Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Aug. 10, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | Five Oaks Investment Corp. | |
Entity Central Index Key | 1,547,546 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | OAKS | |
Entity Common Stock, Shares Outstanding | 14,724,750 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | ||
ASSETS | ||||
Available-for-sale securities, at fair value (includes pledged securities of $491,584,595 and $366,103,204 for June 30, 2015 and December 31, 2014, respectively) | $ 491,584,595 | $ 368,315,738 | ||
Mortgage loans held-for-sale, at fair value | 48,978,699 | 54,678,382 | ||
Multi-family loans held in securitization trusts, at fair value | 1,620,066,565 | 1,750,294,430 | ||
Residential loans held in securitization trusts, at fair value | 472,629,816 | 631,446,984 | ||
Mortgage servicing rights, at fair value | 2,457,374 | 0 | ||
Linked transactions, net, at fair value | 0 | 60,818,111 | ||
Cash and cash equivalents | 30,060,855 | 32,274,285 | ||
Restricted cash | 14,291,416 | 11,400,645 | ||
Deferred offering costs | 900,150 | $ 945,661 | ||
Deferred securitization costs | 89,643 | |||
Accrued interest receivable | 9,126,537 | $ 10,962,663 | ||
Investment related receivable | 1,443,832 | 979,509 | ||
Derivative assets, at fair value | 0 | 21,550 | ||
FHLB stock | 2,403,000 | 0 | ||
Other assets | 325,307 | 71,599 | ||
Total assets | [1] | 2,694,357,789 | 2,922,209,557 | |
Repurchase agreements: | ||||
Secured debt repurchase agreements | 541,041,099 | 594,877,852 | [2] | |
FHLB advances | 53,400,000 | 0 | ||
Multi-family securitized debt obligations | 1,536,502,579 | 1,670,573,456 | ||
Residential securitized debt obligations | 356,104,980 | 432,035,976 | ||
Derivative liabilities, at fair value | 3,200,514 | 2,289,058 | ||
Accrued interest payable | 6,934,955 | 8,238,924 | ||
Dividends payable | 29,349 | 39,132 | ||
Fees and expenses payable to Manager | 1,155,000 | 1,062,000 | ||
Other accounts payable and accrued expenses | 1,144,418 | 295,029 | ||
Total liabilities | [1] | 2,499,512,894 | 2,709,411,427 | |
STOCKHOLDERS' EQUITY: | ||||
Preferred Stock: par value $0.01 per share; 50,000,000 shares authorized, 8.75% Series A cumulative redeemable, $25 liquidation preference, 1,610,000 and 1,610,000 issued and outstanding at June 30, 2015 and December 31, 2014, respectively | 37,156,972 | 37,156,972 | ||
Common Stock: par value $0.01 per share; 450,000,000 shares authorized, 14,724,750 and 14,718,750 shares issued and outstanding, at June 30, 2015 and December 31, 2014, respectively | 146,953 | 146,953 | ||
Additional paid-in capital | 189,152,358 | 189,332,874 | ||
Accumulated other comprehensive income | 7,781,228 | 7,208,350 | ||
Cumulative distributions to stockholders | (45,197,589) | (32,406,541) | ||
Accumulated earnings | 5,804,973 | 11,359,522 | ||
Total stockholders' equity | 194,844,895 | 212,798,130 | ||
Total liabilities and stockholders' equity | 2,694,357,789 | 2,922,209,557 | ||
Available-for-sale Securities [Member] | ||||
Repurchase agreements: | ||||
Secured debt repurchase agreements | 498,378,000 | 544,614,000 | ||
Mortgage Loans Held-or-Sale [Member] | ||||
Repurchase agreements: | ||||
Secured debt repurchase agreements | $ 42,663,099 | $ 50,263,852 | ||
[1] | The Company’s condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs”) as the Company is the primary beneficiary of these VIEs. As of June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $2,099,907,248 and $2,389,784,101, respectively, and the liabilities of consolidated VIEs totaled $1,899,078,499 and $2,180,936,221, respectively | |||
[2] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $63,796,000 that were linked to Non-Agency RMBS and Multi-Family MBS purchases, respectively, and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - Class of Stock [Domain] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Available-for-sale Securities Pledged as Collateral (in dollars) | $ 491,584,595 | $ 366,103,204 |
Preferred Stock, Par Value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Preferred Stock, Dividend Rate, Percentage | 8.75% | 8.75% |
Preferred Stock, Liquidation Preference, Value (in dollars) | $ 25 | $ 25 |
Preferred Stock, Shares Issued | 1,610,000 | 1,610,000 |
Preferred Stock, Shares Outstanding | 1,610,000 | 1,610,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 450,000,000 | 450,000,000 |
Common stock, shares issued | 14,724,750 | 14,718,750 |
Common stock, shares outstanding | 14,724,750 | 14,718,750 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $ 2,099,907,248 | $ 2,389,784,101 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 1,899,078,499 | $ 2,180,936,221 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations - Variable Interest Entity, Classification [Domain] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income: | ||||
Available-for-sale securities | $ 6,753,580 | $ 4,487,279 | $ 13,559,539 | $ 8,390,239 |
Mortgage loans held-for-sale | 642,104 | 4,381 | 1,347,565 | 7,517 |
Multi-family loans held in securitization trusts | 17,249,728 | 0 | 34,885,204 | 0 |
Residential loans held in securitization trusts | 5,039,380 | 0 | 10,931,159 | 0 |
Cash and cash equivalents | 4,236 | 7,006 | 8,577 | 8,593 |
Interest expense: | ||||
Repurchase agreements - available-for-sale securities | (1,789,532) | (602,038) | (3,502,300) | (1,162,260) |
Repurchase agreements - mortgage loans held-for-sale | (392,394) | (5,766) | (828,987) | (5,766) |
Multi-family securitized debt obligations | (15,778,322) | 0 | (31,913,781) | 0 |
Residential securitized debt obligations | (3,102,240) | 0 | (6,757,709) | 0 |
Net interest income | 8,626,540 | 3,890,862 | 17,729,267 | 7,238,323 |
Other-than-temporary impairmants | ||||
(Increase)/decrease in credit reserves | 567,205 | 0 | (1,410,284) | 0 |
Additional other-than-temporary credit impairment losses | 0 | 0 | (2,890,939) | 0 |
Total impairment losses recognized in earnings | 567,205 | 0 | (4,301,223) | 0 |
Other income: | ||||
Realized gain (loss) on sale of investments, net | 524,156 | 750,778 | 369,843 | (3,457,239) |
Unrealized gain (loss) and net interest income from Linked Transactions | 0 | 8,812,538 | 0 | 14,704,733 |
Realized gain (loss) on derivative contracts, net | (1,217,392) | (849,826) | (4,047,878) | (1,692,593) |
Unrealized gain (loss) on derivative contracts, net | 902,032 | (5,968,542) | (849,006) | (11,100,869) |
Realized gain (loss) on mortgage loans held-for-sale | 759,059 | 93,242 | 1,031,291 | 0 |
Unrealized gain (loss) on mortgage loans held-for-sale | (594,542) | 0 | (43,159) | 0 |
Unrealized gain (loss) on mortgage service rights | (268,311) | 0 | (268,311) | 0 |
Unrealized gain (loss) on multi-family loans held in securitization trusts | 1,803,472 | 0 | 3,840,584 | 0 |
Unrealized gain (loss) on residential loans held in securitization trusts | (2,975,798) | 0 | (6,332,205) | 0 |
Other income | 26,611 | 0 | 26,611 | 0 |
Total other income (loss) | (1,040,713) | 2,838,190 | (6,272,230) | (1,452,726) |
Expenses: | ||||
Management fee | 698,629 | 622,843 | 1,416,404 | 1,090,378 |
General and administrative expenses | 1,717,361 | 380,711 | 3,401,237 | 632,802 |
Operating expenses reimbursable to Manager | 1,055,075 | 870,817 | 2,106,642 | 1,539,470 |
Other operating expenses | 586,298 | 375,667 | 1,205,541 | 505,130 |
Compensation expense | 62,348 | 54,405 | 122,995 | 134,482 |
Total expenses | 4,119,711 | 2,304,443 | 8,252,819 | 3,902,262 |
Net income (loss) | 4,033,321 | 4,424,609 | (1,097,005) | 1,883,335 |
Dividends to preferred stockholders | (870,726) | (635,923) | (1,751,235) | (1,116,495) |
Net income (loss) attributable to common stockholders | 3,162,595 | 3,788,686 | (2,848,240) | 766,840 |
Earnings (loss) per share: | ||||
Net income (loss) attributable to common stockholders (basic and diluted) | $ 3,162,595 | $ 3,788,686 | $ (2,848,240) | $ 766,840 |
Weighted average number of shares of common stock outstanding (in shares) | 14,721,492 | 11,150,788 | 14,720,051 | 10,001,587 |
Basic and diluted income (loss) per share (in dollars per share) | $ 0.21 | $ 0.34 | $ (0.19) | $ 0.08 |
Dividends declared per share of common stock (in dollars per share) | $ 0.38 | $ 0.36 | $ 0.75 | $ 0.72 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net income (loss) | $ 4,033,321 | $ 4,424,609 | $ (1,097,005) | $ 1,883,335 |
Other comprehensive income (loss): | ||||
Increase (decrease) in net unrealized gain on available-for-sale securities, net | (9,266,750) | 61,988 | (6,710,763) | 12,467,755 |
Reclassification adjustment for net gain (loss) included in net income | 1,415,814 | 5,563,982 | 1,415,814 | 5,563,982 |
Reclassification adjustment for other-than-temporary impairments included in net income (loss) | (567,205) | 0 | 4,301,223 | 0 |
Reclassification cumulative adjustment for Linked Transactions | 0 | 0 | 4,457,544 | 0 |
Total other comprehensive income (loss) | (8,418,141) | 5,625,970 | 3,463,518 | 18,031,737 |
Less: Dividends to preferred stockholders | (870,726) | (635,923) | (1,751,235) | (1,116,495) |
Comprehensive income (loss) attributable to common stockholders | $ (5,255,546) | $ 9,414,656 | $ (615,578) | $ 18,798,577 |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Stockholders' Equity - 6 months ended Jun. 30, 2015 - USD ($) | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Cumulative Distributions to Stockholders [Member] | Accumulated Earnings (Deficit) [Member] |
Balance at Dec. 31, 2014 | $ 212,798,130 | $ 37,156,972 | $ 146,953 | $ 189,332,874 | $ 7,208,350 | $ (32,406,541) | $ 11,359,522 |
Balance (in shares) at Dec. 31, 2014 | 1,610,000 | 14,718,750 | |||||
Issuance of common stock, net | 0 | $ 0 | $ 0 | 0 | 0 | 0 | 0 |
Issuance of common stock, net (in shares) | 6,000 | ||||||
Cost of issuing common stock | (225,594) | 0 | $ 0 | (225,594) | 0 | 0 | 0 |
Issuance of preferred stock, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Redemption of preferred stock, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Restricted stock compensation expense | 45,078 | 0 | $ 0 | 45,078 | 0 | 0 | 0 |
Restricted stock compensation expense (in shares) | 0 | ||||||
Net income (loss) | (1,097,005) | 0 | $ 0 | 0 | 0 | 0 | (1,097,005) |
Other comprehensive income (loss) | (5,294,949) | 0 | 0 | 0 | (5,294,949) | 0 | 0 |
Reclassification cumulative adjustments for Linked Transactions | (4,457,544) | 0 | 0 | 0 | 4,457,544 | 0 | (4,457,544) |
