Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2018 | Jul. 23, 2018 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | AG Mortgage Investment Trust, Inc. | |
Entity Central Index Key | 1,514,281 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | MITT | |
Entity Common Stock, Shares Outstanding | 28,226,211 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Assets | ||
Residential mortgage loans, at fair value - $90,133,713 and $15,860,583 pledged as collateral, respectively | $ 93,129,269 | $ 18,889,693 |
Commercial loans, at fair value - $32,800,000 pledged as collateral | 43,216,666 | 57,520,646 |
Investments in debt and equity of affiliates | 129,378,242 | 99,696,347 |
Excess mortgage servicing rights, at fair value | 29,281,765 | 5,083,514 |
Cash and cash equivalents | 31,145,470 | 15,199,655 |
Restricted cash | 50,980,839 | 37,615,281 |
Interest receivable | 12,156,133 | 12,607,386 |
Receivable under reverse repurchase agreements | 0 | 24,671,320 |
Derivative assets, at fair value | 4,222,706 | 2,127,070 |
Other assets | 2,582,919 | 2,491,201 |
Due from broker | 1,563,968 | 850,514 |
Total Assets | 3,512,485,224 | 3,789,295,378 |
Liabilities | ||
Repurchase agreements | 2,634,181,881 | 3,004,407,018 |
Securitized debt, at fair value | 13,984,245 | 16,477,801 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 0 | 24,379,356 |
Payable on unsettled trades | 134,597,154 | 2,418,710 |
Interest payable | 7,193,331 | 5,225,940 |
Derivative liabilities, at fair value | 625,990 | 450,208 |
Dividend payable | 14,100,464 | 13,391,457 |
Due to affiliates | 4,035,705 | 4,258,074 |
Accrued expenses | 1,316,664 | 790,271 |
Taxes payable | 923,448 | 1,545,448 |
Due to broker | 4,968,236 | 1,691,888 |
Total Liabilities | 2,815,927,118 | 3,075,036,171 |
Commitments and Contingencies (Note 13) | ||
Stockholders’ Equity | ||
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,200,928 and 28,192,541 shares issued and outstanding at June 30, 2018 and December 31, 2017, respectively | 282,011 | 281,927 |
Additional paid-in capital | 585,641,670 | 585,530,292 |
Retained earnings/(deficit) | (50,579,580) | (32,767,017) |
Total Stockholders’ Equity | 696,558,106 | 714,259,207 |
Total Liabilities & Stockholders’ Equity | 3,512,485,224 | 3,789,295,378 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000,000 shares authorized: | 49,920,772 | 49,920,772 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000,000 shares authorized: | 111,293,233 | 111,293,233 |
Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 2,044,789,802 | 2,247,161,035 |
Non-Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 821,946,929 | 1,004,255,658 |
ABS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 37,755,352 | 40,957,553 |
CMBS [Member] | ||
Assets | ||
Real estate securities, at fair value: | $ 210,335,164 | $ 220,168,505 |
Consolidated Balance Sheets _Pa
Consolidated Balance Sheets [Parenthetical] - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 450,000,000 | 450,000,000 |
Common stock, shares issued | 28,200,928 | 28,192,541 |
Common stock, shares outstanding | 28,200,928 | 28,192,541 |
Residential mortgage loans [Member] | ||
Loans Pledged as Collateral (in dollars) | $ 90,133,713 | $ 15,860,583 |
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) | 1,818,202,310 | 2,126,135,420 |
Non-Agency [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 799,315,479 | 976,071,673 |
ABS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | 24,510,960 | 30,832,553 |
CMBS [Member] | ||
Real estate securities, at fair value, pledged as collateral (in dollars) | $ 205,848,907 | $ 211,179,945 |
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 | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Net Interest Income | ||||
Interest income | $ 36,011,375 | $ 31,220,535 | $ 75,368,522 | $ 59,180,427 |
Interest expense | 16,270,821 | 10,201,393 | 31,596,603 | 18,362,805 |
Interest Income (Expense), Net | 19,740,554 | 21,019,142 | 43,771,919 | 40,817,622 |
Other Income/(Loss) | ||||
Net realized gain/(loss) | (11,059,686) | (10,121,477) | (22,898,818) | (12,549,564) |
Realized gain/(loss) on periodic interest settlements of derivative instruments, net | 1,261,684 | (1,857,542) | (208,476) | (3,467,519) |
Unrealized gain/(loss) on real estate securities and loans, net | (578,375) | 25,546,552 | (36,733,183) | 38,297,116 |
Unrealized gain/(loss) on derivative and other instruments, net | 4,781,276 | 1,927,169 | 41,871,242 | 1,801,297 |
Other income | 20,131 | 3,845 | 20,386 | 31,882 |
Total other income (loss) | (5,574,970) | 15,498,547 | (17,948,849) | 24,113,212 |
Expenses | ||||
Management fee to affiliate | 2,386,669 | 2,443,780 | 4,825,838 | 4,919,596 |
Other operating expenses | 3,442,611 | 2,851,353 | 6,665,155 | 5,644,587 |
Servicing fees | 22,178 | 86,001 | 84,356 | 162,002 |
Equity based compensation to affiliate | 93,948 | 87,540 | 145,410 | 165,018 |
Excise tax | 375,000 | 375,000 | 750,000 | 750,000 |
Total expenses | 6,320,406 | 5,843,674 | 12,470,759 | 11,641,203 |
Income/(loss) before equity in earnings/(loss) from affiliates | 7,845,178 | 30,674,015 | 13,352,311 | 53,289,631 |
Equity in earnings/(loss) from affiliates | 322,967 | 2,497,116 | 3,063,243 | 4,999,162 |
Net Income/(Loss) | 8,168,145 | 33,171,131 | 16,415,554 | 58,288,793 |
Dividends on preferred stock | 3,367,354 | 3,367,354 | 6,734,708 | 6,734,708 |
Net Income/(Loss) Available to Common Stockholders | $ 4,800,791 | $ 29,803,777 | $ 9,680,846 | $ 51,554,085 |
Earnings/(Loss) Per Share of Common Stock | ||||
Basic | $ 0.17 | $ 1.08 | $ 0.34 | $ 1.86 |
Diluted | $ 0.17 | $ 1.07 | $ 0.34 | $ 1.86 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic | 28,200,928 | 27,724,183 | 28,198,315 | 27,713,104 |
Diluted | 28,228,070 | 27,731,325 | 28,221,904 | 27,720,309 |
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, 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 | |||||
Net proceeds from issuance of common stock | 1,780,185 | $ 1,000 | 0 | 0 | 1,779,185 | 0 |
Net proceeds from issuance of common stock (in shares) | 99,932 | |||||
Grant of restricted stock and amortization of equity based compensation | 284,922 | $ 51 | 0 | 0 | 284,871 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | 5,076 | |||||
Common dividends declared | (26,363,887) | $ 0 | 0 | 0 | 0 | (26,363,887) |
Preferred Series A dividends declared | (2,134,708) | 0 | 0 | 0 | 0 | (2,134,708) |
Preferred Series B dividends declared | (4,600,000) | 0 | 0 | 0 | 0 | (4,600,000) |
Net Income/(Loss) | 58,288,793 | 0 | 0 | 0 | 0 | 58,288,793 |
Balance at Jun. 30, 2017 | 683,131,695 | $ 278,053 | 49,920,772 | 111,293,233 | 578,340,378 | (56,700,741) |
Balance (in shares) at Jun. 30, 2017 | 27,805,162 | |||||
Balance at Dec. 31, 2017 | 714,259,207 | $ 281,927 | 49,920,772 | 111,293,233 | 585,530,292 | (32,767,017) |
Balance (in shares) at Dec. 31, 2017 | 28,192,541 | |||||
Net proceeds from issuance of common stock | (225,419) | $ 0 | 0 | 0 | (225,419) | 0 |
Net proceeds from issuance of common stock (in shares) | 0 | |||||
Grant of restricted stock and amortization of equity based compensation | 336,881 | $ 84 | 0 | 0 | 336,797 | 0 |
Grant of restricted stock and amortization of equity based compensation (in shares) | 8,387 | |||||
Common dividends declared | (27,493,409) | $ 0 | 0 | 0 | 0 | (27,493,409) |
Preferred Series A dividends declared | (2,134,708) | 0 | 0 | 0 | 0 | (2,134,708) |
Preferred Series B dividends declared | (4,600,000) | 0 | 0 | 0 | 0 | (4,600,000) |
Net Income/(Loss) | 16,415,554 | 0 | 0 | 0 | 0 | 16,415,554 |
Balance at Jun. 30, 2018 | $ 696,558,106 | $ 282,011 | $ 49,920,772 | $ 111,293,233 | $ 585,641,670 | $ (50,579,580) |
Balance (in shares) at Jun. 30, 2018 | 28,200,928 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 16,415,554 | $ 58,288,793 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | 36,693 | (3,173,222) |
Net realized (gain)/loss | 22,898,818 | 12,549,564 |
Unrealized (gains)/losses on real estate securities and loans, net | 36,733,183 | (38,297,116) |
Unrealized (gains)/losses on derivative and other instruments, net | (41,871,242) | (1,801,297) |
Equity based compensation to affiliate | 145,410 | 165,018 |
Equity based compensation expense | 191,471 | 119,904 |
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | 2,586,377 | (2,048,062) |
Change in operating assets/liabilities: | ||
Interest receivable | (20,344) | (1,617,572) |
Other assets | (451,383) | 555,298 |
Due from broker | (646,869) | (56,819) |
Interest payable | 1,443,162 | 1,764,770 |
Due to affiliates | (222,369) | 333,322 |
Accrued expenses | 600,034 | (23,391) |
Taxes payable | (622,000) | (916,000) |
Net cash provided by (used in) operating activities | 37,216,495 | 25,843,190 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (1,147,269,288) | (841,128,758) |
Purchase of residential mortgage loans | (105,450,264) | 0 |
Purchase of commercial loans | 0 | (10,270,833) |
Purchase of U.S. Treasury securities | (249,658,991) | 0 |
Purchase of excess mortgage servicing rights | (25,162,285) | (2,422,805) |
Investments in debt and equity of affiliates | (40,781,194) | (14,471,397) |
Proceeds from sales of real estate securities | 1,314,738,672 | 260,894,043 |
Proceeds from sales of residential mortgage loans | 30,980,940 | 13,760,936 |
Proceeds from sales of U.S. treasury securities | 249,227,323 | 0 |
Principal repayments/return of basis on real estate securities and excess mortgage servicing rights | 246,920,274 | 219,677,305 |
Principal repayments on commercial loans | 14,521,806 | 13,478,194 |
Principal repayments on residential mortgage loans | 1,255,512 | 5,145,108 |
Distribution received in excess of income from investments in debt and equity of affiliates | 20,862,325 | 4,097,932 |
Net proceeds from/(payments made) on reverse repurchase agreements | 24,695,299 | 22,680,932 |
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements | (24,032,417) | (22,413,242) |
Net settlement of interest rate swaps and other instruments | 19,330,928 | (9,619,621) |
Net settlement of TBAs | 164,531 | 1,331,055 |
Cash flows provided by/(used in) other investing activities | 784,668 | 3,398,529 |
Net cash provided by/(used in) investing activities | 331,127,839 | (355,862,622) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | (225,419) | 1,830,184 |
Borrowings under repurchase agreements | 26,737,707,545 | 14,939,399,850 |
Repayments of repurchase agreements | (27,074,212,237) | (14,577,400,121) |
Repayments of loan participation | 0 | (1,800,000) |
Net collateral received from/(paid to) derivative counterparty | 31,178,389 | (430,940) |
Net collateral received from/(paid to) repurchase counterparty | 37,871 | (321,957) |
Dividends paid on common stock | (26,784,402) | (26,315,977) |
Dividends paid on preferred stock | (6,734,708) | (6,734,708) |
Net cash provided by/(used in) financing activities | (339,032,961) | 328,226,331 |
Net change in cash, cash equivalents and restricted cash | 29,311,373 | (1,793,101) |
Cash, cash equivalents, and restricted cash, Beginning of Period | 52,814,936 | 79,053,418 |
Cash, cash equivalents, and restricted cash, End of Period | 82,126,309 | 77,260,317 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on repurchase agreements | 29,292,276 | 16,736,898 |
Cash paid for income tax | 1,384,449 | 1,727,709 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Principal repayments on real estate securities not yet received | 800,785 | 9,879,692 |
Principal repayments on residential mortgage loans not yet received | 0 | 447,676 |
Common stock dividends declared but not paid | 14,100,464 | 13,205,483 |
Repayments of repurchase agreements not yet paid | 0 | 6,537,247 |
Decrease in securitized debt | 2,481,926 | 2,747,475 |
Transfer from residential mortgage loans to other assets | 654,153 | 2,050,070 |
Transfer from other assets to investments in debt and equity of affiliates | 242,336 | 0 |
Transfer from repurchase agreements to investments in debt and equity of affiliates | 33,720,445 | 0 |
Cash and cash equivalents | 31,145,470 | 29,150,477 |
Restricted cash | 50,980,839 | 48,109,840 |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | 82,126,309 | 77,260,317 |
Non-Agency [Member] | ||
Supplemental disclosure of non-cash financing and investing activities: | ||
Transfer from non-agency to investments in debt and equity of affiliates | $ 44,969,520 | $ 0 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2018 | |
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, excess mortgage servicing rights (“Excess MSRs”) 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 | 6 Months Ended |
Jun. 30, 2018 | |
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 of the Company’s financial position, results of operations and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. As of June 30, 2018 and December 31, 2017, 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. Due to broker does not include variation margin received on centrally cleared derivatives. See Note 8 for more detail. 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 pledged on centrally cleared derivatives. See Note 8 for more detail. The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. 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 remaining unrealized losses on securities at June 30, 2018 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 may aggregate 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 loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans 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. 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 or pool of loans 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, may be 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, Excess MSRs, and loans, including loans held through Mortgage Acquisition Holding I LLC (“MATH”) as discussed below. These 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 June 30, 2018 and December 31, 2017, these investments had a gross fair market value of $ 199.8 88.3 On December 9, 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 has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. As of June 30, 2018 and December 31, 2017, the Company’s interest in AG Arc had a fair market value of $ 18.4 17.9 On August 27, 2017, the Company, alongside private funds under the management of Angelo, Gordon, formed “MATH” to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”) to purchase predominantly “Non-QMs,” which are residential mortgage loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the CFPB. Non-QMs are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. In furtherance of this business, MATH’s sponsoring funds have agreed to provide up to $ 75.0 33.4 5.1 and 28.3 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 MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on derivative and other instruments, net.” The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR 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. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. 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 interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was 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 Excess MSR’s yield over its remaining life. 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, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. 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. The Company entered into a resecuritization transaction which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE 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. See Note 3 below for more detail. 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, interest-only securities and Excess MSRs). 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 may aggregate 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. Repurchase agreements are 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 approximates fair value. 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 June 30, 2018 and December 31, 2017, the Company has met all margin call requirements. 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 June 30, 2018 and December 31, 2017, 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 with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. See Note 8 for a discussion of this accounting treatment. 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 Ag |
Real Estate Securities
Real Estate Securities | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017. The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations (“CMOs”) representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. The Company’s Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and are therefore subject to credit risk. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S government-sponsored entity. Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,744,052,949 $ 52,134,603 $ 1,796,187,552 $ 1,100,504 $ (25,173,693) $ 1,772,114,363 3.87 % 3.45 % Fixed Rate CMO 48,555,453 373,443 48,928,896 - (763,693) 48,165,203 3.00 % 2.80 % ARM 112,452,842 249,941 112,702,783 - (1,922,206) 110,780,577 2.42 % 2.85 % Interest Only 657,244,631 (543,347,263) 113,897,368 1,859,804 (2,027,513) 113,729,659 3.75 % 7.75 % Total Agency: 2,562,305,875 (490,589,276) 2,071,716,599 2,960,308 (29,887,105) 2,044,789,802 3.76 % 3.64 % Credit Investments: Non-Agency RMBS 963,580,656 (200,563,564) 763,017,092 59,848,020 (3,789,337) 819,075,775 4.63 % 6.62 % Non-Agency RMBS Interest Only 335,341,583 (332,089,320) 3,252,263 141,996 (523,105) 2,871,154 0.53 % 15.84 % Total Non-Agency: 1,298,922,239 (532,652,884) 766,269,355 59,990,016 (4,312,442) 821,946,929 3.98 % 6.65 % ABS 39,817,063 (2,488,221) 37,328,842 445,154 (18,644) 37,755,352 8.84 % 9.00 % CMBS 212,840,112 (44,960,274) 167,879,838 1,102,784 (1,829,763) 167,152,859 5.93 % 6.50 % CMBS Interest Only 1,941,715,126 (1,901,631,424) 40,083,702 3,130,403 (31,800) 43,182,305 0.37 % 6.83 % Total CMBS: 2,154,555,238 (1,946,591,698) 207,963,540 4,233,187 (1,861,563) 210,335,164 0.81 % 6.57 % Total $ 6,055,600,415 $ (2,972,322,079) $ 3,083,278,336 $ 67,628,665 $ (36,079,754) $ 3,114,827,247 2.76 % 4.70 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “ (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, 2017: Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,848,172,215 $ 81,133,356 $ 1,929,305,571 $ 5,124,870 $ (5,397,445) $ 1,929,032,996 3.79 % 3.13 % Fixed Rate CMO 52,263,914 406,502 52,670,416 280,340 - 52,950,756 3.00 % 2.79 % ARM 176,560,807 (834,745) 175,726,062 683,254 (21,920) 176,387,396 2.35 % 2.83 % Interest Only 644,238,995 (554,353,362) 89,885,633 1,608,431 (2,704,177) 88,789,887 3.27 % 6.84 % Total Agency: 2,721,235,931 (473,648,249) 2,247,587,682 7,696,895 (8,123,542) 2,247,161,035 3.56 % 3.25 % Credit Investments: Non-Agency RMBS 1,165,533,510 (228,542,116) 936,991,394 66,812,751 (2,210,053) 1,001,594,092 4.45 % 6.10 % Non-Agency RMBS Interest Only 371,297,100 (367,976,760) 3,320,340 129,480 (788,254) 2,661,566 0.30 % 10.49 % Total Non-Agency: 1,536,830,610 (596,518,876) 940,311,734 66,942,231 (2,998,307) 1,004,255,658 3.38 % 6.12 % ABS 40,655,000 (438,491) 40,216,509 741,044 - 40,957,553 7.61 % 8.27 % CMBS 221,305,103 (51,818,496) 169,486,607 1,059,546 (1,079,582) 169,466,571 5.58 % 6.23 % CMBS Interest Only 2,021,260,566 (1,974,312,498) 46,948,068 3,778,264 (24,398) 50,701,934 0.40 % 6.63 % Total CMBS: 2,242,565,669 (2,026,130,994) 216,434,675 4,837,810 (1,103,980) 220,168,505 0.80 % 6.32 % Total $ 6,541,287,210 $ (3,096,736,610) $ 3,444,550,600 $ 80,217,980 $ (12,225,829) $ 3,512,542,751 2.60 % 4.32 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item 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 As of Fair Value Unrealized Fair Value Unrealized June 30, 2018 $ 1,770,772,474 $ (32,717,705) $ 90,665,044 $ (3,362,049) December 31, 2017 1,116,925,170 (8,011,731) 188,434,092 (4,214,098) 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 June 30, 2018 the Company recognized an OTTI charge of $ 0.7 0.7 0.7 0.5 For the six months ended June 30, 2018 the Company recognized an OTTI charge of $ 1.7 1.7 1.7 1.1 For the three months ended June 30, 2017 the Company recognized an OTTI charge of $ 1.8 0.9 0.9 For the six months ended June 30, 2017 the Company recognized an OTTI charge of $ 4.5 1.9 2.6 1.1 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 any remaining 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 Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 67,308,265 $ 67,514,009 0.46 % Greater than one year and less than or equal to five years 158,976,558 161,662,626 2.59 % 19,417,060 18,534,551 3.02 % 429,040,535 416,209,542 1.82 % Greater than five years and less than or equal to ten years 1,412,577,947 1,435,730,973 3.89 % 94,312,599 95,362,817 4.02 % 412,502,055 385,059,655 3.13 % Greater than ten years 359,505,638 360,425,632 3.79 % - - - 161,186,590 142,778,531 5.59 % Total $ 1,931,060,143 $ 1,957,819,231 3.76 % $ 113,729,659 $ 113,897,368 3.75 % $ 1,070,037,445 $ 1,011,561,737 1.96 % (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, 2017: Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 117,531,313 $ 117,804,751 2.15 % Greater than one year and less than or equal to five years 229,338,153 228,396,478 2.50 % 28,836,904 29,519,508 2.36 % 477,066,079 460,333,652 1.07 % Greater than five years and less than or equal to ten years 1,865,474,374 1,865,706,312 3.79 % 59,952,983 60,366,125 4.36 % 482,183,493 452,403,504 2.87 % Greater than ten years 63,558,621 63,599,259 3.50 % - - - 188,600,831 166,421,011 5.31 % Total $ 2,158,371,148 $ 2,157,702,049 3.64 % $ 88,789,887 $ 89,885,633 3.27 % $ 1,265,381,716 $ 1,196,962,918 1.89 % (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. For the three months ended June 30, 2018, the Company sold 48 586.3 0.3 17.1 105 1.3 6.2 35.5 For the three months ended June 30, 2017, the Company sold 15 141.8 0.5 1.4 30 260.9 1.0 2.1 See Notes 4 and 8 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 VIE created to facilitate the resecuritization transaction should be consolidated by the Company and treated as a secured borrowing, based on the Company’s involvement in the VIE, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIE. Weighted Average Current Face Fair Value Coupon Yield Life Consolidated tranche (2) $ 13,872,792 $ 13,984,245 3.73 % 4.37 % 2.70 Retained tranche 8,519,101 6,345,307 3.52 % 17.46 % 8.87 Total resecuritized asset $ 22,391,893 $ 20,329,552 3.65 % 8.46 % 5.05 (1) Actual maturities of investments and loans 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) As of June 30, 2018, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS”. As of June 30, 2018, the Company has recorded secured financing of $ 14.0 The following table details certain information on the Company’s consolidated VIE as of December 31, 2017: Weighted Average Current Face Fair Value Coupon Yield Life Consolidated tranche (2) $ 16,354,718 $ 16,477,801 3.11 % 3.92 % 2.95 Retained tranche 8,617,903 6,100,571 4.28 % 15.48 % 9.04 Total resecuritized asset $ 24,972,621 $ 22,578,372 3.51 % 7.04 % 5.05 (1) Actual maturities of investments and loans 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) As of December 31, 2017, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS”. As of December 31, 2017, the Company has recorded secured financing of $ 16.5 The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to any VIE. |
Loans
Loans | 6 Months Ended |
Jun. 30, 2018 | |
Receivables [Abstract] | |
