Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | Apr. 24, 2017 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2017 | |
Document Fiscal Year Focus | 2,017 | |
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 | 27,705,230 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Assets | ||
Residential mortgage loans, at fair value - $32,176,699 and $31,031,107 pledged as collateral, respectively | $ 36,255,911 | $ 38,195,576 |
Commercial loans, at fair value - $32,800,000 pledged as collateral | 58,274,488 | 60,068,800 |
Investments in debt and equity of affiliates | 69,535,781 | 72,215,919 |
Excess mortgage servicing rights, at fair value | 1,056,123 | 412,648 |
Cash and cash equivalents | 29,647,529 | 52,469,891 |
Restricted cash | 22,731,213 | 26,583,527 |
Interest receivable | 8,780,704 | 8,570,383 |
Receivable on unsettled trades - $12,881,953 and $3,057,814 pledged as collateral, respectively | 12,884,982 | 3,633,161 |
Receivable under reverse repurchase agreements | 0 | 22,680,000 |
Derivative assets, at fair value | 1,676,948 | 3,703,366 |
Other assets | 4,097,327 | 5,600,341 |
Due from broker | 198,036 | 945,304 |
Total Assets | 2,620,638,328 | 2,628,644,566 |
Liabilities | ||
Repurchase agreements | 1,879,342,522 | 1,900,509,806 |
Securitized debt, at fair value | 19,948,739 | 21,491,710 |
Loan participation payable, at fair value | 0 | 1,800,000 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 0 | 22,365,000 |
Payable on unsettled trades | 31,829,741 | 0 |
Interest payable | 2,450,653 | 2,570,854 |
Derivative liabilities, at fair value | 2,504,861 | 2,907,255 |
Dividend payable | 13,158,404 | 13,157,573 |
Due to affiliates | 4,349,723 | 3,967,622 |
Accrued expenses | 1,007,292 | 1,068,779 |
Taxes payable | 426,883 | 1,717,883 |
Due to broker | 1,013,801 | 1,211,694 |
Total Liabilities | 1,956,032,619 | 1,972,768,176 |
Stockholders’ Equity | ||
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 27,701,902 and 27,700,154 shares issued and outstanding at March 31, 2017 and December 31, 2016, respectively | 277,019 | 277,002 |
Additional paid-in capital | 576,413,720 | 576,276,322 |
Retained earnings/(deficit) | (73,299,035) | (81,890,939) |
Total Stockholders’ Equity | 664,605,709 | 655,876,390 |
Total Liabilities & Stockholders’ Equity | 2,620,638,328 | 2,628,644,566 |
8.25 % Series A Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000,000 shares authorized: | 49,920,772 | 49,920,772 |
8.00 % Series B Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000,000 shares authorized: | 111,293,233 | 111,293,233 |
Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 1,139,152,159 | 1,057,663,726 |
Non-Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 1,027,984,430 | 1,043,017,308 |
ABS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 21,165,442 | 21,231,956 |
CMBS [Member] | ||
Assets | ||
Real estate securities, at fair value: | $ 187,197,255 | $ 211,652,660 |
Consolidated Balance Sheets _Pa
Consolidated Balance Sheets [Parenthetical] - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
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 | 27,701,902 | 27,700,154 |
Common stock, shares outstanding | 27,701,902 | 27,700,154 |
Trade Accounts Receivable [Member] | ||
Investments Pledged As Collateral (in dollars) | $ 12,881,953 | $ 3,057,814 |
Residential mortgage loans [Member] | ||
Loans Pledged as Collateral (in dollars) | 32,176,699 | 31,031,107 |
Commercial loans [Member] | ||
Loans Pledged as Collateral (in dollars) | 32,800,000 | 32,800,000 |
Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 985,926,267 | 972,232,174 |
Non-Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 969,704,864 | 990,985,143 |
ABS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 21,165,442 | 21,231,956 |
CMBS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | $ 171,509,042 | $ 201,464,058 |
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, 2017 | Mar. 31, 2016 | |
Net Interest Income | ||
Interest income | $ 27,959,892 | $ 30,697,158 |
Interest expense | 8,161,412 | 8,560,299 |
Interest Income (Expense), Net | 19,798,480 | 22,136,859 |
Other Income | ||
Net realized gain/(loss) | (2,428,087) | (12,986,658) |
Realized loss on periodic interest settlements of derivative instruments, net | (1,609,977) | (2,377,775) |
Unrealized gain/(loss) on real estate securities and loans, net | 12,750,564 | 8,840,770 |
Unrealized gain/(loss) on derivative and other instruments, net | (125,872) | (11,956,002) |
Other income | 28,037 | 25,391 |
Total other income (loss) | 8,614,665 | (18,454,274) |
Expenses | ||
Management fee to affiliate | 2,475,816 | 2,450,143 |
Other operating expenses | 2,793,234 | 3,046,812 |
Servicing fees | 76,001 | 130,370 |
Equity based compensation to affiliate | 77,478 | 54,971 |
Excise tax | 375,000 | 375,000 |
Total expenses | 5,797,529 | 6,057,296 |
Income/(loss) before equity in earnings/(loss) from affiliates | 22,615,616 | (2,374,711) |
Equity in earnings/(loss) from affiliates | 2,502,046 | (69,716) |
Net Income/(Loss) | 25,117,662 | (2,444,427) |
Dividends on preferred stock | 3,367,354 | 3,367,354 |
Net Income/(Loss) Available to Common Stockholders | $ 21,750,308 | $ (5,811,781) |
Earnings/(Loss) Per Share of Common Stock | ||
Basic (in dollars per share) | $ 0.79 | $ (0.21) |
Diluted (in dollars per share) | $ 0.78 | $ (0.21) |
Weighted Average Number of Shares of Common Stock Outstanding | ||
Basic (in shares) | 27,701,902 | 28,271,930 |
Diluted (in shares) | 27,709,037 | 28,271,930 |
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, 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 | |||||
Balance at Dec. 31, 2016 | 655,876,390 | $ 277,002 | 49,920,772 | 111,293,233 | 576,276,322 | (81,890,939) |
Balance (in shares) at Dec. 31, 2016 | 27,700,154 | |||||
Grant of restricted stock and amortization of equity based compensation | 137,415 | $ 17 | 0 | 0 | 137,398 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | 1,748 | |||||
Common dividends declared | (13,158,404) | $ 0 | 0 | 0 | 0 | (13,158,404) |
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) | 25,117,662 | 0 | 0 | 0 | 0 | 25,117,662 |
Balance at Mar. 31, 2017 | $ 664,605,709 | $ 277,019 | $ 49,920,772 | $ 111,293,233 | $ 576,413,720 | $ (73,299,035) |
Balance (in shares) at Mar. 31, 2017 | 27,701,902 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 25,117,662 | $ (2,444,427) |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | 913,608 | 2,325,974 |
Net realized (gain)/loss | 2,428,087 | 12,986,658 |
Unrealized (gains)/losses on real estate securities and loans, net | (12,750,564) | (8,840,770) |
Unrealized (gains)/losses on derivative and other instruments, net | 125,872 | 11,956,002 |
Equity based compensation to affiliate | 77,478 | 54,971 |
Equity based compensation expense | 59,937 | 29,964 |
Change in operating assets/liabilities: | ||
Interest receivable | (211,830) | (21,029) |
Other assets | (230,376) | 386,237 |
Due from broker | 20,628 | (57,492) |
Interest payable | 1,918,238 | (81,489) |
Due to affiliates | 382,101 | (133,248) |
Accrued expenses | (61,487) | (377,725) |
Taxes payable | (1,291,000) | (1,135,000) |
Net cash provided by (used in) operating activities | 16,498,354 | 14,648,626 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (218,093,692) | (19,691,051) |
Origination of commercial loans | 0 | (10,428,437) |
Purchase of commercial loans | (10,270,833) | 0 |
Purchase of U.S. Treasury securities | 0 | (358,417,649) |
Purchase of excess mortgage servicing rights | (563,826) | 0 |
Investments in debt and equity of affiliates | 0 | (847,210) |
Proceeds from sales of real estate securities | 119,058,418 | 29,872,376 |
Proceeds from sales of residential mortgage loans | 4,512,819 | 23,267,693 |
Proceeds from sales of U.S. treasury securities | 0 | 155,434,431 |
Distributions received from investments in debt and equity of affiliates | 2,664,032 | 308,492 |
Principal repayments on real estate securities | 84,658,215 | 69,516,938 |
Principal repayments on commercial loans | 12,301,688 | 0 |
Principal repayments on residential mortgage loans | 673,963 | 326,292 |
Net proceeds from/(payments made) on reverse repurchase agreements | 22,680,932 | 0 |
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements | (22,413,242) | 0 |
Net settlement of interest rate swaps and other instruments | (2,010,157) | (2,893,517) |
Net settlement of TBAs | (242,031) | 205,664 |
Cash flows provided by/(used in) other investing activities | 1,987,792 | 174,139 |
Restricted cash provided by/(used in) investing activities | (4,509,621) | (1,144,043) |
Net cash provided by/(used in) investing activities | (9,565,543) | (114,315,882) |
Cash Flows from Financing Activities | ||
Repurchase of common stock | 0 | (2,736,322) |
Borrowings under repurchase agreements | 6,201,064,049 | 25,749,833,423 |
Borrowings under FHLBC advances | 0 | 147,215,991 |
Repayments of repurchase agreements | (6,223,001,433) | (25,227,880,683) |
Repayments of FHLBC advances | 0 | (544,109,991) |
Proceeds from transfer of loan participation | 0 | 1,564,266 |
Repayments of loan participation | (1,800,000) | 0 |
Net collateral received from/(paid to) derivative counterparty | (204,004) | (13,538,936) |
Net collateral received from/(paid to) repurchase counterparty | 10,711,142 | 622,447 |
Dividends paid on common stock | (13,157,573) | (13,496,139) |
Dividends paid on preferred stock | (3,367,354) | (3,367,354) |
Net cash provided by/(used in) financing activities | (29,755,173) | 94,106,702 |
Net change in cash and cash equivalents | (22,822,362) | (5,560,554) |
Cash and cash equivalents, Beginning of Period | 52,469,891 | 46,253,291 |
Cash and cash equivalents, End of Period | 29,647,529 | 40,692,737 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on repurchase agreements and FHLBC advances | 7,884,141 | 7,877,486 |
Cash paid for income tax | 1,715,729 | 1,563,625 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 13,158,404 | 13,423,355 |
Decrease in securitized debt | 1,575,619 | 1,713,596 |
Transfer from residential mortgage loans to other assets | 924,712 | 717,815 |
Transfer from investments in debt and equity of affiliates to CMBS | $ 0 | $ 3,103,111 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2017 | |
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, pursuant to a management agreement. 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 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, 2017 | |
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 statement 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, 2017 and December 31, 2016, 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 sheets. Any cash held by the Company as collateral is included in the “Due to broker” line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the “Due from broker” line item on the consolidated balance sheets and in cash flows from operating 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. Restricted cash does not include variation margin on centrally cleared derivatives. See Note 7 for more detail. 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 sheets 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 sheets 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 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.” When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 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, 2017 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. At purchase, the Company aggregates its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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 sheets 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, 2017 and December 31, 2016, these investments had a fair market value of $ 65.0 69.0 In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“AG Arc”), formed Arc Home LLC (“Arc Home”). The Company invests in Arc Home through AG Arc, and has chosen to make a fair value election on AG Arc pursuant to ASC 825. As of March 31, 2017 and December 31, 2016, the Company’s interest in AG Arc had a fair market value of $ 13.0 12.9 See Note 10 for more detail. The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets 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 (“ Excess Excess Excess 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 12.0 1.8 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 sheets or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheets, 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, exclusive of interest-only securities), 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 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, subject to a defined grace period. Upon the termination of membership, the FHLB must liquidate all outstanding advances to Excluded Captives and settle all other business transactions in accordance with the Final Rule. In addition, all FHLB stock held by the terminated Excluded Captive will be repurchased or redeemed at the FHLB’s discretion. Therefore, MITT Insurance must completely wind down all business relationships with the FHLBC, including the repayment of all outstanding advances, prior to or simultaneously with the termination of MITT Insurance’s membership with the FHLBC. As a result of the Final Rule, MITT Insurance exited all FHLBC Advances and as of March 31, 2017, the Company had no outstanding advances with the FHLBC. See the “Other investments” section below for a discussion on FHLBC stock. 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, 2017 and December 31, 2016, the Company has met all margin call requirements. At March 31, 2017 and December 31, 2016 the Company owned FHLBC stock totaling $ 2,000 0.0 0.1 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, if or when hedge accounting is elected, 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, 2017 and December 31, 2016, 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. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) 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 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.” The Company presents the purchase or sale of TBAs |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities Disclosure [Text Block] | 3. Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of March 31, 2017 and December 31, 2016. 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 Premium / Current Face (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 795,817,022 $ 35,108,203 $ 830,925,225 $ 3,899,726 $ (4,306,739) $ 830,518,212 3.77 % 3.10 % Fixed Rate CMO 60,704,906 506,092 61,210,998 562,363 - 61,773,361 3.00 % 2.80 % ARM 200,950,940 (1,355,918) 199,595,022 4,109,411 - 203,704,433 2.35 % 2.84 % Interest Only 414,327,995 (373,654,218) 40,673,777 2,699,293 (216,917) 43,156,153 2.66 % 7.20 % Credit Securities: Non-Agency RMBS 1,226,010,323 (228,031,492) 997,978,831 34,646,764 (8,199,115) 1,024,426,480 4.38 % 5.89 % Non-Agency RMBS Interest Only 431,288,095 (427,553,700) 3,734,395 24,943 (201,388) 3,557,950 0.26 % 12.04 % ABS 21,120,000 (315,249) 20,804,751 360,691 - 21,165,442 5.54 % 6.43 % CMBS 190,198,166 (55,450,498) 134,747,668 1,226,257 (1,698,597) 134,275,328 5.15 % 6.12 % CMBS Interest Only 1,962,008,869 (1,911,688,650) 50,320,219 2,609,139 (7,431) 52,921,927 0.41 % 6.54 % Total $ 5,302,426,316 $ (2,962,435,430) $ 2,339,990,886 $ 50,138,587 $ (14,630,187) $ 2,375,499,286 2.22 % 4.64 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item in the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table details the Company’s real estate securities portfolio as of December 31, 2016: Gross Unrealized (1) Weighted Average Premium / Current Face (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 713,234,586 $ 28,338,222 $ 741,572,808 $ 3,672,057 $ (5,517,144) $ 739,727,721 3.64 % 2.99 % Fixed Rate CMO 62,570,005 531,431 63,101,436 595,962 - 63,697,398 3.00 % 2.80 % ARM 208,592,111 (1,633,175) 206,958,936 4,385,116 - 211,344,052 2.35 % 2.84 % Interest Only 416,902,327 (375,843,483) 41,058,844 3,033,926 (1,198,215) 42,894,555 2.70 % 8.26 % Credit Securities: Non-Agency RMBS 1,255,224,713 (235,346,323) 1,019,878,390 28,705,591 (9,328,119) 1,039,255,862 4.31 % 6.03 % Non-Agency RMBS Interest Only 449,759,113 (446,027,313) 3,731,800 33,512 (3,866) 3,761,446 0.25 % 12.47 % ABS 22,025,000 (357,022) 21,667,978 100,247 (536,269) 21,231,956 5.43 % 6.32 % CMBS 217,935,976 (56,549,776) 161,386,200 959,842 (2,830,108) 159,515,934 5.15 % 6.16 % CMBS Interest Only 1,967,685,636 (1,916,198,928) 51,486,708 1,001,503 (351,485) 52,136,726 0.41 % 6.48 % Total $ 5,313,929,467 $ (3,003,086,367) $ 2,310,843,100 $ 42,487,756 $ (19,765,206) $ 2,333,565,650 2.18 % 4.76 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item in the consolidated statement of operations. 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 Unrealized Unrealized As of Fair Value Losses Fair Value Losses March 31, 2017 $ 676,054,174 $ (8,939,391) $ 177,211,245 $ (5,690,796) December 31, 2016 756,302,518 (12,017,743) 203,287,535 (7,747,463) 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, 2017 the Company recognized an OTTI charge of $ 2.7 1.0 of cost 1.7 1.1 For the three months ended March 31, 2016 the Company recognized an OTTI charge of $ 9.2 9.2 5.1 The decline in value of the remaining real estate securities is solely due to market conditions and not the credit 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. Agency RMBS (1) Agency IO Credit Securities (2) Weighted Weighted Weighted Average Amortized Average Average Weighted Average Life (3) Fair Value Amortized Cost Coupon Fair Value Cost Coupon Fair Value Amortized Cost Coupon (4) Less than or equal to 1 year $ - $ - - $ - $ - - $ 189,396,318 $ 190,095,347 2.19 % Greater than one year and less than or equal to five years 121,408,564 119,608,406 2.73 % 29,429,401 28,245,790 2.23 % 417,553,689 413,298,729 0.91 % Greater than five years and less than or equal to ten years 974,587,442 972,122,839 3.54 % 13,726,752 12,427,987 5.02 % 386,045,399 373,253,384 2.35 % Greater than ten years - - - - - - 243,351,721 230,938,404 5.85 % Total $ 1,095,996,006 $ 1,091,731,245 3.45 % $ 43,156,153 $ 40,673,777 2.66 % $ 1,236,347,127 $ 1,207,585,864 1.82 % (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, 2016: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Weighted Weighted Average Amortized Average Average Weighted Average Life (3) Fair Value Amortized Cost Coupon Fair Value Cost Coupon Fair Value Amortized Cost Coupon (4) Less than or equal to 1 year $ - $ - - $ - $ - - $ 169,483,329 $ 170,533,908 2.09 % Greater than one year and less than or equal to five years 124,913,463 123,021,262 2.73 % 28,514,942 27,995,835 2.23 % 430,525,739 430,108,024 0.94 % Greater than five years and less than or equal to ten years 808,271,767 806,474,038 3.44 % 14,379,613 13,063,009 5.14 % 425,043,315 418,094,774 2.30 % Greater than ten years 81,583,941 82,137,880 3.10 % - - - 250,849,541 239,414,370 5.88 % Total $ 1,014,769,171 $ 1,011,633,180 3.32 % $ 42,894,555 $ 41,058,844 2.70 % $ 1,275,901,924 $ 1,258,151,076 1.82 % (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, 2017, the Company sold 15 119.1 12.9 1 0.5 0.7 For the three months ended March 31, 2016, the Company sold 6 29.9 41,181 1.4 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. The Company previously 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 that the Company’s the Company’s 29.7 31.5 25.9 27.4 20.0 21.6 19.9 21.5 3.17 3.15 6.87 6.73 19.9 21.5 3.13 3.27 3.89 3.87 |
Loans
Loans | 3 Months Ended |
Mar. 31, 2017 | |
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 Unpaid Principal Premium Gross Unrealized (1) Weighted Average Balance (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 50,152,602 $ (14,787,295) $ 35,365,307 $ 1,330,346 $ (439,742) $ 36,255,911 5.72 % 8.68 % 6.79 (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 columns above represent inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual 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, 2016: Unpaid Principal Premium Gross Unrealized (1) Weighted Average Balance (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 53,827,336 $ (16,491,472) $ 37,335,864 $ 1,262,223 $ (402,511) $ 38,195,576 5.60 % 8.74 % 6.71 (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 columns above represent inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. March 31, 2017 December 31, 2016 Loan Type Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 25,682,700 $ 33,986,956 $ 26,665,750 $ 35,645,382 Non-Performing 10,573,211 16,165,646 11,529,826 18,181,954 $ 36,255,911 $ 50,152,602 $ 38,195,576 $ 53,827,336 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, 2017 or March 31, 2016. As of March 31, 2017 and December 31, 2016 the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 9.7 11.0 Concentration of Credit Risk March 31, 2017 December 31, 2016 Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% 95 % 98 % Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: New York 26 % 25 % California 11 % 9 % Florida 4 % 5 % Maryland 7 % 6 % The Company records interest income on a level-yield basis. The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan. Three Months Ended March 31, 2017 March 31, 2016 Beginning Balance $ 18,281,517 $ 24,216,638 Additions - - Accretion (753,537) (1,104,027) Reclassifications from/(to) non-accretable difference 1,472,340 154,405 Disposals (274,849) (103,869) Ending Balance $ 18,725,471 $ 23,163,147 As of March 31, 2017, the Company’s residential mortgage loan portfolio is comprised of 262 conventional loans with original loan balances between $ 9,000 1.1 As of December 31, 2016, the Company’s residential mortgage loan portfolio is comprised of 277 conventional loans with original loan balances between $ 9,000 1.1 Commercial loans Gross Unrealized (1) Weighted Average Loan (3) (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan B (2) 32,800,000 (647) 32,799,353 647 - 32,800,000 5.58 % 5.65 % 0.27 July 1, 2016 July 1, 2019 TX Loan E (4) 15,698,312 (1,226,832) 14,471,480 586,342 - 15,057,822 9.26 % 11.70 % 4.01 April 9, 2017 April 9, 2021 Various Loan F (4) 10,416,666 (131,422) 10,285,244 131,422 - 10,416,666 11.35 % 13.28 % 1.46 September 9, 2018 September 9, 2019 MN 58,914,978 (1,358,901) 57,556,077 718,411 - 58,274,488 7.58 % 8.58 % 1.48 (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 columns above represent inception to date unrealized gains (losses). (2) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (3) Loan D paid off at par in Q1 2017. (4) Loan E and Loan F are mezzanine loans. (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. (8) Represents the maturity date of the last possible extension option. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2016. Gross Unrealized (1) Weighted Average Loan (2) (4) (9) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan B (3) $ 32,800,000 $ (1,294) $ 32,798,706 $ 1,294 $ - $ 32,800,000 5.40 % 5.65 % 0.52 July 1, 2016 July 1, 2019 TX Loan D (5) (11) 12,000,000 (211,692) 11,788,308 296,278 (84,586) 12,000,000 10.62 % 14.33 % 0.62 February 11, 2017 August 11, 2017 NY Loan E (6) 16,000,000 (1,291,648) 14,708,352 560,448 - 15,268,800 9.05 % 12.76 % 4.33 April 9, 2017 April 9, 2021 Various $ 60,800,000 $ (1,504,634) $ 59,295,366 $ 858,020 $ (84,586) $ 60,068,800 7.39 % 9.19 % 1.54 (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 columns above represent inception to date unrealized gains (losses). (2) Loan A paid off in Q2 2016, with the Company receiving $ 30.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C paid off in Q3 2016, with the Company receiving $ 10.0 (5) Loan D is a first mortgage loan. See below for further information. As of the stated maturity date, Loan D has been extended for an additional 6 months. (6) Loan E is a mezzanine loan. (7) Each commercial loan investment has a variable coupon rate. (8) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (9) The Company has the contractual right to receive a balloon payment. (10) Represents the maturity date of the last possible extension option. (11) Loan D paid off in Q1 2017. In February 2016, the Company originated a $ 12.0 15.0 1.8 ” 10.62 14.33 1.8 10.62 21.70 12.0 Participation Interest During the three months ended March 31, 2017, the Company recorded $ 0.1 0.1 |
