Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Nov. 11, 2013 | |
Document and Entity Information [Abstract] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-13 | ' |
Entity Registrant Name | 'ZAIS Financial Corp. | ' |
Entity Central Index Key | '0001527590 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 7,970,886 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Assets | ' | ' |
Cash | $21,467,891 | $19,061,110 |
Restricted cash | 3,031,804 | 3,768,151 |
Mortgage loans, at fair value - $334,539,232 and $0 pledged as collateral, respectively | 334,793,412 | ' |
Real estate securities, at fair value - $180,081,818 and $133,538,998 pledged as collateral, respectively | 196,552,996 | 170,671,683 |
Other assets | 3,699,269 | 1,345,665 |
Receivable for real estate securities sold | ' | 6,801,398 |
Total assets | 559,545,372 | 201,648,007 |
Liabilities | ' | ' |
Loan repurchase facility | 240,477,801 | ' |
Securities repurchase agreements | 134,062,326 | 116,080,467 |
Payable for real estate securities purchased | ' | 6,195,767 |
Derivative liabilities, at fair value | 596,988 | 1,144,744 |
Dividends and distributions payable | 4,448,900 | ' |
Accounts payable and other liabilities | 2,139,378 | 1,820,581 |
Accrued interest payable | 598,962 | 74,966 |
Common stock repurchase liability | ' | 11,190,687 |
Total liabilities | 382,324,355 | 136,507,212 |
Commitments and Contingencies (Note 13) | ' | ' |
Stockholders' equity | ' | ' |
12.5% Series A cumulative non-voting preferred stock, $0.0001 par value; 50,000,000 shares authorized; zero shares and 133 shares issued and outstanding, respectively | ' | ' |
Common stock $0.0001 par value; 500,000,000 shares authorized; 7,970,886 shares issued and 7,970,886 shares outstanding, and 2,586,131 shares issued and 2,071,096 shares outstanding, respectively | 798 | 207 |
Additional paid-in capital | 164,207,617 | 39,759,770 |
(Accumulated deficit)/retained earnings | -5,449,113 | 5,281,941 |
Total ZAIS Financial Corp. stockholders' equity | 158,759,302 | 45,041,918 |
Non-controlling interests in operating partnership | 18,461,715 | 20,098,877 |
Total stockholders' equity | 177,221,017 | 65,140,795 |
Total liabilities and stockholders' equity | $559,545,372 | $201,648,007 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Consolidated Balance Sheets [Abstract] | ' | ' |
Mortgage loans, pledged as collateral | $334,539,232 | $0 |
Real estate securities, pledged as collateral | $180,081,818 | $133,538,998 |
12.5% Series A cumulative non-voting preferred stock, par or stated value per share | $0.00 | $0.00 |
12.5% Series A cumulative non-voting preferred stock, shares authorized | 50,000,000 | 50,000,000 |
12.5% Series A cumulative non-voting preferred stock, shares issued | 0 | 133 |
12.5% Series A cumulative non-voting preferred stock, shares outstanding | 0 | 133 |
Common stock, par value per share | $0.00 | $0.00 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 7,970,886 | 2,586,131 |
Common stock, shares outstanding | 7,970,886 | 2,071,096 |
Consolidated_Statements_of_Ope
Consolidated Statements of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Interest income | ' | ' | ' | ' |
Mortgage loans | $4,051,406 | ' | $4,984,265 | ' |
Real estate securities | 4,222,038 | 2,176,647 | 12,660,723 | 7,216,518 |
Total interest income | 8,273,444 | 2,176,647 | 17,644,988 | 7,216,518 |
Interest expense | ' | ' | ' | ' |
Loan repurchase facility | 1,455,617 | ' | 1,744,913 | ' |
Securities repurchase agreements | 877,522 | 376,742 | 2,259,041 | 1,043,889 |
Total interest expense | 2,333,139 | 376,742 | 4,003,954 | 1,043,889 |
Net interest income | 5,940,305 | 1,799,905 | 13,641,034 | 6,172,629 |
Other gains/(losses) | ' | ' | ' | ' |
Change in unrealized gain or loss on mortgage loans | 3,644,036 | ' | 5,211,327 | ' |
Change in unrealized gain or loss on real estate securities | 4,785,568 | 6,269,964 | -9,953,797 | 15,662,891 |
Realized gain on mortgage loans | 346,482 | ' | 412,726 | ' |
Realized (loss)/gain on real estate securities | -9,113,260 | 849,794 | -9,359,315 | -1,102,068 |
Gain/(loss) on derivative instruments | 1,510,143 | -362,681 | 5,489,668 | -1,118,633 |
Total other gains/(losses) | 1,172,969 | 6,757,077 | -8,199,391 | 13,442,190 |
Expenses | ' | ' | ' | ' |
Professional fees | 1,090,672 | 193,892 | 2,583,246 | 1,137,329 |
Advisory fee - related party | 710,563 | 255,943 | 1,903,635 | 728,521 |
Loan servicing fees | 319,489 | ' | 434,023 | ' |
General and administrative expenses | 844,357 | 48,629 | 1,967,729 | 129,284 |
Total expenses | 2,965,081 | 498,464 | 6,888,633 | 1,995,134 |
Net income/(loss) | 4,148,193 | 8,058,518 | -1,446,990 | 17,619,685 |
Net income/(loss) allocated to non-controlling interests | 432,132 | ' | -57,250 | ' |
Preferred dividends | ' | 4,156 | 15,379 | 11,730 |
Net income/(loss) attributable to ZAIS Financial Corp. common stockholders | $3,716,061 | $8,054,362 | ($1,405,119) | $17,607,955 |
Net income/(loss) per share applicable to common stockholders - basic and diluted | $0.47 | $2.83 | ($0.20) | $5.94 |
Weighted average number of shares of common stock: | ' | ' | ' | ' |
Basic | 7,970,886 | 2,843,203 | 7,038,304 | 2,962,376 |
Diluted | 8,897,800 | 2,843,203 | 7,965,218 | 2,962,376 |
Consolidated_Statements_of_Sto
Consolidated Statements of Stockholders' Equity (USD $) | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | (Accumulated Deficit) / Retained Earnings [Member] | Total ZAIS Financial Corp. Stockholders' Equity [Member] | Non-controlling Interests in Operating Partnership [Member] |
Balance at Dec. 31, 2011 | $55,317,874 | ' | $302 | $60,452,038 | ($5,134,466) | $55,317,874 | ' |
Balance, shares at Dec. 31, 2011 | ' | ' | 3,022,617 | ' | ' | ' | ' |
Net proceeds from offering of preferred stock | 115,499 | ' | ' | 115,499 | ' | 115,499 | ' |
Net proceeds from offering of preferred stock, shares | ' | 133 | ' | ' | ' | ' | ' |
Net proceeds from offering of OP units | 20,393,704 | ' | ' | ' | ' | ' | 20,393,704 |
Net proceeds from offering of common stock | 4,757,470 | ' | 24 | 4,757,446 | ' | 4,757,470 | ' |
Net proceeds from offering of common stock, shares | ' | ' | 232,039 | ' | ' | ' | ' |
Distributions on OP units | -1,117,280 | ' | ' | ' | ' | ' | -1,117,280 |
Dividends on common stock | -9,471,442 | ' | ' | ' | -9,471,442 | -9,471,442 | ' |
Repurchase of stock | -14,181,259 | ' | -67 | -14,181,192 | ' | -14,181,259 | ' |
Repurchase of stock, shares | ' | ' | -668,525 | ' | ' | ' | ' |
Common stock repurchase liability/Reversal of common stock repurchase liability | -10,923,944 | ' | -52 | -10,923,892 | ' | -10,923,944 | ' |
Common stock repurchase liability/Reversal of common stock repurchase liability, shares | ' | ' | -515,035 | ' | ' | ' | ' |
Rebalancing of ownership percentage between the Company and operating partnership | ' | ' | ' | -460,129 | ' | -460,129 | 460,129 |
Net (loss) income | 20,250,173 | ' | ' | ' | 19,887,849 | 19,887,849 | 362,324 |
Balance at Dec. 31, 2012 | 65,140,795 | ' | 207 | 39,759,770 | 5,281,941 | 45,041,918 | 20,098,877 |
Balance, shares at Dec. 31, 2012 | ' | 133 | 2,071,096 | ' | ' | ' | ' |
Net proceeds from offering of common stock | 118,862,500 | ' | 566 | 118,861,934 | ' | 118,862,500 | ' |
Net proceeds from offering of common stock, shares | ' | ' | 5,650,000 | ' | ' | ' | ' |
Equity raise payments | -216,658 | ' | ' | -216,658 | ' | -216,658 | ' |
Distributions on OP units | -1,084,491 | ' | ' | ' | ' | ' | -1,084,491 |
Dividends on common stock | -9,325,935 | ' | ' | ' | -9,325,935 | -9,325,935 | ' |
Repurchase of stock | -133,000 | ' | ' | -133,000 | ' | -133,000 | ' |
Repurchase of stock, shares | ' | -133 | ' | ' | ' | ' | ' |
Common stock repurchase liability/Reversal of common stock repurchase liability | 5,440,175 | ' | 25 | 5,440,150 | ' | 5,440,175 | ' |
Common stock repurchase liability/Reversal of common stock repurchase liability, shares | ' | ' | 249,790 | ' | ' | ' | ' |
Rebalancing of ownership percentage between the Company and operating partnership | ' | ' | ' | 495,421 | ' | 495,421 | -495,421 |
Net (loss) income | -1,462,369 | ' | ' | ' | -1,405,119 | -1,405,119 | -57,250 |
Balance at Sep. 30, 2013 | $177,221,017 | ' | $798 | $164,207,617 | ($5,449,113) | $158,759,302 | $18,461,715 |
Balance, shares at Sep. 30, 2013 | ' | ' | 7,970,886 | ' | ' | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 9 Months Ended | |
Sep. 30, 2013 | Sep. 30, 2012 | |
Cash flows from operating activities | ' | ' |
Net (loss)/income | ($1,446,990) | $17,619,685 |
Adjustments to reconcile net (loss)/income to net cash provided by operating activities | ' | ' |
Net (accretion)/amortization of (discounts) premiums related to mortgage loans | -2,918,421 | ' |
Net (accretion)/amortization of (discounts)/premiums related to real estate securities | -2,048,391 | -721,891 |
Change in unrealized gain or loss on mortgage loans | -5,211,327 | ' |
Change in unrealized gain or loss on real estate securities | 9,953,797 | -15,662,891 |
Realized (gain) on mortgage loans | -412,726 | ' |
Realized loss on real estate securities | 9,359,315 | 1,102,068 |
Change in unrealized gain or loss on derivative instruments | -547,756 | 863,030 |
Changes in operating assets and liabilities | ' | ' |
(Increase) in other assets | -2,353,604 | -477,052 |
Increase in accounts payable and other liabilities | 318,797 | 371,011 |
Increase/(decrease) in accrued interest payable | 523,996 | -1,435 |
Net cash provided by operating activities | 5,216,690 | 3,092,525 |
Cash flows from investing activities | ' | ' |
Acquisitions of mortgage loans | -334,162,044 | ' |
Proceeds from principal repayments on mortgage loans | 7,911,106 | ' |
Acquisitions of real estate securities, net of change in payable for real estate securities purchased | -365,230,804 | -83,122,058 |
Proceeds from principal repayments on real estate securities | 39,852,360 | 16,239,203 |
Proceeds from sales of real estate securities, net of changes in receivable for real estate securities sold | 282,838,041 | 64,759,903 |
Restricted cash provided by/(used) in investment activities | 736,347 | -1,406,901 |
Net cash used in investing activities | -368,054,994 | -3,529,853 |
Cash flows from financing activities | ' | ' |
Proceeds from issuance of common stock, net | 118,862,500 | ' |
Proceeds from issuance of preferred stock, net | ' | 115,499 |
Payment of common stock repurchase liability | -5,750,512 | ' |
Borrowings from loan repurchase facility | 331,212,319 | ' |
Repayments of loan repurchase facility | -90,734,518 | ' |
Borrowings from securities repurchase agreements | 334,766,809 | 61,890,233 |
Repayments of securities repurchase agreements | -316,784,950 | -49,358,331 |
Dividends on common stock and distributions on OP units (net of dividends and distributions payable) | -5,961,526 | -3,264,426 |
Repurchase of preferred stock including dividend | -148,379 | -7,112 |
Equity raise payments | -216,658 | ' |
Net cash provided by financing activities | 365,245,085 | 9,375,863 |
Net increase in cash | 2,406,781 | 8,938,535 |
Cash | ' | ' |
Beginning of period | 19,061,110 | 6,326,724 |
End of period | 21,467,891 | 15,265,259 |
Supplemental disclosure of cash flow information | ' | ' |
Interest paid on loan repurchase facility and securities repurchase agreements | 3,479,958 | 1,016,138 |
Taxes paid | ' | ' |
Formation_and_Organization
Formation and Organization | 9 Months Ended |
Sep. 30, 2013 | |
Formation and Organization [Abstract] | ' |
Formation and Organization | ' |
1. Formation and Organization | |
ZAIS Financial Corp. (the "Company") was incorporated in Maryland on May 24, 2011, and has elected to be taxed and to qualify as a real estate investment trust ("REIT") beginning with the taxable year ended December 31, 2011. The Company was initially capitalized and commenced operations on July 29, 2011, when it completed an exchange of a mutually agreed upon portion of the shareholders' and limited partners' interests in the ZAIS Matrix VI-A Ltd. and ZAIS Matrix VI-B L.P. funds (the "Matrix Funds") managed by ZAIS Group, LLC ("ZAIS"), which included cash of $3,036,222 and real estate securities having a fair value of $57,416,118, for 3,022,617 shares of the Company's common stock or operating partnership units ("OP units") in ZAIS Financial Partners, L.P., the Company's consolidated operating partnership subsidiary (the "Operating Partnership"). On February 13, 2013, the Company completed its initial public offering ("IPO"), pursuant to which the Company sold 5,650,000 shares of its common stock at a price of $21.25 per share for gross proceeds of $120.1 million. Net proceeds after the payment of offering costs of $1.2 million were $118.9 million. | |
The Company primarily invests in, finances and manages performing and re-performing residential mortgage loans and may, in the future, focus on newly originated mortgage loans. The Company also invests in, finances and manages residential mortgage-backed securities ("RMBS") that are not issued or guaranteed by a federally chartered corporation, such as the Federal National Mortgage Association ("Fannie Mae"), or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the United States ("U.S.") Government, such as the Government National Mortgage Association ("Ginnie Mae") ("non-Agency RMBS"), and RMBS that are issued or guaranteed by a federally chartered corporation or a U.S. Government agency ("Agency RMBS"). The Company's RMBS strategy focuses on non-Agency RMBS with an emphasis on securities that, when originally issued, were rated in the highest rating category by one or more of the nationally recognized statistical rating organizations. The Company also has the discretion to invest in Agency RMBS through To-Be-Announced ("TBA") contracts and in other real estate-related and financial assets, such as mortgage servicing rights ("MSRs"), interest only strips created from RMBS ("IOs"), commercial mortgage-backed securities ("CMBS") and asset-backed securities ("ABS"). The Company refers collectively to the assets it targets for acquisition as its target assets. | |
The Company is externally managed by ZAIS REIT Management, LLC (the "Advisor"), a subsidiary of ZAIS, and has no employees. The Company is the sole general partner of, and conducts substantially all of its business through, the Operating Partnership. | |
The Company's charter authorizes the issuance of up to 500,000,000 shares of common stock with a par value of $0.0001 per share, and 50,000,000 shares of preferred stock, with a par value of $0.0001 per share. The Company's board of directors is authorized to amend its charter, without the approval of stockholders, to increase the aggregate number of authorized shares of capital stock or the number of shares of any class or series of capital stock or to classify and reclassify any unissued shares of its capital stock into other classes or series of stock that the Company has authority to issue. | |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2013 | ||
Summary of Significant Accounting Policies [Abstract] | ' | |
Summary of Significant Accounting Policies | ' | |
2. Summary of Significant Accounting Policies | ||
Basis of Quarterly Presentation | ||
The accompanying consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("U.S. GAAP") as contained within the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") and the rules and regulations of the U.S. Securities and Exchange Commission ("SEC") for interim financial reporting. 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 and are of a normal and recurring nature. The operating results presented for the interim period are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Certain prior period amounts have been reclassified to conform to the current period's presentation. | ||
The Company currently operates as one business segment. | ||
Estimates | ||
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may ultimately differ from those estimates. | ||
Principles of Consolidation | ||
The consolidated financial statements include the accounts of the Company, the Operating Partnership, and all of the wholly owned subsidiaries of the Operating Partnership. The Company, which serves as the sole general partner of and conducts substantially all of its business through the Operating Partnership, holds approximately 89.6% of the OP units in the Operating Partnership as of September 30, 2013. The Operating Partnership in turn holds directly or indirectly all of the equity interests in its subsidiaries. All intercompany balances have been eliminated in consolidation. | ||
Variable Interest Entities | ||
A variable interest entity ("VIE") is an entity that lacks one or more of the characteristics of a voting interest entity. The Company evaluates each of its investments to determine whether it is a VIE based on: (1) the sufficiency of the entity's equity investment at risk to finance its activities without additional subordinated financial support provided by any parties, including the equity holders; (2) whether as a group the holders of the equity investment at risk have (a) the power, through voting rights or similar rights, to direct the activities of a legal entity that most significantly impacts the entity's economic performance, (b) the obligation to absorb the expected losses of the legal entity and (c) the right to receive the expected residual returns of the legal entity; and (3) whether the voting rights of these investors are proportional to their obligations to absorb the expected losses of the entity, their rights to receive the expected returns of their equity, or both, and whether substantially all of the entity's activities involve or are conducted on behalf of an investor that has disproportionately fewer voting rights. An investment that lacks one or more of the above three characteristics is considered to be a VIE. The Company reassesses its initial evaluation of an entity as a VIE upon the occurrence of certain reconsideration events. | ||
A VIE is subject to consolidation 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 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. | ||
The Company has evaluated its real estate securities investments to determine if each represents a variable interest in a VIE. The Company monitors these investments and analyzes them for potential consolidation. The Company's real estate securities investments represent variable interests in VIEs. At September 30, 2013 and December 31, 2012, no VIEs required consolidation as the Company was not the primary beneficiary of any of these VIEs. At September 30, 2013 and December 31, 2012, the maximum exposure of the Company to VIEs is limited to the fair value of its investments in real estate securities as disclosed in the consolidated balance sheets. | ||
Cash and Cash Equivalents | ||
The Company considers highly liquid short-term interest bearing instruments with original maturities of three months or less and other instruments readily convertible into cash to be cash equivalents. The Company's deposits with financial institutions may exceed federally insurable limits of $250,000 per institution. The Company mitigates this risk by depositing funds with major financial institutions. At September 30, 2013, the Company's cash was held with two custodians. | ||
Restricted Cash | ||
Restricted cash represents the Company's cash held by counterparties as collateral against the Company's derivatives and/or repurchase agreements. Cash held by counterparties as collateral is not available to the Company for general corporate purposes, but may be applied against amounts due to derivative or repurchase agreement counterparties or returned to the Company when the collateral requirements are exceeded or at the maturity of the derivatives or repurchase agreements. | ||
Mortgage Loans and Real Estate Securities-Fair Value Election | ||
U.S. GAAP permits entities to choose to measure certain eligible financial instruments at fair value. The Company has elected the fair value option for each of its mortgage loans and real estate securities, at the date of purchase, including those contributed in connection with the Company's initial formation transaction. The fair value option election is irrevocable and requires the Company to measure these mortgage loans and real estate securities at estimated fair value with the change in estimated fair value recognized in earnings. The Company has established a policy for these assets to separate interest income from the full change in fair value in the consolidated statement of operations. The interest income component is presented as interest income on mortgage loans and interest income on real estate securities and the remainder of the change in fair value is presented separately as changes in unrealized gain or loss on mortgage loans and changes in unrealized gain or loss on real estate securities, respectively, in the Company's consolidated statements of operations. | ||
Determination of Fair Value Measurement | ||
The "Fair Value Measurements and Disclosures" Topic of the FASB ASC defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under U.S. GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date. | ||
Fair value under U.S. GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company was forced to sell assets in a short period to meet liquidity needs, the prices it receives could be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will be required to sell securities in an unrealized loss position prior to an expected recovery in fair value (if any), the amount of such expected required sales, and the projected identification of which securities would be sold is also subject to significant judgment. | ||
Any proposed changes to the valuation methodology will be reviewed by the Advisor to ensure changes are consistent with the applicable accounting guidance and approved as appropriate. The fair value methodology may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that the Advisor's valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions by other market participants, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. | ||
The Company categorizes its financial instruments in accordance with U.S. GAAP, based on the priority of the inputs to the valuation, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. | ||
Financial assets and liabilities recorded on the consolidated balance sheets are categorized based on the inputs to the valuation techniques as follows: | ||
Level 1 Quoted prices for identical assets or liabilities in an active market. | ||
Level 2 | Financial assets and liabilities whose values are based on the following: | |
Quoted prices for similar assets or liabilities in active markets | ||
Quoted prices for identical or similar assets or liabilities in nonactive markets. | ||
Pricing models whose inputs are observable for substantially the full term of the asset or liability. | ||
Pricing models whose inputs are derived principally from or corroborated by observable market data for substantially the full term of the asset or liability. | ||
Level 3 | Prices or valuation techniques based on inputs that are both unobservable and significant to the overall fair value measurement. | |
The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The income approach uses valuation techniques to convert future projected cash flows to a single discounted present value amount. When applying either approach, the Company maximizes the use of observable inputs and minimizes the use of unobservable inputs. The Company's assessment of the significance of a particular input to the fair value measurement in its entirety requires significant judgment and considers factors specific to the investment. The Company utilizes proprietary modeling analysis to support the independent third party broker quotes selected to determine the fair value of securities and derivative instruments. | ||
The following is a description of the valuation techniques used to measure fair value and the general classification of these instruments pursuant to the fair value hierarchy. | ||
Mortgage Loans | ||
The fair value of the Company's mortgage loans is determined using a proprietary model that considers data such as loan origination information and additional updated borrower and loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, loss severity and prepayment rates. The Company uses loan level data, macro-economic inputs and forward interest rates to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans. Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy. | ||
Real Estate Securities | ||
The fair value of the Company's real estate securities considers the underlying characteristics of each security including coupon, maturity date and collateral. The Company estimates the fair value of its RMBS based upon a combination of observable prices in active markets, multiple indicative quotes from brokers and executable bids. In evaluating broker quotes the Company also considers additional observable market data points including recent observed trading activity for identical and similar securities, back-testing, broker challenges and other interactions with market participants, as well as yield levels generated by model-based valuation techniques. In the absence of observable quotes, the Company utilizes model-based valuation techniques that may contain unobservable valuation inputs. | ||