Financing Receivables [Text Block] | 4. Loans Residential mortgage loans In June 2018, the Company purchased a residential mortgage loan portfolio with an aggregate unpaid principal balance and acquisition fair value of $ 86.3 76.3 Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 107,872,692 $ (16,328,505) $ 91,544,187 $ 1,706,872 $ (121,790) $ 93,129,269 4.14 % 6.80 % 7.85 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2017: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 25,675,566 $ (7,792,057) $ 17,883,509 $ 1,006,184 $ - $ 18,889,693 3.10 % 12.24 % 5.67 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. June 30, 2018 December 31, 2017 Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 48,958,703 $ 57,015,094 $ 7,068,795 $ 9,543,318 Non-Performing 44,170,566 50,857,598 11,820,898 16,132,248 $ 93,129,269 $ 107,872,692 $ 18,889,693 $ 25,675,566 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 for the three and six months ended June 30, 2018 on the Company’s residential mortgage loans. For the three and six months ended June 30, 2017 the Company recognized $ 0.4 0.4 0.4 9.8 7.7 8.1 As of June 30, 2018 and December 31, 2017 the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 11.1 9.1 Concentration of Credit Risk June 30, 2018 December 31, 2017 Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: California 27 % 7 % New York 10 % 37 % Florida 8 % 1 % Maryland 5 % 7 % New Jersey 5 % 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 Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Beginning Balance $ 9,824,687 $ 18,725,471 $ 9,318,058 $ 18,281,517 Additions 36,442,554 - 36,442,554 - Accretion (542,322) (708,857) (1,032,951) (1,462,394) Reclassifications from/(to) non-accretable difference 824,509 1,909,368 1,821,767 3,381,708 Disposals (1,499,455) (9,584,506) (1,499,455) (9,859,355) Ending Balance $ 45,049,973 $ 10,341,476 $ 45,049,973 $ 10,341,476 As of June 30, 2018, the Company’s residential mortgage loan portfolio was comprised of 641 conventional loans with original loan balances between $ 10,000 1.9 As of December 31, 2017, the Company’s residential mortgage loan portfolio was comprised of 125 conventional loans with original loan balances between $ 9,000 1.1 For the three and six months ended June 30, 2018, the Company sold 150 loans for total proceeds of $ 31.0 0.7 million and realized losses of $0.1 9.3 2.6 million and realized losses of $0.2 10.2 2.6 0.3 3.6 Commercial loans Gross Unrealized (1) Weighted Average Loan (2) (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) Initial Stated Extended Location Loan B (3) $ 32,800,000 $ - $ 32,800,000 $ - $ - $ 32,800,000 6.76 % 7.14 % 1.03 July 1, 2016 July 1, 2019 TX Loan F (4) 10,416,666 (17,354) 10,399,312 17,354 - 10,416,666 13.05 % 15.02 % 0.20 September 9, 2018 September 9, 2019 MN $ 43,216,666 $ (17,354) $ 43,199,312 $ 17,354 $ - $ 43,216,666 8.28 % 9.04 % 0.83 (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 E paid off at par in Q2 2018, with the Company receiving $ 14.5 31.8 1.0 (4) Loan F is a mezzanine loan of up to $ 14.6 10.4 (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, 2017. Gross Unrealized (1) Weighted Average Loan (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) Initial Stated Extended Location Loan B (2) $ 32,800,000 $ - $ 32,800,000 $ - $ - $ 32,800,000 6.14 % 6.52 % 1.53 July 1, 2016 July 1, 2019 TX Loan E (3) 14,521,806 (1,027,510) 13,494,296 809,684 - 14,303,980 9.83 % 12.70 % 3.01 April 9, 2017 April 9, 2021 Various Loan F (4) 10,416,666 (76,512) 10,340,154 76,512 - 10,416,666 12.43 % 13.98 % 0.70 September 9, 2018 September 9, 2019 MN $ 57,738,472 $ (1,104,022) $ 56,634,450 $ 886,196 $ - $ 57,520,646 8.20 % 9.41 % 1.76 (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 “ (2) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (3) Loan E is a mezzanine loan. As of December 31, 2017, Loan E has been extended to April 9, 2018. (4) Loan F is a mezzanine loan of up to $ 14.6 10.4 (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. 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 During the three and six months ended June 30, 2018, the Company recorded $ 0.1 1.1 0.1 0.2 |
Excess MSRs
Excess MSRs | 6 Months Ended |
Jun. 30, 2018 | |
Disclosure of Excess MSRs [Abstract] | |
Excess Mortgage Servicing Rights [Text Block] | 5. Excess MSRs The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2018. Gross Unrealized (1) Weighted Average Unpaid Amortized Gains Losses Fair Value Yield Life (Years) Agency Excess MSRs $ 3,785,622,348 $ 28,537,117 $ 1,422,916 $ (934,417) $ 29,025,616 10.97 % 7.0 Credit Excess MSRs 45,265,798 241,862 21,777 (7,490) 256,149 24.07 % 4.9 Total Excess MSRs $ 3,830,888,146 $ 28,778,979 $ 1,444,693 $ (941,907) $ 29,281,765 11.08 % 7.0 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2017. Gross Unrealized (1) Weighted Average Unpaid Amortized Gains Losses Fair Value Yield Life (Years) Agency Excess MSRs $ 768,385,219 $ 4,478,816 $ 333,019 $ (11,127) $ 4,800,708 12.23 % 6.3 Credit Excess MSRs 50,307,900 258,460 24,346 - 282,806 21.87 % 5.0 Total Excess MSRs $ 818,693,119 $ 4,737,276 $ 357,365 $ (11,127) $ 5,083,514 12.76 % 6.2 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether an excess MSR is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an excess MSR is less than its amortized cost at the balance sheet date, the excess MSR is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” There was no OTTI for the three and six months ended June 30, 2018. There was no OTTI for the three and six months ended June 30, 2017. |
Fair value measurements
Fair value measurements | 6 Months Ended |
Jun. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | 6. 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, Excess MSRs, securitized debt, derivatives and U.S. Treasury securities are based upon prices obtained from third party pricing services, which are indicative of market activity. 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 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”). Beginning in the first quarter of 2017, as a result of a CME amendment to its rule book governing central clearing activities, the daily exchange of variation margin associated with a CME 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 interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments. See Note 8 for more information. The fair value of the Company’s Company’s 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. 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 residential 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 15 The following table presents the Company’s financial instruments measured at fair value as of June 30, 2018: Fair Value at June 30, 2018 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 1,772,114,363 $ - $ 1,772,114,363 Fixed Rate CMO - 48,165,203 - 48,165,203 ARM - 110,780,577 - 110,780,577 Interest Only - 113,729,659 - 113,729,659 Credit Investments: Non-Agency RMBS - 32,968,019 786,107,756 819,075,775 Non-Agency RMBS Interest Only - - 2,871,154 2,871,154 ABS - - 37,755,352 37,755,352 CMBS - 7,321,017 159,831,842 167,152,859 CMBS Interest Only - - 43,182,305 43,182,305 Residential mortgage loans - - 93,129,269 93,129,269 Commercial loans - - 43,216,666 43,216,666 Excess mortgage servicing rights - - 29,281,765 29,281,765 Derivative assets - 4,222,706 - 4,222,706 AG Arc - - 18,352,632 18,352,632 Total Assets Carried at Fair Value $ - $ 2,089,301,544 $ 1,213,728,741 $ 3,303,030,285 Liabilities: Securitized debt $ - $ - $ (13,984,245) $ (13,984,245) Derivative liabilities - (625,990) - (625,990) Total Liabilities Carried at Fair Value $ - $ (625,990) $ (13,984,245) $ (14,610,235) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2017: Fair Value at December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 1,929,032,996 $ - $ 1,929,032,996 Fixed Rate CMO - 52,950,756 - 52,950,756 ARM - 176,387,396 - 176,387,396 Interest Only - 88,789,887 - 88,789,887 Credit Investments: Non-Agency RMBS - 156,170,350 845,423,742 1,001,594,092 Non-Agency RMBS Interest Only - - 2,661,566 2,661,566 ABS - - 40,957,553 40,957,553 CMBS - 8,216,506 161,250,065 169,466,571 CMBS Interest Only - - 50,701,934 50,701,934 Residential mortgage loans - - 18,889,693 18,889,693 Commercial loans - - 57,520,646 57,520,646 Excess mortgage servicing rights - - 5,083,514 5,083,514 Derivative assets 110,063 2,017,007 - 2,127,070 AG Arc - - 17,911,091 17,911,091 Total Assets Carried at Fair Value $ 110,063 $ 2,413,564,898 $ 1,200,399,804 $ 3,614,074,765 Liabilities: Securitized debt $ - $ - $ (16,477,801) $ (16,477,801) Securities borrowed under reverse repurchase agreements - (24,379,356) - (24,379,356) Derivative liabilities - (450,208) - (450,208) Total Liabilities Carried at Fair Value $ - $ (24,829,564) $ (16,477,801) $ (41,307,365) The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2018 and June 30, 2017. Three Months Ended June 30, 2018 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning balance $ 730,919,118 $ 2,912,380 $ 35,838,056 $ 182,970,152 $ 48,624,976 $ 19,872,126 $ 57,665,864 $ 30,746,462 $ 18,438,220 $ (15,496,402) Transfers (1): Transfers into level 3 93,950,988 - - - - - - - - - Purchases/Transfers 2,290,922 - 2,628,040 26,056,250 - 105,041,253 - (209,070) - - Proceeds from sales/redemptions (6,683,073) - - - (4,658,476) (30,831,907) - - - - Proceeds from settlement (31,612,092) - (736,946) (48,240,806) - (1,072,865) (14,521,806) (178,576) - 1,487,850 Total net gains/(losses) (2) Included in net income (2,758,107) (41,226) 26,202 (953,754) (784,195) 120,662 72,608 (1,077,051) (85,588) 24,307 Ending Balance $ 786,107,756 $ 2,871,154 $ 37,755,352 $ 159,831,842 $ 43,182,305 $ 93,129,269 $ 43,216,666 $ 29,281,765 $ 18,352,632 $ (13,984,245) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) $ (2,721,807) $ (41,226) $ 26,202 $ (1,026,231) $ (550,652) $ (581,143) $ (145,218) $ (1,077,051) $ (85,588) $ 24,307 (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2018, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) 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 $ (5,771,704) Unrealized gain/(loss) on derivative and other instruments, net (427,515) Net realized gain/(loss) 828,665 Equity in earnings/(loss) from affiliates (85,588) Total $ (5,456,142) (3) 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 $ (5,665,304) Unrealized gain/(loss) on derivative and other instruments, net (427,515) Equity in earnings/(loss) from affiliates (85,588) Total $ (6,178,407) June 30, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning 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 $ 13,010,453 $ (19,948,739) Transfers (1): Transfers into level 3 70,603,992 - - - - - - - - Transfers out of level 3 (51,307,381) - - - - - - - - Purchases/Transfers 215,073,421 - 39,717,021 15,000,001 - - - 1,858,979 - Capital contributions - - - - - - - - 4,459,000 Proceeds from sales/redemptions (61,084,219) - (9,311,530) - - (9,248,143) - - - Proceeds from settlement (86,015,924) - (3,984,154) (108,799) - (4,631,367) (1,176,506) (176,923) - 1,171,856 Total net gains/(losses) (2) Included in net income 13,661,665 (344,553) 330,577 551,831 (116,288) 1,078,832 196,124 48,322 243,104 (1,286) Ending Balance $ 863,020,902 $ 3,213,397 $ 47,917,356 $ 137,658,327 $ 52,805,639 $ 23,455,233 $ 57,294,106 $ 2,786,501 $ 17,712,557 $ (18,778,169) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2017 (3) $ 14,997,601 $ (344,553) $ (95,002) $ 897,090 $ (116,288) $ (913,062) $ 196,124 $ 48,322 $ 243,104 $ (1,286) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2017, the Company transferred 6 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ 15,783,215 Unrealized gain/(loss) on derivative and other instruments, net (1,286) Net realized gain/(loss) (376,705) Equity in earnings/(loss) from affiliates 243,104 Total $ 15,648,328 (3) 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 $ 14,670,232 Unrealized gain/(loss) on derivative and other instruments, net (1,286) Equity in earnings/(loss) from affiliates 243,104 Total $ 14,912,050 Six Months Ended June 30, 2018 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning balance $ 845,423,742 $ 2,661,566 $ 40,957,553 $ 161,250,065 $ 50,701,934 $ 18,889,693 $ 57,520,646 $ 5,083,514 $ 17,911,091 $ (16,477,801) Transfers (1): Transfers into level 3 101,985,493 - - - - - - - - - Transfers out of level 3 - - - (6,951,115) - - - - - - Purchases/Transfers 93,876,423 - 5,596,268 56,256,250 - 105,041,253 - 25,162,285 - - Proceeds from sales/redemptions (184,804,178) - - - (4,658,476) (30,831,907) - - - - Proceeds from settlement (69,562,698) - (8,710,793) (49,144,767) - (1,255,512) (14,521,806) (512,212) - 2,481,926 Total net gains/(losses) (2) Included in net income (811,026) 209,588 (87,676) (1,578,591) (2,861,153) 1,285,742 217,826 (451,822) 441,541 11,630 Ending Balance $ 786,107,756 $ 2,871,154 $ 37,755,352 $ 159,831,842 $ 43,182,305 $ 93,129,269 $ 43,216,666 $ 29,281,765 $ 18,352,632 $ (13,984,245) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) $ (1,697,476) $ 229,918 $ (69,140) $ (1,651,068) $ (2,627,610) $ 583,937 $ - $ (451,822) $ 441,541 $ 11,630 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2018, the Company transferred 8 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ (9,095,280) Unrealized gain/(loss) on derivative and other instruments, net (440,192) Net realized gain/(loss) 5,469,990 Equity in earnings/(loss) from affiliates 441,541 Total $ (3,623,941) (3) 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 $ (5,231,439) Unrealized gain/(loss) on derivative and other instruments, net (440,192) Equity in earnings/(loss) from affiliates 441,541 Total $ (5,230,090) Six Months Ended June 30, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess 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 $ 12,894,819 $ (21,491,710) $ (1,800,000) Transfers (1): Transfers into level 3 156,247,235 - - - - - - - - - - Transfers out of level 3 (87,193,669) - - - - - - - - - - Purchases/Transfers 257,276,811 - 46,447,667 18,568,750 - - 10,270,833 2,565,344 - - - Capital contributions - - - - - - - - 4,459,000 - - Proceeds from sales/redemptions (84,759,581) - (16,977,157) (4,533,594) - (10,102,590) - - - - - Proceeds from settlement (115,376,445) - (3,984,154) (8,594,055) - (5,297,349) (13,534,402) (187,287) - 2,747,475 1,954,927 Total net gains/(losses) (2) Included in net income 19,066,017 (548,049) 1,199,044 1,427,611 668,913 659,596 488,875 (4,204) 358,738 (33,934) (154,927) Ending Balance $ 863,020,902 $ 3,213,397 $ 47,917,356 $ 137,658,327 $ 52,805,639 $ 23,455,233 $ 57,294,106 $ 2,786,501 $ 17,712,557 $ (18,778,169) $ - Change in unrealized appreciation/(depreciation) for level 3 assets still held as of June 30, 2017 (3) $ 20,392,109 $ (548,049) $ 743,730 $ 1,857,762 $ 668,913 $ (1,401,691) $ 432,666 $ (4,204) $ 358,738 $ (33,934) $ - (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2017, the Company transferred 12 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 8 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ 23,619,676 Unrealized gain/(loss) on derivative and other instruments, net (188,861) Net realized gain/(loss) (661,873) Equity in earnings/(loss) from affiliates 358,738 Total $ 23,127,680 (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 $ 22,141,236 Unrealized gain/(loss) on derivative and other instruments, net (33,934) Equity in earnings/(loss) from affiliates 358,738 Total $ 22,466,040 Refer to the tables above for details on transfers between the Level 3 and Level 2 categories under 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. Asset Class Fair Value at Valuation Technique Unobservable Input Range Yield 2.74% - 31.75% (4.66%) Non-Agency RMBS $ 761,543,614 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 30.00% (11.60%) Projected Collateral Losses 0.00% - 30.00% (2.69%) Projected Collateral Severities 0.00% - 100.00% (31.67%) $ 24,564,142 Consensus Pricing Offered Quotes 75.25 - 98.56 (83.28) Yield 7.00% - 25.00% (22.10%) Non-Agency RMBS Interest Only $ 2,871,154 Discounted Cash Flow Projected Collateral Prepayments 9.50% - 18.00% (16.75%) Projected Collateral Losses 0.75% - 1.50% (1.41%) Projected Collateral Severities 10.00% - 65.00% (17.43%) Yield 6.19% - 6.19% (6.19%) ABS $ 32,925,013 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (23.27%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 4,830,339 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 5.58% - 8.66% (6.93%) CMBS $ 156,869,879 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 2,961,963 Consensus Pricing Offered Quotes 4.28 - 8.77 (7.64) Yield 3.48% - 6.31% (4.74%) CMBS Interest Only $ 43,182,305 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.90%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.50% - 9.00% (7.93%) Residential Mortgage Loans $ 16,822,776 Discounted Cash Flow Projected Collateral Prepayments 3.65% - 4.82% (4.22%) Projected Collateral Losses 3.60% - 6.01% (3.90%) Projected Collateral Severities 14.69% - 31.45% (18.29%) $ 76,306,493 Recent Transaction Cost N/A Yield 7.14% - 7.14% (7.14%) Commercial Loans $ 32,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 10,416,666 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 8.50% - 11.57% (9.19%) Excess Mortgage Servicing Rights $ 29,025,616 Discounted Cash Flow Projected Collateral Prepayments 6.20% - 10.01% (8.07%) $ 256,149 Consensus Pricing Offered Quotes 0.03 - 0.53 (0.50) AG Arc $ 18,352,632 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.98% - 3.98% (3.98%) Securitized debt $ (13,984,245) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.00% (10.00%) Projected Collateral Losses 3.00% - 3.00% (3.00%) Projected Collateral Severities 45.00% - 45.00% (45.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2018. Asset Class Fair Value at Valuation Technique Unobservable Input Range Yield 0.94% - 31.75% (4.49%) Non-Agency RMBS $ 783,880,884 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 35.00% (10.50%) Projected Collateral Losses 0.00% - 50.00% (3.25%) Projected Collateral Severities 0.00% - 100.00% (34.77%) $ 14,794,010 Consensus Pricing Offered Quotes 74.75 - 74.75 (74.75) $ 46,748,848 Recent Transaction Recent Transaction N/A Yield 7.00% - 25.00% (22.34%) Non-Agency RMBS Interest Only $ 2,661,566 Discounted Cash Flow Projected Collateral Prepayments 10.50% - 18.00% (16.89%) Projected Collateral Losses 1.50% - 2.00% (1.57%) Projected Collateral Severities 10.00% - 40.00% (14.43%) Yield 4.62% - 9.83% (7.56%) ABS $ 40,957,533 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (22.62%) Projected Collateral Losses 0.00% - 2.00% (1.74%) Projected Collateral Severities 0.00% - 50.00% (43.45%) Yield -1.45% - 8.35% (6.24%) CMBS $ 157,684,840 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 3,565,225 Consensus Pricing Offered Quotes 6.20 - 7.60 (7.12) Yield 2.93% - 5.90% (4.43%) CMBS Interest Only $ 50,701,934 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.25% - 9.00% (7.81%) Residential Mortgage Loans $ 18,889,693 Discounted Cash Flow Projected Collateral Prepayments 2.98% - 5.05% (3.93%) Projected Collateral Losses 3.88% - 6.91% (4.27%) Projected Collateral Severities 20.21% - 37.25% (22.00%) Yield 6.52% - 6.52% (6.52%) Commercial Loans $ 32,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 24,720,646 Consensus Pricing Offered Quotes 98.50 - 100.00 (99.13) Yield 9.12% - 11.74% (10.29%) Excess Mortgage Servicing Rights $ 4,800,708 Discounted Cash Flow Projected Collateral Prepayments 7.59% - 11.85% (9.67%) $ 282,806 Consensus Pricing Offered Quotes 0.04 - 0.52 (0.48) AG Arc $ 17,911,091 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.23% - 3.23% (3.23%) Securitized debt $ (16,477,801) 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%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2017. 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 | 6 Months Ended |
Jun. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | 7. 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 Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 110,636,000 2.31 % 3.0 % $ 114,031,956 $ 115,775,602 $ 362,555 30 days or less 1,784,082,000 2.45 % 9.2 % 1,991,350,098 1,962,154,041 7,740,255 31-60 days 420,130,000 2.50 % 8.7 % 468,641,667 467,140,552 1,740,034 61-90 days 181,449,000 2.48 % 9.0 % 207,489,411 206,058,822 747,579 Greater than 180 days 49,475,000 3.11 % 16.1 % 59,213,101 59,632,409 40,138 Total / Weighted Average $ 2,545,772,000 2.47 % 9.0 % $ 2,840,726,233 $ 2,810,761,426 $ 10,630,561 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 128,779,000 1.80 % 3.2 % $ 133,012,426 $ 133,030,219 $ 375,987 30 days or less 2,105,103,000 1.94 % 9.6 % 2,361,573,884 2,302,744,090 8,406,811 31-60 days 611,763,000 1.76 % 7.6 % 677,310,405 670,307,102 2,131,225 61-90 days 32,445,000 3.04 % 25.9 % 43,850,631 42,711,854 300,842 91-180 days 1,131,000 3.21 % 22.7 % 1,462,574 1,478,767 1,296 Greater than 180 days 93,059,628 3.00 % 20.4 % 119,489,680 118,698,392 46,682 Total / Weighted Average $ 2,972,280,628 1.94 % 9.4 % $ 3,336,699,600 $ 3,268,970,424 $ 11,262,843 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of June 30, 2018: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Weighted Average Fair Value Amortized Cost Accrued Interest Greater than 180 days $ 66,613,881 4.11 % 4.15 % 26.1 % $ 90,133,713 $ 88,309,563 $ 60,997 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 10,330,390 4.07 % 34.8 % $ 15,860,583 $ 14,870,542 $ 10,316 (1) As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company’s The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of June 30, 2018: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 4.24 % 33.5 % $ 32,800,000 $ 32,800,000 $ 276,922 (1) As of June 30, 2018, the weighted average rate equaled the weighted average funding cost on the Company’s The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 3.70 % 33.5 % $ 32,800,000 $ 32,800,000 $ 203,633 (1) As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company’s 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 8 for details on collateral posted/received against certain derivatives. June 30, 2018 December 31, 2017 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 1,811,050,887 $ 2,118,615,429 Non-Agency RMBS 799,315,479 976,071,673 ABS 24,510,960 30,832,553 CMBS 205,848,907 211,179,945 Residential Mortgage Loans 90,133,713 15,860,583 Commercial Loans 32,800,000 32,800,000 Cash pledged (i.e., restricted cash) under repurchase agreements 11,495,756 12,155,251 Total collateral pledged under Repurchase agreements $ 2,975,155,702 $ 3,397,515,434 June 30, 2018 December 31, 2017 Repurchase agreements secured by investments: Agency RMBS $ 1,712,500,000 $ 2,005,133,000 Non-Agency RMBS 653,525,000 784,896,628 ABS 18,495,000 22,761,000 CMBS 161,252,000 159,490,000 Residential Mortgage Loans 66,613,881 10,330,390 Commercial Loans 21,796,000 21,796,000 Gross Liability for Repurchase agreements $ 2,634,181,881 $ 3,004,407,018 The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of June 30, 2018: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 2,634,181,881 $ - $ 2,634,181,881 $ 2,634,181,881 $ - $ - 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, 2017: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 3,004,407,018 $ - $ 3,004,407,018 $ 3,004,407,018 $ - $ - 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 June 30, 2018 and December 31, 2017 the Company had 40 and 39 financing counterparties, respectively, under which it had outstanding debt with 29 and 27 counterparties, respectively. Counterparty Stockholders’ Equity Weighted Average Percentage of RBC (Barbados) Trading Bank Corporation $ 37,141,335 24 5 % The following table presents information at December 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 RBC (Barbados) Trading Bank Corporation $ 45,239,399 26 6 % Barclays Capital Inc 39,358,150 13 6 % 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 provided 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 had three (3) one-year options to extend the term of the CREL Repurchase Agreement. 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 “First Amendment”) with Wells Fargo. The First 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 First Amendment lowered the maximum aggregate borrowing capacity available under the CREL Repurchase Agreement from $ 150 42.8 21.8 In September 2016, the Company exercised its first option to extend the term of the CREL Repurchase Agreement. In June 2017, the Company, AG MIT CREL and AG MIT entered into an Omnibus Amendment No. 2 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “Second Amendment”) with Wells Fargo. The Second Amendment amended the CREL Repurchase Agreement to extend the facility termination date to July 1, 2019 and removed the second and third extension options. In June 2018, AG MIT WFB1 2014 LLC (“AG MIT WFB1”), a subsidiary of the Company, entered into Amendment Numbers Seven and Eight 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 pools of residential mortgage loans. The WFB1 Repurchase Agreement provides for a funding period ending June 14, 2019 and a facility termination date of June 15, 2020. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $ 110.0 In the event the debt outstanding under the WFB1 Repurchase Agreement falls below $7.0 million, a cash trap trigger event will occur in which all income payments received by Wells Fargo will be applied against the outstanding balance until the WFB1 Repurchase Agreement is paid off. 66.6 10.3 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 | 6 Months Ended |