Reclassification adjustment for other-than-temporary impairments included in net income | 1,410,283 | 0 | 0 | 0 | 1,410,283 | 0 | 0 |
Common dividends declared | (11,039,813) | 0 | 0 | 0 | 0 | (11,039,813) | 0 |
Preferred dividends declared | (1,751,235) | 0 | 0 | 0 | 0 | (1,751,235) | 0 |
Balance at Jun. 30, 2015 | $ 194,844,895 | $ 37,156,972 | $ 146,953 | $ 189,152,358 | $ 7,781,228 | $ (45,197,589) | $ 5,804,973 |
Balance (in shares) at Jun. 30, 2015 | 1,610,000 | 14,724,750 |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows - USD ($) | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash flows from operating activities: | ||
Net income (loss) | $ (1,097,005) | $ 1,883,335 |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Other-than-temporary impairment charges | 4,301,223 | 0 |
Amortization/accretion of available-for-sale securities premiums and discounts, net | (7,882,863) | (2,316,901) |
Realized (gain) loss on sale of investments, net | (369,843) | 4,591,068 |
Unrealized (gain) loss on Linked Transactions, net | 0 | (9,339,380) |
Realized (gain) loss on derivative contracts | 4,047,878 | 1,692,593 |
Unrealized (gain) loss on derivative contracts | 849,006 | 11,100,869 |
Realized (gain) loss on mortgage loans held-for-sale | (1,031,291) | 0 |
Unrealized (gain) on mortgage loans held-for-sale | 43,159 | 0 |
Unrealized (gain) loss on mortgage servicing rights | 268,311 | 0 |
Unrealized (gain) loss on multi-family loans held in securitization trusts | (3,840,584) | 0 |
Unrealized (gain) loss on residential loans held in securitization trusts | 6,332,205 | 0 |
Restricted stock compensation expense | 45,078 | (35,696) |
Net change in: | ||
Accrued interest receivable | 1,168,276 | (427,882) |
Other assets | (253,708) | (170,475) |
Accrued interest payable | (603,702) | (12,147) |
Fees and expenses payable to Manager | 93,000 | 230,000 |
Other accounts payable and accrued expenses | 849,389 | (56,215) |
Net cash provided by operating activities | 2,918,529 | 7,045,927 |
Cash flows from investing activities: | ||
Purchase of available-for-sale securities | (109,389,530) | (214,616,170) |
Purchase of mortgage loans held-for-sale | (282,639,129) | (4,417,555) |
Purchase of mortgage service rights | (2,725,685) | 0 |
Purchase of FHLB stock | (2,403,000) | 0 |
Proceeds from mortgage loans held-for-sale | 288,811,206 | 0 |
Proceeds from sales of available-for-sale securities | 162,351,939 | 86,186,338 |
Net proceeds from (payments for) derivative contracts | (3,963,878) | (191,406) |
Payments for sales of derivative contracts and interest expense | 0 | (1,333,187) |
Principal payments from available-for-sale securities | 39,601,721 | 18,412,683 |
Principal payments from mortgage loans held-for-sale | 515,738 | 0 |
Deferred securitization | (89,643) | 0 |
Investment related receivable | 70,399,740 | (418,520) |
Restricted cash | (2,890,771) | (30,065,505) |
Payable for securities purchased | 0 | 15,492,311 |
Net cash (used in) provided by investing activities | 157,578,708 | (130,951,011) |
Cash flows from financing activities: | ||
Net proceeds from issuance of common stock | (225,594) | 73,684,805 |
Net proceeds from issuance of preferred stock | 45,511 | 19,103,574 |
Change in deferred offering costs | 0 | (688,281) |
Dividends paid on common stock | (11,039,813) | (7,191,938) |
Dividends paid on preferred stock | (1,761,018) | (1,129,647) |
Proceeds from repurchase agreements - available-for-sale securities | 3,192,400,999 | 2,145,752,286 |
Proceeds from repurchase agreements - mortgage loans held-for-sale | 47,097,001 | 3,957,697 |
Proceeds fromFHLBI advances | 53,400,000 | 0 |
Principal repayments of repurchase agreements - available-for-sale securities | (3,387,929,999) | (2,049,592,286) |
Principal repayments of repurchase agreements - mortgage loans held-for-sale | (54,697,754) | 0 |
Net cash received (paid) on securities underlying Linked Transactions | 0 | (173,775,114) |
Net cash received from repurchase agreements underlying Linked Transactions | 0 | 136,536,000 |
Net cash (used in) provided by financing activities | (162,710,667) | 146,657,096 |
Net increase (decrease) in cash and cash equivalents | (2,213,430) | 22,752,012 |
Cash and cash equivalents, beginning of period | 32,274,285 | 33,062,931 |
Cash and cash equivalents, end of period | 30,060,855 | 55,814,943 |
Supplemental disclosure of cash flow information | ||
Cash paid for interest | 4,934,989 | 1,180,173 |
Non-cash investing and financing activities information | ||
Restricted stock compensation expense | 45,078 | (35,696) |
Dividends declared but not paid at end of period | 29,349 | 29,349 |
Net change in unrealized gain (loss) on available-for-sale securities | (993,726) | 18,031,737 |
Consolidation of multi-family loans held in securitization trusts | 1,625,701,369 | 0 |
Consolidation of residential loans held in securitization trusts | 474,205,879 | 0 |
Consolidation of multi-family securitized debt obligations | 1,541,927,234 | 0 |
Consolidation of residential securitized debt obligations | 357,151,265 | 0 |
MBS securities recorded upon adoption of revised accounting standard for repurchase agreement financing | 210,238,653 | 0 |
Repurchase agreements recorded upon adoption of revised accounting standard for repurchase agreement financing | $ 149,293,000 | $ 0 |
ORGANIZATION AND BUSINESS OPERA
ORGANIZATION AND BUSINESS OPERATIONS | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | NOTE 1 ORGANIZATION AND BUSINESS OPERATIONS Five Oaks Investment Corp. (the “Company”) is a Maryland The Company was incorporated on March 28, 2012 May 16, 2012 The Company has elected to be taxed as a real estate investment trust (“REIT”) and to comply with Sections 856 through 859 of the Internal Revenue Code of 1986, as amended, the ("Code"). Accordingly, the Company generally will not be subject to U.S. federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and share ownership tests are met. The Company invests in Agency RMBS, which are RMBS for which the principal and interest payments are guaranteed by a U.S. Government agency such as the Government National Mortgage Association or a U.S. Government-sponsored entity such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation. The Company also invests in Non-Agency RMBS, which are RMBS that are not guaranteed by a U.S. Government agency or a U.S. Government-sponsored entity. Additionally, the Company invests in Multi-Family MBS, which are MBS for which the principal and interest may be sponsored by a U.S. Government agency such as the Government National Mortgage Association or a U.S, Government-sponsored entity such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or may not be sponsored by a U.S. Government agency or a U.S. Government-sponsored entity. The Company also invests in residential mortgage loans, mortgage servicing rights, and may also invest in other mortgage-related investments. On June 10, 2013, the Company established Five Oaks Acquisition Corp. (“FOAC”) as a wholly owned taxable REIT subsidiary (“TRS”), for the acquisition and disposition of residential mortgage loans. The Company consolidates this subsidiary under generally accepted accounting principles in the United States of America (“U.S. GAAP”). On April 30, 2014, the Company established Five Oaks Insurance LLC (“FOI”) as a wholly owned subsidiary. On February 24, 2015, FOI became a member of the Federal Home Loan Bank of Indianapolis. The Company consolidates this subsidiary under U.S. GAAP. In September 2014, and October 2014, respectively, the Company acquired first loss tranches issued or backed by two Freddie Mac-sponsored Multi-Family MBS K series securitizations (the “FREMF 2011-K13 Trust” and the “FREMF 2012-KF01 Trust”). In October 2014, and December 2014, respectively, the Company also acquired first loss and subordinated tranches issued by two residential mortgage-backed securitizations (the “JPMMT 2014-OAK4 Trust” and the “CSMC 2014-OAK1 Trust”). The Company determined that each of the Trusts was a variable interest entity (“VIE”) and that in each case the Company was the primary beneficiary, and accordingly consolidated the assets and liabilities of the four Trusts into the Company’s financial statements in accordance with U.S. GAAP. On March 23, 2015, the Company established Oaks Funding LLC (“OF”) as a wholly owned subsidiary of FOAC, to fulfill certain functions as depositor in respect of residential mortgage loan securitization transactions. The Company consolidates this subsidiary under U.S. GAAP. |
SUMMARY OF SIGNIFICANT ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The condensed consolidated balance sheet as of December 31, 2014 has been derived from audited financial statements. The condensed consolidated balance sheet as of June 30, 2015, the condensed consolidated statements of operations, the condensed consolidated statements of comprehensive income (loss), the condensed consolidated statement of stockholders’ equity and the condensed consolidated statements of cash flows, for the three and six months ended June 30, 2015 and for the three and six months ended June 30, 2014, are unaudited. The unaudited condensed consolidated financial statements and related notes have been prepared in accordance with U.S. GAAP for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, certain information and note disclosures normally included in the financial statements prepared under U.S. GAAP have been condensed or omitted. In the opinion of management, all adjustments considered necessary for a fair presentation of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. These condensed consolidated financial statements should be read in conjunction with the Company’s financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014, which was filed with the Securities and Exchange Commission (“SEC”) on March 16, 2015 . Certain prior year amounts have been reclassified to conform to current year presentation. The accompanying condensed consolidated financial statements of the Company include the accounts of the Company and all its subsidiaries which are majority-owned, controlled by the Company or a variable interest entity where the Company is the primary beneficiary. All significant intercompany transactions have been eliminated in consolidation. An entity is referred to as a variable interest entity (“VIE”) if it lacks one or more of the following characteristics: (1) sufficient equity at risk to finance its activities without additional subordinated financial support provided by any parties, including the equity holders; (2) 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 impact 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) 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 based upon changes in the facts and circumstances pertaining to the VIE. 