - 772,579,324 451,677,960 1,224,257,284 Non-Agency RMBS Interest Only - - 5,553,734 5,553,734 ABS - - 54,761,837 54,761,837 CMBS - 43,846,556 91,024,418 134,870,974 CMBS Interest Only - - 14,077,716 14,077,716 Residential mortgage loans - - 57,080,227 57,080,227 Commercial loans - - 72,800,000 72,800,000 U.S. Treasury securities 223,434,922 - - 223,434,922 Excess mortgage servicing rights - - 425,311 425,311 Derivative assets - 1,755,467 - 1,755,467 FHLBC stock - - 8,015,900 8,015,900 AG ARC (316,580) - - (316,580) Total Assets Carried at Fair Value $ 223,118,342 $ 2,019,622,999 $ 755,417,103 $ 2,998,158,444 Liabilities: Securitized debt $ - $ (30,046,861) $ - $ (30,046,861) Derivative liabilities - (6,863,770) - (6,863,770) Total Liabilities Carried at Fair Value $ - $ (36,910,631) $ - $ (36,910,631) |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following tables present additional information about the Company’s assets and liabilities 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, 2016 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess FHLBC Stock Securitized Loan Beginning balance $ 451,677,960 $ 5,553,734 $ 54,761,837 $ 91,024,418 $ 14,077,716 $ 57,080,227 $ 72,800,000 $ 425,311 $ 8,015,900 $ - $ - Transfers (1): Transfers into level 3 341,075,247 - - - - - - - - (30,046,861) - Transfers out of level 3 - - - - - - - - - - - Purchases/transfers (2) 6,724,062 - 11,198,203 - 29,884 - 10,428,437 - - - (1,564,266) Reclassification of security type (3) - - - - 3,103,111 - - - - - - Proceeds from sales (7,494,697) - - - - - - - - - - Proceeds from settlement (22,910,622) - (627,620) (920,368) - (326,292) - (41,468) - 1,713,596 - Total net gains/(losses) (4) Included in net income (9,067,186) (1,501,454) (689,280) (3,124,045) (83,843) (44,830) 1,571,563 - - 76,576 (235,734) Included in other comprehensive income (loss) - - - - - - - - - - - Ending Balance $ 760,004,764 $ 4,052,280 $ 64,643,140 $ 86,980,005 $ 17,126,868 $ 56,709,105 $ 84,800,000 $ 383,843 $ 8,015,900 $ (28,256,689) $ (1,800,000) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2016 (5) $ (4,319,506) $ (1,007,267) $ (551,022) $ (2,794,125) $ (83,843) $ (44,830) $ 1,571,563 $ - $ - $ 76,576 $ (235,734) (1) Transfers are assumed to occur at the beginning of the period. (2) Transfers represent proceeds from transfer of loan participation. (3) Represents a reclassification from investments in debt and equity of affiliates. (4) 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 $ (7,225,630) Unrealized gain/(loss) on derivative and other instruments, net (159,158) Net realized gain/(loss) (5,713,445) Total $ (13,098,233) (5) 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 $ (7,229,030) Unrealized gain/(loss) on derivative and other instruments, net (159,158) Total $ (7,388,188) Three Months Ended March 31, 2015 Non-Agency Non-Agency ABS CMBS CMBS Interest Only Residential Commercial Excess Linked 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 71,926,246 2,219,890 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 $ 507,325,282 $ 2,219,890 $ 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) 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 Interest income (16,933) Total $ 4,066,879 (4) 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 |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block] | Fair Value at Range Asset Class March 31, 2016 Valuation Technique Unobservable Input (Weighted Average) Yield -1.46% - 21.14% (5.54%) Non-Agency RMBS $ 760,004,764 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (6.69%) Projected Collateral Losses 0.00% - 38.00% (8.45%) Projected Collateral Severities 0.00% - 100.00% (46.78%) Yield -28.45% - 10.18% (-23.58%) Non-Agency RMBS $ 4,052,280 Discounted Cash Flow Projected Collateral Prepayments 25.00% - 25.00% (25.00%) Interest Only Projected Collateral Losses 1.00% - 1.00% (1.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 2.45% - 7.02% (5.29%) ABS $ 64,643,140 Discounted Cash Flow Projected Collateral Prepayments 1.50% - 100.00% (77.58%) Projected Collateral Losses 0.00% - 8.30% (5.85%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 3.53% - 17.94% (5.61%) CMBS $ 86,980,005 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (0.53%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 3.43% - 11.30% (6.43%) CMBS Interest Only $ 17,126,868 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.96% - 43.37% (9.24%) Residential Mortgage Loans $ 56,709,105 Discounted Cash Flow Projected Collateral Prepayments 4.31% - 7.92% (6.86%) Projected Collateral Losses 7.78% - 11.67% (10.15%) Projected Collateral Severities 28.95% - 38.94% (35.22%) Yield 5.75% - 24.18% (9.20%) Commercial Loans $ 84,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 13 bps (7 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) Excess Mortgage Servicing Rights $ 383,843 Discounted Cash Flow Yield 5.94% - 7.67% (6.15%) FHLBC stock $ 8,015,900 ** Yield 4.00% - 4.00% (4.00%) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.11% - 3.11% (3.11%) Securitized debt $ (28,256,689) Discounted Cash Flow Projected Collateral Prepayments 12.00% - 12.00% (12.00%) Projected Collateral Losses 5.50% - 5.50% (5.50%) Projected Collateral Severities 43.00% - 43.00% (43.00%) Yield 24.18% - 24.18% (24.18%) Loan participation payable $ (1,800,000) Discounted Cash Flow Credit Spread 10 bps - 10 bps (10 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2016. ** Fair value of the FHLBC stock approximates outstanding face amount as the Company's wholly-owned subsidiary is restricted from trading the stock and can only put the stock back to the FHLBC, at the FHLBC's discretion, at par. Fair Value at Range Asset Class December 31, 2015 Valuation Technique Unobservable Input (Weighted Average) Yield 0.81% - 16.11% (5.82%) Non-Agency RMBS $ 451,677,960 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (6.36%) Projected Collateral Losses 0.00% - 38.00% (10.27%) Projected Collateral Severities 0.00% - 88.08% (31.22%) Yield 10.59% - 11.40% (10.70%) Non-Agency RMBS Interest Only $ 5,553,734 Discounted Cash Flow Projected Collateral Prepayments 25.00% - 25.00% (25.00%) Projected Collateral Losses 1.00% - 1.00% (1.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 2.44% - 7.57% (5.62%) ABS $ 54,761,837 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 100.00% (79.96%) Projected Collateral Losses 0.00% - 8.30% (6.06%) Projected Collateral Severities 0.00% - 50.00% (10.98%) Yield 3.94% - 16.87% (5.83%) CMBS $ 91,024,418 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 20.00% (0.37%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 5.78% - 7.28% (6.67%) CMBS Interest Only $ 14,077,716 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.27% - 38.49% (8.70%) Residential Mortgage Loans $ 57,080,227 Discounted Cash Flow Projected Collateral Prepayments 3.42% - 7.41% (6.54%) Projected Collateral Losses 6.32% - 12.26% (10.17%) Projected Collateral Severities 28.10% - 37.47% (34.05%) Yield 5.72% - 16.13% (8.30%) 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 $ 425,311 Discounted Cash Flow Yield 5.49% - 11.51% (6.33%) FHLBC stock $ 8,015,900 ** Yield 4.00% - 4.00% (4.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2015. ** Fair value of the FHLBC stock approximates outstanding face amount as the Company's wholly-owned subsidiary is restricted from trading the stock and can only put the stock back to the FHLBC, at the FHLBC's discretion, at par. |
Repurchase Agreements and FHL23
Repurchase Agreements and FHLBC Advances (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure Of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 1,381,399,000 1.30 % 12.5 % $ 1,608,225,524 $ 1,591,368,251 $ 5,121,864 31-60 days 138,255,000 1.48 % 11.1 % 156,115,130 157,014,464 502,301 61-90 days 165,811,000 1.45 % 13.8 % 195,833,906 195,056,307 533,650 Greater than 90 days 364,544,074 1.73 % 9.8 % 440,628,465 432,153,023 1,127,571 Total / Weighted Average $ 2,050,009,074 1.40 % 12.0 % $ 2,400,803,025 $ 2,375,592,045 $ 7,285,386 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 1,052,983,000 1.43 % 15.4 % $ 1,268,366,695 $ 1,256,686,536 $ 4,308,583 31-60 days 245,124,000 1.23 % 11.8 % 281,093,633 280,893,609 887,640 61-90 days 76,739,000 1.98 % 21.1 % 98,349,611 97,456,598 222,769 Greater than 90 days 364,352,658 1.57 % 9.4 % 431,942,111 425,617,273 1,315,462 Total / Weighted Average $ 1,739,198,658 1.46 % 13.9 % $ 2,079,752,050 $ 2,060,654,016 $ 6,734,454 The Company had no FHLBC Advances as of March 31, 2016. The following table presents certain financial information regarding the Company’s FHLBC Advances secured by Agency RMBS as of December 31, 2015: FHLBC Advances Collateral Pledged FHLBC Advances Maturing Within: Balance Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ 186,449,500 0.36 % 0.2 % $ 187,002,677 $ 186,972,618 $ 550,689 31-60 days 39,750,000 0.44 % 2.7 % 40,857,352 40,726,086 115,211 61-90 days 170,694,500 0.49 % 0.3 % 176,322,379 174,577,627 471,330 Greater than 90 days - - - - - - Total / Weighted Average $ 396,894,000 0.42 % 0.5 % $ 404,182,408 $ 402,276,331 $ 1,137,230 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 33,987,376 2.94 % 3.07 % 32.6 % 50,650,246 48,176,665 58,795 Total / Weighted Average $ 33,987,376 2.94 % 3.07 % 32.6 % $ 50,650,246 $ 48,176,665 $ 58,795 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 50,606,302 2.93 % 3.18 % N/A 50,686,922 48,426,156 53,074 Total / Weighted Average $ 50,606,302 2.93 % 3.18 % N/A $ 50,686,922 $ 48,426,156 $ 53,074 (1) As of December 31, 2015, the Company had a total of $ 74.0 50.7 23.3 31.1 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Funding Weighted Average Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 42,796,000 2.68 % 3.72 % 31.8 % 62,800,000 62,759,244 1,052,626 Total / Weighted Average $ 42,796,000 2.68 % 3.72 % 31.8 % $ 62,800,000 $ 62,759,244 $ 1,052,626 The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Funding Weighted Fair Value Amortized Accrued 30 days or less $ - - - - $ - $ - $ - 31-60 days - - - - - - - 61-90 days - - - - - - - Greater than 90 days 42,796,000 2.67 % 3.62 % 31.8 % 62,800,000 62,690,578 941,247 Total / Weighted Average $ 42,796,000 2.67 % 3.62 % 31.8 % $ 62,800,000 $ 62,690,578 $ 941,247 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of March 31, 2016: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Amortized Accrued Overnight $ 430,123,750 0.57 % 0.52 % $ 432,376,875 $ 428,972,852 $ 975,575 30 days or less - - - - - - 31-60 days - - - - - - 61-90 days - - - - - - Greater than 90 days - - - - - - Total / Weighted Average $ 430,123,750 0.57 % 0.52 % $ 432,376,875 $ 428,972,852 $ 975,575 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in U.S. Treasury securities as of December 31, 2015: Repurchase Agreements Collateral Pledged Repurchase Agreements Maturing Within: Balance Weighted Weighted Average Haircut Fair Value Amortized Accrued Overnight $ 202,362,500 0.42 % 0.57 % $ 203,520,859 $ 205,763,477 $ 693,430 30 days or less - - - - - - 31-60 days - - - - - - 61-90 days - - - - - - Greater than 90 days - - - - - - Total / Weighted Average $ 202,362,500 0.42 % 0.57 % $ 203,520,859 $ 205,763,477 $ 693,430 |
Schedule Of Securities Collateral Information [Table Text Block] | The following table presents information with respect to the Company’s posting of collateral under (i) repurchase agreements on March 31, 2016 and (ii) repurchase agreements and FHLBC Advances on December 31, 2015, broken out by investment type: March 31, 2016 December 31, 2015 Fair Value of investments pledged as collateral under repurchase agreements and FHLBC advances: Agency RMBS (1) $ 1,080,543,560 $ 1,128,962,588 Non-Agency RMBS 1,112,048,620 1,157,357,871 ABS 64,643,140 54,761,837 CMBS 143,567,705 142,852,162 Residential Mortgage Loans 50,650,246 50,686,922 Commercial Mortgage Loans 62,800,000 62,800,000 U.S. Treasury Securities 432,376,875 203,520,859 Cash pledged (i.e., restricted cash) under repurchase agreements 16,539,634 16,662,156 Total collateral pledged under Repurchase agreements and FHLBC advances $ 2,963,169,780 $ 2,817,604,395 (1) Collateral for FHLBC advances consist solely of Agency RMBS. |