Jun. 30, 2018 | |
Derivatives [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 8. Derivatives The Company’s derivatives may include interest rate swaps (“swaps”), TBAs, swaption contracts 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 may exchange 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. 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. Company’s Derivatives and Other Instruments Designation Balance Sheet Location June 30, 2018 December 31, 2017 Interest rate swaps (1) Non-Hedge Derivative assets, at fair value $ 2,853,609 $ 1,428,240 Interest rate swaps (1) Non-Hedge Derivative liabilities, at fair value (473,647) (450,208) Swaptions Non-Hedge Derivative assets, at fair value 971,831 362,202 TBAs Non-Hedge Derivative assets, at fair value 397,266 226,565 TBAs Non-Hedge Derivative liabilities, at fair value (152,343) - Short positions on U.S. Treasury Futures Non-Hedge Derivative assets, at fair value - 110,063 Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (2) - (24,379,356) (1) As of June 30, 2018, the Company applied a reduction in fair value of $ 62.2 1.9 19.5 0.6 (2) The Company’s “ Company’s Non-hedge derivatives and other instruments held long/(short): June 30, 2018 December 31, 2017 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 2,396,000,000 $ 2,227,000,000 Notional amount of Swaptions 250,000,000 270,000,000 Net notional amount of TBAs 160,000,000 100,000,000 Notional amount of short positions on U.S. Treasury Futures (1) (20,000,000) (52,500,000) Notional amount of short positions on U.S. Treasuries - (24,668,000) (1) Each U.S. Treasury Future contract embodies $ 100,000 Non-hedge derivatives and Three Months Ended Three Months Ended Six Months Ended Six Months Ended other instruments gain/(loss): Statement of Operations Location June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 5,610,322 $ 2,027,635 $ 41,862,031 $ 3,258,849 Interest rate swaps, at fair value Net realized gain/(loss) 5,861,656 (8,082,738) 5,861,656 (8,082,738) Swaptions, at fair value Unrealized gain/(loss) on derivative and other instruments, net (383,517) - (31,746) - Swaptions, at fair value Net realized gain/(loss) - - 50,625 - U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 384,938 1,273,312 (109,419) 1,379,811 U.S. Treasury Futures Net realized gain/(loss) 66,820 (2,882,643) 739,600 (3,830,579) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net (409,370) (1,409,304) 18,357 (1,049,539) TBAs (1) Net realized gain/(loss) (208,086) 1,573,086 164,531 1,331,055 U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - - (94,004) (1,724,922) U.S. Treasuries Net realized gain/(loss) - - 131,375 1,730,547 (1) For the three months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $ 0.6 1.3 1.1 1.0 0.7 0.6 losses 1.1 0.8 Gross Amounts Not Offset in the Description (1) Gross Amounts of Gross Amounts Offset Net Amounts of Assets Financial Cash Collateral Net Amount Derivative Assets (2) Interest Rate Swaps $ 4,666,803 $ - $ 4,666,803 $ - $ 4,666,803 $ - Interest Rate Swaptions 971,831 - 971,831 - 500,000 471,831 TBAs 397,266 - 397,266 - - 397,266 Total Derivative Assets $ 6,035,900 $ - $ 6,035,900 $ - $ 5,166,803 $ 869,097 Derivative Liabilities (3) Interest Rate Swaps $ 277,398 $ - $ 277,398 $ - $ 277,398 $ - TBAs (152,343) - (152,343) - (152,343) - Total Derivative Liabilities $ 125,055 $ - $ 125,055 $ - $ 125,055 $ - (1) The Company applied a reduction in fair value of $62.2 million and $1.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $6,035,900 less accrued interest of $(1,813,194) for a total of $4,222,706. (3) Included in Derivative Liabilities on the consolidated balance sheet is $ 125,055 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, 2017: Gross Amounts Not Offset in the Description (1) Gross Amounts of Gross Amounts Offset Net Amounts of Assets Financial Cash Collateral Net Amount Receivable Under Reverse Repurchase Agreements $ 24,671,320 $ - $ 24,671,320 $ 24,379,356 $ - $ 291,964 Derivative Assets (2) Interest Rate Swaps $ 4,543,743 $ - $ 4,543,743 $ - $ 1,666,444 $ 2,877,299 Interest Rate Swaptions 362,202 - 362,202 - - 362,202 TBAs 226,565 - 226,565 - - 226,565 U.S. Treasury Futures - Short 110,063 - 110,063 - - 110,063 Total Derivative Assets $ 5,242,573 $ - $ 5,242,573 $ - $ 1,666,444 $ 3,576,129 Derivative Liabilities (3) Interest Rate Swaps $ (5,645) $ - $ (5,645) $ - $ (5,645) $ - Total Derivative Liabilities $ (5,645) $ - $ (5,645) $ - $ (5,645) $ - (1) The Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $ 5,242,573 (3,115,503) 2,127,070 (3) Included in Derivative Liabilities on the consolidated balance sheet is $ (5,645) (444,563) 450,208 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. As of June 30, 2018, the Company pledged real estate securities with a fair value of $ 7.2 35.9 4.1 7.5 25.4 1.7 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. Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2019 $ 170,000,000 1.36 % 2.34 % 1.38 2020 540,000,000 1.64 % 2.34 % 1.88 2022 653,000,000 1.90 % 2.34 % 4.10 2023 149,000,000 2.94 % 2.35 % 4.90 2024 230,000,000 2.06 % 2.33 % 6.00 2025 125,000,000 2.87 % 2.34 % 6.88 2026 75,000,000 2.12 % 2.33 % 8.39 2027 264,000,000 2.35 % 2.34 % 9.19 2028 190,000,000 2.94 % 2.34 % 9.79 Total/Wtd Avg $ 2,396,000,000 2.07 % 2.34 % 4.93 As of December 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 December 31, 2017: Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2019 $ 170,000,000 1.36 % 1.43 % 1.88 2020 835,000,000 1.77 % 1.52 % 2.54 2022 653,000,000 1.90 % 1.51 % 4.59 2024 230,000,000 2.06 % 1.47 % 6.50 2026 75,000,000 2.12 % 1.44 % 8.89 2027 264,000,000 2.35 % 1.50 % 9.69 Total/Wtd Avg $ 2,227,000,000 1.89 % 1.50 % 4.56 TBAs For the Three Months Ended June 30, 2018 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 139,000,000 $ 316,000,000 $ (295,000,000) $ 160,000,000 $ 166,600,000 $ (166,202,734) $ 397,266 $ - TBAs - Short $ - $ 551,000,000 $ (551,000,000) $ - $ - $ (152,343) $ - $ (152,343) For the Three Months Ended June 30, 2017 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 90,000,000 $ 891,000,000 $ (681,000,000) $ 300,000,000 $ 309,964,840 $ (311,438,243) $ 295,629 $ (1,769,032) TBAs - Short $ - $ - $ - $ - $ - $ - $ - $ - For the Six Months Ended June 30, 2018 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 100,000,000 $ 951,000,000 $ (891,000,000) $ 160,000,000 $ 166,600,000 $ (166,202,734) $ 397,266 $ - TBAs - Short $ - $ 854,000,000 $ (854,000,000) $ - $ - $ (152,343) $ - $ (152,343) For the Six Months Ended June 30, 2017 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 50,000,000 $ 1,176,000,000 $ (926,000,000) $ 300,000,000 $ 309,964,840 $ (311,438,243) $ 295,629 $ (1,769,032) TBAs - Short $ (75,000,000) $ 75,000,000 $ - $ - $ - $ - $ - $ - |
Earnings per share
Earnings per share | 6 Months Ended |
Jun. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share [Text Block] | 9. 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. June 30, 2018 June 30, 2017 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 60,000 20,003 Each warrant entitled 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 and six months ended June 30, 2018 and June 30, 2017, the Company excluded the effects of such from the computation of diluted earnings per share because their effect would be anti-dilutive. The warrants expired on July 6, 2018. 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 Six Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 4,800,791 $ 29,803,777 $ 9,680,846 $ 51,554,085 Denominator: Basic weighted average common shares outstanding 28,200,928 27,724,183 28,198,315 27,713,104 Dilutive effect of restricted stock units 27,142 7,142 23,589 7,205 Diluted weighted average common shares outstanding 28,228,070 27,731,325 28,221,904 27,720,309 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.17 $ 1.08 $ 0.34 $ 1.86 Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.17 $ 1.07 $ 0.34 $ 1.86 2018 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2018 3/29/2018 4/30/2018 $ 0.475 6/18/2018 6/29/2018 7/31/2018 0.500 2017 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2017 3/21/2017 4/28/2017 $ 0.475 6/8/2017 6/19/2017 7/31/2017 0.475 2018 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2018 2/28/2018 3/19/2018 $ 0.51563 8.25% Series A 5/15/2018 5/31/2018 6/18/2018 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2018 2/28/2018 3/19/2018 $ 0.50 8.00% Series B 5/15/2018 5/31/2018 6/18/2018 0.50 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 8.25% Series A 5/15/2017 5/31/2017 6/19/2017 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 8.00% Series B 5/15/2017 5/31/2017 6/19/2017 0.50 |
Income taxes
Income taxes | 6 Months Ended |
Jun. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | 10. 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 June 30, 2018 and June 30, 2017, the Company recorded excise tax expense of $ 0.4 0.4 0.8 0.8 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 June 30, 2018 or June 30, 2017. 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 | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | 11. 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 June 30, 2018 and December 31, 2017, 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 and six months ended June 30, 2018, the Company incurred management fees of approximately $ 2.4 4.8 2.4 4.9 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 June 30, 2018 and December 31, 2017, 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 $ 3.5 6.7 1.7 3.5 2.8 5.6 1.7 3.4 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 53,751 As of June 30, 2018, the Company has granted an aggregate of 63,499 40,250 120,000 60,000 60,000 20,000 Director compensation Beginning in 2018, the Company pays a $ 160,000 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 hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo, Gordon, in such entities and has applied the equity method of accounting for such investments. As of June 30, 2018 and December 31, 2017, the Company’s share of these investments had a fair market value of $ 199.8 88.3 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 $ 18.4 17.9 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 47 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. On August 29, 2017, the Company, alongside private funds under the management of Angelo, Gordon entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $ 75.0 33.4 5.1 28.3 Transactions with affiliates 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 help our third-party servicers 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 periodically by a third party valuation firm for (i) non-performing loans and (ii) reperforming loans. For the three and six months ended June 30, 2018, the fees paid by the Company to the Asset Manager totaled $ 73,790 121,431 44,824 95,290 Arc Home may sell loans 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 MSRs that it either purchases from third parties or originates. The Company has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of its MSRs and as of June 30, 2018, these Excess MSRs had fair value of approximately $ 30.0 In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays a sourcing fee to Arc Home. For the three and six months ended June 30, 2018 the sourcing fees paid by the Company to Arc Home totaled $ 57,747 77,682 3,443 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 an 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 In July 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the “July Selling Affiliate”). As of the date of the trade, the securities acquired from the July Selling Affiliate had a total fair value of $ 0.2 In October 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and loans from two affiliates of the Manager (the “October Selling Affiliates”). As of the date of the trade, the real estate securities and loans acquired from the October Selling Affiliates had a total fair value of $ 8.4 |
Equity
Equity | 6 Months Ended |
Jun. 30, 2018 | |
Equity [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | 12. Equity On May 2, 2018, the Company filed a shelf registration statement registering up to $ 750.0 650.0 Concurrently with the IPO in 2011, 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 On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the “ ” 100.0 460,932 8.6 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2018 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | 13. 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 Arc Home’s LLC Agreement and agreed to fund an initial capital commitment of $ 30.0 10.0 17.8 On February 28, 2017, the Company, alongside a private fund under the management of Angelo, Gordon, purchased a mezzanine loan and agreed to fund a commitment of $ 21.9 14.6 10.4 4.2 On August 29, 2017, the Company, alongside private funds under the management of Angelo, Gordon, entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $ 75.0 33.4 5.1 28.3 On March 29, 2018, the Company alongside private funds under the management of Angelo, Gordon, purchased a variable funding note issued pursuant to an indenture. The Company’s share of the total commitment to the variable funding note is $ 7.1 4.8 2.3 On June 8, 2018, the Company, alongside private funds under the management of Angelo, Gordon and other third parties, entered into a commitment to close on a commercial loan, subject to the satisfaction of certain conditions. The Company’s share of the commitment is $ 20.0 , the conditions had not been met, 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 accoun20
Summary of significant accounting policies (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017, 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. Due to broker does not include variation margin received on centrally cleared derivatives. See Note 8 for more detail. 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 pledged on centrally cleared derivatives. See Note 8 for more detail. |
Offering and Organization Costs [Policy Text Block] | Offering costs The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. |
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 remaining unrealized losses on securities at June 30, 2018 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 may aggregate 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 loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans 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. 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 or pool of loans 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, may be 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, Excess MSRs, and loans, including loans held through Mortgage Acquisition Holding I LLC (“MATH”) as discussed below. These 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 June 30, 2018 and December 31, 2017, these investments had a gross fair market value of $ 199.8 88.3 On December 9, 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 has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. As of June 30, 2018 and December 31, 2017, the Company’s interest in AG Arc had a fair market value of $ 18.4 17.9 On August 27, 2017, the Company, alongside private funds under the management of Angelo, Gordon, formed “MATH” to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”) to purchase predominantly “Non-QMs,” which are residential mortgage loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the CFPB. Non-QMs are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. In furtherance of this business, MATH’s sponsoring funds have agreed to provide up to $ 75.0 33.4 5.1 and 28.3 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. |
Accounting for excess mortgage servicing rights, Basis Of Accounting Policy [Policy Text Block] | Accounting for excess mortgage servicing rights The Company has acquired the right to receive the excess servicing spread related to Excess MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on derivative and other instruments, net.” The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR 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. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. 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 interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was 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 Excess MSR’s yield over its remaining life. 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, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. |
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. The Company entered into a resecuritization transaction which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE 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. See Note 3 below for more detail. 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.” |
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, interest-only securities and Excess MSRs). 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 may aggregate loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. The Company’s accrual of interest, discount accretion and premium amortization for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. |
Repurchase Agreements, Valuation, Policy [Policy Text Block] | Repurchase agreements The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements approximates fair value. 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 June 30, 2018 and December 31, 2017, the Company has met all margin call requirements. |
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 June 30, 2018 and December 31, 2017, 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 with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. See Note 8 for a discussion of this accounting treatment. 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 June 30, 2018, and December 31, 2017, the Company had no positions in U.S. Treasury securities. |
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. As of June 30, 2018, and December 31, 2017, the Company had no short positions in U.S. Treasury securities. |
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 11. |
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. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, “Income Taxes.” The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 10 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. 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 stock units. |
New Accounting Pronouncements, Policy [Policy Text Block] | 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. The adoption of this standard reclassified certain items on the Company’s consolidated statement of cash flows between the “Cash flows from Operating Activities” and the “Cash Flows from Investing Activities” line items as it pertains to the settlement of certain instruments. The Company adopted ASU 2016-15 in the first quarter of 2018 and applied the guidance retrospectively to its prior period consolidated statement of cash flows. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. The amendments in this update require that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. The adoption of this standard required the Company to reconcile changes in cash, cash equivalents, and restricted cash on the consolidated statement of cash flows. As a result, the Company no longer presents transfers between cash and cash equivalents and restricted cash in the statement of cash flows. The Company adopted ASU 2016-18 in the first quarter of 2018 and applied the guidance retrospectively to its prior period consolidated statement of cash flows. 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 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. In June 2018, the FASB issued ASU 201807, “Improvements to Nonemployee ShareBased Payment Accounting” (“ASU 2018-07”). The standard largely aligns the accounting for sharebased payment awards issued to employees and nonemployees. Equityclassified sharebased payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulativeeffect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard 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) | 6 Months Ended |
Jun. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule Of Real Estate Securities [Table Text Block] | The following table details the Company’s real estate securities portfolio as of June 30, 2018: Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,744,052,949 $ 52,134,603 $ 1,796,187,552 $ 1,100,504 $ (25,173,693) $ 1,772,114,363 3.87 % 3.45 % Fixed Rate CMO 48,555,453 373,443 48,928,896 - (763,693) 48,165,203 3.00 % 2.80 % ARM 112,452,842 249,941 112,702,783 - (1,922,206) 110,780,577 2.42 % 2.85 % Interest Only 657,244,631 (543,347,263) 113,897,368 1,859,804 (2,027,513) 113,729,659 3.75 % 7.75 % Total Agency: 2,562,305,875 (490,589,276) 2,071,716,599 2,960,308 (29,887,105) 2,044,789,802 3.76 % 3.64 % Credit Investments: Non-Agency RMBS 963,580,656 (200,563,564) 763,017,092 59,848,020 (3,789,337) 819,075,775 4.63 % 6.62 % Non-Agency RMBS Interest Only 335,341,583 (332,089,320) 3,252,263 141,996 (523,105) 2,871,154 0.53 % 15.84 % Total Non-Agency: 1,298,922,239 (532,652,884) 766,269,355 59,990,016 (4,312,442) 821,946,929 3.98 % 6.65 % ABS 39,817,063 (2,488,221) 37,328,842 445,154 (18,644) 37,755,352 8.84 % 9.00 % CMBS 212,840,112 (44,960,274) 167,879,838 1,102,784 (1,829,763) 167,152,859 5.93 % 6.50 % CMBS Interest Only 1,941,715,126 (1,901,631,424) 40,083,702 3,130,403 (31,800) 43,182,305 0.37 % 6.83 % Total CMBS: 2,154,555,238 (1,946,591,698) 207,963,540 4,233,187 (1,861,563) 210,335,164 0.81 % 6.57 % Total $ 6,055,600,415 $ (2,972,322,079) $ 3,083,278,336 $ 67,628,665 $ (36,079,754) $ 3,114,827,247 2.76 % 4.70 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “ (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, 2017: Gross Unrealized (1) Weighted Average Current Face Premium / Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,848,172,215 $ 81,133,356 $ 1,929,305,571 $ 5,124,870 $ (5,397,445) $ 1,929,032,996 3.79 % 3.13 % Fixed Rate CMO 52,263,914 406,502 52,670,416 280,340 - 52,950,756 3.00 % 2.79 % ARM 176,560,807 (834,745) 175,726,062 683,254 (21,920) 176,387,396 2.35 % 2.83 % Interest Only 644,238,995 (554,353,362) 89,885,633 1,608,431 (2,704,177) 88,789,887 3.27 % 6.84 % Total Agency: 2,721,235,931 (473,648,249) 2,247,587,682 7,696,895 (8,123,542) 2,247,161,035 3.56 % 3.25 % Credit Investments: Non-Agency RMBS 1,165,533,510 (228,542,116) 936,991,394 66,812,751 (2,210,053) 1,001,594,092 4.45 % 6.10 % Non-Agency RMBS Interest Only 371,297,100 (367,976,760) 3,320,340 129,480 (788,254) 2,661,566 0.30 % 10.49 % Total Non-Agency: 1,536,830,610 (596,518,876) 940,311,734 66,942,231 (2,998,307) 1,004,255,658 3.38 % 6.12 % ABS 40,655,000 (438,491) 40,216,509 741,044 - 40,957,553 7.61 % 8.27 % CMBS 221,305,103 (51,818,496) 169,486,607 1,059,546 (1,079,582) 169,466,571 5.58 % 6.23 % CMBS Interest Only 2,021,260,566 (1,974,312,498) 46,948,068 3,778,264 (24,398) 50,701,934 0.40 % 6.63 % Total CMBS: 2,242,565,669 (2,026,130,994) 216,434,675 4,837,810 (1,103,980) 220,168,505 0.80 % 6.32 % Total $ 6,541,287,210 $ (3,096,736,610) $ 3,444,550,600 $ 80,217,980 $ (12,225,829) $ 3,512,542,751 2.60 % 4.32 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item 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 June 30, 2018 and December 31, 2017: Less than 12 months Greater than 12 months As of Fair Value Unrealized Fair Value Unrealized June 30, 2018 $ 1,770,772,474 $ (32,717,705) $ 90,665,044 $ (3,362,049) December 31, 2017 1,116,925,170 (8,011,731) 188,434,092 (4,214,098) |