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 that most significantly impact the VIE's economic performance and the obligation to absorb losses of, or the right to receive benefits from, the VIE that could potentially be significant to the VIE. This determination may involve complex and subjective analyses. In general, the obligation to absorb losses is a function of holding a majority of the first loss tranche, while the ability to direct the activities that most significantly impact the VIEs economic performance will be determined based upon the rights associated with acting as the directing certificate holder, or equivalent, in a given transaction. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period based upon changes in the facts and circumstances pertaining to the VIE. The Company has evaluated its Non-Agency RMBS and Multi-Family MBS 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 June 30, 2015, the Company determined that it was the primary beneficiary of two Multi-Family MBS transactions (FREMF 2011-K13 and FREMF 2012-KF01), and two residential mortgage loan transactions (CSMC 2014-OAK1 and JPMMT 2014-OAK4), in each case based on its power to direct the trust’s activities and its obligations to absorb losses derived from the ownership of the first-loss tranches. In the case of the FREMF 2012-KF01 trust, the Company determined that it was the primary beneficiary of an intermediate trust that has the power to direct the activities and the obligation to absorb losses of the FREMF 2012-KF01 trust. Accordingly, the Company consolidated the assets, liabilities, income and expenses of each of the underlying trusts, and has elected the fair value option in respect of the assets and liabilities of each trust. At June 30, 2015 and December 31, 2014, with the exception of the listed transactions, the maximum exposure of the Company to VIEs was limited to the fair value of its investment in Non-Agency RMBS and Multi-Family MBS as disclosed in Note 4 (Non-Agency RMBS $ 142,019,587 53,485,053 116,499,851 0 The financial statements have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Cash and cash equivalents include cash held in bank accounts on an overnight basis. The Company maintains its cash and cash equivalents in highly rated financial institutions, and at times these balances exceed insurable amounts. Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s securities, 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 securities, derivatives or repurchase counterparties or returned to the Company when the collateral requirements are exceeded or, at the maturity of the derivative or repurchase agreement. In accordance with Accounting Standards Codification (“ASC”) Subtopic 505-10, the direct costs incurred to issue shares classified as equity, such as legal and accounting fees, should be deducted from the related proceeds and the net amount recorded as stockholders’ equity. Accordingly, payments made by the Company in respect of such costs related to the issuance of shares will be recorded as an asset in the accompanying consolidated balance sheets in the line item “Deferred offering costs”, for subsequent deduction from the related proceeds upon closing of the offering. To the extent that certain costs, in particular legal fees, are known to have been accrued but have not yet been invoiced and paid, they are included in “Other accounts payable and accrued expenses” on the accompanying consolidated balance sheets. On April 25, 2014, the Company filed an S-3 registration statement allowing the Company to issue common stock, preferred stock, debt securities and warrants up to a maximum aggregate offering price of $ 750,000,000 Certain direct costs associated with the acquisition of residential mortgage loans are payable by the Company in advance of the subsequent securitization of these loans. To the extent that such costs are expected to be recovered at the time of a forthcoming securitization, payments made by the Company in respect of such costs will be recorded as an asset in the accompanying consolidated balance sheets in the line item “Deferred securitization costs”, for subsequent deduction from the securitization proceeds upon closing. Interest income on the Company’s available-for-sale (“AFS”) securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company recognizes interest income using the effective interest method for all AFS securities. As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs”, ASC 320-10, “Investments Debt and Equity Securities” or ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, as applicable. Total interest income will flow though the “Interest Income” line item on the condensed consolidated statement of operations. On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes such securities. If actual and anticipated cash flows differ from previous estimates; the Company recognizes a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS and Multi-Family MBS). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected are recognized as impairment to the extent that such decreases are due, at least in part, to an increase in credit loss expectations. To the extent that decreases in cash flows expected to be collected are the result of factors other than credit impairment, for example a change in rate of prepayments, such changes are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes is likely to differ from the financial accounting treatment of these items as described above. Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statement of operations. Upon the sale of a security, the Company will determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated other comprehensive income (loss) into earnings based on the specific identification method. Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). The Company evaluates its MBS, on a quarterly basis, to assess whether a decline in the fair value of an AFS security below the Company's amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security's amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value or (iii) does not expect to recover the security's amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the investment security is adjusted. However, if an entity does not intend to sell the impaired debt security and it is more likely than not that it will not be required to sell before recovery, an OTTI should still be recognized to the extent that a decrease in future cash flows expected to be collected is due, at least in part, to an increase in credit loss expectations (“credit impairment”). A decrease in future cash flows due to factors other than credit, for example a change in the rate of prepayments, is considered a non-credit impairment. The full amount of the difference between the security’s previous and new cost basis resulting from credit impairment is recognized currently in earnings, and the difference between the new amortized cost basis and the cash flows expected to be collected is accreted as interest income in accordance with the effective interest method. Decreases in cash flows expected to be collected resulting from non-credit impairment are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. Mortgage loans held-for-sale are reported at fair value as a result of a fair value option election. See Note 3 Fair Value Measurements for details on fair value measurement. Mortgage loans are currently classified as held-for-sale based upon the Company’s intent to sell them either in the secondary whole loan market or to include them in a securitization, including transfers to securitization entities that the Company sponsors and expects to be accounted for as sales for financial reporting purposes. Interest income on mortgage loans held-for-sale is recognized at the loan coupon rate. Interest income recognition is suspended when mortgage loans are placed on non-accrual status. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is considered non-collectible, and in all cases when payment becomes greater than 90 days past due. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. Multi-family and residential mortgage loans held in securitization trusts are comprised of multi-family mortgage loans held in the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, and residential mortgage loans held in the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust, as of June 30, 2015. Based on a number of factors, the Company determined that it was the primary beneficiary of the VIEs underlying the trusts, met the criteria for consolidation and, accordingly, has consolidated the four trusts, including their assets, liabilities, income and expenses in its financial statements. The Company has elected the fair value option on each of the assets and liabilities held within the trusts. See Note 3 Fair Value Measurement below for additional detail. Interest income on multi-family and residential mortgage loans held in securitization trusts is recognized at the loan coupon rate. Interest income recognition is suspended when mortgage loans are placed on non-accrual status. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is considered non-collectible, and in no case when payment becomes greater than 90 days past due. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. Mortgage servicing rights (“MSRs”) are associated with residential mortgage loans that the Company has purchased and subsequently sold or securitized. MSRs are held and managed at our TRS. As the owner of MSRs, the Company is entitled to receive a portion of the interest payments from the associated residential mortgage loan, and is obligated to service directly or through a subservicer, the associated loan. MSRs are reported at fair value as a result of a fair value option election. See Note 3 Fair Value Measurement below for additional detail. Residential mortgage loans for which the Company owns the MSRs are directly serviced by one or more sub-servicers retained by the Company, since the Company does not originate or directly service any residential mortgage loans. MSR income is recognized at the contractually agreed rate, net of the costs of sub-servicers retained by the Company. If a sub-servicer with whom the Company contracts were to default, an evaluation of MSR assets for impairment would be undertaken at that time. To the extent that the Company determines it is the primary beneficiary of a residential mortgage loan securitization trust into which it has sold loans, any associated MSRs are eliminated on the consolidation of the trust. The trust is contractually obligated to pay a portion of the interest payments from the associated residential mortgage loans for the direct servicing of the loans, and after deduction of sub-servicing fees payable to contracted sub-servicers, the net amount, excess servicing rights, represents a liability of the trust. See Note 3 Fair Value Measurement below for additional detail. The Company finances the acquisition of certain of its mortgage-backed securities through the use of repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates at a specified margin over LIBOR and are generally uncommitted. In accordance with ASC 860 “Transfers and Servicing” the Company accounts for the repurchase agreements, other than those treated as Linked Transactions (see Note 3 Accounting for Derivative Financial Instruments Non-Hedging Activity/Linked Transactions below), as collateralized financing transactions and they are carried at their contractual amounts, as specified in the respective agreements. The contractual amounts approximate fair value due to their short-term nature. Residential Loan Warehouse Facilities In February 2015, the Company’s wholly owned subsidiary, FOI, became a member of the Federal Home Loan Bank of Indianapolis (“FHLBI”). As a member of the FHLBI, FOI may borrow funds from the FHLBI in the form of secured advances (“FHLB advances”). FHLB advances are treated as secured financing transactions and are carried at their contractual amounts. In connection with FHLB advances, FOI is required to purchase FHLBI stock, which is recorded on the Company’s condensed consolidated balance sheet as an asset. Multi-family and residential securitized debt obligations represent third-party liabilities of the FREMF 2011-K13 Trust, FREMF 2012-KF01 Trust, JPMMT 2014-OAK4 Trust and CSMC 2014-OAK1 Trust, and excludes liabilities of the trust acquired by the Company that are eliminated on consolidation. The third-party obligations of each trust do not have any recourse to the Company as the consolidator of each trust. The Company has elected to be taxed as a REIT under the Code for U.S. federal income tax purposes, commencing with the Company’s short taxable period ended December 31, 2012. So long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its net taxable income to shareholders and maintains its qualification as a REIT. In addition to the Company’s election to be taxed as a REIT, the Company complies with Sections 856 through 859 of the Code. Accordingly, the Company generally will not be subject to U.S. federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and share ownership tests are met. To maintain its qualification as a REIT, the Company must distribute at least 90% of its REIT taxable income to its stockholders and meet certain other requirements. The Company may also be subject to certain state, local and franchise taxes. Under certain circumstances, federal income and excise taxes may be due on its undistributed taxable income. If the Company were to fail to meet these requirements, it would be subject to U.S. federal income tax, which could have a material adverse impact on its results of operations and amounts available for distributions to its stockholders. The Company believes it will meet all of the criteria to maintain the Company's REIT qualification for the applicable periods, but there can be no assurance that these criteria will continue to be met in subsequent periods. The Company does not have any material uncertain tax positions at this time. The Company's accounting policy with respect to interest and penalties is to classify these amounts as interest expense. The Company has not recognized any such amounts related to uncertain tax positions as of the balance sheet date. Certain activities of the Company are conducted through a TRS and therefore will be taxed as a standalone U.S. C-Corporation. If a TRS generates net income, the TRS can declare dividends to the Company which will be included in its taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at a TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. The Company calculates basic and diluted earnings per share by dividing net income attributable to common stockholders for the period by the weighted-average shares of the Company’s common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as warrants, stock options, and unvested restricted stock, but use the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. See Note 16 for details of the computation of basic and diluted earnings per share. The Company is required to recognize compensation costs relating to stock-based payment transactions in the financial statements. The Company accounts for share-based compensation issued to its Manager and non-management directors using the fair value based methodology prescribed by ASC 718, Share-Based Payment Comprehensive income (loss) is comprised of net income, as presented in the consolidated statement of comprehensive income (loss), adjusted for changes in unrealized gain or loss on AFS securities. Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the FASB issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2016, with early adoption prohibited. The Company has determined this ASU will not have a material impact on the Company’s financial condition or results of operations. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures In June 2014, the FASB issued ASU No. 2014-11, which requires repurchase-to-maturity transactions to be accounted for as secured borrowings, eliminates the existing guidance for repurchase financings, and requires new disclosures for certain transactions accounted for as secured borrowings and sales. This ASU is effective for the first interim or annual period beginning after December 15, 2014, except for the disclosures related to transactions accounted for as secured borrowings, which are effective for periods beginning on or after March 15, 2015. Adoption of this ASU did not have any impact on the Company’s financial condition, but did impact financial statement disclosures as further described in Note 3. Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity In August 2014, the FASB issued ASU No. 2014-13, which updates the guidance on measuring the financial assets and financial liabilities of consolidated collateralized financing entities, or CFEs. The update allows an entity to measure both the financial assets and financial liabilities of a qualifying CFE it consolidates using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. The ASU requires certain recurring disclosures and is effective for annual periods beginning on or after December 15, 2015, with early adoption permitted as of the beginning of an annual period. Early adoption of this ASU was applied, which did not have a material impact on the Company’s financial condition, but did impact financial statement disclosures as further described in Note 3. Amendments to the Consolidation Analysis In February 2015, the FASB issued ASU No. 2015-02, which changes the guidance on the consolidation of certain investment funds as well as both the variable interest model and the voting model. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2015, with early adoption permitted. The Company is currently assessing the impact of this guidance. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | NOTE 3 FAIR VALUE MEASUREMENTS The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels 1, 2 and 3, as defined). In accordance with U.S. GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level 3 category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. Additionally, U.S. GAAP permits entities to choose to measure many financial instruments and certain other items at fair value (the “fair value option”), and the election of such choice is irrevocable. Unrealized gains and losses on items for which the fair value option has been elected are irrevocably recognized in earnings at each subsequent reporting date. Available-for-sale Securities The Company currently invests in Non-Agency RMBS, Agency RMBS and Multi-Family MBS. Designation The Company classifies its MBS securities as AFS investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of the overall management of its portfolio. All assets classified as AFS are reported at estimated fair value, with unrealized gains and losses, excluding other than temporary impairments, included in accumulated other comprehensive income, a separate component of shareholders' equity. Determination of MBS Fair Value The Company determines the fair values for the Agency RMBS, Non-Agency RMBS and Multi-Family MBS in its portfolio based on obtaining a valuation for each Agency RMBS, Non-Agency RMBS and Multi-Family MBS from third-party pricing services, and may also obtain dealer quotes, as described below. The third-party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement, as applicable. The dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security, including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security, as applicable. The Company obtains pricing data from a primary third-party pricing service for each Agency RMBS, Non-Agency RMBS and Multi-Family MBS. If other available market data indicates that the pricing data from the primary third-party service is materially inaccurate, or pricing data is unavailable from the primary third-party pricing service, the Company shall undertake a review of other available prices and shall take additional steps to determine fair value. In all cases, the Company validates its understanding of methodology and assumptions underlying the fair value used. The Company will determine that the pricing data from the primary third-party service is materially inaccurate if it is not materially representative of where a specific security can be traded in the normal course of business. In making such