Schedule Of Total Borrowings Under Repurchase Agreements [Table Text Block] | The following table presents information with respect to the Company’s total borrowings under (i) repurchase agreements on March 31, 2016 and (ii) repurchase agreements and FHLBC Advances on December 31, 2015, broken out by investment type: March 31, 2016 December 31, 2015 Repurchase agreements secured by investments: Agency RMBS $ 1,017,072,000 $ 676,679,000 Non-Agency RMBS 876,448,074 914,276,658 ABS 50,575,000 43,544,000 CMBS 105,914,000 104,699,000 Residential Mortgage Loans 33,987,376 50,606,302 Commercial Mortgage Loans 42,796,000 42,796,000 U.S. Treasury Securities 430,123,750 202,362,500 FHLBC advances secured by investments: Agency RMBS - 396,894,000 Gross Liability for Repurchase agreements and FHLBC advances $ 2,556,916,200 $ 2,431,857,460 |
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, 2016: Gross Amounts Not Offset in the Description Gross Amounts of Recognized Gross Amounts Offset in the Net Amounts of Liabilities Presented Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase Agreements $ 2,556,916,200 $ - $ 2,556,916,200 $ 2,556,916,200 $ - $ - The Company had no FHLBC Advances as of March 31, 2016. The following table presents both gross information and net information about repurchase agreements and FHLBC Advances eligible for offset in the consolidated balance sheet as of December 31, 2015: Gross Amounts Not Offset in the Description Gross Amounts of Recognized Gross Amounts Offset in the Net Amounts of Liabilities Presented Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase Agreements $ 2,034,963,460 $ - $ 2,034,963,460 $ 2,034,963,460 $ - $ - FHLBC advances 396,894,000 - 396,894,000 396,894,000 - - Total $ 2,431,857,460 $ - $ 2,431,857,460 $ 2,431,857,460 $ - $ - |
Schedule Of Repurchase Agreement Counterparty [Table Text Block] | The following table presents information at March 31, 2016 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities. Counterparty Amount at Risk Weighted Average Percentage of Wells Fargo Bank, N.A. $ 75,700,781 594 12 % JP Morgan Securities, LLC 43,474,663 179 7 % RBC (Barbados) Trading Bank Corporation 35,157,707 28 5 % Credit Suisse Securities, LLC 33,889,842 114 5 % The following table presents information at December 31, 2015 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities. Counterparty Amount at Risk Weighted Average Percentage of Wells Fargo Bank, N.A. $ 59,863,639 543 9 % JP Morgan Securities, LLC 45,341,579 187 7 % RBC (Barbados) Trading Bank Corporation 41,788,752 44 6 % Credit Suisse Securities, LLC 40,797,732 44 6 % |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 and December 31, 2015. Derivative Instrument Designation Balance Sheet Location March 31, 2016 December 31, 2015 Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (22,510,107) $ (6,722,170) Interest rate swaps Non-Hedge Derivative assets, at fair value - 1,755,467 TBAs Non-Hedge Derivative liabilities, at fair value (561,332) (141,600) TBAs Non-Hedge Derivative assets, at fair value 419,340 - Long positions on U.S. Treasuries Non-Hedge U.S. Treasury securities, at fair value 432,376,875 223,434,922 |
Schedule of Derivative Instruments [Table Text Block] | Non-hedge derivatives held long/(short): March 31, 2016 December 31, 2015 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 899,000,000 $ 969,000,000 Notional amount of TBAs - 75,000,000 Notional amount of long positions on U.S. Treasuries 426,000,000 226,000,000 |
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, 2016 March 31, 2015 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ (17,901,375) $ (9,681,958) Interest rate swaps, at fair value Net realized gain/(loss) (2,893,517) (12,095,409) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net (392) 686,330 TBAs (1) Net realized gain/(loss) 205,664 2,155,078 Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net 5,992,733 649,023 Long positions on U.S. Treasuries Net realized gain/(loss) 314,766 (1,263,672) Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - (369,141) Short positions on U.S. Treasuries Net realized gain - (442,969) (1) For the three months ended March 31, 2016, gains and losses from purchases and sales of TBAs consisted of $ 0.1 0.1 1.2 1.6 |
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, 2016: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Offset in Net Amounts of Assets Financial Instruments Cash Collateral Net Amount Derivative Assets TBAs $ 419,340 $ - $ 419,340 $ - $ - $ 419,340 Total Derivative Assets $ 419,340 $ - $ 419,340 $ - $ - $ 419,340 Derivative Liabilities (1) Interest Rate Swaps $ (20,057,565) $ - $ (20,057,565) $ - $ (20,057,565) $ - TBAs (561,332) - (561,332) (561,332) - - Total Derivative Liabilities $ (20,618,897) $ - $ (20,618,897) $ (561,332) $ (20,057,565) $ - (1) Included in Derivative Liabilities on the consolidated balance sheet is $ 20,618,897 2,452,542 23,071,439 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, 2015: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Assets Financial Instruments Cash Collateral Net Amount Derivative Assets (1) Interest Rate Swaps $ 3,195,522 $ - $ 3,195,522 $ - $ 1,820,022 $ 1,375,500 Total Derivative Assets $ 3,195,522 $ - $ 3,195,522 $ - $ 1,820,022 $ 1,375,500 Derivative Liabilities (2) Interest Rate Swaps $ (5,351,711) $ - $ (5,351,711) $ - $ (5,351,711) $ - TBAs (141,600) - (141,600) (141,600) - - Total Derivative Liabilities $ (5,493,311) $ - $ (5,493,311) $ (141,600) $ (5,351,711) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 3,195,522 1,440,055 1,755,467 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (5,493,311) (1,370,459) (6,863,770) |
Schedule of Interest Rate Derivatives [Table Text Block] | The following table presents information about the Company’s interest rate swaps as of March 31, 2016: Maturity Notional Amount Weighted Average Pay Rate Weighted Average Weighted Average Years to 2017 $ 36,000,000 0.88 % 0.62 % 1.59 2018 165,000,000 1.06 % 0.63 % 1.95 2019 210,000,000 1.29 % 0.63 % 3.48 2020 295,000,000 1.67 % 0.63 % 4.02 2022 53,000,000 1.69 % 0.63 % 6.44 2023 110,000,000 2.31 % 0.63 % 7.18 2025 30,000,000 2.48 % 0.64 % 9.18 Total/Wtd Avg $ 899,000,000 1.54 % 0.63 % 4.12 The following table presents information about the Company’s interest rate swaps as of December 31, 2015: Maturity Notional Amount Weighted Average Pay Rate Weighted Average Weighted Average Years to 2017 $ 36,000,000 0.88 % 0.33 % 1.84 2018 165,000,000 1.06 % 0.50 % 2.20 2019 210,000,000 1.29 % 0.43 % 3.73 2020 295,000,000 1.67 % 0.40 % 4.27 2022 73,000,000 1.75 % 0.42 % 6.53 2023 160,000,000 2.31 % 0.43 % 7.42 2025 30,000,000 2.48 % 0.45 % 9.43 Total/Wtd Avg $ 969,000,000 1.59 % 0.43 % 4.56 |
Schedule Of To Be Announced Securities Activity [Table Text Block] | For the Three Months Ended March 31, 2016 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Derivative Asset Derivative Liability TBAs - Long $ 75,000,000 $ 45,000,000 $ (120,000,000) $ - $ - $ 23,047 $ 88,282 $ (65,235) TBAs - Short $ - $ 150,000,000 $ (150,000,000) $ - $ - $ (165,039) $ 331,058 $ (496,097) For the Three Months Ended March 31, 2015 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) Derivative Asset Derivative Liability 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) $ - $ - $ - $ - $ - |
Earnings per Share (Tables)
Earnings per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Stockholders' Equity Note, Warrants or Rights [Table Text Block] | As of March 31, 2016 and March 31, 2015, the Company’s outstanding warrants, unvested shares of restricted common stock and unvested restricted stock units were as follows: March 31, 2016 March 31, 2015 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 40,006 60,000 |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three months ended March 31, 2016 and March 31, 2015: Three Months Ended Three Months Ended March 31, 2016 March 31, 2015 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ (5,811,781) $ 9,396,088 Denominator: Basic weighted average common shares outstanding 28,271,930 28,387,615 Dilutive effect of restricted stock units - 24,590 Dilutive weighted average common shares outstanding 28,271,930 28,412,205 Basic Earnings/(Loss) Per Share of Common Stock: $ (0.21) $ 0.33 Diluted Earnings/(Loss) Per Share of Common Stock: $ (0.21) $ 0.33 |
Common Stock [Member] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following tables detail our common stock dividends for the three months ended March 31, 2016, and March 31, 2015: 2016 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2016 3/21/2016 4/29/2016 $ 0.475 2015 Declaration Date Record Date Payment Date Dividend Per Share 3/12/2015 3/23/2015 4/30/2015 $ 0.60 |
Preferred Stock [Member] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following tables detail our preferred stock dividends during the three months ended March 31, 2016, and March 31, 2015: 2016 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/12/2016 2/29/2016 3/17/2016 $ 0.51563 8.00% Series B 2/12/2016 2/29/2016 3/17/2016 $ 0.50 2015 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/12/2015 2/27/2015 3/17/2015 $ 0.51563 8.00% Series B 2/12/2015 2/27/2015 3/17/2015 $ 0.50 |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Class of Treasury Stock [Table Text Block] | The following table presents a summary of our common stock repurchases under the Repurchase Program for the three months ended March 31, 2016. Month Purchased (1) Total Number of Shares Repurchased Weighted Average Price per Share Paid (2) Total Number of Shares Purchased as Part of Maximum Number (or approximate dollar value) of March 2016 119,606 $ 12.86 246,321 $ 21,790,786 Total 119,606 $ 12.86 246,321 $ 21,790,786 (1) Based on trade date. The Program was announced on November 4, 2015. The Program does not have an expiration date. (2) Includes brokerage commissions and clearing fees. (3) The maximum dollar amount authorized was $ 25.0 |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Details Textual) - USD ($) | 3 Months Ended | |||
Mar. 31, 2016 | Feb. 29, 2016 | Feb. 12, 2016 | Dec. 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. | |||
Amount Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | $ 1,800,000 | $ 1,800,000 | ||
Investments in affiliates | $ 40,450,755 | $ 43,040,191 | ||
Loans and Leases Receivable, Gross, Commercial, Total | $ 12,000,000 | $ 12,000,000 | ||
Investments fair market value | 56,800,000 | 62,200,000 | ||
Federal Home Loan Bank of Cincinnati [Member] | ||||
Significant Accounting Policies Disclosure [Line Items] | ||||
Federal Home Loan Bank Stock | 8,000,000 | 8,000,000 | ||
Interest Income, Deposits with Other Federal Home Loan Banks | 100,000 | |||
ARC Home LLC [Member] | ||||
Significant Accounting Policies Disclosure [Line Items] | ||||
Investments in affiliates | $ 300,000 | $ (300,000) |
Real Estate Securities (Details
Real Estate Securities (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 5,272,590,832 | $ 4,909,127,391 | |
Premium/(Discount) | (2,746,218,080) | (2,293,049,134) | |
Amortized Cost | 2,526,372,752 | 2,616,078,257 | |
Gross Unrealized Gains | [1] | 49,626,699 | 39,425,781 |
Gross Unrealized Losses | [1] | (23,074,891) | (20,540,841) |
Fair Value | $ 2,552,924,560 | $ 2,634,963,197 | |
Weighted Average Coupon | [2] | 2.27% | 2.52% |
Weighted Average Yield | 4.36% | 4.55% | |
Agency RMBS: 30 Year Fixed Rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 761,491,586 | $ 782,276,607 | |
Premium/(Discount) | 32,645,952 | 34,905,903 | |
Amortized Cost | 794,137,538 | 817,182,510 | |
Gross Unrealized Gains | [1] | 17,390,556 | 6,674,932 |
Gross Unrealized Losses | [1] | (159,788) | (3,720,150) |
Fair Value | $ 811,368,306 | $ 820,137,292 | |
Weighted Average Coupon | [2] | 3.76% | 3.76% |
Weighted Average Yield | 3.03% | 3.10% | |
Agency RMBS: Fixed Rate CMO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 73,624,178 | $ 76,098,478 | |
Premium/(Discount) | 617,181 | 672,376 | |
Amortized Cost | 74,241,359 | 76,770,854 | |
Gross Unrealized Gains | [1] | 2,544,359 | 1,254,658 |
Gross Unrealized Losses | [1] | 0 | 0 |
Fair Value | $ 76,785,718 | $ 78,025,512 | |
Weighted Average Coupon | [2] | 3.00% | 3.00% |
Weighted Average Yield | 2.80% | 2.81% | |
Agency RMBS: ARM [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 240,552,349 | $ 248,169,781 | |
Premium/(Discount) | (2,643,704) | (2,658,877) | |
Amortized Cost | 237,908,645 | 245,510,904 | |
Gross Unrealized Gains | [1] | 8,293,644 | 4,298,463 |
Gross Unrealized Losses | [1] | 0 | 0 |
Fair Value | $ 246,202,289 | $ 249,809,367 | |
Weighted Average Coupon | [2] | 2.36% | 2.37% |
Weighted Average Yield | 2.80% | 2.84% | |
Agency RMBS: Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 499,337,856 | $ 522,058,244 | |