When available, the fair value of real estate securities is based on quoted prices in active markets. If quoted prices are not available, fair values are obtained from either broker quotes, observed traded levels or model-based valuation techniques using observable inputs such as benchmark yields or issuer spreads. | ||
While the Company's non-Agency RMBS are valued using the same process with similar inputs as the Agency RMBS, a significant amount of inputs are unobservable due to relatively low levels of market activity. The fair value of these securities is typically based on broker quotes or the Company's model-based valuation. Accordingly, the Company's non-Agency RMBS are classified as Level 3 in the fair value hierarchy. Model-based valuation consists primarily of discounted cash flow and yield analyses. Significant model inputs and assumptions include constant voluntary prepayment rates, constant default rates, delinquency rates, loss severity, market-implied discount rates, default rates, expected loss severity, weighted average life, collateral composition, borrower characteristics and prepayment rates, and may also include general economic conditions, including home price index forecasts, servicing data and other relevant information. Where possible, collateral-related assumptions are determined on an individual loan level basis. | ||
The Company's Agency RMBS are valued using the market data described above, which includes inputs determined to be observable or whose significant fair value drivers are observable. Accordingly, Agency RMBS securities are classified as Level 2 in the fair value hierarchy. | ||
Derivative Instruments | ||
Interest Rate Swap Agreements | ||
An interest rate swap is an agreement between the Company and a counterparty to exchange periodic interest payments where one party to the contract makes a fixed rate payment in exchange for a floating rate payment from the other party. Interest rate swap agreements are valued using counterparty valuations. The Company utilizes proprietary modeling analysis or industry standard third party analytics to support the counterparty valuations. These counterparty valuations are generally based on models with market observable inputs such as interest rates and contractual cash flows, and, as such, are classified as Level 2 on the fair value hierarchy. The Company's interest rate swap agreements are governed by International Swap and Derivative Association trading agreements, which are separately negotiated agreements with dealer counterparties. As of September 30, 2013 and December 31, 2012, no credit valuation adjustment was made in determining the fair value of derivatives. | ||
TBA Securities | ||
A TBA security is a forward contract for the purchase of Agency RMBS at a predetermined price with a stated face amount, coupon and stated maturity at an agreed upon future date. The specific Agency RMBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association ("SIFMA"), are not known at the time of the transaction. The Company estimates the fair value of TBA securities based on independent third party closing levels. Accordingly, TBAs are classified as Level 2 in the fair value hierarchy. | ||
Interest Income Recognition and Impairment-Mortgage Loans | ||
Pursuant to the Company's policy for separately presenting interest income on mortgage loans, the Company follows acceptable methods under U.S. GAAP for allocating a portion of the change in fair value of mortgage loans to interest income on mortgage loans. | ||
When the Company purchases mortgage loans that have shown evidence of credit deterioration since origination and management determines that it is probable the Company will not collect all contractual cash flows on those assets, the Company will apply the guidance that addresses accounting for differences between contractual cash flows and cash flows expected to be collected if those differences are attributable to, at least in part, credit quality. | ||
Interest income will be recognized on a level-yield basis over the life of the loan as long as cash flows can be reasonably estimated. The level-yield is determined by the excess of the Company's initial estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the Company's initial investment in the mortgage loan (accretable yield). The amount of interest income to be recognized cannot result in a carrying amount that exceeds the payoff amount of the loan. The excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) will not be recognized as an adjustment of yield. | ||
On a quarterly basis, the Company updates its estimate of the cash flows expected to be collected. For purposes of interest income recognition, any subsequent increases in cash flows expected to be collected are generally recognized as prospective yield adjustments (which establishes a new level yield) and any subsequent decreases in cash flows expected to be collected are recognized as an impairment to be recorded through change in unrealized gain or loss on mortgage loans on the consolidated statement of operations. | ||
Income recognition is suspended for a loan when cash flows cannot be reasonably estimated. | ||
Interest Income Recognition and Impairment-Real Estate Securities | ||
Pursuant to the Company's policy for separately presenting interest income on real estate securities, the Company follows acceptable methods under U.S. GAAP for allocating a portion of the change in fair value of real estate securities to interest income on real estate securities. | ||
Interest income on Agency RMBS is accrued based on the effective yield method on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS at the time of purchase are amortized into interest income over the life of such securities using the effective yield method and adjusted for actual prepayments in accordance with ASC 310-20 "Nonrefundable Fees and Other Costs". | ||
Interest income on the non-Agency RMBS, which were purchased at a discount to par value and/or were rated below AA at the time of purchase, is recognized based on the effective yield method in accordance with ASC 325-40 "Beneficial Interests in Securitized Financial Assets". The effective yield on these securities is based on the projected cash flows from each security, which are estimated based on the Company's observation of current information and events and include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. Therefore, actual maturities of the securities are generally shorter than stated contractual maturities. | ||
Interest income is recorded as interest income-real estate securities in the consolidated statements of operations. | ||
Based on the projected cash flows from the Company's non-Agency RMBS purchased at a discount to par value, a portion of the purchase discount may be designated as credit protection against future credit losses and, therefore, not accreted into interest income. The amount designated as credit discount is determined, and may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. | ||
Agency and non-Agency RMBS are periodically evaluated for other-than-temporary impairment ("OTTI"). A security with a fair value that is less than amortized cost is considered impaired. Impairment of a security is considered to be other-than-temporary when: (i) the holder has the intent to sell the impaired security; (ii) it is more likely than not the holder will be required to sell the security; or (iii) the holder does not expect to recover the entire amortized cost of the security. When a security has been deemed to be other-than-temporarily impaired, the amount of OTTI is bifurcated into: (i) the amount related to expected credit losses; and (ii) the amount related to fair value adjustments in excess of expected credit losses. The portion of OTTI related to expected credit losses is recognized in the consolidated statement of operations as a realized loss on real estate securities. The remaining OTTI related to the valuation adjustment is recognized as a component of change in unrealized gain or loss on real estate securities in the consolidated statement of operations. For the three and nine months ended September 30, 2013, the Company recognized $1.1 million in OTTI. For the nine months ended September 30, 2012, the Company recognized $0.2 million in OTTI. Realized gains and losses on sale of real estate securities are determined using the specific identification method. Real estate securities transactions are recorded on the trade date. | ||
Expense Recognition | ||
Expenses are recognized when incurred. Expenses include, but are not limited to, loan servicing fees, advisory fees, professional fees for legal, accounting and consulting services, and general and administrative expenses such as insurance, custodial and miscellaneous fees. | ||
Offering Costs | ||
Offering costs are accounted for as a reduction of additional paid-in capital. Offering costs in connection with the Company's IPO were paid out of the proceeds of the IPO. Costs incurred to organize the Company were expensed as incurred. The Company's obligation to pay for organization and offering expenses directly related to the IPO was capped at $1,200,000 and the Advisor paid for such expenses incurred above the cap. | ||
Loan Repurchase Facility | ||
The Company finances a portion of its mortgage loan portfolio through the use of repurchase agreements entered into under a master repurchase agreement with Citibank, N.A. ("Citi"), pursuant to which the Company may sell, and later repurchase trust certificates representing interests in residential mortgage loans (the "Trust Certificates") in an aggregate principal amount of up to $250 million (the "Loan Repurchase Facility"). The borrowings under the Loan Repurchase Facility are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreement. The borrowings under the Loan Repurchase Facility are recorded on the trade date at the contract amount. | ||
The Company pledges cash and certain of its Trust Certificates as collateral under the Loan Repurchase Facility. The amounts available to be borrowed are dependent upon the fair value of the Trust Certificates pledged as collateral, which fluctuates with changes in interest rates, type of underlying mortgage loans and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in the fair value of pledged Trust Certificates, the lender 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 September 30, 2013 the Company has met all margin call requirements. | ||
Securities Repurchase Agreements-Real Estate Securities | ||
The Company finances a portion of its RMBS portfolio through the use of securities repurchase agreements entered into under master repurchase agreements with four financial institutions as of September 30, 2013. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Repurchase agreements are recorded on trade date at the contract amount. | ||
The Company pledges cash and certain of its RMBS as collateral under these securities repurchase agreements. The amounts available to be borrowed are dependent upon the fair value of the RMBS pledged as collateral, which fluctuates with changes in interest rates, type of securities and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in the fair value of pledged RMBS, the 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 September 30, 2013 and December 31, 2012, the Company has met all margin call requirements. | ||
Derivatives and Hedging Activities | ||
The Company accounts for its derivative financial instruments in accordance with derivative accounting guidance, which requires an entity to recognize all derivatives as either assets or liabilities in the balance sheets and to measure those instruments at fair value. The Company has not designated any of its derivative agreements as hedging instruments for accounting purposes. As a result, changes in the fair value of derivatives are recorded through current period earnings. | ||
Interest Rate Swap Agreements | ||
The Company's interest rate swap agreements contain legally enforceable provisions that allow for netting or setting off of all individual interest rate swap receivables and payables with each respective counterparty and, therefore, the fair value of those interest rate swap agreements are netted. The credit support annex provisions of the Company's interest rate swap agreements allow the parties to mitigate their credit risk by requiring the party which is out of the money to post collateral. At September 30, 2013 and December 31, 2012, all collateral provided under these agreements consisted of cash collateral. | ||
TBA Securities | ||
The Company enters into TBA contracts as a means of acquiring exposure to Agency RMBS and may, from time to time, utilize TBA dollar roll transactions to finance Agency RMBS purchases. The Company may also enter into TBA contracts as a means of hedging against short-term changes in interest rates. The Company may choose, prior to settlement, to move the settlement of these securities to a later date by entering into an offsetting position (referred to as a "pair off"), settling the paired off positions against each other for cash, and simultaneously entering into a similar TBA contract for a later settlement date, which is commonly and collectively referred to as a "dollar roll" transaction. | ||
Counterparty Risk and Concentration | ||
Counterparty risk is the risk that counterparties may fail to fulfill their obligations or that pledged collateral value becomes inadequate. The Company attempts to manage its exposure to counterparty risk through diversification, use of financial instruments and monitoring the creditworthiness of counterparties. | ||
As explained in the Notes above, while the Company engages in repurchase financing activities with several financial institutions, the Company maintains custody accounts with two custodians at September 30, 2013. There is no guarantee that these custodians will not become insolvent. While there are certain regulations that seek to protect customer property in the event of a failure, insolvency or liquidation of a custodian, there is no certainty that the Company would not incur losses due to its assets being unavailable for a period of time in the event of a failure of a custodian that has custody of the Company's assets. Although management monitors the credit worthiness of its custodians, such losses could be significant and could materially impair the ability of the Company to achieve its investment objective. | ||
Net Income (Loss) Per Share | ||
The Company's basic earnings per share ("EPS") is computed by dividing net income or loss attributable to common stockholders by the weighted average number of common shares outstanding. Diluted EPS reflects the potential dilution that could occur if outstanding OP units were converted to common stock, where such exercise or conversion would result in a lower EPS. The dilutive effect of partnership interests is computed assuming all units are converted to common stock. | ||
Income Taxes | ||
The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"), commencing with its taxable year ended December 31, 2011. The Company was organized and has operated and intends to continue to operate in a manner that will enable it to qualify to be taxed as a REIT. To qualify as a REIT, the Company must meet certain organizational and operational requirements, including a requirement to distribute at least 90% of the Company's annual REIT taxable income to its stockholders (which is computed without regard to the dividends paid deduction or net capital gain and which does not necessarily equal net income as calculated in accordance with U.S. GAAP). As a REIT, the Company will not be subject to federal income tax on its taxable income that it distributes to its stockholders. If the Company fails to qualify as a REIT in any taxable year, it will be subject to federal income tax on its taxable income at regular corporate income tax rates and generally will not be permitted to qualify for treatment as a REIT for federal income tax purposes for the four taxable years following the year during which qualification is lost unless the Internal Revenue Service grants the Company relief under certain statutory provisions. Such an event could materially adversely affect the Company's net income and net cash available for distribution to stockholders. However, the Company intends to continue to operate in a manner that will enable it to qualify for treatment as a REIT. | ||
The Company evaluates uncertain income tax positions when applicable. Based upon its analysis of income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of either September 30, 2013 or December 31, 2012. | ||
The Company has elected to treat two of its subsidiaries, ZAIS I TRS Inc., and ZFC Trust TRS I, LLC, as taxable REIT subsidiaries (the "TRS entities"). The Company may perform certain non-customary services, including real estate or non-real estate-related services through these TRS entities. Earnings from services performed through the TRS entities are subject to federal and state income taxes irrespective of the dividends-paid deduction available to REITs for federal income tax purposes. In addition, for the Company to continue to qualify to be taxed as a REIT, the Company's total investment in all TRS entities may not exceed 25% of the value of the total assets of Company determined for federal income tax purposes. | ||
For the three and nine months ended September 30, 2013 and 2012, the Company did not have any significant activity in the TRS entities. No provision for federal income taxes has been made in the accompanying consolidated financial statements, as the TRS entities did not generate taxable income for the periods presented. | ||
Recent Accounting Pronouncements | ||
In December 2011, the FASB issued Accounting Standards Update ("ASU") No. 2011-11: Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11") which requires new disclosures about balance sheet offsetting and related arrangements. For derivatives and financial assets and liabilities, the amendment requires disclosure of gross asset and liability amounts, amounts offset on the balance sheet, and amounts subject to the offsetting requirements but not offset on the balance sheet. In addition, in January 2013, the FASB issued ASU No. 2013-01: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities (Topic 210), Balance Sheet. The update addresses implementation issues regarding ASU 2011-11 and is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. This guidance is to be applied retrospectively for all comparative periods presented and did not amend the circumstances in which the Company offsets its derivative positions. This guidance did not have a material effect on the Company's financial statements. However, this guidance expands the disclosure requirements to which the Company is subject, which are presented in Note 14. | ||
Fair_Value
Fair Value | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Fair Value [Abstract] | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
3. Fair Value | ||||||||||||||||||||
Fair Value Measurement | ||||||||||||||||||||
Financial assets and liabilities recorded at fair value on a recurring basis are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. | ||||||||||||||||||||
The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of September 30, 2013, by level within the fair value hierarchy: | ||||||||||||||||||||
Assets and Liabilities at Fair Value | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans | $ | - | $ | - | $ | 334,793,412 | $ | 334,793,412 | ||||||||||||
Non-Agency RMBS | - | - | 196,552,996 | 196,552,996 | ||||||||||||||||
Total | $ | - | $ | - | $ | 531,346,408 | $ | 531,346,408 | ||||||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | - | $ | 596,988 | $ | - | $ | 596,988 | ||||||||||||
Total | $ | - | $ | 596,988 | $ | - | $ | 596,988 | ||||||||||||
The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of December 31, 2012, by level within the fair value hierarchy: | ||||||||||||||||||||
Assets and Liabilities at Fair Value | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets | ||||||||||||||||||||
Real estate securities | ||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
30-year adjustable rate mortgage | $ | - | $ | 3,240,330 | $ | - | $ | 3,240,330 | ||||||||||||
30-year fixed rate mortgage | - | 66,519,702 | - | 66,519,702 | ||||||||||||||||
Non-Agency RMBS | - | - | 100,911,651 | 100,911,651 | ||||||||||||||||
Total | $ | - | $ | 69,760,032 | $ | 100,911,651 | $ | 170,671,683 | ||||||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | - | $ | 1,144,744 | $ | - | $ | 1,144,744 | ||||||||||||
Total | $ | - | $ | 1,144,744 | $ | - | $ | 1,144,744 | ||||||||||||
The following table presents additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Nine Months Ended | Twelve Months Ended | |||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Mortgage | Mortgage | |||||||||||||||||||
loans | RMBS | loans | RMBS | |||||||||||||||||
Beginning balance | $ | - | $ | 100,911,651 | $ | - | $ | 76,473,092 | ||||||||||||
Total net transfers into/out of Level 3 | - | - | - | - | ||||||||||||||||
Acquisitions | 334,162,044 | 193,538,950 | - | 68,617,460 | ||||||||||||||||
Proceeds from sales | - | (60,334,338 | ) | - | (43,379,205 | ) | ||||||||||||||
Net accretion of discounts | 2,918,421 | 10,481,839 | - | 1,337,369 | ||||||||||||||||
Proceeds from principal repayments | (7,911,106 | ) | (39,969,545 | ) | - | (16,938,626 | ) | |||||||||||||
Total losses (realized/unrealized) included in earnings | (5,208,963 | ) | (10,058,993 | ) | - | (2,579,401 | ) | |||||||||||||
Total gains (realized/unrealized) included in earnings | 10,833,016 | 1,983,432 | - | 17,380,962 | ||||||||||||||||
Ending balance | $ | 334,793,412 | $ | 196,552,996 | $ | - | $ | 100,911,651 | ||||||||||||
The amount of total gains or (losses) for the period | ||||||||||||||||||||
included in earnings attributable to the change in | ||||||||||||||||||||
unrealized gains or losses relating to assets or | ||||||||||||||||||||
liabilities still held at the reporting date | $ | 5,211,327 | $ | (5,627,013 | ) | $ | - | $ | 10,764,268 | |||||||||||
There were no financial assets or liabilities that were accounted for at fair value on a nonrecurring basis at September 30, 2013 and December 31, 2012. There were no transfers into or out of Level 1, Level 2 or Level 3 during the three and nine months ended September 30, 2013. | ||||||||||||||||||||
The following table presents quantitative information about the Company's mortgage loans which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||||||||||
Fair Value as of | ||||||||||||||||||||
September 30, | Weighted | |||||||||||||||||||
2013 | Valuation Technique(s) | Unobservable Input | Min/Max | Average | ||||||||||||||||
Mortgage Loans | $ | 334,793,412 | Model | Constant voluntary prepayment | 1.20% | 7.50% | 3.60% | |||||||||||||
Constant default rate | 0.20% | 4.70% | 3.30% | |||||||||||||||||
Loss severity | 10.00% | 44.80% | 28.10% | |||||||||||||||||
Delinquency | 2.30% | 13.00% | 11.20% | |||||||||||||||||
During the three months ended September 30, 2013, the Company purchased mortgage loans having an unpaid principal balance of $260.6 million. The Company determined the accretable yield on these mortgage loans to be $139.5 million at the time of purchase. During the nine months ended September 30, 2013, the Company purchased mortgage loans having an unpaid principal balance of $412.9 million for $334.2 million. The Company determined the accretable yield on these mortgage loans to be a total of $222.9 million at the time of purchase. The total accretable yield on the Company's mortgage loans at September 30, 2013 was $215.5 million. | ||||||||||||||||||||
The following table presents quantitative information about the Company's real estate securities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||||||||||
Fair Value as of | ||||||||||||||||||||
September 30, | Weighted | |||||||||||||||||||
2013 | Valuation Technique(s) | Unobservable Input | Min/Max | Average | ||||||||||||||||
Non-Agency RMBS(1) | ||||||||||||||||||||
Alternative - A | $ | 73,597,312 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.8 | % | 40.4 | % | 17.2 | % | ||||||||||
Constant default rate | 0.5 | % | 9.5 | % | 3.1 | % | ||||||||||||||
Loss severity | 0 | % | 75 | % | 25.9 | % | ||||||||||||||
Delinquency | 1.4 | % | 29.4 | % | 9.9 | % | ||||||||||||||
Pay option adjustable rate | 27,557,335 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.4 | % | 20.4 | % | 9.1 | % | |||||||||||
Constant default rate | 2.6 | % | 8 | % | 4.5 | % | ||||||||||||||
Loss severity | 1.1 | % | 63.5 | % | 40.7 | % | ||||||||||||||
Delinquency | 8.3 | % | 33 | % | 15.5 | % | ||||||||||||||
Prime | 77,775,713 | Broker quotes/comparable trades | Constant voluntary prepayment | 2.5 | % | 19.3 | % | 10.1 | % | |||||||||||
Constant default rate | 1.5 | % | 9.7 | % | 4.8 | % | ||||||||||||||