determination, the Company will follow a series of steps, including review of collateral marks from margin departments of repo counterparties, utilization of bid list, inventory list and extensive unofficial market color, review of other third-party pricing service data and a yield analysis of each Non-Agency RMBS and Multi-Family MBS based on the pricing data from the primary third-party service data, and a yield analysis of each non-Agency RMBS and Multi-Family MBS based on the pricing data from the primary third-party service and the Company’s cashflow assumptions. The Company reviews all pricing of Agency and Non-Agency RMBS and Multi-Family MBS used to ensure that current market conditions are properly represented. This review includes, but is not limited to, comparisons of similar market transactions or alternative third-party pricing services, dealer quotes and comparisons to a pricing model. Values obtained from the third-party pricing service for similar instruments are classified as Level 2 securities if the pricing methods used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the pricing service, but dealer quotes are, the Company classifies the security as a Level 2 security. If neither is available, the Company determines the fair value based on characteristics of the security that are received from the issuer and based on available market information received from dealers and classifies it as a Level 3 security. Mortgage Loans Held-for-sale Designation The Company currently classifies its residential mortgage loans as held-for-sale (“HFS”) investments. HFS residential mortgage loans include loans that the Company is marketing for sale to third parties, including transfers to securitization trusts. The Company elected the fair value option for residential mortgage loans it has acquired and classifies as HFS. The fair value option was elected to help mitigate earnings volatility by better matching the asset accounting with any related hedges. The Company’s policy is to record separately interest income on these fair value elected loans. Additionally, upfront and costs related to these loans are not deferred or capitalized. Fair value adjustments are reported in gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive income (loss). The fair value option is irrevocable once the loan is acquired. Determination of Mortgage Loan Fair Value The Company determines the fair values of the mortgage loans in its portfolio from third-party pricing services. The third-party pricing services use common market pricing methods which may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps, as applicable. In addition, the third-party pricing services benchmark their pricing models against observable pricing levels being quoted by a range of market participants active in the purchase and sale of residential mortgage loans. The Company obtains pricing data from a primary third-party pricing service for each mortgage loan. If other available market data indicates that the pricing data from the primary third-party service is materially inaccurate, or pricing data is unavailable from the primary third-party pricing service, the Company undertakes a review of other available prices and takes additional steps to determine fair value. In all cases, the Company validates its understanding of methodology and assumptions underlying the fair value used. The Company will determine that the pricing data from the primary third-party service is materially inaccurate if it is not materially representative of the price at which a specific loan can be traded in the normal course of business, and/or is materially divergent from the price at which the Company would be willing to purchase such a loan in the normal course of its business. The Company reviews all pricing of mortgage loans used to ensure that current market conditions are properly represented. This review includes, but is not limited to, comparisons of similar market transactions or alternative third-party pricing services, dealer quotes and comparisons to a pricing model. Values obtained from the third-party pricing service for similar instruments are classified as Level 2 assets if the pricing methods used are consistent with the Level 2 definition. If quoted prices for a loan are not reasonably available from the pricing service, but alternative quotes are, the Company classifies the loan as a Level 2 asset. If neither is available, the Company determines the fair value based on characteristics of the loan and based on other available market information and classifies it as a Level 3 asset. MSRs and Excess Servicing Rights Designation MSRs are associated with residential mortgage loans that the Company has purchased and subsequently sold or securitized, and are typically acquired directly from loan originators and recognized at the time that loans are transferred to a third party or a securitization, in each case providing such transfer meets the GAAP criteria for sale. The Company retains the rights to service certain loans that it sells or securitizes, but employs one or more sub-servicers to perform the servicing activities. To the extent that the Company determines it is the primary beneficiary of a residential mortgage loan securitization trust into which it has sold loans, any associated MSRs are eliminated on the consolidation of the trust. The trust is contractually obligated to pay a portion of the interest payments from the associated residential mortgage loans for the direct servicing of the loans, and after deduction of sub-servicing fees payable to contracted sub-servicers, the net amount, excess servicing rights, represents a liability of the trust. Upon consolidation of the trust, the fair value of the excess servicing rights is equal to the related MSRs held at the Company’s TRS. The Company has elected the fair value option in respect of MSRs. Determination of Fair Value The Company determines the fair value of its MSRs from third-party pricing services. The third-party pricing services use common market pricing methods that include market discount rates, prepayment speeds of serviced loans, the market cost of servicing, and observed market pricing for MSR purchase and sale transactions. Changes in the fair value of MSRs occur primarily as a result of the collection and realization of expected cashflows, as well as changes in valuation inputs and assumptions. The Company obtains MSR pricing data from a primary third-party pricing service, and validates its understanding of methodology and assumptions underlying the fair value used. Fair values are estimated based on applying inputs to generate the net present value of estimated net servicing income, and as a consequence of the fact that these discounted cashflow models utilize certain significant unobservable inputs and observable MSR purchase and sale transactions are relatively infrequent, the Company classifies MSRs as a Level 3 asset. See Note 12 for a further presentation on MSRs. Multi-Family Mortgage Loans Held in Securitization Trusts and Multi-Family Securitized Debt Obligations Designation Multi-family mortgage loans held in securitization trusts are comprised of multi-family mortgage loans held in the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust as of June 30, 2015. Based on a number of factors, the Company determined that it was the primary beneficiary of the VIEs underlying the trusts, met the criteria for consolidation and, accordingly, has consolidated the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, including their assets, liabilities, income and expenses in its financial statements. The Company has elected the fair value option on each of the assets and liabilities held within the trusts. Determination of Fair Value As noted earlier, the Company has early adopted ASU 2014-13, and has elected the fair value option in respect of the assets and liabilities of the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust. The trusts are “static”, that is no reinvestment is permitted and there is very limited active management of the underlying assets. Under the ASU, the Company is required to determine whether the fair value of the financial assets or the fair value of the financial liabilities of each of the trusts is more observable, but in either case, the methodology results in the fair value of the assets of each of the trusts being equal to the fair value of their liabilities. The Company has determined that the fair value of the liabilities of each of the trusts is more observable, since in all cases prices for the liabilities are available from the primary third-party pricing service utilized for Multi-Family MBS, while the individual assets of each of the trusts are inherently incapable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the assets of the trusts is an aggregate value derived from the fair value of the trust’s liabilities, the Company has determined that the valuation of the trust’s assets in their entirety should be classified as Level 2 valuations. Residential Mortgage Loans Held in Securitization Trusts and Residential Securitized Debt Obligations Designation Residential mortgage loans held in securitization trusts are comprised of residential mortgage loans held in the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust as of June 30, 2015. Based on a number of factors, the Company determined that it was the primary beneficiary of the VIEs underlying the trusts, met the criteria for consolidation and, accordingly, has consolidated the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust including their assets, liabilities, income and expenses in its financial statements. The Company has elected the fair value option on each of the assets and liabilities held within each of the trusts. Determination of Fair Value As noted earlier, the Company has early adopted ASU 2014-13, and has elected the fair value option in respect of the assets and liabilities of the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust. The trusts are “static”, that is no reinvestment is permitted and there is very limited active management of the underlying assets. Under the ASU, the Company is required to determine whether the fair value of the financial assets or the fair value of the financial liabilities of each of the trusts is more observable, but in either case, the methodology results in the fair value of each of the assets of the