Premium/(Discount) | (450,533,308) | (468,676,886) | |
Amortized Cost | 48,804,548 | 53,381,358 | |
Gross Unrealized Gains | [1] | 1,310,373 | 2,226,513 |
Gross Unrealized Losses | [1] | (1,350,316) | (2,138,390) |
Fair Value | $ 48,764,605 | $ 53,469,481 | |
Weighted Average Coupon | [2] | 2.64% | 2.70% |
Weighted Average Yield | 5.67% | 7.56% | |
Credit Securities: Non-Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,327,740,329 | $ 1,395,179,483 | |
Premium/(Discount) | (178,805,795) | (183,015,256) | |
Amortized Cost | 1,148,934,534 | 1,212,164,227 | |
Gross Unrealized Gains | [1] | 19,176,297 | 23,555,968 |
Gross Unrealized Losses | [1] | (14,070,327) | (11,462,911) |
Fair Value | $ 1,154,040,504 | $ 1,224,257,284 | |
Weighted Average Coupon | [2] | 4.19% | 4.17% |
Weighted Average Yield | 5.42% | 5.56% | |
Credit Securities: Non-Agency RMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 447,889,359 | $ 465,387,354 | |
Premium/(Discount) | (443,022,963) | (459,897,579) | |
Amortized Cost | 4,866,396 | 5,489,775 | |
Gross Unrealized Gains | [1] | 0 | 351,842 |
Gross Unrealized Losses | [1] | (814,116) | (287,883) |
Fair Value | $ 4,052,280 | $ 5,553,734 | |
Weighted Average Coupon | [2] | 0.14% | 0.12% |
Weighted Average Yield | (4.62%) | 11.05% | |
Credit Securities: ABS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 66,836,631 | $ 56,264,253 | |
Premium/(Discount) | (451,545) | (353,693) | |
Amortized Cost | 66,385,086 | 55,910,560 | |
Gross Unrealized Gains | [1] | 11,735 | 236,424 |
Gross Unrealized Losses | [1] | (1,753,681) | (1,385,147) |
Fair Value | $ 64,643,140 | $ 54,761,837 | |
Weighted Average Coupon | [2] | 5.13% | 5.26% |
Weighted Average Yield | 5.29% | 5.62% | |
Credit Securities: CMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 210,670,298 | $ 224,844,665 | |
Premium/(Discount) | (76,184,028) | (89,380,593) | |
Amortized Cost | 134,486,270 | 135,464,072 | |
Gross Unrealized Gains | [1] | 250,883 | 789,264 |
Gross Unrealized Losses | [1] | (4,796,303) | (1,382,362) |
Fair Value | $ 129,940,850 | $ 134,870,974 | |
Weighted Average Coupon | [2] | 5.21% | 5.15% |
Weighted Average Yield | 6.15% | 6.28% | |
Credit Securities: CMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,644,448,246 | $ 1,138,848,526 | |
Premium/(Discount) | (1,627,839,870) | (1,124,644,529) | |
Amortized Cost | 16,608,376 | 14,203,997 | |
Gross Unrealized Gains | [1] | 648,852 | 37,717 |
Gross Unrealized Losses | [1] | (130,360) | (163,998) |
Fair Value | $ 17,126,868 | $ 14,077,716 | |
Weighted Average Coupon | [2] | 0.21% | 0.25% |
Weighted Average Yield | 6.43% | 6.67% | |
[1] | The Company has chosen to make a fair value election pursuant to ASC 825 for its 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 (Detai29
Real Estate Securities (Details 1) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 months, Fair Value | $ 554,413,241 | $ 905,669,623 |
Less than 12 months, Unrealized Losses | (16,171,213) | (13,906,215) |
Greater than 12 months, Fair Value | 177,554,837 | 154,287,673 |
Greater than 12 months, Unrealized Losses | $ (6,903,678) | $ (6,634,626) |
Real Estate Securities (Detai30
Real Estate Securities (Details 2) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |
Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1],[2] | $ 1,134,356,313 | $ 1,147,972,171 |
Amortized Cost Total | [1],[2] | $ 1,106,287,542 | $ 1,139,464,268 |
Weighted Average Coupon Total | [1],[2] | 3.39% | 3.39% |
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 | [1],[2] | $ 0 | $ 0 |
Amortized Cost Less than or equal to 1 year | [1],[2] | $ 0 | $ 0 |
Weighted Average Coupon Less than or equal to 1 year | [1],[2] | 0.00% | 0.00% |
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 | [1],[2] | $ 148,398,000 | $ 8,855,191 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[2] | $ 143,439,546 | $ 8,698,829 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[2] | 2.74% | 2.53% |
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],[2] | $ 985,958,313 | $ 1,130,350,078 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[2] | $ 962,847,996 | $ 1,122,059,484 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[2] | 3.49% | 3.39% |
Agency RMBS [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1],[2] | $ 0 | $ 8,766,902 |
Amortized Cost Greater than ten years | [1],[2] | $ 0 | $ 8,705,955 |
Weighted Average Coupon Greater than ten years | [1],[2] | 0.00% | 4.11% |
Agency IO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1] | $ 48,764,605 | $ 53,469,481 |
Amortized Cost Total | [1] | $ 48,804,548 | $ 53,381,358 |
Weighted Average Coupon Total | [1] | 2.64% | 2.70% |
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 | [1] | $ 0 | $ 0 |
Amortized Cost Less than or equal to 1 year | [1] | $ 0 | $ 0 |
Weighted Average Coupon Less than or equal to 1 year | [1] | 0.00% | 0.00% |
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 | [1] | $ 38,804,841 | $ 35,583,940 |
Amortized Cost Greater than one year and less than or equal to five years | [1] | $ 38,885,566 | $ 36,517,583 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1] | 2.38% | 2.19% |
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 | [1] | $ 9,959,764 | $ 17,885,541 |
Amortized Cost Greater than five years and less than or equal to ten years | [1] | $ 9,918,982 | $ 16,863,775 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1] | 4.90% | 5.33% |
Agency IO [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1] | $ 0 | $ 0 |
Amortized Cost Greater than ten years | [1] | $ 0 | $ 0 |
Weighted Average Coupon Greater than ten years | [1] | 0.00% | 0.00% |
Credit Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1],[3] | $ 1,369,803,642 | $ 1,433,521,545 |
Amortized Cost Total | [1],[3] | $ 1,371,280,662 | $ 1,423,232,631 |
Weighted Average Coupon Total | [1],[3],[4] | 1.88% | 2.18% |
Credit Securities [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 | [1],[3] | $ 68,285,349 | $ 61,279,492 |
Amortized Cost Less than or equal to 1 year | [1],[3] | $ 69,746,379 | $ 62,031,034 |
Weighted Average Coupon Less than or equal to 1 year | [1],[3],[4] | 4.48% | 4.92% |
Credit Securities [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 | [1],[3] | $ 526,770,684 | $ 465,361,086 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[3] | $ 529,787,755 | $ 465,420,736 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[3],[4] | 1.04% | 1.20% |
Credit Securities [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],[3] | $ 525,375,510 | $ 602,483,200 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[3] | $ 525,111,391 | $ 599,969,280 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[3],[4] | 2.15% | 2.21% |
Credit Securities [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1],[3] | $ 249,372,099 | $ 304,397,767 |
Amortized Cost Greater than ten years | [1],[3] | $ 246,635,137 | $ 295,811,581 |
Weighted Average Coupon Greater than ten years | [1],[3],[4] | 5.92% | 5.71% |
[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 and Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. | ||
[3] | For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities. | ||
[4] | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Real Estate Securities (Detai31
Real Estate Securities (Details Textual) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | |||
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | $ 29,872,376 | $ 326,102,175 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Debt Securities, Total | 9,200,000 | 2,700,000 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 9,200,000 | 2,700,000 | |
Assets, Fair Value Disclosure | 3,135,932,118 | $ 2,998,158,444 | |
Debt Instrument, Fair Value Disclosure | $ 37,900,000 | $ 40,000,000 | |
Weighted Average Life Of Securitized Debt | 3 years 4 months 17 days | 4 years 14 days | |
Weighted Average Rate Of Securitized Debt | 3.11% | 3.67% | |
Other Secured Financings | $ 28,256,689 | $ 28,300,000 | $ 30,046,861 |
Weighted Average Yield of Aggregate Security | 6.06% | 6.14% | |
Weighted Average Coupon of Aggregate Security | 5.21% | 5.32% | |
Senior Notes [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Debt Instrument, Fair Value Disclosure | $ 28,700,000 | $ 30,400,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Senior Notes [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Debt Instrument, Fair Value Disclosure | $ 28,300,000 | 30,000,000 | |
Settled Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Number Of Securities Sold | 6 | 18 | |
Securities, Gross Realized Gains | $ 41,181 | $ 5,500,000 | |
Securities, Gross Realized Losses | 1,400,000 | 800,000 | |
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 29,900,000 | 326,100,000 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 5,100,000 | $ 1,100,000 | |
Resecuritization [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Assets, Fair Value Disclosure | $ 34,900,000 | $ 37,100,000 |
Loans (Details)
Loans (Details) - Residential Mortgage Loans [Member] - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal balance | $ 77,639,271 | $ 78,834,774 | $ 50,500,000 | $ 13,700,000 | $ 59,000,000 | |
Premium (Discount) | (23,464,440) | (24,413,319) | ||||
Amortized Cost | 54,174,831 | 54,421,455 | ||||
Gross Unrealized Gains | [1] | 2,534,274 | 2,658,772 | |||
Gross Unrealized Losses | [1] | 0 | 0 | |||
Fair Value | $ 56,709,105 | $ 57,080,227 | ||||
Weighted Average Coupon | 5.45% | 5.46% | ||||
Weighted Average Yield | 9.24% | 8.70% | ||||
Weighted Average Useful Life (in years) | [2] | 5 years 3 months 7 days | 5 years 6 months 29 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). | |||||
[2] | Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Loans (Details 1)
Loans (Details 1) - Residential Mortgage Loans [Member] - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 |
Loans Receivable, Fair Value Disclosure | $ 56,709,105 | $ 57,080,227 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | 77,639,271 | 78,834,774 | $ 50,500,000 | $ 13,700,000 | $ 59,000,000 |
Re-Performing Financing Receivable [Member] | |||||
Loans Receivable, Fair Value Disclosure | 43,091,272 | 43,152,987 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | 55,830,445 | 56,424,387 | |||
Non-Performing Financing Receivable [Member] | |||||
Loans Receivable, Fair Value Disclosure | 13,617,833 | 13,927,240 | |||
Principal Amount Outstanding of Loans Held-in-portfolio | $ 21,808,826 | $ 22,410,387 |
Loans (Details 2)
Loans (Details 2) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 93.00% | 95.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 19.00% | 20.00% |
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 9.00% | 9.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 6.00% | 6.00% |
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, 2016 | Mar. 31, 2015 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Beginning Balance | $ 24,216,638 | $ 38,008,263 |
Additions | 0 | 0 |
Accretion | (1,104,027) | (1,865,295) |
Reclassifications from/(to) non-accretable difference | 154,405 | 4,356,113 |
Disposals | (103,869) | (1,041,317) |
Ending Balance | $ 23,163,147 | $ 39,457,764 |
Loans (Details 4)
Loans (Details 4) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Face, Commerical Loans | $ 84,800,000 | $ 72,800,000 | |
Premium (Discount), Commercial Loans | (1,437,431) | (139,029) | |
Amortized Cost, Commercial Loans | 83,362,569 | 72,660,971 | |
Gross Unrealized Gains, Commercial Loans | [1] | 1,437,431 | 139,029 |
Gross Unrealized Losses, Commercial Loans | [1] | 0 | 0 |
Fair Value, Commercial Loans | $ 84,800,000 | $ 72,800,000 | |
Weighted Average Coupon, Commercial Loans | [2] | 7.44% | 6.80% |
Weighted Average Yield, Commercial Loans | 9.20% | 8.30% | |
Weighted Average Life (in years), Commercial Loans | [3] | 4 months 24 days | 6 months 29 days |
Loan A [Member] | Commercial Loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Face, Commerical Loans | [4] | $ 30,000,000 | $ 30,000,000 |
Premium (Discount), Commercial Loans | [4] | (26,196) | (70,981) |
Amortized Cost, Commercial Loans | [4] | 29,973,804 | 29,929,019 |
Gross Unrealized Gains, Commercial Loans | [1],[4] | 26,196 | 70,981 |
Gross Unrealized Losses, Commercial Loans | [1],[4] | 0 | 0 |
Fair Value, Commercial Loans | [4] | $ 30,000,000 | $ 30,000,000 |
Weighted Average Coupon, Commercial Loans | [2],[4] | 6.69% | 6.52% |
Weighted Average Yield, Commercial Loans | [4] | 8.53% | 8.50% |