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 June 30, 2018: Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 67,308,265 $ 67,514,009 0.46 % Greater than one year and less than or equal to five years 158,976,558 161,662,626 2.59 % 19,417,060 18,534,551 3.02 % 429,040,535 416,209,542 1.82 % Greater than five years and less than or equal to ten years 1,412,577,947 1,435,730,973 3.89 % 94,312,599 95,362,817 4.02 % 412,502,055 385,059,655 3.13 % Greater than ten years 359,505,638 360,425,632 3.79 % - - - 161,186,590 142,778,531 5.59 % Total $ 1,931,060,143 $ 1,957,819,231 3.76 % $ 113,729,659 $ 113,897,368 3.75 % $ 1,070,037,445 $ 1,011,561,737 1.96 % (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, 2017: Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to 1 year $ - $ - - $ - $ - - $ 117,531,313 $ 117,804,751 2.15 % Greater than one year and less than or equal to five years 229,338,153 228,396,478 2.50 % 28,836,904 29,519,508 2.36 % 477,066,079 460,333,652 1.07 % Greater than five years and less than or equal to ten years 1,865,474,374 1,865,706,312 3.79 % 59,952,983 60,366,125 4.36 % 482,183,493 452,403,504 2.87 % Greater than ten years 63,558,621 63,599,259 3.50 % - - - 188,600,831 166,421,011 5.31 % Total $ 2,158,371,148 $ 2,157,702,049 3.64 % $ 88,789,887 $ 89,885,633 3.27 % $ 1,265,381,716 $ 1,196,962,918 1.89 % (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. |
Tabular Disclosure of Consolidate VIEs and Retained Tranches [Table Text Block] | The following table details certain information on the Company’s consolidated VIE as of June 30, 2018: Weighted Average Current Face Fair Value Coupon Yield Life Consolidated tranche (2) $ 13,872,792 $ 13,984,245 3.73 % 4.37 % 2.70 Retained tranche 8,519,101 6,345,307 3.52 % 17.46 % 8.87 Total resecuritized asset $ 22,391,893 $ 20,329,552 3.65 % 8.46 % 5.05 (1) Actual maturities of investments and loans 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) As of June 30, 2018, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS”. As of June 30, 2018, the Company has recorded secured financing of $ 14.0 The following table details certain information on the Company’s consolidated VIE as of December 31, 2017: Weighted Average Current Face Fair Value Coupon Yield Life Consolidated tranche (2) $ 16,354,718 $ 16,477,801 3.11 % 3.92 % 2.95 Retained tranche 8,617,903 6,100,571 4.28 % 15.48 % 9.04 Total resecuritized asset $ 24,972,621 $ 22,578,372 3.51 % 7.04 % 5.05 (1) Actual maturities of investments and loans 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) As of December 31, 2017, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS”. As of December 31, 2017, the Company has recorded secured financing of $ 16.5 The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to any VIE. |
Loans (Tables)
Loans (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Gain (Loss) on Investments [Line Items] | |
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 and six months ended June 30, 2018 and June 30, 2017, respectively: Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Beginning Balance $ 9,824,687 $ 18,725,471 $ 9,318,058 $ 18,281,517 Additions 36,442,554 - 36,442,554 - Accretion (542,322) (708,857) (1,032,951) (1,462,394) Reclassifications from/(to) non-accretable difference 824,509 1,909,368 1,821,767 3,381,708 Disposals (1,499,455) (9,584,506) (1,499,455) (9,859,355) Ending Balance $ 45,049,973 $ 10,341,476 $ 45,049,973 $ 10,341,476 |
Residential Mortgage Loans [Member] | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | The table below details certain information regarding the Company’s residential mortgage loan portfolio as of June 30, 2018: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 107,872,692 $ (16,328,505) $ 91,544,187 $ 1,706,872 $ (121,790) $ 93,129,269 4.14 % 6.80 % 7.85 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2017: Gross Unrealized (1) Weighted Average Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 25,675,566 $ (7,792,057) $ 17,883,509 $ 1,006,184 $ - $ 18,889,693 3.10 % 12.24 % 5.67 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Financing Receivable Credit Quality Indicators [Table Text Block] | The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of June 30, 2018 and December 31, 2017: June 30, 2018 December 31, 2017 Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 48,958,703 $ 57,015,094 $ 7,068,795 $ 9,543,318 Non-Performing 44,170,566 50,857,598 11,820,898 16,132,248 $ 93,129,269 $ 107,872,692 $ 18,889,693 $ 25,675,566 |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk within the Company’s mortgage loan portfolio: Concentration of Credit Risk June 30, 2018 December 31, 2017 Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: California 27 % 7 % New York 10 % 37 % Florida 8 % 1 % Maryland 5 % 7 % New Jersey 5 % 6 % |
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 June 30, 2018. Gross Unrealized (1) Weighted Average Loan (2) (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) Initial Stated Extended Location Loan B (3) $ 32,800,000 $ - $ 32,800,000 $ - $ - $ 32,800,000 6.76 % 7.14 % 1.03 July 1, 2016 July 1, 2019 TX Loan F (4) 10,416,666 (17,354) 10,399,312 17,354 - 10,416,666 13.05 % 15.02 % 0.20 September 9, 2018 September 9, 2019 MN $ 43,216,666 $ (17,354) $ 43,199,312 $ 17,354 $ - $ 43,216,666 8.28 % 9.04 % 0.83 (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 E paid off at par in Q2 2018, with the Company receiving $ 14.5 31.8 1.0 (4) Loan F is a mezzanine loan of up to $ 14.6 10.4 (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, 2017. Gross Unrealized (1) Weighted Average Loan (7) Current Face Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) Initial Stated Extended Location Loan B (2) $ 32,800,000 $ - $ 32,800,000 $ - $ - $ 32,800,000 6.14 % 6.52 % 1.53 July 1, 2016 July 1, 2019 TX Loan E (3) 14,521,806 (1,027,510) 13,494,296 809,684 - 14,303,980 9.83 % 12.70 % 3.01 April 9, 2017 April 9, 2021 Various Loan F (4) 10,416,666 (76,512) 10,340,154 76,512 - 10,416,666 12.43 % 13.98 % 0.70 September 9, 2018 September 9, 2019 MN $ 57,738,472 $ (1,104,022) $ 56,634,450 $ 886,196 $ - $ 57,520,646 8.20 % 9.41 % 1.76 (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 “ (2) Loan B is comprised of a first mortgage and mezzanine loan of $ 31.8 1.0 (3) Loan E is a mezzanine loan. As of December 31, 2017, Loan E has been extended to April 9, 2018. (4) Loan F is a mezzanine loan of up to $ 14.6 10.4 (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. |
Excess MSRs (Tables)
Excess MSRs (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Excess Mortgage Servicing Rights [Member] | |
Disclosure of Excess MSRs [Line Items] | |
Schedule Of Excess Mortgage Servicing Rights [Table Text Block] | The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2018. Gross Unrealized (1) Weighted Average Unpaid Amortized Gains Losses Fair Value Yield Life (Years) Agency Excess MSRs $ 3,785,622,348 $ 28,537,117 $ 1,422,916 $ (934,417) $ 29,025,616 10.97 % 7.0 Credit Excess MSRs 45,265,798 241,862 21,777 (7,490) 256,149 24.07 % 4.9 Total Excess MSRs $ 3,830,888,146 $ 28,778,979 $ 1,444,693 $ (941,907) $ 29,281,765 11.08 % 7.0 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2017. Gross Unrealized (1) Weighted Average Unpaid Amortized Gains Losses Fair Value Yield Life (Years) Agency Excess MSRs $ 768,385,219 $ 4,478,816 $ 333,019 $ (11,127) $ 4,800,708 12.23 % 6.3 Credit Excess MSRs 50,307,900 258,460 24,346 - 282,806 21.87 % 5.0 Total Excess MSRs $ 818,693,119 $ 4,737,276 $ 357,365 $ (11,127) $ 5,083,514 12.76 % 6.2 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
Fair value measurements (Tables
Fair value measurements (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018: Fair Value at June 30, 2018 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 1,772,114,363 $ - $ 1,772,114,363 Fixed Rate CMO - 48,165,203 - 48,165,203 ARM - 110,780,577 - 110,780,577 Interest Only - 113,729,659 - 113,729,659 Credit Investments: Non-Agency RMBS - 32,968,019 786,107,756 819,075,775 Non-Agency RMBS Interest Only - - 2,871,154 2,871,154 ABS - - 37,755,352 37,755,352 CMBS - 7,321,017 159,831,842 167,152,859 CMBS Interest Only - - 43,182,305 43,182,305 Residential mortgage loans - - 93,129,269 93,129,269 Commercial loans - - 43,216,666 43,216,666 Excess mortgage servicing rights - - 29,281,765 29,281,765 Derivative assets - 4,222,706 - 4,222,706 AG Arc - - 18,352,632 18,352,632 Total Assets Carried at Fair Value $ - $ 2,089,301,544 $ 1,213,728,741 $ 3,303,030,285 Liabilities: Securitized debt $ - $ - $ (13,984,245) $ (13,984,245) Derivative liabilities - (625,990) - (625,990) Total Liabilities Carried at Fair Value $ - $ (625,990) $ (13,984,245) $ (14,610,235) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2017: Fair Value at December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ - $ 1,929,032,996 $ - $ 1,929,032,996 Fixed Rate CMO - 52,950,756 - 52,950,756 ARM - 176,387,396 - 176,387,396 Interest Only - 88,789,887 - 88,789,887 Credit Investments: Non-Agency RMBS - 156,170,350 845,423,742 1,001,594,092 Non-Agency RMBS Interest Only - - 2,661,566 2,661,566 ABS - - 40,957,553 40,957,553 CMBS - 8,216,506 161,250,065 169,466,571 CMBS Interest Only - - 50,701,934 50,701,934 Residential mortgage loans - - 18,889,693 18,889,693 Commercial loans - - 57,520,646 57,520,646 Excess mortgage servicing rights - - 5,083,514 5,083,514 Derivative assets 110,063 2,017,007 - 2,127,070 AG Arc - - 17,911,091 17,911,091 Total Assets Carried at Fair Value $ 110,063 $ 2,413,564,898 $ 1,200,399,804 $ 3,614,074,765 Liabilities: Securitized debt $ - $ - $ (16,477,801) $ (16,477,801) Securities borrowed under reverse repurchase agreements - (24,379,356) - (24,379,356) Derivative liabilities - (450,208) - (450,208) Total Liabilities Carried at Fair Value $ - $ (24,829,564) $ (16,477,801) $ (41,307,365) |
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 June 30, 2018 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning balance $ 730,919,118 $ 2,912,380 $ 35,838,056 $ 182,970,152 $ 48,624,976 $ 19,872,126 $ 57,665,864 $ 30,746,462 $ 18,438,220 $ (15,496,402) Transfers (1): Transfers into level 3 93,950,988 - - - - - - - - - Purchases/Transfers 2,290,922 - 2,628,040 26,056,250 - 105,041,253 - (209,070) - - Proceeds from sales/redemptions (6,683,073) - - - (4,658,476) (30,831,907) - - - - Proceeds from settlement (31,612,092) - (736,946) (48,240,806) - (1,072,865) (14,521,806) (178,576) - 1,487,850 Total net gains/(losses) (2) Included in net income (2,758,107) (41,226) 26,202 (953,754) (784,195) 120,662 72,608 (1,077,051) (85,588) 24,307 Ending Balance $ 786,107,756 $ 2,871,154 $ 37,755,352 $ 159,831,842 $ 43,182,305 $ 93,129,269 $ 43,216,666 $ 29,281,765 $ 18,352,632 $ (13,984,245) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) $ (2,721,807) $ (41,226) $ 26,202 $ (1,026,231) $ (550,652) $ (581,143) $ (145,218) $ (1,077,051) $ (85,588) $ 24,307 (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2018, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) 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 $ (5,771,704) Unrealized gain/(loss) on derivative and other instruments, net (427,515) Net realized gain/(loss) 828,665 Equity in earnings/(loss) from affiliates (85,588) Total $ (5,456,142) (3) 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 $ (5,665,304) Unrealized gain/(loss) on derivative and other instruments, net (427,515) Equity in earnings/(loss) from affiliates (85,588) Total $ (6,178,407) Three Months Ended June 30, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning 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 $ 13,010,453 $ (19,948,739) Transfers (1): Transfers into level 3 70,603,992 - - - - - - - - Transfers out of level 3 (51,307,381) - - - - - - - - Purchases/Transfers 215,073,421 - 39,717,021 15,000,001 - - - 1,858,979 - Capital contributions - - - - - - - - 4,459,000 Proceeds from sales/redemptions (61,084,219) - (9,311,530) - - (9,248,143) - - - Proceeds from settlement (86,015,924) - (3,984,154) (108,799) - (4,631,367) (1,176,506) (176,923) - 1,171,856 Total net gains/(losses) (2) Included in net income 13,661,665 (344,553) 330,577 551,831 (116,288) 1,078,832 196,124 48,322 243,104 (1,286) Ending Balance $ 863,020,902 $ 3,213,397 $ 47,917,356 $ 137,658,327 $ 52,805,639 $ 23,455,233 $ 57,294,106 $ 2,786,501 $ 17,712,557 $ (18,778,169) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2017 (3) $ 14,997,601 $ (344,553) $ (95,002) $ 897,090 $ (116,288) $ (913,062) $ 196,124 $ 48,322 $ 243,104 $ (1,286) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2017, the Company transferred 6 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ 15,783,215 Unrealized gain/(loss) on derivative and other instruments, net (1,286) Net realized gain/(loss) (376,705) Equity in earnings/(loss) from affiliates 243,104 Total $ 15,648,328 (3) 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 $ 14,670,232 Unrealized gain/(loss) on derivative and other instruments, net (1,286) Equity in earnings/(loss) from affiliates 243,104 Total $ 14,912,050 Six Months Ended June 30, 2018 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized Beginning balance $ 845,423,742 $ 2,661,566 $ 40,957,553 $ 161,250,065 $ 50,701,934 $ 18,889,693 $ 57,520,646 $ 5,083,514 $ 17,911,091 $ (16,477,801) Transfers (1): Transfers into level 3 101,985,493 - - - - - - - - - Transfers out of level 3 - - - (6,951,115) - - - - - - Purchases/Transfers 93,876,423 - 5,596,268 56,256,250 - 105,041,253 - 25,162,285 - - Proceeds from sales/redemptions (184,804,178) - - - (4,658,476) (30,831,907) - - - - Proceeds from settlement (69,562,698) - (8,710,793) (49,144,767) - (1,255,512) (14,521,806) (512,212) - 2,481,926 Total net gains/(losses) (2) Included in net income (811,026) 209,588 (87,676) (1,578,591) (2,861,153) 1,285,742 217,826 (451,822) 441,541 11,630 Ending Balance $ 786,107,756 $ 2,871,154 $ 37,755,352 $ 159,831,842 $ 43,182,305 $ 93,129,269 $ 43,216,666 $ 29,281,765 $ 18,352,632 $ (13,984,245) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) $ (1,697,476) $ 229,918 $ (69,140) $ (1,651,068) $ (2,627,610) $ 583,937 $ - $ (451,822) $ 441,541 $ 11,630 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2018, the Company transferred 8 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ (9,095,280) Unrealized gain/(loss) on derivative and other instruments, net (440,192) Net realized gain/(loss) 5,469,990 Equity in earnings/(loss) from affiliates 441,541 Total $ (3,623,941) (3) 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 $ (5,231,439) Unrealized gain/(loss) on derivative and other instruments, net (440,192) Equity in earnings/(loss) from affiliates 441,541 Total $ (5,230,090) Six Months Ended June 30, 2017 Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess 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 $ 12,894,819 $ (21,491,710) $ (1,800,000) Transfers (1): Transfers into level 3 156,247,235 - - - - - - - - - - Transfers out of level 3 (87,193,669) - - - - - - - - - - Purchases/Transfers 257,276,811 - 46,447,667 18,568,750 - - 10,270,833 2,565,344 - - - Capital contributions - - - - - - - - 4,459,000 - - Proceeds from sales/redemptions (84,759,581) - (16,977,157) (4,533,594) - (10,102,590) - - - - - Proceeds from settlement (115,376,445) - (3,984,154) (8,594,055) - (5,297,349) (13,534,402) (187,287) - 2,747,475 1,954,927 Total net gains/(losses) (2) Included in net income 19,066,017 (548,049) 1,199,044 1,427,611 668,913 659,596 488,875 (4,204) 358,738 (33,934) (154,927) Ending Balance $ 863,020,902 $ 3,213,397 $ 47,917,356 $ 137,658,327 $ 52,805,639 $ 23,455,233 $ 57,294,106 $ 2,786,501 $ 17,712,557 $ (18,778,169) $ - Change in unrealized appreciation/(depreciation) for level 3 assets still held as of June 30, 2017 (3) $ 20,392,109 $ (548,049) $ 743,730 $ 1,857,762 $ 668,913 $ (1,401,691) $ 432,666 $ (4,204) $ 358,738 $ (33,934) $ - (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2017, the Company transferred 12 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 8 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) 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 $ 23,619,676 Unrealized gain/(loss) on derivative and other instruments, net (188,861) Net realized gain/(loss) (661,873) Equity in earnings/(loss) from affiliates 358,738 Total $ 23,127,680 (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 $ 22,141,236 Unrealized gain/(loss) on derivative and other instruments, net (33,934) Equity in earnings/(loss) from affiliates 358,738 Total $ 22,466,040 Refer to the tables above for details on transfers between the Level 3 and Level 2 categories under 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. |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block] | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at Valuation Technique Unobservable Input Range Yield 2.74% - 31.75% (4.66%) Non-Agency RMBS $ 761,543,614 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 30.00% (11.60%) Projected Collateral Losses 0.00% - 30.00% (2.69%) Projected Collateral Severities 0.00% - 100.00% (31.67%) $ 24,564,142 Consensus Pricing Offered Quotes 75.25 - 98.56 (83.28) Yield 7.00% - 25.00% (22.10%) Non-Agency RMBS Interest Only $ 2,871,154 Discounted Cash Flow Projected Collateral Prepayments 9.50% - 18.00% (16.75%) Projected Collateral Losses 0.75% - 1.50% (1.41%) Projected Collateral Severities 10.00% - 65.00% (17.43%) Yield 6.19% - 6.19% (6.19%) ABS $ 32,925,013 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (23.27%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 4,830,339 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 5.58% - 8.66% (6.93%) CMBS $ 156,869,879 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 2,961,963 Consensus Pricing Offered Quotes 4.28 - 8.77 (7.64) Yield 3.48% - 6.31% (4.74%) CMBS Interest Only $ 43,182,305 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.90%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.50% - 9.00% (7.93%) Residential Mortgage Loans $ 16,822,776 Discounted Cash Flow Projected Collateral Prepayments 3.65% - 4.82% (4.22%) Projected Collateral Losses 3.60% - 6.01% (3.90%) Projected Collateral Severities 14.69% - 31.45% (18.29%) $ 76,306,493 Recent Transaction Cost N/A Yield 7.14% - 7.14% (7.14%) Commercial Loans $ 32,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 10,416,666 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 8.50% - 11.57% (9.19%) Excess Mortgage Servicing Rights $ 29,025,616 Discounted Cash Flow Projected Collateral Prepayments 6.20% - 10.01% (8.07%) $ 256,149 Consensus Pricing Offered Quotes 0.03 - 0.53 (0.50) AG Arc $ 18,352,632 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.98% - 3.98% (3.98%) Securitized debt $ (13,984,245) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.00% (10.00%) Projected Collateral Losses 3.00% - 3.00% (3.00%) Projected Collateral Severities 45.00% - 45.00% (45.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2018. Asset Class Fair Value at Valuation Technique Unobservable Input Range Yield 0.94% - 31.75% (4.49%) Non-Agency RMBS $ 783,880,884 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 35.00% (10.50%) Projected Collateral Losses 0.00% - 50.00% (3.25%) Projected Collateral Severities 0.00% - 100.00% (34.77%) $ 14,794,010 Consensus Pricing Offered Quotes 74.75 - 74.75 (74.75) $ 46,748,848 Recent Transaction Recent Transaction N/A Yield 7.00% - 25.00% (22.34%) Non-Agency RMBS Interest Only $ 2,661,566 Discounted Cash Flow Projected Collateral Prepayments 10.50% - 18.00% (16.89%) Projected Collateral Losses 1.50% - 2.00% (1.57%) Projected Collateral Severities 10.00% - 40.00% (14.43%) Yield 4.62% - 9.83% (7.56%) ABS $ 40,957,533 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (22.62%) Projected Collateral Losses 0.00% - 2.00% (1.74%) Projected Collateral Severities 0.00% - 50.00% (43.45%) Yield -1.45% - 8.35% (6.24%) CMBS $ 157,684,840 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 3,565,225 Consensus Pricing Offered Quotes 6.20 - 7.60 (7.12) Yield 2.93% - 5.90% (4.43%) CMBS Interest Only $ 50,701,934 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.25% - 9.00% (7.81%) Residential Mortgage Loans $ 18,889,693 Discounted Cash Flow Projected Collateral Prepayments 2.98% - 5.05% (3.93%) Projected Collateral Losses 3.88% - 6.91% (4.27%) Projected Collateral Severities 20.21% - 37.25% (22.00%) Yield 6.52% - 6.52% (6.52%) Commercial Loans $ 32,800,000 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 24,720,646 Consensus Pricing Offered Quotes 98.50 - 100.00 (99.13) Yield 9.12% - 11.74% (10.29%) Excess Mortgage Servicing Rights $ 4,800,708 Discounted Cash Flow Projected Collateral Prepayments 7.59% - 11.85% (9.67%) $ 282,806 Consensus Pricing Offered Quotes 0.04 - 0.52 (0.48) AG Arc $ 17,911,091 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at Valuation Technique Unobservable Input Range Yield 3.23% - 3.23% (3.23%) Securitized debt $ (16,477,801) 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%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2017. |
Repurchase agreements (Tables)
Repurchase agreements (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 110,636,000 2.31 % 3.0 % $ 114,031,956 $ 115,775,602 $ 362,555 30 days or less 1,784,082,000 2.45 % 9.2 % 1,991,350,098 1,962,154,041 7,740,255 31-60 days 420,130,000 2.50 % 8.7 % 468,641,667 467,140,552 1,740,034 61-90 days 181,449,000 2.48 % 9.0 % 207,489,411 206,058,822 747,579 Greater than 180 days 49,475,000 3.11 % 16.1 % 59,213,101 59,632,409 40,138 Total / Weighted Average $ 2,545,772,000 2.47 % 9.0 % $ 2,840,726,233 $ 2,810,761,426 $ 10,630,561 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 128,779,000 1.80 % 3.2 % $ 133,012,426 $ 133,030,219 $ 375,987 30 days or less 2,105,103,000 1.94 % 9.6 % 2,361,573,884 2,302,744,090 8,406,811 31-60 days 611,763,000 1.76 % 7.6 % 677,310,405 670,307,102 2,131,225 61-90 days 32,445,000 3.04 % 25.9 % 43,850,631 42,711,854 300,842 91-180 days 1,131,000 3.21 % 22.7 % 1,462,574 1,478,767 1,296 Greater than 180 days 93,059,628 3.00 % 20.4 % 119,489,680 118,698,392 46,682 Total / Weighted Average $ 2,972,280,628 1.94 % 9.4 % $ 3,336,699,600 $ 3,268,970,424 $ 11,262,843 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of June 30, 2018: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Weighted Average Fair Value Amortized Cost Accrued Interest Greater than 180 days $ 66,613,881 4.11 % 4.15 % 26.1 % $ 90,133,713 $ 88,309,563 $ 60,997 The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 10,330,390 4.07 % 34.8 % $ 15,860,583 $ 14,870,542 $ 10,316 (1) As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company’s The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans as of June 30, 2018: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 4.24 % 33.5 % $ 32,800,000 $ 32,800,000 $ 276,922 (1) As of June 30, 2018, the weighted average rate equaled the weighted average funding cost on the Company’s The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2017: Repurchase Agreements Financial Instruments Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Weighted Average Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 21,796,000 3.70 % 33.5 % $ 32,800,000 $ 32,800,000 $ 203,633 (1) As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company’s |
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 June 30, 2018 and December 31, 2017, broken out by investment type: June 30, 2018 December 31, 2017 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 1,811,050,887 $ 2,118,615,429 Non-Agency RMBS 799,315,479 976,071,673 ABS 24,510,960 30,832,553 CMBS 205,848,907 211,179,945 Residential Mortgage Loans 90,133,713 15,860,583 Commercial Loans 32,800,000 32,800,000 Cash pledged (i.e., restricted cash) under repurchase agreements 11,495,756 12,155,251 Total collateral pledged under Repurchase agreements $ 2,975,155,702 $ 3,397,515,434 |
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 June 30, 2018 and December 31, 2017, broken out by investment type: June 30, 2018 December 31, 2017 Repurchase agreements secured by investments: Agency RMBS $ 1,712,500,000 $ 2,005,133,000 Non-Agency RMBS 653,525,000 784,896,628 ABS 18,495,000 22,761,000 CMBS 161,252,000 159,490,000 Residential Mortgage Loans 66,613,881 10,330,390 Commercial Loans 21,796,000 21,796,000 Gross Liability for Repurchase agreements $ 2,634,181,881 $ 3,004,407,018 |