Loss severity | 1.8 | % | 59 | % | 34.2 | % | ||||||||||||||
Delinquency | 5.7 | % | 29.6 | % | 13.7 | % | ||||||||||||||
Subprime | 17,622,636 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.7 | % | 12.6 | % | 6 | % | |||||||||||
Constant default rate | 3.2 | % | 14.4 | % | 4.9 | % | ||||||||||||||
Loss severity | 6.4 | % | 80.3 | % | 45.7 | % | ||||||||||||||
Delinquency | 12.5 | % | 29.6 | % | 17 | % | ||||||||||||||
Total Non-Agency RMBS | $ | 196,552,996 | ||||||||||||||||||
____________________ | ||||||||||||||||||||
-1 | The Company uses third-party dealer quotes to estimate fair value of some of its financial assets. The Company verifies selected prices by using a variety of methods, including comparing prices to internally estimated prices and corroborating the prices by reference to other independent market data, such as relevant benchmark indices and prices of similar instruments. Where the Company has disclosed unobservable inputs for broker quotes or comparable trades, those inputs are based on the Company's validations performed at the security level. | |||||||||||||||||||
The fair value measurements of these assets are sensitive to changes in assumptions regarding prepayment, probability of default, loss severity in the event of default, forecasts of home prices, and significant activity or developments in the non-Agency securities market. Significant changes in any of those inputs in isolation may result in significantly higher or lower fair value measurements. A change in the assumption used for forecasts of home price changes is accompanied by directionally opposite changes in the assumptions used for probability of default and loss severity. Significant increases (decreases) in any of these inputs in isolation would result in significantly lower (higher) fair value measurements. | ||||||||||||||||||||
Fair Value Option | ||||||||||||||||||||
Changes in fair value for assets and liabilities for which the fair value option was elected are recognized in income as they occur. The fair value option may be elected on an instrument-by-instrument basis at initial recognition of an asset or liability or upon an event that gives rise to a new basis of accounting for that instrument. | ||||||||||||||||||||
The following table presents the difference between the fair value and the aggregate unpaid principal amount and/or notional balance of assets for which the fair value option was elected: | ||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Unpaid | Unpaid | |||||||||||||||||||
Principal | Principal | |||||||||||||||||||
and/or Notional | and/or Notional | |||||||||||||||||||
Fair Value | Balance(1) | Difference | Fair Value | Balance | Difference | |||||||||||||||
Financial instruments, at fair value | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans | $ | 334,793,412 | $ | 406,167,821 | $ | (71,374,409 | ) | $ | - | $ | - | $ | - | |||||||
Real estate securities | ||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
30-year adjustable rate mortgage | - | - | - | 3,240,330 | 3,083,892 | 156,438 | ||||||||||||||
30-year fixed rate mortgage | - | - | - | 66,519,702 | 61,034,333 | 5,485,369 | ||||||||||||||
Non-Agency RMBS | 196,552,996 | 297,368,554 | (100,815,558 | ) | 100,911,651 | 109,197,632 | (8,285,981 | ) | ||||||||||||
Total RMBS | 196,552,996 | 297,368,554 | (100,815,558 | ) | 170,671,683 | 173,315,857 | (2,644,174 | ) | ||||||||||||
Total financial instruments, at fair value | $ | 531,346,408 | $ | 703,536,375 | $ | (172,189,967 | ) | $ | 170,671,683 | $ | 173,315,857 | $ | (2,644,174 | ) | ||||||
____________________ | ||||||||||||||||||||
-1 | Non-Agency RMBS includes an IO with a notional balance of $69.6 million. | |||||||||||||||||||
Fair Value of Other Financial Instruments | ||||||||||||||||||||
In addition to the above disclosures regarding assets or liabilities which are recorded at fair value, U.S. GAAP requires disclosure about the fair value of all other financial instruments. Estimated fair value of financial instruments was determined by the Company using available market information and appropriate valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. The use of different market assumptions and/or estimation methodologies may have a material effect on estimated fair values. | ||||||||||||||||||||
The following table summarizes the estimated fair value for all other financial instruments: | ||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Other financial instruments | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash | $ | 21,467,891 | $ | 19,061,110 | ||||||||||||||||
Restricted cash | 3,031,804 | 3,768,151 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||
Loan repurchase facility | $ | 240,866,906 | $ | - | ||||||||||||||||
Securities repurchase agreements | 134,246,526 | 109,270,298 | ||||||||||||||||||
Common stock repurchase liability | - | 11,190,687 | ||||||||||||||||||
Cash includes cash on hand for which fair value equals carrying value (a Level 1 measurement). Restricted cash represents the Company's cash held by counterparties as collateral against the Company's derivatives, Loan Repurchase Facility and securities repurchase agreements. Due to the short-term nature of the restrictions, fair value approximates carrying value (a Level 1 measurement). The fair value of securities repurchase agreements and of the Loan Repurchase Facility is based on an expected present value technique using observable market interest rates. As such, the Company considers the estimated fair value to be a Level 2 measurement. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for loans with similar characteristics and credit quality. The fair value of the common stock repurchase liability is equal to the agreed upon purchase price. The Company considers the estimated fair value to be a Level 3 measurement. | ||||||||||||||||||||
Mortgage_Loans
Mortgage Loans | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Mortgage Loans [Abstract] | ' | |||||||||||||||||||||||||
Mortgage Loans | ' | |||||||||||||||||||||||||
4. Mortgage Loans | ||||||||||||||||||||||||||
On March 22, 2013, the Company purchased a residential mortgage loan portfolio with an aggregate unpaid principal balance of approximately $17.7 million. | ||||||||||||||||||||||||||
On May 30, 2013, the Company entered into the Loan Repurchase Facility and utilized approximately $10.6 million of the Loan Repurchase Facility to finance its then existing residential mortgage loan portfolio. | ||||||||||||||||||||||||||
On May 31, 2013, the Company utilized approximately $78.5 million of the Loan Repurchase Facility to fund a portion of the purchase price of its acquisition of a residential mortgage loan portfolio with an unpaid principal balance of approximately $134.5 million. | ||||||||||||||||||||||||||
On July 25, 2013, the Company utilized approximately $98.7 million of its Loan Repurchase Facility to fund a portion of the purchase price of its acquisition of a residential mortgage loan portfolio with an unpaid principal balance of approximately $162.4 million. | ||||||||||||||||||||||||||
On August 28, 2013, the Company utilized approximately $54.8 million of its Loan Repurchase Facility to fund a portion of the purchase price of its acquisition of a residential mortgage loan portfolio with an unpaid principal balance of approximately $98.2 million. | ||||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's mortgage loan portfolio at September 30, 2013: | ||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||
Unpaid | ||||||||||||||||||||||||||
Principal | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield(2) | |||||||||||||||||||
Mortgage Loans | ||||||||||||||||||||||||||
Performing | ||||||||||||||||||||||||||
Fixed | $ | 219,759,258 | $ | (45,799,160 | ) | $ | 173,960,098 | $ | 6,468,904 | $ | (2,775,149 | ) | $ | 177,653,853 | 4.55 | % | 6.63 | % | ||||||||
ARM | 173,301,235 | (26,834,656 | ) | 146,466,579 | 3,161,622 | (1,411,114 | ) | 148,217,087 | 3.83 | 6.34 | ||||||||||||||||
Total performing | 393,060,493 | (72,633,816 | ) | 320,426,677 | 9,630,526 | (4,186,263 | ) | 325,870,940 | 4.23 | 6.5 | ||||||||||||||||
Non-performing(3) | 13,107,328 | (3,951,920 | ) | 9,155,408 | 278,257 | (511,193 | ) | 8,922,472 | 4.89 | 7.29 | ||||||||||||||||
Total Mortgage Loans | $ | 406,167,821 | $ | (76,585,736 | ) | $ | 329,582,085 | $ | 9,908,783 | $ | (4,697,456 | ) | $ | 334,793,412 | 4.25 | % | 6.52 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its mortgage loans. The Company recorded a gain of $3.6 million for the three months ended September 30, 2013 and a gain of $5.2 million for the nine months ended September 30, 2013, as change in unrealized gain or loss on mortgage loans in the consolidated statements of operations. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
-3 | Loans that are delinquent for 60 days or more are considered non-performing. | |||||||||||||||||||||||||
The following table presents the difference between the fair value and the aggregate unpaid principal balance of the Company's mortgage loan portfolio: | ||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||
Unpaid | Unpaid | |||||||||||||||||||||||||
Principal | Principal | |||||||||||||||||||||||||
Fair Value | Balance | Difference | Fair Value | Balance | Difference | |||||||||||||||||||||
Loan Type | ||||||||||||||||||||||||||
Performing loans: | ||||||||||||||||||||||||||
Fixed | $ | 177,653,853 | $ | 219,759,258 | $ | (42,105,405 | ) | $ | - | $ | - | $ | - | |||||||||||||
ARM | 148,217,087 | 173,301,235 | (25,084,148 | ) | - | - | - | |||||||||||||||||||
Total performing loans | 325,870,940 | 393,060,493 | (67,189,553 | ) | - | - | - | |||||||||||||||||||
Nonperforming loans | 8,922,472 | 13,107,328 | (4,184,856 | ) | - | - | - | |||||||||||||||||||
Total | $ | 334,793,412 | $ | 406,167,821 | $ | (71,374,409 | ) | $ | - | $ | - | $ | - | |||||||||||||
As of September 30, 2013, the mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk in the mortgage loan portfolio: | ||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||
Concentration | ||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid-principal-balance-to current - | ||||||||||||||||||||||||||
property-value in excess of 100% | 74.1 | % | - | |||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | ||||||||||||||||||||||||||
Each representing 10% or more of fair value: | ||||||||||||||||||||||||||
California | 25.6 | % | - | |||||||||||||||||||||||
Florida | 18 | % | - | |||||||||||||||||||||||
Additional state representing more than 5% of fair value: | - | |||||||||||||||||||||||||
Georgia | 6.8 | % |
Real_Estate_Securities
Real Estate Securities | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Real Estate Securities [Abstract] | ' | |||||||||||||||||||||||||
Real Estate Securities | ' | |||||||||||||||||||||||||
5. Real Estate Securities | ||||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's RMBS at September 30, 2013. The Company's non-Agency RMBS portfolio is not issued or guaranteed by Fannie Mae, Freddie Mac or any other U.S. Government agency or a federally chartered corporation and is therefore subject to additional credit risks. | ||||||||||||||||||||||||||
Principal or | Gross Unrealized(1) | Weighted Average | ||||||||||||||||||||||||
Notional | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield (2) | |||||||||||||||||||
Real estate securities | ||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Alternative - A(3) | $ | 156,032,245 | $ | (82,841,762 | ) | $ | 73,190,483 | $ | 1,969,402 | $ | (1,562,573 | ) | $ | 73,597,312 | 4.67 | % | 6.71 | % | ||||||||
Pay option adjustable rate | 35,284,102 | (7,390,488 | ) | 27,893,614 | 146,164 | (482,443 | ) | 27,557,335 | 0.83 | 6.71 | ||||||||||||||||
Prime | 85,732,026 | (10,040,163 | ) | 75,691,863 | 3,038,135 | (954,285 | ) | 77,775,713 | 5.4 | 6.83 | ||||||||||||||||
Subprime | 20,320,181 | (2,422,356 | ) | 17,897,825 | 458,387 | (733,576 | ) | 17,622,636 | 0.83 | 6.24 | ||||||||||||||||
Total RMBS | $ | 297,368,554 | $ | (102,694,769 | ) | $ | 194,673,785 | $ | 5,612,088 | $ | (3,732,877 | ) | $ | 196,552,996 | 4.08 | % | 6.71 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. The Company recorded a gain of $4.8 million and $6.3 million for the three months ended September 30, 2013 and 2012, respectively, and a loss of $10.0 million and a gain of $15.7 million for the nine months ended September 30, 2013 and 2012, respectively, as change in unrealized gain or loss on real estate securities in the consolidated statements of operations. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
-3 | Alternative-A RMBS includes an IO with a notional balance of $69.6 million. | |||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's RMBS at December 31, 2012: | ||||||||||||||||||||||||||
Principal or | Gross Unrealized(1) | Weighted Average | ||||||||||||||||||||||||
Notional | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield(2) | |||||||||||||||||||
Real estate securities | ||||||||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||||||||
30-year adjustable rate | ||||||||||||||||||||||||||
mortgage | $ | 3,083,892 | $ | 351,047 | $ | 3,434,939 | $ | - | $ | (194,609 | ) | $ | 3,240,330 | 2.84 | % | 2.28 | % | |||||||||
30-year fixed rate mortgage | 61,034,333 | 3,056,889 | 64,091,222 | 2,442,401 | (13,921 | ) | 66,519,702 | 3.82 | 3.44 | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Alternative - A | 38,549,827 | (8,606,689 | ) | 29,943,138 | 3,436,729 | - | 33,379,867 | 5.69 | 7.95 | |||||||||||||||||
Pay option adjustable rate | 1,249,426 | (378,803 | ) | 870,623 | 95,221 | - | 965,844 | 1.19 | 8.67 | |||||||||||||||||
Prime | 64,978,647 | (8,074,525 | ) | 56,904,122 | 5,668,301 | (2,298 | ) | 62,570,125 | 5.79 | 7.34 | ||||||||||||||||
Subprime | 4,419,732 | (825,131 | ) | 3,594,601 | 401,214 | - | 3,995,815 | 0.98 | 9.1 | |||||||||||||||||
Total RMBS | $ | 173,315,857 | $ | (14,477,212 | ) | $ | 158,838,645 | $ | 12,043,866 | $ | (210,828 | ) | $ | 170,671,683 | 4.81 | % | 5.89 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
The following table presents certain information regarding the Company's non-Agency RMBS securities as of September 30, 2013 by weighted average life: | ||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Weighted Average | ||||||||||||||||||||||||||
Fair Value | Amortized Cost | Yield | ||||||||||||||||||||||||
Weighted average life(1) | ||||||||||||||||||||||||||
Greater than 5 years | $ | 196,552,996 | $ | 194,673,785 | 6.71 | % | ||||||||||||||||||||
$ | 196,552,996 | $ | 194,673,785 | 6.71 | % | |||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. | |||||||||||||||||||||||||
At September 30, 2013, the contractual maturities of the real estate securities ranged from 7.9 to 33.3 years, with a weighted average maturity of 24.7 years. All real estate securities held by the Company at September 30, 2013 were issued by issuers based in the U.S. | ||||||||||||||||||||||||||
The following table presents proceeds from the sale of real estate securities, realized losses on the sale of real estate securities and realized losses on other-than-temporary impairments: | ||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||
Proceeds from the sale of real estate securities | $ | 228,924,943 | $ | 36,000,527 | $ | 282,838,041 | $ | 64,759,903 | ||||||||||||||||||
Realized (loss)/gain on the sale of real estate securities | (8,044,415 | ) | 849,794 | (8,251,291 | ) | (886,723 | ) | |||||||||||||||||||
Realized (loss) on other-than-temporary impairments | (1,068,845 | ) | - | (1,108,024 | ) | (215,345 | ) | |||||||||||||||||||
The following table presents certain information regarding the Company's Agency and non-Agency RMBS securities as of December 31, 2012 by weighted average life: | ||||||||||||||||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||||
Amortized | Average | Amortized | Average | |||||||||||||||||||||||
Fair Value | Cost | Yield | Fair Value | Cost | Yield | |||||||||||||||||||||
Weighted average life(1) | ||||||||||||||||||||||||||
Greater than 5 years | $ | 69,760,032 | $ | 67,526,161 | 3.38 | % | $ | 100,911,651 | $ | 91,312,484 | 7.63 | % | ||||||||||||||
$ | 69,760,032 | $ | 67,526,161 | 3.38 | % | $ | 100,911,651 | $ | 91,312,484 | 7.63 | % | |||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. | |||||||||||||||||||||||||
At December 31, 2012, the contractual maturities of the real estate securities ranged from 8.6 to 33.7 years, with a weighted average maturity of 26.1 years. All real estate securities held by the Company at December 31, 2012 were issued by issuers based in the United States of America. | ||||||||||||||||||||||||||
Loan_Repurchase_Facility
Loan Repurchase Facility | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Loan Repurchase Facility [Abstract] | ' | |||||||||||||
Loan Repurchase Facility | ' | |||||||||||||
6. Loan Repurchase Facility | ||||||||||||||
Mortgage Loans | ||||||||||||||
The Loan Repurchase Facility is used to fund purchases of the Company's mortgage loans and, during the nine months ended September 30, 2013, the Company utilized the Loan Repurchase Facility to fund purchases of a portion of its residential mortgage loan portfolio with an unpaid principal balance of approximately $412.9 million at the time of acquisition. The Loan Repurchase Facility closed on May 30, 2013, and is committed for a period of 364 days from inception. The obligations are fully guaranteed by the Company. | ||||||||||||||
The principal amount paid by Citi under the Loan Repurchase Facility for the Trust Certificate, which represent interests in residential mortgage loans, is based on a percentage of the lesser of the market value or the unpaid principal balance of such mortgage loans backing the Trust Certificate. Upon the Company's repurchase of a Trust Certificate sold to Citi under the Loan Repurchase Facility, the Company is required to repay Citi a repurchase amount based on the purchase price plus accrued interest. The Company is also required to pay Citi a commitment fee for the Loan Repurchase Facility, as well as certain other administrative costs and expenses in connection with Citi's structuring, management and ongoing administration of the Loan Repurchase Facility. | ||||||||||||||
The Loan Repurchase Facility contains margin call provisions that provide Citi with certain rights in the event of a decline in the market value of the mortgage loans backing the purchased Trust Certificate, subject to a floor amount. Under these provisions, Citi may require the Company to transfer cash sufficient to eliminate any margin deficit resulting from such a decline. | ||||||||||||||
The following table presents certain information regarding the Company's Loan Repurchase Facility as of September 30, 2013 by remaining maturity: | ||||||||||||||
Mortgage loans | ||||||||||||||
Weighted | ||||||||||||||
Balance | Average Rate | |||||||||||||
Loan Repo Facility borrowings maturing within | ||||||||||||||
30 days or less | $ | - | - | % | ||||||||||
31-90 days | - | - | ||||||||||||
91-180 days | - | - | ||||||||||||
Greater than 180 days to 1 year | 240,477,801 | 2.93 | ||||||||||||
Total/weighted average | $ | 240,477,801 | 2.93 | % | ||||||||||
The following table presents information with respect to the Company's posting of mortgage loan collateral at September 30, 2013: | ||||||||||||||
Repurchase agreements secured by mortgage loans | $ | 240,477,801 | ||||||||||||
Fair value of Trust Certificates pledged as collateral under repurchase agreements | 334,539,232 | |||||||||||||
Fair value of mortgage loans not pledged as collateral under repurchase agreements | 254,180 | |||||||||||||
Cash pledged under repurchase agreements secured by mortgage loans | - | |||||||||||||
The following is a summary of financial information relating to Trust Certificates at fair value sold under agreements to repurchase: | ||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Period end: | ||||||||||||||
Balance | $ | 240,477,801 | $ | - | $ | 240,477,801 | $ | - | ||||||
Unused amount(1) | n/a | - | n/a | - | ||||||||||
Weighted-average interest rate at end of period | 2.93 | % | - | 2.93 | % | - | ||||||||
Fair value of Trust Certificates securing agreements to repurchase | 334,539,232 | - | 334,539,232 | - | ||||||||||
During the period: | ||||||||||||||
Weighted-average interest rate | 3.03 | % | - | 3.05 | % | - | ||||||||
Average balance of loans sold under agreements to repurchase | 277,878 | - | 273,686 | - | ||||||||||
Maximum daily amount outstanding | 240,477,801 | - | 240,477,801 | - | ||||||||||
Total interest expense | 1,455,617 | - | 1,744,913 | - | ||||||||||
____________________ | ||||||||||||||
-1 | The amount the Company is able to borrow under loan repurchase agreements is tied to the fair value of unencumbered Trust Certificates eligible to secure those agreements and the Company's ability to fund the agreements' margin requirements relating to the collateral sold. |
Securities_Repurchase_Agreemen
Securities Repurchase Agreements | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Securities Repurchase Agreements [Abstract] | ' | |||||||||||
Securities Repurchase Agreements | ' | |||||||||||
7. Securities Repurchase Agreements | ||||||||||||
Repurchase agreements related to real estate securities involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." Repurchase agreements related to real estate securities entered into by the Company are accounted for as financings and require the repurchase of the transferred securities at the end of each arrangement's term, typically 30 to 90 days. The Company maintains the beneficial interest in the specific securities pledged during the term of the repurchase arrangement and receives the related principal and interest payments. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase arrangement at which time the Company may enter into a new repurchase arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security paydown factors, the lender requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparty in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. Under the terms of the Company's master repurchase agreements related to real estate securities, the counterparty may sell or re-hypothecate the pledged collateral. | ||||||||||||
The following table presents certain information regarding the Company's real estate securities repurchase agreements as of September 30, 2013 by remaining maturity and collateral type: | ||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||
Weighted | Weighted | |||||||||||
Balance | Average Rate | Balance | Average Rate | |||||||||
Repurchase agreements maturing within | ||||||||||||
30 days or less | $ | - | - | % | $ | 134,062,326 | 1.98 | % | ||||
31-60 days | - | - | - | - | ||||||||
61-90 days | - | - | - | - | ||||||||
Greater than 90 days | - | - | - | - | ||||||||
Total/weighted average | $ | - | - | % | $ | 134,062,326 | 1.98 | % | ||||
The following table presents certain information regarding the Company's real estate securities repurchase agreements as of December 31, 2012 by remaining maturity and collateral type: | ||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||
Weighted | Weighted | |||||||||||
Balance | Average Rate | Balance | Average Rate | |||||||||
Repurchase agreements maturing within | ||||||||||||
30 days or less | $ | 44,174,600 | 0.49 | % | $ | 49,441,377 | 2.15 | % | ||||
31-60 days | 10,866,170 | 0.49 | - | - | ||||||||
61-90 days | 11,598,320 | 0.47 | - | - | ||||||||
Greater than 90 days | - | - | - | - | ||||||||
Total/weighted average | $ | 66,639,090 | 0.49 | % | $ | 49,441,377 | 2.15 | % | ||||
Although real estate securities 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 would require the Company to provide additional collateral or cash to fund margin calls. | ||||||||||||
The following table presents information with respect to the Company's posting of RMBS collateral at September 30, 2013: | ||||||||||||
Securities repurchase agreements secured by non-Agency RMBS | $ | 134,062,326 | ||||||||||
Fair value of non-Agency RMBS pledged as collateral under securities repurchase agreements | 180,081,818 | |||||||||||
Fair value of non-Agency RMBS not pledged as collateral under securities repurchase agreements | 16,471,178 | |||||||||||
Cash pledged under securities repurchase agreements secured by RMBS | 1,801,323 | |||||||||||
The following table presents information with respect to the Company's posting of RMBS collateral at December 31, 2012: | ||||||||||||
Securities repurchase agreements secured by Agency RMBS | $ | 66,639,090 | ||||||||||
Fair value of Agency RMBS pledged as collateral under securities repurchase agreements | 63,535,780 | |||||||||||
Fair value of Agency RMBS not pledged as collateral under securities repurchase agreements | 6,224,252 | |||||||||||
Securities repurchase agreements secured by non-Agency RMBS | 49,441,377 | |||||||||||
Fair value of non-Agency RMBS pledged as collateral under securities repurchase agreements | 70,003,218 | |||||||||||
Fair value of non-Agency RMBS not pledged as collateral under securities repurchase agreements | 30,908,433 | |||||||||||