Weighted Average Life (in years), Commercial Loans | [3],[4] | 2 months 8 days | 5 months 8 days |
Stated Maturity Date | [4],[5] | Jun. 5, 2017 | Jun. 5, 2017 |
Extended Maturity Date | [4] | Jun. 5, 2019 | Jun. 5, 2019 |
Loan B [Member] | Commercial Loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Face, Commerical Loans | [6] | $ 32,800,000 | $ 32,800,000 |
Premium (Discount), Commercial Loans | [6] | (14,560) | (38,441) |
Amortized Cost, Commercial Loans | [6] | 32,785,440 | 32,761,559 |
Gross Unrealized Gains, Commercial Loans | [1],[6] | 14,560 | 38,441 |
Gross Unrealized Losses, Commercial Loans | [1],[6] | 0 | 0 |
Fair Value, Commercial Loans | [6] | $ 32,800,000 | $ 32,800,000 |
Weighted Average Coupon, Commercial Loans | [2],[6] | 5.19% | 5.02% |
Weighted Average Yield, Commercial Loans | [6] | 5.75% | 5.72% |
Weighted Average Life (in years), Commercial Loans | [3],[6] | 3 months 7 days | 6 months 7 days |
Stated Maturity Date | [5],[6] | Jul. 1, 2016 | Jul. 1, 2016 |
Extended Maturity Date | [6] | Jul. 1, 2019 | Jul. 1, 2019 |
Loan C [Member] | Commercial Loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Face, Commerical Loans | [7] | $ 10,000,000 | $ 10,000,000 |
Premium (Discount), Commercial Loans | [7] | (22,173) | (29,607) |
Amortized Cost, Commercial Loans | [7] | 9,977,827 | 9,970,393 |
Gross Unrealized Gains, Commercial Loans | [1],[7] | 22,173 | 29,607 |
Gross Unrealized Losses, Commercial Loans | [1],[7] | 0 | 0 |
Fair Value, Commercial Loans | [7] | $ 10,000,000 | $ 10,000,000 |
Weighted Average Coupon, Commercial Loans | [2],[7] | 13.44% | 13.50% |
Weighted Average Yield, Commercial Loans | [7] | 15.41% | 16.13% |
Weighted Average Life (in years), Commercial Loans | [3],[7] | 10 months 6 days | 1 year 2 months 8 days |
Stated Maturity Date | [5],[7] | Feb. 1, 2017 | Feb. 1, 2017 |
Extended Maturity Date | [7] | Feb. 1, 2018 | Feb. 1, 2018 |
Loan D [Member] | Commercial Loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Face, Commerical Loans | [8] | $ 12,000,000 | |
Premium (Discount), Commercial Loans | [8] | (1,374,502) | |
Amortized Cost, Commercial Loans | [8] | 10,625,498 | |
Gross Unrealized Gains, Commercial Loans | [1],[8] | 1,374,502 | |
Gross Unrealized Losses, Commercial Loans | [1],[8] | 0 | |
Fair Value, Commercial Loans | [8] | $ 12,000,000 | |
Weighted Average Coupon, Commercial Loans | [2],[8] | 10.44% | |
Weighted Average Yield, Commercial Loans | [8] | 15.11% | |
Weighted Average Life (in years), Commercial Loans | [3],[8] | 10 months 17 days | |
Stated Maturity Date | [5],[8] | Feb. 11, 2017 | |
Extended Maturity Date | [8] | Aug. 11, 2017 | |
[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). | ||
[2] | Each commercial loan investment has a variable coupon rate. | ||
[3] | Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. | ||
[4] | Loan A is comprised of a first mortgage and mezzanine loan of $20.0 million and $10.0 million, respectively. | ||
[5] | The Company has the contractual right to receive a balloon payment. | ||
[6] | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | ||
[7] | Loan C is a mezzanine loan. | ||
[8] | Loan D is a first mortgage and includes $1.8 million of loan participations. |
Loans (Details Textual)
Loans (Details Textual) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||
Feb. 29, 2016 | Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Feb. 12, 2016 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | |
Gain (Loss) on Investments [Line Items] | ||||||||
Concentration Risk, Percentage | 93.00% | 95.00% | ||||||
Accretion of Discount | $ 100,000 | $ 300,000 | ||||||
Percentage Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | 15.00% | 15.00% | ||||||
Amount Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | $ 1,800,000 | $ 1,800,000 | ||||||
Loans and Leases Receivable, Gross, Commercial, Total | $ 12,000,000 | $ 12,000,000 | ||||||
Loans Receivable, Description of Variable Rate Basis | The Participation Interest bears interest at a rate of LIBOR + 10.00% with a LIBOR floor of 0.25%. | |||||||
Loans Receivable, Basis Spread on Variable Rate | 10.00% | |||||||
Current Property Value In Excess Of Hundred Percentage [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Concentration Risk, Percentage | 100.00% | |||||||
Secured By Properties [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Concentration Risk, Percentage | 5.00% | |||||||
Residential Mortgage Loans [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | $ 77,639,271 | $ 78,834,774 | $ 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 | |||||
Residential Mortgage Loans [Member] | Maximum [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 1,100,000 | |||||||
Residential Mortgage Loans [Member] | Minimum [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 9,000 | |||||||
Mezzanine Loan [Member] | Loan A [Member] | Maximum [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 20,000,000 | 20,000,000 | ||||||
Mezzanine Loan [Member] | Loan A [Member] | Minimum [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 B [Member] | Maximum [Member] | ||||||||
Gain (Loss) on Investments [Line Items] | ||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 31,800,000 | 31,800,000 | ||||||
Mezzanine Loan [Member] | Loan B [Member] | Minimum [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, 2016 | Dec. 31, 2015 |
Assets: | ||
Assets, Fair Value Disclosure | $ 3,135,932,118 | $ 2,998,158,444 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (53,128,128) | (36,910,631) |
AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 302,495 | (316,580) |
FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 8,015,900 | 8,015,900 |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 419,340 | 1,755,467 |
Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (28,256,689) | (30,046,861) |
Loan Participation Payable [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (1,800,000) | |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (23,071,439) | (6,863,770) |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 811,368,306 | 820,137,292 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 76,785,718 | 78,025,512 |
Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 246,202,289 | 249,809,367 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 48,764,605 | 53,469,481 |
Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,154,040,504 | 1,224,257,284 |
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,052,280 | 5,553,734 |
Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 64,643,140 | 54,761,837 |
Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 129,940,850 | 134,870,974 |
Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 17,126,868 | 14,077,716 |
Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 56,709,105 | 57,080,227 |
Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 84,800,000 | 72,800,000 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 383,843 | 425,311 |
US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 432,376,875 | 223,434,922 |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 432,679,370 | 223,118,342 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 302,495 | (316,580) |
Fair Value, Inputs, Level 1 [Member] | FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Loan Participation Payable [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 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: 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: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | ||
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 Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Residential Mortgage Loans [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] | US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 432,376,875 | 223,434,922 |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,620,536,843 | 2,019,622,999 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (23,071,439) | (36,910,631) |
Fair Value, Inputs, Level 2 [Member] | AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 419,340 | 1,755,467 |
Fair Value, Inputs, Level 2 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | (30,046,861) |
Fair Value, Inputs, Level 2 [Member] | Loan Participation Payable [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (23,071,439) | (6,863,770) |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 811,368,306 | 820,137,292 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 76,785,718 | 78,025,512 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 246,202,289 | 249,809,367 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 48,764,605 | 53,469,481 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 394,035,740 | $ 772,579,324 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | ||
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 | 42,960,845 | 43,846,556 |
Fair Value, Inputs, Level 2 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage Loans [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] | US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,082,715,905 | 755,417,103 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (30,056,689) | 0 |
Fair Value, Inputs, Level 3 [Member] | AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 8,015,900 | 8,015,900 |
Fair Value, Inputs, Level 3 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (28,256,689) | 0 |
Fair Value, Inputs, Level 3 [Member] | Loan Participation Payable [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (1,800,000) | |
Fair Value, Inputs, Level 3 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, 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 | 760,004,764 | 451,677,960 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,052,280 | 5,553,734 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 64,643,140 | 54,761,837 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 86,980,005 | 91,024,418 |
Fair Value, Inputs, Level 3 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 17,126,868 | 14,077,716 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 56,709,105 | 57,080,227 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 84,800,000 | 72,800,000 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 383,843 | 425,311 |
Fair Value, Inputs, Level 3 [Member] | US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | $ 0 | $ 0 |
Fair Value Measurements (Deta39
Fair Value Measurements (Details 1) - Fair Value, Inputs, Level 3 [Member] - USD ($) | 3 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2015 | ||||
FHLBC Stock [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | $ 8,015,900 | ||||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | |||
Transfers out of level 3 | [1] | 0 | |||
Purchases/transfers | [2] | 0 | |||
Reclassification of security type | [3] | 0 | |||
Proceeds from sales | 0 | ||||
Proceeds from settlement | 0 | ||||
Total net gains/(losses) | |||||
Included in net income | [4] | 0 | |||
Included in other comprehensive income (loss) | [4] | 0 | |||
Ending Balance | [4] | 8,015,900 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | [5] | 0 | |||
Residential Mortgage Loans [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 57,080,227 | $ 85,089,859 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 0 | [2] | 0 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | (326,292) | (1,858,699) | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (44,830) | (838,440) | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 56,709,105 | [4] | 82,392,720 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (44,830) | [5] | (770,629) | [4] | |
Credit Investments: Non-Agency RMBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 451,677,960 | 455,236,279 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 341,075,247 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 6,724,062 | [2] | 71,926,246 | ||
Reclassification of security type | 0 | [3] | 24,129,591 | [6] | |
Proceeds from sales | (7,494,697) | (12,383,544) | |||
Proceeds from settlement | (22,910,622) | (35,224,917) | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (9,067,186) | 3,641,627 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 760,004,764 | [4] | 507,325,282 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (4,319,506) | [5] | 3,447,627 | [4] | |