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 $ 2,634,181,881 $ - $ 2,634,181,881 $ 2,634,181,881 $ - $ - 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, 2017: Gross Amounts Not Offset in the Description Gross Amounts of Gross Amounts Net Amounts of Liabilities Financial Cash Collateral Net Amount Repurchase Agreements $ 3,004,407,018 $ - $ 3,004,407,018 $ 3,004,407,018 $ - $ - |
Schedule Of Repurchase Agreement Counterparty [Table Text Block] | The following table presents information at June 30, 2018 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 RBC (Barbados) Trading Bank Corporation $ 37,141,335 24 5 % The following table presents information at December 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 RBC (Barbados) Trading Bank Corporation $ 45,239,399 26 6 % Barclays Capital Inc 39,358,150 13 6 % |
Derivatives (Tables)
Derivatives (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 Derivatives and Other Instruments Designation Balance Sheet Location June 30, 2018 December 31, 2017 Interest rate swaps (1) Non-Hedge Derivative assets, at fair value $ 2,853,609 $ 1,428,240 Interest rate swaps (1) Non-Hedge Derivative liabilities, at fair value (473,647) (450,208) Swaptions Non-Hedge Derivative assets, at fair value 971,831 362,202 TBAs Non-Hedge Derivative assets, at fair value 397,266 226,565 TBAs Non-Hedge Derivative liabilities, at fair value (152,343) - Short positions on U.S. Treasury Futures Non-Hedge Derivative assets, at fair value - 110,063 Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (2) - (24,379,356) (1) As of June 30, 2018, the Company applied a reduction in fair value of $ 62.2 1.9 19.5 0.6 (2) The Company’s “ Company’s |
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): June 30, 2018 December 31, 2017 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 2,396,000,000 $ 2,227,000,000 Notional amount of Swaptions 250,000,000 270,000,000 Net notional amount of TBAs 160,000,000 100,000,000 Notional amount of short positions on U.S. Treasury Futures (1) (20,000,000) (52,500,000) Notional amount of short positions on U.S. Treasuries - (24,668,000) (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: Non-hedge derivatives and Three Months Ended Three Months Ended Six Months Ended Six Months Ended other instruments gain/(loss): Statement of Operations Location June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 5,610,322 $ 2,027,635 $ 41,862,031 $ 3,258,849 Interest rate swaps, at fair value Net realized gain/(loss) 5,861,656 (8,082,738) 5,861,656 (8,082,738) Swaptions, at fair value Unrealized gain/(loss) on derivative and other instruments, net (383,517) - (31,746) - Swaptions, at fair value Net realized gain/(loss) - - 50,625 - U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 384,938 1,273,312 (109,419) 1,379,811 U.S. Treasury Futures Net realized gain/(loss) 66,820 (2,882,643) 739,600 (3,830,579) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net (409,370) (1,409,304) 18,357 (1,049,539) TBAs (1) Net realized gain/(loss) (208,086) 1,573,086 164,531 1,331,055 U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - - (94,004) (1,724,922) U.S. Treasuries Net realized gain/(loss) - - 131,375 1,730,547 (1) For the three months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $ 0.6 1.3 1.1 1.0 0.7 0.6 losses 1.1 0.8 |
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 June 30, 2018: Gross Amounts Not Offset in the Description (1) Gross Amounts of Gross Amounts Offset Net Amounts of Assets Financial Cash Collateral Net Amount Derivative Assets (2) Interest Rate Swaps $ 4,666,803 $ - $ 4,666,803 $ - $ 4,666,803 $ - Interest Rate Swaptions 971,831 - 971,831 - 500,000 471,831 TBAs 397,266 - 397,266 - - 397,266 Total Derivative Assets $ 6,035,900 $ - $ 6,035,900 $ - $ 5,166,803 $ 869,097 Derivative Liabilities (3) Interest Rate Swaps $ 277,398 $ - $ 277,398 $ - $ 277,398 $ - TBAs (152,343) - (152,343) - (152,343) - Total Derivative Liabilities $ 125,055 $ - $ 125,055 $ - $ 125,055 $ - (1) The Company applied a reduction in fair value of $62.2 million and $1.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $6,035,900 less accrued interest of $(1,813,194) for a total of $4,222,706. (3) Included in Derivative Liabilities on the consolidated balance sheet is $ 125,055 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, 2017: Gross Amounts Not Offset in the Description (1) Gross Amounts of Gross Amounts Offset Net Amounts of Assets Financial Cash Collateral Net Amount Receivable Under Reverse Repurchase Agreements $ 24,671,320 $ - $ 24,671,320 $ 24,379,356 $ - $ 291,964 Derivative Assets (2) Interest Rate Swaps $ 4,543,743 $ - $ 4,543,743 $ - $ 1,666,444 $ 2,877,299 Interest Rate Swaptions 362,202 - 362,202 - - 362,202 TBAs 226,565 - 226,565 - - 226,565 U.S. Treasury Futures - Short 110,063 - 110,063 - - 110,063 Total Derivative Assets $ 5,242,573 $ - $ 5,242,573 $ - $ 1,666,444 $ 3,576,129 Derivative Liabilities (3) Interest Rate Swaps $ (5,645) $ - $ (5,645) $ - $ (5,645) $ - Total Derivative Liabilities $ (5,645) $ - $ (5,645) $ - $ (5,645) $ - (1) The Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $ 5,242,573 (3,115,503) 2,127,070 (3) Included in Derivative Liabilities on the consolidated balance sheet is $ (5,645) (444,563) 450,208 |
Schedule of Interest Rate Derivatives [Table Text Block] | As of June 30, 2018, 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 June 30, 2018: Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2019 $ 170,000,000 1.36 % 2.34 % 1.38 2020 540,000,000 1.64 % 2.34 % 1.88 2022 653,000,000 1.90 % 2.34 % 4.10 2023 149,000,000 2.94 % 2.35 % 4.90 2024 230,000,000 2.06 % 2.33 % 6.00 2025 125,000,000 2.87 % 2.34 % 6.88 2026 75,000,000 2.12 % 2.33 % 8.39 2027 264,000,000 2.35 % 2.34 % 9.19 2028 190,000,000 2.94 % 2.34 % 9.79 Total/Wtd Avg $ 2,396,000,000 2.07 % 2.34 % 4.93 As of December 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 December 31, 2017: Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2019 $ 170,000,000 1.36 % 1.43 % 1.88 2020 835,000,000 1.77 % 1.52 % 2.54 2022 653,000,000 1.90 % 1.51 % 4.59 2024 230,000,000 2.06 % 1.47 % 6.50 2026 75,000,000 2.12 % 1.44 % 8.89 2027 264,000,000 2.35 % 1.50 % 9.69 Total/Wtd Avg $ 2,227,000,000 1.89 % 1.50 % 4.56 |
Schedule Of To Be Announced Securities Activity [Table Text Block] | As discussed in Note 2, the Company has entered into TBAs. The following table presents information about the Company’s TBAs for the three and six months ended June 30, 2018 and June 30, 2017: For the Three Months Ended June 30, 2018 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 139,000,000 $ 316,000,000 $ (295,000,000) $ 160,000,000 $ 166,600,000 $ (166,202,734) $ 397,266 $ - TBAs - Short $ - $ 551,000,000 $ (551,000,000) $ - $ - $ (152,343) $ - $ (152,343) For the Three Months Ended June 30, 2017 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 90,000,000 $ 891,000,000 $ (681,000,000) $ 300,000,000 $ 309,964,840 $ (311,438,243) $ 295,629 $ (1,769,032) TBAs - Short $ - $ - $ - $ - $ - $ - $ - $ - For the Six Months Ended June 30, 2018 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 100,000,000 $ 951,000,000 $ (891,000,000) $ 160,000,000 $ 166,600,000 $ (166,202,734) $ 397,266 $ - TBAs - Short $ - $ 854,000,000 $ (854,000,000) $ - $ - $ (152,343) $ - $ (152,343) For the Six Months Ended June 30, 2017 Beginning Buys or Covers Sales or Shorts Ending Notional Fair Value as of Receivable/(Payable) Derivative Derivative TBAs - Long $ 50,000,000 $ 1,176,000,000 $ (926,000,000) $ 300,000,000 $ 309,964,840 $ (311,438,243) $ 295,629 $ (1,769,032) TBAs - Short $ (75,000,000) $ 75,000,000 $ - $ - $ - $ - $ - $ - |
Earnings per share (Tables)
Earnings per share (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Schedule of Stockholders' Equity Note, Warrants or Rights [Table Text Block] | As of June 30, 2018 and June 30, 2017, the Company’s outstanding warrants and unvested restricted stock units were as follows: June 30, 2018 June 30, 2017 Outstanding warrants 1,007,500 1,007,500 Unvested restricted stock units previously granted to the Manager 60,000 20,003 |
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 and six months ended June 30, 2018 and June 30, 2017: Three Months Ended Three Months Ended Six Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 4,800,791 $ 29,803,777 $ 9,680,846 $ 51,554,085 Denominator: Basic weighted average common shares outstanding 28,200,928 27,724,183 28,198,315 27,713,104 Dilutive effect of restricted stock units 27,142 7,142 23,589 7,205 Diluted weighted average common shares outstanding 28,228,070 27,731,325 28,221,904 27,720,309 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.17 $ 1.08 $ 0.34 $ 1.86 Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.17 $ 1.07 $ 0.34 $ 1.86 |
Common Stock [Member] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following tables detail our common stock dividends for the six months ended June 30, 2018 and June 30, 2017: 2018 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2018 3/29/2018 4/30/2018 $ 0.475 6/18/2018 6/29/2018 7/31/2018 0.500 2017 Declaration Date Record Date Payment Date Dividend Per Share 3/10/2017 3/21/2017 4/28/2017 $ 0.475 6/8/2017 6/19/2017 7/31/2017 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 six months ended June 30, 2018 and June 30, 2017: 2018 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2018 2/28/2018 3/19/2018 $ 0.51563 8.25% Series A 5/15/2018 5/31/2018 6/18/2018 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2018 2/28/2018 3/19/2018 $ 0.50 8.00% Series B 5/15/2018 5/31/2018 6/18/2018 0.50 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 8.25% Series A 5/15/2017 5/31/2017 6/19/2017 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 8.00% Series B 5/15/2017 5/31/2017 6/19/2017 0.50 |
Summary of significant accoun28
Summary of significant accounting policies (Details Textual) - USD ($) | Dec. 09, 2015 | Aug. 29, 2017 | Aug. 27, 2017 | Apr. 25, 2017 | Jun. 30, 2018 | Dec. 31, 2017 | 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 | $ 129,378,242 | $ 99,696,347 | |||||||
Investments fair market value | 199,800,000 | 88,300,000 | |||||||
Amount Committed Under Long Term Purchase Commitment | $ 30,000,000 | $ 10,000,000 | |||||||
Long Term Purchase Commitment Funded, Amount | 5,100,000 | ||||||||
Investments, Fair Value Disclosure | $ 33,400,000 | ||||||||
Commercial Portfolio Segment [Member] | |||||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||||
Loans and Leases Receivable before Fees, Gross | $ 12,000,000 | $ 12,000,000 | |||||||
Mortgage Acquisition Trust [Member] | |||||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||||
Amount Committed Under Long Term Purchase Commitment | $ 75,000,000 | $ 75,000,000 | |||||||
Long-term Purchase Commitment, Amount | $ 33,400,000 | 28,300,000 | |||||||
Long Term Purchase Commitment Funded, Amount | 5,100,000 | ||||||||
Mortgage Acquisition Holding I LLC [Member] | |||||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||||
Long Term Purchase Commitment Funded, Amount | 5,100,000 | ||||||||
ARC Home LLC [Member] | |||||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||||
Investments in affiliates | $ 18,400,000 | $ 17,900,000 |
Real Estate Securities (Details
Real Estate Securities (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 6,055,600,415 | $ 6,541,287,210 | |
Premium/(Discount) | (2,972,322,079) | (3,096,736,610) | |
Amortized Cost | 3,083,278,336 | 3,444,550,600 | |
Gross Unrealized Gains | [1] | 67,628,665 | 80,217,980 |
Gross Unrealized Losses | [1] | (36,079,754) | (12,225,829) |
Fair Value | $ 3,114,827,247 | $ 3,512,542,751 | |
Weighted Average Coupon | [2] | 2.76% | 2.60% |
Weighted Average Yield | 4.70% | 4.32% | |
Agency RMBS: 30 Year Fixed Rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,744,052,949 | $ 1,848,172,215 | |
Premium/(Discount) | 52,134,603 | 81,133,356 | |
Amortized Cost | 1,796,187,552 | 1,929,305,571 | |
Gross Unrealized Gains | [1] | 1,100,504 | 5,124,870 |
Gross Unrealized Losses | [1] | (25,173,693) | (5,397,445) |
Fair Value | $ 1,772,114,363 | $ 1,929,032,996 | |
Weighted Average Coupon | [2] | 3.87% | 3.79% |
Weighted Average Yield | 3.45% | 3.13% | |
Agency RMBS: Fixed Rate CMO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 48,555,453 | $ 52,263,914 | |
Premium/(Discount) | 373,443 | 406,502 | |
Amortized Cost | 48,928,896 | 52,670,416 | |
Gross Unrealized Gains | [1] | 0 | 280,340 |
Gross Unrealized Losses | [1] | (763,693) | 0 |
Fair Value | $ 48,165,203 | $ 52,950,756 | |
Weighted Average Coupon | [2] | 3.00% | 3.00% |
Weighted Average Yield | 2.80% | 2.79% | |
Agency RMBS: ARM [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 112,452,842 | $ 176,560,807 | |
Premium/(Discount) | 249,941 | (834,745) | |
Amortized Cost | 112,702,783 | 175,726,062 | |
Gross Unrealized Gains | [1] | 0 | 683,254 |
Gross Unrealized Losses | [1] | (1,922,206) | (21,920) |
Fair Value | $ 110,780,577 | $ 176,387,396 | |
Weighted Average Coupon | [2] | 2.42% | 2.35% |
Weighted Average Yield | 2.85% | 2.83% | |
Agency RMBS: Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 657,244,631 | $ 644,238,995 | |
Premium/(Discount) | (543,347,263) | (554,353,362) | |
Amortized Cost | 113,897,368 | 89,885,633 | |
Gross Unrealized Gains | [1] | 1,859,804 | 1,608,431 |
Gross Unrealized Losses | [1] | (2,027,513) | (2,704,177) |
Fair Value | $ 113,729,659 | $ 88,789,887 | |
Weighted Average Coupon | [2] | 3.75% | 3.27% |
Weighted Average Yield | 7.75% | 6.84% | |
Credit Securities: Non-Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 963,580,656 | $ 1,165,533,510 | |
Premium/(Discount) | (200,563,564) | (228,542,116) | |
Amortized Cost | 763,017,092 | 936,991,394 | |
Gross Unrealized Gains | [1] | 59,848,020 | 66,812,751 |
Gross Unrealized Losses | [1] | (3,789,337) | (2,210,053) |
Fair Value | $ 819,075,775 | $ 1,001,594,092 | |
Weighted Average Coupon | [2] | 4.63% | 4.45% |
Weighted Average Yield | 6.62% | 6.10% | |
Credit Securities: Non-Agency RMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 335,341,583 | $ 371,297,100 | |
Premium/(Discount) | (332,089,320) | (367,976,760) | |
Amortized Cost | 3,252,263 | 3,320,340 | |
Gross Unrealized Gains | [1] | 141,996 | 129,480 |
Gross Unrealized Losses | [1] | (523,105) | (788,254) |
Fair Value | $ 2,871,154 | $ 2,661,566 | |
Weighted Average Coupon | [2] | 0.53% | 0.30% |
Weighted Average Yield | 15.84% | 10.49% | |
Credit Securities: ABS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 39,817,063 | $ 40,655,000 | |
Premium/(Discount) | (2,488,221) | (438,491) | |
Amortized Cost | 37,328,842 | 40,216,509 | |
Gross Unrealized Gains | [1] | 445,154 | 741,044 |
Gross Unrealized Losses | [1] | (18,644) | 0 |
Fair Value | $ 37,755,352 | $ 40,957,553 | |
Weighted Average Coupon | [2] | 8.84% | 7.61% |
Weighted Average Yield | 9.00% | 8.27% | |
Credit Securities: CMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 212,840,112 | $ 221,305,103 | |
Premium/(Discount) | (44,960,274) | (51,818,496) | |
Amortized Cost | 167,879,838 | 169,486,607 | |
Gross Unrealized Gains | [1] | 1,102,784 | 1,059,546 |
Gross Unrealized Losses | [1] | (1,829,763) | (1,079,582) |
Fair Value | $ 167,152,859 | $ 169,466,571 | |
Weighted Average Coupon | [2] | 5.93% | 5.58% |
Weighted Average Yield | 6.50% | 6.23% | |
Credit Securities: CMBS Interest Only [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,941,715,126 | $ 2,021,260,566 | |
Premium/(Discount) | (1,901,631,424) | (1,974,312,498) | |
Amortized Cost | 40,083,702 | 46,948,068 | |
Gross Unrealized Gains | [1] | 3,130,403 | 3,778,264 |
Gross Unrealized Losses | [1] | (31,800) | (24,398) |
Fair Value | $ 43,182,305 | $ 50,701,934 | |
Weighted Average Coupon | [2] | 0.37% | 0.40% |
Weighted Average Yield | 6.83% | 6.63% | |
Agency Residential Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 2,562,305,875 | $ 2,721,235,931 | |
Premium/(Discount) | (490,589,276) | (473,648,249) | |
Amortized Cost | 2,071,716,599 | 2,247,587,682 | |
Gross Unrealized Gains | [1] | 2,960,308 | 7,696,895 |
Gross Unrealized Losses | [1] | (29,887,105) | (8,123,542) |
Fair Value | $ 2,044,789,802 | $ 2,247,161,035 | |
Weighted Average Coupon | [2] | 3.76% | 3.56% |
Weighted Average Yield | 3.64% | 3.25% | |
Total Non Agency Residential Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 1,298,922,239 | $ 1,536,830,610 | |
Premium/(Discount) | (532,652,884) | (596,518,876) | |
Amortized Cost | 766,269,355 | 940,311,734 | |
Gross Unrealized Gains | [1] | 59,990,016 | 66,942,231 |
Gross Unrealized Losses | [1] | (4,312,442) | (2,998,307) |
Fair Value | $ 821,946,929 | $ 1,004,255,658 | |
Weighted Average Coupon | [2] | 3.98% | 3.38% |
Weighted Average Yield | 6.65% | 6.12% | |
Total Commercial Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Current Face | $ 2,154,555,238 | $ 2,242,565,669 | |
Premium/(Discount) | (1,946,591,698) | (2,026,130,994) | |
Amortized Cost | 207,963,540 | 216,434,675 | |
Gross Unrealized Gains | [1] | 4,233,187 | 4,837,810 |
Gross Unrealized Losses | [1] | (1,861,563) | (1,103,980) |
Fair Value | $ 210,335,164 | $ 220,168,505 | |
Weighted Average Coupon | [2] | 0.81% | 0.80% |
Weighted Average Yield | 6.57% | 6.32% | |
[1] | The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item 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. |
Real Estate Securities (Detai30
Real Estate Securities (Details 1) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 months, Fair Value | $ 1,770,772,474 | $ 1,116,925,170 |
Less than 12 months, Unrealized Losses | (32,717,705) | (8,011,731) |
Greater than 12 months, Fair Value | 90,665,044 | 188,434,092 |
Greater than 12 months, Unrealized Losses | $ (3,362,049) | $ (4,214,098) |
Real Estate Securities (Detai31
Real Estate Securities (Details 2) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |
Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1],[2] | $ 1,931,060,143 | $ 2,158,371,148 |
Amortized Cost Total | [1],[2] | $ 1,957,819,231 | $ 2,157,702,049 |
Weighted Average Coupon Total | [1],[2] | 3.76% | 3.64% |
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] | $ 158,976,558 | $ 229,338,153 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[2] | $ 161,662,626 | $ 228,396,478 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[2] | 2.59% | 2.50% |
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] | $ 1,412,577,947 | $ 1,865,474,374 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[2] | $ 1,435,730,973 | $ 1,865,706,312 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[2] | 3.89% | 3.79% |
Agency RMBS [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1],[2] | $ 359,505,638 | $ 63,558,621 |
Amortized Cost Greater than ten years | [1],[2] | $ 360,425,632 | $ 63,599,259 |
Weighted Average Coupon Greater than ten years | [1],[2] | 3.79% | 3.50% |
Agency IO [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Total | [1] | $ 113,729,659 | $ 88,789,887 |
Amortized Cost Total | [1] | $ 113,897,368 | $ 89,885,633 |
Weighted Average Coupon Total | [1] | 3.75% | 3.27% |
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] | $ 19,417,060 | $ 28,836,904 |
Amortized Cost Greater than one year and less than or equal to five years | [1] | $ 18,534,551 | $ 29,519,508 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1] | 3.02% | 2.36% |
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] | $ 94,312,599 | $ 59,952,983 |
Amortized Cost Greater than five years and less than or equal to ten years | [1] | $ 95,362,817 | $ 60,366,125 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1] | 4.02% | 4.36% |
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] | $ 1,070,037,445 | $ 1,265,381,716 |
Amortized Cost Total | [1],[3] | $ 1,011,561,737 | $ 1,196,962,918 |
Weighted Average Coupon Total | [1],[3],[4] | 1.96% | 1.89% |
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] | $ 67,308,265 | $ 117,531,313 |
Amortized Cost Less than or equal to 1 year | [1],[3] | $ 67,514,009 | $ 117,804,751 |
Weighted Average Coupon Less than or equal to 1 year | [1],[3],[4] | 0.46% | 2.15% |
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] | $ 429,040,535 | $ 477,066,079 |
Amortized Cost Greater than one year and less than or equal to five years | [1],[3] | $ 416,209,542 | $ 460,333,652 |
Weighted Average Coupon Greater than one year and less than or equal to five years | [1],[3],[4] | 1.82% | 1.07% |
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] | $ 412,502,055 | $ 482,183,493 |
Amortized Cost Greater than five years and less than or equal to ten years | [1],[3] | $ 385,059,655 | $ 452,403,504 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | [1],[3],[4] | 3.13% | 2.87% |
Credit Securities [Member] | Greater than ten years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fair Value Greater than ten years | [1],[3] | $ 161,186,590 | $ 188,600,831 |
Amortized Cost Greater than ten years | [1],[3] | $ 142,778,531 | $ 166,421,011 |
Weighted Average Coupon Greater than ten years | [1],[3],[4] | 5.59% | 5.31% |
[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 Investments 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 (Detai32
Real Estate Securities (Details 3) - USD ($) | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2018 | Dec. 31, 2017 | ||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Investment Owned, Face Amount | $ 6,055,600,415 | $ 6,541,287,210 | |||
Available-for-sale Securities | $ 3,114,827,247 | $ 3,512,542,751 | |||
Securities Weighted Average Coupon | [1] | 2.76% | 2.60% | ||
Available For Sale Securities Weighted Average Yield Rate | 4.70% | 4.32% | |||
Resecuritized Asset [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Investment Owned, Face Amount | $ 22,391,893 | $ 24,972,621 | |||
Available-for-sale Securities | $ 20,329,552 | $ 22,578,372 | |||
Securities Weighted Average Coupon | 3.65% | 3.51% | |||
Available For Sale Securities Weighted Average Yield Rate | 8.46% | 7.04% | |||
Variable Interest Entity Weighted Average Life | [2] | 5 years 18 days | 5 years 18 days | ||
Retained tranche [Member] | Resecuritized Asset [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Investment Owned, Face Amount | $ 8,519,101 | $ 8,617,903 | |||
Available-for-sale Securities | $ 6,345,307 | $ 6,100,571 | |||
Securities Weighted Average Coupon | 3.52% | 4.28% | |||
Available For Sale Securities Weighted Average Yield Rate | 17.46% | 15.48% | |||
Variable Interest Entity Weighted Average Life | [2] | 8 years 10 months 13 days | 9 years 14 days | ||
Consolidated tranche [Member] | Resecuritized Asset [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Investment Owned, Face Amount | $ 13,872,792 | [3] | $ 16,354,718 | [4] | |
Available-for-sale Securities | $ 13,984,245 | [3] | $ 16,477,801 | [4] | |
Securities Weighted Average Coupon | 3.73% | [3] | 3.11% | [4] | |
Available For Sale Securities Weighted Average Yield Rate | 4.37% | [3] | 3.92% | [4] | |
Variable Interest Entity Weighted Average Life | [2] | 2 years 8 months 12 days | [3] | 2 years 11 months 12 days | [4] |
[1] | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. | ||||
[2] | Actual maturities of investments and loans 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. | ||||
[3] | As of June 30, 2018, the fair market value of the consolidated tranche is included in the Company's consolidated balance sheets as "Non-Agency RMBS". As of June 30, 2018, the Company has recorded secured financing of $14.0 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. | ||||
[4] | As of December 31, 2017, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS”. As of December 31, 2017, the Company has recorded secured financing of $16.5 million on the consolidated balance sheets in the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. |
Real Estate Securities (Detai33
Real Estate Securities (Details Textual) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018USD ($) | Jun. 30, 2017USD ($) | Jun. 30, 2018USD ($) | Jun. 30, 2017USD ($) | Dec. 31, 2017USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 700,000 | $ 900,000 | $ 1,700,000 | $ 1,900,000 | |