Fair value measurements
Fair value measurements | 3 Months Ended |
Mar. 31, 2017 | |
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. 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 3. In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc, formed Arc Home. The Company invests in Arc Home through AG Arc. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of mortgages. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. As a result of this acquisition, the Company transferred its investment in AG Arc from Level 1 into Level 3. In February 2016, the Company originated a $12.0 million commercial loan and transferred a 15% participation interest in the loan to an unaffiliated third party. The Company categorizes the fair value measurement of the commercial loan and consolidated participation interest as Level 3. 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 at the discretion of the FHLBC. The following table presents the Company’s financial instruments measured at fair value as of March 31, 2017: Fair Value at March 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 830,518,212 $ - $ 830,518,212 Fixed Rate CMO - 61,773,361 - 61,773,361 ARM - 203,704,433 - 203,704,433 Interest Only - 43,156,153 - 43,156,153 Credit Investments: Non-Agency RMBS - 262,337,132 762,089,348 1,024,426,480 Non-Agency RMBS Interest Only - - 3,557,950 3,557,950 ABS - - 21,165,442 21,165,442 CMBS - 12,060,034 122,215,294 134,275,328 CMBS Interest Only - - 52,921,927 52,921,927 Residential mortgage loans - - 36,255,911 36,255,911 Commercial loans - - 58,274,488 58,274,488 Excess mortgage servicing rights - - 1,056,123 1,056,123 Derivative assets - 1,676,948 - 1,676,948 FHLBC stock - - 2,000 2,000 AG Arc - - 13,010,453 13,010,453 Total Assets Carried at Fair Value $ - $ 1,415,226,273 $ 1,070,548,936 $ 2, 485,775,209 Liabilities: Securitized debt $ - $ - $ (19,948,739 ) $ (19,948,739 ) Derivative liabilities ( 257,660 ) ( 2,247,201 ) - ( 2,504,861 ) Total Liabilities Carried at Fair Value $ ( 257,660 ) $ ( 2,247,201 ) $ (19,948,739 ) $ ( 22,453,600 ) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2016: Fair Value at December 31, 2016 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 739,727,721 $ - $ 739,727,721 Fixed Rate CMO - 63,697,398 - 63,697,398 ARM - 211,344,052 - 211,344,052 Interest Only - 42,894,555 - 42,894,555 Credit Investments: Non-Agency RMBS - 321,495,328 717,760,534 1,039,255,862 Non-Agency RMBS Interest Only - - 3,761,446 3,761,446 ABS - - 21,231,956 21,231,956 CMBS - 28,726,319 130,789,615 159,515,934 CMBS Interest Only - - 52,136,726 52,136,726 Residential mortgage loans - - 38,195,576 38,195,576 Commercial loans - - 60,068,800 60,068,800 U.S. Treasury securities - - - - Excess mortgage servicing rights - - 412,648 412,648 Derivative assets - 3,703,366 - 3,703,366 FHLBC stock - - 2,000 2,000 AG Arc - - 12,894,819 12,894,819 Total Assets Carried at Fair Value $ - $ 1,411,588,739 $ 1,037,254,120 $ 2,448,842,859 Liabilities: Securitized debt $ - $ - $ (21,491,710 ) $ (21,491,710 ) Loan participation payable - - (1,800,000 ) (1,800,000 ) Securities borrowed under reverse repurchase agreements (22,365,000 ) - - (22,365,000 ) Derivative liabilities (636,211 ) (2,271,044 ) - (2,907,255 ) Total Liabilities Carried at Fair Value $ (23,001,211 ) $ (2,271,044 ) $ (23,291,710 ) $ (48,563,965 ) 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, 2017 and March 31, 2016. 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, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess FHLBC Stock AG Arc Securitized Loan Beginning balance $ 717,760,534 $ 3,761,446 $ 21,231,956 $ 130,789,615 $ 52,136,726 $ 38,195,576 $ 60,068,800 $ 412,648 $ 2,000 $ 12,894,819 $ (21,491,710 ) $ (1,800,000 ) Transfers (1): Transfers into level 3 85,643,243 - - - - - - - - - - - Transfers out of level 3 (35,886,288 ) - - - - - - - - - - - Purchases/Transfers (2) 42,203,390 - 6,730,646 3,568,749 - - 10,270,833 706,365 - - - - Capital contributions - - - - - - - - - - - - Reclassification of security type (3) - - - - - - - - - - - - Proceeds from sales/redemptions (23,675,362 ) - (7,665,627 ) (4,533,594 ) - (854,447 ) - - - - - - Proceeds from settlement (29,360,521 ) - - (8,485,256 ) - (665,982 ) (12,357,896 ) (10,364 ) - - 1,575,619 1,954,927 Total net gains/(losses) (4) Included in net income 5,404,352 (203,496 ) 868,467 875,780 785,201 (419,236 ) 292,751 (52,526 ) - 115,634 (32,648 ) (154,927 ) Included in other comprehensive income (loss) - - - - - - - - - - - - Ending Balance $ 762,089,348 $ 3,557,950 $ 21,165,442 $ 122,215,294 $ 52,921,927 $ 36,255,911 $ 58,274,488 $ 1,056,123 $ 2,000 $ 13,010,453 $ (19,948,739 ) $ - Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2017 (5) $ 5,394,508 $ (203,496 ) $ 838,732 $ 960,672 $ 785,201 $ (488,629 ) $ 236,542 $ (52,526 ) $ - $ 115,634 $ (32,648 ) $ - (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 $ 7,836,461 Unrealized gain/(loss) on derivative and other instruments, net (187,575 ) Net realized gain/(loss) (285,168 ) Equity in earnings/(loss) from affiliates 115,634 Total $ 7,479,352 (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 $ 7,471,004 Unrealized gain/(loss) on derivative and other instruments, net (32,648 ) Equity in earnings/(loss) from affiliates 115,634 Total $ 7,553,990 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 6,724,062 - 11,198,203 - 29,884 - 10,428,437 - - - (1,564,266 ) Reclassification of security type (2) - - - - 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) (3) 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 still held as of March 31, 2016 (4) $ (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) 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 $ (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 ) (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 $ (7,229,030 ) Net realized gain/(loss) (159,158 ) Total $ (7,388,188 ) As indicated in the table above, during the three months ended March 31, 2017, the Company transferred 6 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 3 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. As indicated in the table above, during the three months ended March 31, 2016, the Company transferred 29 Non-Agency RMBS securities and its securitized debt investment into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at March 31, 2017 Valuation Technique Unobservable Input Range (Weighted Average) Non-Agency RMBS $ 727,149,104 Discounted Cash Flow Yield 2.40% - 8.22% (5.10%) Projected Collateral Prepayments 0.00% - 35.00% (9.89%) Projected Collateral Losses 0.00% - 50.00% (4.80%) Projected Reperforming Rates 19.43% - 48.47% (38.31%) Projected Collateral Severities 0.00% - 100.00% (38.63%) Projected Timeline to Liquidation (Months) 16.02 - 22.92 (20.99) $ 34,940,244 Consensus Pricing Offered Quotes 21.50 - 100.00 (86.81) Non-Agency RMBS Interest Only $ 3,557,950 Discounted Cash Flow Yield 17.50% - 17.50% (17.50%) Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 0.50% - 0.50% (0.50%) Projected Collateral Severities 10.00% - 10.00% (10.00%) ABS $ 21,165,442 Discounted Cash Flow Yield 3.14% - 6.00% (4.47%) Projected Collateral Prepayments 1.70% - 40.00% (23.22%) Projected Collateral Losses 0.00% - 2.00% (0.95%) Projected Collateral Severities 0.00% - 50.00% (23.68%) CMBS $ 112,469,289 Discounted Cash Flow Yield 4.64% - 8.42% (6.74%) Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 9,746,005 Consensus Pricing Offered Quotes 5.11 - 100.00 (68.87) CMBS Interest Only $ 52,921,927 Discounted Cash Flow Yield 2.48% - 7.73% (4.98%) Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Residential Mortgage Loans $ 36,255,911 Discounted Cash Flow Yield 6.50% - 8.00% (7.42%) Projected Collateral Prepayments 3.39% - 5.74% (4.42%) Projected Collateral Losses 5.07% - 5.47% (5.37%) Projected Reperforming Rates 10.41% - 46.89% (23.74%) Projected Collateral Severities 21.95% - 47.01% (41.22%) Projected Timeline to Liquidation (Months) 12.32 - 29.85 (14.97) Commercial Loans $ 32,800,000 Discounted Cash Flow Yield 5.65% - 5.65% (5.65%) Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) $ 25,474,488 Consensus Pricing Offered Quotes 95.92 - 100.00 (97.59) Excess Mortgage Servicing Rights $ 706,313 Recent Transaction Price N/A N/A $ 349,810 Consensus Pricing Offered Quotes 0.07 - 0.57 (0.51) FHLBC stock $ 2,000 ** Yield 4.00% - 4.00% (4.00%) AG Arc $ 13,010,453 Comparable Multiple Book Value Multiple 1.0x Liability Class Fair Value at March 31, 2017 Valuation Technique Unobservable Input Range (Weighted Average) Securitized debt $ (19,948,739) Discounted Cash Flow Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2017. ** 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. Asset Class Fair Value at December 31, 2016 Valuation Technique Unobservable Input Range (Weighted Average) Non-Agency RMBS $ 694,948,644 Discounted Cash Flow Yield 1.70% - 18.56% (5.11%) Projected Collateral Prepayments 0.00% - 35.00% (9.84%) Projected Collateral Losses 0.00% - 38.00% (5.22%) Projected Reperforming Rates 18.53% - 46.77% (33.39%) Projected Collateral Severities 0.00% - 100.00% (38.57%) Projected Timeline to Liquidation (Months) 16.13 - 23.09 (20.72) $ 22,811,890 Consensus Pricing Offered Quotes 21.50 - 100.07 (78.89) Non-Agency RMBS Interest Only $ 3,761,446 Discounted Cash Flow Yield 17.50% - 17.50% (17.50%) Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 0.50% - 0.50% (0.50%) Projected Collateral Severities 10.00% - 10.00% (10.00%) ABS $ 21,231,956 Discounted Cash Flow Yield 4.16% - 6.47% (4.98%) Projected Collateral Prepayments 1.50% - 40.00% (22.31%) Projected Collateral Losses 0.00% - 2.00% (0.88%) Projected Collateral Severities 0.00% - 50.00% (9.81%) CMBS $ 121,056,008 Discounted Cash Flow Yield 3.32% - 9.16% (6.13%) Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 9,733,607 Consensus Pricing Offered Quotes 5.03 - 99.81 (68.64) CMBS Interest Only $ 52,136,726 Discounted Cash Flow Yield 2.51% - 9.49% (5.85%) Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Residential Mortgage Loans $ 38,195,576 Discounted Cash Flow Yield 6.50% - 8.00% (7.42%) Projected Collateral Prepayments 3.18% - 5.82% (4.51%) Projected Collateral Losses 5.16% - 5.32% (5.18%) Projected Reperforming Rates 9.59% - 34.53% (22.91%) Projected Collateral Severities 25.19% - 84.80% (45.34%) Projected Timeline to Liquidation (Months) 12.32 - 29.85 (14.33) Commercial Loans $ 44,800,000 Discounted Cash Flow Yield 5.65% - 21.70% (7.98%) Credit Spread 4.75 bps - 10 bps (6.16 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) $ 15,268,800 Consensus Pricing Offered Quotes 95.43 - 95.43 (95.43) Excess Mortgage Servicing Rights $ 412,648 Consensus Pricing Offered Quotes 0.09 - 0.62 (0.55) FHLBC stock $ 2,000 ** Yield 4.00% - 4.00% (4.00%) AG Arc $ 12,894,819 Comparable Multiple Book Value Multiple 1.0x Liability Class Fair Value at December 31, 2016 Valuation Technique Unobservable Input Range (Weighted Average) Securitized debt $ (21,491,710) Discounted Cash Flow Yield 3.36% - 3.36% (3.36%) Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) Loan participation payable $ (1,800,000) Discounted Cash Flow Yield 21.70% - 21.70% (21.70%) 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 December 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. 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
Repurchase agreements | 3 Months Ended |
Mar. 31, 2017 | |
Disclosure Of Repurchase Agreements [Abstract] | |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | 6. Repurchase agreements The Company pledges certain real estate securities and loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” The Company calculates haircuts disclosed in the tables below by dividing allocated capital on each borrowing by the current fair market value of each investment. Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term, typically 30 to 90 days. The carrying amount of the Company’s repurchase agreements approximates fair value due to their short-term maturities or floating rate coupons. If the Company maintains the beneficial interest in the specific assets pledged during the term of the borrowing, it receives the related principal and interest payments. If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will have the related principal and interest payments remitted to it by the lender. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. If the fair value of pledged assets declines due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically would require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s repurchase agreements disclosed in the tables below represent the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in the form of cash and unpledged Agency RMBS and Agency Interest-Only securities in order to meet these obligations. Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Repurchase Agreements Maturing Within: Balance Rate Haircut (1) Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 1,390,511,705 1.75 % 14.3 % $ 1,649,118,698 $ 1,604,785,471 $ 5,462,708 31-60 days 210,489,000 1.44 % 10.9 % 239,208,038 235,056,536 857,254 61-90 days 85,965,000 1.82 % 14.3 % 101,763,313 100,492,178 304,848 91-180 days 29,386,000 1.15 % 6.5 % 31,425,948 31,042,881 68,254 Greater than 180 days 119,469,000 1.70 % -15.1 % 132,341,561 133,663,116 318,378 Total / Weighted Average $ 1,835,820,705 1.71 % 11.9 % $ 2,153,857,558 $ 2,105,040,182 $ 7,011,442 (1) The calculated haircut value in the greater than 180 days maturity bucket is negative due to the timing of repurchase agreement borrowings, however, margin has been posted to maintain the contractual haircut. The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2016: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Repurchase Agreements Maturing Within: Balance Rate Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 70,899,000 0.66 % 3.5 % $ 73,485,225 $ 73,170,802 $ 191,554 30 days or less 961,185,000 1.79 % 14.7 % 1,164,241,469 1,152,472,020 3,851,520 31-60 days 465,776,000 1.23 % 8.6 % 514,624,485 512,633,509 1,607,435 61-90 days 129,119,000 1.69 % 13.2 % 151,989,415 151,567,289 399,702 91-180 days 16,897,000 2.81 % 21.6 % 21,554,174 21,892,108 17,056 Greater than 180 days 209,293,104 1.93 % 4.7 % 252,940,437 244,734,715 948,975 Total / Weighted Average $ 1,853,169,104 1.63 % 11.5 % $ 2,178,835,205 $ 2,156,470,443 $ 7,016,242 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2017: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,725,817 3.49 % 3.68 % 31.8 % $ 32,176,699 $ 31,105,471 $ 39,838 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2016: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 25,544,702 3.27 % 3.79 % 30.3 % $ 34,088,921 $ 32,849,686 $ 45,068 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of March 31, 2017: Repurchase Agreements Collateral Pledged Weighted Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Average Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 3.13 % 3.26 % 33.5 % $ 32,800,000 $ 32,799,353 $ 136,643 The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2016: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Amortized Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Cost Accrued Interest Greater than 180 days $ 21,796,000 2.91 % 3.13 % 33.5 % $ 32,800,000 $ 32,798,706 $ 125,314 Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls. See Note 7 for details on collateral posted/received against certain derivatives. March 31, 2017 December 31, 2016 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 978,596,257 $ 965,154,048 Non-Agency RMBS 969,704,864 990,985,143 ABS 21,165,442 21,231,956 CMBS 171,509,042 201,464,058 Residential Mortgage Loans 32,176,699 31,031,107 Commercial Mortgage Loans 32,800,000 32,800,000 Cash pledged (i.e., restricted cash) under repurchase agreements 6,116,106 17,149,022 Fair Value of unsettled trades pledged as collateral under repurchase agreements: 12,881,953 3,057,814 Total collateral pledged under Repurchase agreements $ 2,224,950,363 $ 2,262,873,148 March 31, 2017 December 31, 2016 Repurchase agreements secured by investments: Agency RMBS $ 932,240,000 $ 907,041,000 Non-Agency RMBS 761,169,705 776,459,104 ABS 15,728,000 15,283,000 CMBS 126,683,000 154,386,000 Residential Mortgage Loans 21,725,817 25,544,702 Commercial Mortgage Loans 21,796,000 21,796,000 Gross Liability for Repurchase agreements $ 1,879,342,522 $ 1,900,509,806 The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of March 31, 2017: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 1,879,342,522 $ - $ 1,879,342,522 $ 1,879,342,522 $ - $ - The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2016: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 1,900,509,806 $ - $ 1,900,509,806 $ 1,900,509,806 $ - $ - The Company seeks to obtain financing from several different 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, 2017 and December 31, 2016 the Company had 39 and 37 financing counterparties, respectively, under which it had outstanding debt with 24 and 23 counterparties, respectively. Counterparty Stockholders’ Equity Weighted Average Percentage of Wells Fargo Bank, N.A. $ 50,843,952 261 8 % Credit Suisse Securities, LLC 36,248,676 40 5 % The following table presents information at December 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 Stockholders’ Equity Weighted Average Percentage of Wells Fargo Bank, N.A. $ 50,917,158 357 8 % JP Morgan Securities, LLC 34,885,263 160 5 % On April 13, 2015, the Company, AG MIT, LLC (“AG MIT”) and AG MIT CMO, LLC (“AG MIT CMO”), each a subsidiary of the Company, entered into 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 Non-Agency RMBS. The Second Renewal amended the repurchase agreement entered into by the Company, AG MIT and AG MIT CMO with Wells Fargo in 2014. Each transaction under the Second Renewal had its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The Second Renewal included 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 notified AG MIT and AG MIT CMO that it had decided not to renew, at which point the agreement terminated 270 days after the date of nonrenewal. The Second Renewal also increased the aggregate maximum borrowing capacity to $ 200 93.4 On February 23, 2017, AG MIT WFB1 2014 LLC (“AG MIT WFB1”), a subsidiary of the Company, entered into Amendment Number Five 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 23, 2018 and a facility termination date of February 22, 2019. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $ 50.0 21.7 25.5 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. In September 2016, the Company exercised its option to extend the term of the CREL Repurchase Agreement to the First Extended Termination Date. On August 4, 2015, the Company, AG MIT CREL and AG MIT entered into an Omnibus Amendment No. 1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “Omnibus Amendment”) with Wells Fargo. The Omnibus 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 Omnibus Amendment lowered the maximum aggregate borrowing capacity available under the CREL Repurchase Agreement from $ 150 42.8 21.8 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. |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2017 | |