Credit Investments: Non-Agency RMBS Interest Only [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 5,553,734 | 0 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 0 | [2] | 2,219,890 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (1,501,454) | 0 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 4,052,280 | [4] | 2,219,890 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (1,007,267) | [5] | 0 | [4] | |
Credit Investments: ABS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 54,761,837 | 66,693,243 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 11,198,203 | [2] | 4,027,500 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | (2,595,898) | |||
Proceeds from settlement | (627,620) | (228,246) | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (689,280) | 1,170,655 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 64,643,140 | [4] | 69,067,254 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (551,022) | [5] | 1,073,361 | [4] | |
CMBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 91,024,418 | 39,343,274 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 0 | [2] | 14,642,289 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | (920,368) | (387,963) | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (3,124,045) | 212,959 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 86,980,005 | [4] | 53,810,559 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (2,794,125) | [5] | 212,959 | [4] | |
Credit Investment: CMBS Interest Only [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 14,077,716 | 6,125,949 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 29,884 | [2] | 0 | ||
Reclassification of security type | 3,103,111 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [4] | (83,843) | (119,922) | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 17,126,868 | [4] | 6,006,027 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | (83,843) | [5] | (119,922) | [4] | |
Commercial Loans [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 72,800,000 | 72,800,000 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 10,428,437 | [2] | 0 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [4] | 1,571,563 | 0 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 84,800,000 | [4] | 72,800,000 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | 1,571,563 | [5] | 0 | [4] | |
Excess Mortgage Servicing Rights [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 425,311 | 628,367 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/transfers | 0 | [2] | 0 | ||
Reclassification of security type | 0 | [3] | 0 | [6] | |
Proceeds from sales | 0 | 0 | |||
Proceeds from settlement | (41,468) | (48,633) | |||
Total net gains/(losses) | |||||
Included in net income | [4] | 0 | 0 | ||
Included in other comprehensive income (loss) | [4] | 0 | 0 | ||
Ending Balance | 383,843 | [4] | 579,734 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | 0 | [5] | 0 | [4] | |
Linked Transactions [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 5,082,731 | ||||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | |||
Transfers out of level 3 | [1] | 0 | |||
Purchases/transfers | 0 | ||||
Reclassification of security type | [6] | (5,082,731) | |||
Proceeds from sales | 0 | ||||
Proceeds from settlement | 0 | ||||
Total net gains/(losses) | |||||
Included in net income | [4] | 0 | |||
Included in other comprehensive income (loss) | [4] | 0 | |||
Ending Balance | 0 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | [4] | $ 0 | |||
Securitized Debt [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 0 | ||||
Transfers: | |||||
Transfers into level 3 | [1] | (30,046,861) | |||
Transfers out of level 3 | [1] | 0 | |||
Purchases/transfers | [2] | 0 | |||
Reclassification of security type | [3] | 0 | |||
Proceeds from sales | 0 | ||||
Proceeds from settlement | 1,713,596 | ||||
Total net gains/(losses) | |||||
Included in net income | [4] | 76,576 | |||
Included in other comprehensive income (loss) | [4] | 0 | |||
Ending Balance | [4] | (28,256,689) | |||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | 76,576 | ||||
Loan Participation Payable [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 0 | ||||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | |||
Transfers out of level 3 | [1] | 0 | |||
Purchases/transfers | [2] | (1,564,266) | |||
Reclassification of security type | [3] | 0 | |||
Proceeds from sales | 0 | ||||
Proceeds from settlement | 0 | ||||
Total net gains/(losses) | |||||
Included in net income | [4] | (235,734) | |||
Included in other comprehensive income (loss) | [4] | 0 | |||
Ending Balance | [4] | (1,800,000) | |||
Change in unrealized appreciation/(depreciation) for level 3 assets still held | $ (235,734) | ||||
[1] | Transfers are assumed to occur at the beginning of the period. | ||||
[2] | Transfers represent proceeds from transfer of loan participation. | ||||
[3] | Represents a reclassification from investments in debt and equity of affiliates. | ||||
[4] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||
[5] | Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||
[6] | Represents an accounting reclassification between a linked transaction and a real estate security. |
Fair Value Measurements (Deta40
Fair Value Measurements (Details 2) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | $ (7,388,188) | |
Unrealized gain/(loss) on derivative and other instruments, net | (11,956,002) | $ (8,920,798) |
Interest Income [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Unrealized gain/(loss) on derivative and other instruments, net | (159,158) | |
Fair Value, Inputs, Level 3 [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | (13,098,233) | 4,066,879 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 3,843,396 | |
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 | (5,713,445) | |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (516,240) | |
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 | (16,933) | |
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 | (7,225,630) | 4,083,812 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $ (7,229,030) | $ 4,359,636 |
Fair Value Measurements (Deta41
Fair Value Measurements (Details 3) - Fair Value, Inputs, Level 3 [Member] - USD ($) | 3 Months Ended | 12 Months Ended | |||||
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | ||||
Federal Home Loan Bank of Cincinnati [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 8,015,900 | [1] | $ 8,015,900 | ||||
Fair Value Measurements, Valuation Techniques | [2] | ** | ** | ||||
Yield [Member] | Federal Home Loan Bank of Cincinnati [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | |||||
Yield [Member] | Maximum [Member] | Federal Home Loan Bank of Cincinnati [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 4.00% | 4.00% | |||||
Yield [Member] | Minimum [Member] | Federal Home Loan Bank of Cincinnati [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 4.00% | 4.00% | |||||
Yield [Member] | Weighted Average [Member] | Federal Home Loan Bank of Cincinnati [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 4.00% | 4.00% | |||||
Non-Agency RMBS | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 760,004,764 | [1] | $ 451,677,960 | $ 507,325,282 | $ 455,236,279 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | |||||
Non-Agency RMBS | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | |||||
Non-Agency RMBS | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 21.14% | 16.11% | |||||
Non-Agency RMBS | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | (1.46%) | 0.81% | |||||
Non-Agency RMBS | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.54% | 5.82% | |||||
Non-Agency RMBS | 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 | Projected Collateral Prepayments [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 20.00% | 20.00% | |||||
Non-Agency RMBS | 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 | Projected Collateral Prepayments [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 6.69% | 6.36% | |||||
Non-Agency RMBS | 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 | Projected Collateral Losses [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 38.00% | 38.00% | |||||
Non-Agency RMBS | 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 | Projected Collateral Losses [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 8.45% | 10.27% | |||||
Non-Agency RMBS | 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 | Projected Collateral Severities [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 100.00% | 88.08% | |||||
Non-Agency RMBS | 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 | Projected Collateral Severities [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 46.78% | 31.22% | |||||
Non-Agency RMBS Interest Only [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 4,052,280 | [1] | $ 5,553,734 | 2,219,890 | 0 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | |||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | |||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.18% | 11.40% | |||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | (28.45%) | 10.59% | |||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 23.58% | 10.70% | |||||
Non-Agency RMBS 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 | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 25.00% | 25.00% | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 25.00% | 25.00% | |||||
Non-Agency RMBS 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 | 25.00% | 25.00% | |||||
Non-Agency RMBS 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 | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Losses [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 1.00% | 1.00% | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Losses [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 1.00% | 1.00% | |||||
Non-Agency RMBS 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 | 1.00% | 1.00% | |||||
Non-Agency RMBS 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 | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Severities [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.00% | 10.00% | |||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Severities [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.00% | 10.00% | |||||
Non-Agency RMBS 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 | 10.00% | 10.00% | |||||
ABS [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 64,643,140 | [1] | $ 54,761,837 | 69,067,254 | 66,693,243 | ||
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 | 7.02% | 7.57% | |||||
ABS [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 2.45% | 2.44% | |||||
ABS [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.29% | 5.62% | |||||
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 | 1.50% | 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 | 77.58% | 79.96% | |||||
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 | 5.85% | 6.06% | |||||
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 | 0.00% | 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 | 0.00% | 10.98% | |||||
CMBS [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 86,980,005 | [1] | $ 91,024,418 | 53,810,559 | 39,343,274 | ||
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 | 17.94% | 16.87% | |||||
CMBS [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 3.53% | 3.94% | |||||
CMBS [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.61% | 5.83% | |||||
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 | 20.00% | 20.00% | |||||
CMBS [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 0.00% | 0.00% | |||||
CMBS [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 0.53% | 0.37% | |||||
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% | |||||
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 | $ 17,126,868 | [1] | $ 14,077,716 | 6,006,027 | 6,125,949 | ||
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 | 11.30% | 7.28% | |||||
CMBS Interest Only [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 3.43% | 5.78% | |||||
CMBS Interest Only [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 6.43% | 6.67% | |||||
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% | |||||
Residential Mortgage Loans [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 56,709,105 | $ 57,080,227 | |||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | |||||
Residential Mortgage Loans [Member] | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | |||||
Residential Mortgage Loans [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 43.37% | 38.49% | |||||