Proceeds from Sale of Available-for-sale Securities | 1,314,738,672 | 260,894,043 | |||
Other Secured Financings | 13,984,245 | 13,984,245 | $ 16,477,801 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities | $ 700,000 | $ 1,800,000 | $ 1,700,000 | $ 4,500,000 | |
Settled Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Number Of Securities Sold | 48 | 15 | 105 | 30 | |
Securities, Gross Realized Gains | $ 300,000 | $ 500,000 | $ 6,200,000 | $ 1,000,000 | |
Securities, Gross Realized Losses | 17,100,000 | 1,400,000 | 35,500,000 | 2,100,000 | |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | 700,000 | 1,100,000 | 1,100,000 | ||
Proceeds from Sale of Available-for-sale Securities | 586,300,000 | 141,800,000 | 1,300,000,000 | 260,900,000 | |
Fair Values of Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 900,000 | $ 2,600,000 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities | $ 500,000 | $ 1,700,000 |
Loans (Details)
Loans (Details) - Residential Mortgage Loans [Member] - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 107,872,692 | $ 25,675,566 | |
Premium (Discount) | (16,328,505) | (7,792,057) | |
Amortized Cost | 91,544,187 | 17,883,509 | |
Gross Unrealized Gains | [1] | 1,706,872 | 1,006,184 |
Gross Unrealized Losses | [1] | (121,790) | 0 |
Fair Value | $ 93,129,269 | $ 18,889,693 | |
Weighted Average Coupon | 4.14% | 3.10% | |
Weighted Average Yield | 6.80% | 12.24% | |
Weighted Average Useful Life (in years) | [2] | 7 years 10 months 6 days | 5 years 8 months 1 day |
[1] | The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||
[2] | Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Loans (Details 1)
Loans (Details 1) - Residential Mortgage Loans [Member] - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Fair Value | $ 93,129,269 | $ 18,889,693 |
Unpaid Principal Balance | 107,872,692 | 25,675,566 |
Re-Performing Financing Receivable [Member] | ||
Fair Value | 48,958,703 | 7,068,795 |
Unpaid Principal Balance | 57,015,094 | 9,543,318 |
Non-Performing Financing Receivable [Member] | ||
Fair Value | 44,170,566 | 11,820,898 |
Unpaid Principal Balance | $ 50,857,598 | $ 16,132,248 |
Loans (Details 2)
Loans (Details 2) - Accounts Receivable [Member] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 27.00% | 7.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 10.00% | 37.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 8.00% | 1.00% |
Maryland [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 5.00% | 7.00% |
New Jersey [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 5.00% | 6.00% |
Loans (Details 3)
Loans (Details 3) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Beginning Balance | $ 9,824,687 | $ 18,725,471 | $ 9,318,058 | $ 18,281,517 |
Additions | 36,442,554 | 0 | 36,442,554 | 0 |
Accretion | (542,322) | (708,857) | (1,032,951) | (1,462,394) |
Reclassifications from/(to) non-accretable difference | 824,509 | 1,909,368 | 1,821,767 | 3,381,708 |
Disposals | (1,499,455) | (9,584,506) | (1,499,455) | (9,859,355) |
Ending Balance | $ 45,049,973 | $ 10,341,476 | $ 45,049,973 | $ 10,341,476 |
Loans (Details 4)
Loans (Details 4) - Commercial Loan [Member] - Commercial Portfolio Segment [Member] - USD ($) | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2018 | [1] | Dec. 31, 2017 | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2] | $ 43,216,666 | $ 57,738,472 | ||
Premium (Discount), Commercial Loans | [2] | (17,354) | (1,104,022) | ||
Amortized Cost, Commercial Loans | [2] | 43,199,312 | 56,634,450 | ||
Gross Unrealized Gains, Commercial Loans | [2],[3] | 17,354 | 886,196 | ||
Gross Unrealized Losses, Commercial Loans | [2],[3] | 0 | 0 | ||
Fair Value, Commercial Loans | [2] | $ 43,216,666 | $ 57,520,646 | ||
Weighted Average Coupon, Commercial Loans | [2],[4] | 8.28% | 8.20% | ||
Weighted Average Yield, Commercial Loans | [2] | 9.04% | 9.41% | ||
Weighted Average Life (in years), Commercial Loans | [2],[5] | 9 months 29 days | 1 year 9 months 4 days | ||
Loan B [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2] | $ 32,800,000 | [6] | $ 32,800,000 | [7] |
Premium (Discount), Commercial Loans | [2] | 0 | [6] | 0 | [7] |
Amortized Cost, Commercial Loans | [2] | 32,800,000 | [6] | 32,800,000 | [7] |
Gross Unrealized Gains, Commercial Loans | [2],[3] | 0 | [6] | 0 | [7] |
Gross Unrealized Losses, Commercial Loans | [2],[3] | 0 | [6] | 0 | [7] |
Fair Value, Commercial Loans | [2] | $ 32,800,000 | [6] | $ 32,800,000 | [7] |
Weighted Average Coupon, Commercial Loans | [2],[4] | 6.76% | [6] | 6.14% | [7] |
Weighted Average Yield, Commercial Loans | [2] | 7.14% | [6] | 6.52% | [7] |
Weighted Average Life (in years), Commercial Loans | [2],[5] | 1 year 11 days | [6] | 1 year 6 months 11 days | [7] |
Initial Stated Maturity Date | [2] | Jul. 1, 2016 | [6] | Jul. 1, 2016 | [7] |
Extended Maturity Date | [2],[8] | Jul. 1, 2019 | [6] | Jul. 1, 2019 | [7] |
Loan E [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2],[9] | $ 14,521,806 | |||
Premium (Discount), Commercial Loans | [2],[9] | (1,027,510) | |||
Amortized Cost, Commercial Loans | [2],[9] | 13,494,296 | |||
Gross Unrealized Gains, Commercial Loans | [2],[3],[9] | 809,684 | |||
Gross Unrealized Losses, Commercial Loans | [2],[3],[9] | 0 | |||
Fair Value, Commercial Loans | [2],[9] | $ 14,303,980 | |||
Weighted Average Coupon, Commercial Loans | [2],[4],[9] | 9.83% | |||
Weighted Average Yield, Commercial Loans | [2],[9] | 12.70% | |||
Weighted Average Life (in years), Commercial Loans | [2],[5],[9] | 3 years 4 days | |||
Initial Stated Maturity Date | [2],[9] | Apr. 9, 2017 | |||
Extended Maturity Date | [2],[8],[9] | Apr. 9, 2021 | |||
Loan F [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Current Face, Commerical Loans | [2],[10] | $ 10,416,666 | $ 10,416,666 | ||
Premium (Discount), Commercial Loans | [2],[10] | (17,354) | (76,512) | ||
Amortized Cost, Commercial Loans | [2],[10] | 10,399,312 | 10,340,154 | ||
Gross Unrealized Gains, Commercial Loans | [2],[3],[10] | 17,354 | 76,512 | ||
Gross Unrealized Losses, Commercial Loans | [2],[3],[10] | 0 | 0 | ||
Fair Value, Commercial Loans | [2],[10] | $ 10,416,666 | $ 10,416,666 | ||
Weighted Average Coupon, Commercial Loans | [2],[4],[10] | 13.05% | 12.43% | ||
Weighted Average Yield, Commercial Loans | [2],[10] | 15.02% | 13.98% | ||
Weighted Average Life (in years), Commercial Loans | [2],[5],[10] | 2 months 12 days | 8 months 12 days | ||
Initial Stated Maturity Date | [2],[10] | Sep. 9, 2018 | Sep. 9, 2018 | ||
Extended Maturity Date | [2],[8],[10] | Sep. 9, 2019 | Sep. 9, 2019 | ||
[1] | Loan E paid off at par in Q2 2018, with the Company receiving $14.5 million of principal proceeds. | ||||
[2] | The Company has the contractual right to receive a balloon payment. | ||||
[3] | The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized stated above represents inception to date unrealized gains (losses). | ||||
[4] | Each commercial loan investment has a variable coupon rate. | ||||
[5] | Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. | ||||
[6] | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. As of June 30, 2018, Loan B has been extended to the extended maturity date shown above. | ||||
[7] | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. As of December 31, 2017, Loan B has been extended to the extended maturity date shown above. | ||||
[8] | Represents the maturity date of the last possible extension option. | ||||
[9] | Loan E is a mezzanine loan. As of December 31, 2017, Loan E has been extended to April 9, 2018. | ||||
[10] | Loan F is a mezzanine loan of up to $14.6 million, of which $10.4 million has been advanced. |
Loans (Details Textual)
Loans (Details Textual) - USD ($) | Jun. 08, 2018 | Feb. 28, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | Feb. 29, 2016 | Feb. 12, 2016 | ||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Proceeds from Sale of Loans Held-for-sale | $ 31,000,000 | $ 9,300,000 | $ 700,000 | $ 2,600,000 | ||||||||
Realized Gain On Sale of Loan | 2,600,000 | |||||||||||
Realized loss On Sale Of Loan | 100,000 | 200,000 | 100,000 | 300,000 | ||||||||
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 | |||||||||
Accretion of Purchase, Discount | 100,000 | 100,000 | 1,100,000 | 200,000 | ||||||||
Mortgage Loans in Process of Foreclosure, Amount | 11,100,000 | 11,100,000 | $ 9,100,000 | |||||||||
Residential Mortgage Loan Portfolio, Aggregate Unpaid Principal Balance | 86,300,000 | 86,300,000 | ||||||||||
Residential Mortgage Loan Portfolio, Acquisition Fair Value | 76,300,000 | 76,300,000 | ||||||||||
Unsettled Loan [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Proceeds from Sale of Loans Held-for-sale | $ 3,600,000 | |||||||||||
Commercial Portfolio Segment [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Loans and Leases Receivable before Fees, Gross | $ 12,000,000 | $ 12,000,000 | ||||||||||
Nonperforming Financing Receivable [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Loans Receivable, Fair Value Disclosure | 7,700,000 | 7,700,000 | ||||||||||
Impaired Financing Receivable, Unpaid Principal Balance | 9,800,000 | 9,800,000 | ||||||||||
Reperforming Financing Receivable [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Loans Receivable, Fair Value Disclosure | 8,100,000 | 8,100,000 | ||||||||||
Loans [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Other than Temporary Impairment Losses, Loan, Portion Recognized in Earnings, Net, Available-for-sale Securities | 400,000 | |||||||||||
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 | |||||||||||
Loan E [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Proceeds from Collection of Loans Receivable | 14,500,000 | |||||||||||
Loans Pools [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Other than Temporary Impairment Losses, Loan, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 400,000 | $ 400,000 | ||||||||||
Residential Mortgage Loans [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 107,872,692 | 107,872,692 | 25,675,566 | |||||||||
Loans Receivable, Fair Value Disclosure | 93,129,269 | 93,129,269 | 18,889,693 | |||||||||
Residential Mortgage Loans [Member] | Maximum [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 1,900,000 | 1,900,000 | 1,100,000 | |||||||||
Residential Mortgage Loans [Member] | Minimum [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | 10,000 | $ 10,000 | $ 9,000 | |||||||||
Commercial Loan [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Long-term Purchase Commitment, Amount | $ 20,000,000 | |||||||||||
Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Loan Receivable Commercial Weighted Average Coupon Rate | [1],[3] | 8.28% | [2] | 8.20% | ||||||||
Loan Receivable Commercial Weighted Average Yield | [3] | 9.04% | [2] | 9.41% | ||||||||
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 | $ 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 | 1,000,000 | |||||||||
Mezzanine Loan [Member] | Loan F [Member] | Maximum [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Long-term Purchase Commitment, Amount | 14,600,000 | 14,600,000 | ||||||||||
Mezzanine Loan [Member] | Loan F [Member] | Minimum [Member] | ||||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||||
Principal Amount Outstanding of Loans Held-in-portfolio, Total | $ 10,400,000 | $ 10,400,000 | $ 10,400,000 | |||||||||
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% | |||||||||||
[1] | Each commercial loan investment has a variable coupon rate. | |||||||||||
[2] | Loan E paid off at par in Q2 2018, with the Company receiving $14.5 million of principal proceeds. | |||||||||||
[3] | The Company has the contractual right to receive a balloon payment. |
Excess MSRs (Details)
Excess MSRs (Details) - Excess Mortgage Servicing Rights [Member] - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | ||
Disclosure of Excess MSRs [Line Items] | |||
Unpaid Principal Balance | $ 3,830,888,146 | $ 818,693,119 | |
Amortized Cost | 28,778,979 | 4,737,276 | |
Gross Unrealized Gains | [1] | 1,444,693 | 357,365 |
Gross Unrealized Losses | [1] | (941,907) | (11,127) |
Fair Value | $ 29,281,765 | $ 5,083,514 | |
Weighted Average Yield | 11.08% | 12.76% | |
Weighted Average Life (Years) | [2] | 7 years | 6 years 2 months 12 days |
Agency Excess MSRs [Member] | |||
Disclosure of Excess MSRs [Line Items] | |||
Unpaid Principal Balance | $ 3,785,622,348 | $ 768,385,219 | |
Amortized Cost | 28,537,117 | 4,478,816 | |
Gross Unrealized Gains | [1] | 1,422,916 | 333,019 |
Gross Unrealized Losses | [1] | (934,417) | (11,127) |
Fair Value | $ 29,025,616 | $ 4,800,708 | |
Weighted Average Yield | 10.97% | 12.23% | |
Weighted Average Life (Years) | [2] | 7 years | 6 years 3 months 18 days |
Credit Excess MSRs [Member] | |||
Disclosure of Excess MSRs [Line Items] | |||
Unpaid Principal Balance | $ 45,265,798 | $ 50,307,900 | |
Amortized Cost | 241,862 | 258,460 | |
Gross Unrealized Gains | [1] | 21,777 | 24,346 |
Gross Unrealized Losses | [1] | (7,490) | 0 |
Fair Value | $ 256,149 | $ 282,806 | |
Weighted Average Yield | 24.07% | 21.87% | |
Weighted Average Life (Years) | [2] | 4 years 10 months 24 days | 5 years |
[1] | The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). | ||
[2] | Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
Fair value measurements (Detail
Fair value measurements (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Assets, Fair Value Disclosure | $ 3,303,030,285 | $ 3,614,074,765 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (14,610,235) | (41,307,365) |
AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 18,352,632 | 17,911,091 |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,222,706 | 2,127,070 |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (625,990) | (450,208) |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,772,114,363 | 1,929,032,996 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 48,165,203 | 52,950,756 |
Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 110,780,577 | 176,387,396 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 113,729,659 | 88,789,887 |
Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 819,075,775 | 1,001,594,092 |
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,871,154 | 2,661,566 |
Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 37,755,352 | 40,957,553 |
Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 167,152,859 | 169,466,571 |
Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,182,305 | 50,701,934 |
Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 93,129,269 | 18,889,693 |
Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,216,666 | 57,520,646 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 29,281,765 | 5,083,514 |
Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (13,984,245) | (16,477,801) |
Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (24,379,356) | |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 110,063 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 110,063 |
Fair Value, Inputs, Level 1 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 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] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,089,301,544 | 2,413,564,898 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (625,990) | (24,829,564) |
Fair Value, Inputs, Level 2 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,222,706 | 2,017,007 |
Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (625,990) | (450,208) |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,772,114,363 | 1,929,032,996 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 48,165,203 | 52,950,756 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 110,780,577 | 176,387,396 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 113,729,659 | 88,789,887 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 32,968,019 | 156,170,350 |
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 | 7,321,017 | 8,216,506 |
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] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (24,379,356) | |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,213,728,741 | 1,200,399,804 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (13,984,245) | (16,477,801) |
Fair Value, Inputs, Level 3 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 18,352,632 | 17,911,091 |
Fair Value, Inputs, Level 3 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 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 | 786,107,756 | 845,423,742 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,871,154 | 2,661,566 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 37,755,352 | 40,957,553 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 159,831,842 | 161,250,065 |
Fair Value, Inputs, Level 3 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,182,305 | 50,701,934 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 93,129,269 | 18,889,693 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 43,216,666 | 57,520,646 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 29,281,765 | 5,083,514 |
Fair Value, Inputs, Level 3 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | $ (13,984,245) | (16,477,801) |
Fair Value, Inputs, Level 3 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | $ 0 |
Fair value measurements (Deta42
Fair value measurements (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |||||
Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | $ 18,889,693 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 105,041,253 | |||||||
Proceeds from sales/redemptions | (30,831,907) | |||||||
Proceeds from settlement | (1,255,512) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 1,285,742 | ||||||
Ending Balance | $ 93,129,269 | 93,129,269 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | 583,937 | ||||||
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 19,872,126 | $ 36,255,911 | $ 38,195,576 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 105,041,253 | 0 | 0 | |||||
Capital contributions | 0 | |||||||
Proceeds from sales/redemptions | (30,831,907) | (9,248,143) | (10,102,590) | |||||
Proceeds from settlement | (1,072,865) | (4,631,367) | (5,297,349) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 120,662 | 1,078,832 | 659,596 | ||||
Ending Balance | 93,129,269 | 23,455,233 | 93,129,269 | 23,455,233 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (581,143) | [3] | (913,062) | [3] | (1,401,691) | [2] | ||
Credit Investments: Non-Agency RMBS [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 845,423,742 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 101,985,493 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 93,876,423 | |||||||
Proceeds from sales/redemptions | (184,804,178) | |||||||
Proceeds from settlement | (69,562,698) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (811,026) | ||||||
Ending Balance | 786,107,756 | 786,107,756 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | (1,697,476) | ||||||
Credit Investments: Non-Agency RMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 730,919,118 | 762,089,348 | 717,760,534 | |||||
Transfers: | ||||||||
Transfers into level 3 | 93,950,988 | [4] | 70,603,992 | [5] | 156,247,235 | [6] | ||
Transfers out of level 3 | (51,307,381) | [5] | (87,193,669) | [6] | ||||
Purchases/Transfers | 2,290,922 | 215,073,421 | 257,276,811 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | (6,683,073) | (61,084,219) | (84,759,581) | |||||
Proceeds from settlement | (31,612,092) | (86,015,924) | (115,376,445) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (2,758,107) | 13,661,665 | 19,066,017 | ||||
Ending Balance | 786,107,756 | 863,020,902 | 786,107,756 | 863,020,902 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,721,807) | [3] | 14,997,601 | [3] | 20,392,109 | [2] | ||
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 2,661,566 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | 0 | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 209,588 | ||||||
Ending Balance | 2,871,154 | 2,871,154 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | 229,918 | ||||||
Credit Investments: Non-Agency RMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 2,912,380 | 3,557,950 | 3,761,446 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 0 | 0 | 0 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | 0 | 0 | 0 | |||||
Proceeds from settlement | 0 | 0 | 0 | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (41,226) | (344,553) | (548,049) | ||||
Ending Balance | 2,871,154 | 3,213,397 | 2,871,154 | 3,213,397 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (41,226) | [3] | (344,553) | [3] | (548,049) | [2] | ||
Credit Investments: ABS [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 40,957,553 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 5,596,268 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | (8,710,793) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (87,676) | ||||||
Ending Balance | 37,755,352 | 37,755,352 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | (69,140) | ||||||
Credit Investments: ABS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 35,838,056 | 21,165,442 | 21,231,956 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 2,628,040 | 39,717,021 | 46,447,667 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | 0 | (9,311,530) | (16,977,157) | |||||
Proceeds from settlement | (736,946) | (3,984,154) | (3,984,154) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 26,202 | 330,577 | 1,199,044 | ||||
Ending Balance | 37,755,352 | 47,917,356 | 37,755,352 | 47,917,356 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 26,202 | [3] | (95,002) | [3] | 743,730 | [2] | ||
CMBS [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 161,250,065 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | (6,951,115) | ||||||
Purchases/Transfers | 56,256,250 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | (49,144,767) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (1,578,591) | ||||||
Ending Balance | 159,831,842 | 159,831,842 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | (1,651,068) | ||||||
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 182,970,152 | 122,215,294 | 130,789,615 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 26,056,250 | 15,000,001 | 18,568,750 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | 0 | 0 | (4,533,594) | |||||
Proceeds from settlement | (48,240,806) | (108,799) | (8,594,055) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (953,754) | 551,831 | 1,427,611 | ||||
Ending Balance | 159,831,842 | 137,658,327 | 159,831,842 | 137,658,327 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,026,231) | [3] | 897,090 | [3] | 1,857,762 | [2] | ||
Credit Investment: CMBS Interest Only [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 50,701,934 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Proceeds from sales/redemptions | (4,658,476) | |||||||
Proceeds from settlement | 0 | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (2,861,153) | ||||||
Ending Balance | 43,182,305 | 43,182,305 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | (2,627,610) | ||||||
Credit Investment: CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 48,624,976 | 52,921,927 | 52,136,726 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 0 | 0 | 0 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | (4,658,476) | 0 | 0 | |||||
Proceeds from settlement | 0 | 0 | 0 | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (784,195) | (116,288) | 668,913 | ||||
Ending Balance | 43,182,305 | 52,805,639 | 43,182,305 | 52,805,639 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (550,652) | [3] | (116,288) | [3] | 668,913 | [2] | ||
Commercial Loans [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 57,520,646 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | (14,521,806) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 217,826 | ||||||
Ending Balance | 43,216,666 | 43,216,666 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | 0 | ||||||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 57,665,864 | 58,274,488 | 60,068,800 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 0 | 0 | 10,270,833 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | 0 | 0 | 0 | |||||