Derivatives [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 7. Derivatives The Company’s derivatives may include interest rate swaps (“swaps”), TBAs, and Eurodollar Futures and U.S. Treasury Futures, (collectively, “Futures”). Derivatives have not been designated as hedging instruments. The Company may also utilize other instruments to manage interest rate risk, including long and short positions in U.S. Treasury securities. The Company exchanges cash “variation margin” with the counterparties to its derivative instruments at least on a daily basis based upon daily changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those derivatives are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. Prior to the first quarter of 2017, the daily exchange of variation margin associated with centrally cleared derivative instruments was considered a pledge of collateral. For these prior periods, receivables recognized for the right to reclaim cash variation margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. The Company elected to offset any payables recognized for the obligation to return cash variation margin received from a derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by the Company to that same counterparty. Beginning in the first quarter of 2017, as a result of a CME amendment to their rule book which governs their central clearing activities, the daily exchange of variation margin associated with a centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest. Derivatives and Other Instruments Designation Balance Sheet Location March 31, 2017 December 31, 2016 Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (1,765,186) $ (1,847,219) Interest rate swaps Non-Hedge Derivative assets, at fair value 1,258,992 3,703,366 TBAs Non-Hedge Derivative liabilities, at fair value (482,015) (423,825) TBAs Non-Hedge Derivative assets, at fair value 417,956 - Short positions on U.S. Treasury Futures Non-Hedge Derivative liabilities, at fair value (257,660) (636,211) Obligation to return securities borrowed under reverse repurchase Short positions on U.S. Treasuries Non-Hedge agreements, at fair value (1) - (22,365,000) (1) The Company’s obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2016 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations Non-hedge derivatives and other instruments held long/(short): March 31, 2017 December 31, 2016 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 924,000,000 $ 644,000,000 Notional amount of TBAs 90,000,000 (25,000,000) Notional amount of short positions on U.S. Treasury Futures (1) (106,500,000) (141,500,000) Notional amount of short positions on U.S. Treasuries - (24,000,000) (1) Each U.S. Treasury Future contract embodies $ 100,000 Three Months Ended Three Months Ended Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location March 31, 2017 March 31, 2016 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 1,231,214 $ (17,901,375) Interest rate swaps, at fair value Net realized gain/(loss) - (2,893,517) Short positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 106,499 - Short positions on U.S. Treasury Futures Net realized gain/(loss) (947,936) - TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net 359,765 (392) TBAs (1) Net realized gain/(loss) (242,031) 205,664 Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - 5,992,733 Long positions on U.S. Treasuries Net realized gain/(loss) - 314,766 Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net (1,724,922) - Short positions on U.S. Treasuries Net realized gain 1,730,547 - (1) For the three months ended March 31, 2017, gains and losses from purchases and sales of TBAs consisted of $ 0.4 0.1 0.1 Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts Gross Amounts Offset in the of Recognized Assets Consolidated Net Amounts of Assets (Liabilities) Presented in the Financial Instruments Description (Liabilities) Balance Sheets Consolidated Balance Sheets (Posted)/Received Cash Collateral (Posted)/Received Net Amount Derivative Assets (1) Interest Rate Swaps $ 1,567,718 $ - $ 1,567,718 $ - $ 1,009,575 $ 558,143 TBAs 417,956 - 417,956 - - 417,956 Total Derivative Assets $ 1,985,674 $ - $ 1,985,674 $ - $ 1,009,575 $ 976,099 Derivative Liabilities (2) Interest Rate Swaps $ (1,207,745) $ - $ (1,207,745) $ - $ (1,207,745) $ - U.S. Treasury Futures - Short (257,660) - (257,660) - (257,660) - TBAs (482,015) - (482,015) (482,015) - - Total Derivative Liabilities $ (1,947,420) $ - $ (1,947,420) $ (482,015) $ (1,465,405) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 1,985,674 (308,726) 1,676,948 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (1,947,420) (557,441) (2,504,861) The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2016: Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Gross Amounts Recognized Offset in the Net Amounts of Assets Financial Assets Consolidated Balance (Liabilities) Presented in the Instruments Cash Collateral Description (Liabilities) Sheets Consolidated Balance Sheets (Posted)/Received (Posted)/Received Net Amount Receivable Under Reverse Repurchase Agreements $ 22,680,000 $ - $ 22,680,000 $ 22,365,000 $ - $ 315,000 Derivative Assets (1) Interest Rate Swaps $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559 Total Derivative Assets $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559 Derivative Liabilities (2) Interest Rate Swaps $ (1,705,865) $ - $ (1,705,865) $ - $ (1,705,865) $ - U.S. Treasury Futures - Short (636,211) - (636,211) - (636,211) - TBAs (423,824) - (423,824) (423,824) - - Total Derivative Liabilities $ (2,765,900) $ - $ (2,765,900) $ (423,824) $ (2,342,076) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 4,559,134 (855,768) 3,703,366 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (2,765,900) (141,355) (2,907,255) 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. On March 31, 2017, the Company pledged real estate securities with a fair value of $ 7.3 16.6 1.0 7.1 9.4 0.9 Interest rate swaps To help mitigate exposure to increases in 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 hedges our exposure to higher short-term interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, 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. Weighted Average Weighted Average Weighted Average Maturity Notional Amount Pay-Fixed Rate Receive-Variable Rate Years to Maturity 2017 $ 36,000,000 0.88 % 1.04 % 0.59 2019 170,000,000 1.36 % 1.05 % 2.63 2020 155,000,000 1.62 % 1.04 % 2.90 2021 60,000,000 1.86 % 1.12 % 4.69 2022 218,000,000 2.00 % 1.08 % 5.03 2023 85,000,000 2.30 % 1.10 % 6.18 2024 25,000,000 2.16 % 1.01 % 6.77 2025 30,000,000 2.48 % 1.10 % 8.18 2026 95,000,000 2.17 % 1.06 % 9.65 2027 50,000,000 2.40 % 1.05 % 9.87 Total/Wtd Avg $ 924,000,000 1.85 % 1.07 % 5.03 As of December 31, 2016, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2016: Weighted Average Weighted Average Weighted Average Maturity Notional Amount Pay-Fixed Rate Receive-Variable Rate Years to Maturity 2017 $ 36,000,000 0.88 % 0.89 % 0.84 2019 170,000,000 1.36 % 0.91 % 2.88 2020 115,000,000 1.59 % 0.90 % 3.20 2021 60,000,000 1.86 % 0.96 % 4.94 2022 53,000,000 1.69 % 0.94 % 5.69 2023 85,000,000 2.30 % 0.94 % 6.43 2025 30,000,000 2.48 % 0.94 % 8.43 2026 95,000,000 2.17 % 0.92 % 9.90 Total/Wtd Avg $ 644,000,000 1.74 % 0.92 % 5.01 TBAs As discussed in Note 2, the Company has entered into TBAs. The Company’s maximum exposure to loss related to its TBAs is the net payable amount on its TBA transactions until the settlement date. As of March 31, 2017, the Company’s maximum exposure to loss on TBAs was $ 93.4 51.4 For the Three Months Ended March 31, 2017 Beginning Notional Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative Amount Buys or Covers Sales or Shorts Amount Period End from/to Broker Asset Liability TBAs - Long $ 50,000,000 $ 285,000,000 $ (245,000,000) $ 90,000,000 $ 93,367,972 $ (93,432,031) $ 417,956 $ (482,015) TBAs - Short $ (75,000,000) $ 75,000,000 $ - $ - $ - $ - $ - $ - For the Three Months Ended March 31, 2016 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative 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) |
Earnings per share
Earnings per share | 3 Months Ended |
Mar. 31, 2017 | |
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 the Company’s common 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, 2017 March 31, 2016 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 20,003 40,006 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, 2017 and March 31, 2016, 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, 2017 March 31, 2016 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 21,750,308 $ (5,811,781) Denominator: Basic weighted average common shares outstanding 27,701,902 28,271,930 Dilutive effect of restricted stock units 7,135 - Diluted weighted average common shares outstanding 27,709,037 28,271,930 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.79 $ (0.21) Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.78 $ (0.21) Excluded from the computation of diluted earnings per share because its effect would be anti-dilutive were restricted stock units granted to the manager of 14,960 2017 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2017 3/21/2017 4/28/2017 $ 0.475 2016 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2016 3/21/2016 4/29/2016 $ 0.475 2017 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2017 2/28/2017 3/17/2017 $ 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2017 2/28/2017 3/17/2017 $ 0.50 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 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/12/2016 2/29/2016 3/17/2016 $ 0.50 |
Income taxes
Income taxes | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 and March 31, 2016, 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, 2017 or December 31, 2016. 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, 2017 | |
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, 2016, 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, 2017 and March 31, 2016, the Company incurred management fees 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, 2017 and December 31, 2016, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates 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. Of the $ 2.8 3.0 1.7 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 277,500 131,842 On July 1, 2014, the Company granted 60,000 20,000 20,000 20,000 Director compensation The Company pays a $ 120,000 50 50 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 2 for more detail. On December 9, 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc, entered into the Amended and Restated Limited Liability Company Agreement (the “LLC Agreement”) of Arc Home, a Delaware limited liability company. The Company’s investment in AG Arc is reflected on the “Investments in debt and equity of affiliates” line item on its consolidated balance sheets at a fair value of $ 13.0 12.9 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 in AG Arc 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 10.0 4.5 In June 2016, Arc Home closed on the acquisition of 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, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. Arc Home is led by an external management team. Arc Home may sell loans that it either purchases from third parties or originates to the Company, to third parties, or to affiliates of the Manager. Arc Home may also enter into agreements with third parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to the MSR on the mortgage loans that it either purchases from third parties or originates. In March of 2017, the Company entered into an agreement with Arc Home to purchase rights to receive the excess servicing spread related to certain of its MSRs at fair value for approximately $ 1.2 0.5 Transactions with affiliates 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 3.1 7.5 5.1 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 was reflected on the “Investments in debt and equity of affiliates” line item on the consolidated balance sheets with a fair value of $ 7.1 In connection with the Company’s investments in residential mortgage loans and residential mortgage loans in securitized form that it purchases from an affiliate (or affiliates) of the Manager (“Securitized Whole Loans”), the Company may engage 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, 2017, and March 31, 2016, the fees paid by the Company to the Asset Manager, inclusive of fees paid through affiliated entities, totaled less than $ 120,000 In June 2016, in accordance with the Company’s Affiliated Transactions Policy, the Company executed two trades whereby the Company acquired real estate securities from two separate affiliates of the Manager (the “June Selling Affiliates”). As of the date of the trades, the securities acquired from the June Selling Affiliates had a total fair value of $ 6.9 In February 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from a separate affiliate of the Manager (the “February Selling Affiliate”). As of the date of the trade, the security acquired from the February Selling Affiliate had a total fair value of $ 2.0 |
Equity
Equity | 3 Months Ended |
Mar. 31, 2017 | |
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 July 6, 2018 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 Company’s 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 14.6 119,606 1.5 12.86 Maximum Number (or Total Number of Shares approximate dollar value) of Total Number of Weighted Average Purchased as Part of Publicly Shares that May Yet be Purchased Month Purchased (1) Shares Repurchased Price per Share Paid (2) Announced Program Under the Program (3) 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, 2017 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | 12. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. On December 9, 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc, entered into the LLC Agreement of Arc Home. As of March 31, 2017, the capital commitment to Arc Home was $ 30.0 13.4 On April 25, 2017, the Company, alongside private funds under the management of Angelo, Gordon, agreed to fund an additional capital commitment to Arc Home in the amount of $ 10.0 4.5 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, 2017 | |
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, 2017 and December 31, 2016, 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 sheets. Any cash held by the Company as collateral is included in the “Due to broker” line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the “Due from broker” line item on the consolidated balance sheets and in cash flows from operating 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. Restricted cash does not include variation margin on centrally cleared derivatives. See Note 7 for more detail. |
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 sheets 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 sheets 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 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.” When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 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, 2017 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 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. At purchase, the Company aggregates its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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 sheets 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, 2017 and December 31, 2016, these investments had a fair market value of $ 65.0 69.0 In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“AG Arc”), formed Arc Home LLC (“Arc Home”). The Company invests in Arc Home through AG Arc, and has chosen to make a fair value election on AG Arc pursuant to ASC 825. As of March 31, 2017 and December 31, 2016, the Company’s interest in AG Arc had a fair market value of $ 13.0 12.9 See Note 10 for more detail. The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets 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 (“ Excess Excess Excess |
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 12.0 1.8 |
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, exclusive of interest-only securities), 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 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] | 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, subject to a defined grace period. Upon the termination of membership, the FHLB must liquidate all outstanding advances to Excluded Captives and settle all other business transactions in accordance with the Final Rule. In addition, all FHLB stock held by the terminated Excluded Captive will be repurchased or redeemed at the FHLB’s discretion. Therefore, MITT Insurance must completely wind down all business relationships with the FHLBC, including the repayment of all outstanding advances, prior to or simultaneously with the termination of MITT Insurance’s membership with the FHLBC. As a result of the Final Rule, MITT Insurance exited all FHLBC Advances and as of March 31, 2017, the Company had no outstanding advances with the FHLBC. See the “Other investments” section below for a discussion on FHLBC stock. 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, 2017 and December 31, 2016, the Company has met all margin call requirements. |
Other Investments [Policy Text Block] | Other investments At March 31, 2017 and December 31, 2016 the Company owned FHLBC stock totaling $ 2,000 0.0 0.1 |
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, if or when hedge accounting is elected, 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, 2017 and December 31, 2016, 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. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) 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.” The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, 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. Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and 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 sheets 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. As of March 31, 2017 , and December 31, 2016, |
Short Positions in U.S Treasury Securities Reverse Repurchase Agreements [Policy Text Block] | Short positions in U.S. Treasury securities through reverse repurchase agreements The Company may sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. The Company establishes haircuts to ensure the market value of the underlying assets remain sufficient to protect the Company in the event of a default by a counterparty. 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 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. 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 has concluded the guidance will not have a material impact 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 June 2016, the FASB issued ASU 2016-13, “Financial Instruments Credit Losses,” (“ASU 2016-13”). ASU 2016-13 introduces a new model related to the accounting for credit losses on instruments, specifically, financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, requiring an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As such, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security’s amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity’s assumptions, and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, 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. In August 2016, the FASB issued ASU 2016-15, “Classification of Certain Cash Receipts and Cash Payments”, (“ASU 2016-15”). ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing existing diversity of how certain cash receipts and cash payments are presented. These specific issues include debt prepayment and debt extinguishment costs, settlement of zero-coupon debt, proceeds from the settlement of insurance claims, and beneficial interests in securitization transactions, among others. ASU 2016-15 is effective for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The Company is currently assessing the impact this guidance will have on its consolidated financial statements. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. The amendments in this update In March 2017, the FASB issued ASU 2017-08, “Premium Amortization of Purchased Callable Debt Securities” (“ASU 2017-08”). The amendments in this update require purchase premiums for investments in debt securities that are noncontingently callable by the issuer (at a fixed price and preset date) to be amortized to the earliest call date. Previously, purchase premiums for such investments were permitted to be amortized to the instrument’s maturity date. ASU 2017-08 is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company is currently assessing the impact this guidance will have on its consolidated financial statements. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule Of Real Estate Securities [Table Text Block] | Gross Unrealized (1) Weighted Average Premium / Current Face (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 795,817,022 $ 35,108,203 $ 830,925,225 $ 3,899,726 $ (4,306,739) $ 830,518,212 3.77 % 3.10 % Fixed Rate CMO 60,704,906 506,092 61,210,998 562,363 - 61,773,361 3.00 % 2.80 % ARM 200,950,940 (1,355,918) 199,595,022 4,109,411 - 203,704,433 2.35 % 2.84 % Interest Only 414,327,995 (373,654,218) 40,673,777 2,699,293 (216,917) 43,156,153 2.66 % 7.20 % Credit Securities: Non-Agency RMBS 1,226,010,323 (228,031,492) 997,978,831 34,646,764 (8,199,115) 1,024,426,480 4.38 % 5.89 % Non-Agency RMBS Interest Only 431,288,095 (427,553,700) 3,734,395 24,943 (201,388) 3,557,950 0.26 % 12.04 % ABS 21,120,000 (315,249) 20,804,751 360,691 - 21,165,442 5.54 % 6.43 % CMBS 190,198,166 (55,450,498) 134,747,668 1,226,257 (1,698,597) 134,275,328 5.15 % 6.12 % CMBS Interest Only 1,962,008,869 (1,911,688,650) 50,320,219 2,609,139 (7,431) 52,921,927 0.41 % 6.54 % Total $ 5,302,426,316 $ (2,962,435,430) $ 2,339,990,886 $ 50,138,587 $ (14,630,187) $ 2,375,499,286 2.22 % 4.64 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item in the consolidated statement of operations. 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, 2017 and December 31, 2016: Less than 12 months Greater than 12 months Unrealized Unrealized As of Fair Value Losses Fair Value Losses March 31, 2017 $ 676,054,174 $ (8,939,391) $ 177,211,245 $ (5,690,796) December 31, 2016 756,302,518 (12,017,743) 203,287,535 (7,747,463) |