Cash pledged under securities repurchase agreements secured by RMBS | 1,335,305 |
Derivative_Instruments
Derivative Instruments | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Derivative Instruments [Abstract] | ' | ||||||||||||||||||
Derivative Instruments | ' | ||||||||||||||||||
8. Derivative Instruments | |||||||||||||||||||
Interest Rate Swap Agreements | |||||||||||||||||||
To help mitigate exposure to higher short-term interest rates, the Company uses currently-paying and forward-starting, three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. These agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company's effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. | |||||||||||||||||||
The Company's interest rate swap agreements have not been designated as hedging instruments. | |||||||||||||||||||
TBA Securities | |||||||||||||||||||
The Company enters into TBA contracts as a means of acquiring exposure to Agency RMBS and may, from time to time, utilize TBA dollar roll transactions to finance Agency RMBS purchases. The Company may also enter into TBA contracts as a means of hedging against short-term changes in interest rates. The Company accounts for its TBA contracts as derivative instruments due to the fact that it does not intend to take physical delivery of the securities. | |||||||||||||||||||
The following table summarizes information related to derivative instruments: | |||||||||||||||||||
September 30, | December 31, | ||||||||||||||||||
Non-hedge derivatives | 2013 | 2012 | |||||||||||||||||
Notional amount of interest rate swaps | $ | 17,200,000 | $ | 32,600,000 | |||||||||||||||
Notional amount of TBAs | - | - | |||||||||||||||||
Total notional amount | $ | 17,200,000 | $ | 32,600,000 | |||||||||||||||
During the three months ended September 30, 2013, the Company paired off purchases of TBA securities with a combined notional amount of $170.0 million by entering into simultaneous sales of TBA securities and recognized realized losses of $3.0 million and a change in unrealized gains or losses of $2.5 million as a result. During the nine months ended September 30, 2013, the Company paired off purchases of TBA securities with a combined notional amount of $643.0 million by entering into simultaneous sales of TBA securities and realized losses of $4.2 million and recognized a change in unrealized gains or losses of $0.5 million as a result. | |||||||||||||||||||
The following table presents the fair value of the Company's derivative instruments and their balance sheet location: | |||||||||||||||||||
September 30, | December 31, | ||||||||||||||||||
Derivative instruments | Designation | Balance Sheet Location | 2013 | 2012 | |||||||||||||||
Interest rate swaps | Non-hedge | Derivative liabilities, at fair value | $ | (52,457 | ) | $ | (1,144,744 | ) | |||||||||||
TBAs(1) | Non-hedge | Derivative liabilities, at fair value | $ | (544,531 | ) | $ | - | ||||||||||||
____________________ | |||||||||||||||||||
-1 | At September 30, 2013 the Company has no remaining exposure to TBA contracts as all open contracts had been paired off. The related derivative liability at September 30, 2013 represents settlement amounts to be paid subsequent to September 30, 2013. | ||||||||||||||||||
The following table summarizes gains and losses related to derivatives: | |||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||
Non-hedge | September 30, | September 30, | September 30, | September 30, | |||||||||||||||
derivatives | Income Statement Location | 2013 | 2012 | 2013 | 2012 | ||||||||||||||
Interest rate swaps | Gain/(loss) on derivative instruments | $ | 2,058,737 | $ | (362,681 | ) | $ | 10,275,664 | $ | (1,118,633 | ) | ||||||||
TBAs(1) | Gain/(loss) on derivative instruments | (548,594 | ) | - | (4,785,996 | ) | - | ||||||||||||
____________________ | |||||||||||||||||||
-1 | For the three and nine month periods ended September 30, 2013, gains and losses from purchases and sales of TBAs consist of $0.2 million and $1.3 million, respectively, of net TBA dollar roll net interest income and net losses of $0.8 million and $6.0 million, respectively, due to price declines. | ||||||||||||||||||
The following table presents information about the Company's interest rate swap agreements as of September 30, 2013: | |||||||||||||||||||
Weighted | Weighted | Weighted | |||||||||||||||||
Average Pay | Average Receive | Average Years to | |||||||||||||||||
Maturity | Notional Amount | Rate | Rate | Maturity | |||||||||||||||
2023 | $ | 17,200,000 | 2.72 | % | 0.26 | % | 9.8 | ||||||||||||
Total/Weighted average | $ | 17,200,000 | 2.72 | % | 0.26 | % | 9.8 | ||||||||||||
The following table presents information about the Company's interest rate swap agreements as of December 31, 2012: | |||||||||||||||||||
Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||
Maturity | Notional Amount | Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||
2016 | $ | 12,102,000 | 1.21 | % | 0.31 | % | 3.7 | ||||||||||||
2017 | 11,050,000 | 1.28 | 0.31 | 4.3 | |||||||||||||||
2021 | 9,448,000 | 2.16 | 0.31 | 8.7 | |||||||||||||||
Total/Weighted average | $ | 32,600,000 | 1.51 | % | 0.31 | % | 5.3 | ||||||||||||
Restricted cash at September 30, 2013 included $0.3 million of cash pledged as collateral against TBA contracts and $0.9 million of cash pledged as collateral against interest rate swap agreements. Restricted cash at December 31, 2012 included $2.4 million of cash pledged as collateral against interest rate swaps. | |||||||||||||||||||
Earnings_Per_Share
Earnings Per Share | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||
Earnings Per Share | ' | ||||||||||||
9. Earnings Per Share | |||||||||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share: | |||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||
September 30, | September 30, | September 30, | September 30, | ||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||
Numerator: | |||||||||||||
Net income/(loss) attributable to ZAIS Financial Corp. common | |||||||||||||
stockholders | $ | 3,716,061 | $ | 8,054,362 | $ | (1,405,119 | ) | $ | 17,607,955 | ||||
Effect of dilutive securities: | |||||||||||||
Net income/(loss) allocated to non-controlling interests | 432,132 | - | (57,250 | ) | - | ||||||||
Dilutive net income/(loss) available to stockholders | $ | 4,148,193 | $ | 8,054,362 | $ | (1,462,369 | ) | $ | 17,607,955 | ||||
Denominator: | |||||||||||||
Weighted average number of shares of common stock | 7,970,886 | 2,843,203 | 7,038,304 | 2,962,376 | |||||||||
Effect of dilutive securities: | |||||||||||||
Weighted average number of OP units | 926,914 | - | 926,914 | - | |||||||||
Weighted average dilutive shares | 8,897,800 | 2,843,203 | 7,965,218 | 2,962,376 | |||||||||
Net income/(loss) per share applicable to ZAIS Financial | |||||||||||||
Corp. common stockholders - Basic/Diluted | $ | 0.47 | $ | 2.83 | $ | (.20 | ) | $ | 5.94 |
Related_Party_Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions | ' |
10. Related Party Transactions | |
ZAIS REIT Management, LLC | |
The Company is externally managed and advised by the Advisor, a subsidiary of ZAIS. Subject to certain restrictions and limitations, the Advisor is responsible for managing the Company's affairs on a day-to-day basis including, among other responsibilities, (i) the selection, purchase and sale of the Company's portfolio of assets, (ii) the Company's financing activities and (iii) providing the Company with advisory services. | |
The Company pays to its Advisor an advisory fee, calculated and payable quarterly in arrears, equal to 1.5% per annum of the Company's stockholders' equity, as defined in the amended and restated investment advisory agreement between the Company and the Advisor, dated as of December 13, 2012, as amended from time to time (the "Investment Advisory Agreement"). Prior to the Company's IPO, the advisory fee paid to the Advisor was calculated based on the Company's net asset value, as set forth in the Investment Advisory Agreement. | |
The Advisor may be paid or reimbursed for the documented cost of its performing certain services for the Company, which may include legal, accounting, due diligence tasks and other services, that outside professionals or outside consultants otherwise would perform, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm's-length basis. In addition, the Company may be required to pay its portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Advisor and its affiliates required for the Company's operations. To date, the Advisor has not sought reimbursement for the services and expenses described in the two preceding sentences. The Advisor may seek such reimbursement in the future, as a result of which the expense ratio of the Company may increase. The Company will also pay directly, or reimburse the Advisor for, products and services provided by third parties to the Company, other than those operating expenses required to be borne by the Advisor under the Investment Advisory Agreement. After an initial three-year term, the Advisor may be terminated annually upon the affirmative vote of at least two-thirds of the Company's independent directors or by a vote of the holders of at least two-thirds of the outstanding shares of the Company's common stock based upon (i) unsatisfactory performance by the Advisor that is materially detrimental to the Company or (ii) a determination that the advisory fees payable to the Advisor are not fair, subject to the Advisor's right to prevent such termination due to unfair fees by accepting a reduction of advisory fees agreed to by at least two-thirds of the Company's independent directors. Additionally, upon such a termination without cause, the Investment Advisory Agreement provides that the Company will pay the Advisor a termination fee equal to three times the average annual advisory fee earned by the Advisor during the prior 24-month period immediately preceding such termination, calculated as of the end of the most recently completed fiscal year before the date of termination. | |
For the three and nine months ended September 30, 2013, the Company incurred $0.7 million and $1.9 million in advisory fee expense, respectively. For the three and nine months ended September 30, 2012, the Company incurred $0.3 million and $0.7 million in advisory fee expense, respectively. At September 30, 2013, $0.7 million in advisory fee expense was included in accounts payable and other liabilities in the consolidated balance sheet. The advisory fee was calculated and payable as set forth above. | |
For the nine months ended September 30, 2013, the Company acquired RMBS with a principal balance of $17.4 million for $15.7 million from a fund managed by ZAIS. The Company had no such acquisitions from funds managed by ZAIS for the three months ended September 30, 2013. | |
Stockholders_Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2013 | |
Stockholders' Equity [Abstract] | ' |
Stockholders' Equity | ' |
11. Stockholders' Equity | |
Common Stock | |
The holders of shares of the Company's common stock are entitled to one vote per share on all matters voted on by common stockholders, including election of the Company's directors. The Company's charter does not provide for cumulative voting in the election of directors. Therefore, the holders of a majority of the outstanding shares of the Company's common stock can elect its entire board of directors. Subject to any preferential rights of any outstanding series of preferred stock, the holders of shares of the Company's common stock are entitled to such distributions as may be authorized from time to time by the Company's board of directors out of legally available funds and declared by the Company and, upon liquidation, are entitled to receive all assets available for distribution to stockholders. Holders of shares of the Company's common stock do not have preemptive rights. This means that stockholders do not have an automatic option to purchase any new shares of common stock that the Company issues. In addition, stockholders only have appraisal rights under circumstances specified by the Company's board of directors or where mandated by law. | |
Initial Public Offering | |
On February 13, 2013, the Company completed its IPO, pursuant to which the Company sold 5,650,000 shares of its common stock to the public at a price of $21.25 per share for gross proceeds of $120.1 million. Net proceeds after the payment of offering costs of approximately $1.2 million were $118.9 million. In connection with the IPO, the Advisor paid $6.3 million in underwriting fees. The Company did not pay any underwriting fees, discounts or commissions in connection with the IPO above those paid by our Advisor. | |
Common Stock Repurchase | |
In January 2013, the Company's agreement with one of its stockholders to repurchase 515,035 shares of common stock was amended to require the Company to repurchase only 265,245 shares of the Company's common stock. The amended repurchase amount was approximately $5.8 million which was predominantly paid to such stockholder during the three months ended March 31, 2013 with the remaining amount paid during the three months ended June 30, 2013. | |
The Company had 7,970,886 and 2,071,096 shares of common stock outstanding as of September 30, 2013 and December 31, 2012, respectively. | |
Private Placements | |
In October 2012, the Company completed a private placement in which it sold 195,458 shares of common stock and the Operating Partnership sold 22,492 OP units. In December 2012, the Company completed a private placement in which it sold 36,581 shares of common stock and the Operating Partnership sold 904,422 OP units. Net proceeds from the two private placements were $25,151,174, net of approximately $763,000 in offering costs. | |
Dividends and Distributions | |
On May 1, 2012, the Company declared a cash dividend of $0.51 per share of common stock. The common stock dividend was paid on May 15, 2012 to stockholders of record as of the close of business on May 1, 2012. | |
On June 5, 2012, the Company declared a cash dividend of $0.57 per share of common stock. The common stock dividend was paid on June 21, 2012 to stockholders of record as of the close of business on June 5, 2012. | |
On October 22, 2012, the Company declared a cash dividend of $0.89 per share of common stock and OP unit. The dividend was paid on October 29, 2012 to stockholders and OP unit holders of record as of the close of business on October 22, 2012. | |
On November 29, 2012, the Company declared a cash dividend of $0.98 per share of common stock and OP unit. The dividend was paid on December 6, 2012 to stockholders and OP unit holders of record as of the close of business on November 29, 2012. | |
On December 19, 2012, the Company declared a cash dividend of $1.16 per share of common stock and OP unit. The dividend was paid on December 26, 2012 to stockholders and OP unit holders of record as of the close of business on December 19, 2012. | |
On May 14, 2013, the Company declared a cash dividend of $0.22 per share of common stock and OP unit. The dividend was paid on May 31, 2013 to stockholders and OP unit holders of record as of the close of business on May 24, 2013. | |
On June 25, 2013, the Company declared a cash dividend of $0.45 per share of common stock and OP unit. The dividend was paid on July 23, 2013 to stockholders and OP unit holders of record as of the close of business on July 9, 2013. | |
On September 18, 2013, the Company declared a cash dividend of $0.50 per share of common stock and OP unit. The dividend was payable on October 11, 2013 to stockholders and OP unit holders of record as of the close of business on September 30, 2013. | |
As of September 30, 2013, the Company had undistributed taxable income of approximately $1.07 per share primarily attributable to the termination of interest rate swap contracts during the quarter ended September 30, 2013. While the Company intends to distribute all or substantially all of its taxable income through dividends declared on or prior to December 31, 2013, no assurances can be given as to the amount of such distribution as certain events and expenses will impact the amount of such distributions. | |
Preferred Shares | |
The Company's charter authorizes its board of directors to classify and reclassify any unissued shares of its common stock and preferred stock into other classes or series of stock. Prior to issuance of shares of each class or series, the board of directors is required by the Company's charter to set, subject to the charter restrictions on transfer of its stock, the terms, preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications and terms or conditions of redemption for each class or series. Thus, the board of directors could authorize the issuance of shares of common stock or preferred stock with terms and conditions which could have the effect of delaying, deferring or preventing a transaction or change in control that might involve a premium price for holders of the Company's common stock or otherwise be in their best interest. | |
On January 18, 2012 the Company completed a private placement of 133 shares of its 12.5% Series A Cumulative Non-Voting Preferred Stock (the "Series A Preferred Stock") raising net proceeds of $115,499, net of $17,501 in offering fees. | |
On February 15, 2013, the Company redeemed all 133 shares of its 12.5% Series A Preferred Stock outstanding for an aggregate redemption price, including preferred dividend, of $148,379. | |
Noncontrolling_Interests_in_Op
Non-controlling Interests in Operating Partnership | 9 Months Ended |
Sep. 30, 2013 | |
Non-controlling Interests in Operating Partnership [Abstract] | ' |
Non-controlling Interests in Operating Partnership | ' |
12. Non-controlling Interests in Operating Partnership | |
Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to OP units in the Operating Partnership held by parties other than the Company. | |
Certain individuals and entities own OP units in the Operating Partnership. An OP unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. OP unit holders have the right to redeem their OP units, subject to certain restrictions. The redemption is required to be satisfied in shares of common stock or cash at the Company's option, calculated as follows: one share of the Company's common stock, or cash equal to the fair value of a share of the Company's common stock at the time of redemption, for each OP unit. When an OP unit holder redeems an OP unit, non-controlling interest in the Operating Partnership is reduced and the Company's equity is increased. As of September 30, 2013, the non-controlling interest OP unit holders owned 926,914 OP units, or 10.4% of the OP Units issued by the Operating Partnership. As of December 31, 2012, the non-controlling interest OP unit holders owned 926,914 OP units, or 30.9% of the OP Units issued by the Operating Partnership. | |
Pursuant to ASC 810, Consolidation, regarding the accounting and reporting for non-controlling interests and changes in ownership interests of a subsidiary, changes in a parent's ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary, should be accounted for as equity transactions. The carrying amount of the non-controlling interest shall be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the Company. | |
Commitments_and_Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2013 | |
Commitments and Contingencies [Abstract] | ' |
Commitments and Contingencies | ' |
13. Commitments and Contingencies | |
Advisor Services | |
The Company is dependent on the Advisor for certain services that are essential to the Company, including the identification, evaluation, negotiation, origination, acquisition and disposition of investments; management of the daily operations of the Company's investment portfolio including determination of fair value; and other general and administrative responsibilities. In the event that the Advisor is unable to provide the respective services, the Company will be required to obtain such services from an alternative source. | |
Litigation | |
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any contingencies that would require accrual or disclosure in the financial statements at September 30, 2013 or December 31, 2012. | |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Offsetting Assets and Liabilities [Abstract] | ' | ||||||||||||||||||||
Offsetting Assets and Liabilities | ' | ||||||||||||||||||||
14. Offsetting Assets and Liabilities | |||||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on the Company's consolidated balance sheet at September 30, 2013 and December 31, 2012: | |||||||||||||||||||||
Offsetting of Liabilities | |||||||||||||||||||||
Net Amounts | Gross Amounts Not Offset in the | ||||||||||||||||||||
Gross | of Liabilities | Consolidated Balance Sheet | |||||||||||||||||||
Gross | Amounts | Presented in | |||||||||||||||||||
Amounts of | Offset in the | the | |||||||||||||||||||
Recognized | Consolidated | Consolidated | Financial | Cash Collateral | Net | ||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Instruments | Pledged | Amount | ||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Loan repurchase facility | $ | 240,477,801 | $ | - | $ | 240,477,801 | $ | (240,477,801 | ) | $ | - | $ | - | ||||||||
Securities repurchase agreements | 134,062,326 | - | 134,062,326 | (132,261,003 | ) | (1,801,323 | ) | - | |||||||||||||
TBAs | 920,000 | (375,469 | ) | 544,531 | - | (355,769 | ) | 188,762 | |||||||||||||
Interest rate swap agreements | 270,438 | (217,981 | ) | 52,457 | - | (52,457 | ) | ||||||||||||||
Total | $ | 375,730,565 | $ | (593,450 | ) | $ | 375,137,115 | $ | (372,738,804 | ) | $ | (2,209,549 | ) | $ | 188,762 | ||||||
31-Dec-12 | |||||||||||||||||||||
Securities repurchase agreements | $ | 116,080,467 | $ | - | $ | 116,080,467 | $ | (114,745,162 | ) | $ | (1,335,305 | ) | $ | - | |||||||
Interest rate swap agreements | 1,144,744 | - | 1,144,744 | - | (1,144,744 | ) | - | ||||||||||||||
$ | 117,225,211 | $ | - | $ | 117,225,211 | $ | (114,745,162 | ) | $ | (2,480,049 | ) | $ | - | ||||||||
Offsetting of Assets | |||||||||||||||||||||
There were no assets that were offset on the Company's consolidated balance sheet at September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
15. Subsequent Events | |
None | |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2013 | ||
Summary of Significant Accounting Policies [Abstract] | ' | |
Basis of Quarterly Presentation | ' | |
Basis of Quarterly Presentation | ||
The accompanying consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("U.S. GAAP") as contained within the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") and the rules and regulations of the U.S. Securities and Exchange Commission ("SEC") for interim financial reporting. 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 and are of a normal and recurring nature. The operating results presented for the interim period are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Certain prior period amounts have been reclassified to conform to the current period's presentation. | ||
The Company currently operates as one business segment. | ||
Estimates | ' | |
Estimates | ||
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may ultimately differ from those estimates. | ||
Principles of Consolidation | ' | |
Principles of Consolidation | ||
The consolidated financial statements include the accounts of the Company, the Operating Partnership, and all of the wholly owned subsidiaries of the Operating Partnership. The Company, which serves as the sole general partner of and conducts substantially all of its business through the Operating Partnership, holds approximately 89.6% of the OP units in the Operating Partnership as of September 30, 2013. The Operating Partnership in turn holds directly or indirectly all of the equity interests in its subsidiaries. All intercompany balances have been eliminated in consolidation. | ||
Variable Interest Entities | ' | |
Variable Interest Entities | ||
A variable interest entity ("VIE") is an entity that lacks one or more of the characteristics of a voting interest entity. The Company evaluates each of its investments to determine whether it is a VIE based on: (1) the sufficiency of the entity's equity investment at risk to finance its activities without additional subordinated financial support provided by any parties, including the equity holders; (2) whether as a group the holders of the equity investment at risk have (a) the power, through voting rights or similar rights, to direct the activities of a legal entity that most significantly impacts the entity's economic performance, (b) the obligation to absorb the expected losses of the legal entity and (c) the right to receive the expected residual returns of the legal entity; and (3) whether the voting rights of these investors are proportional to their obligations to absorb the expected losses of the entity, their rights to receive the expected returns of their equity, or both, and whether substantially all of the entity's activities involve or are conducted on behalf of an investor that has disproportionately fewer voting rights. An investment that lacks one or more of the above three characteristics is considered to be a VIE. The Company reassesses its initial evaluation of an entity as a VIE upon the occurrence of certain reconsideration events. | ||