Residential Mortgage Loans [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 6.96% | 6.27% | |||||
Residential Mortgage Loans [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 9.24% | 8.70% | |||||
Residential Mortgage Loans [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 Loans [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 7.92% | 7.41% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 4.31% | 3.42% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 6.86% | 6.54% | |||||
Residential Mortgage Loans [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 Loans [Member] | Projected Collateral Losses [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 11.67% | 12.26% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Losses [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 7.78% | 6.32% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.15% | 10.17% | |||||
Residential Mortgage Loans [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 Loans [Member] | Projected Collateral Severities [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 38.94% | 37.47% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Severities [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 28.95% | 28.10% | |||||
Residential Mortgage Loans [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 35.22% | 34.05% | |||||
Commercial Loans [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 84,800,000 | [1] | $ 72,800,000 | 72,800,000 | 72,800,000 | ||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | |||||
Commercial Loans [Member] | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | Yield | |||||
Commercial Loans [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 24.18% | 16.13% | |||||
Commercial Loans [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.75% | 5.72% | |||||
Commercial Loans [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 9.20% | 8.30% | |||||
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 | 13.00% | 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% | 0.00% | |||||
Commercial Loans [Member] | Credit Spread [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 7.00% | 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* | [3] | Recovery Percentage* | [4] | |||
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% | |||||
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 | $ 383,843 | [1] | $ 425,311 | $ 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 | Yield | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 7.67% | 11.51% | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.94% | 5.49% | |||||
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 | 6.15% | 6.33% | |||||
Loan Participation Payable [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ (1,800,000) | [1] | $ 0 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | ||||||
Loan Participation Payable [Member] | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | ||||||
Loan Participation Payable [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 24.18% | ||||||
Loan Participation Payable [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 24.18% | ||||||
Loan Participation Payable [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 24.18% | ||||||
Loan Participation Payable [Member] | Credit Spread [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Credit Spread | ||||||
Loan Participation Payable [Member] | Credit Spread [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.00% | ||||||
Loan Participation Payable [Member] | Credit Spread [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.00% | ||||||
Loan Participation Payable [Member] | Credit Spread [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 10.00% | ||||||
Loan Participation Payable [Member] | Recovery Percentage [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Recovery Percentage* | ||||||
Loan Participation Payable [Member] | Recovery Percentage [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | [3] | 100.00% | |||||
Loan Participation Payable [Member] | Recovery Percentage [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | [3] | 100.00% | |||||
Loan Participation Payable [Member] | Recovery Percentage [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | [3] | 100.00% | |||||
Securitized Debt [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ (28,256,689) | [1] | $ 0 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | ||||||
Securitized Debt [Member] | Yield [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Yield | ||||||
Securitized Debt [Member] | Yield [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 3.11% | ||||||
Securitized Debt [Member] | Yield [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 3.11% | ||||||
Securitized Debt [Member] | Yield [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 3.11% | ||||||
Securitized Debt [Member] | Projected Collateral Prepayments [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | ||||||
Securitized Debt [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 12.00% | ||||||
Securitized Debt [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 12.00% | ||||||
Securitized Debt [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 12.00% | ||||||
Securitized Debt [Member] | Projected Collateral Losses [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Losses | ||||||
Securitized Debt [Member] | Projected Collateral Losses [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.50% | ||||||
Securitized Debt [Member] | Projected Collateral Losses [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.50% | ||||||
Securitized Debt [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 5.50% | ||||||
Securitized Debt [Member] | Projected Collateral Severities [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Severities | ||||||
Securitized Debt [Member] | Projected Collateral Severities [Member] | Maximum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 43.00% | ||||||
Securitized Debt [Member] | Projected Collateral Severities [Member] | Minimum [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 43.00% | ||||||
Securitized Debt [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | |||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |||||||
Fair Value Input Interest Rate | 43.00% | ||||||
[1] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||||
[2] | Fair value of the FHLBC stock approximates outstanding face amount as the Company's wholly-owned subsidiary is restricted from trading the stock and can only put the stock back to the FHLBC, at the FHLBC's discretion, at par. | ||||||
[3] | Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2016. | ||||||
[4] | Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2015. |
Fair Value Measurements (Deta42
Fair Value Measurements (Details Textual) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016 | Feb. 29, 2016 | Feb. 12, 2016 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Loans and Leases Receivable, Gross, Commercial, Total | $ 12 | $ 12 | |
Percentage Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | 15.00% | 15.00% | |
Non-Agency RMBS [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Fair Value, Measurement With Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers Into Level 3 | $ 341.1 | ||
Securitized debt instrument [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Liability, Transfers Into Level 3 | $ 30 |
Repurchase Agreements and FHL43
Repurchase Agreements and FHLBC Advances (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 2,050,009,074 | $ 1,739,198,658 | |
Weighted Average Rate | 1.40% | 1.46% | |
Weighted Average Haircut | 12.00% | 13.90% | |
Fair Value Pledged | $ 2,400,803,025 | $ 2,079,752,050 | |
Amortized Cost | 2,375,592,045 | 2,060,654,016 | |
Accrued Interest | 7,285,386 | 6,734,454 | |
Non-Agency Rmbs [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | 0 | ||
Residential Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 33,987,376 | $ 50,606,302 | |
Weighted Average Rate | 2.94% | 2.93% | |
Weighted Average Funding Cost | 3.07% | 3.18% | |
Weighted Average Haircut | 32.60% | 0.00% | [1] |
Fair Value Pledged | $ 50,650,246 | $ 50,686,922 | |
Amortized Cost | 48,176,665 | 48,426,156 | |
Accrued Interest | 58,795 | 53,074 | |
Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 42,796,000 | $ 42,796,000 | |
Weighted Average Rate | 2.68% | 2.67% | |
Weighted Average Funding Cost | 3.72% | 3.62% | |
Weighted Average Haircut | 31.80% | 31.80% | |
Fair Value Pledged | $ 62,800,000 | $ 62,800,000 | |
Amortized Cost | 62,759,244 | 62,690,578 | |
Accrued Interest | 1,052,626 | 941,247 | |
US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 430,123,750 | $ 202,362,500 | |
Weighted Average Rate | 0.57% | 0.42% | |
Weighted Average Haircut | 0.52% | 0.57% | |
Fair Value Pledged | $ 432,376,875 | $ 203,520,859 | |
Amortized Cost | 428,972,852 | 205,763,477 | |
Accrued Interest | 975,575 | 693,430 | |
Overnight | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 430,123,750 | $ 202,362,500 | |
Weighted Average Rate | 0.57% | 0.42% | |
Weighted Average Haircut | 0.52% | 0.57% | |
Fair Value Pledged | $ 432,376,875 | $ 203,520,859 | |
Amortized Cost | 428,972,852 | 205,763,477 | |
Accrued Interest | 975,575 | 693,430 | |
30 days or less [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 1,381,399,000 | $ 1,052,983,000 | |
Weighted Average Rate | 1.30% | 1.43% | |
Weighted Average Haircut | 12.50% | 15.40% | |
Fair Value Pledged | $ 1,608,225,524 | $ 1,268,366,695 | |
Amortized Cost | 1,591,368,251 | 1,256,686,536 | |
Accrued Interest | 5,121,864 | 4,308,583 | |
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% | [1] |
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 | $ 0 | |
Weighted Average Rate | 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] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 138,255,000 | $ 245,124,000 | |
Weighted Average Rate | 1.48% | 1.23% | |
Weighted Average Haircut | 11.10% | 11.80% | |
Fair Value Pledged | $ 156,115,130 | $ 281,093,633 | |
Amortized Cost | 157,014,464 | 280,893,609 | |
Accrued Interest | 502,301 | 887,640 | |
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% | [1] |
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 | $ 0 | |
Weighted Average Rate | 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] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 165,811,000 | $ 76,739,000 | |
Weighted Average Rate | 1.45% | 1.98% | |
Weighted Average Haircut | 13.80% | 21.10% | |
Fair Value Pledged | $ 195,833,906 | $ 98,349,611 | |
Amortized Cost | 195,056,307 | 97,456,598 | |
Accrued Interest | 533,650 | 222,769 | |
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% | [1] |
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% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | $ 0 | $ 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | 0 | 0 | |
Greater than 90 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 364,544,074 | $ 364,352,658 | |
Weighted Average Rate | 1.73% | 1.57% | |
Weighted Average Haircut | 9.80% | 9.40% | |
Fair Value Pledged | $ 440,628,465 | $ 431,942,111 | |
Amortized Cost | 432,153,023 | 425,617,273 | |
Accrued Interest | 1,127,571 | 1,315,462 | |
Greater than 90 days [Member] | Residential Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 33,987,376 | $ 50,606,302 | |
Weighted Average Rate | 2.94% | 2.93% | |
Weighted Average Funding Cost | 3.07% | 3.18% | |
Weighted Average Haircut | 32.60% | 0.00% | [1] |
Fair Value Pledged | $ 50,650,246 | $ 50,686,922 | |
Amortized Cost | 48,176,665 | 48,426,156 | |
Accrued Interest | 58,795 | 53,074 | |
Greater than 90 days [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 42,796,000 | $ 42,796,000 | |
Weighted Average Rate | 2.68% | 2.67% | |
Weighted Average Funding Cost | 3.72% | 3.62% | |
Weighted Average Haircut | 31.80% | 31.80% | |
Fair Value Pledged | $ 62,800,000 | $ 62,800,000 | |
Amortized Cost | 62,759,244 | 62,690,578 | |
Accrued Interest | 1,052,626 | 941,247 | |
Greater than 90 days [Member] | US Treasury Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 0 | $ 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
Weighted Average Haircut | 0.00% | 0.00% | |
Fair Value Pledged | $ 0 | $ 0 | |
Amortized Cost | 0 | 0 | |
Accrued Interest | $ 0 | $ 0 | |