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, 2017: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Weighted Weighted Average Amortized Average Average Weighted Average Life (3) Fair Value Amortized Cost Coupon Fair Value Cost Coupon Fair Value Amortized Cost Coupon (4) Less than or equal to 1 year $ - $ - - $ - $ - - $ 189,396,318 $ 190,095,347 2.19 % Greater than one year and less than or equal to five years 121,408,564 119,608,406 2.73 % 29,429,401 28,245,790 2.23 % 417,553,689 413,298,729 0.91 % Greater than five years and less than or equal to ten years 974,587,442 972,122,839 3.54 % 13,726,752 12,427,987 5.02 % 386,045,399 373,253,384 2.35 % Greater than ten years - - - - - - 243,351,721 230,938,404 5.85 % Total $ 1,095,996,006 $ 1,091,731,245 3.45 % $ 43,156,153 $ 40,673,777 2.66 % $ 1,236,347,127 $ 1,207,585,864 1.82 % (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 Investments 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, 2016: Agency RMBS (1) Agency IO Credit Securities (2) Weighted Weighted Weighted Average Amortized Average Average Weighted Average Life (3) Fair Value Amortized Cost Coupon Fair Value Cost Coupon Fair Value Amortized Cost Coupon (4) Less than or equal to 1 year $ - $ - - $ - $ - - $ 169,483,329 $ 170,533,908 2.09 % Greater than one year and less than or equal to five years 124,913,463 123,021,262 2.73 % 28,514,942 27,995,835 2.23 % 430,525,739 430,108,024 0.94 % Greater than five years and less than or equal to ten years 808,271,767 806,474,038 3.44 % 14,379,613 13,063,009 5.14 % 425,043,315 418,094,774 2.30 % Greater than ten years 81,583,941 82,137,880 3.10 % - - - 250,849,541 239,414,370 5.88 % Total $ 1,014,769,171 $ 1,011,633,180 3.32 % $ 42,894,555 $ 41,058,844 2.70 % $ 1,275,901,924 $ 1,258,151,076 1.82 % (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 Investments 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, 2017 | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | Unpaid Principal Premium Gross Unrealized (1) Weighted Average Balance (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 50,152,602 $ (14,787,295) $ 35,365,307 $ 1,330,346 $ (439,742) $ 36,255,911 5.72 % 8.68 % 6.79 (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 columns above represent inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual 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, 2016: Unpaid Principal Premium Gross Unrealized (1) Weighted Average Balance (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 53,827,336 $ (16,491,472) $ 37,335,864 $ 1,262,223 $ (402,511) $ 38,195,576 5.60 % 8.74 % 6.71 (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 columns above represent inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual 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 certain aggregate pool level information pertaining to the Company’s residential mortgage loans: March 31, 2017 December 31, 2016 Loan Type Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 25,682,700 $ 33,986,956 $ 26,665,750 $ 35,645,382 Non-Performing 10,573,211 16,165,646 11,529,826 18,181,954 $ 36,255,911 $ 50,152,602 $ 38,195,576 $ 53,827,336 |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | Concentration of Credit Risk March 31, 2017 December 31, 2016 Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% 95 % 98 % Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: New York 26 % 25 % California 11 % 9 % Florida 4 % 5 % Maryland 7 % 6 % |
Schedule Certain Loans Acquired In Transfer Accretable Yield [Table Text Block] | The following is a summary of the changes in the accretable portion of discounts for the three months ended March 31, 2017 and March 31, 2016, respectively: Three Months Ended March 31, 2017 March 31, 2016 Beginning Balance $ 18,281,517 $ 24,216,638 Additions - - Accretion (753,537) (1,104,027) Reclassifications from/(to) non-accretable difference 1,472,340 154,405 Disposals (274,849) (103,869) Ending Balance $ 18,725,471 $ 23,163,147 |
Commercial Loans [Member] | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | The following table presents detail on the Company’s commercial loan portfolio on March 31, 2017. Gross Unrealized (1) Weighted Average Loan (3) (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan B (2) 32,800,000 (647) 32,799,353 647 - 32,800,000 5.58 % 5.65 % 0.27 July 1, 2016 July 1, 2019 TX Loan E (4) 15,698,312 (1,226,832) 14,471,480 586,342 - 15,057,822 9.26 % 11.70 % 4.01 April 9, 2017 April 9, 2021 Various Loan F (4) 10,416,666 (131,422) 10,285,244 131,422 - 10,416,666 11.35 % 13.28 % 1.46 September 9, 2018 September 9, 2019 MN 58,914,978 (1,358,901) 57,556,077 718,411 - 58,274,488 7.58 % 8.58 % 1.48 (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 columns above represent inception to date unrealized gains (losses). (2) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (3) Loan D paid off at par in Q1 2017. (4) Loan E and Loan F are mezzanine loans. (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. (8) Represents the maturity date of the last possible extension option. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2016. Gross Unrealized (1) Weighted Average Loan (2) (4) (9) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Stated Maturity Extended Location Loan B (3) $ 32,800,000 $ (1,294) $ 32,798,706 $ 1,294 $ - $ 32,800,000 5.40 % 5.65 % 0.52 July 1, 2016 July 1, 2019 TX Loan D (5) (11) 12,000,000 (211,692) 11,788,308 296,278 (84,586) 12,000,000 10.62 % 14.33 % 0.62 February 11, 2017 August 11, 2017 NY Loan E (6) 16,000,000 (1,291,648) 14,708,352 560,448 - 15,268,800 9.05 % 12.76 % 4.33 April 9, 2017 April 9, 2021 Various $ 60,800,000 $ (1,504,634) $ 59,295,366 $ 858,020 $ (84,586) $ 60,068,800 7.39 % 9.19 % 1.54 (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 columns above represent inception to date unrealized gains (losses). (2) Loan A paid off in Q2 2016, with the Company receiving $ 30.0 (3) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (4) Loan C paid off in Q3 2016, with the Company receiving $ 10.0 (5) Loan D is a first mortgage loan. See below for further information. As of the stated maturity date, Loan D has been extended for an additional 6 months. (6) Loan E is a mezzanine loan. (7) Each commercial loan investment has a variable coupon rate. (8) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (9) The Company has the contractual right to receive a balloon payment. (10) Represents the maturity date of the last possible extension option. (11) Loan D paid off in Q1 2017. |
Fair value measurements (Tables
Fair value measurements (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017: Fair Value at March 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 830,518,212 $ - $ 830,518,212 Fixed Rate CMO - 61,773,361 - 61,773,361 ARM - 203,704,433 - 203,704,433 Interest Only - 43,156,153 - 43,156,153 Credit Investments: Non-Agency RMBS - 262,337,132 762,089,348 1,024,426,480 Non-Agency RMBS Interest Only - - 3,557,950 3,557,950 ABS - - 21,165,442 21,165,442 CMBS - 12,060,034 122,215,294 134,275,328 CMBS Interest Only - - 52,921,927 52,921,927 Residential mortgage loans - - 36,255,911 36,255,911 Commercial loans - - 58,274,488 58,274,488 Excess mortgage servicing rights - - 1,056,123 1,056,123 Derivative assets - 1,676,948 - 1,676,948 FHLBC stock - - 2,000 2,000 AG Arc - - 13,010,453 13,010,453 Total Assets Carried at Fair Value $ - $ 1,415,226,273 $ 1,070,548,936 $ 2, 485,775,209 Liabilities: Securitized debt $ - $ - $ (19,948,739 ) $ (19,948,739 ) Derivative liabilities ( 257,660 ) ( 2,247,201 ) - ( 2,504,861 ) Total Liabilities Carried at Fair Value $ ( 257,660 ) $ ( 2,247,201 ) $ (19,948,739 ) $ ( 22,453,600 ) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2016: Fair Value at December 31, 2016 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 739,727,721 $ - $ 739,727,721 Fixed Rate CMO - 63,697,398 - 63,697,398 ARM - 211,344,052 - 211,344,052 Interest Only - 42,894,555 - 42,894,555 Credit Investments: Non-Agency RMBS - 321,495,328 717,760,534 1,039,255,862 Non-Agency RMBS Interest Only - - 3,761,446 3,761,446 ABS - - 21,231,956 21,231,956 CMBS - 28,726,319 130,789,615 159,515,934 CMBS Interest Only - - 52,136,726 52,136,726 Residential mortgage loans - - 38,195,576 38,195,576 Commercial loans - - 60,068,800 60,068,800 U.S. Treasury securities - - - - Excess mortgage servicing rights - - 412,648 412,648 Derivative assets - 3,703,366 - 3,703,366 FHLBC stock - - 2,000 2,000 AG Arc - - 12,894,819 12,894,819 Total Assets Carried at Fair Value $ - $ 1,411,588,739 $ 1,037,254,120 $ 2,448,842,859 Liabilities: Securitized debt $ - $ - $ (21,491,710 ) $ (21,491,710 ) Loan participation payable - - (1,800,000 ) (1,800,000 ) Securities borrowed under reverse repurchase agreements (22,365,000 ) - - (22,365,000 ) Derivative liabilities (636,211 ) (2,271,044 ) - (2,907,255 ) Total Liabilities Carried at Fair Value $ (23,001,211 ) $ (2,271,044 ) $ (23,291,710 ) $ (48,563,965 ) |
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, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess FHLBC Stock AG Arc Securitized Loan Beginning balance $ 717,760,534 $ 3,761,446 $ 21,231,956 $ 130,789,615 $ 52,136,726 $ 38,195,576 $ 60,068,800 $ 412,648 $ 2,000 $ 12,894,819 $ (21,491,710 ) $ (1,800,000 ) Transfers (1): Transfers into level 3 85,643,243 - - - - - - - - - - - Transfers out of level 3 (35,886,288 ) - - - - - - - - - - - Purchases/Transfers (2) 42,203,390 - 6,730,646 3,568,749 - - 10,270,833 706,365 - - - - Capital contributions - - - - - - - - - - - - Reclassification of security type (3) - - - - - - - - - - - - Proceeds from sales/redemptions (23,675,362 ) - (7,665,627 ) (4,533,594 ) - (854,447 ) - - - - - - Proceeds from settlement (29,360,521 ) - - (8,485,256 ) - (665,982 ) (12,357,896 ) (10,364 ) - - 1,575,619 1,954,927 Total net gains/(losses) (4) Included in net income 5,404,352 (203,496 ) 868,467 875,780 785,201 (419,236 ) 292,751 (52,526 ) - 115,634 (32,648 ) (154,927 ) Included in other comprehensive income (loss) - - - - - - - - - - - - Ending Balance $ 762,089,348 $ 3,557,950 $ 21,165,442 $ 122,215,294 $ 52,921,927 $ 36,255,911 $ 58,274,488 $ 1,056,123 $ 2,000 $ 13,010,453 $ (19,948,739 ) $ - Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2017 (5) $ 5,394,508 $ (203,496 ) $ 838,732 $ 960,672 $ 785,201 $ (488,629 ) $ 236,542 $ (52,526 ) $ - $ 115,634 $ (32,648 ) $ - (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 $ 7,836,461 Unrealized gain/(loss) on derivative and other instruments, net (187,575 ) Net realized gain/(loss) (285,168 ) Equity in earnings/(loss) from affiliates 115,634 Total $ 7,479,352 (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 $ 7,471,004 Unrealized gain/(loss) on derivative and other instruments, net (32,648 ) Equity in earnings/(loss) from affiliates 115,634 Total $ 7,553,990 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 6,724,062 - 11,198,203 - 29,884 - 10,428,437 - - - (1,564,266 ) Reclassification of security type (2) - - - - 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) (3) 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 still held as of March 31, 2016 (4) $ (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) 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 $ (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 ) (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 $ (7,229,030 ) Net realized gain/(loss) (159,158 ) Total $ (7,388,188 ) |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block] | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at March 31, 2017 Valuation Technique Unobservable Input Range (Weighted Average) Non-Agency RMBS $ 727,149,104 Discounted Cash Flow Yield 2.40% - 8.22% (5.10%) Projected Collateral Prepayments 0.00% - 35.00% (9.89%) Projected Collateral Losses 0.00% - 50.00% (4.80%) Projected Reperforming Rates 19.43% - 48.47% (38.31%) Projected Collateral Severities 0.00% - 100.00% (38.63%) Projected Timeline to Liquidation (Months) 16.02 - 22.92 (20.99) $ 34,940,244 Consensus Pricing Offered Quotes 21.50 - 100.00 (86.81) Non-Agency RMBS Interest Only $ 3,557,950 Discounted Cash Flow Yield 17.50% - 17.50% (17.50%) Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 0.50% - 0.50% (0.50%) Projected Collateral Severities 10.00% - 10.00% (10.00%) ABS $ 21,165,442 Discounted Cash Flow Yield 3.14% - 6.00% (4.47%) Projected Collateral Prepayments 1.70% - 40.00% (23.22%) Projected Collateral Losses 0.00% - 2.00% (0.95%) Projected Collateral Severities 0.00% - 50.00% (23.68%) CMBS $ 112,469,289 Discounted Cash Flow Yield 4.64% - 8.42% (6.74%) Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 9,746,005 Consensus Pricing Offered Quotes 5.11 - 100.00 (68.87) CMBS Interest Only $ 52,921,927 Discounted Cash Flow Yield 2.48% - 7.73% (4.98%) Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Residential Mortgage Loans $ 36,255,911 Discounted Cash Flow Yield 6.50% - 8.00% (7.42%) Projected Collateral Prepayments 3.39% - 5.74% (4.42%) Projected Collateral Losses 5.07% - 5.47% (5.37%) Projected Reperforming Rates 10.41% - 46.89% (23.74%) Projected Collateral Severities 21.95% - 47.01% (41.22%) Projected Timeline to Liquidation (Months) 12.32 - 29.85 (14.97) Commercial Loans $ 32,800,000 Discounted Cash Flow Yield 5.65% - 5.65% (5.65%) Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) $ 25,474,488 Consensus Pricing Offered Quotes 95.92 - 100.00 (97.59) Excess Mortgage Servicing Rights $ 706,313 Recent Transaction Price N/A N/A $ 349,810 Consensus Pricing Offered Quotes 0.07 - 0.57 (0.51) FHLBC stock $ 2,000 ** Yield 4.00% - 4.00% (4.00%) AG Arc $ 13,010,453 Comparable Multiple Book Value Multiple 1.0x Liability Class Fair Value at March 31, 2017 Valuation Technique Unobservable Input Range (Weighted Average) Securitized debt $ (19,948,739) Discounted Cash Flow Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) * Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2017. ** 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. Asset Class Fair Value at December 31, 2016 Valuation Technique Unobservable Input Range (Weighted Average) Non-Agency RMBS $ 694,948,644 Discounted Cash Flow Yield 1.70% - 18.56% (5.11%) Projected Collateral Prepayments 0.00% - 35.00% (9.84%) Projected Collateral Losses 0.00% - 38.00% (5.22%) Projected Reperforming Rates 18.53% - 46.77% (33.39%) Projected Collateral Severities 0.00% - 100.00% (38.57%) Projected Timeline to Liquidation (Months) 16.13 - 23.09 (20.72) $ 22,811,890 Consensus Pricing Offered Quotes 21.50 - 100.07 (78.89) Non-Agency RMBS Interest Only $ 3,761,446 Discounted Cash Flow Yield 17.50% - 17.50% (17.50%) Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 0.50% - 0.50% (0.50%) Projected Collateral Severities 10.00% - 10.00% (10.00%) ABS $ 21,231,956 Discounted Cash Flow Yield 4.16% - 6.47% (4.98%) Projected Collateral Prepayments 1.50% - 40.00% (22.31%) Projected Collateral Losses 0.00% - 2.00% (0.88%) Projected Collateral Severities 0.00% - 50.00% (9.81%) CMBS $ 121,056,008 Discounted Cash Flow Yield 3.32% - 9.16% (6.13%) Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 9,733,607 Consensus Pricing Offered Quotes 5.03 - 99.81 (68.64) CMBS Interest Only $ 52,136,726 Discounted Cash Flow Yield 2.51% - 9.49% (5.85%) Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Residential Mortgage Loans $ 38,195,576 Discounted Cash Flow Yield 6.50% - 8.00% (7.42%) Projected Collateral Prepayments 3.18% - 5.82% (4.51%) Projected Collateral Losses 5.16% - 5.32% (5.18%) Projected Reperforming Rates 9.59% - 34.53% (22.91%) Projected Collateral Severities 25.19% - 84.80% (45.34%) Projected Timeline to Liquidation (Months) 12.32 - 29.85 (14.33) Commercial Loans $ 44,800,000 Discounted Cash Flow Yield 5.65% - 21.70% (7.98%) Credit Spread 4.75 bps - 10 bps (6.16 bps) Recovery Percentage* 100.00% - 100.00% (100.00%) $ 15,268,800 Consensus Pricing Offered Quotes 95.43 - 95.43 (95.43) Excess Mortgage Servicing Rights $ 412,648 Consensus Pricing Offered Quotes 0.09 - 0.62 (0.55) FHLBC stock $ 2,000 ** Yield 4.00% - 4.00% (4.00%) AG Arc $ 12,894,819 Comparable Multiple Book Value Multiple 1.0x Liability Class Fair Value at December 31, 2016 Valuation Technique Unobservable Input Range (Weighted Average) Securitized debt $ (21,491,710) Discounted Cash Flow Yield 3.36% - 3.36% (3.36%) Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) Loan participation payable $ (1,800,000) Discounted Cash Flow Yield 21.70% - 21.70% (21.70%) 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 December 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. |
Repurchase agreements (Tables)
Repurchase agreements (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Repurchase Agreements Maturing Within: Balance Rate Haircut (1) Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 1,390,511,705 1.75 % 14.3 % $ 1,649,118,698 $ 1,604,785,471 $ 5,462,708 31-60 days 210,489,000 1.44 % 10.9 % 239,208,038 235,056,536 857,254 61-90 days 85,965,000 1.82 % 14.3 % 101,763,313 100,492,178 304,848 91-180 days 29,386,000 1.15 % 6.5 % 31,425,948 31,042,881 68,254 Greater than 180 days 119,469,000 1.70 % -15.1 % 132,341,561 133,663,116 318,378 Total / Weighted Average $ 1,835,820,705 1.71 % 11.9 % $ 2,153,857,558 $ 2,105,040,182 $ 7,011,442 (1) The calculated haircut value in the greater than 180 days maturity bucket is negative due to the timing of repurchase agreement borrowings, however, margin has been posted to maintain the contractual haircut. The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2016: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Repurchase Agreements Maturing Within: Balance Rate Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 70,899,000 0.66 % 3.5 % $ 73,485,225 $ 73,170,802 $ 191,554 30 days or less 961,185,000 1.79 % 14.7 % 1,164,241,469 1,152,472,020 3,851,520 31-60 days 465,776,000 1.23 % 8.6 % 514,624,485 512,633,509 1,607,435 61-90 days 129,119,000 1.69 % 13.2 % 151,989,415 151,567,289 399,702 91-180 days 16,897,000 2.81 % 21.6 % 21,554,174 21,892,108 17,056 Greater than 180 days 209,293,104 1.93 % 4.7 % 252,940,437 244,734,715 948,975 Total / Weighted Average $ 1,853,169,104 1.63 % 11.5 % $ 2,178,835,205 $ 2,156,470,443 $ 7,016,242 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of March 31, 2017: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,725,817 3.49 % 3.68 % 31.8 % $ 32,176,699 $ 31,105,471 $ 39,838 Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 25,544,702 3.27 % 3.79 % 30.3 % $ 34,088,921 $ 32,849,686 $ 45,068 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of March 31, 2017: Repurchase Agreements Collateral Pledged Weighted Weighted Average Weighted Average Fair Value Repurchase Agreements Maturing Within: Balance Average Rate Funding Cost Haircut Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 3.13 % 3.26 % 33.5 % $ 32,800,000 $ 32,799,353 $ 136,643 The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2016: Repurchase Agreements Collateral Pledged Weighted Average Weighted Average Weighted Average Fair Value Amortized Repurchase Agreements Maturing Within: Balance Rate Funding Cost Haircut Pledged Cost Accrued Interest Greater than 180 days $ 21,796,000 2.91 % 3.13 % 33.5 % $ 32,800,000 $ 32,798,706 $ 125,314 |
Schedule Of Securities Collateral Information [Table Text Block] | The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on March 31, 2017 and December 31, 2016, broken out by investment type: March 31, 2017 December 31, 2016 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 978,596,257 $ 965,154,048 Non-Agency RMBS 969,704,864 990,985,143 ABS 21,165,442 21,231,956 CMBS 171,509,042 201,464,058 Residential Mortgage Loans 32,176,699 31,031,107 Commercial Mortgage Loans 32,800,000 32,800,000 Cash pledged (i.e., restricted cash) under repurchase agreements 6,116,106 17,149,022 Fair Value of unsettled trades pledged as collateral under repurchase agreements: 12,881,953 3,057,814 Total collateral pledged under Repurchase agreements $ 2,224,950,363 $ 2,262,873,148 |
Schedule Of Total Borrowings Under Repurchase Agreements [Table Text Block] | The following table presents information with respect to the Company’s total borrowings under repurchase agreements on March 31, 2017 and December 31, 2016, broken out by investment type: March 31, 2017 December 31, 2016 Repurchase agreements secured by investments: Agency RMBS $ 932,240,000 $ 907,041,000 Non-Agency RMBS 761,169,705 776,459,104 ABS 15,728,000 15,283,000 CMBS 126,683,000 154,386,000 Residential Mortgage Loans 21,725,817 25,544,702 Commercial Mortgage Loans 21,796,000 21,796,000 Gross Liability for Repurchase agreements $ 1,879,342,522 $ 1,900,509,806 |
Schedule Of Gross and Net Information About Repurchase Agreements [Table Text Block] | Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 1,879,342,522 $ - $ 1,879,342,522 $ 1,879,342,522 $ - $ - The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2016: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 1,900,509,806 $ - $ 1,900,509,806 $ 1,900,509,806 $ - $ - |
Schedule Of Repurchase Agreement Counterparty [Table Text Block] | The following table presents information at March 31, 2017 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 Stockholders’ Equity Weighted Average Percentage of Wells Fargo Bank, N.A. $ 50,843,952 261 8 % Credit Suisse Securities, LLC 36,248,676 40 5 % The following table presents information at December 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 Stockholders’ Equity Weighted Average Percentage of Wells Fargo Bank, N.A. $ 50,917,158 357 8 % JP Morgan Securities, LLC 34,885,263 160 5 % |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 and other instruments and their balance sheet location at March 31, 2017 and December 31, 2016. Derivatives and Other Instruments Designation Balance Sheet Location March 31, 2017 December 31, 2016 Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (1,765,186) $ (1,847,219) Interest rate swaps Non-Hedge Derivative assets, at fair value 1,258,992 3,703,366 TBAs Non-Hedge Derivative liabilities, at fair value (482,015) (423,825) TBAs Non-Hedge Derivative assets, at fair value 417,956 - Short positions on U.S. Treasury Futures Non-Hedge Derivative liabilities, at fair value (257,660) (636,211) Obligation to return securities borrowed under reverse repurchase Short positions on U.S. Treasuries Non-Hedge agreements, at fair value (1) - (22,365,000) (1) The Company’s obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2016 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations |
Schedule of Derivative Instruments [Table Text Block] | The following table summarizes information related to derivatives and other instruments: Non-hedge derivatives and other instruments held long/(short): March 31, 2017 December 31, 2016 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 924,000,000 $ 644,000,000 Notional amount of TBAs 90,000,000 (25,000,000) Notional amount of short positions on U.S. Treasury Futures (1) (106,500,000) (141,500,000) Notional amount of short positions on U.S. Treasuries - (24,000,000) (1) Each U.S. Treasury Future contract embodies $ 100,000 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table summarizes gains/(losses) related to derivatives and other instruments: Three Months Ended Three Months Ended Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location March 31, 2017 March 31, 2016 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 1,231,214 $ (17,901,375) Interest rate swaps, at fair value Net realized gain/(loss) - (2,893,517) Short positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 106,499 - Short positions on U.S. Treasury Futures Net realized gain/(loss) (947,936) - TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net 359,765 (392) TBAs (1) Net realized gain/(loss) (242,031) 205,664 Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - 5,992,733 Long positions on U.S. Treasuries Net realized gain/(loss) - 314,766 Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net (1,724,922) - Short positions on U.S. Treasuries Net realized gain 1,730,547 - (1) For the three months ended March 31, 2017, gains and losses from purchases and sales of TBAs consisted of $ 0.4 0.1 0.1 |
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 sheets as of March 31, 2017: Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts Gross Amounts Offset in the of Recognized Assets Consolidated Net Amounts of Assets (Liabilities) Presented in the Financial Instruments Description (Liabilities) Balance Sheets Consolidated Balance Sheets (Posted)/Received Cash Collateral (Posted)/Received Net Amount Derivative Assets (1) Interest Rate Swaps $ 1,567,718 $ - $ 1,567,718 $ - $ 1,009,575 $ 558,143 TBAs 417,956 - 417,956 - - 417,956 Total Derivative Assets $ 1,985,674 $ - $ 1,985,674 $ - $ 1,009,575 $ 976,099 Derivative Liabilities (2) Interest Rate Swaps $ (1,207,745) $ - $ (1,207,745) $ - $ (1,207,745) $ - U.S. Treasury Futures - Short (257,660) - (257,660) - (257,660) - TBAs (482,015) - (482,015) (482,015) - - Total Derivative Liabilities $ (1,947,420) $ - $ (1,947,420) $ (482,015) $ (1,465,405) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 1,985,674 (308,726) 1,676,948 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (1,947,420) (557,441) (2,504,861) Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Gross Amounts Recognized Offset in the Net Amounts of Assets Financial Assets Consolidated Balance (Liabilities) Presented in the Instruments Cash Collateral Description (Liabilities) Sheets Consolidated Balance Sheets (Posted)/Received (Posted)/Received Net Amount Receivable Under Reverse Repurchase Agreements $ 22,680,000 $ - $ 22,680,000 $ 22,365,000 $ - $ 315,000 Derivative Assets (1) Interest Rate Swaps $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559 Total Derivative Assets $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559 Derivative Liabilities (2) Interest Rate Swaps $ (1,705,865) $ - $ (1,705,865) $ - $ (1,705,865) $ - U.S. Treasury Futures - Short (636,211) - (636,211) - (636,211) - TBAs (423,824) - (423,824) (423,824) - - Total Derivative Liabilities $ (2,765,900) $ - $ (2,765,900) $ (423,824) $ (2,342,076) $ - (1) Included in Derivative Assets on the consolidated balance sheet is $ 4,559,134 (855,768) 3,703,366 (2) Included in Derivative Liabilities on the consolidated balance sheet is $ (2,765,900) (141,355) (2,907,255) |
Schedule of Interest Rate Derivatives [Table Text Block] | As of March 31, 2017, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of March 31, 2017: Weighted Average Weighted Average Weighted Average Maturity Notional Amount Pay-Fixed Rate Receive-Variable Rate Years to Maturity 2017 $ 36,000,000 0.88 % 1.04 % 0.59 2019 170,000,000 1.36 % 1.05 % 2.63 2020 155,000,000 1.62 % 1.04 % 2.90 2021 60,000,000 1.86 % 1.12 % 4.69 2022 218,000,000 2.00 % 1.08 % 5.03 2023 85,000,000 2.30 % 1.10 % 6.18 2024 25,000,000 2.16 % 1.01 % 6.77 2025 30,000,000 2.48 % 1.10 % 8.18 2026 95,000,000 2.17 % 1.06 % 9.65 2027 50,000,000 2.40 % 1.05 % 9.87 Total/Wtd Avg $ 924,000,000 1.85 % 1.07 % 5.03 As of December 31, 2016, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2016: Weighted Average Weighted Average Weighted Average Maturity Notional Amount Pay-Fixed Rate Receive-Variable Rate Years to Maturity 2017 $ 36,000,000 0.88 % 0.89 % 0.84 2019 170,000,000 1.36 % 0.91 % 2.88 2020 115,000,000 1.59 % 0.90 % 3.20 2021 60,000,000 1.86 % 0.96 % 4.94 2022 53,000,000 1.69 % 0.94 % 5.69 2023 85,000,000 2.30 % 0.94 % 6.43 2025 30,000,000 2.48 % 0.94 % 8.43 2026 95,000,000 2.17 % 0.92 % 9.90 Total/Wtd Avg $ 644,000,000 1.74 % 0.92 % 5.01 |
Schedule Of To Be Announced Securities Activity [Table Text Block] | The following table presents information about the Company’s TBAs for the three months ended March 31, 2017 and March 31, 2016: For the Three Months Ended March 31, 2017 Beginning Notional Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative Amount Buys or Covers Sales or Shorts Amount Period End from/to Broker Asset Liability TBAs - Long $ 50,000,000 $ 285,000,000 $ (245,000,000) $ 90,000,000 $ 93,367,972 $ (93,432,031) $ 417,956 $ (482,015) TBAs - Short $ (75,000,000) $ 75,000,000 $ - $ - $ - $ - $ - $ - For the Three Months Ended March 31, 2016 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative 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) |
Earnings per share (Tables)
Earnings per share (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Schedule of Stockholders' Equity Note, Warrants or Rights [Table Text Block] | As of March 31, 2017 and March 31, 2016, the Company’s outstanding warrants and unvested restricted stock units were as follows: March 31, 2017 March 31, 2016 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 20,003 40,006 |
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, 2017 and March 31, 2016: Three Months Ended Three Months Ended March 31, 2017 March 31, 2016 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 21,750,308 $ (5,811,781) Denominator: Basic weighted average common shares outstanding 27,701,902 28,271,930 Dilutive effect of restricted stock units 7,135 - Diluted weighted average common shares outstanding 27,709,037 28,271,930 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.79 $ (0.21) Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.78 $ (0.21) |
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, 2017, and March 31, 2016: 2017 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2017 3/21/2017 4/28/2017 $ 0.475 2016 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2016 3/21/2016 4/29/2016 $ 0.475 |
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, 2017, and March 31, 2016: 2017 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2017 2/28/2017 3/17/2017 $ 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2017 2/28/2017 3/17/2017 $ 0.50 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 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/12/2016 2/29/2016 3/17/2016 $ 0.50 |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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. Maximum Number (or Total Number of Shares approximate dollar value) of Total Number of Weighted Average Purchased as Part of Publicly Shares that May Yet be Purchased Month Purchased (1) Shares Repurchased Price per Share Paid (2) Announced Program Under the Program (3) 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, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | Feb. 29, 2016 | Feb. 12, 2016 | |
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 | $ 1,800,000 | ||
Investments in affiliates | $ 69,535,781 | 72,215,919 | |||
Investments fair market value | 65,000,000 | 69,000,000 | |||
Commercial Portfolio Segment [Member] | |||||
Significant Accounting Policies Disclosure [Line Items] | |||||
Loans and Leases Receivable before Fees, Gross | $ 12,000,000 | $ 12,000,000 | |||
Federal Home Loan Bank of Cincinnati [Member] | |||||
Significant Accounting Policies Disclosure [Line Items] | |||||
Federal Home Loan Bank Stock | 2,000 | ||||
Interest Income, Deposits with Other Federal Home Loan Banks | 0 | $ 100,000 | |||
ARC Home LLC [Member] | |||||
Significant Accounting Policies Disclosure [Line Items] | |||||
Investments in affiliates | $ 13,000,000 | $ 12,900,000 |
Real Estate Securities (Details
Real Estate Securities (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 5,302,426,316 | $ 5,313,929,467 | |
Premium/(Discount) | (2,962,435,430) | (3,003,086,367) | |
Amortized Cost | 2,339,990,886 | 2,310,843,100 | |
Gross Unrealized Gains | 50,138,587 | 42,487,756 | |
Gross Unrealized Losses | (14,630,187) | (19,765,206) | |
Fair Value | $ 2,375,499,286 | $ 2,333,565,650 | |
Weighted Average Coupon | [1],[2] | 2.22% | 2.18% |
Weighted Average Yield | 4.64% | 4.76% | |
Agency RMBS: 30 Year Fixed Rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 795,817,022 | $ 713,234,586 | |
Premium/(Discount) | 35,108,203 | 28,338,222 | |
Amortized Cost | 830,925,225 | 741,572,808 | |
Gross Unrealized Gains | 3,899,726 | 3,672,057 | |
Gross Unrealized Losses | (4,306,739) | (5,517,144) | |
Fair Value | $ 830,518,212 | $ 739,727,721 | |
Weighted Average Coupon | [1],[2] | 3.77% | 3.64% |
Weighted Average Yield | 3.10% | 2.99% | |
Agency RMBS: Fixed Rate CMO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 60,704,906 | $ 62,570,005 | |
Premium/(Discount) | 506,092 | 531,431 | |
Amortized Cost | 61,210,998 | 63,101,436 | |
Gross Unrealized Gains | 562,363 | 595,962 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | $ 61,773,361 | $ 63,697,398 | |
Weighted Average Coupon | [1],[2] | 3.00% | 3.00% |
Weighted Average Yield | 2.80% | 2.80% | |
Agency RMBS: ARM [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 200,950,940 | $ 208,592,111 | |
Premium/(Discount) | (1,355,918) | (1,633,175) | |
Amortized Cost | 199,595,022 | 206,958,936 | |
Gross Unrealized Gains | 4,109,411 | 4,385,116 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | $ 203,704,433 | $ 211,344,052 | |
Weighted Average Coupon | [1],[2] | 2.35% | 2.35% |
Weighted Average Yield | 2.84% | 2.84% | |
Agency RMBS: Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 414,327,995 | $ 416,902,327 | |
Premium/(Discount) | (373,654,218) | (375,843,483) | |
Amortized Cost | 40,673,777 | 41,058,844 | |
Gross Unrealized Gains | 2,699,293 | 3,033,926 | |
Gross Unrealized Losses | (216,917) | (1,198,215) | |
Fair Value | $ 43,156,153 | $ 42,894,555 | |
Weighted Average Coupon | [1],[2] | 2.66% | 2.70% |
Weighted Average Yield | 7.20% | 8.26% | |
Credit Investment: Non-Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,226,010,323 | $ 1,255,224,713 | |
Premium/(Discount) | (228,031,492) | (235,346,323) | |
Amortized Cost | 997,978,831 | 1,019,878,390 | |
Gross Unrealized Gains | 34,646,764 | 28,705,591 | |
Gross Unrealized Losses | (8,199,115) | (9,328,119) | |
Fair Value | $ 1,024,426,480 | $ 1,039,255,862 | |
Weighted Average Coupon | [1],[2] | 4.38% | 4.31% |
Weighted Average Yield | 5.89% | 6.03% | |
Credit Investment: Non-Agency RMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 431,288,095 | $ 449,759,113 | |
Premium/(Discount) | (427,553,700) | (446,027,313) | |
Amortized Cost | 3,734,395 | 3,731,800 | |
Gross Unrealized Gains | 24,943 | 33,512 | |
Gross Unrealized Losses | (201,388) | (3,866) | |
Fair Value | $ 3,557,950 | $ 3,761,446 | |
Weighted Average Coupon | [1],[2] | 0.26% | 0.25% |
Weighted Average Yield | 12.04% | 12.47% | |
Credit Investment: ABS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 21,120,000 | $ 22,025,000 | |
Premium/(Discount) | (315,249) | (357,022) | |
Amortized Cost | 20,804,751 | 21,667,978 | |
Gross Unrealized Gains | 360,691 | 100,247 | |
Gross Unrealized Losses | 0 | (536,269) | |
Fair Value | $ 21,165,442 | $ 21,231,956 | |
Weighted Average Coupon | [1],[2] | 5.54% | 5.43% |
Weighted Average Yield | 6.43% | 6.32% | |
Credit Investment: CMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 190,198,166 | $ 217,935,976 | |
Premium/(Discount) | (55,450,498) | (56,549,776) | |
Amortized Cost | 134,747,668 | 161,386,200 | |
Gross Unrealized Gains | 1,226,257 | 959,842 | |
Gross Unrealized Losses | (1,698,597) | (2,830,108) | |
Fair Value | $ 134,275,328 | $ 159,515,934 | |
Weighted Average Coupon | [1],[2] | 5.15% | 5.15% |
Weighted Average Yield | 6.12% | 6.16% | |
Credit Investment: CMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,962,008,869 | $ 1,967,685,636 | |
Premium/(Discount) | (1,911,688,650) | (1,916,198,928) | |
Amortized Cost | 50,320,219 | 51,486,708 | |
Gross Unrealized Gains | 2,609,139 | 1,001,503 | |
Gross Unrealized Losses | (7,431) | (351,485) | |
Fair Value | $ 52,921,927 | $ 52,136,726 | |
Weighted Average Coupon | [1],[2] | 0.41% | 0.41% |
Weighted Average Yield | 6.54% | 6.48% | |
[1] | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | ||
[2] | The Company has chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item in the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). |
Real Estate Securities (Detai29
Real Estate Securities (Details 1) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 months, Fair Value | $ 676,054,174 | $ 756,302,518 |
Less than 12 months, Unrealized Losses | (8,939,391) | (12,017,743) |
Greater than 12 months, Fair Value | 177,211,245 | 203,287,535 |
Greater than 12 months, Unrealized Losses | $ (5,690,796) | $ (7,747,463) |
Real Estate Securities (Detai30
Real Estate Securities (Details 2) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |
Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1],[2] | $ 1,095,996,006 | $ 1,014,769,171 |
Amortized Cost Total | [1],[2] | $ 1,091,731,245 | $ 1,011,633,180 |
Weighted Average Coupon Total | [1],[2] | 3.45% | 3.32% |
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] | $ 121,408,564 | $ 124,913,463 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[2] | $ 119,608,406 | $ 123,021,262 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[2] | 2.73% | 2.73% |
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] | $ 974,587,442 | $ 808,271,767 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[2] | $ 972,122,839 | $ 806,474,038 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[2] | 3.54% | 3.44% |
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 | $ 81,583,941 |
Amortized Cost Greater than ten years | [1],[2] | $ 0 | $ 82,137,880 |
Weighted Average Coupon Greater than ten years | [1],[2] | 0.00% | 3.10% |
Agency IO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1] | $ 43,156,153 | $ 42,894,555 |
Amortized Cost Total | [1] | $ 40,673,777 | $ 41,058,844 |
Weighted Average Coupon Total | [1] | 2.66% | 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] | $ 29,429,401 | $ 28,514,942 |
Amortized Cost Greater than one year and less than or equal to five years | [1] | $ 28,245,790 | $ 27,995,835 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1] | 2.23% | 2.23% |
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] | $ 13,726,752 | $ 14,379,613 |
Amortized Cost Greater than five years and less than or equal to ten years | [1] | $ 12,427,987 | $ 13,063,009 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1] | 5.02% | 5.14% |
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] | $ 1,236,347,127 | $ 1,275,901,924 |
Amortized Cost Total | [1],[3] | $ 1,207,585,864 | $ 1,258,151,076 |
Weighted Average Coupon Total | [1],[3],[4] | 1.82% | 1.82% |
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] | $ 189,396,318 | $ 169,483,329 |
Amortized Cost Less than or equal to 1 year | [1],[3] | $ 190,095,347 | $ 170,533,908 |
Weighted Average Coupon Less than or equal to 1 year | [1],[3],[4] | 2.19% | 2.09% |
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] | $ 417,553,689 | $ 430,525,739 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[3] | $ 413,298,729 | $ 430,108,024 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[3],[4] | 0.91% | 0.94% |
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] | $ 386,045,399 | $ 425,043,315 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[3] | $ 373,253,384 | $ 418,094,774 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[3],[4] | 2.35% | 2.30% |
Credit Securities [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1],[3] | $ 243,351,721 | $ 250,849,541 |
Amortized Cost Greater than ten years | [1],[3] | $ 230,938,404 | $ 239,414,370 |
Weighted Average Coupon Greater than ten years | [1],[3],[4] | 5.85% | 5.88% |
[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 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, 2017USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2016USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | |||
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | $ 119,058,418 | $ 29,872,376 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Debt Securities, Total | 2,700,000 | 9,200,000 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 1,000,000 | ||
Other than Temporary Impairment, Credit Losses Recognized In Earnings Or Other Comprehensive Income, Reductions, Change In Status | 1,700,000 | $ 9,200,000 | |
Assets, Fair Value Disclosure | 2,485,775,209 | $ 2,448,842,859 | |
Debt Instrument, Fair Value Disclosure | $ 29,700,000 | $ 31,500,000 | |
Weighted Average Life Of Securitized Debt | 3 years 1 month 17 days | 3 years 3 months 7 days | |
Weighted Average Rate Of Securitized Debt | 3.89% | 3.87% | |
Other Secured Financings | $ 19,948,739 | $ 21,491,710 | |
Weighted Average Yield of Aggregate Security | 6.87% | 6.73% | |
Weighted Average Coupon of Aggregate Security | 3.17% | 3.15% | |
Senior Notes [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Debt Instrument, Fair Value Disclosure | $ 20,000,000 | $ 21,600,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Senior Notes [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Debt Instrument, Fair Value Disclosure | $ 19,900,000 | 21,500,000 | |
Settled Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Number Of Securities Sold | 15 | 6 | |
Securities, Gross Realized Gains | $ 500,000 | $ 41,181 | |
Securities, Gross Realized Losses | 700,000 | 1,400,000 | |
Proceeds From Sale Of Mortgage Backed Securities (Mbs) Categorized As Trading | 119,100,000 | 29,900,000 | |
Proceeds From Unsettled Securities | 12,900,000 | ||
Other than Temporary Impairment, Credit Losses Recognized In Earnings Or Other Comprehensive Income, Reductions, Change In Status | $ 1,100,000 | $ 5,100,000 | |
Number Of Unsettled Securities | 1 | ||
Resecuritization [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Assets, Fair Value Disclosure | $ 25,900,000 | $ 27,400,000 |
Loans (Details)
Loans (Details) - Residential Mortgage Loans [Member] - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 50,152,602 | $ 53,827,336 | $ 50,500,000 | $ 13,700,000 | $ 59,000,000 | |
Premium (Discount) | (14,787,295) | (16,491,472) | ||||
Amortized Cost | 35,365,307 | 37,335,864 | ||||
Gross Unrealized Gains | [1] | 1,330,346 | 1,262,223 | |||
Gross Unrealized Losses | [1] | (439,742) | (402,511) | |||
Fair Value | $ 36,255,911 | $ 38,195,576 | ||||
Weighted Average Coupon | 5.72% | 5.60% | ||||
Weighted Average Yield | 8.68% | 8.74% | ||||
Weighted Average Useful Life (in years) | [2] | 6 years 9 months 14 days | 6 years 8 months 16 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 columns above represent inception to date unrealized gains (losses). | |||||
[2] | Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual 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, 2017 | Dec. 31, 2016 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 |
Fair Value | $ 36,255,911 | $ 38,195,576 | |||
Unpaid Principal Balance | 50,152,602 | 53,827,336 | $ 50,500,000 | $ 13,700,000 | $ 59,000,000 |
Re-Performing Financing Receivable [Member] | |||||
Fair Value | 25,682,700 | 26,665,750 | |||
Unpaid Principal Balance | 33,986,956 | 35,645,382 | |||
Non-Performing Financing Receivable [Member] | |||||
Fair Value | 10,573,211 | 11,529,826 | |||
Unpaid Principal Balance | $ 16,165,646 | $ 18,181,954 |
Loans (Details 2)
Loans (Details 2) - Accounts Receivable [Member] | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 95.00% | 98.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 26.00% | 25.00% |
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 11.00% | 9.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 4.00% | 5.00% |
Maryland [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 7.00% | 6.00% |
Loans (Details 3)
Loans (Details 3) - USD ($) | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Beginning Balance | $ 18,281,517 | $ 24,216,638 |
Additions | 0 | 0 |
Accretion | (753,537) | (1,104,027) |
Reclassifications from/(to) non-accretable difference | 1,472,340 | 154,405 |
Disposals | (274,849) | (103,869) |
Ending Balance | $ 18,725,471 | $ 23,163,147 |
Loans (Details 4)
Loans (Details 4) - Commercial Loan [Member] - Commercial Portfolio Segment [Member] - USD ($) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2017 | Dec. 31, 2016 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2] | $ 58,914,978 | [1] | $ 60,800,000 | [3],[4] |
Premium (Discount), Commercial Loans | [2] | (1,358,901) | [1] | (1,504,634) | [3],[4] |
Amortized Cost, Commercial Loans | [2] | 57,556,077 | [1] | 59,295,366 | [3],[4] |
Gross Unrealized Gains, Commercial Loans | [2] | 718,411 | [1],[5] | 858,020 | [3],[4],[6] |
Gross Unrealized Losses, Commercial Loans | [2] | 0 | [1],[5] | (84,586) | [3],[4],[6] |
Fair Value, Commercial Loans | [2] | $ 58,274,488 | [1] | $ 60,068,800 | [3],[4] |
Weighted Average Coupon, Commercial Loans | [2],[7] | 7.58% | [1] | 7.39% | [3],[4] |
Weighted Average Yield, Commercial Loans | [2] | 8.58% | [1] | 9.19% | [3],[4] |