A VIE is subject to consolidation 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 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. | ||
The Company has evaluated its real estate securities investments to determine if each represents a variable interest in a VIE. The Company monitors these investments and analyzes them for potential consolidation. The Company's real estate securities investments represent variable interests in VIEs. At September 30, 2013 and December 31, 2012, no VIEs required consolidation as the Company was not the primary beneficiary of any of these VIEs. At September 30, 2013 and December 31, 2012, the maximum exposure of the Company to VIEs is limited to the fair value of its investments in real estate securities as disclosed in the consolidated balance sheets. | ||
Cash and Cash Equivalents | ' | |
Cash and Cash Equivalents | ||
The Company considers highly liquid short-term interest bearing instruments with original maturities of three months or less and other instruments readily convertible into cash to be cash equivalents. The Company's deposits with financial institutions may exceed federally insurable limits of $250,000 per institution. The Company mitigates this risk by depositing funds with major financial institutions. At September 30, 2013, the Company's cash was held with two custodians. | ||
Restricted Cash | ' | |
Restricted Cash | ||
Restricted cash represents the Company's cash held by counterparties as collateral against the Company's derivatives and/or repurchase agreements. Cash held by counterparties as collateral is not available to the Company for general corporate purposes, but may be applied against amounts due to derivative or repurchase agreement counterparties or returned to the Company when the collateral requirements are exceeded or at the maturity of the derivatives or repurchase agreements. | ||
Fair Value Election and Determination of Fair Value Measurement | ' | |
Mortgage Loans and Real Estate Securities-Fair Value Election | ||
U.S. GAAP permits entities to choose to measure certain eligible financial instruments at fair value. The Company has elected the fair value option for each of its mortgage loans and real estate securities, at the date of purchase, including those contributed in connection with the Company's initial formation transaction. The fair value option election is irrevocable and requires the Company to measure these mortgage loans and real estate securities at estimated fair value with the change in estimated fair value recognized in earnings. The Company has established a policy for these assets to separate interest income from the full change in fair value in the consolidated statement of operations. The interest income component is presented as interest income on mortgage loans and interest income on real estate securities and the remainder of the change in fair value is presented separately as changes in unrealized gain or loss on mortgage loans and changes in unrealized gain or loss on real estate securities, respectively, in the Company's consolidated statements of operations. | ||
Determination of Fair Value Measurement | ||
The "Fair Value Measurements and Disclosures" Topic of the FASB ASC defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under U.S. GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date. | ||
Fair value under U.S. GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company was forced to sell assets in a short period to meet liquidity needs, the prices it receives could be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will be required to sell securities in an unrealized loss position prior to an expected recovery in fair value (if any), the amount of such expected required sales, and the projected identification of which securities would be sold is also subject to significant judgment. | ||
Any proposed changes to the valuation methodology will be reviewed by the Advisor to ensure changes are consistent with the applicable accounting guidance and approved as appropriate. The fair value methodology may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that the Advisor's valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions by other market participants, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. | ||
The Company categorizes its financial instruments in accordance with U.S. GAAP, based on the priority of the inputs to the valuation, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. | ||
Financial assets and liabilities recorded on the consolidated balance sheets are categorized based on the inputs to the valuation techniques as follows: | ||
Level 1 Quoted prices for identical assets or liabilities in an active market. | ||
Level 2 | Financial assets and liabilities whose values are based on the following: | |
Quoted prices for similar assets or liabilities in active markets | ||
Quoted prices for identical or similar assets or liabilities in nonactive markets. | ||
Pricing models whose inputs are observable for substantially the full term of the asset or liability. | ||
Pricing models whose inputs are derived principally from or corroborated by observable market data for substantially the full term of the asset or liability. | ||
Level 3 | Prices or valuation techniques based on inputs that are both unobservable and significant to the overall fair value measurement. | |
The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The income approach uses valuation techniques to convert future projected cash flows to a single discounted present value amount. When applying either approach, the Company maximizes the use of observable inputs and minimizes the use of unobservable inputs. The Company's assessment of the significance of a particular input to the fair value measurement in its entirety requires significant judgment and considers factors specific to the investment. The Company utilizes proprietary modeling analysis to support the independent third party broker quotes selected to determine the fair value of securities and derivative instruments. | ||
The following is a description of the valuation techniques used to measure fair value and the general classification of these instruments pursuant to the fair value hierarchy. | ||
Mortgage Loans | ||
The fair value of the Company's mortgage loans is determined using a proprietary model that considers data such as loan origination information and additional updated borrower and loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, loss severity and prepayment rates. The Company uses loan level data, macro-economic inputs and forward interest rates to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans. Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy. | ||
Real Estate Securities | ||
The fair value of the Company's real estate securities considers the underlying characteristics of each security including coupon, maturity date and collateral. The Company estimates the fair value of its RMBS based upon a combination of observable prices in active markets, multiple indicative quotes from brokers and executable bids. In evaluating broker quotes the Company also considers additional observable market data points including recent observed trading activity for identical and similar securities, back-testing, broker challenges and other interactions with market participants, as well as yield levels generated by model-based valuation techniques. In the absence of observable quotes, the Company utilizes model-based valuation techniques that may contain unobservable valuation inputs. | ||
When available, the fair value of real estate securities is based on quoted prices in active markets. If quoted prices are not available, fair values are obtained from either broker quotes, observed traded levels or model-based valuation techniques using observable inputs such as benchmark yields or issuer spreads. | ||
While the Company's non-Agency RMBS are valued using the same process with similar inputs as the Agency RMBS, a significant amount of inputs are unobservable due to relatively low levels of market activity. The fair value of these securities is typically based on broker quotes or the Company's model-based valuation. Accordingly, the Company's non-Agency RMBS are classified as Level 3 in the fair value hierarchy. Model-based valuation consists primarily of discounted cash flow and yield analyses. Significant model inputs and assumptions include constant voluntary prepayment rates, constant default rates, delinquency rates, loss severity, market-implied discount rates, default rates, expected loss severity, weighted average life, collateral composition, borrower characteristics and prepayment rates, and may also include general economic conditions, including home price index forecasts, servicing data and other relevant information. Where possible, collateral-related assumptions are determined on an individual loan level basis. | ||
The Company's Agency RMBS are valued using the market data described above, which includes inputs determined to be observable or whose significant fair value drivers are observable. Accordingly, Agency RMBS securities are classified as Level 2 in the fair value hierarchy. | ||
Derivative Instruments | ||
Interest Rate Swap Agreements | ||
An interest rate swap is an agreement between the Company and a counterparty to exchange periodic interest payments where one party to the contract makes a fixed rate payment in exchange for a floating rate payment from the other party. Interest rate swap agreements are valued using counterparty valuations. The Company utilizes proprietary modeling analysis or industry standard third party analytics to support the counterparty valuations. These counterparty valuations are generally based on models with market observable inputs such as interest rates and contractual cash flows, and, as such, are classified as Level 2 on the fair value hierarchy. The Company's interest rate swap agreements are governed by International Swap and Derivative Association trading agreements, which are separately negotiated agreements with dealer counterparties. As of September 30, 2013 and December 31, 2012, no credit valuation adjustment was made in determining the fair value of derivatives. | ||
TBA Securities | ||
A TBA security is a forward contract for the purchase of Agency RMBS at a predetermined price with a stated face amount, coupon and stated maturity at an agreed upon future date. The specific Agency RMBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association ("SIFMA"), are not known at the time of the transaction. The Company estimates the fair value of TBA securities based on independent third party closing levels. Accordingly, TBAs are classified as Level 2 in the fair value hierarchy. | ||
Interest Income Recognition and Impairment | ' | |
Interest Income Recognition and Impairment-Mortgage Loans | ||
Pursuant to the Company's policy for separately presenting interest income on mortgage loans, the Company follows acceptable methods under U.S. GAAP for allocating a portion of the change in fair value of mortgage loans to interest income on mortgage loans. | ||
When the Company purchases mortgage loans that have shown evidence of credit deterioration since origination and management determines that it is probable the Company will not collect all contractual cash flows on those assets, the Company will apply the guidance that addresses accounting for differences between contractual cash flows and cash flows expected to be collected if those differences are attributable to, at least in part, credit quality. | ||
Interest income will be recognized on a level-yield basis over the life of the loan as long as cash flows can be reasonably estimated. The level-yield is determined by the excess of the Company's initial estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the Company's initial investment in the mortgage loan (accretable yield). The amount of interest income to be recognized cannot result in a carrying amount that exceeds the payoff amount of the loan. The excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) will not be recognized as an adjustment of yield. | ||
On a quarterly basis, the Company updates its estimate of the cash flows expected to be collected. For purposes of interest income recognition, any subsequent increases in cash flows expected to be collected are generally recognized as prospective yield adjustments (which establishes a new level yield) and any subsequent decreases in cash flows expected to be collected are recognized as an impairment to be recorded through change in unrealized gain or loss on mortgage loans on the consolidated statement of operations. | ||
Income recognition is suspended for a loan when cash flows cannot be reasonably estimated. | ||
Interest Income Recognition and Impairment-Real Estate Securities | ||
Pursuant to the Company's policy for separately presenting interest income on real estate securities, the Company follows acceptable methods under U.S. GAAP for allocating a portion of the change in fair value of real estate securities to interest income on real estate securities. | ||
Interest income on Agency RMBS is accrued based on the effective yield method on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS at the time of purchase are amortized into interest income over the life of such securities using the effective yield method and adjusted for actual prepayments in accordance with ASC 310-20 "Nonrefundable Fees and Other Costs". | ||
Interest income on the non-Agency RMBS, which were purchased at a discount to par value and/or were rated below AA at the time of purchase, is recognized based on the effective yield method in accordance with ASC 325-40 "Beneficial Interests in Securitized Financial Assets". The effective yield on these securities is based on the projected cash flows from each security, which are estimated based on the Company's observation of current information and events and include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. Therefore, actual maturities of the securities are generally shorter than stated contractual maturities. | ||
Interest income is recorded as interest income-real estate securities in the consolidated statements of operations. | ||
Based on the projected cash flows from the Company's non-Agency RMBS purchased at a discount to par value, a portion of the purchase discount may be designated as credit protection against future credit losses and, therefore, not accreted into interest income. The amount designated as credit discount is determined, and may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. | ||
Agency and non-Agency RMBS are periodically evaluated for other-than-temporary impairment ("OTTI"). A security with a fair value that is less than amortized cost is considered impaired. Impairment of a security is considered to be other-than-temporary when: (i) the holder has the intent to sell the impaired security; (ii) it is more likely than not the holder will be required to sell the security; or (iii) the holder does not expect to recover the entire amortized cost of the security. When a security has been deemed to be other-than-temporarily impaired, the amount of OTTI is bifurcated into: (i) the amount related to expected credit losses; and (ii) the amount related to fair value adjustments in excess of expected credit losses. The portion of OTTI related to expected credit losses is recognized in the consolidated statement of operations as a realized loss on real estate securities. The remaining OTTI related to the valuation adjustment is recognized as a component of change in unrealized gain or loss on real estate securities in the consolidated statement of operations. For the three and nine months ended September 30, 2013, the Company recognized $1.1 million in OTTI. For the nine months ended September 30, 2012, the Company recognized $0.2 million in OTTI. Realized gains and losses on sale of real estate securities are determined using the specific identification method. Real estate securities transactions are recorded on the trade date. | ||
Expense Recognition | ' | |
Expense Recognition | ||
Expenses are recognized when incurred. Expenses include, but are not limited to, loan servicing fees, advisory fees, professional fees for legal, accounting and consulting services, and general and administrative expenses such as insurance, custodial and miscellaneous fees. | ||
Offering Costs | ' | |
Offering Costs | ||
Offering costs are accounted for as a reduction of additional paid-in capital. Offering costs in connection with the Company's IPO were paid out of the proceeds of the IPO. Costs incurred to organize the Company were expensed as incurred. The Company's obligation to pay for organization and offering expenses directly related to the IPO was capped at $1,200,000 and the Advisor paid for such expenses incurred above the cap. | ||
Repurchase Agreements | ' | |
Loan Repurchase Facility | ||
The Company finances a portion of its mortgage loan portfolio through the use of repurchase agreements entered into under a master repurchase agreement with Citibank, N.A. ("Citi"), pursuant to which the Company may sell, and later repurchase trust certificates representing interests in residential mortgage loans (the "Trust Certificates") in an aggregate principal amount of up to $250 million (the "Loan Repurchase Facility"). The borrowings under the Loan Repurchase Facility are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreement. The borrowings under the Loan Repurchase Facility are recorded on the trade date at the contract amount. | ||
The Company pledges cash and certain of its Trust Certificates as collateral under the Loan Repurchase Facility. The amounts available to be borrowed are dependent upon the fair value of the Trust Certificates pledged as collateral, which fluctuates with changes in interest rates, type of underlying mortgage loans and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in the fair value of pledged Trust Certificates, the lender 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 September 30, 2013 the Company has met all margin call requirements. | ||
Securities Repurchase Agreements-Real Estate Securities | ||
The Company finances a portion of its RMBS portfolio through the use of securities repurchase agreements entered into under master repurchase agreements with four financial institutions as of September 30, 2013. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Repurchase agreements are recorded on trade date at the contract amount. | ||
The Company pledges cash and certain of its RMBS as collateral under these securities repurchase agreements. The amounts available to be borrowed are dependent upon the fair value of the RMBS pledged as collateral, which fluctuates with changes in interest rates, type of securities and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in the fair value of pledged RMBS, the 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 September 30, 2013 and December 31, 2012, the Company has met all margin call requirements. | ||
Derivatives and Hedging Activities | ' | |
Derivatives and Hedging Activities | ||
The Company accounts for its derivative financial instruments in accordance with derivative accounting guidance, which requires an entity to recognize all derivatives as either assets or liabilities in the balance sheets and to measure those instruments at fair value. The Company has not designated any of its derivative agreements as hedging instruments for accounting purposes. As a result, changes in the fair value of derivatives are recorded through current period earnings. | ||
Interest Rate Swap Agreements | ||
The Company's interest rate swap agreements contain legally enforceable provisions that allow for netting or setting off of all individual interest rate swap receivables and payables with each respective counterparty and, therefore, the fair value of those interest rate swap agreements are netted. The credit support annex provisions of the Company's interest rate swap agreements allow the parties to mitigate their credit risk by requiring the party which is out of the money to post collateral. At September 30, 2013 and December 31, 2012, all collateral provided under these agreements consisted of cash collateral. | ||
TBA Securities | ||
The Company enters into TBA contracts as a means of acquiring exposure to Agency RMBS and may, from time to time, utilize TBA dollar roll transactions to finance Agency RMBS purchases. The Company may also enter into TBA contracts as a means of hedging against short-term changes in interest rates. The Company may choose, prior to settlement, to move the settlement of these securities to a later date by entering into an offsetting position (referred to as a "pair off"), settling the paired off positions against each other for cash, and simultaneously entering into a similar TBA contract for a later settlement date, which is commonly and collectively referred to as a "dollar roll" transaction. | ||
Counterparty Risk and Concentration | ' | |
Counterparty Risk and Concentration | ||
Counterparty risk is the risk that counterparties may fail to fulfill their obligations or that pledged collateral value becomes inadequate. The Company attempts to manage its exposure to counterparty risk through diversification, use of financial instruments and monitoring the creditworthiness of counterparties. | ||
As explained in the Notes above, while the Company engages in repurchase financing activities with several financial institutions, the Company maintains custody accounts with two custodians at September 30, 2013. There is no guarantee that these custodians will not become insolvent. While there are certain regulations that seek to protect customer property in the event of a failure, insolvency or liquidation of a custodian, there is no certainty that the Company would not incur losses due to its assets being unavailable for a period of time in the event of a failure of a custodian that has custody of the Company's assets. Although management monitors the credit worthiness of its custodians, such losses could be significant and could materially impair the ability of the Company to achieve its investment objective. | ||
Net Income (Loss) Per Share | ' | |
Net Income (Loss) Per Share | ||
The Company's basic earnings per share ("EPS") is computed by dividing net income or loss attributable to common stockholders by the weighted average number of common shares outstanding. Diluted EPS reflects the potential dilution that could occur if outstanding OP units were converted to common stock, where such exercise or conversion would result in a lower EPS. The dilutive effect of partnership interests is computed assuming all units are converted to common stock. | ||
Income Taxes | ' | |
Income Taxes | ||
The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"), commencing with its taxable year ended December 31, 2011. The Company was organized and has operated and intends to continue to operate in a manner that will enable it to qualify to be taxed as a REIT. To qualify as a REIT, the Company must meet certain organizational and operational requirements, including a requirement to distribute at least 90% of the Company's annual REIT taxable income to its stockholders (which is computed without regard to the dividends paid deduction or net capital gain and which does not necessarily equal net income as calculated in accordance with U.S. GAAP). As a REIT, the Company will not be subject to federal income tax on its taxable income that it distributes to its stockholders. If the Company fails to qualify as a REIT in any taxable year, it will be subject to federal income tax on its taxable income at regular corporate income tax rates and generally will not be permitted to qualify for treatment as a REIT for federal income tax purposes for the four taxable years following the year during which qualification is lost unless the Internal Revenue Service grants the Company relief under certain statutory provisions. Such an event could materially adversely affect the Company's net income and net cash available for distribution to stockholders. However, the Company intends to continue to operate in a manner that will enable it to qualify for treatment as a REIT. | ||
The Company evaluates uncertain income tax positions when applicable. Based upon its analysis of income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of either September 30, 2013 or December 31, 2012. | ||
The Company has elected to treat two of its subsidiaries, ZAIS I TRS Inc., and ZFC Trust TRS I, LLC, as taxable REIT subsidiaries (the "TRS entities"). The Company may perform certain non-customary services, including real estate or non-real estate-related services through these TRS entities. Earnings from services performed through the TRS entities are subject to federal and state income taxes irrespective of the dividends-paid deduction available to REITs for federal income tax purposes. In addition, for the Company to continue to qualify to be taxed as a REIT, the Company's total investment in all TRS entities may not exceed 25% of the value of the total assets of Company determined for federal income tax purposes. | ||