[1] | As of December 31, 2015, the Company had a total of $74.0 million of collateral pledged, comprised of $50.7 million of financial instruments and $23.3 million of cash from loan sales, which at December 31, 2015 was held by the Company's broker. The haircut based on total collateral pledged is 31.1% as of December 31, 2015. |
Repurchase Agreements and FHL44
Repurchase Agreements and FHLBC Advances (Details 1) | Dec. 31, 2015USD ($) |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | $ 396,894,000 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.42% |
Federal Home Loan Bank Advances Weighted Average Haircut | 0.50% |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 404,182,408 |
Federal Home Loan Bank Advances Amortized Cost | 402,276,331 |
Federal Home Loan Bank Advances Accrued Interest | 1,137,230 |
Maturity Up To 30 Days [Member] | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | $ 186,449,500 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.36% |
Federal Home Loan Bank Advances Weighted Average Haircut | 0.20% |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 187,002,677 |
Federal Home Loan Bank Advances Amortized Cost | 186,972,618 |
Federal Home Loan Bank Advances Accrued Interest | 550,689 |
Maturity 31 To 60 Days [Member] | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | $ 39,750,000 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.44% |
Federal Home Loan Bank Advances Weighted Average Haircut | 2.70% |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 40,857,352 |
Federal Home Loan Bank Advances Amortized Cost | 40,726,086 |
Federal Home Loan Bank Advances Accrued Interest | 115,211 |
Maturity 61 To 90 Days [Member] | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | $ 170,694,500 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.49% |
Federal Home Loan Bank Advances Weighted Average Haircut | 0.30% |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 176,322,379 |
Federal Home Loan Bank Advances Amortized Cost | 174,577,627 |
Federal Home Loan Bank Advances Accrued Interest | 471,330 |
Maturity Over 90 Days [Member] | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Amount of Advances | $ 0 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.00% |
Federal Home Loan Bank Advances Weighted Average Haircut | 0.00% |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 0 |
Federal Home Loan Bank Advances Amortized Cost | 0 |
Federal Home Loan Bank Advances Accrued Interest | $ 0 |
Repurchase Agreements and FHL45
Repurchase Agreements and FHLBC Advances (Details 2) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 16,539,634 | $ 16,662,156 | |
Total collateral pledged under Repurchase agreements and FHLBC advances | 2,963,169,780 | 2,817,604,395 | |
US Treasury Securities [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Treasury securities, at fair value | 432,376,875 | 203,520,859 | |
Agency RMBS [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Trading Securities Pledged as Collateral | [1] | 1,080,543,560 | 1,128,962,588 |
Credit Investments: Non-Agency RMBS [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Trading Securities Pledged as Collateral | 1,112,048,620 | 1,157,357,871 | |
ABS [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Trading Securities Pledged as Collateral | 64,643,140 | 54,761,837 | |
CMBS [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Trading Securities Pledged as Collateral | 143,567,705 | 142,852,162 | |
Residential Mortgage Loans [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Loans Pledged as Collateral | 50,650,246 | 50,686,922 | |
Commercial Mortgage Loans [Member] | |||
Schedule Of Securities Collateral Information Line Items [Line Items] | |||
Loans Pledged as Collateral | $ 62,800,000 | $ 62,800,000 | |
[1] | Collateral for FHLBC advances consist solely of Agency RMBS. |
Repurchase Agreements and FHL46
Repurchase Agreements and FHLBC Advances (Details 3) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | $ 2,556,916,200 | $ 2,034,963,460 |
Advances from Federal Home Loan Banks | 0 | 396,894,000 |
Agency RMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Advances from Federal Home Loan Banks | 0 | 396,894,000 |
Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 1,017,072,000 | 676,679,000 |
Credit Investments: Non-Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 876,448,074 | 914,276,658 |
ABS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 50,575,000 | 43,544,000 |
CMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 105,914,000 | 104,699,000 |
Residential Mortgage Loans [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 33,987,376 | 50,606,302 |
Commercial Mortgage Loans [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 42,796,000 | 42,796,000 |
US Treasury Securities [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | $ 430,123,750 | $ 202,362,500 |
Repurchase Agreements and FHL47
Repurchase Agreements and FHLBC Advances (Details 4) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $ 2,556,916,200 | $ 2,034,963,460 |
FHLBC advances | 0 | 396,894,000 |
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,556,916,200 | 2,034,963,460 |
FHLBC advances | 396,894,000 | |
Total | 2,431,857,460 | |
Gross Amounts Offset In The Consolidated Balance Sheet [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 0 | 0 |
FHLBC advances | 0 | |
Total | 0 | |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheet [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,556,916,200 | 2,034,963,460 |
FHLBC advances | 396,894,000 | |
Total | 2,431,857,460 | |
Gross Amounts Not Offset in the Statement of Financial Position [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,556,916,200 | 2,034,963,460 |
FHLBC advances | 396,894,000 | |
Total | 2,431,857,460 | |
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 |
FHLBC advances | 0 | |
Total | 0 | |
Net Amount [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $ 0 | 0 |
FHLBC advances | 0 | |
Total | $ 0 |
Repurchase Agreements and FHL48
Repurchase Agreements and FHLBC Advances (Details 5) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Wells Fargo Bank, N.A [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 75,700,781 | $ 59,863,639 |
Weighted Average Maturity (days) | 594 days | 543 days |
Percentage of Stockholders' Equity | 12.00% | 9.00% |
JP Morgan Securities, LLC [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 43,474,663 | $ 45,341,579 |
Weighted Average Maturity (days) | 179 days | 187 days |
Percentage of Stockholders' Equity | 7.00% | 7.00% |
RBC (Barbados) Trading Bank Corporation [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 35,157,707 | $ 41,788,752 |
Weighted Average Maturity (days) | 28 days | 44 days |
Percentage of Stockholders' Equity | 5.00% | 6.00% |
Credit Suisse Securities, LLC [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 33,889,842 | $ 40,797,732 |
Weighted Average Maturity (days) | 114 days | 44 days |
Percentage of Stockholders' Equity | 5.00% | 6.00% |
Repurchase Agreements and FHL49
Repurchase Agreements and FHLBC Advances (Details Textual) - USD ($) $ in Millions | Aug. 04, 2015 | Dec. 31, 2015 | Mar. 31, 2016 | Feb. 26, 2016 | Apr. 13, 2015 | Sep. 17, 2014 |
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 200 | |||||
Long-term Debt, Gross | $ 98.7 | |||||
Available For Sale Securities Pledged As Collateral Percentage | 31.10% | |||||
Available-for-sale Securities Pledged as Collateral | $ 74 | |||||
Cash [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Available-for-sale Securities Pledged as Collateral | 23.3 | |||||
Financial Instruments [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Available-for-sale Securities Pledged as Collateral | $ 50.7 | |||||
Wells Fargo Bank, N.A [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 100 | |||||
Wells Fargo Securities LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Additional Borrowings Under Repurchase Agreement | $ 20.3 | |||||
Goldman, Sachs Co.AG MIT, LLC [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 80 | |||||
AG MIT WFB1 [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Long-term Debt, Gross | 34 | |||||
AG MIT CREL [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | 150 | 150 | ||||
Long-term Debt, Gross | $ 42.8 | $ 42.8 | $ 42.8 |
Derivatives (Details)
Derivatives (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Interest rate swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | $ (22,510,107) | $ (6,722,170) |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 0 | 1,755,467 |
TBAs [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | (561,332) | (141,600) |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 419,340 | 0 |
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 | $ 432,376,875 | $ 223,434,922 |
Derivatives (Details 1)
Derivatives (Details 1) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 899,000,000 | $ 969,000,000 |
Long [Member] | Float Interest Rate Swap Agreements [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 899,000,000 | 969,000,000 |
Notional amount of TBAs [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 0 | 75,000,000 |
US Treasury Securities [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 426,000,000 | $ 226,000,000 |
Derivatives (Details 2)
Derivatives (Details 2) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Interest rate swaps, at fair value [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | $ (17,901,375) | $ (9,681,958) | |
Net realized gain/(loss) | (2,893,517) | (12,095,409) | |
TBAs [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | [1] | (392) | 686,330 |
Net realized gain/(loss) | [1] | 205,664 | 2,155,078 |
Long positions on U.S. Treasuries [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | 5,992,733 | 649,023 | |
Net realized gain/(loss) | 314,766 | (1,263,672) | |
Short positions on U.S. Treasuries [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | (369,141) | |
Net realized gain/(loss) | $ 0 | $ (442,969) | |
[1] | For the three months ended March 31, 2016, gains and losses from purchases and sales of TBAs consisted of $0.1 million of net TBA dollar roll net interest income and net losses of $0.1 million due to price changes. 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 $1.6 million due to price changes. |
Derivatives (Details 3)
Derivatives (Details 3) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | $ 419,340 | $ 3,195,522 | [1] | ||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | [1] | ||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 419,340 | 3,195,522 | [1] | ||
Derivative Assets, Financial Instruments (Posted)/Received | 0 | 0 | [1] | ||
Derivative Assets, Cash Collateral (Posted)/Received | 0 | 1,820,022 | [1] | ||
Derivative Assets, Net Amount | 419,340 | 1,375,500 | [1] | ||
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (20,618,897) | [2] | (5,493,311) | [3] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [2] | 0 | [3] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | (20,618,897) | [2] | (5,493,311) | [3] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | (561,332) | [2] | (141,600) | [3] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | (20,057,565) | [2] | (5,351,711) | [3] | |
Derivative Liabilities, Net Amount | 0 | [2] | 0 | [3] | |
Interest Rate Swaps [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | [1] | 3,195,522 | |||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | [1] | 0 | |||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | [1] | 3,195,522 | |||
Derivative Assets, Financial Instruments (Posted)/Received | [1] | 0 | |||
Derivative Assets, Cash Collateral (Posted)/Received | [1] | 1,820,022 | |||
Derivative Assets, Net Amount | [1] | 1,375,500 | |||
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (20,057,565) | [2] | (5,351,711) | [3] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [2] | 0 | [3] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | (20,057,565) | [2] | (5,351,711) | [3] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | 0 | [2] | 0 | [3] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | (20,057,565) | [2] | (5,351,711) | [3] | |
Derivative Liabilities, Net Amount | 0 | [2] | 0 | [3] | |
TBAs [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 419,340 | ||||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | ||||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | 419,340 | ||||
Derivative Assets, Financial Instruments (Posted)/Received | 0 | ||||
Derivative Assets, Cash Collateral (Posted)/Received | 0 | ||||