Weighted Average Life (in years), Commercial Loans | [2],[8] | 1 year 5 months 23 days | [1] | 1 year 6 months 14 days | [3],[4],[7] |
Loan B [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2],[9] | $ 32,800,000 | [1] | $ 32,800,000 | [3],[4] |
Premium (Discount), Commercial Loans | [2],[9] | (647) | [1] | (1,294) | [3],[4] |
Amortized Cost, Commercial Loans | [2],[9] | 32,799,353 | [1] | 32,798,706 | [3],[4] |
Gross Unrealized Gains, Commercial Loans | [2],[9] | 647 | [1],[5] | 1,294 | [3],[4],[6] |
Gross Unrealized Losses, Commercial Loans | [2],[9] | 0 | [1],[5] | 0 | [3],[4],[6] |
Fair Value, Commercial Loans | [2],[9] | $ 32,800,000 | [1] | $ 32,800,000 | [3],[4] |
Weighted Average Coupon, Commercial Loans | [2],[7],[9] | 5.58% | [1] | 5.40% | [3],[4] |
Weighted Average Yield, Commercial Loans | [2],[9] | 5.65% | [1] | 5.65% | [3],[4] |
Weighted Average Life (in years), Commercial Loans | [2],[8],[9] | 3 months 7 days | [1] | 6 months 7 days | [3],[4],[7] |
Stated Maturity Date | [2],[9] | Jul. 1, 2016 | [1] | Jul. 1, 2016 | [3],[4] |
Extended Maturity Date | [2],[9],[10] | Jul. 1, 2019 | [1] | Jul. 1, 2019 | [3],[4] |
Loan D [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2],[3],[4],[11],[12] | $ 12,000,000 | |||
Premium (Discount), Commercial Loans | [2],[3],[4],[11],[12] | (211,692) | |||
Amortized Cost, Commercial Loans | [2],[3],[4],[11],[12] | 11,788,308 | |||
Gross Unrealized Gains, Commercial Loans | [2],[3],[4],[6],[11],[12] | 296,278 | |||
Gross Unrealized Losses, Commercial Loans | [2],[3],[4],[6],[11],[12] | (84,586) | |||
Fair Value, Commercial Loans | [2],[3],[4],[11],[12] | $ 12,000,000 | |||
Weighted Average Coupon, Commercial Loans | [2],[3],[4],[7],[11],[12] | 10.62% | |||
Weighted Average Yield, Commercial Loans | [2],[3],[4],[11],[12] | 14.33% | |||
Weighted Average Life (in years), Commercial Loans | [2],[3],[4],[7],[8],[11],[12] | 7 months 13 days | |||
Stated Maturity Date | [2],[3],[4],[11],[12] | Feb. 11, 2017 | |||
Extended Maturity Date | [2],[3],[4],[10],[11],[12] | Aug. 11, 2017 | |||
Loan E [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2] | $ 15,698,312 | [1],[13] | $ 16,000,000 | [3],[4],[14] |
Premium (Discount), Commercial Loans | [2] | (1,226,832) | [1],[13] | (1,291,648) | [3],[4],[14] |
Amortized Cost, Commercial Loans | [2] | 14,471,480 | [1],[13] | 14,708,352 | [3],[4],[14] |
Gross Unrealized Gains, Commercial Loans | [2] | 586,342 | [1],[5],[13] | 560,448 | [3],[4],[6],[14] |
Gross Unrealized Losses, Commercial Loans | [2] | 0 | [1],[5],[13] | 0 | [3],[4],[6],[14] |
Fair Value, Commercial Loans | [2] | $ 15,057,822 | [1],[13] | $ 15,268,800 | [3],[4],[14] |
Weighted Average Coupon, Commercial Loans | [2],[7] | 9.26% | [1],[13] | 9.05% | [3],[4],[14] |
Weighted Average Yield, Commercial Loans | [2] | 11.70% | [1],[13] | 12.76% | [3],[4],[14] |
Weighted Average Life (in years), Commercial Loans | [2],[8] | 4 years 4 days | [1],[13] | 4 years 3 months 29 days | [3],[4],[7],[14] |
Stated Maturity Date | [2] | Apr. 9, 2017 | [1],[13] | Apr. 9, 2017 | [3],[4],[14] |
Extended Maturity Date | [2],[10] | Apr. 9, 2021 | [1],[13] | Apr. 9, 2021 | [3],[4],[14] |
Loan F [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [1],[2],[13] | $ 10,416,666 | |||
Premium (Discount), Commercial Loans | [1],[2],[13] | (131,422) | |||
Amortized Cost, Commercial Loans | [1],[2],[13] | 10,285,244 | |||
Gross Unrealized Gains, Commercial Loans | [1],[2],[5],[13] | 131,422 | |||
Gross Unrealized Losses, Commercial Loans | [1],[2],[5],[13] | 0 | |||
Fair Value, Commercial Loans | [1],[2],[13] | $ 10,416,666 | |||
Weighted Average Coupon, Commercial Loans | [1],[2],[7],[13] | 11.35% | |||
Weighted Average Yield, Commercial Loans | [1],[2],[13] | 13.28% | |||
Weighted Average Life (in years), Commercial Loans | [1],[2],[8],[13] | 1 year 5 months 16 days | |||
Stated Maturity Date | [1],[2],[13] | Sep. 9, 2018 | |||
Extended Maturity Date | [1],[2],[10],[13] | Sep. 9, 2019 | |||
[1] | Loan D paid off at par in Q1 2017. | ||||
[2] | The Company has the contractual right to receive a balloon payment. | ||||
[3] | Loan A paid off in Q2 2016, with the Company receiving $30.0 million of principal proceeds. | ||||
[4] | Loan C paid off in Q3 2016, with the Company receiving $10.0 million of principal proceeds. | ||||
[5] | 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 columns above represent inception to date unrealized gains (losses). | ||||
[6] | 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 columns above represent inception to date unrealized gains (losses). | ||||
[7] | Each commercial loan investment has a variable coupon rate. | ||||
[8] | Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. | ||||
[9] | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. | ||||
[10] | Represents the maturity date of the last possible extension option. | ||||
[11] | Loan D is a first mortgage loan. See below for further information. As of the stated maturity date, Loan D has been extended for an additional 6 months. | ||||
[12] | Loan D paid off in Q1 2017. | ||||
[13] | Loan E and Loan F are mezzanine loans. | ||||
[14] | Loan E is a mezzanine loan. |
Loans (Details Textual)
Loans (Details Textual) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||
Mar. 31, 2017 | Mar. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2016 | Sep. 30, 2016 | Feb. 29, 2016 | Feb. 12, 2016 | Sep. 30, 2014 | Jul. 31, 2014 | Feb. 28, 2014 | |
Gain (Loss) on Investments [Line Items] | ||||||||||
Percentage Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | 15.00% | |||||||||
Amount Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | $ 1,800,000 | $ 1,800,000 | $ 1,800,000 | |||||||
Proceeds from Collection of Loans Receivable | $ 30,000,000 | |||||||||
Accretion of Purchase, Discount | $ 100,000 | $ 100,000 | ||||||||
Mortgage Loans in Process of Foreclosure, Amount | 9,700,000 | $ 11,000,000 | ||||||||
Commercial Portfolio Segment [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Loans and Leases Receivable before Fees, Gross | $ 12,000,000 | $ 12,000,000 | ||||||||
Loan C [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Loan Receivable Commercial Weighted Average Coupon Rate | 10.62% | |||||||||
Loan Receivable Commercial Weighted Average Yield | 14.33% | |||||||||
Loan D [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Proceeds from Collection of Loans Receivable | 12,000,000 | |||||||||
Residential Mortgage Loans [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 50,152,602 | $ 53,827,336 | $ 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 | 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 | 9,000 | ||||||||
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 | ||||||||
Mezzanine Loan [Member] | Loan C [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | $ 10,000,000 | |||||||||
Participation Interest [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Loan Receivable Commercial Weighted Average Coupon Rate | 10.62% | |||||||||
Loan Receivable Commercial Weighted Average Yield | 21.70% |
Fair value measurements (Detail
Fair value measurements (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Assets, Fair Value Disclosure | $ 2,485,775,209 | $ 2,448,842,859 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (22,453,600) | (48,563,965) |
Securities borrowed under reverse repurchase agreements | (22,365,000) | |
AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 13,010,453 | 12,894,819 |
FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,000 | 2,000 |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,676,948 | 3,703,366 |
Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (19,948,739) | (21,491,710) |
Loan Participation Payable [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (1,800,000) | |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (2,504,861) | (2,907,255) |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 830,518,212 | 739,727,721 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 61,773,361 | 63,697,398 |
Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 203,704,433 | 211,344,052 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,156,153 | 42,894,555 |
Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,024,426,480 | 1,039,255,862 |
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 3,557,950 | 3,761,446 |
Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 21,165,442 | 21,231,956 |
Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 134,275,328 | 159,515,934 |
Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 52,921,927 | 52,136,726 |
Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 36,255,911 | 38,195,576 |
Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 58,274,488 | 60,068,800 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,056,123 | 412,648 |
US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (257,660) | (23,001,211) |
Securities borrowed under reverse repurchase agreements | (22,365,000) | |
Fair Value, Inputs, Level 1 [Member] | AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
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 | (257,660) | (636,211) |
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 | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit 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 | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,415,226,273 | 1,411,588,739 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (2,247,201) | (2,271,044) |
Securities borrowed under reverse repurchase agreements | 0 | |
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 | 1,676,948 | 3,703,366 |
Fair Value, Inputs, Level 2 [Member] | Securitized Debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
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 | (2,247,201) | (2,271,044) |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 830,518,212 | 739,727,721 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 61,773,361 | 63,697,398 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 203,704,433 | 211,344,052 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,156,153 | 42,894,555 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 262,337,132 | 321,495,328 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
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 | 12,060,034 | 28,726,319 |
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 | |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,070,548,936 | 1,037,254,120 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (19,948,739) | (23,291,710) |
Securities borrowed under reverse repurchase agreements | 0 | |
Fair Value, Inputs, Level 3 [Member] | AG Arc LLC [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 13,010,453 | 12,894,819 |
Fair Value, Inputs, Level 3 [Member] | FHLBC stock [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,000 | 2,000 |
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 | (19,948,739) | (21,491,710) |
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 | 762,089,348 | 717,760,534 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 3,557,950 | 3,761,446 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 21,165,442 | 21,231,956 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 122,215,294 | 130,789,615 |
Fair Value, Inputs, Level 3 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 52,921,927 | 52,136,726 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 36,255,911 | 38,195,576 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 58,274,488 | 60,068,800 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | $ 1,056,123 | 412,648 |
Fair Value, Inputs, Level 3 [Member] | US Treasury securities [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | $ 0 |
Fair value measurements (Deta39
Fair value measurements (Details 1) - Fair Value, Inputs, Level 3 [Member] - USD ($) | 3 Months Ended | ||||
Mar. 31, 2017 | Mar. 31, 2016 | ||||
FHLBC Stock [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | $ 2,000 | $ 8,015,900 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 0 | 0 | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 2,000 | 8,015,900 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | [6] | 0 | [5] | |
Residential Mortgage Loans [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 38,195,576 | 57,080,227 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | (854,447) | 0 | |||
Proceeds from settlement | (665,982) | (326,292) | |||
Total net gains/(losses) | |||||
Included in net income | [5] | (419,236) | (44,830) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 36,255,911 | 56,709,105 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (488,629) | [6] | (44,830) | [5] | |
Credit Investments: Non-Agency RMBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 717,760,534 | 451,677,960 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 85,643,243 | 341,075,247 | ||
Transfers out of level 3 | [1] | (35,886,288) | 0 | ||
Purchases/Transfers | 42,203,390 | [2] | 6,724,062 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | (23,675,362) | (7,494,697) | |||
Proceeds from settlement | (29,360,521) | (22,910,622) | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 5,404,352 | (9,067,186) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 762,089,348 | 760,004,764 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 5,394,508 | [6] | (4,319,506) | [5] | |
Credit Investments: Non-Agency RMBS Interest Only [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 3,761,446 | 5,553,734 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | (203,496) | (1,501,454) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 3,557,950 | 4,052,280 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (203,496) | [6] | (1,007,267) | [5] | |
Credit Investments: ABS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 21,231,956 | 54,761,837 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 6,730,646 | [2] | 11,198,203 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | (7,665,627) | 0 | |||
Proceeds from settlement | 0 | (627,620) | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 868,467 | (689,280) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 21,165,442 | 64,643,140 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 838,732 | [6] | (551,022) | [5] | |
CMBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 130,789,615 | 91,024,418 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 3,568,749 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | (4,533,594) | 0 | |||
Proceeds from settlement | (8,485,256) | (920,368) | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 875,780 | (3,124,045) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 122,215,294 | 86,980,005 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 960,672 | [6] | (2,794,125) | [5] | |
Credit Investment: CMBS Interest Only [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 52,136,726 | 14,077,716 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | 29,884 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 3,103,111 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | 0 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 785,201 | (83,843) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 52,921,927 | 17,126,868 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 785,201 | [6] | (83,843) | [5] | |
Commercial Loans [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 60,068,800 | 72,800,000 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 10,270,833 | [2] | 10,428,437 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | (12,357,896) | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 292,751 | 1,571,563 | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 58,274,488 | 84,800,000 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 236,542 | [6] | 1,571,563 | [5] | |
Excess Mortgage Servicing Rights [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 412,648 | 425,311 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 706,365 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | (10,364) | (41,468) | |||
Total net gains/(losses) | |||||
Included in net income | [5] | (52,526) | 0 | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 1,056,123 | 383,843 | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (52,526) | [6] | 0 | [5] | |
Securitized Debt [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | (21,491,710) | 0 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | 0 | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | (1,564,266) | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | 1,575,619 | 0 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | (32,648) | (235,734) | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | (19,948,739) | (1,800,000) | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (32,648) | [6] | (235,734) | [5] | |
Loan Participation Payable [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | (1,800,000) | ||||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | |||
Transfers out of level 3 | [1] | 0 | |||
Purchases/Transfers | [2] | 0 | |||
Capital contributions | 0 | ||||
Reclassification of security type | [3] | 0 | |||
Proceeds from sales/redemptions | 0 | ||||
Proceeds from settlement | 1,954,927 | ||||
Total net gains/(losses) | |||||
Included in net income | [5] | (154,927) | |||
Included in other comprehensive income (loss) | [5] | 0 | |||
Ending Balance | 0 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [6] | 0 | |||
AG Arc [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Beginning balance | 12,894,819 | 0 | |||
Transfers: | |||||
Transfers into level 3 | [1] | 0 | (30,046,861) | ||
Transfers out of level 3 | [1] | 0 | 0 | ||
Purchases/Transfers | 0 | [2] | 0 | ||
Capital contributions | 0 | ||||
Reclassification of security type | 0 | [3] | 0 | [4] | |
Proceeds from sales/redemptions | 0 | 0 | |||
Proceeds from settlement | 0 | 1,713,596 | |||
Total net gains/(losses) | |||||
Included in net income | [5] | 115,634 | 76,576 | ||
Included in other comprehensive income (loss) | [5] | 0 | 0 | ||
Ending Balance | 13,010,453 | (28,256,689) | |||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 115,634 | [6] | $ 76,576 | [5] | |
[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] | Represents an accounting reclassification between a linked transaction and a real estate security. | ||||
[5] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations: | ||||
[6] | Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: |
Fair value measurements (Deta40
Fair value measurements (Details 2) - USD ($) | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | $ 7,553,990 | |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $ (7,388,188) | |
Unrealized gain/(loss) on derivative and other instruments, net | (125,872) | (11,956,002) |
Equity in earnings/(loss) from affiliates | 2,502,046 | (69,716) |
Trading Securities [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | (159,158) | |
Interest Income [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Unrealized gain/(loss) on derivative and other instruments, net | (32,648) | |
Fair Value, Inputs, Level 3 [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 7,479,352 | (13,098,233) |
Equity in earnings/(loss) from affiliates | 115,634 | |
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 | (285,168) | (5,713,445) |
Fair Value, Inputs, Level 3 [Member] | Interest Income [Member] | ||
Condensed Income Statements, Captions [Line Items] | ||
Unrealized gain/(loss) on derivative and other instruments, net | (187,575) | (159,158) |
Equity in earnings/(loss) from affiliates | 115,634 | |
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 | 7,836,461 | (7,225,630) |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $ 7,471,004 | $ (7,229,030) |
Fair value measurements (Deta41
Fair value measurements (Details 3) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |||
Fair Value, Inputs, Level 3 [Member] | Federal Home Loan Bank of Cincinnati [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 2,000 | $ 2,000 | $ 8,015,900 | $ 8,015,900 | ||
Fair Value Measurements, Valuation Techniques | ** | [1] | ** | |||
Yield [Member] | Fair Value, Inputs, Level 3 [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] | Fair Value, Inputs, Level 3 [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% | |||||
Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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% | |||||
Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [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% | |||||
Offered Quotes [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Non-Agency RMBS | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 22,811,890 | |||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
Non-Agency RMBS | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 762,089,348 | $ 717,760,534 | 760,004,764 | 451,677,960 | ||
Non-Agency RMBS | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 727,149,104 | $ 694,948,644 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Non-Agency RMBS | Fair Value, Inputs, Level 3 [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 34,940,244 | |||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
Non-Agency RMBS | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 8.22% | 18.56% | ||||
Non-Agency RMBS | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 2.40% | 1.70% | ||||
Non-Agency RMBS | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.10% | 5.11% | ||||
Non-Agency RMBS | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Losses | |||||
Non-Agency RMBS | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 35.00% | 35.00% | ||||
Non-Agency RMBS | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 9.89% | 9.84% | ||||
Non-Agency RMBS | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 50.00% | 38.00% | ||||
Non-Agency RMBS | Projected Collateral Losses [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.80% | 5.22% | ||||
Non-Agency RMBS | Projected Collateral Severities [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 100.00% | ||||