For the three and nine months ended September 30, 2013 and 2012, the Company did not have any significant activity in the TRS entities. No provision for federal income taxes has been made in the accompanying consolidated financial statements, as the TRS entities did not generate taxable income for the periods presented. | ||
Recent Accounting Pronouncements | ' | |
Recent Accounting Pronouncements | ||
In December 2011, the FASB issued Accounting Standards Update ("ASU") No. 2011-11: Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11") which requires new disclosures about balance sheet offsetting and related arrangements. For derivatives and financial assets and liabilities, the amendment requires disclosure of gross asset and liability amounts, amounts offset on the balance sheet, and amounts subject to the offsetting requirements but not offset on the balance sheet. In addition, in January 2013, the FASB issued ASU No. 2013-01: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities (Topic 210), Balance Sheet. The update addresses implementation issues regarding ASU 2011-11 and is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. This guidance is to be applied retrospectively for all comparative periods presented and did not amend the circumstances in which the Company offsets its derivative positions. This guidance did not have a material effect on the Company's financial statements. However, this guidance expands the disclosure requirements to which the Company is subject, which are presented in Note 14. | ||
Fair_Value_Tables
Fair Value (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Fair Value [Abstract] | ' | |||||||||||||||||||
Schedule of Financial Instruments Accounted for at Fair Value on a Recurring Basis | ' | |||||||||||||||||||
The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of September 30, 2013, by level within the fair value hierarchy: | ||||||||||||||||||||
Assets and Liabilities at Fair Value | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans | $ | - | $ | - | $ | 334,793,412 | $ | 334,793,412 | ||||||||||||
Non-Agency RMBS | - | - | 196,552,996 | 196,552,996 | ||||||||||||||||
Total | $ | - | $ | - | $ | 531,346,408 | $ | 531,346,408 | ||||||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | - | $ | 596,988 | $ | - | $ | 596,988 | ||||||||||||
Total | $ | - | $ | 596,988 | $ | - | $ | 596,988 | ||||||||||||
The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of December 31, 2012, by level within the fair value hierarchy: | ||||||||||||||||||||
Assets and Liabilities at Fair Value | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets | ||||||||||||||||||||
Real estate securities | ||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
30-year adjustable rate mortgage | $ | - | $ | 3,240,330 | $ | - | $ | 3,240,330 | ||||||||||||
30-year fixed rate mortgage | - | 66,519,702 | - | 66,519,702 | ||||||||||||||||
Non-Agency RMBS | - | - | 100,911,651 | 100,911,651 | ||||||||||||||||
Total | $ | - | $ | 69,760,032 | $ | 100,911,651 | $ | 170,671,683 | ||||||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities | $ | - | $ | 1,144,744 | $ | - | $ | 1,144,744 | ||||||||||||
Total | $ | - | $ | 1,144,744 | $ | - | $ | 1,144,744 | ||||||||||||
Schedule of Financial Instruments Utilizing Level 3 Inputs | ' | |||||||||||||||||||
The following table presents additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Nine Months Ended | Twelve Months Ended | |||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Mortgage | Mortgage | |||||||||||||||||||
loans | RMBS | loans | RMBS | |||||||||||||||||
Beginning balance | $ | - | $ | 100,911,651 | $ | - | $ | 76,473,092 | ||||||||||||
Total net transfers into/out of Level 3 | - | - | - | - | ||||||||||||||||
Acquisitions | 334,162,044 | 193,538,950 | - | 68,617,460 | ||||||||||||||||
Proceeds from sales | - | (60,334,338 | ) | - | (43,379,205 | ) | ||||||||||||||
Net accretion of discounts | 2,918,421 | 10,481,839 | - | 1,337,369 | ||||||||||||||||
Proceeds from principal repayments | (7,911,106 | ) | (39,969,545 | ) | - | (16,938,626 | ) | |||||||||||||
Total losses (realized/unrealized) included in earnings | (5,208,963 | ) | (10,058,993 | ) | - | (2,579,401 | ) | |||||||||||||
Total gains (realized/unrealized) included in earnings | 10,833,016 | 1,983,432 | - | 17,380,962 | ||||||||||||||||
Ending balance | $ | 334,793,412 | $ | 196,552,996 | $ | - | $ | 100,911,651 | ||||||||||||
The amount of total gains or (losses) for the period | ||||||||||||||||||||
included in earnings attributable to the change in | ||||||||||||||||||||
unrealized gains or losses relating to assets or | ||||||||||||||||||||
liabilities still held at the reporting date | $ | 5,211,327 | $ | (5,627,013 | ) | $ | - | $ | 10,764,268 | |||||||||||
Schedule of Quantitative Information about Level 3 Fair Value Measurements | ' | |||||||||||||||||||
The following table presents quantitative information about the Company's mortgage loans which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||||||||||
Fair Value as of | ||||||||||||||||||||
September 30, | Weighted | |||||||||||||||||||
2013 | Valuation Technique(s) | Unobservable Input | Min/Max | Average | ||||||||||||||||
Mortgage Loans | $ | 334,793,412 | Model | Constant voluntary prepayment | 1.20% | 7.50% | 3.60% | |||||||||||||
Constant default rate | 0.20% | 4.70% | 3.30% | |||||||||||||||||
Loss severity | 10.00% | 44.80% | 28.10% | |||||||||||||||||
Delinquency | 2.30% | 13.00% | 11.20% | |||||||||||||||||
During the three months ended September 30, 2013, the Company purchased mortgage loans having an unpaid principal balance of $260.6 million. The Company determined the accretable yield on these mortgage loans to be $139.5 million at the time of purchase. During the nine months ended September 30, 2013, the Company purchased mortgage loans having an unpaid principal balance of $412.9 million for $334.2 million. The Company determined the accretable yield on these mortgage loans to be a total of $222.9 million at the time of purchase. The total accretable yield on the Company's mortgage loans at September 30, 2013 was $215.5 million. | ||||||||||||||||||||
The following table presents quantitative information about the Company's real estate securities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||||||||||
Fair Value as of | ||||||||||||||||||||
September 30, | Weighted | |||||||||||||||||||
2013 | Valuation Technique(s) | Unobservable Input | Min/Max | Average | ||||||||||||||||
Non-Agency RMBS(1) | ||||||||||||||||||||
Alternative - A | $ | 73,597,312 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.8 | % | 40.4 | % | 17.2 | % | ||||||||||
Constant default rate | 0.5 | % | 9.5 | % | 3.1 | % | ||||||||||||||
Loss severity | 0 | % | 75 | % | 25.9 | % | ||||||||||||||
Delinquency | 1.4 | % | 29.4 | % | 9.9 | % | ||||||||||||||
Pay option adjustable rate | 27,557,335 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.4 | % | 20.4 | % | 9.1 | % | |||||||||||
Constant default rate | 2.6 | % | 8 | % | 4.5 | % | ||||||||||||||
Loss severity | 1.1 | % | 63.5 | % | 40.7 | % | ||||||||||||||
Delinquency | 8.3 | % | 33 | % | 15.5 | % | ||||||||||||||
Prime | 77,775,713 | Broker quotes/comparable trades | Constant voluntary prepayment | 2.5 | % | 19.3 | % | 10.1 | % | |||||||||||
Constant default rate | 1.5 | % | 9.7 | % | 4.8 | % | ||||||||||||||
Loss severity | 1.8 | % | 59 | % | 34.2 | % | ||||||||||||||
Delinquency | 5.7 | % | 29.6 | % | 13.7 | % | ||||||||||||||
Subprime | 17,622,636 | Broker quotes/comparable trades | Constant voluntary prepayment | 1.7 | % | 12.6 | % | 6 | % | |||||||||||
Constant default rate | 3.2 | % | 14.4 | % | 4.9 | % | ||||||||||||||
Loss severity | 6.4 | % | 80.3 | % | 45.7 | % | ||||||||||||||
Delinquency | 12.5 | % | 29.6 | % | 17 | % | ||||||||||||||
Total Non-Agency RMBS | $ | 196,552,996 | ||||||||||||||||||
____________________ | ||||||||||||||||||||
-1 | The Company uses third-party dealer quotes to estimate fair value of some of its financial assets. The Company verifies selected prices by using a variety of methods, including comparing prices to internally estimated prices and corroborating the prices by reference to other independent market data, such as relevant benchmark indices and prices of similar instruments. Where the Company has disclosed unobservable inputs for broker quotes or comparable trades, those inputs are based on the Company's validations performed at the security level. | |||||||||||||||||||
Schedule of Fair Value Option | ' | |||||||||||||||||||
The following table presents the difference between the fair value and the aggregate unpaid principal amount and/or notional balance of assets for which the fair value option was elected: | ||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Unpaid | Unpaid | |||||||||||||||||||
Principal | Principal | |||||||||||||||||||
and/or Notional | and/or Notional | |||||||||||||||||||
Fair Value | Balance(1) | Difference | Fair Value | Balance | Difference | |||||||||||||||
Financial instruments, at fair value | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans | $ | 334,793,412 | $ | 406,167,821 | $ | (71,374,409 | ) | $ | - | $ | - | $ | - | |||||||
Real estate securities | ||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
30-year adjustable rate mortgage | - | - | - | 3,240,330 | 3,083,892 | 156,438 | ||||||||||||||
30-year fixed rate mortgage | - | - | - | 66,519,702 | 61,034,333 | 5,485,369 | ||||||||||||||
Non-Agency RMBS | 196,552,996 | 297,368,554 | (100,815,558 | ) | 100,911,651 | 109,197,632 | (8,285,981 | ) | ||||||||||||
Total RMBS | 196,552,996 | 297,368,554 | (100,815,558 | ) | 170,671,683 | 173,315,857 | (2,644,174 | ) | ||||||||||||
Total financial instruments, at fair value | $ | 531,346,408 | $ | 703,536,375 | $ | (172,189,967 | ) | $ | 170,671,683 | $ | 173,315,857 | $ | (2,644,174 | ) | ||||||
____________________ | ||||||||||||||||||||
-1 | Non-Agency RMBS includes an IO with a notional balance of $69.6 million. | |||||||||||||||||||
Schedule of Fair Value of Other Financial Instruments | ' | |||||||||||||||||||
The following table summarizes the estimated fair value for all other financial instruments: | ||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Other financial instruments | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash | $ | 21,467,891 | $ | 19,061,110 | ||||||||||||||||
Restricted cash | 3,031,804 | 3,768,151 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||
Loan repurchase facility | $ | 240,866,906 | $ | - | ||||||||||||||||
Securities repurchase agreements | 134,246,526 | 109,270,298 | ||||||||||||||||||
Common stock repurchase liability | - | 11,190,687 |
Mortgage_Loans_Tables
Mortgage Loans (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Mortgage Loans [Abstract] | ' | |||||||||||||||||||||||||
Schedule of Information about Investments in Mortgage Loans | ' | |||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's mortgage loan portfolio at September 30, 2013: | ||||||||||||||||||||||||||
Gross Unrealized (1) | Weighted Average | |||||||||||||||||||||||||
Unpaid | ||||||||||||||||||||||||||
Principal | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield(2) | |||||||||||||||||||
Mortgage Loans | ||||||||||||||||||||||||||
Performing | ||||||||||||||||||||||||||
Fixed | $ | 219,759,258 | $ | (45,799,160 | ) | $ | 173,960,098 | $ | 6,468,904 | $ | (2,775,149 | ) | $ | 177,653,853 | 4.55 | % | 6.63 | % | ||||||||
ARM | 173,301,235 | (26,834,656 | ) | 146,466,579 | 3,161,622 | (1,411,114 | ) | 148,217,087 | 3.83 | 6.34 | ||||||||||||||||
Total performing | 393,060,493 | (72,633,816 | ) | 320,426,677 | 9,630,526 | (4,186,263 | ) | 325,870,940 | 4.23 | 6.5 | ||||||||||||||||
Non-performing(3) | 13,107,328 | (3,951,920 | ) | 9,155,408 | 278,257 | (511,193 | ) | 8,922,472 | 4.89 | 7.29 | ||||||||||||||||
Total Mortgage Loans | $ | 406,167,821 | $ | (76,585,736 | ) | $ | 329,582,085 | $ | 9,908,783 | $ | (4,697,456 | ) | $ | 334,793,412 | 4.25 | % | 6.52 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its mortgage loans. The Company recorded a gain of $3.6 million for the three months ended September 30, 2013 and a gain of $5.2 million for the nine months ended September 30, 2013, as change in unrealized gain or loss on mortgage loans in the consolidated statements of operations. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
-3 | Loans that are delinquent for 60 days or more are considered non-performing. | |||||||||||||||||||||||||
Schedule of Difference Between Fair Value and Aggregate Unpaid Principal Balance | ' | |||||||||||||||||||||||||
The following table presents the difference between the fair value and the aggregate unpaid principal balance of the Company's mortgage loan portfolio: | ||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||
Unpaid | Unpaid | |||||||||||||||||||||||||
Principal | Principal | |||||||||||||||||||||||||
Fair Value | Balance | Difference | Fair Value | Balance | Difference | |||||||||||||||||||||
Loan Type | ||||||||||||||||||||||||||
Performing loans: | ||||||||||||||||||||||||||
Fixed | $ | 177,653,853 | $ | 219,759,258 | $ | (42,105,405 | ) | $ | - | $ | - | $ | - | |||||||||||||
ARM | 148,217,087 | 173,301,235 | (25,084,148 | ) | - | - | - | |||||||||||||||||||
Total performing loans | 325,870,940 | 393,060,493 | (67,189,553 | ) | - | - | - | |||||||||||||||||||
Nonperforming loans | 8,922,472 | 13,107,328 | (4,184,856 | ) | - | - | - | |||||||||||||||||||
Total | $ | 334,793,412 | $ | 406,167,821 | $ | (71,374,409 | ) | $ | - | $ | - | $ | - | |||||||||||||
Schedule of Concentrations of Credit Risk | ' | |||||||||||||||||||||||||
As of September 30, 2013, the mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk in the mortgage loan portfolio: | ||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||
Concentration | ||||||||||||||||||||||||||
Percentage of fair value of mortgage loans with unpaid-principal-balance-to current - | ||||||||||||||||||||||||||
property-value in excess of 100% | 74.1 | % | - | |||||||||||||||||||||||
Percentage of fair value of mortgage loans secured by properties in the following states: | ||||||||||||||||||||||||||
Each representing 10% or more of fair value: | ||||||||||||||||||||||||||
California | 25.6 | % | - | |||||||||||||||||||||||
Florida | 18 | % | - | |||||||||||||||||||||||
Additional state representing more than 5% of fair value: | - | |||||||||||||||||||||||||
Georgia | 6.8 | % |
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Real Estate Securities [Abstract] | ' | |||||||||||||||||||||||||
Schedule of Information Regarding Real Estate Securities | ' | |||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's RMBS at September 30, 2013. The Company's non-Agency RMBS portfolio is not issued or guaranteed by Fannie Mae, Freddie Mac or any other U.S. Government agency or a federally chartered corporation and is therefore subject to additional credit risks. | ||||||||||||||||||||||||||
Principal or | Gross Unrealized(1) | Weighted Average | ||||||||||||||||||||||||
Notional | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield (2) | |||||||||||||||||||
Real estate securities | ||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Alternative - A(3) | $ | 156,032,245 | $ | (82,841,762 | ) | $ | 73,190,483 | $ | 1,969,402 | $ | (1,562,573 | ) | $ | 73,597,312 | 4.67 | % | 6.71 | % | ||||||||
Pay option adjustable rate | 35,284,102 | (7,390,488 | ) | 27,893,614 | 146,164 | (482,443 | ) | 27,557,335 | 0.83 | 6.71 | ||||||||||||||||
Prime | 85,732,026 | (10,040,163 | ) | 75,691,863 | 3,038,135 | (954,285 | ) | 77,775,713 | 5.4 | 6.83 | ||||||||||||||||
Subprime | 20,320,181 | (2,422,356 | ) | 17,897,825 | 458,387 | (733,576 | ) | 17,622,636 | 0.83 | 6.24 | ||||||||||||||||
Total RMBS | $ | 297,368,554 | $ | (102,694,769 | ) | $ | 194,673,785 | $ | 5,612,088 | $ | (3,732,877 | ) | $ | 196,552,996 | 4.08 | % | 6.71 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. The Company recorded a gain of $4.8 million and $6.3 million for the three months ended September 30, 2013 and 2012, respectively, and a loss of $10.0 million and a gain of $15.7 million for the nine months ended September 30, 2013 and 2012, respectively, as change in unrealized gain or loss on real estate securities in the consolidated statements of operations. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
-3 | Alternative-A RMBS includes an IO with a notional balance of $69.6 million. | |||||||||||||||||||||||||
The following table sets forth certain information regarding the Company's RMBS at December 31, 2012: | ||||||||||||||||||||||||||
Principal or | Gross Unrealized(1) | Weighted Average | ||||||||||||||||||||||||
Notional | Premium | Amortized | ||||||||||||||||||||||||
Balance | (Discount) | Cost | Gains | Losses | Fair Value | Coupon | Yield(2) | |||||||||||||||||||
Real estate securities | ||||||||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||||||||
30-year adjustable rate | ||||||||||||||||||||||||||
mortgage | $ | 3,083,892 | $ | 351,047 | $ | 3,434,939 | $ | - | $ | (194,609 | ) | $ | 3,240,330 | 2.84 | % | 2.28 | % | |||||||||
30-year fixed rate mortgage | 61,034,333 | 3,056,889 | 64,091,222 | 2,442,401 | (13,921 | ) | 66,519,702 | 3.82 | 3.44 | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Alternative - A | 38,549,827 | (8,606,689 | ) | 29,943,138 | 3,436,729 | - | 33,379,867 | 5.69 | 7.95 | |||||||||||||||||
Pay option adjustable rate | 1,249,426 | (378,803 | ) | 870,623 | 95,221 | - | 965,844 | 1.19 | 8.67 | |||||||||||||||||
Prime | 64,978,647 | (8,074,525 | ) | 56,904,122 | 5,668,301 | (2,298 | ) | 62,570,125 | 5.79 | 7.34 | ||||||||||||||||
Subprime | 4,419,732 | (825,131 | ) | 3,594,601 | 401,214 | - | 3,995,815 | 0.98 | 9.1 | |||||||||||||||||
Total RMBS | $ | 173,315,857 | $ | (14,477,212 | ) | $ | 158,838,645 | $ | 12,043,866 | $ | (210,828 | ) | $ | 170,671,683 | 4.81 | % | 5.89 | % | ||||||||
____________________ | ||||||||||||||||||||||||||
-1 | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. | |||||||||||||||||||||||||
-2 | Unleveraged yield. | |||||||||||||||||||||||||
Schedule of Information Regarding Gains and Losses on Securities | ' | |||||||||||||||||||||||||
The following table presents proceeds from the sale of real estate securities, realized losses on the sale of real estate securities and realized losses on other-than-temporary impairments: | ||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||
Proceeds from the sale of real estate securities | $ | 228,924,943 | $ | 36,000,527 | $ | 282,838,041 | $ | 64,759,903 | ||||||||||||||||||
Realized (loss)/gain on the sale of real estate securities | (8,044,415 | ) | 849,794 | (8,251,291 | ) | (886,723 | ) | |||||||||||||||||||
Realized (loss) on other-than-temporary impairments | (1,068,845 | ) | - | (1,108,024 | ) | (215,345 | ) | |||||||||||||||||||
Schedule of Certain Information Regarding Real Estate Securities | ' | |||||||||||||||||||||||||
The following table presents certain information regarding the Company's non-Agency RMBS securities as of September 30, 2013 by weighted average life: | ||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Weighted Average | ||||||||||||||||||||||||||
Fair Value | Amortized Cost | Yield | ||||||||||||||||||||||||
Weighted average life(1) | ||||||||||||||||||||||||||
Greater than 5 years | $ | 196,552,996 | $ | 194,673,785 | 6.71 | % | ||||||||||||||||||||
$ | 196,552,996 | $ | 194,673,785 | 6.71 | % | |||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. | |||||||||||||||||||||||||
The following table presents certain information regarding the Company's Agency and non-Agency RMBS securities as of December 31, 2012 by weighted average life: | ||||||||||||||||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||||
Amortized | Average | Amortized | Average | |||||||||||||||||||||||
Fair Value | Cost | Yield | Fair Value | Cost | Yield | |||||||||||||||||||||
Weighted average life(1) | ||||||||||||||||||||||||||
Greater than 5 years | $ | 69,760,032 | $ | 67,526,161 | 3.38 | % | $ | 100,911,651 | $ | 91,312,484 | 7.63 | % | ||||||||||||||
$ | 69,760,032 | $ | 67,526,161 | 3.38 | % | $ | 100,911,651 | $ | 91,312,484 | 7.63 | % | |||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. |
Loan_Repurchase_Facility_Table
Loan Repurchase Facility (Tables) (Line of Credit [Member]) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Line of Credit [Member] | ' | |||||||||||||
Debt Instrument [Line Items] | ' | |||||||||||||
Schedule of Information Regarding Repurchase Agreements | ' | |||||||||||||
The following table presents certain information regarding the Company's Loan Repurchase Facility as of September 30, 2013 by remaining maturity: | ||||||||||||||
Mortgage loans | ||||||||||||||
Weighted | ||||||||||||||
Balance | Average Rate | |||||||||||||
Loan Repo Facility borrowings maturing within | ||||||||||||||
30 days or less | $ | - | - | % | ||||||||||
31-90 days | - | - | ||||||||||||
91-180 days | - | - | ||||||||||||
Greater than 180 days to 1 year | 240,477,801 | 2.93 | ||||||||||||
Total/weighted average | $ | 240,477,801 | 2.93 | % | ||||||||||
Schedule of Information Regarding Posting of Collateral | ' | |||||||||||||
The following table presents information with respect to the Company's posting of mortgage loan collateral at September 30, 2013: | ||||||||||||||
Repurchase agreements secured by mortgage loans | $ | 240,477,801 | ||||||||||||
Fair value of Trust Certificates pledged as collateral under repurchase agreements | 334,539,232 | |||||||||||||
Fair value of mortgage loans not pledged as collateral under repurchase agreements | 254,180 | |||||||||||||
Cash pledged under repurchase agreements secured by mortgage loans | - | |||||||||||||
Schedule of Financial Information | ' | |||||||||||||
The following is a summary of financial information relating to Trust Certificates at fair value sold under agreements to repurchase: | ||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Period end: | ||||||||||||||
Balance | $ | 240,477,801 | $ | - | $ | 240,477,801 | $ | - | ||||||
Unused amount(1) | n/a | - | n/a | - | ||||||||||
Weighted-average interest rate at end of period | 2.93 | % | - | 2.93 | % | - | ||||||||
Fair value of Trust Certificates securing agreements to repurchase | 334,539,232 | - | 334,539,232 | - | ||||||||||
During the period: | ||||||||||||||
Weighted-average interest rate | 3.03 | % | - | 3.05 | % | - | ||||||||
Average balance of loans sold under agreements to repurchase | 277,878 | - | 273,686 | - | ||||||||||
Maximum daily amount outstanding | 240,477,801 | - | 240,477,801 | - | ||||||||||
Total interest expense | 1,455,617 | - | 1,744,913 | - | ||||||||||
____________________ | ||||||||||||||
-1 | The amount the Company is able to borrow under loan repurchase agreements is tied to the fair value of unencumbered Trust Certificates eligible to secure those agreements and the Company's ability to fund the agreements' margin requirements relating to the collateral sold. |
Securities_Repurchase_Agreemen1
Securities Repurchase Agreements (Tables) (Securities Sold under Agreements to Repurchase [Member]) | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Securities Sold under Agreements to Repurchase [Member] | ' | |||||||||||
Debt Instrument [Line Items] | ' | |||||||||||
Schedule of Information Regarding Repurchase Agreements | ' | |||||||||||
The following table presents certain information regarding the Company's real estate securities repurchase agreements as of September 30, 2013 by remaining maturity and collateral type: | ||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||
Weighted | Weighted | |||||||||||
Balance | Average Rate | Balance | Average Rate | |||||||||
Repurchase agreements maturing within | ||||||||||||
30 days or less | $ | - | - | % | $ | 134,062,326 | 1.98 | % | ||||
31-60 days | - | - | - | - | ||||||||
61-90 days | - | - | - | - | ||||||||
Greater than 90 days | - | - | - | - | ||||||||
Total/weighted average | $ | - | - | % | $ | 134,062,326 | 1.98 | % | ||||
The following table presents certain information regarding the Company's real estate securities repurchase agreements as of December 31, 2012 by remaining maturity and collateral type: | ||||||||||||
Agency RMBS | Non-Agency RMBS | |||||||||||
Weighted | Weighted | |||||||||||
Balance | Average Rate | Balance | Average Rate | |||||||||
Repurchase agreements maturing within | ||||||||||||
30 days or less | $ | 44,174,600 | 0.49 | % | $ | 49,441,377 | 2.15 | % | ||||
31-60 days | 10,866,170 | 0.49 | - | - | ||||||||
61-90 days | 11,598,320 | 0.47 | - | - | ||||||||
Greater than 90 days | - | - | - | - | ||||||||
Total/weighted average | $ | 66,639,090 | 0.49 | % | $ | 49,441,377 | 2.15 | % | ||||
Schedule of Information Regarding Posting of Collateral | ' | |||||||||||