Derivative Assets, Net Amount | 419,340 | ||||
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (561,332) | [2] | (141,600) | [3] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | [2] | 0 | [3] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheet | (561,332) | [2] | (141,600) | [3] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | (561,332) | [2] | (141,600) | [3] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | 0 | [2] | 0 | [3] | |
Derivative Liabilities, Net Amount | $ 0 | [2] | $ 0 | [3] | |
[1] | Included in Derivative Assets on the consolidated balance sheet is $3,195,522 less accrued interest of $1,440,055 for a total of $1,755,467. | ||||
[2] | Included in Derivative Liabilities on the consolidated balance sheet is $20,618,897 plus accrued interest of $2,452,542 for a total of $23,071,439. | ||||
[3] | Included in Derivative Liabilities on the consolidated balance sheet is $(5,493,311) plus accrued interest of $(1,370,459) for a total of $(6,863,770). |
Derivatives (Details 4)
Derivatives (Details 4) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 899,000,000 | $ 969,000,000 |
Weighted Average Pay Rate | 1.54% | 1.59% |
Weighted Average Receive Rate | 0.63% | 0.43% |
Weighted Average Years to Maturity | 4 years 1 month 13 days | 4 years 6 months 22 days |
2017 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 36,000,000 | $ 36,000,000 |
Weighted Average Pay Rate | 0.88% | 0.88% |
Weighted Average Receive Rate | 0.62% | 0.33% |
Weighted Average Years to Maturity | 1 year 7 months 2 days | 1 year 10 months 2 days |
2018 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 165,000,000 | $ 165,000,000 |
Weighted Average Pay Rate | 1.06% | 1.06% |
Weighted Average Receive Rate | 0.63% | 0.50% |
Weighted Average Years to Maturity | 1 year 11 months 12 days | 2 years 2 months 12 days |
2019 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 210,000,000 | $ 210,000,000 |
Weighted Average Pay Rate | 1.29% | 1.29% |
Weighted Average Receive Rate | 0.63% | 0.43% |
Weighted Average Years to Maturity | 3 years 5 months 23 days | 3 years 8 months 23 days |
2020 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 295,000,000 | $ 295,000,000 |
Weighted Average Pay Rate | 1.67% | 1.67% |
Weighted Average Receive Rate | 0.63% | 0.40% |
Weighted Average Years to Maturity | 4 years 7 days | 4 years 3 months 7 days |
2022 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 53,000,000 | $ 73,000,000 |
Weighted Average Pay Rate | 1.69% | 1.75% |
Weighted Average Receive Rate | 0.63% | 0.42% |
Weighted Average Years to Maturity | 6 years 5 months 8 days | 6 years 6 months 11 days |
2023 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 110,000,000 | $ 160,000,000 |
Weighted Average Pay Rate | 2.31% | 2.31% |
Weighted Average Receive Rate | 0.63% | 0.43% |
Weighted Average Years to Maturity | 7 years 2 months 5 days | 7 years 5 months 1 day |
2025 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 30,000,000 | $ 30,000,000 |
Weighted Average Pay Rate | 2.48% | 2.48% |
Weighted Average Receive Rate | 0.64% | 0.45% |
Weighted Average Years to Maturity | 9 years 2 months 5 days | 9 years 5 months 5 days |
Derivatives (Details 5)
Derivatives (Details 5) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | $ 969,000,000 | ||
Ending Net Notional Amount | 899,000,000 | ||
Receivable/(Payable) from/to Broker | (533,263) | $ (2,740,461) | |
Derivative Asset | 419,340 | 1,755,467 | |
Derivative Liability | (23,071,439) | $ (6,863,770) | |
TBAs - Long [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 75,000,000 | $ 225,000,000 | |
Buys or Covers | 45,000,000 | 605,000,000 | |
Sales or Shorts | (120,000,000) | (650,000,000) | |
Ending Net Notional Amount | 0 | 180,000,000 | |
Fair Value as of Period End | 0 | 189,959,769 | |
Receivable/(Payable) from/to Broker | 23,047 | (187,792,969) | |
Derivative Asset | 88,282 | 2,166,800 | |
Derivative Liability | (65,235) | 0 | |
TBAs - Short [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 0 | 0 | |
Buys or Covers | 150,000,000 | 219,000,000 | |
Sales or Shorts | (150,000,000) | (219,000,000) | |
Ending Net Notional Amount | 0 | 0 | |
Fair Value as of Period End | 0 | 0 | |
Receivable/(Payable) from/to Broker | (165,039) | 0 | |
Derivative Asset | 331,058 | 0 | |
Derivative Liability | $ (496,097) | $ 0 |
Derivatives (Details Textual)
Derivatives (Details Textual) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Derivative Assets Before Accrued Interest | $ 3,195,522 | ||
Derivative Assets Accrued Interest | 1,440,055 | ||
Derivative Assets, At Fair Value | $ 419,340 | 1,755,467 | |
Derivative Liabilities Before Accrued Interest | 20,618,897 | (5,493,311) | |
Derivative Liabilities Accrued Interest | 2,452,542 | (1,370,459) | |
Derivative Liability | (23,071,439) | (6,863,770) | |
Unrealized Gain (Loss) on Securities | 8,840,770 | $ 11,259,718 | |
Due to Correspondent Brokers | 533,263 | 2,740,461 | |
Pledged Assets Separately Reported, Real Estate Pledged as Collateral, at Fair Value | 5,000,000 | 4,900,000 | |
Pledged Assets Separately Reported, Other Assets Pledged as Collateral, at Fair Value | 1,800,000 | ||
Proceeds Pledged To Serve Collateral Against Certain Derivatives | 27,300,000 | 15,300,000 | |
TBA [Member] | |||
Derivative [Line Items] | |||
Unrealized Gain (Loss) on Securities | 100,000 | 1,200,000 | |
Unrealized Loss on Securities | 100,000 | $ 1,600,000 | |
Due to Correspondent Brokers | $ 100,000 | $ 77,500,000 |
Earnings per Share (Details)
Earnings per Share (Details) - shares | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 |
Class of Warrant or Right [Line Items] | |||
Outstanding warrants | 1,007,500 | 1,007,500 | |
Unvested restricted stock units previously granted to the Manager | 28,168,928 | 28,286,210 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager | 40,006 | 60,000 |
Earnings per Share (Details 1)
Earnings per Share (Details 1) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Numerator: | ||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ (5,811,781) | $ 9,396,088 |
Denominator: | ||
Basic weighted average common shares outstanding (in shares) | 28,271,930 | 28,387,615 |
Dilutive effect of restricted stock units (in shares) | 0 | 24,590 |
Dilutive weighted average common shares outstanding (in shares) | 28,271,930 | 28,412,205 |
Basic Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $ (0.21) | $ 0.33 |
Diluted Earnings/(Loss) Per Share of Common Stock: (in dollars per share) | $ (0.21) | $ 0.33 |
Earnings per Share (Details 2)
Earnings per Share (Details 2) - Common Stock [Member] - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Declaration Date | Mar. 10, 2016 | Mar. 12, 2015 |
Record Date | Mar. 21, 2016 | Mar. 23, 2015 |
Payment Date | Apr. 29, 2016 | Apr. 30, 2015 |
Dividend Per Share | $ 0.475 | $ 0.60 |
Earnings per Share (Details 3)
Earnings per Share (Details 3) - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Series A Preferred Stock One [Member] | ||
Declaration Date | Feb. 12, 2016 | Feb. 12, 2015 |
Record Date | Feb. 29, 2016 | Feb. 27, 2015 |
Payment Date | Mar. 17, 2016 | Mar. 17, 2015 |
Dividend Per Share | $ 0.51563 | $ 0.51563 |
Series B Preferred Stock one [Member] | ||
Declaration Date | Feb. 12, 2016 | Feb. 12, 2015 |
Record Date | Feb. 29, 2016 | Feb. 27, 2015 |
Payment Date | Mar. 17, 2016 | Mar. 17, 2015 |
Dividend Per Share | $ 0.50 | $ 0.50 |
Earnings per Share (Details Tex
Earnings per Share (Details Textual) | 3 Months Ended |
Mar. 31, 2016shares | |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 14,960 |
Income Taxes (Details Textual)
Income Taxes (Details Textual) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Excise Tax Expenses | $ 0.4 | $ 0.4 |
Related Party Transactions (Det
Related Party Transactions (Details Textual) - USD ($) | 1 Months Ended | 3 Months Ended | |||||
Mar. 31, 2016 | Dec. 31, 2015 | Jul. 31, 2015 | Jul. 31, 2014 | Mar. 31, 2016 | Mar. 31, 2015 | May. 31, 2015 | |
Related Party Transaction [Line Items] | |||||||
Management fee to affiliate | $ 2,450,143 | $ 2,507,090 | |||||
Noninterest Expense Directors Fees | 90,000 | ||||||
Non Reimbursable expenses Incurred By Manager | $ 1,800,000 | $ 1,800,000 | |||||
Management Fee Percentage | 1.50% | 1.50% | |||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 300,000 | $ 300,000 | $ 300,000 | ||||
Investments in and Advances to Affiliates, at Fair Value | 40,450,755 | 43,040,191 | 40,450,755 | ||||
Fees Paid to Asset Manager | 120,000 | ||||||
AG Arc LLC [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Long-term Purchase Commitment, Amount | 13,400,000 | 13,400,000 | |||||
Arms Length Transaction One [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Ownership Interest in Assets Contributed to Securitization | 10.00% | ||||||
Arms Length Transaction One [Member] | Non-Agency [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in and Advances to Affiliates, at Fair Value | 4,300,000 | 3,000,000 | 4,300,000 | ||||
Arms Length Transaction Two [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Ownership Interest in Assets Contributed to Securitization | 7.50% | ||||||
Arms Length Transaction Two [Member] | Non-Agency [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in and Advances to Affiliates, at Fair Value | 5,300,000 | $ 5,200,000 | 5,300,000 | ||||
CMBS [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in and Advances to Affiliates, at Fair Value | $ 1,400,000 | $ 1,400,000 | |||||
Manager Equity Incentive Plan [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
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 | 139,902 | 139,902 | |||||
Manager [Member] | July 1, 2015 [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 20,000 | ||||||
Manager [Member] | July 1, 2016 [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 20,000 | ||||||
Manager [Member] | July 1, 2017 [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 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 | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 20,000 | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Beginning Balance | 40,000 | 40,000 |
Equity (Details)
Equity (Details) - Repurchase [Member] | 3 Months Ended | |
Mar. 31, 2016$ / sharesshares | [1] | |
Stock Repurchased During Period, Shares | 119,606 | |
Shares Issued, Price Per Share | $ / shares | $ 12.86 | [2] |
Maximum [Member] | ||
Weighted Average Number of Shares, Common Stock Subject to Repurchase or Cancellation | 21,790,786 | [3] |
Publicly Announced Program [Member] | ||
Stock Repurchased During Period, Shares | 246,321 | |
March Purchases [Member] | ||
Stock Repurchased During Period, Shares | 119,606 | |
Shares Issued, Price Per Share | $ / shares | $ 12.86 | [2] |
March Purchases [Member] | Maximum [Member] | ||
Weighted Average Number of Shares, Common Stock Subject to Repurchase or Cancellation | 21,790,786 | [3] |
March Purchases [Member] | Publicly Announced Program [Member] | ||
Stock Repurchased During Period, Shares | 246,321 | |
[1] | Based on trade date. The Program was announced on November 4, 2015. The Program does not have an expiration date. | |
[2] | Includes brokerage commissions and clearing fees. | |
[3] | The maximum dollar amount authorized was $25.0 million. |
Equity (Details Textual)
Equity (Details Textual) - USD ($) | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Nov. 03, 2015 | May. 06, 2015 | |
Class of Stock [Line Items] | ||||
Capital Available For Issuance | $ 750,000,000 | $ 750,000,000 | ||
Payments for Repurchase of Common Stock | 2,736,322 | $ 0 | ||
Stock Repurchase Program, Authorized Amount | 25,000,000 | $ 25,000,000 | ||
Repurchase [Member] | ||||
Class of Stock [Line Items] | ||||
Payments for Repurchase of Common Stock | $ 119,606 | |||
Shares Issued, Price Per Share | $ 12.86 | |||
Treasury Stock, Value, Acquired, Cost Method | $ 1,500,000 | |||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | 21,800,000 | |||
Series A Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, Liquidation Preference, Value (in dollars per share) | $ 25 | |||
Dividend | 8.25% | |||
Series B Preferred Stock [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 |
Commitments and Contingencies (
Commitments and Contingencies (Details Textual) - USD ($) $ in Millions | 1 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Amount Committed Under Long Term Purchase Commitment | $ 30 | |
AG Arc LLC [Member] | ||
Long-term Purchase Commitment, Amount | $ 13.4 | $ 13.4 |