Non-Agency RMBS | Projected Collateral Severities [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 38.63% | 38.57% | ||||
Non-Agency RMBS | Projected Reperforming Rates [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Losses | |||||
Non-Agency RMBS | Projected Reperforming Rates [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 48.47% | 46.77% | ||||
Non-Agency RMBS | Projected Reperforming Rates [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 19.43% | 18.53% | ||||
Non-Agency RMBS | Projected Reperforming Rates [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 38.31% | 33.39% | ||||
Non-Agency RMBS | Projected Timeline To Liquidation Months [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 22.92% | 23.09% | ||||
Non-Agency RMBS | Projected Timeline To Liquidation Months [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 16.02% | 16.13% | ||||
Non-Agency RMBS | Projected Timeline To Liquidation Months [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 20.99% | 20.72% | ||||
Non-Agency RMBS | Offered Quotes [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Non-Agency RMBS | Offered Quotes [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Non-Agency RMBS | Offered Quotes [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 100.07% | ||||
Non-Agency RMBS | Offered Quotes [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 21.50% | 21.50% | ||||
Non-Agency RMBS | Offered Quotes [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 86.81% | 78.89% | ||||
Non-Agency RMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 3,557,950 | $ 3,761,446 | 4,052,280 | 5,553,734 | ||
Non-Agency RMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 3,557,950 | $ 3,761,446 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 17.50% | 17.50% | ||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 17.50% | 17.50% | ||||
Non-Agency RMBS Interest Only [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 17.50% | 17.50% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 18.00% | 18.00% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 18.00% | 18.00% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 18.00% | 18.00% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Losses [Member] | Fair Value, Inputs, Level 3 [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 Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.50% | 0.50% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Losses [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.50% | 0.50% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.50% | 0.50% | ||||
Non-Agency RMBS Interest Only [Member] | Projected Collateral Severities [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 10.00% | 10.00% | ||||
ABS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 21,165,442 | $ 21,231,956 | 64,643,140 | 54,761,837 | ||
ABS [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 21,165,442 | $ 21,231,956 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
ABS [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 6.00% | 6.47% | ||||
ABS [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.14% | 4.16% | ||||
ABS [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.47% | 4.98% | ||||
ABS [Member] | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
ABS [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 40.00% | 40.00% | ||||
ABS [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 1.70% | 1.50% | ||||
ABS [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 23.22% | 22.31% | ||||
ABS [Member] | Projected Collateral Losses [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
ABS [Member] | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 2.00% | 2.00% | ||||
ABS [Member] | Projected Collateral Losses [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.95% | 0.88% | ||||
ABS [Member] | Projected Collateral Severities [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 50.00% | 50.00% | ||||
ABS [Member] | Projected Collateral Severities [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 23.68% | 9.81% | ||||
CMBS [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 112,469,289 | |||||
CMBS [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 9,733,607 | |||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 122,215,294 | $ 130,789,615 | 86,980,005 | 91,024,418 | ||
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 112,469,289 | $ 121,056,008 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
CMBS [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 8.42% | 9.16% | ||||
CMBS [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.64% | 3.32% | ||||
CMBS [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 6.74% | 6.13% | ||||
CMBS [Member] | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
CMBS [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.00% | 0.00% | ||||
CMBS [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.00% | 0.00% | ||||
CMBS [Member] | Projected Collateral Losses [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
CMBS [Member] | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [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] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.00% | 0.00% | ||||
CMBS [Member] | Offered Quotes [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
CMBS [Member] | Offered Quotes [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
CMBS [Member] | Offered Quotes [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 99.81% | ||||
CMBS [Member] | Offered Quotes [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.11% | 5.03% | ||||
CMBS [Member] | Offered Quotes [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 68.87% | 68.64% | ||||
CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 52,921,927 | $ 52,136,726 | 17,126,868 | 14,077,716 | ||
CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 0 | $ 52,136,726 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | |||||
CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 9,746,005 | |||||
CMBS Interest Only [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.73% | 9.49% | ||||
CMBS Interest Only [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 2.48% | 2.51% | ||||
CMBS Interest Only [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.98% | 5.85% | ||||
CMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
CMBS Interest Only [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Yield | |||||
CMBS Interest Only [Member] | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [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] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 36,255,911 | $ 38,195,576 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Residential Mortgage Loans [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 8.00% | 8.00% | ||||
Residential Mortgage Loans [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 6.50% | 6.50% | ||||
Residential Mortgage Loans [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.42% | 7.42% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Losses | |||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.74% | 5.82% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.39% | 3.18% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.42% | 4.51% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.47% | 5.32% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Losses [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.07% | 5.16% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.37% | 5.18% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Severities [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 47.01% | 84.80% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Severities [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 21.95% | 25.19% | ||||
Residential Mortgage Loans [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 41.22% | 45.34% | ||||
Residential Mortgage Loans [Member] | Projected Reperforming Rates [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Prepayments | |||||
Residential Mortgage Loans [Member] | Projected Reperforming Rates [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 46.89% | 34.53% | ||||
Residential Mortgage Loans [Member] | Projected Reperforming Rates [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 10.41% | 9.59% | ||||
Residential Mortgage Loans [Member] | Projected Reperforming Rates [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 23.74% | 22.91% | ||||
Residential Mortgage Loans [Member] | Projected Timeline To Liquidation Months [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 29.85% | 29.85% | ||||
Residential Mortgage Loans [Member] | Projected Timeline To Liquidation Months [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 12.32% | 12.32% | ||||
Residential Mortgage Loans [Member] | Projected Timeline To Liquidation Months [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 14.97% | 14.33% | ||||
Commercial Loans [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 0 | |||||
Fair Value Measurements, Valuation Techniques | ||||||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 58,274,488 | $ 60,068,800 | 84,800,000 | 72,800,000 | ||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 32,800,000 | $ 44,800,000 | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 25,474,488 | $ 15,268,800 | ||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | Consensus Pricing | ||||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | Recent Transaction Price [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 706,313 | |||||
Fair Value Measurements, Valuation Techniques | Recent Transaction Price | |||||
Commercial Loans [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.65% | 21.70% | ||||
Commercial Loans [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.65% | 5.65% | ||||
Commercial Loans [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 5.65% | 7.98% | ||||
Commercial Loans [Member] | Credit Spread [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Credit Spread | Yield | ||||
Commercial Loans [Member] | Credit Spread [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.75% | |||||
Fair Value Measurement Credit Spread | 10 bps | |||||
Commercial Loans [Member] | Credit Spread [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.75% | |||||
Fair Value Measurement Credit Spread | 4.75 bps | |||||
Commercial Loans [Member] | Credit Spread [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.75% | |||||
Fair Value Measurement Credit Spread | 6.16 bps | |||||
Commercial Loans [Member] | Recovery Percentage [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Recovery Percentage | [2] | Recovery Percentage | [3] | ||
Commercial Loans [Member] | Recovery Percentage [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 100.00% | ||||
Commercial Loans [Member] | Offered Quotes [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Commercial Loans [Member] | Offered Quotes [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Recovery Percentage* | |||||
Commercial Loans [Member] | Offered Quotes [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | 95.43% | ||||
Commercial Loans [Member] | Offered Quotes [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 95.92% | 95.43% | ||||
Commercial Loans [Member] | Offered Quotes [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 97.59% | 95.43% | ||||
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 1,056,123 | $ 412,648 | 383,843 | 425,311 | ||
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 412,648 | |||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | Consensus Pricing [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 349,810 | |||||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |||||
Excess Mortgage Servicing Rights [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Excess Mortgage Servicing Rights [Member] | Offered Quotes [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Offered Quotes | |||||
Excess Mortgage Servicing Rights [Member] | Offered Quotes [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.62% | |||||
Excess Mortgage Servicing Rights [Member] | Offered Quotes [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.09% | |||||
Excess Mortgage Servicing Rights [Member] | Offered Quotes [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.55% | |||||
Securitized debt [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ (19,948,739) | $ (21,491,710) | (1,800,000) | 0 | ||
Securitized debt [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ (19,948,739) | $ (21,491,710) | ||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow | ||||
Securitized debt [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.36% | |||||
Securitized debt [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.36% | |||||
Securitized debt [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 3.36% | |||||
Securitized debt [Member] | Projected Collateral Prepayments [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Projected Collateral Losses | Projected Collateral Prepayments | ||||
Securitized debt [Member] | Projected Collateral Prepayments [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 14.00% | 14.00% | ||||
Securitized debt [Member] | Projected Collateral Prepayments [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 14.00% | 14.00% | ||||
Securitized debt [Member] | Projected Collateral Prepayments [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 14.00% | 14.00% | ||||
Securitized debt [Member] | Projected Collateral Losses [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.00% | 7.00% | ||||
Securitized debt [Member] | Projected Collateral Losses [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.00% | 7.00% | ||||
Securitized debt [Member] | Projected Collateral Losses [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 7.00% | 7.00% | ||||
Securitized debt [Member] | Projected Collateral Severities [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 40.00% | 40.00% | ||||
Securitized debt [Member] | Projected Collateral Severities [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 40.00% | 40.00% | ||||
Securitized debt [Member] | Projected Collateral Severities [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 40.00% | 40.00% | ||||
Loan participation payable [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 0 | $ (1,800,000) | ||||
Loan participation payable [Member] | Fair Value, Inputs, Level 3 [Member] | Discounted Cash Flow [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ (1,800,000) | |||||
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | |||||
Loan participation payable [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 21.70% | |||||
Loan participation payable [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 21.70% | |||||
Loan participation payable [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 21.70% | |||||
Loan participation payable [Member] | Credit Spread [Member] | Fair Value, Inputs, Level 3 [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, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurement Credit Spread | 10 bps | |||||
Loan participation payable [Member] | Credit Spread [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurement Credit Spread | 10 bps | |||||
Loan participation payable [Member] | Credit Spread [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurement Credit Spread | 10 bps | |||||
Loan participation payable [Member] | Recovery Percentage [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | |||||
Loan participation payable [Member] | Recovery Percentage [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | |||||
Loan participation payable [Member] | Recovery Percentage [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 100.00% | |||||
AG Arc [Member] | Comparable Multiple [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 12,894,819 | |||||
Fair Value Measurements, Valuation Techniques | Comparable Multiple | |||||
AG Arc [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 13,010,453 | $ 12,894,819 | $ (28,256,689) | $ 0 | ||
AG Arc [Member] | Fair Value, Inputs, Level 3 [Member] | Comparable Multiple [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements, with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 13,010,453 | |||||
Fair Value Measurements, Valuation Techniques | Comparable Multiple | |||||
AG Arc [Member] | Book Value Multiple [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Book Value Multiple | |||||
AG Arc [Member] | Book Value Multiple [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Measurements Unobservable Input Description | Book Value Multiple | |||||
Fair Value Input Interest Rate | 1.00% | 1.00% | ||||
Servicing Rights [Member] | Offered Quotes [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.57% | |||||
Servicing Rights [Member] | Offered Quotes [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.07% | |||||
Servicing Rights [Member] | Offered Quotes [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 0.51% | |||||
FHLBC stock [Member] | Yield [Member] | Maximum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.00% | |||||
FHLBC stock [Member] | Yield [Member] | Minimum [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.00% | |||||
FHLBC stock [Member] | Yield [Member] | Weighted Average [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||||||
Fair Value Input Interest Rate | 4.00% | |||||
[1] | 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. | |||||
[2] | Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2017. | |||||
[3] | Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2016. |
Fair value measurements (Deta42
Fair value measurements (Details Textual) - USD ($) $ in Millions | Feb. 29, 2016 | Feb. 12, 2016 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Percentage Of Loans And Leases Receivable Commercial Transferred To Unaffiliated Third Party | 15.00% | |
Commercial Portfolio Segment [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Loans and Leases Receivable before Fees, Gross | $ 12 | $ 12 |
Repurchase agreements (Details)
Repurchase agreements (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 1,835,820,705 | $ 1,853,169,104 | |
Weighted Average Rate | 1.71% | 1.63% | |
Weighted Average Haircut | 11.90% | [1] | 11.50% |
Fair Value Pledged | $ 2,153,857,558 | $ 2,178,835,205 | |
Amortized Cost | 2,105,040,182 | 2,156,470,443 | |
Accrued Interest | 7,011,442 | 7,016,242 | |
Overnight | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 70,899,000 | ||
Weighted Average Rate | 0.66% | ||
Weighted Average Haircut | 3.50% | ||
Fair Value Pledged | $ 73,485,225 | ||
Amortized Cost | 73,170,802 | ||
Accrued Interest | 191,554 | ||
30 days or less [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 1,390,511,705 | $ 961,185,000 | |
Weighted Average Rate | 1.75% | 1.79% | |
Weighted Average Haircut | 14.30% | [1] | 14.70% |
Fair Value Pledged | $ 1,649,118,698 | $ 1,164,241,469 | |
Amortized Cost | 1,604,785,471 | 1,152,472,020 | |
Accrued Interest | 5,462,708 | 3,851,520 | |
31-60 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 210,489,000 | $ 465,776,000 | |
Weighted Average Rate | 1.44% | 1.23% | |
Weighted Average Haircut | 10.90% | [1] | 8.60% |
Fair Value Pledged | $ 239,208,038 | $ 514,624,485 | |
Amortized Cost | 235,056,536 | 512,633,509 | |
Accrued Interest | 857,254 | 1,607,435 | |
61-90 days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 85,965,000 | $ 129,119,000 | |
Weighted Average Rate | 1.82% | 1.69% | |
Weighted Average Haircut | 14.30% | [1] | 13.20% |
Fair Value Pledged | $ 101,763,313 | $ 151,989,415 | |
Amortized Cost | 100,492,178 | 151,567,289 | |
Accrued Interest | 304,848 | 399,702 | |
Maturity 91 to 180 Days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 29,386,000 | $ 16,897,000 | |
Weighted Average Rate | 1.15% | 2.81% | |
Weighted Average Haircut | 6.50% | [1] | 21.60% |
Fair Value Pledged | $ 31,425,948 | $ 21,554,174 | |
Amortized Cost | 31,042,881 | 21,892,108 | |
Accrued Interest | 68,254 | 17,056 | |
Maturity Over 180 Days [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 119,469,000 | $ 209,293,104 | |
Weighted Average Rate | 1.70% | 1.93% | |
Weighted Average Haircut | (15.10%) | [1] | 4.70% |
Fair Value Pledged | $ 132,341,561 | $ 252,940,437 | |
Amortized Cost | 133,663,116 | 244,734,715 | |
Accrued Interest | 318,378 | 948,975 | |
Maturity Over 180 Days [Member] | Residential Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 21,725,817 | $ 25,544,702 | |
Weighted Average Rate | 3.49% | 3.27% | |
Weighted Average Funding Cost | 3.68% | 3.79% | |
Weighted Average Haircut | 31.80% | 30.30% | |
Fair Value Pledged | $ 32,176,699 | $ 34,088,921 | |
Amortized Cost | 31,105,471 | 32,849,686 | |
Accrued Interest | 39,838 | 45,068 | |
Maturity Over 180 Days [Member] | Commercial Mortgage Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance | $ 21,796,000 | $ 21,796,000 | |
Weighted Average Rate | 3.13% | 2.91% | |
Weighted Average Funding Cost | 3.26% | 3.13% | |
Weighted Average Haircut | 33.50% | 33.50% | |
Fair Value Pledged | $ 32,800,000 | $ 32,800,000 | |
Amortized Cost | 32,799,353 | 32,798,706 | |
Accrued Interest | $ 136,643 | $ 125,314 | |
[1] | The calculated haircut value in the greater than 180 days maturity bucket is negative due to the timing of repurchase agreement borowings, however, margin has been posted to maintain the contractual haircut. |
Repurchase agreements (Details
Repurchase agreements (Details 1) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Fair Value of investments pledged as collateral under repurchase agreements | ||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 6,116,106 | $ 17,149,022 |
Fair Value of unsettled trades pledged as collateral under repurchase agreements: | 12,881,953 | 3,057,814 |
Total collateral pledged under Repurchase agreements | 2,224,950,363 | 2,262,873,148 |
Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 978,596,257 | 965,154,048 |