The following table presents information with respect to the Company's posting of RMBS collateral at September 30, 2013: | ||||||||||||
Securities repurchase agreements secured by non-Agency RMBS | $ | 134,062,326 | ||||||||||
Fair value of non-Agency RMBS pledged as collateral under securities repurchase agreements | 180,081,818 | |||||||||||
Fair value of non-Agency RMBS not pledged as collateral under securities repurchase agreements | 16,471,178 | |||||||||||
Cash pledged under securities repurchase agreements secured by RMBS | 1,801,323 | |||||||||||
The following table presents information with respect to the Company's posting of RMBS collateral at December 31, 2012: | ||||||||||||
Securities repurchase agreements secured by Agency RMBS | $ | 66,639,090 | ||||||||||
Fair value of Agency RMBS pledged as collateral under securities repurchase agreements | 63,535,780 | |||||||||||
Fair value of Agency RMBS not pledged as collateral under securities repurchase agreements | 6,224,252 | |||||||||||
Securities repurchase agreements secured by non-Agency RMBS | 49,441,377 | |||||||||||
Fair value of non-Agency RMBS pledged as collateral under securities repurchase agreements | 70,003,218 | |||||||||||
Fair value of non-Agency RMBS not pledged as collateral under securities repurchase agreements | 30,908,433 | |||||||||||
Cash pledged under securities repurchase agreements secured by RMBS | 1,335,305 |
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Derivative Instruments [Abstract] | ' | ||||||||||||||||||
Schedule of Information about Interest Rate Swaps | ' | ||||||||||||||||||
The following table summarizes information related to derivative instruments: | |||||||||||||||||||
September 30, | December 31, | ||||||||||||||||||
Non-hedge derivatives | 2013 | 2012 | |||||||||||||||||
Notional amount of interest rate swaps | $ | 17,200,000 | $ | 32,600,000 | |||||||||||||||
Notional amount of TBAs | - | - | |||||||||||||||||
Total notional amount | $ | 17,200,000 | $ | 32,600,000 | |||||||||||||||
Schedule of Fair Value of Derivative Instruments | ' | ||||||||||||||||||
The following table presents the fair value of the Company's derivative instruments and their balance sheet location: | |||||||||||||||||||
September 30, | December 31, | ||||||||||||||||||
Derivative instruments | Designation | Balance Sheet Location | 2013 | 2012 | |||||||||||||||
Interest rate swaps | Non-hedge | Derivative liabilities, at fair value | $ | (52,457 | ) | $ | (1,144,744 | ) | |||||||||||
TBAs(1) | Non-hedge | Derivative liabilities, at fair value | $ | (544,531 | ) | $ | - | ||||||||||||
____________________ | |||||||||||||||||||
-1 | At September 30, 2013 the Company has no remaining exposure to TBA contracts as all open contracts had been paired off. The related derivative liability at September 30, 2013 represents settlement amounts to be paid subsequent to September 30, 2013. | ||||||||||||||||||
Schedule of Gains / (Losses) Related to Derivatives | ' | ||||||||||||||||||
The following table summarizes gains and losses related to derivatives: | |||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||
Non-hedge | September 30, | September 30, | September 30, | September 30, | |||||||||||||||
derivatives | Income Statement Location | 2013 | 2012 | 2013 | 2012 | ||||||||||||||
Interest rate swaps | Gain/(loss) on derivative instruments | $ | 2,058,737 | $ | (362,681 | ) | $ | 10,275,664 | $ | (1,118,633 | ) | ||||||||
TBAs(1) | Gain/(loss) on derivative instruments | (548,594 | ) | - | (4,785,996 | ) | - | ||||||||||||
____________________ | |||||||||||||||||||
-1 | For the three and nine month periods ended September 30, 2013, gains and losses from purchases and sales of TBAs consist of $0.2 million and $1.3 million, respectively, of net TBA dollar roll net interest income and net losses of $0.8 million and $6.0 million, respectively, due to price declines. | ||||||||||||||||||
Schedule of Information Related to Derivative Instruments | ' | ||||||||||||||||||
The following table presents information about the Company's interest rate swap agreements as of September 30, 2013: | |||||||||||||||||||
Weighted | Weighted | Weighted | |||||||||||||||||
Average Pay | Average Receive | Average Years to | |||||||||||||||||
Maturity | Notional Amount | Rate | Rate | Maturity | |||||||||||||||
2023 | $ | 17,200,000 | 2.72 | % | 0.26 | % | 9.8 | ||||||||||||
Total/Weighted average | $ | 17,200,000 | 2.72 | % | 0.26 | % | 9.8 | ||||||||||||
The following table presents information about the Company's interest rate swap agreements as of December 31, 2012: | |||||||||||||||||||
Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||
Maturity | Notional Amount | Pay Rate | Receive Rate | Years to Maturity | |||||||||||||||
2016 | $ | 12,102,000 | 1.21 | % | 0.31 | % | 3.7 | ||||||||||||
2017 | 11,050,000 | 1.28 | 0.31 | 4.3 | |||||||||||||||
2021 | 9,448,000 | 2.16 | 0.31 | 8.7 | |||||||||||||||
Total/Weighted average | $ | 32,600,000 | 1.51 | % | 0.31 | % | 5.3 |
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||
Reconciliation of Earnings and Shares Used in Calculating Basic and Diluted Earnings Per Share | ' | ||||||||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share: | |||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||
September 30, | September 30, | September 30, | September 30, | ||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||
Numerator: | |||||||||||||
Net income/(loss) attributable to ZAIS Financial Corp. common | |||||||||||||
stockholders | $ | 3,716,061 | $ | 8,054,362 | $ | (1,405,119 | ) | $ | 17,607,955 | ||||
Effect of dilutive securities: | |||||||||||||
Net income/(loss) allocated to non-controlling interests | 432,132 | - | (57,250 | ) | - | ||||||||
Dilutive net income/(loss) available to stockholders | $ | 4,148,193 | $ | 8,054,362 | $ | (1,462,369 | ) | $ | 17,607,955 | ||||
Denominator: | |||||||||||||
Weighted average number of shares of common stock | 7,970,886 | 2,843,203 | 7,038,304 | 2,962,376 | |||||||||
Effect of dilutive securities: | |||||||||||||
Weighted average number of OP units | 926,914 | - | 926,914 | - | |||||||||
Weighted average dilutive shares | 8,897,800 | 2,843,203 | 7,965,218 | 2,962,376 | |||||||||
Net income/(loss) per share applicable to ZAIS Financial | |||||||||||||
Corp. common stockholders - Basic/Diluted | $ | 0.47 | $ | 2.83 | $ | (.20 | ) | $ | 5.94 |
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Offsetting Assets and Liabilities [Abstract] | ' | ||||||||||||||||||||
Schedule of Offsetting of Liabilities | ' | ||||||||||||||||||||
Offsetting of Liabilities | |||||||||||||||||||||
Net Amounts | Gross Amounts Not Offset in the | ||||||||||||||||||||
Gross | of Liabilities | Consolidated Balance Sheet | |||||||||||||||||||
Gross | Amounts | Presented in | |||||||||||||||||||
Amounts of | Offset in the | the | |||||||||||||||||||
Recognized | Consolidated | Consolidated | Financial | Cash Collateral | Net | ||||||||||||||||
Liabilities | Balance Sheet | Balance Sheet | Instruments | Pledged | Amount | ||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Loan repurchase facility | $ | 240,477,801 | $ | - | $ | 240,477,801 | $ | (240,477,801 | ) | $ | - | $ | - | ||||||||
Securities repurchase agreements | 134,062,326 | - | 134,062,326 | (132,261,003 | ) | (1,801,323 | ) | - | |||||||||||||
TBAs | 920,000 | (375,469 | ) | 544,531 | - | (355,769 | ) | 188,762 | |||||||||||||
Interest rate swap agreements | 270,438 | (217,981 | ) | 52,457 | - | (52,457 | ) | ||||||||||||||
Total | $ | 375,730,565 | $ | (593,450 | ) | $ | 375,137,115 | $ | (372,738,804 | ) | $ | (2,209,549 | ) | $ | 188,762 | ||||||
31-Dec-12 | |||||||||||||||||||||
Securities repurchase agreements | $ | 116,080,467 | $ | - | $ | 116,080,467 | $ | (114,745,162 | ) | $ | (1,335,305 | ) | $ | - | |||||||
Interest rate swap agreements | 1,144,744 | - | 1,144,744 | - | (1,144,744 | ) | - | ||||||||||||||
$ | 117,225,211 | $ | - | $ | 117,225,211 | $ | (114,745,162 | ) | $ | (2,480,049 | ) | $ | - |
Formation_and_Organization_Det
Formation and Organization (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 0 Months Ended | 1 Months Ended | ||
Jul. 29, 2011 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Feb. 13, 2013 | Dec. 31, 2012 | Oct. 31, 2012 | |
Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | ||||||
Formation and Organization [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' |
Exchange offer contribution - cash | $3,036,222 | ' | ' | ' | ' | ' | ' | ' |
Exchange offer contribution - debt securities | 57,416,118 | ' | ' | ' | ' | ' | ' | ' |
Exchange offer contribution - shares issued | 3,022,617 | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares authorized | ' | 500,000,000 | 500,000,000 | ' | 500,000,000 | ' | ' | ' |
Common stock, par value per share | ' | $0.00 | $0.00 | ' | $0.00 | ' | ' | ' |
Preferred Stock, Shares Authorized | ' | 50,000,000 | 50,000,000 | ' | 50,000,000 | ' | ' | ' |
Preferred Stock, Par or Stated Value Per Share | ' | $0.00 | $0.00 | ' | $0.00 | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Shares of stock issued | ' | ' | ' | ' | ' | 5,650,000 | 36,581 | 195,458 |
Common stock issued, price per share | ' | ' | ' | ' | ' | $21.25 | ' | ' |
Gross proceeds from issuance initial public offering | ' | ' | ' | ' | ' | 120,100,000 | ' | ' |
Offering fees | ' | 763,000 | 216,658 | ' | ' | 1,200,000 | ' | ' |
Value of stock issued | ' | ' | $118,862,500 | ' | $4,757,470 | $118,900,000 | ' | ' |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Interest Income Recognition and Impairment | ' | ' | ' | ' |
Realized loss on other-than-temporary impairments | $1,068,845 | ' | $1,108,024 | $215,345 |
Offering Costs | ' | ' | ' | ' |
Deferred offering costs | 1,200,000 | ' | 1,200,000 | ' |
Loan Repurchase Facility [Member] | ' | ' | ' | ' |
Line of Credit Facility [Line Items] | ' | ' | ' | ' |
Maximum amount of facility | $250,000,000 | ' | $250,000,000 | ' |
ZAIS Financial Partners, LP. [Member] | ' | ' | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' | ' | ' |
Equity interest held | 89.60% | ' | 89.60% | ' |
Fair_Value_Schedule_of_Financi
Fair Value (Schedule of Financial Instruments Accounted for at Fair Value on a Recurring Basis) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Liabilities | ' | ' |
Derivative liabilities | $596,988 | $1,144,744 |
Fair Value, Measurements, Recurring [Member] | ' | ' |
Assets | ' | ' |
Mortgage loans | 334,793,412 | ' |
Total | 531,346,408 | 170,671,683 |
Liabilities | ' | ' |
Derivative liabilities | 596,988 | 1,144,744 |
Total | 596,988 | 1,144,744 |
Fair Value, Measurements, Recurring [Member] | 30-Year Adjustable Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | 3,240,330 |
Fair Value, Measurements, Recurring [Member] | 30-Year Fixed Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | 66,519,702 |
Fair Value, Measurements, Recurring [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | 19,552,996 | 100,911,651 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ' | ' |
Assets | ' | ' |
Mortgage loans | ' | ' |
Total | ' | ' |
Liabilities | ' | ' |
Derivative liabilities | ' | ' |
Total | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | 30-Year Adjustable Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | 30-Year Fixed Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ' | ' |
Assets | ' | ' |
Mortgage loans | ' | ' |
Total | ' | 69,760,032 |
Liabilities | ' | ' |
Derivative liabilities | 596,988 | 1,144,744 |
Total | 596,988 | 1,144,744 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | 30-Year Adjustable Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | 3,240,330 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | 30-Year Fixed Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | 66,519,702 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ' | ' |
Assets | ' | ' |
Mortgage loans | 334,793,412 | ' |
Total | 531,346,408 | 100,911,651 |
Liabilities | ' | ' |
Derivative liabilities | ' | ' |
Total | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | 30-Year Adjustable Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | 30-Year Fixed Rate Mortgage [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | ' | ' |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets | ' | ' |
Real estate securities | $196,552,996 | $100,911,651 |
Fair_Value_Schedule_of_Financi1
Fair Value (Schedule of Financial Instruments Utilizing Level 3 Inputs) (Details) (USD $) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Mortgage Loans [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Beginning balance | ' | ' |
Total net transfers into/out of Level 3 | ' | ' |
Acquisitions | 334,162,044 | ' |
Proceeds from sales | ' | ' |
Net accretion of discounts | 2,918,421 | ' |
Proceeds from principal repayments | -7,911,106 | ' |
Total losses (realized / unrealized) included in earnings | -5,208,963 | ' |
Total gains (realized / unrealized) included in earnings | 10,833,016 | ' |
Ending balance | 334,793,412 | ' |
The amount of total gains or (losses) for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held at the reporting date | 5,211,327 | ' |
Residential Mortgage Backed Securities [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Beginning balance | 100,911,651 | 76,473,092 |
Total net transfers into/out of Level 3 | ' | ' |
Acquisitions | 193,538,950 | 68,617,460 |
Proceeds from sales | -60,334,338 | -43,379,205 |
Net accretion of discounts | 10,481,839 | 1,337,369 |
Proceeds from principal repayments | -39,969,545 | -16,938,626 |
Total losses (realized / unrealized) included in earnings | -10,058,993 | -2,579,401 |
Total gains (realized / unrealized) included in earnings | 1,983,432 | 17,380,962 |
Ending balance | 196,552,996 | 100,911,651 |
The amount of total gains or (losses) for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held at the reporting date | ($5,627,013) | $10,764,268 |
Fair_Value_Schedule_of_Quantit
Fair Value (Schedule of Quantitative Information about Level 3 Fair Value Measurements) (Details) (USD $) | 9 Months Ended | |
Sep. 30, 2013 | ||
Non-Agency RMBS [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 196,552,996 | [1] |
Alternative - A [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 73,597,312 | [1] |
Alternative - A [Member] | Minimum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 1.80% | [1] |
Constant default rate | 0.50% | [1] |
Loss severity | 0.00% | [1] |
Delinquency | 1.40% | [1] |
Alternative - A [Member] | Maximum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 40.40% | [1] |
Constant default rate | 9.50% | [1] |
Loss severity | 75.00% | [1] |
Delinquency | 29.40% | [1] |
Alternative - A [Member] | Weighted Average [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 17.20% | [1] |
Constant default rate | 3.10% | [1] |
Loss severity | 25.90% | [1] |
Delinquency | 9.90% | [1] |
Pay Option Adjustable Rate [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 27,557,335 | [1] |
Pay Option Adjustable Rate [Member] | Minimum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 1.40% | [1] |
Constant default rate | 2.60% | [1] |
Loss severity | 1.10% | [1] |
Delinquency | 8.30% | [1] |
Pay Option Adjustable Rate [Member] | Maximum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 20.40% | [1] |
Constant default rate | 8.00% | [1] |
Loss severity | 63.50% | [1] |
Delinquency | 33.00% | [1] |
Pay Option Adjustable Rate [Member] | Weighted Average [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 9.10% | [1] |
Constant default rate | 4.50% | [1] |
Loss severity | 40.70% | [1] |
Delinquency | 15.50% | [1] |
Prime [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 77,775,713 | [1] |
Prime [Member] | Minimum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 2.50% | [1] |
Constant default rate | 1.50% | [1] |
Loss severity | 1.80% | [1] |
Delinquency | 5.70% | [1] |
Prime [Member] | Maximum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 19.30% | [1] |
Constant default rate | 9.70% | [1] |
Loss severity | 59.00% | [1] |
Delinquency | 29.60% | [1] |
Prime [Member] | Weighted Average [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 10.10% | [1] |
Constant default rate | 4.80% | [1] |
Loss severity | 34.20% | [1] |
Delinquency | 13.70% | [1] |
Subprime [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 17,622,636 | [1] |
Subprime [Member] | Minimum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 1.70% | [1] |
Constant default rate | 3.20% | [1] |
Loss severity | 6.40% | [1] |
Delinquency | 12.50% | [1] |
Subprime [Member] | Maximum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 12.60% | [1] |
Constant default rate | 14.40% | [1] |
Loss severity | 80.30% | [1] |
Delinquency | 29.60% | [1] |
Subprime [Member] | Weighted Average [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 6.00% | [1] |
Constant default rate | 4.90% | [1] |
Loss severity | 45.70% | [1] |
Delinquency | 17.00% | [1] |
Mortgage Loans [Member] | Level 3 [Member] | ' | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | |
Fair Value | 334,793,412 | |
Mortgage Loans [Member] | Minimum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 1.20% | |
Constant default rate | 0.20% | |
Loss severity | 10.00% | |
Delinquency | 2.30% | |
Mortgage Loans [Member] | Maximum [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 7.50% | |
Constant default rate | 4.70% | |
Loss severity | 44.80% | |
Delinquency | 13.00% | |
Mortgage Loans [Member] | Weighted Average [Member] | Market Approach Valuation Technique [Member] | ' | |
Unobservable Input | ' | |
Constant voluntary prepayment | 3.60% | |
Constant default rate | 3.30% | |
Loss severity | 28.10% | |
Delinquency | 11.20% | |
[1] | The Company uses third-party dealer quotes to estimate fair value of some of its financial assets. The Company verifies selected prices by using a variety of methods, including comparing prices to internally estimated prices and corroborating the prices by reference to other independent market data, such as relevant benchmark indices and prices of similar instruments. Where the Company has disclosed unobservable inputs for broker quotes or comparable trades, those inputs are based on the Company's validations performed at the security level. |
Fair_Value_Narrative_Details
Fair Value (Narrative) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | ||||
Aug. 28, 2013 | Jul. 25, 2013 | 31-May-13 | Mar. 22, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | |
Fair Value [Abstract] | ' | ' | ' | ' | ' | ' | ' |
Unpaid principal balance of loans acquired | $98,200,000 | $162,400,000 | $134,500,000 | $17,700,000 | $260,600,000 | $412,900,000 | ' |
Payments to acquire mortgage loan portfolio | ' | ' | ' | ' | ' | 334,162,044 | ' |
Accretable yield of loans acquired during period | ' | ' | ' | ' | 139,500,000 | 222,900,000 | ' |
Mortgage loans, total accretable yield | ' | ' | ' | ' | $215,500,000 | $215,500,000 | ' |
Fair_Value_Schedule_of_Fair_Va
Fair Value (Schedule of Fair Value Option) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
Mortgage Loans [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | $334,793,412 | ' | |
Principal and/or Notional Balance | 406,167,821 | ' | |
Difference | -71,374,409 | ' | |
30-Year Adjustable Rate Mortgage [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | ' | 3,240,330 | |
Principal and/or Notional Balance | ' | [1] | 3,083,892 |
Difference | ' | 156,438 | |
30-Year Fixed Rate Mortgage [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | ' | 66,519,702 | |
Principal and/or Notional Balance | ' | [1] | 61,034,333 |
Difference | ' | 5,485,369 | |
Non-Agency RMBS [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 196,552,996 | 100,911,651 | |
Principal and/or Notional Balance | 297,368,554 | [1] | 109,197,632 |
Difference | -100,815,558 | -8,285,981 | |
Residential Mortgage Backed Securities [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 196,552,996 | 170,671,683 | |
Principal and/or Notional Balance | 297,368,554 | [1] | 173,315,857 |
Difference | -100,815,558 | -2,644,174 | |
Financial Instruments [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 531,346,408 | 170,671,683 | |
Principal and/or Notional Balance | 703,536,375 | [1] | 173,315,857 |
Difference | -172,189,967 | -2,644,174 | |
Interest-Only Securities [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Principal and/or Notional Balance | $69,600,000 | ' | |
[1] | Non-Agency RMBS includes an IO with a notional balance of $69.6 million. |
Fair_Value_Schedule_of_Fair_Va1
Fair Value (Schedule of Fair Value of Other Financial Instruments) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Assets | ' | ' |
Restricted cash | $3,031,804 | $3,768,151 |
Portion at Fair Value, Fair Value Disclosure [Member] | ' | ' |
Assets | ' | ' |
Cash | 21,467,891 | 19,061,110 |
Restricted cash | 3,031,804 | 3,768,151 |
Liabilities | ' | ' |
Loan repurchase facility | 240,866,906 | ' |
Securities repurchase agreements | 134,246,526 | 109,270,298 |
Common stock repurchase liability | ' | $11,190,687 |
Mortgage_Loans_Narrative_Detai
Mortgage Loans (Narrative) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | 0 Months Ended | |||||||
Aug. 28, 2013 | Jul. 25, 2013 | 31-May-13 | Mar. 22, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Aug. 28, 2013 | Jul. 25, 2013 | 30-May-13 | 31-May-13 | |
Loan Repurchase Facility [Member] | Loan Repurchase Facility [Member] | Loan Repurchase Facility [Member] | Loan Repurchase Facility [Member] | ||||||||
Mortgage Loans [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unpaid principal balance of loans acquired | $98,200,000 | $162,400,000 | $134,500,000 | $17,700,000 | $260,600,000 | $412,900,000 | ' | ' | ' | ' | ' |
Line of Credit Facility [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Utilization of facility | ' | ' | ' | ' | ' | $331,212,319 | ' | $54,800,000 | $98,700,000 | $10,600,000 | $78,500,000 |
Mortgage_Loans_Schedule_of_Fai
Mortgage Loans (Schedule of Fair Value, Principal Balance and Weighted Average Coupon and Yield) (Details) (Mortgage Receivable [Member], USD $) | 9 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | ||
Mortgage Loans on Real Estate [Line Items] | ' | ' | |
Unpaid Principal Balance | $406,167,821 | ' | |
Premium (Discount) | -76,585,736 | ' | |
Amortized Cost | 329,582,085 | ' | |
Gross Unrealized | ' | ' | |
Gains | 9,908,783 | [1] | ' |
Losses | -4,697,456 | [1] | ' |
Fair Value | 334,793,412 | ' | |
Weighted Average Coupon | 4.25% | ' | |
Weighted Average Yield | 6.52% | [2] | ' |
Fixed [Member] | ' | ' | |
Mortgage Loans on Real Estate [Line Items] | ' | ' | |
Unpaid Principal Balance | 219,759,258 | ' | |
Premium (Discount) | -45,799,160 | ' | |
Amortized Cost | 173,960,098 | ' | |
Gross Unrealized | ' | ' | |
Gains | 6,468,904 | [1] | ' |
Losses | -2,775,149 | [1] | ' |
Fair Value | 177,653,853 | ' | |
Weighted Average Coupon | 4.55% | ' | |
Weighted Average Yield | 6.63% | [2] | ' |
ARM [Member] | ' | ' | |
Mortgage Loans on Real Estate [Line Items] | ' | ' | |
Unpaid Principal Balance | 173,301,235 | ' | |
Premium (Discount) | -26,834,656 | ' | |
Amortized Cost | 146,466,579 | ' | |
Gross Unrealized | ' | ' | |
Gains | 3,161,622 | [1] | ' |
Losses | -1,411,114 | [1] | ' |
Fair Value | 148,217,087 | ' | |
Weighted Average Coupon | 3.83% | ' | |
Weighted Average Yield | 6.34% | [2] | ' |
Performing Loans [Member] | ' | ' | |
Mortgage Loans on Real Estate [Line Items] | ' | ' | |
Unpaid Principal Balance | 393,060,493 | ' | |
Premium (Discount) | -72,633,816 | ' | |
Amortized Cost | 320,426,677 | ' | |
Gross Unrealized | ' | ' | |
Gains | 9,630,526 | [1] | ' |
Losses | -4,186,263 | [1] | ' |
Fair Value | 325,870,940 | ' | |
Weighted Average Coupon | 4.23% | ' | |
Weighted Average Yield | 6.50% | [2] | ' |
Nonperforming Loans [Member] | ' | ' | |
Mortgage Loans on Real Estate [Line Items] | ' | ' | |
Unpaid Principal Balance | 13,107,328 | [3] | ' |
Premium (Discount) | -3,951,920 | [3] | ' |
Amortized Cost | 9,155,408 | [3] | ' |
Gross Unrealized | ' | ' | |
Gains | 278,257 | [1],[3] | ' |
Losses | -511,193 | [1],[3] | ' |
Fair Value | $8,922,472 | [3] | ' |
Weighted Average Coupon | 4.89% | [3] | ' |
Weighted Average Yield | 7.29% | [2],[3] | ' |
[1] | The Company has elected the fair value option pursuant to ASC 825 for its mortgage loans. The Company recorded a gain of $3.6 million for the three months ended September 30, 2013 and a gain of $5.2 million for the nine months ended September 30, 2013, as change in unrealized gain or loss on mortgage loans in the consolidated statements of operations. | ||
[2] | Unleveraged yield. | ||
[3] | Loans that are delinquent for 60 days or more are considered non-performing. |
Mortgage_Loans_Parenthetical_I
Mortgage Loans (Parenthetical Information) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Mortgage Loans [Abstract] | ' | ' | ' | ' |
Change in unrealized gain or loss on mortgage loans | $3,644,036 | ' | $5,211,327 | ' |
Threshold period past due after which loans are considered considered non-performing | ' | ' | '60 days | ' |
Mortgage_Loans_Schedule_of_Mor
Mortgage Loans (Schedule of Mortgage Loans at Fair Value) (Details) (Mortgage Receivable [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | $334,793,412 | ' | |