Proceeds from settlement | (14,521,806) | (1,176,506) | (13,534,402) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 72,608 | 196,124 | 488,875 | ||||
Ending Balance | 43,216,666 | 57,294,106 | 43,216,666 | 57,294,106 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (145,218) | [3] | 196,124 | [3] | 432,666 | [2] | ||
Excess Mortgage Servicing Rights [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 5,083,514 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 25,162,285 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | (512,212) | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (451,822) | ||||||
Ending Balance | 29,281,765 | 29,281,765 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | (451,822) | ||||||
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 30,746,462 | 1,056,123 | 412,648 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | (209,070) | 1,858,979 | 2,565,344 | |||||
Capital contributions | 0 | 0 | ||||||
Proceeds from sales/redemptions | 0 | 0 | 0 | |||||
Proceeds from settlement | (178,576) | (176,923) | (187,287) | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (1,077,051) | 48,322 | (4,204) | ||||
Ending Balance | 29,281,765 | 2,786,501 | 29,281,765 | 2,786,501 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,077,051) | [3] | 48,322 | [3] | (4,204) | [2] | ||
AG Arc [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 17,911,091 | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | 0 | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 441,541 | ||||||
Ending Balance | 18,352,632 | 18,352,632 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | 441,541 | ||||||
AG Arc [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | 18,438,220 | 13,010,453 | 12,894,819 | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 0 | 0 | 0 | |||||
Capital contributions | 4,459,000 | 4,459,000 | ||||||
Proceeds from sales/redemptions | 0 | 0 | 0 | |||||
Proceeds from settlement | 0 | 0 | 0 | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (85,588) | 243,104 | 358,738 | ||||
Ending Balance | 18,352,632 | 17,712,557 | 18,352,632 | 17,712,557 | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (85,588) | [3] | 243,104 | [3] | 358,738 | [2] | ||
Securitized Debt [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | (16,477,801) | |||||||
Transfers: | ||||||||
Transfers into level 3 | [1] | 0 | ||||||
Transfers out of level 3 | [1] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | 2,481,926 | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 11,630 | ||||||
Ending Balance | (13,984,245) | (13,984,245) | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [3] | 11,630 | ||||||
Securitized Debt [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | (15,496,402) | (19,948,739) | (21,491,710) | |||||
Transfers: | ||||||||
Transfers into level 3 | 0 | [4] | 0 | [5] | 0 | [6] | ||
Transfers out of level 3 | 0 | [5] | 0 | [6] | ||||
Purchases/Transfers | 0 | 0 | 0 | |||||
Capital contributions | 0 | |||||||
Proceeds from sales/redemptions | 0 | 0 | 0 | |||||
Proceeds from settlement | 1,487,850 | 1,171,856 | 2,747,475 | |||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | 24,307 | (1,286) | (33,934) | ||||
Ending Balance | (13,984,245) | (18,778,169) | $ (13,984,245) | (18,778,169) | ||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 24,307 | [3] | (1,286) | [3] | (33,934) | [2] | ||
Loan Participation Payable [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||||
Beginning balance | (1,800,000) | |||||||
Transfers: | ||||||||
Transfers into level 3 | [6] | 0 | ||||||
Transfers out of level 3 | [6] | 0 | ||||||
Purchases/Transfers | 0 | |||||||
Capital contributions | 0 | |||||||
Proceeds from sales/redemptions | 0 | |||||||
Proceeds from settlement | 1,954,927 | |||||||
Total net gains/(losses) | ||||||||
Included in net income | [2] | (154,927) | ||||||
Ending Balance | $ 0 | 0 | ||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | [2] | $ 0 | ||||||
[1] | Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2018, the Company transferred 8 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. | |||||||
[2] | Gains/(losses) are recorded in the following line items in the consolidated statement of operations | |||||||
[3] | Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations | |||||||
[4] | Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2018, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. | |||||||
[5] | Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2017, the Company transferred 6 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. | |||||||
[6] | Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2017, the Company transferred 12 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 8 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. |
Fair value measurements (Deta43
Fair value measurements (Details 2) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Condensed Income Statements, Captions [Line Items] | |||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | $ (6,178,407) | $ 14,912,050 | $ (5,230,090) | $ 22,466,040 | |
Unrealized gain/(loss) on derivative and other instruments, net | 41,871,242 | 1,801,297 | |||
Equity in earnings/(loss) from affiliates | 322,967 | $ 2,497,116 | 3,063,243 | 4,999,162 | |
Interest Income [Member] | |||||
Condensed Income Statements, Captions [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | (427,515) | (1,286) | (440,192) | (33,934) | |
Equity in earnings/(loss) from affiliates | (85,588) | 243,104 | 441,541 | 358,738 | |
Real Estate Securities And Loans [Member] | |||||
Condensed Income Statements, Captions [Line Items] | |||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | (5,665,304) | 14,670,232 | (5,231,439) | 22,141,236 | |
Fair Value, Inputs, Level 3 [Member] | |||||
Condensed Income Statements, Captions [Line Items] | |||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings, Total | (5,456,142) | 15,648,328 | (3,623,941) | 23,127,680 | |
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 | 828,665 | (376,705) | 5,469,990 | (661,873) | |
Fair Value, Inputs, Level 3 [Member] | Interest Income [Member] | |||||
Condensed Income Statements, Captions [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | (427,515) | (1,286) | (440,192) | (188,861) | |
Equity in earnings/(loss) from affiliates | (85,588) | 243,104 | 441,541 | 358,738 | |
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 | $ (5,771,704) | $ 15,783,215 | $ (9,095,280) | $ 23,619,676 |
Fair value measurements (Deta44
Fair value measurements (Details 3) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Measurements, Valuation Techniques | Valuation Technique | Valuation Technique |
Non-Agency RMBS | 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 | $ 761,543,614 | $ 783,880,884 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
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 | $ 24,564,142 | $ 14,794,010 |
Fair Value Measurements, Valuation Techniques | Consensus Pricing | Consensus Pricing |
Non-Agency RMBS | 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 | $ 46,748,848 | |
Fair Value Measurements, Valuation Techniques | Recent Transaction | |
Non-Agency RMBS | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 2.74% | 0.94% |
Fair Value Inputs, Prepayment Rate | 0.00% | 0.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
Non-Agency RMBS | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 75.25 | $ 74.75 |
Non-Agency RMBS | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 31.75% | 31.75% |
Fair Value Inputs, Prepayment Rate | 30.00% | 35.00% |
Fair Value Inputs, Collateral Losses | 30.00% | 50.00% |
Fair Value Inputs, Loss Severity | 100.00% | 100.00% |
Non-Agency RMBS | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 98.56 | $ 74.75 |
Non-Agency RMBS | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 4.66% | 4.49% |
Fair Value Inputs, Prepayment Rate | 11.60% | 10.50% |
Fair Value Inputs, Collateral Losses | 2.69% | 3.25% |
Fair Value Inputs, Loss Severity | 31.67% | 34.77% |
Non-Agency RMBS | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 83.28 | $ 74.75 |
Non-Agency RMBS Interest Only [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 | $ 2,871,154 | $ 2,661,566 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
Non-Agency RMBS Interest Only [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |
Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 7.00% | 7.00% |
Fair Value Inputs, Prepayment Rate | 9.50% | 10.50% |
Fair Value Inputs, Collateral Losses | 0.75% | 1.50% |
Fair Value Inputs, Loss Severity | 10.00% | 10.00% |
Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 25.00% | 25.00% |
Fair Value Inputs, Prepayment Rate | 18.00% | 18.00% |
Fair Value Inputs, Collateral Losses | 1.50% | 2.00% |
Fair Value Inputs, Loss Severity | 65.00% | 40.00% |
Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 22.10% | 22.34% |
Fair Value Inputs, Prepayment Rate | 16.75% | 16.89% |
Fair Value Inputs, Collateral Losses | 1.41% | 1.57% |
Fair Value Inputs, Loss Severity | 17.43% | 14.43% |
ABS [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 | $ 32,925,013 | $ 40,957,533 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
ABS [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 | $ 4,830,339 | |
Fair Value Measurements, Valuation Techniques | Consensus Pricing | |
ABS [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.19% | 4.62% |
Fair Value Inputs, Prepayment Rate | 20.00% | 20.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
ABS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 100 | |
ABS [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.19% | 9.83% |
Fair Value Inputs, Prepayment Rate | 40.00% | 40.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 2.00% |
Fair Value Inputs, Loss Severity | 0.00% | 50.00% |
ABS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 100 | |
ABS [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.19% | 7.56% |
Fair Value Inputs, Prepayment Rate | 23.27% | 22.62% |
Fair Value Inputs, Collateral Losses | 0.00% | 1.74% |
Fair Value Inputs, Loss Severity | 0.00% | 43.45% |
ABS [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 100 | |
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 | $ 156,869,879 | $ 157,684,840 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
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 | $ 2,961,963 | $ 3,565,225 |
Fair Value Measurements, Valuation Techniques | Consensus Pricing | Consensus Pricing |
CMBS [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 5.58% | (1.45%) |
Fair Value Inputs, Prepayment Rate | 0.00% | 0.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
CMBS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 4.28 | $ 6.20 |
CMBS [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 8.66% | 8.35% |
Fair Value Inputs, Prepayment Rate | 0.00% | 0.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
CMBS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 8.77 | $ 7.60 |
CMBS [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.93% | 6.24% |
Fair Value Inputs, Prepayment Rate | 0.00% | 0.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
CMBS Interest Only [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 | $ 43,182,305 | $ 50,701,934 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
CMBS Interest Only [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 3.48% | 2.93% |
Fair Value Inputs, Prepayment Rate | 99.00% | 100.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
CMBS Interest Only [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.31% | 5.90% |
Fair Value Inputs, Prepayment Rate | 100.00% | 100.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
CMBS Interest Only [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 4.74% | 4.43% |
Fair Value Inputs, Prepayment Rate | 99.90% | 100.00% |
Fair Value Inputs, Collateral Losses | 0.00% | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% | 0.00% |
Residential Mortgage Loans [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 | $ 16,822,776 | $ 18,889,693 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
Residential Mortgage Loans [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 | $ 76,306,493 | |
Fair Value Measurements, Valuation Techniques | Recent Transaction | |
Residential Mortgage Loans [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 6.50% | 6.25% |
Fair Value Inputs, Prepayment Rate | 3.65% | 2.98% |
Fair Value Inputs, Collateral Losses | 3.60% | 3.88% |
Fair Value Inputs, Loss Severity | 14.69% | 20.21% |
Residential Mortgage Loans [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 9.00% | 9.00% |
Fair Value Inputs, Prepayment Rate | 4.82% | 5.05% |
Fair Value Inputs, Collateral Losses | 6.01% | 6.91% |
Fair Value Inputs, Loss Severity | 31.45% | 37.25% |
Residential Mortgage Loans [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 7.93% | 7.81% |
Fair Value Inputs, Prepayment Rate | 4.22% | 3.93% |
Fair Value Inputs, Collateral Losses | 3.90% | 4.27% |
Fair Value Inputs, Loss Severity | 18.29% | 22.00% |
Commercial Loans [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 | $ 32,800,000 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
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 | $ 10,416,666 | $ 24,720,646 |
Fair Value Measurements, Valuation Techniques | Consensus Pricing | Consensus Pricing |
Fair Value Inputs, Offered Quotes | $ 100 | |
Commercial Loans [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 7.14% | 6.52% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Commercial Loans [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 100 | $ 98.50 |
Commercial Loans [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 7.14% | 6.52% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Commercial Loans [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 100 | $ 100 |
Commercial Loans [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 7.14% | 6.52% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Excess Mortgage Servicing Rights [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 | $ 29,025,616 | $ 4,800,708 |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
Excess Mortgage Servicing Rights [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 | $ 256,149 | $ 282,806 |
Fair Value Measurements, Valuation Techniques | Consensus Pricing | Consensus Pricing |
Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 8.50% | 9.12% |
Fair Value Inputs, Prepayment Rate | 6.20% | 7.59% |
Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 0.03 | $ 0.04 |
Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 11.57% | 11.74% |
Fair Value Inputs, Prepayment Rate | 10.01% | 11.85% |
Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 0.53 | $ 0.52 |
Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 9.19% | 10.29% |
Fair Value Inputs, Prepayment Rate | 8.07% | 9.67% |
Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 0.50 | |
Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Comparable Multiple [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Offered Quotes | $ 0.48 | |
Securitized debt [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 | $ (13,984,245) | $ (16,477,801) |
Fair Value Measurements, Valuation Techniques | Discounted Cash Flow | Discounted Cash Flow |
Fair Value Inputs, Discount Rate | 3.23% | |
Fair Value Inputs, Prepayment Rate | 14.00% | |
Fair Value Inputs, Collateral Losses | 7.00% | |
Fair Value Inputs, Loss Severity | 40.00% | |
Securitized debt [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 3.98% | 3.23% |
Fair Value Inputs, Prepayment Rate | 10.00% | 14.00% |
Fair Value Inputs, Collateral Losses | 3.00% | 7.00% |
Fair Value Inputs, Loss Severity | 45.00% | 40.00% |
Securitized debt [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 3.98% | 3.23% |
Fair Value Inputs, Prepayment Rate | 10.00% | 14.00% |
Fair Value Inputs, Collateral Losses | 3.00% | 7.00% |
Fair Value Inputs, Loss Severity | 45.00% | 40.00% |
Securitized debt [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value Inputs, Discount Rate | 3.98% | |
Fair Value Inputs, Prepayment Rate | 10.00% | |
Fair Value Inputs, Collateral Losses | 3.00% | |
Fair Value Inputs, Loss Severity | 45.00% | |
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 | $ 18,352,632 | $ 17,911,091 |
Fair Value Measurements, Valuation Techniques | Comparable Multiple | Comparable Multiple |
Book Value Multiple | 1 | 1 |
Fair value measurements (Deta45
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 ($) | Jun. 30, 2018 | Dec. 31, 2017 | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 2,545,772,000 | $ 2,972,280,628 | ||
Weighted Average Rate | 2.47% | 1.94% | ||
Weighted Average Haircut | 9.00% | 9.40% | ||
Fair Value Pledged | $ 2,840,726,233 | $ 3,336,699,600 | ||
Amortized Cost | 2,810,761,426 | 3,268,970,424 | ||
Accrued Interest | 10,630,561 | 11,262,843 | ||
Overnight [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 110,636,000 | $ 128,779,000 | ||
Weighted Average Rate | 2.31% | 1.80% | ||
Weighted Average Haircut | 3.00% | 3.20% | ||
Fair Value Pledged | $ 114,031,956 | $ 133,012,426 | ||
Amortized Cost | 115,775,602 | 133,030,219 | ||
Accrued Interest | 362,555 | 375,987 | ||
30 days or less [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 1,784,082,000 | $ 2,105,103,000 | ||
Weighted Average Rate | 2.45% | 1.94% | ||
Weighted Average Haircut | 9.20% | 9.60% | ||
Fair Value Pledged | $ 1,991,350,098 | $ 2,361,573,884 | ||
Amortized Cost | 1,962,154,041 | 2,302,744,090 | ||
Accrued Interest | 7,740,255 | 8,406,811 | ||
31-60 days [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 420,130,000 | $ 611,763,000 | ||
Weighted Average Rate | 2.50% | 1.76% | ||
Weighted Average Haircut | 8.70% | 7.60% | ||
Fair Value Pledged | $ 468,641,667 | $ 677,310,405 | ||
Amortized Cost | 467,140,552 | 670,307,102 | ||
Accrued Interest | 1,740,034 | 2,131,225 | ||
61-90 days [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 181,449,000 | $ 32,445,000 | ||
Weighted Average Rate | 2.48% | 3.04% | ||
Weighted Average Haircut | 9.00% | 25.90% | ||
Fair Value Pledged | $ 207,489,411 | $ 43,850,631 | ||
Amortized Cost | 206,058,822 | 42,711,854 | ||
Accrued Interest | 747,579 | 300,842 | ||
Maturity 91 to 180 Days [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 1,131,000 | |||
Weighted Average Rate | 3.21% | |||
Weighted Average Haircut | 22.70% | |||
Fair Value Pledged | $ 1,462,574 | |||
Amortized Cost | 1,478,767 | |||
Accrued Interest | 1,296 | |||
Maturity Over 180 Days [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 49,475,000 | $ 93,059,628 | ||
Weighted Average Rate | 3.11% | 3.00% | ||
Weighted Average Haircut | 16.10% | 20.40% | ||
Fair Value Pledged | $ 59,213,101 | $ 119,489,680 | ||
Amortized Cost | 59,632,409 | 118,698,392 | ||
Accrued Interest | 40,138 | 46,682 | ||
Maturity Over 180 Days [Member] | Residential Mortgage Loans [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Balance | $ 66,613,881 | $ 10,330,390 | ||
Weighted Average Rate | 4.11% | |||
Weighted Average Funding Cost | 4.15% | 4.07% | [1] | |
Weighted Average Haircut | 26.10% | 34.80% | ||
Fair Value Pledged | $ 90,133,713 | $ 15,860,583 | ||
Amortized Cost | 88,309,563 | 14,870,542 | ||
Accrued Interest | 60,997 | 10,316 | ||
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 and Funding Cost | 4.24% | [2] | 3.70% | [3] |
Weighted Average Haircut | 33.50% | 33.50% | ||
Fair Value Pledged | $ 32,800,000 | $ 32,800,000 | ||
Amortized Cost | 32,800,000 | 32,800,000 | ||
Accrued Interest | $ 276,922 | $ 203,633 | ||
[1] | As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company's repurchase agreements secured by residential mortgage loans as a result of the full recognition of deferred fee amounts. | |||
[2] | As of June 30, 2018, the weighted average rate equaled the weighted average funding cost on the Company's repurchase agreements secured by commercial loans as a result of the full recognition of deferred fee amounts. | |||
[3] | As of December 31, 2017, the weighted average rate equaled the weighted average funding cost on the Company's repurchase agreements secured by commercial loans as a result of the full recognition of deferred fee amounts. |
Repurchase agreements (Details
Repurchase agreements (Details 1) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Fair Value of investments pledged as collateral under repurchase agreements | ||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 11,495,756 | $ 12,155,251 |
Total collateral pledged under Repurchase agreements | 2,975,155,702 | 3,397,515,434 |
Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 1,811,050,887 | 2,118,615,429 |
Non-Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 799,315,479 | 976,071,673 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 24,510,960 | 30,832,553 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Trading Securities Pledged as Collateral | 205,848,907 | 211,179,945 |
Residential Mortgage Loans [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Loans Pledged as Collateral | 90,133,713 | 15,860,583 |
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 (Detail48
Repurchase agreements (Details 2) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | $ 2,634,181,881 | $ 3,004,407,018 |
Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 1,712,500,000 | 2,005,133,000 |
Non-Agency RMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 653,525,000 | 784,896,628 |
ABS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 18,495,000 | 22,761,000 |
CMBS [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 161,252,000 | 159,490,000 |
Residential Mortgage Loans [Member] | Repurchase Agreement [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for Repurchase agreements | 66,613,881 | 10,330,390 |
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 (Detail49
Repurchase agreements (Details 3) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | $ 2,634,181,881 | $ 3,004,407,018 |
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Repurchase Agreements | 2,634,181,881 | 3,004,407,018 |
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 | 2,634,181,881 | 3,004,407,018 |
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 | 2,634,181,881 | 3,004,407,018 |
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 (Detail50
Repurchase agreements (Details 4) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
RBC Capital Markets [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 37,141,335 | $ 45,239,399 |
Weighted Average Maturity (days) | 24 days | 26 days |
Percentage of Stockholders' Equity | 5.00% | 6.00% |
Barclays Capital Inc [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 39,358,150 | |
Weighted Average Maturity (days) | 13 days | |
Percentage of Stockholders' Equity | 6.00% |
Repurchase agreements (Detail51
Repurchase agreements (Details Textual) - USD ($) $ in Millions | 1 Months Ended | ||
Jun. 30, 2018 | Dec. 31, 2017 | Aug. 04, 2015 | |
Wells Fargo Bank, N.A [Member] | |||
Repurchase Agreement Disclosure [Line Items] | |||
Debt Instrument, Covenant Description | In the event the debt outstanding under the WFB1 Repurchase Agreement falls below $7.0 million, a cash trap trigger event will occur in which all income payments received by Wells Fargo will be applied against the outstanding balance until the WFB1 Repurchase Agreement is paid off. | ||
Wells Fargo Bank, N.A [Member] | Maximum [Member] | |||
Repurchase Agreement Disclosure [Line Items] | |||
Maximum borrowing capacity on renewal of repurchase agreement | $ 110 | ||
AG MIT WFB1 [Member] | |||
Repurchase Agreement Disclosure [Line Items] | |||
Long-term Debt, Gross | 66.6 | $ 10.3 | |
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 ($) | Jun. 30, 2018 | Dec. 31, 2017 | |
Interest rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | [1] | $ 2,853,609 | $ 1,428,240 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | [1] | (473,647) | (450,208) |
Swaptions [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 971,831 | 362,202 | |
TBAs [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | (152,343) | 0 | |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 397,266 | 226,565 | |