Non-Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 969,704,864 | 990,985,143 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 21,165,442 | 21,231,956 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 171,509,042 | 201,464,058 |
Residential Mortgage Loans [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Loans Pledged as Collateral | 32,176,699 | 31,031,107 |
Commercial Mortgage Loans [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Loans Pledged as Collateral | $ 32,800,000 | $ 32,800,000 |
Repurchase agreements (Detail45
Repurchase agreements (Details 2) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | $ 1,879,342,522 | $ 1,900,509,806 |
Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 932,240,000 | 907,041,000 |
Non-Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 761,169,705 | 776,459,104 |
ABS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 15,728,000 | 15,283,000 |
CMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 126,683,000 | 154,386,000 |
Residential Mortgage Loans [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 21,725,817 | 25,544,702 |
Commercial Mortgage Loans [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | $ 21,796,000 | $ 21,796,000 |
Repurchase agreements (Detail46
Repurchase agreements (Details 3) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $ 1,879,342,522 | $ 1,900,509,806 |
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 1,879,342,522 | 1,900,509,806 |
Gross Amounts Offset In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 0 | 0 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 1,879,342,522 | 1,900,509,806 |
Gross Amounts Not Offset in the Consolidated Balance Sheets Financial Instruments Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 1,879,342,522 | 1,900,509,806 |
Gross Amounts Not Offset in the Consolidated Balance Sheets of Cash Collateral Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 0 | 0 |
Net Amount [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $ 0 | $ 0 |
Repurchase agreements (Detail47
Repurchase agreements (Details 4) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Wells Fargo Bank, N.A [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 50,843,952 | $ 50,917,158 |
Weighted Average Maturity (days) | 261 days | 357 days |
Percentage of Stockholders' Equity | 8.00% | 8.00% |
JP Morgan Securities, LLC [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 34,885,263 | |
Weighted Average Maturity (days) | 160 days | |
Percentage of Stockholders' Equity | 5.00% | |
Credit Suisse Securities, LLC [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 36,248,676 | |
Weighted Average Maturity (days) | 40 years | |
Percentage of Stockholders' Equity | 5.00% |
Repurchase agreements (Detail48
Repurchase agreements (Details Textual) - USD ($) $ in Millions | Mar. 31, 2017 | Feb. 23, 2017 | Dec. 31, 2016 | Aug. 04, 2015 | Apr. 13, 2015 |
Repurchase Agreement Disclosure [Line Items] | |||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 200 | ||||
Long-term Debt, Gross | $ 90.7 | $ 93.4 | |||
Wells Fargo Bank, N.A [Member] | Minimum [Member] | |||||
Repurchase Agreement Disclosure [Line Items] | |||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 50 | ||||
AG MIT WFB1 [Member] | |||||
Repurchase Agreement Disclosure [Line Items] | |||||
Long-term Debt, Gross | 21.7 | 25.5 | |||
AG MIT CREL [Member] | |||||
Repurchase Agreement Disclosure [Line Items] | |||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 150 | ||||
Long-term Debt, Gross | $ 21.8 | $ 21.8 | $ 42.8 |
Derivatives (Details)
Derivatives (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |
Interest rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | $ (1,765,186) | $ (1,847,219) | |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 1,258,992 | 3,703,366 | |
TBAs [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | (482,015) | (423,825) | |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 417,956 | 0 | |
US Treasury Securities [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | [1] | 0 | (22,365,000) |
US Treasury Futures [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | $ (257,660) | $ (636,211) | |
[1] | The Company’s obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2016 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations. |
Derivatives (Details 1)
Derivatives (Details 1) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 924,000,000 | $ 644,000,000 | |
Long [Member] | Float Interest Rate Swap Agreements [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 924,000,000 | 644,000,000 | |
Notional amount of TBAs [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 90,000,000 | ||
Derivative Liability, Notional Amount | (25,000,000) | ||
US Treasury Securities [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 0 | 24,000,000 | |
US Treasury Futures [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | [1] | $ 106,500,000 | $ 141,500,000 |
[1] | Each U.S. Treasury Future contract embodies $100,000 of notional value. |
Derivatives (Details 2)
Derivatives (Details 2) - USD ($) | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Interest rate swaps, at fair value [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | $ 1,231,214 | $ (17,901,375) | |
Net realized gain/(loss) | 0 | (2,893,517) | |
US Treasury Futures [Member] | Short [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | 106,499 | 0 | |
Net realized gain/(loss) | (947,936) | 0 | |
TBAs [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | [1] | 359,765 | (392) |
Net realized gain/(loss) | [1] | (242,031) | 205,664 |
Long positions on U.S. Treasuries [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 5,992,733 | |
Net realized gain/(loss) | 0 | 314,766 | |
Short positions on U.S. Treasuries [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Unrealized gain/(loss) on derivative and other instruments, net | (1,724,922) | 0 | |
Net realized gain/(loss) | $ 1,730,547 | $ 0 | |
[1] | For the three months ended March 31, 2017, gains and losses from purchases and sales of TBAs consisted of $0.4 million of net TBA dollar roll net interest income and net losses of $(0.2) million due to price changes. 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 $0.1 million due to price changes. |
Derivatives (Details 3)
Derivatives (Details 3) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 | |||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | $ 1,985,674 | [1] | $ 4,559,134 | [2] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1] | 0 | [2] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 1,985,674 | [1] | 4,559,134 | [2] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | 0 | [2] | |
Derivative Assets, Cash Collateral (Posted)/Received | 1,009,575 | [1] | 879,575 | [2] | |
Derivative Assets, Net Amount | 976,099 | [1] | 3,679,559 | [2] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (1,947,420) | [3] | (2,765,900) | [4] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [3] | 0 | [4] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (1,947,420) | [3] | (2,765,900) | [4] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | (482,015) | [3] | (423,824) | [4] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | (1,465,405) | [3] | (2,342,076) | [4] | |
Derivative Liabilities, Net Amount | 0 | [3] | 0 | [4] | |
Interest Rate Swaps [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 1,567,718 | [1] | 4,559,134 | [2] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1] | 0 | [2] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 1,567,718 | [1] | 4,559,134 | [2] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | 0 | [2] | |
Derivative Assets, Cash Collateral (Posted)/Received | 1,009,575 | [1] | 879,575 | [2] | |
Derivative Assets, Net Amount | 558,143 | [1] | 3,679,559 | [2] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (1,207,745) | [3] | (1,705,865) | [4] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [3] | 0 | [4] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (1,207,745) | [3] | (1,705,865) | [4] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | 0 | [3] | 0 | [4] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | (1,207,745) | [3] | (1,705,865) | [4] | |
Derivative Liabilities, Net Amount | 0 | [3] | 0 | [4] | |
TBAs [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 417,956 | [1] | (423,824) | [4] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1] | 0 | [4] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [1] | 417,956 | |||
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1] | (423,824) | [4] | |
Derivative Assets, Cash Collateral (Posted)/Received | 0 | [1] | 0 | [4] | |
Derivative Assets, Net Amount | 417,956 | [1] | 0 | [4] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | [3] | (482,015) | |||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | [3] | 0 | |||
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (482,015) | [3] | (423,824) | [4] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | [3] | (482,015) | |||
Derivative Liabilities, Cash Collateral (Posted)/Received | [3] | 0 | |||
Derivative Liabilities, Net Amount | [3] | 0 | |||
Receivable Under Reverse Repurchase Agreements [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 22,680,000 | ||||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | ||||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 22,680,000 | ||||
Derivative Assets, Financial Instruments (Posted)/Received | 22,365,000 | ||||
Derivative Assets, Cash Collateral (Posted)/Received | 0 | ||||
Derivative Assets, Net Amount | 315,000 | ||||
U.S. Treasury Futures - Short [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | (257,660) | [3] | (636,211) | [4] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [3] | 0 | [4] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (257,660) | [3] | (636,211) | [4] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | 0 | [3] | 0 | [4] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | (257,660) | [3] | (636,211) | [4] | |
Derivative Liabilities, Net Amount | $ 0 | [3] | $ 0 | [4] | |
[1] | Included in Derivative Assets on the consolidated balance sheet is $1,985,674 less accrued interest of $(308,726) for a total of $1,676,948. | ||||
[2] | Included in Derivative Assets on the consolidated balance sheet is $4,559,134 less accrued interest of $(855,768) for a total of $3,703,366. | ||||
[3] | Included in Derivative Liabilities on the consolidated balance sheet is $(1,947,420) plus accrued interest of $(557,441) for a total of $(2,504,861). | ||||
[4] | Included in Derivative Liabilities on the consolidated balance sheet is $(2,765,900) plus accrued interest of $(141,355) for a total of $(2,907,255). |
Derivatives (Details 4)
Derivatives (Details 4) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 924,000,000 | $ 644,000,000 |
Weighted Average Pay Rate | 1.85% | 1.74% |
Weighted Average Receive Rate | 1.07% | 0.92% |
Weighted Average Years to Maturity | 5 years 11 days | 5 years 4 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 | 1.04% | 0.89% |
Weighted Average Years to Maturity | 7 months 2 days | 10 months 2 days |
2019 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 170,000,000 | $ 170,000,000 |
Weighted Average Pay Rate | 1.36% | 1.36% |
Weighted Average Receive Rate | 1.05% | 0.91% |
Weighted Average Years to Maturity | 2 years 7 months 17 days | 2 years 10 months 17 days |
2020 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 155,000,000 | $ 115,000,000 |
Weighted Average Pay Rate | 1.62% | 1.59% |
Weighted Average Receive Rate | 1.04% | 0.90% |
Weighted Average Years to Maturity | 2 years 10 months 24 days | 3 years 2 months 12 days |
2021 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 60,000,000 | $ 60,000,000 |
Weighted Average Pay Rate | 1.86% | 1.86% |
Weighted Average Receive Rate | 1.12% | 0.96% |
Weighted Average Years to Maturity | 4 years 8 months 8 days | 4 years 11 months 8 days |
2022 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 218,000,000 | $ 53,000,000 |
Weighted Average Pay Rate | 2.00% | 1.69% |
Weighted Average Receive Rate | 1.08% | 0.94% |
Weighted Average Years to Maturity | 5 years 11 days | 5 years 8 months 8 days |
2023 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 85,000,000 | $ 85,000,000 |
Weighted Average Pay Rate | 2.30% | 2.30% |
Weighted Average Receive Rate | 1.10% | 0.94% |
Weighted Average Years to Maturity | 6 years 2 months 5 days | 6 years 5 months 5 days |
2024 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 25,000,000 | |
Weighted Average Pay Rate | 2.16% | |
Weighted Average Receive Rate | 1.01% | |
Weighted Average Years to Maturity | 6 years 9 months 7 days | |
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 | 1.10% | 0.94% |
Weighted Average Years to Maturity | 8 years 2 months 5 days | 8 years 5 months 5 days |
2026 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 95,000,000 | $ 95,000,000 |
Weighted Average Pay Rate | 2.17% | 2.17% |
Weighted Average Receive Rate | 1.06% | 0.92% |
Weighted Average Years to Maturity | 9 years 7 months 24 days | 9 years 10 months 24 days |
2017 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 50,000,000 | |
Weighted Average Pay Rate | 2.40% | |
Weighted Average Receive Rate | 1.05% | |
Weighted Average Years to Maturity | 9 years 10 months 13 days |
Derivatives (Details 5)
Derivatives (Details 5) - USD ($) | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | $ 644,000,000 | ||
Ending Net Notional Amount | 924,000,000 | ||
Net Receivable/(Payable) from/to Broker | (1,013,801) | $ (1,211,694) | |
Net Receivable/(Payable) from/to Broker | 198,036 | 945,304 | |
Derivative Asset | 1,676,948 | 3,703,366 | |
Derivative Liabilities, At Fair Value | (2,504,861) | (2,907,255) | |
To Be Announced Securities [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Net Receivable/(Payable) from/to Broker | (93,400,000) | $ (51,400,000) | |
To Be Announced Securities [Member] | Long [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 50,000,000 | $ 75,000,000 | |
Buys or Covers | 285,000,000 | 45,000,000 | |
Sales or Shorts | (245,000,000) | (120,000,000) | |
Ending Net Notional Amount | 90,000,000 | 0 | |
Net Fair Value as of Year End | 93,367,972 | 0 | |
Net Receivable/(Payable) from/to Broker | (93,432,031) | ||
Net Receivable/(Payable) from/to Broker | 23,047 | ||
Derivative Asset | 417,956 | 88,282 | |
Derivative Liabilities, At Fair Value | (482,015) | (65,235) | |
To Be Announced Securities [Member] | Short [Member] | |||
Schedule Of To Be Announced Securities Activity [Line Items] | |||
Beginning Notional Amount | 75,000,000 | 0 | |
Buys or Covers | 75,000,000 | 150,000,000 | |
Sales or Shorts | 0 | (150,000,000) | |
Ending Net Notional Amount | 0 | 0 | |
Net Fair Value as of Year End | 0 | 0 | |
Net Receivable/(Payable) from/to Broker | 0 | (165,039) | |
Derivative Asset | 0 | 331,058 | |
Derivative Liabilities, At Fair Value | $ 0 | $ (496,097) |
Derivatives (Details Textual)
Derivatives (Details Textual) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 924,000,000 | $ 644,000,000 | |
Derivative Assets Before Accrued Interest | 1,985,674 | 4,559,134 | |
Derivative Assets Accrued Interest | (308,726) | (855,768) | |
Derivative Assets, At Fair Value | 1,676,948 | 3,703,366 | |
Derivative Liabilities Before Accrued Interest | (1,947,420) | (2,765,900) | |
Derivative Liabilities Accrued Interest | (557,441) | (141,355) | |
Derivative Liabilities, At Fair Value | (2,504,861) | (2,907,255) | |
Unrealized Gain (Loss) on Securities | 12,750,564 | $ 8,840,770 | |
Due to Correspondent Brokers | 1,013,801 | 1,211,694 | |
Pledged Assets Separately Reported, Real Estate Pledged as Collateral, at Fair Value | 7,300,000 | 7,100,000 | |
Pledged Assets Separately Reported, Other Assets Pledged as Collateral, at Fair Value | 1,000,000 | 900,000 | |
Proceeds Pledged To Serve Collateral Against Certain Derivatives | 16,600,000 | 9,400,000 | |
US Treasury Futures [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 100,000 | ||
TBA [Member] | |||
Derivative [Line Items] | |||
Unrealized Gain (Loss) on Securities | 400,000 | 100,000 | |
Unrealized Loss on Securities | 200,000 | $ 100,000 | |
Due to Correspondent Brokers | $ 93,400,000 | $ 51,400,000 |
Earnings per share (Details)
Earnings per share (Details) - shares | Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 |
Class of Warrant or Right [Line Items] | |||
Outstanding warrants | 1,007,500 | 1,007,500 | |
Unvested restricted stock units previously granted to the Manager | 27,701,902 | 27,700,154 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager | 20,003 | 40,006 |
Earnings per share (Details 1)
Earnings per share (Details 1) - USD ($) | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Numerator: | ||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ 21,750,308 | $ (5,811,781) |
Denominator: | ||
Basic weighted average common shares outstanding | 27,701,902 | 28,271,930 |
Dilutive effect of restricted stock units | 7,135 | 0 |
Diluted weighted average common shares outstanding | 27,709,037 | 28,271,930 |
Basic Earnings/(Loss) Per Share of Common Stock: | $ 0.79 | $ (0.21) |
Diluted Earnings/(Loss) Per Share of Common Stock: | $ 0.78 | $ (0.21) |
Earnings per share (Details 2)
Earnings per share (Details 2) - $ / shares | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Declaration Date | Mar. 10, 2017 | Mar. 10, 2016 |
Record Date | Mar. 21, 2017 | Mar. 21, 2016 |
Payment Date | Apr. 28, 2017 | Apr. 29, 2016 |
Dividend Per Share | $ 0.475 | $ 0.475 |
Earnings per share (Details 3)
Earnings per share (Details 3) - $ / shares | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Declaration Date | Mar. 10, 2017 | Mar. 10, 2016 |
Record Date | Mar. 21, 2017 | Mar. 21, 2016 |
Payment Date | Apr. 28, 2017 | Apr. 29, 2016 |
Dividend Per Share | $ 0.475 | $ 0.475 |
Series A Preferred Stock One [Member] | ||
Dividend | 8.25% | 8.25% |
Declaration Date | Feb. 16, 2017 | Feb. 12, 2016 |
Record Date | Feb. 28, 2017 | Feb. 29, 2016 |
Payment Date | Mar. 17, 2017 | Mar. 17, 2016 |
Dividend Per Share | $ 0.51563 | $ 0.51563 |
Series B Preferred Stock one [Member] | ||
Dividend | 8.00% | 8.00% |
Declaration Date | Feb. 16, 2017 | Feb. 12, 2016 |
Record Date | Feb. 28, 2017 | Feb. 29, 2016 |
Payment Date | Mar. 17, 2017 | Mar. 17, 2016 |
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, 2017 | Mar. 31, 2016 | |
Excise Tax Expenses | $ 0.4 | $ 0.4 |
Related party transactions (Det
Related party transactions (Details Textual) - USD ($) | Mar. 08, 2016 | Apr. 25, 2017 | Jul. 31, 2014 | Mar. 31, 2017 | Mar. 31, 2016 | Feb. 28, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Jul. 31, 2015 | May 31, 2015 |
Related Party Transaction [Line Items] | ||||||||||
Management fee to affiliate | $ 2,475,816 | $ 2,450,143 | ||||||||
Noninterest Expense Directors Fees | $ 120,000 | |||||||||
Management Fee Percentage | 1.50% | |||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 69,535,781 | $ 72,215,919 | ||||||||
Fees Paid to Asset Manager | 120,000 | |||||||||
Other Cost and Expense, Operating | 2,793,234 | 3,046,812 | ||||||||
Accrued Expenses Stands For Reimbursement | $ 1,700,000 | $ 1,800,000 | ||||||||
Noninterest Expense Directors Fees Paid In Cash,Percentage | 50.00% | |||||||||
Noninterest Expense Directors Fees Paid In Restricted Common Stock ,Percentage | 50.00% | |||||||||
Amount Committed Under Long Term Purchase Commitment | $ 10,000,000 | $ 30,000,000 | ||||||||
AG Arc LLC [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in and Advances to Affiliates, at Fair Value | 13,000,000 | $ 12,900,000 | ||||||||
Long-term Purchase Commitment, Amount | $ 13,400,000 | $ 4,500,000 | 13,400,000 | |||||||
Mortgage Servicing Rights, Fair Value | 1,200,000 | |||||||||
AG Arc LLC [Member] | Other Assets [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Mortgage Servicing Rights, Fair Value | $ 500,000 | |||||||||
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 | $ 3,100,000 | |||||||||
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 | $ 5,100,000 | |||||||||
Selling Affiliates [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Trading Securities, Total | $ 20,900,000 | $ 6,900,000 | ||||||||
Bond Tranches [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 7,100,000 | |||||||||
BWIC [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 2,000,000 | |||||||||
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 | 131,842 | |||||||||
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] | 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, Options, Outstanding, Number, Beginning Balance | 20,000 | |||||||||
Manager [Member] | Restricted Stock [Member] | July 1, 2015 [Member] | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 20,000 |
Equity (Details)
Equity (Details) - Repurchase [Member] - $ / shares | 1 Months Ended | 3 Months Ended |
Mar. 31, 2016 | Mar. 31, 2017 | |
Stock Repurchased During Period, Shares | 119,606 | |
Shares Issued, Price Per Share | $ 12.86 | |
Maximum [Member] | ||
Weighted Average Number of Shares, Common Stock Subject to Repurchase or Cancellation | 21,790,786 | |
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 | $ 12.86 | |
March Purchases [Member] | Maximum [Member] | ||
Weighted Average Number of Shares, Common Stock Subject to Repurchase or Cancellation | 21,790,786 | |
March Purchases [Member] | Publicly Announced Program [Member] | ||
Stock Repurchased During Period, Shares | 246,321 |
Equity (Details Textual)
Equity (Details Textual) - USD ($) | 3 Months Ended | |||
Mar. 31, 2017 | Mar. 31, 2016 | 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 | 0 | $ 2,736,322 | ||
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 | 14,600,000 | |||
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 | |||
Class Of Warrant Or Right Expiration Date | Jul. 6, 2018 |
Commitments and contingencies (
Commitments and contingencies (Details Textual) - USD ($) $ in Millions | Mar. 08, 2016 | Apr. 25, 2017 | Mar. 31, 2017 |
Amount Committed Under Long Term Purchase Commitment | $ 10 | $ 30 | |
AG Arc LLC [Member] | |||
Long-term Purchase Commitment, Amount | $ 13.4 | $ 4.5 | $ 13.4 |