Unpaid Principal Balance | 406,167,821 | ' | |
Difference | -71,374,409 | ' | |
Fixed [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 177,653,853 | ' | |
Unpaid Principal Balance | 219,759,258 | ' | |
Difference | -42,105,405 | ' | |
ARM [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 148,217,087 | ' | |
Unpaid Principal Balance | 173,301,235 | ' | |
Difference | -25,084,148 | ' | |
Performing Loans [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 325,870,940 | ' | |
Unpaid Principal Balance | 393,060,493 | ' | |
Difference | -67,189,553 | ' | |
Nonperforming Loans [Member] | ' | ' | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | |
Fair Value | 8,922,472 | [1] | ' |
Unpaid Principal Balance | 13,107,328 | [1] | ' |
Difference | ($4,184,856) | ' | |
[1] | Loans that are delinquent for 60 days or more are considered non-performing. |
Mortgage_Loans_Schedule_of_Con
Mortgage Loans (Schedule of Concentrations of Credit Risk) (Details) (Mortgage Receivable [Member]) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Loans with Unpaid Principal Balance in Excess of Fair Value of Collateral [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk, percentage | 74.10% | ' |
Geographic Concentration Risk [Member] | California [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk, percentage | 25.60% | ' |
Geographic Concentration Risk [Member] | Florida [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk, percentage | 18.00% | ' |
Geographic Concentration Risk [Member] | Georgia [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk, percentage | 6.80% | ' |
Real_Estate_Securities_Schedul
Real Estate Securities (Schedule of Information Regarding Real Estate Securities) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | |||
30-Year Adjustable Rate Mortgage [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | ' | $3,083,892 | ||
Premium (Discount) | ' | 351,047 | ||
Amortized Cost | ' | 3,434,939 | ||
Gross Unrealized | ' | ' | ||
Gains | ' | ' | [1] | |
Losses | ' | -194,609 | [1] | |
Fair Value | ' | 3,240,330 | ||
Weighted Average Coupon | ' | 2.84% | ||
Weighted Average Yield | ' | 2.28% | [2] | |
30-Year Fixed Rate Mortgage [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | ' | 61,034,333 | ||
Premium (Discount) | ' | 3,056,889 | ||
Amortized Cost | ' | 64,091,222 | ||
Gross Unrealized | ' | ' | ||
Gains | ' | 2,442,401 | [1] | |
Losses | ' | -13,921 | [1] | |
Fair Value | ' | 66,519,702 | ||
Weighted Average Coupon | ' | 3.82% | ||
Weighted Average Yield | ' | 3.44% | [2] | |
Alternative - A [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | 156,032,245 | [3] | 38,549,827 | |
Premium (Discount) | -82,841,762 | [3] | -8,606,689 | |
Amortized Cost | 73,190,483 | [3] | 29,943,138 | |
Gross Unrealized | ' | ' | ||
Gains | 1,969,402 | [3],[4] | 3,436,729 | [1] |
Losses | -1,562,573 | [3],[4] | ' | [1] |
Fair Value | 73,597,312 | [3] | 33,379,867 | |
Weighted Average Coupon | 4.67% | [3] | 5.69% | |
Weighted Average Yield | 6.71% | [2],[3] | 7.95% | [2] |
Pay Option Adjustable Rate [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | 35,284,102 | 1,249,426 | ||
Premium (Discount) | -7,390,488 | -378,803 | ||
Amortized Cost | 27,893,614 | 870,623 | ||
Gross Unrealized | ' | ' | ||
Gains | 146,164 | [4] | 95,221 | [1] |
Losses | -482,443 | [4] | ' | [1] |
Fair Value | 27,557,335 | 965,844 | ||
Weighted Average Coupon | 0.83% | 1.19% | ||
Weighted Average Yield | 6.71% | [2] | 8.67% | [2] |
Prime [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | 85,732,026 | 64,978,647 | ||
Premium (Discount) | -10,040,163 | -8,074,525 | ||
Amortized Cost | 75,691,863 | 56,904,122 | ||
Gross Unrealized | ' | ' | ||
Gains | 3,038,135 | [4] | 5,668,301 | [1] |
Losses | -954,285 | [4] | -2,298 | [1] |
Fair Value | 77,775,713 | 62,570,125 | ||
Weighted Average Coupon | 5.40% | 5.79% | ||
Weighted Average Yield | 6.83% | [2] | 7.34% | [2] |
Subprime [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | 20,320,181 | 4,419,732 | ||
Premium (Discount) | -2,422,356 | -825,131 | ||
Amortized Cost | 17,897,825 | 3,594,601 | ||
Gross Unrealized | ' | ' | ||
Gains | 458,387 | [4] | 401,214 | [1] |
Losses | -733,576 | [4] | ' | [1] |
Fair Value | 17,622,636 | 3,995,815 | ||
Weighted Average Coupon | 0.83% | 0.98% | ||
Weighted Average Yield | 6.24% | [2] | 9.10% | [2] |
Total RMBS [Member] | ' | ' | ||
Investment Holdings [Line Items] | ' | ' | ||
Principal or Notional Balance | 297,368,554 | 173,315,857 | ||
Premium (Discount) | -102,694,769 | -14,477,212 | ||
Amortized Cost | 194,673,785 | 158,838,645 | ||
Gross Unrealized | ' | ' | ||
Gains | 5,612,088 | [4] | 12,043,866 | [1] |
Losses | -3,732,877 | [4] | -210,828 | [1] |
Fair Value | $196,552,996 | $170,671,683 | ||
Weighted Average Coupon | 4.08% | 4.81% | ||
Weighted Average Yield | 6.71% | [2] | 5.89% | [2] |
[1] | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. | |||
[2] | Unleveraged yield. | |||
[3] | Alternative-A RMBS includes an IO with a notional balance of $69.6 million. | |||
[4] | The Company has elected the fair value option pursuant to ASC 825 for its real estate securities. The Company recorded a gain of $4.8 million and $6.3 million for the three months ended September 30, 2013 and 2012, respectively, and a loss of $10.0 million and a gain of $15.7 million for the nine months ended September 30, 2013 and 2012, respectively, as change in unrealized gain or loss on real estate securities in the consolidated statements of operations. |
Real_Estate_Securities_Parenth
Real Estate Securities (Parenthetical Information Regarding Real Estate Securities) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Investment Holdings [Line Items] | ' | ' | ' | ' |
Change in unrealized gain or loss on real estate securities | $4,785,568 | $6,269,964 | ($9,953,797) | $15,662,891 |
Interest-Only Securities [Member] | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' |
Principal or Notional Balance | $69,600,000 | ' | $69,600,000 | ' |
Real_Estate_Securities_Schedul1
Real Estate Securities (Schedule of Certain Information Regarding Real Estate Securities) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | |||
Agency RMBS [Member] | ' | ' | ||
Greater than 5 years | ' | ' | ||
Fair Value | ' | $69,760,032 | [1] | |
Amortized Cost | ' | 67,526,161 | [1] | |
Weighted Average Yield | ' | 3.38% | [1] | |
Fair Value | ' | 69,760,032 | [1] | |
Amortized Cost | ' | 67,526,161 | [1] | |
Weighted Average Yield | ' | 3.38% | [1] | |
Non-Agency RMBS [Member] | ' | ' | ||
Greater than 5 years | ' | ' | ||
Fair Value | 196,552,996 | [1] | 100,911,651 | [1] |
Amortized Cost | 194,673,785 | [1] | 91,312,484 | [1] |
Weighted Average Yield | 6.71% | [1] | 7.63% | [1] |
Fair Value | 196,552,996 | [1] | 100,911,651 | [1] |
Amortized Cost | $194,673,785 | [1] | $91,312,484 | [1] |
Weighted Average Yield | 6.71% | [1] | 7.63% | [1] |
[1] | Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses. |
Real_Estate_Securities_Narrati
Real Estate Securities (Narrative) (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | |
Minimum [Member] | Minimum [Member] | Maximum [Member] | Maximum [Member] | Weighted Average [Member] | Weighted Average [Member] | |||||
Investment Holdings [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contractual maturities | ' | ' | ' | ' | '7 years 10 months 24 days | '8 years 7 months 6 days | '33 years 3 months 18 days | '33 years 8 months 12 days | '24 years 8 months 12 days | '26 years 1 month 6 days |
Proceeds from the sale of real estate securities | $228,924,943 | $36,000,527 | $282,838,041 | $64,759,903 | ' | ' | ' | ' | ' | ' |
Realized (loss)/gain on the sale of real estate securities | -8,044,415 | -849,794 | -8,251,291 | -886,723 | ' | ' | ' | ' | ' | ' |
Realized (loss) on other-than-temporary impairments | ($1,068,845) | ' | ($1,108,024) | ($215,345) | ' | ' | ' | ' | ' | ' |
Loan_Repurchase_Facility_Narra
Loan Repurchase Facility (Narrative) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | |||
In Millions, unless otherwise specified | Aug. 28, 2013 | Jul. 25, 2013 | 31-May-13 | Mar. 22, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Line of Credit Facility [Line Items] | ' | ' | ' | ' | ' | ' |
Unpaid principal balance of loans acquired | $98.20 | $162.40 | $134.50 | $17.70 | $260.60 | $412.90 |
Loan Repurchase Facility [Member] | ' | ' | ' | ' | ' | ' |
Line of Credit Facility [Line Items] | ' | ' | ' | ' | ' | ' |
Term of facility | ' | ' | ' | ' | ' | '364 days |
Loan_Repurchase_Facility_Sched
Loan Repurchase Facility (Schedule of Certain Information Regarding Loan Repo Facility) (Details) (Mortgage Loans [Member], USD $) | Sep. 30, 2013 |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Balance | $240,477,801 |
Weighted Average Rate | 2.93% |
30 Days or Less [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Balance | ' |
Weighted Average Rate | ' |
31 to 90 Days [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Balance | ' |
Weighted Average Rate | ' |
91-180 Days [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Balance | ' |
Weighted Average Rate | ' |
Greater than 180 Days to 1 Year [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Balance | $240,477,801 |
Weighted Average Rate | 2.93% |
Loan_Repurchase_Facility_Sched1
Loan Repurchase Facility (Schedule of Information Regarding Posting of Mortgage Loan Collateral) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Fair value of Trust Certificates pledged as collateral under repurchase agreements | $334,539,232 | $0 |
Cash pledged under securities repurchase agreements | 1,801,323 | 1,335,305 |
Mortgage Loans [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase agreements secured by mortgage loans | 240,477,801 | ' |
Fair value of Trust Certificates pledged as collateral under repurchase agreements | 334,539,232 | ' |
Fair value of mortgage loans not pledged as collateral under repurchase agreements | 254,180 | ' |
Cash pledged under securities repurchase agreements | ' | ' |
Loan_Repurchase_Facility_Sched2
Loan Repurchase Facility (Schedule of Financial Information) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | ||||
Line of Credit Facility [Line Items] | ' | ' | ' | |||
Fair value of Trust Certificates securing agreements to repurchase | $334,539,232 | $334,539,232 | $0 | |||
Loan Repurchase Facility [Member] | ' | ' | ' | |||
Line of Credit Facility [Line Items] | ' | ' | ' | |||
Balance | 240,477,801 | 240,477,801 | ' | |||
Unused amount | ' | [1] | ' | [1] | ' | [1] |
Weighted-average interest rate at end of period | 2.93% | 2.93% | ' | |||
Fair value of Trust Certificates securing agreements to repurchase | 334,539,232 | 334,539,232 | ' | |||
Weighted-average interest rate | 3.03% | 3.05% | ' | |||
Average balance of loans sold under agreements to repurchase | 277,878 | 273,686 | ' | |||
Maximum daily amount outstanding | 240,477,801 | 240,477,801 | ' | |||
Total interest expense | $1,455,617 | $1,744,913 | ' | |||
[1] | The amount the Company is able to borrow under loan repurchase agreements is tied to the fair value of unencumbered Trust Certificates eligible to secure those agreements and the Company's ability to fund the agreements' margin requirements relating to the collateral sold. |
Securities_Repurchase_Agreemen2
Securities Repurchase Agreements (Schedule of Certain Information Regarding Repurchase Agreements) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | $66,639,090 |
Weighted Average Rate | ' | 0.49% |
Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 134,062,326 | 49,441,377 |
Weighted Average Rate | 1.98% | 2.15% |
30 Days or Less [Member] | Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | 44,174,600 |
Weighted Average Rate | ' | 0.49% |
30 Days or Less [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | 134,062,326 | 49,441,377 |
Weighted Average Rate | 1.98% | 2.15% |
31-60 Days [Member] | Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | 10,866,170 |
Weighted Average Rate | ' | 0.49% |
31-60 Days [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | ' |
Weighted Average Rate | ' | ' |
61-90 Days [Member] | Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | 11,598,320 |
Weighted Average Rate | ' | 0.47% |
61-90 Days [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | ' |
Weighted Average Rate | ' | ' |
Greater Than 90 Days [Member] | Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | ' |
Weighted Average Rate | ' | ' |
Greater Than 90 Days [Member] | Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Balance | ' | ' |
Weighted Average Rate | ' | ' |
Securities_Repurchase_Agreemen3
Securities Repurchase Agreements (Schedule of Information Regarding Posting of Collateral) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Fair value of RMBS pledged as collateral under securities repurchase agreements | $180,081,818 | $133,538,998 |
Cash pledged under securities repurchase agreements | 1,801,323 | 1,335,305 |
Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Securities repurchase agreements secured by RMBS | ' | 66,639,090 |
Fair value of RMBS pledged as collateral under securities repurchase agreements | ' | 63,535,780 |
Fair value of RMBS not pledged as collateral under securities repurchase agreements | ' | 6,224,252 |
Non-Agency RMBS [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Securities repurchase agreements secured by RMBS | 134,062,326 | 49,441,377 |
Fair value of RMBS pledged as collateral under securities repurchase agreements | 180,081,818 | 70,003,218 |
Fair value of RMBS not pledged as collateral under securities repurchase agreements | $16,471,178 | $30,908,433 |
Derivative_Instruments_Narrati
Derivative Instruments (Narrative) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | TBAs [Member] | TBAs [Member] | TBAs [Member] | |
Short [Member] | Short [Member] | ||||
Derivative [Line Items] | ' | ' | ' | ' | ' |
Notional amount of contracts paired off and sold | ' | ' | ' | $170,000,000 | $643,000,000 |
Realized gains (losses) on sale of derivative | ' | ' | ' | -3,000,000 | -4,200,000 |
Unrealized gains (losses) recognized | ' | ' | ' | -2,500,000 | -500,000 |
Cash pledged as collateral against interest rate swaps which the Company has a right to reclaim | $900,000 | $2,400,000 | $300,000 | ' | ' |
Derivative_Instruments_Schedul
Derivative Instruments (Schedule of Information Related to Derivative Instruments) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Derivative [Line Items] | ' | ' |
Notional amount | $17,200,000 | $32,600,000 |
Interest Rate Swaps [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Notional amount | 17,200,000 | 32,600,000 |
TBAs [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Notional amount | ' | ' |
Derivative_Instruments_Schedul1
Derivative Instruments (Schedule of Fair Value of Derivative Instruments) (Details) (Not Designated as Hedging Instrument [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
Interest Rate Swap [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivative assets (liabilities), at fair value | ($52,457) | ($1,144,744) | ||
TBAs [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivative assets (liabilities), at fair value | ($544,531) | [1] | ' | [1] |
[1] | At September 30, 2013 the Company has no remaining exposure to TBA contracts as all open contracts had been paired off. The related derivative liability at September 30, 2013 represents settlement amounts to be paid subsequent to September 30, 2013. |
Derivative_Instruments_Schedul2
Derivative Instruments (Schedule of Losses and Gains of Derivative Instruments) (Details) (Not Designated as Hedging Instrument [Member], USD $) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |||||
Interest Rate Swap [Member] | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Gain (loss) on derivative instruments | $2,058,737 | ($362,681) | $10,275,664 | ($1,118,633) | ||||
TBAs [Member] | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Gain (loss) on derivative instruments | -548,594 | [1] | ' | [1] | -4,785,996 | [1] | ' | [1] |
Realized gains (losses) on sale of derivative | 200,000 | ' | 1,300,000 | ' | ||||
Unrealized gains (losses) recognized | ($800,000) | ' | ($6,000,000) | ' | ||||
[1] | For the three and nine month periods ended September 30, 2013, gains and losses from purchases and sales of TBAs consist of $0.2 million and $1.3 million, respectively, of net TBA dollar roll net interest income and net losses of $0.8 million and $6.0 million, respectively, due to price declines. |
Derivative_Instruments_Schedul3
Derivative Instruments (Schedule of Information About Interest Rate Swaps) (Details) (USD $) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Derivative [Line Items] | ' | ' |
Notional Amount | $17,200,000 | $32,600,000 |
Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Notional Amount | 17,200,000 | 32,600,000 |
Weighted Average Pay Rate | 2.72% | 1.51% |
Weighted Average Receive Rate | 0.26% | 0.31% |
Weighted Average Years to Maturity | '9 years 9 months 18 days | '5 years 3 months 18 days |
Swap [Member] | Derivative - Maturity Date One [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Maturity | ' | 31-Dec-16 |
Notional Amount | ' | 12,102,000 |
Weighted Average Pay Rate | ' | 1.21% |
Weighted Average Receive Rate | ' | 0.31% |
Weighted Average Years to Maturity | ' | '3 years 8 months 12 days |
Swap [Member] | Derivative - Maturity Date Two [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Maturity | ' | 31-Dec-17 |
Notional Amount | ' | 11,050,000 |
Weighted Average Pay Rate | ' | 1.28% |
Weighted Average Receive Rate | ' | 0.31% |
Weighted Average Years to Maturity | ' | '4 years 3 months 18 days |
Swap [Member] | Derivative - Maturity Date Four [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Maturity | ' | 31-Dec-21 |
Notional Amount | ' | 9,448,000 |
Weighted Average Pay Rate | ' | 2.16% |
Weighted Average Receive Rate | ' | 0.31% |
Weighted Average Years to Maturity | ' | '8 years 8 months 12 days |
Swap [Member] | Derivative - Maturity Date Five [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Maturity | 31-Dec-23 | ' |
Notional Amount | $17,200,000 | ' |
Weighted Average Pay Rate | 2.72% | ' |
Weighted Average Receive Rate | 0.26% | ' |
Weighted Average Years to Maturity | '9 years 9 months 18 days | ' |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Numerator: | ' | ' | ' | ' |
Net income/(loss) attributable to ZAIS Financial Corp. common stockholders | $3,716,061 | $8,054,362 | ($1,405,119) | $17,607,955 |
Effect of dilutive securities: | ' | ' | ' | ' |
Net income/(loss) allocated to non-controlling interests | 432,132 | ' | -57,250 | ' |
Dilutive net income/(loss) available to stockholders | $4,148,193 | $8,054,362 | ($1,462,369) | $17,607,955 |
Denominator: | ' | ' | ' | ' |
Weighted average number of shares of common stock | 7,970,886 | 2,843,203 | 7,038,304 | 2,962,376 |
Effect of dilutive securities: | ' | ' | ' | ' |
Weighted average number of OP units | 926,914 | ' | 926,914 | ' |
Weighted average dilutive shares | 8,897,800 | 2,843,203 | 7,965,218 | 2,962,376 |
Net income/(loss) per share applicable to ZAIS Financial Corp. common stockholders - Basic/Diluted | $0.47 | $2.83 | ($0.20) | $5.94 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Advisory fee - related party | $710,563 | $255,943 | $1,903,635 | $728,521 |
Acquisitions of real estate securities | ' | ' | 365,230,804 | 83,122,058 |
ZAIS REIT Management, LLC [Member] | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Advisory fee, rate | ' | ' | 1.50% | ' |
Advisory fee - related party | 700,000 | 300,000 | 1,900,000 | 700,000 |
Advisory fees due to related party | 700,000 | ' | 700,000 | ' |
Principal balance of securities acquired | ' | ' | 17,400,000 | ' |
Acquisitions of real estate securities | ' | ' | $15,700,000 | ' |
Stockholders_Equity_Details
Stockholders' Equity (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 0 Months Ended | 1 Months Ended | 0 Months Ended | 1 Months Ended | |||||||||||||
Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 18, 2013 | Jun. 25, 2013 | 14-May-13 | Jan. 31, 2013 | Dec. 19, 2012 | Nov. 29, 2012 | Oct. 22, 2012 | Jun. 05, 2012 | 1-May-12 | Dec. 31, 2012 | Oct. 31, 2012 | Feb. 13, 2013 | Feb. 13, 2013 | Dec. 31, 2012 | Oct. 31, 2012 | Feb. 15, 2013 | Jan. 18, 2012 | |
ZAIS Financial Partners, L.P. [Member] | ZAIS Financial Partners, L.P. [Member] | ZAIS REIT Management, LLC [Member] | Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | Series A Preferred Stock [Member] | Series A Preferred Stock [Member] | ||||||||||||||
Stockholders' Equity [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares outstanding | 2,071,096 | 7,970,886 | ' | 2,071,096 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares of stock issued | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,650,000 | 36,581 | 195,458 | ' | 133 |
Common stock issued, price per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $21.25 | ' | ' | ' | ' |
Gross proceeds from issuance initial public offering | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $120,100,000 | ' | ' | ' | ' |
Value of stock issued | ' | 118,862,500 | ' | 4,757,470 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 118,900,000 | ' | ' | ' | 115,499 |
Value of OP units and common stock issued | 25,151,174 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Offering fees | 763,000 | 216,658 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,300,000 | 1,200,000 | ' | ' | ' | 17,501 |
Common stock repurchase liability, common shares | 515,035 | ' | ' | 515,035 | ' | ' | ' | 265,245 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Payments for common stock repurchased | ' | 5,750,512 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of shares repurchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 133 | ' |
Payments for Repurchase of Preferred Stock and Preference Stock | ' | $148,379 | $7,112 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $148,379 | ' |
Limited Partners' Capital Account [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Issuance of OP units | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 904,422 | 22,492 | ' | ' | ' | ' | ' | ' |
Dividend declared, amount per share | ' | ' | ' | ' | $0.50 | $0.45 | $0.22 | ' | $1.16 | $0.98 | $0.89 | $0.57 | $0.51 | ' | ' | ' | ' | ' | ' | ' | ' |
Undistributed taxable income | ' | $1.07 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Noncontrolling_Interests_in_Op1
Non-controlling Interests in Operating Partnership (Details) (ZAIS Financial Partners, L.P. [Member]) | Sep. 30, 2013 | Dec. 31, 2012 |
ZAIS Financial Partners, L.P. [Member] | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' |
Units issued and outstanding | 926,914 | 926,914 |
Non-controlling interest equity interest | 10.40% | 30.90% |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities (Schedule of Offsetting of Liabilities) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Repurchase agreements | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | $134,062,326 | $116,080,467 |
Total | ' | ' |
Gross Amounts of Recognized Liabilities | 375,730,565 | 117,225,211 |
Gross Amounts Offset in the Consolidated Balance Sheet | -593,450 | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 375,137,115 | 117,225,211 |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ' | ' |
Financial Instruments Pledged | -372,738,804 | -114,745,162 |
Cash Collateral Pledged | -2,209,549 | -2,480,049 |
Net Amount | 188,762 | ' |
Mortgage Loans [Member] | ' | ' |
Repurchase agreements | ' | ' |
Gross Amounts of Recognized Liabilities | 240,477,801 | ' |
Gross Amounts Offset in the Consolidated Balance Sheet | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 240,477,801 | ' |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ' | ' |
Financial Instruments Pledged | -240,477,801 | ' |
Cash Collateral Pledged | ' | ' |
Net Amount | ' | ' |
Agency and Non-Agency Securities [Member] | ' | ' |
Repurchase agreements | ' | ' |
Gross Amounts of Recognized Liabilities | 134,062,326 | 116,080,467 |
Gross Amounts Offset in the Consolidated Balance Sheet | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 134,062,326 | 116,080,467 |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ' | ' |
Financial Instruments Pledged | -132,261,003 | -114,745,162 |
Cash Collateral Pledged | -1,801,323 | -1,335,305 |
Net Amount | ' | ' |
Interest Rate Swap [Member] | ' | ' |
Derivatives | ' | ' |
Gross Amounts of Recognized Liabilities | 270,438 | 1,144,744 |
Gross Amounts Offset in the Consolidated Balance Sheet | -217,981 | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 52,457 | 1,144,744 |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ' | ' |
Financial Instruments Pledged | ' | ' |
Cash Collateral Pledged | -52,457 | -1,144,744 |
Net Amount | ' | ' |
TBAs [Member] | ' | ' |
Derivatives | ' | ' |
Gross Amounts of Recognized Liabilities | 920,000 | ' |
Gross Amounts Offset in the Consolidated Balance Sheet | -375,469 | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 544,531 | ' |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ' | ' |
Financial Instruments Pledged | ' | ' |
Cash Collateral Pledged | -355,769 | ' |
Net Amount | $188,762 | ' |