US Treasury Futures [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Assets at Fair Value | 0 | 110,063 | |
US Treasury Securities [Member] | Short [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liabilities at Fair Value | [2] | $ 0 | $ (24,379,356) |
[1] | As of June 30, 2018, the Company applied a reduction in fair value of $62.2 million and $1.9 million to its interest rate swap assets and liabilities, respectively. As of December 31, 2017, the Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. | ||
[2] | The Company's obligation to return securities borrowed under reverse repurchase agreements relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company's consolidated statement of operations. |
Derivatives (Details 1)
Derivatives (Details 1) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 2,396,000,000 | $ 2,227,000,000 | |
Long [Member] | Float Interest Rate Swap Agreements [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,396,000,000 | 2,227,000,000 | |
Notional amount of Swaptions [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 250,000,000 | 270,000,000 | |
Net notional amount of TBAs [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 160,000,000 | 100,000,000 | |
US Treasury Futures [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Notional Amount | [1] | (20,000,000) | (52,500,000) |
US Treasury Securities [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Notional Amount | $ 0 | $ (24,668,000) | |
[1] | Each U.S. Treasury Future contract embodies $100,000 of notional value. |
Derivatives (Details 2)
Derivatives (Details 2) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
U.S. Treasuries [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | $ 0 | $ 0 | $ (94,004) | $ (1,724,922) | |
Net realized gain/(loss) | 0 | 0 | 131,375 | 1,730,547 | |
Interest rate swaps [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | 5,610,322 | 2,027,635 | 41,862,031 | 3,258,849 | |
Net realized gain/(loss) | 5,861,656 | (8,082,738) | 5,861,656 | (8,082,738) | |
Swaptions, at fair value [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | (383,517) | 0 | (31,746) | 0 | |
Net realized gain/(loss) | 0 | 0 | 50,625 | 0 | |
US Treasury Futures [Member] | Short [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | 384,938 | 1,273,312 | (109,419) | 1,379,811 | |
Net realized gain/(loss) | 66,820 | (2,882,643) | 739,600 | (3,830,579) | |
TBAs [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Unrealized gain/(loss) on derivative and other instruments, net | [1] | (409,370) | (1,409,304) | 18,357 | (1,049,539) |
Net realized gain/(loss) | [1] | $ (208,086) | $ 1,573,086 | $ 164,531 | $ 1,331,055 |
[1] | For the three months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $0.6 million of net TBA dollar roll net interest income and net losses of $1.3 million due to price changes. For the six months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $1.1 million of net TBA dollar roll net interest income and net losses of $1.0 million due to price changes. For the three months ended June 30, 2017, gains and losses from purchases and sales of TBAs consisted of $0.7 million of net TBA dollar roll net interest income and net losses of $0.6 million due to price changes. For the six months ended June 30, 2017, gains and losses from purchases and sales of TBAs consisted of $1.1 million of net TBA dollar roll net interest income and net losses of $0.8 million due to price changes |
Derivatives (Details 3)
Derivatives (Details 3) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | $ 6,035,900 | [1],[2] | $ 5,242,573 | [3],[4] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 6,035,900 | [1],[2] | 5,242,573 | [3],[4] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Cash Collateral (Posted)/Received | 5,166,803 | [1],[2] | 1,666,444 | [3],[4] | |
Derivative Assets, Net Amount | 869,097 | [1],[2] | 3,576,129 | [3],[4] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | 125,055 | [2],[5] | (5,645) | [4],[6] | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [2],[5] | 0 | [4],[6] | |
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 125,055 | [2],[5] | (5,645) | [4],[6] | |
Derivative Liabilities, Financial Instruments (Posted)/Received | 0 | [2],[5] | 0 | [4],[6] | |
Derivative Liabilities, Cash Collateral (Posted)/Received | 125,055 | [2],[5] | (5,645) | [4],[6] | |
Derivative Liabilities, Net Amount | 0 | [2],[5] | 0 | [4],[6] | |
Interest Rate Swaps [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 4,666,803 | [1],[2] | 4,543,743 | [3],[4] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 4,666,803 | [1],[2] | 4,543,743 | [3],[4] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Cash Collateral (Posted)/Received | 4,666,803 | [1],[2] | 1,666,444 | [3],[4] | |
Derivative Assets, Net Amount | 0 | [1],[2] | 2,877,299 | [3],[4] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | [4],[6] | (5,645) | |||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | [4],[6] | 0 | |||
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [4],[6] | (5,645) | |||
Derivative Liabilities, Financial Instruments (Posted)/Received | [4],[6] | 0 | |||
Derivative Liabilities, Cash Collateral (Posted)/Received | [4],[6] | (5,645) | |||
Derivative Liabilities, Net Amount | [4],[6] | 0 | |||
Interest Rate Swaps One [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | [2],[5] | 277,398 | |||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | [2],[5] | 0 | |||
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [2],[5] | 277,398 | |||
Derivative Liabilities, Financial Instruments (Posted)/Received | [2],[5] | 0 | |||
Derivative Liabilities, Cash Collateral (Posted)/Received | [2],[5] | 277,398 | |||
Derivative Liabilities, Net Amount | [2],[5] | 0 | |||
Interest Rate Swaptions [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 971,831 | [1],[2] | 362,202 | [3],[4] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 971,831 | [1],[2] | 362,202 | [3],[4] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Cash Collateral (Posted)/Received | 500,000 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amount | 471,831 | [1],[2] | 362,202 | [3],[4] | |
TBAs [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | 397,266 | [1],[2] | 226,565 | [3],[4] | |
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 397,266 | [1],[2] | 226,565 | [3],[4] | |
Derivative Assets, Financial Instruments (Posted)/Received | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Cash Collateral (Posted)/Received | 0 | [1],[2] | 0 | [3],[4] | |
Derivative Assets, Net Amount | 397,266 | [1],[2] | 226,565 | [3],[4] | |
Derivative Liabilities, Gross Amounts of Recognized Assets (Liabilities) | [2],[5] | (152,343) | |||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Balance Sheets | [2],[5] | 0 | |||
Derivative Liabilities, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [2],[5] | (152,343) | |||
Derivative Liabilities, Financial Instruments (Posted)/Received | [2],[5] | 0 | |||
Derivative Liabilities, Cash Collateral (Posted)/Received | [2],[5] | (152,343) | |||
Derivative Liabilities, Net Amount | [2],[5] | $ 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) | [4] | 24,671,320 | |||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | [4] | 0 | |||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [4] | 24,671,320 | |||
Derivative Assets, Financial Instruments (Posted)/Received | [4] | 24,379,356 | |||
Derivative Assets, Cash Collateral (Posted)/Received | [4] | 0 | |||
Derivative Assets, Net Amount | [4] | 291,964 | |||
U.S. Treasury Futures - Short [Member] | |||||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | |||||
Derivative Assets, Gross Amounts of Recognized Assets (Liabilities) | [3],[4] | 110,063 | |||
Derivative Assets, Gross Amounts Offset in the Consolidated Balance Sheets | [3],[4] | 0 | |||
Derivative Assets, Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | [3],[4] | 110,063 | |||
Derivative Assets, Financial Instruments (Posted)/Received | [3],[4] | 0 | |||
Derivative Assets, Cash Collateral (Posted)/Received | [3],[4] | 0 | |||
Derivative Assets, Net Amount | [3],[4] | $ 110,063 | |||
[1] | Included in Derivative Assets on the consolidated balance sheet is $6,035,900 less accrued interest of $(1,813,194) for a total of $4,222,706. | ||||
[2] | The Company applied a reduction in fair value of $62.2 million and $1.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin. | ||||
[3] | Included in Derivative Assets on the consolidated balance sheet is $5,242,573 less accrued interest of $(3,115,503) for a total of $2,127,070. | ||||
[4] | The Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. | ||||
[5] | Included in Derivative Liabilities on the consolidated balance sheet is $125,055 million plus accrued interest of $(751,045) for a total of $(625,990). | ||||
[6] | Included in Derivative Liabilities on the consolidated balance sheet is $(5,645) plus accrued interest of $(444,563) for a total of $(450,208). |
Derivatives (Details 4)
Derivatives (Details 4) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 2,396,000,000 | $ 2,227,000,000 |
Weighted Average Pay-Fixed Rate | 2.07% | 1.89% |
Weighted Average Receive-Variable Rate | 2.34% | 1.50% |
Weighted Average Years to Maturity | 4 years 11 months 5 days | 4 years 6 months 22 days |
2019 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 170,000,000 | $ 170,000,000 |
Weighted Average Pay-Fixed Rate | 1.36% | 1.36% |
Weighted Average Receive-Variable Rate | 2.34% | 1.43% |
Weighted Average Years to Maturity | 1 year 4 months 17 days | 1 year 10 months 17 days |
2020 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 540,000,000 | $ 835,000,000 |
Weighted Average Pay-Fixed Rate | 1.64% | 1.77% |
Weighted Average Receive-Variable Rate | 2.34% | 1.52% |
Weighted Average Years to Maturity | 1 year 10 months 17 days | 2 years 6 months 14 days |
2022 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 653,000,000 | $ 653,000,000 |
Weighted Average Pay-Fixed Rate | 1.90% | 1.90% |
Weighted Average Receive-Variable Rate | 2.34% | 1.51% |
Weighted Average Years to Maturity | 4 years 1 month 6 days | 4 years 7 months 2 days |
2023 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 149,000,000 | |
Weighted Average Pay-Fixed Rate | 2.94% | |
Weighted Average Receive-Variable Rate | 2.35% | |
Weighted Average Years to Maturity | 4 years 10 months 24 days | |
2024 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 230,000,000 | $ 230,000,000 |
Weighted Average Pay-Fixed Rate | 2.06% | 2.06% |
Weighted Average Receive-Variable Rate | 2.33% | 1.47% |
Weighted Average Years to Maturity | 6 years | 6 years 6 months |
2025 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 125,000,000 | |
Weighted Average Pay-Fixed Rate | 2.87% | |
Weighted Average Receive-Variable Rate | 2.34% | |
Weighted Average Years to Maturity | 6 years 10 months 17 days | |
2026 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 75,000,000 | $ 75,000,000 |
Weighted Average Pay-Fixed Rate | 2.12% | 2.12% |
Weighted Average Receive-Variable Rate | 2.33% | 1.44% |
Weighted Average Years to Maturity | 8 years 4 months 20 days | 8 years 10 months 20 days |
2027 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 264,000,000 | $ 264,000,000 |
Weighted Average Pay-Fixed Rate | 2.35% | 2.35% |
Weighted Average Receive-Variable Rate | 2.34% | 1.50% |
Weighted Average Years to Maturity | 9 years 2 months 8 days | 9 years 8 months 8 days |
2028 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 190,000,000 | |
Weighted Average Pay-Fixed Rate | 2.94% | |
Weighted Average Receive-Variable Rate | 2.34% | |
Weighted Average Years to Maturity | 9 years 9 months 14 days |
Derivatives (Details 5)
Derivatives (Details 5) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Schedule Of To Be Announced Securities Activity [Line Items] | |||||
Beginning Notional Amount | $ 2,227,000,000 | ||||
Ending Net Notional Amount | $ 2,396,000,000 | 2,396,000,000 | |||
Receivable/(Payable) from/to Broker | (4,968,236) | (4,968,236) | $ (1,691,888) | ||
Derivative Asset | 4,222,706 | 4,222,706 | 2,127,070 | ||
Derivative Liability | (625,990) | (625,990) | $ (450,208) | ||
To Be Announced Securities [Member] | Long [Member] | |||||
Schedule Of To Be Announced Securities Activity [Line Items] | |||||
Beginning Notional Amount | 139,000,000 | $ 90,000,000 | 100,000,000 | $ 50,000,000 | |
Buys or Covers | 316,000,000 | 891,000,000 | 951,000,000 | 1,176,000,000 | |
Sales or Shorts | (295,000,000) | (681,000,000) | (891,000,000) | (926,000,000) | |
Ending Net Notional Amount | 160,000,000 | 300,000,000 | 160,000,000 | 300,000,000 | |
Fair Value as of Period End | 166,600,000 | 309,964,840 | 166,600,000 | 309,964,840 | |
Receivable/(Payable) from/to Broker | (166,202,734) | (311,438,243) | (166,202,734) | (311,438,243) | |
Derivative Asset | 397,266 | 295,629 | 397,266 | 295,629 | |
Derivative Liability | 0 | (1,769,032) | 0 | (1,769,032) | |
To Be Announced Securities [Member] | Short [Member] | |||||
Schedule Of To Be Announced Securities Activity [Line Items] | |||||
Beginning Notional Amount | 0 | 0 | 0 | (75,000,000) | |
Buys or Covers | 551,000,000 | 0 | 854,000,000 | 75,000,000 | |
Sales or Shorts | (551,000,000) | 0 | (854,000,000) | 0 | |
Ending Net Notional Amount | 0 | 0 | 0 | 0 | |
Fair Value as of Period End | 0 | 0 | 0 | 0 | |
Receivable/(Payable) from/to Broker | (152,343) | 0 | (152,343) | 0 | |
Derivative Asset | 0 | 0 | 0 | 0 | |
Derivative Liability | $ (152,343) | $ 0 | $ (152,343) | $ 0 |
Derivatives (Details Textual)
Derivatives (Details Textual) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | ||
Derivative [Line Items] | ||||||
Derivative Assets Before Accrued Interest | $ 5,242,573 | |||||
Derivative Assets Accrued Interest | (3,115,503) | |||||
Derivative Assets, At Fair Value | $ 4,222,706 | $ 4,222,706 | 2,127,070 | |||
Derivative Liabilities Before Accrued Interest | 125,055 | 125,055 | (5,645) | |||
Derivative Liabilities Accrued Interest | (751,045) | (751,045) | (444,563) | |||
Derivative Liabilities, At Fair Value | (625,990) | (625,990) | (450,208) | |||
Unrealized Gain (Loss) on Securities | (36,733,183) | $ 38,297,116 | ||||
Pledged Assets Separately Reported, Real Estate Pledged as Collateral, at Fair Value | 7,200,000 | 7,200,000 | 7,500,000 | |||
Pledged Assets Separately Reported, Other Assets Pledged as Collateral, at Fair Value | 4,100,000 | 4,100,000 | 1,700,000 | |||
Proceeds Pledged To Serve Collateral Against Certain Derivatives | 35,900,000 | 25,400,000 | ||||
Derivative, Notional Amount | 2,396,000,000 | 2,396,000,000 | 2,227,000,000 | |||
US Treasury Futures [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 100,000 | 100,000 | ||||
Interest Rate Swaps, At Fair Value [Member] | ||||||
Derivative [Line Items] | ||||||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Asset At Fair Value | [1] | (473,647) | (473,647) | (450,208) | ||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Liability At Fair Value | [1] | (2,853,609) | (2,853,609) | (1,428,240) | ||
Interest Rate Swaps, At Fair Value [Member] | Maximum [Member] | ||||||
Derivative [Line Items] | ||||||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Asset At Fair Value | 62,200,000 | 62,200,000 | 19,500,000 | |||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Liability At Fair Value | 1,900,000 | 1,900,000 | 600,000 | |||
TBA [Member] | ||||||
Derivative [Line Items] | ||||||
Unrealized Gain (Loss) on Securities | 600,000 | $ 700,000 | 1,100,000 | 1,100,000 | ||
Unrealized Gain on Securities | $ 800,000 | |||||
Unrealized Loss on Securities | 1,300,000 | $ 600,000 | 1,000,000 | |||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Asset At Fair Value | 397,266 | 397,266 | 226,565 | |||
Interest Rate Derivative Instruments Not Designated As Hedging Instruments, Liability At Fair Value | $ 152,343 | $ 152,343 | $ 0 | |||
[1] | As of June 30, 2018, the Company applied a reduction in fair value of $62.2 million and $1.9 million to its interest rate swap assets and liabilities, respectively. As of December 31, 2017, the Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. |
Earnings per share (Details)
Earnings per share (Details) - shares | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 |
Class of Warrant or Right [Line Items] | |||
Outstanding warrants | 1,007,500 | 1,007,500 | |
Unvested restricted stock units previously granted to the Manager | 28,200,928 | 28,192,541 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager | 60,000 | 20,003 |
Earnings per share (Details 1)
Earnings per share (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Numerator: | ||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ 4,800,791 | $ 29,803,777 | $ 9,680,846 | $ 51,554,085 |
Denominator: | ||||
Basic weighted average common shares outstanding | 28,200,928 | 27,724,183 | 28,198,315 | 27,713,104 |
Dilutive effect of restricted stock units | 27,142 | 7,142 | 23,589 | 7,205 |
Diluted weighted average common shares outstanding | 28,228,070 | 27,731,325 | 28,221,904 | 27,720,309 |
Basic Earnings/(Loss) Per Share of Common Stock: | $ 0.17 | $ 1.08 | $ 0.34 | $ 1.86 |
Diluted Earnings/(Loss) Per Share of Common Stock: | $ 0.17 | $ 1.07 | $ 0.34 | $ 1.86 |
Earnings per share (Details 2)
Earnings per share (Details 2) - $ / shares | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Common Stock One [Member] | ||
Declaration Date | Jun. 18, 2018 | Jun. 8, 2017 |
Record Date | Jun. 29, 2018 | Jun. 19, 2017 |
Payment Date | Jul. 31, 2018 | Jul. 31, 2017 |
Dividend Per Share | $ 0.500 | $ 0.475 |
Common Stock [Member] | ||
Declaration Date | Mar. 15, 2018 | Mar. 10, 2017 |
Record Date | Mar. 29, 2018 | Mar. 21, 2017 |
Payment Date | Apr. 30, 2018 | Apr. 28, 2017 |
Dividend Per Share | $ 0.475 | $ 0.475 |
Earnings per share (Details 3)
Earnings per share (Details 3) - $ / shares | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Series A Preferred Stock One [Member] | ||
Dividend | 8.25% | 8.25% |
Declaration Date | Feb. 16, 2018 | Feb. 16, 2017 |
Record Date | Feb. 28, 2018 | Feb. 28, 2018 |
Payment Date | Mar. 19, 2018 | Mar. 17, 2017 |
Dividend Per Share | $ 0.51563 | $ 0.51563 |
Series A Preferred Stock Two [Member] | ||
Dividend | 8.25% | 8.25% |
Declaration Date | May 15, 2018 | May 15, 2017 |
Record Date | May 31, 2018 | May 31, 2017 |
Payment Date | Jun. 18, 2018 | Jun. 19, 2017 |
Dividend Per Share | $ 0.51563 | $ 0.51563 |
Series B Preferred Stock one [Member] | ||
Dividend | 8.00% | 8.00% |
Declaration Date | Feb. 16, 2018 | Feb. 16, 2017 |
Record Date | Feb. 28, 2018 | Feb. 28, 2018 |
Payment Date | Mar. 19, 2018 | Mar. 17, 2017 |
Dividend Per Share | $ 0.5 | $ 0.5 |
Series B Preferred Stock Two [Member] | ||
Dividend | 8.00% | 8.00% |
Declaration Date | May 15, 2018 | May 15, 2017 |
Record Date | May 31, 2018 | May 31, 2017 |
Payment Date | Jun. 18, 2018 | Jun. 19, 2017 |
Dividend Per Share | $ 0.50 | $ 0.50 |
Income taxes (Details Textual)
Income taxes (Details Textual) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Excise Tax Expenses | $ 0.4 | $ 0.4 | $ 0.8 | $ 0.8 |
Related party transactions (Det
Related party transactions (Details Textual) - USD ($) | Jul. 01, 2017 | Dec. 09, 2015 | Aug. 29, 2017 | Aug. 27, 2017 | Apr. 25, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | Oct. 31, 2017 | Jul. 31, 2017 | Feb. 28, 2017 | Jun. 30, 2016 |
Related Party Transaction [Line Items] | ||||||||||||||
Management fee to affiliate | $ 2,386,669 | $ 2,443,780 | $ 4,825,838 | $ 4,919,596 | ||||||||||
Noninterest Expense Directors Fees | 160,000 | |||||||||||||
Non Reimbursable expenses Incurred By Manager | $ 1,700,000 | 1,700,000 | $ 3,500,000 | 3,400,000 | ||||||||||
Management Fee Percentage | 1.50% | 1.50% | ||||||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 129,378,242 | $ 129,378,242 | $ 99,696,347 | |||||||||||
Fees Paid to Asset Manager | 73,790 | 44,824 | 121,431 | 95,290 | ||||||||||
Other Cost and Expense, Operating | 3,442,611 | 2,851,353 | $ 6,665,155 | 5,644,587 | ||||||||||
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 | $ 30,000,000 | $ 10,000,000 | ||||||||||||
Long Term Purchase Commitment Funded, Amount | $ 5,100,000 | |||||||||||||
Residential and Commercial Real Estate Assets [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investments in and Advances to Affiliates, at Fair Value | 199,800,000 | 199,800,000 | 88,300,000 | |||||||||||
AG Arc LLC [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investments in and Advances to Affiliates, at Fair Value | 18,400,000 | 18,400,000 | $ 17,900,000 | |||||||||||
Long-term Purchase Commitment, Amount | 17,800,000 | |||||||||||||
Mortgage Servicing Rights, Fair Value | 30,000,000 | 30,000,000 | ||||||||||||
ARC Home LLC [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Payments for Sourcing Fees | $ 57,747 | $ 3,443 | 77,682 | $ 3,443 | ||||||||||
Mortgage Acquisition Trust [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Long-term Purchase Commitment, Amount | $ 33,400,000 | 28,300,000 | ||||||||||||
Amount Committed Under Long Term Purchase Commitment | $ 75,000,000 | $ 75,000,000 | ||||||||||||
Long Term Purchase Commitment Funded, Amount | $ 5,100,000 | |||||||||||||
October Selling Affiliates [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 8,400,000 | |||||||||||||
Selling Affiliates [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Trading Securities, Total | $ 6,900,000 | |||||||||||||
July Selling Affiliate [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investments in and Advances to Affiliates, at Fair Value | $ 200,000 | |||||||||||||
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 | 53,751 | 53,751 | ||||||||||||
Manager [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 40,250 | |||||||||||||
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 | 120,000 | ||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 60,000 | |||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Beginning Balance | 20,000 | |||||||||||||
Director [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 | 63,499 |
Equity (Details Textual)
Equity (Details Textual) - USD ($) | May 05, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | May 02, 2018 | Nov. 03, 2015 |
Class of Stock [Line Items] | |||||
Capital Available For Issuance | $ 650,000,000 | $ 750,000,000 | |||
Stock Repurchase Program, Authorized Amount | $ 25,000,000 | ||||
Stock Issued During Period, Value, New Issues | $ (225,419) | $ 1,780,185 | |||
Repurchase [Member] | |||||
Class of Stock [Line Items] | |||||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | 14,600,000 | ||||
Sale Agents [Member] | |||||
Class of Stock [Line Items] | |||||
Stock Issued During Period Shares New Issues | 460,932 | ||||
Stock Issued During Period, Value, New Issues | $ 100,000,000 | $ 8,600,000 | |||
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 | Jun. 08, 2018 | Dec. 09, 2015 | Mar. 29, 2018 | Aug. 29, 2017 | Aug. 27, 2017 | Apr. 25, 2017 | Feb. 28, 2017 | Jun. 30, 2018 |
Amount Committed Under Long Term Purchase Commitment | $ 30 | $ 10 | ||||||
Amount Committed Under Long Term Purchase Commitment | $ 30 | $ 10 | ||||||
Long Term Purchase Commitment Funded, Amount | $ 5.1 | |||||||
Commercial Loan [Member] | ||||||||
Long-term Purchase Commitment, Amount | $ 20 | |||||||
Mezzanine Loan [Member] | ||||||||
Long Term Purchase Commitment Funded, Amount | 10.4 | |||||||
ABS Note [Member] | ||||||||
Long Term Purchase Commitment Funded, Amount | 4.8 | |||||||
AG Arc LLC [Member] | ||||||||
Long-term Purchase Commitment, Amount | 17.8 | |||||||
Mortgage Acquisition Trust [Member] | ||||||||
Long-term Purchase Commitment, Amount | $ 33.4 | 28.3 | ||||||
Amount Committed Under Long Term Purchase Commitment | 75 | $ 75 | ||||||
Amount Committed Under Long Term Purchase Commitment | $ 75 | $ 75 | ||||||
Long Term Purchase Commitment Funded, Amount | 5.1 | |||||||
Mortgage Acquisition Trust [Member] | Mezzanine Loan [Member] | ||||||||
Long-term Purchase Commitment, Amount | $ 14.6 | 4.2 | ||||||
Amount Committed Under Long Term Purchase Commitment | 21.9 | |||||||
Amount Committed Under Long Term Purchase Commitment | $ 21.9 | |||||||
Mortgage Acquisition Trust [Member] | ABS Note [Member] | ||||||||
Long-term Purchase Commitment, Amount | $ 7.1 | $ 2.3 |