trusts being equal to the fair value of their liabilities. The Company has determined that the fair value of the liabilities of each of the trusts is more observable, since in all cases prices for the liabilities are available from the primary third-party pricing service utilized for Non-Agency RMBS, with the exception of the excess servicing rights, which are available from an alternative third-party pricing service. While the individual assets of the trusts, i.e. the underlying residential mortgage loans, are capable of being priced, the Company has determined that the pricing of the liabilities is more easily and readily determined. Given that the Company’s methodology for valuing the assets of the trusts is an aggregate value derived from the fair value of each of the trust’s liabilities, the Company has determined that the valuation of the trust’s assets in their entirety should be classified as Level 2 valuations. Accounting for Derivative Financial Instruments In accordance with FASB guidance ASC 815 “Derivatives and Hedging”, all derivative financial instruments, whether designated for hedging relationships or not, are recorded at fair value on the consolidated balance sheet as assets or liabilities. The Company obtains valuation information for each derivative financial instrument from the related derivative counterparty. If other available market data indicates that the valuation information from the counterparty is materially inaccurate, or pricing data is unavailable from the counterparty, the Company shall undertake a review of other available valuation information, including third party pricing services and/or dealers, and shall take additional steps to determine fair value. The Company reviews all valuations of derivative financial instruments used to ensure that current market conditions are properly represented. This review includes, but is not limited to, comparisons of similar market transactions or alternative third-party pricing services, dealer quotes and comparisons to a pricing model. Values obtained from the derivative counterparty, the third-party pricing service or dealers, as appropriate, for similar instruments are classified as Level 2 valuations if the pricing methods used are consistent with the Level 2 definition. If none of these sources is available, the Company determines the fair value based on characteristics of the instrument and based on available market information received from dealers and classifies it as a Level 3 valuation. At the inception of a derivative contract, the Company determines whether or not the instrument will be part of a qualifying hedge accounting relationship. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. The changes in fair value of derivatives accounted for as trading instruments are reported in the consolidated statement of operations as unrealized gain (loss) on derivative contracts, net. The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing significant fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities (“TBAs”), options, futures, swaps and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to, and receivable from, the same party under contracts may be offset as long as the following conditions are met: (a) each of the two parties owes the other determinable amounts; (b) the reporting party has the right to offset the amount owed with the amount owed by the other party; (c) the reporting party intends to offset; and (d) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in the consolidated balance sheet. Non-Hedging Activity Linked Transactions With effect from January 1, 2015, ASU 2014-11 changed the basis on which the Company accounts for repurchase to maturity transactions and linked repurchase financings to be consistent with the basis which on the Company accounts for secured borrowings. Accordingly, the assets and repurchase agreements that encompass linked transactions that were previously accounted for on a net basis and recorded as a forward purchase (derivative) contract are now bifurcated, and the gross amounts are reported in available-for-sale securities and repurchase agreements respectively. Prior to adoption of ASU 2014-11, it was presumed that the initial transfer of a financial asset (i.e. the purchase of an MBS by the Company) and contemporaneous repurchase financing of such MBS with the same counterparty are considered part of the same arrangement, or a “linked transaction”, unless certain criteria are met. The two components of a linked transaction (MBS purchase and repurchase financing) were accounted for on a net basis and recorded as a forward purchase (derivative) contract (each a Linked Transaction) at fair value on the Company’s consolidated balance sheet in the line item “Linked Transactions, net, at fair value”. Changes in the fair value of the assets and liabilities underlying linked transactions and associated interest income and expense were reported as “Unrealized gain and net interest income from Linked Transactions”, on the Company’s consolidated statement of operations. When or if a transaction was no longer considered to be linked, the MBS and repurchase financing were reported on a gross basis. In this case, the fair value of the MBS at the time the transactions were no longer considered linked became the cost basis of the MBS, and the income recognition yield for such MBS was calculated prospectively using this new cost basis. (See Notes 10 and 11). See Note 10 for specific disclosures regarding the location and amounts of derivative instruments in the financial statements and the accounting for derivative instruments and related hedged items. Other Financial Instruments The carrying value of short term instruments, including cash and cash equivalents, receivables and repurchase agreements whose term is less than twelve months, generally approximates fair value due to the short term nature of the instruments. FHLBI stock, which Five Oaks Insurance LLC is required to purchase under a borrowing agreement with the FHLBI, is redeemable at face value, which represents the carrying value and fair value of the stock. |
AVAILABLE-FOR-SALE SECURITIES
AVAILABLE-FOR-SALE SECURITIES | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | NOTE 4 AVAILABLE-FOR-SALE SECURITIES With effect from January 1, 2015, ASU 2014-11 changed the basis on which the Company accounts for repurchase to maturity transactions and linked repurchase financings to be consistent with the basis on which the Company accounts for secured borrowings. Accordingly, the assets and repurchase agreements that encompass linked transactions that were previously accounted for on a net basis and recorded as a forward purchase (derivative) contract are now bifurcated, and the gross amounts are reported in available-for-sale securities and repurchase agreements separately. Consequently, the Company’s GAAP financial statements as of and for the period ended June 30, 2015 are not directly comparable to prior period GAAP financials. The following table presents the Company’s AFS investment securities by collateral type at fair value as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 89,429,826 $ 162,344,627 Federal National Mortgage Association 143,635,331 152,486,058 Non-Agency 142,019,587 53,485,053 Multi-Family 116,499,851 Total mortgage-backed securities $ 491,584,595 $ 368,315,738 The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of June 30, 2015 and December 31, 2014: June 30, 2015 Agency Non-Agency (1) Multi-Family Total Face Value $ 229,830,135 $ 188,029,097 $ 153,521,523 $ 571,380,755 Unamortized premium 1,202,379 66,825 - 1,269,204 Unamortized discount Designated credit reserve - (18,305,657 ) (2) - (18,305,657 ) Net, unamortized (1,887,043 ) (35,090,000 ) (36,154,385 ) (73,131,428 ) Amortized Cost 229,145,471 134,700,265 117,367,138 481,212,874 Gross unrealized gain 4,276,386 5,143,175 1,203,761 10,623,322 Gross unrealized (loss) (356,700 ) (1,424,572 ) (2,071,048 ) (3,852,320 ) Fair Value $ 233,065,157 $ 138,418,868 116,499,851 $ 487,983,876 December 31, 2014 Agency Non-Agency Total Face Value $ 309,790,551 $ 76,672,548 $ 386,463,099 Unamortized premium 4,796,106 - 4,796,106 Unamortized discount Designated credit reserve - (12,697,796 ) (12,697,796 ) Net, unamortized (2,244,687 ) (15,209,335 ) (17,454,022 ) Amortized Cost 312,341,970 48,765,417 361,107,387 Gross unrealized gain 3,670,643 4,732,247 8,402,890 Gross unrealized (loss) (1,181,928 ) (12,611 ) (1,194,539 ) Fair Value $ 314,830,685 $ 53,485,053 $ 368,315,738 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $229,787,057, book value of $3,832,990, unrealized loss of $232,273 and a fair value of $3,600,718. (2) Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at June 30, 2015 reflect Credit Reserve of $1,410,284 and OTTI of $2,890,939. At June 30, 2015, the Company did not intend to sell any of its MBS that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS before recovery of their amortized cost basis, which may be at their maturity. The Company recognized credit-related OTTI losses through earnings of $167,784 on two Non-Agency RMBS and decreased credit reserves by $734,989 on two Non-Agency RMBS sold during the three months ended on June 30, 2015. Non-Agency RMBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes, or credit impairment. The Company’s estimate of cash flows for its Non-Agency RMBS is based on its review of the underlying mortgage loans securing these RMBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as Rating Agency reports, general market assessments, and dialogue with market participants. Significant judgment is used in both the Company’s analysis of the expected cash flows for its Non-Agency RMBS and any determination of OTTI that is the result, at least in part, of credit impairment. The following table presents the composition of OTTI charges recorded by the Company for the three and six months ended June 30, 2015 and 2014: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 (Increase)/decrease in credit reserves $ 567,205 $ - Additional other-than-temporary credit impairment losses - - Total impairment losses recognized in earnings 567,205 - Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 ( Increase)/decrease in credit reserves (1,410,284 ) - Additional other-than-temporary credit impairment losses (2,890,939 ) - Total impairment losses recognized in earnings (4,301,223 ) - Unrealized losses on the Company’s Non-Agency RMBS were $1.4 million at June 30, 2015. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses to be credit related, but are rather due to non-credit factors, including changes in the rate of prepayments. To the extent the Company determines there are likely to be decreases in cash flows expected to be collected, and these are the result of non-credit impairment, such changes are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. The following table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities, inclusive of securities previously booked as linked, for the three and six months ended June 30, 2015 and June 30, 2014: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 AFS securities sold, at cost $ 106,968,002 $ 11,997,363 Proceeds from AFS securities sold 107,609,266 12,915,101 Net realized gain (loss) on sale of AFS securities $ 641,264 $ 917,738 Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 AFS securities sold, at cost $ 106,968,002 $ 106,746,157 Proceeds from AFS securities sold 107,609,266 103,535,140 Net realized gain (loss) on sale of AFS securities $ 641,264 $ (3,211,017 ) The following tables present the fair value of AFS investment securities by rate type as of June 30, 2015 and December 31, 2014: June 30, 2015 Agency Non-Agency Multi-Family Total Adjustable rate $ 216,373,089 $ 142,019,587 - $ 358,392,676 Fixed rate 16,692,069 - 116,499,851 133,191,920 Total $ 233,065,158 $ 142,019,587 116,499,851 $ 491,584,596 December 31, 2014 Agency Non-Agency Total Adjustable rate $ 229,648,342 $ 53,485,053 $ 283,133,395 Fixed rate 85,182,343 - 85,182,343 Total $ 314,830,685 $ 53,485,053 $ 368,315,738 The following tables present the fair value of AFS investment securities by maturity date as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Less than one year $ - $ - Greater than one year and less than five years 62,111,743 35,855,146 Greater than or equal to five years 429,472,853 332,460,592 Total $ 491,584,596 $ 368,315,738 As described in Note 3, when the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company generally does not amortize into income a significant portion of this discount that the Company is entitled to earn because it does not expect to collect it due to the inherent credit risk of the security. The Company may also record an OTTI for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as an off balance sheet credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable. Actual maturities of AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. The following tables present the changes for the six months ended June 30, 2015 and year ended December 31, 2014 of the unamortized net discount and designated credit reserves on the Company’s MBS. June 30, 2015 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2015 $ (49,325,117 ) $ (64,545,980 ) $ (113,871,097 ) Acquisitions - (22,597,930 ) (22,597,930 ) Dispositions 24,994,386 9,143,622 34,138,008 Accretion of net discount - 7,795,422 7,795,422 Realized gain on paydowns - 132,716 132,716 Realized credit losses 6,024,520 (2,890,939 ) 3,133,581 Addition to credit reserves (2,319,014 ) 2,151,230 (167,784 ) Release of credit reserves 2,319,568 (2,319,568 ) - Ending balance at June 30, 2015 $ (18,305,657 ) $ (73,131,427 ) $ (91,437,084 ) December 31, 2014 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2014 $ (16,126,355 ) $ (22,400,380 ) $ (38,526,735 ) Acquisitions - (2,361,186 ) (2,361,186 ) Accretion of net discount 559,860 1,667,828 2,227,688 Realized gain on paydowns - 4,760,729 4,760,729 Realized credit losses - 223,212 223,212 Release of credit reserves 2,868,699 - 2,868,699 Ending balance at December 31, 2013 - 655,775 655,775 $ (12,697,796 ) $ (17,454,022 ) $ (30,151,818 ) Gains and losses from the sale of AFS securities are recorded within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statements of operations. Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). For the three and six months ended June 30, 2015, the Company had unrealized gains (losses) on AFS securities of $(8,418,144) and $(993,726), respectively. The following tables present components of interest income on the Company’s AFS securities for the three months ended June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014: Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest discount accretion income interest discount accretion income Agency $ 1,891,811 $ 151,912 $ 2,043,723 $ 3,074,166 $ 151,622 $ 3,225,788 Non-Agency 578,691 2,281,616 2,860,307 127,034 1,042,083 1,169,117 Multi-Family 455,635 1,393,914 1,849,550 83,461 8,913 92,374 Total $ 2,926,137 $ 3,827,443 $ 6,753,580 $ 3,284,661 $ 1,202,618 $ 4,487,279 Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest discount accretion income interest discount accretion income Agency $ 3,887,013 $ 303,805 $ 4,190,818 $ 5,770,383 $ 212,007 $ 5,982,390 Non-Agency 875,207 5,140,318 6,015,526 174,460 2,084,467 2,258,927 Multi-Family 912,523 2,441,608 3,354,131 128,495 20,427 148,922 Total $ 5,674,743 $ 7,885,731 $ 13,560,475 $ 6,073,338 $ 2,316,901 $ 8,390,239 |
MORTGAGE LOANS HELD-FOR-SALE, a
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage loans held-for-sale Disclosure [Abstract] | |
Mortgage loans held-for-sale Disclosure [Text Block] | NOTE 5 MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE Mortgage loans held-for-sale consists of residential mortgage loans carried at fair value as a result of the fair value option. June 30, 2015 December 31, 2014 Unpaid principal balance $ 48,699,760 $ 54,348,654 Fair value adjustment 278,939 329,728 Fair value $ 48,978,699 $ 54,678,382 At June 30, 2015 and December 31, 2014, the Company pledged mortgage loans with a fair value of $ 49.0 54.7 Repurchase Agreements June 30, 2015 Massachussetts 34.3 % California 25.6 % New Jersey 14.4 % |
THE FREMF TRUSTS
THE FREMF TRUSTS | 6 Months Ended |
Jun. 30, 2015 | |
FREMF trusts [Member] | |
Balance Sheet | |
Variable Interest Entity Disclosure [Text Block] | NOTE 6 THE FREMF TRUSTS The Company has elected the fair value option on the assets and liabilities of the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, which requires that changes in valuations of the trusts be reflected in the Company’s statements of operations. The Company’s net investment in the trusts is limited to the Multi-Family MBS comprised of first loss PO securities and IO securities acquired by the Company in 2014 with an aggregate net carrying value of $ 83,774,135 June 30, 2015 December 31, 2014 Balance Sheet Assets Multi-family mortgage loans held in securitization trusts $ 1,620,066,565 1,750,294,430 Receivables 5,634,804 6,012,642 Total assets $ 1,625,701,369 1,756,307,072 Liabilities and Equity Multi-family securitized debt obligations $ 1,536,502,579 1,670,573,456 Payables 5,424,655 5,800,065 $ 1,541,927,234 1,676,373,521 Equity 83,774,135 79,933,551 Total liabilities and equity $ 1,625,701,369 1,756,307,072 The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $ 1,512,710,609 1,637,721,473 1,512,710,609 1,637,721,473 The condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2015 and June 30, 2014 are as follows: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 Statement of Operations Interest income $ 17,249,728 - Interest expense 15,778,321 - Net interest income $ 1,471,407 - General and administrative fees (838,544) - Unrealized gain (loss) on multi-family loans held in securitization trusts 1,803,473 - Net Income $ 2,436,336 - Six Months Ended Six Months Ended Statement of Operations Interest income $ 34,885,204 - Interest expense 31,913,781 - Net interest income $ 2,971,423 - General and administrative fees (1,706,891) - Unrealized gain (loss) on multi-family loans held in securitization trusts 3,840,584 - Net Income $ 5,105,116 - June 30, 2015 Texas 20.0 % New York 12.0 % California 11.1 % Washington 6.5 % Colorado 5.8 % Georgia 5.4 % |
RESIDENTIAL MORTGAGE LOAN SECUR
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS | 6 Months Ended |
Jun. 30, 2015 | |
Residential Mortgage [Member] | |
Balance Sheet | |
Variable Interest Entity Disclosure [Text Block] | NOTE 7 RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS The Company has elected the fair value option on the assets and liabilities of the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust, which requires that changes in valuations of the trusts be reflected in the Company’s statements of operations. The Company’s net investment in the trusts is limited to the Non-Agency RMBS comprised of subordinated and first loss securities, IO securities and excess servicing rights acquired by the Company in 2014 with an aggregate net fair value of $ 117,054,614 The condensed consolidated balance sheet of the residential mortgage loan securitization trusts at June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Balance Sheet Assets Residential mortgage loans held in securitization trusts $ 472,629,816 631,446,984 Receivables 1,576,063 2,030,045 Total assets $ 474,205,879 633,477,029 Liabilities and Equity Residential securitized debt obligations $ 356,104,980 502,900,040 Payables 1,046,285 1,662,660 $ 357,151,265 504,562,700 Equity 117,054,614 128,914,329 Total liabilities and equity $ 474,205,879 633,477,029 The residential mortgage loans held in the securitization trusts had an unpaid principal balance of $ 460,636,416 608,858,758 460,636,416 608,858,758 The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three and six months ended June 30, 2015 and June 30, 2014 are as follows: Three Months Ended Three Months Ended Statement of Operations Interest income $ 5,039,380 - Interest expense 3,102,240 - Net interest income $ 1,937,140 - General and administrative fees (107,325) - Unrealized gain (loss) on residential loans held in securitization trusts (2,975,804) - Net Income $ (1,145,989) - Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 Statement of Operations Interest income $ 10,931,159 - Interest expense 6,757,709 - Net interest income $ 4,173,450 - General and administrative fees (348,520) - Unrealized gain (loss) on residential loans held in securitization trusts (6,332,205) - Net Income $ (2,507,275) - June 30, 2015 California 48.6 % Washington 13.0 % Massachussetts 5.5 % |
USE OF SPECIAL PURPOSE ENTITIES
USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Special Purpose Entity And Variable Interest Entity Disclosure [Text Block] | NOTE 8 USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited purpose of the company that organized it, and a SPE is frequently used for the purpose of securitizing, or re-securitizing, financial assets. They are typically structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to certificate holders. As a consequence of their purpose and design, SPEs are typically VIEs. As further discussed in Notes 2, 6 and 7, the Company has evaluated its investments in Multi-Family MBS and Non-Agency RMBS and has determined that they are VIEs. The Company has then undertaken an analysis of whether it is the primary beneficiary of any of these VIEs, and has determined that it is the primary beneficiary of the FREMF 2011-K13 Trust, FREMF 2012-KF01 Trust, JPMMT 2014-OAK4 Trust and CSMC 2014-OAK1 Trust. Accordingly, the Company consolidated the assets, liabilities, income and expenses of the trusts in its financial statements as of and for the period ending June 30, 2015. However, the assets of each of the trusts are restricted, and can only be used to fulfill the obligations of the respective trusts. Additionally, the obligations of each of the trusts do not have any recourse to the Company as the consolidator of the trusts. For the Company’s remaining Multi-Family and Non-Agency MBS investments that are VIEs, the Company has determined that it is not the primary beneficiary, and accordingly these investments are accounted for as further described in Notes 2, 6 and 7. |
RESTRICTED CASH
RESTRICTED CASH | 6 Months Ended |
Jun. 30, 2015 | |
Cash and Cash Equivalents [Abstract] | |
Restricted Cash and Cash Equivalents Disclosure [Text Block] | NOTE 9 RESTRICTED CASH As of June 30, 2015, the Company is required to maintain certain cash balances with counterparties for broker activity and collateral for the Company's repurchase agreements in non-interest bearing accounts. The following table presents the Company's restricted cash balances as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Restricted cash balance held by: Broker counterparties for derivatives trading $ 7,029,075 $ 5,104,532 Repurchase counterparties as restricted collateral 7,156,580 6,296,111 Total $ 14,185,655 $ 11,400,643 |
BORROWINGS
BORROWINGS | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | NOTE 10 BORROWINGS With effect from January 1, 2015, ASU 2014-11 changed the basis on which we account for repurchase to maturity transactions and linked repurchase financings to be consistent with the basis on which we account for secured borrowings. Accordingly, the assets and repurchase agreements that encompass linked transactions that were previously accounted for on a net basis and recorded as a forward purchase (derivative) contract are now bifurcated, and the gross amounts are reported in available-for-sale securities and repurchase agreements separately. Consequently, our GAAP financial statements as of and for the period ended June 30, 2015 are not directly comparable to prior period GAAP financials. Repurchase Agreements The Company has entered into repurchase agreements (including three residential loan warehouse facilities to finance its portfolio of investments. The repurchase agreements bear interest at a contractually agreed rate. The repurchase obligations mature and typically reinvest every thirty days to one year and have a weighted average aggregate interest rate of 1.36 June 30, 2015 December 31, 2014 Weighted Weighted Amount average Amount average outstanding interest rate outstanding interest rate Agency $ 168,366,000 0.37 % $ 298,783,000 0.36 % Non-Agency (1) 200,524,000 1.94 % 200,347,000 1.25 % Multi-Family (2) 129,488,000 1.55 % 45,484,000 1.85 % Mortgage loans 42,663,099 2.65 % 50,263,852 2.86 % Total $ 541,041,099 1.36 % $ 594,877,852 0.99 % (1) At December 31, 2014, the Company had repurchase agreements of $ 85,497,000 June 30, 2015 December 31, 2014 < 30 days $ 481,135,919 $ 465,817,820 31 to 60 days 15,886,000 86,025,327 61 to 90 days 14,843,000 - > 90 days 29,176,180 43,034,705 Total $ 541,041,099 $ 594,877,852 Under the repurchase agreements (including residential loan warehouse facilities), the respective 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 fund margin calls. In addition, the repurchase agreements are subject to certain financial covenants. The Company is in compliance with these covenants as of June 30, 2015. June 30, 2015 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding amount outstanding days to maturity of collateral held North America $ 321,243,000 59.37 % 14 $ 419,513,822 Europe (1) 116,222,099 21.48 % 77 145,849,613 Asia (1) 103,576,000 19.14 % 11 117,236,750 Total $ 541,041,099 100.00 % 27 $ 682,600,185 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2014 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding (1) amount outstanding days to maturity of collateral held North America $ 388,138,820 65.25 % 19 $ 463,615,686 Europe (2) 93,350,032 15.69 % 21 113,286,452 Asia (2) 113,389,000 19.06 % 122 118,519,817 Total $ 594,877,852 100.00 % 36 $ 695,421,955 (1) At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $ 63,796,000 (2) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. Secured Loans In February 2015, the Company’s wholly-owned subsidiary, FOI, became a member of the FHLBI. As a member of the FHLBI, FOI may borrow funds from the FHLBI in the form of secured advances. As of June 30, 2015, FOI, had $ 53.4 500 8.1 0.35 The ability to borrow funds from the FHLBI is subject to the Company’s continued credit worthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI. Each advance requires approval by the FHLBI and is secured by collateral in accordance with FHLBI’s credit and collateral guidelines, as may be revised from time to time by the FHLBI. As of June 30, 2015, the FHLBI advances were collateralized by RMBS with a fair value of $ 55.9 The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value. A reduction in the value of pledged assets would require FOI to provide additional collateral. An additional requirement of FHLBI membership is to purchase and hold a certain amount of FHLBI stock, which is based in part, upon the outstanding principal balance of secured advances from the FHLBI. As of June 30, 2015, FHLBI stock held totaled $ 2,403,000 |
DERIVATIVE INSTRUMENTS HEDGING
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instrument Detail [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | NOTE 11 DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES With effect from January 1, 2015, ASU 2014-11 changed the basis on which we account for repurchase to maturity transactions and linked repurchase financings to be consistent with the basis on which we account for secured borrowings. Accordingly, the assets and repurchase agreements that encompass linked transactions that were previously accounted for on a net basis and recorded as a forward purchase (derivative) contract are now bifurcated, and the gross amounts are reported in available-for-sale securities and repurchase agreements separately. Consequently, our GAAP financial statements as of and for the period ended June 30, 2015 are not directly comparable to prior period GAAP financials. The Company enters into a variety of derivative instruments in connection with its risk management activities. The Company's primary objective for executing these derivatives and non-derivative instruments is to mitigate the Company's economic exposure to future events that are outside its control. The Company's derivative financial instruments are utilized principally to manage market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk) related to certain assets and liabilities. As part of its risk management activities, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, swaption and caps. In executing on the Company's current risk management strategy, the Company has entered into interest rate swap, swaption agreements, TBA’s and futures contracts. Amounts receivable and payable under interest rate swap agreements are accounted for as unrealized gain (loss) on derivative contracts, net in the condensed consolidated statement of operations. Premiums on swaptions are amortized on a straight line basis between trade date and expiration date and are recognized in the condensed consolidated statement of operations as a realized loss on derivative contracts. In addition, as set out in Note 3, the Company recorded Linked Transactions as a forward purchase (derivative) contract at fair value on the condensed consolidated balance sheet. Although Linked Transactions were accounted for as derivative instruments, they were not entered into as part of the Company’s risk management activities and were not designated as hedging instruments. The following summarizes the Company's significant asset and liability derivatives, the risk exposure for these derivatives and the Company's risk management activities used to mitigate certain of these risks. While the Company uses derivative instruments to achieve the Company's risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company's market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements. Balance Sheet Presentation The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of June 30, 2015 and December 31, 2014. June 30, 2015 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Interest rate swaps $ - - $ (2,850,933 ) 271,000,000 Futures - - (349,586 ) 190,000,000 Total $ - - $ (3,200,519 ) 461,000,000 December 31, 2014 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Interest rate swaps $ - - $ (1,755,107 ) 226,000,000 Swaptions 21,550 25,000,000 - - Futures - - (533,951 ) 98,000,000 Total $ 21,550 25,000,000 $ (2,289,058 ) 324,000,000 The following tables present the average fixed pay rate and average maturity for the Company’s interest rate swaps (excludes interest rate swaptions) as of June 30, 2015 and December 31, 2014: June 30, 2015 Notional Fair Fixed Pay Maturity Forward Current Maturity Date Amount Value Rate Years Starting 3 years or less $ 35,000,000 $ (110,768 ) 0.66 % 0.6 0.0 % Greater than 3 years and less than 5 years 236,000,000 (2,740,165 ) 1.60 % 3.2 0.0 % Total $ 271,000,000 $ (2,850,933 ) 1.48 % 2.9 0.0 % December 31, 2014 Notional Fair Fixed Pay Maturity Forward Current Maturity Date Amount Value Rate Years Starting 3 years or less $ 35,000,000 $ (124,591 ) 0.66 % 1.1 0.0 % Greater than 3 years and less than 5 years 191,000,000 (1,630,516 ) 1.66 % 3.7 0.0 % Total $ 226,000,000 $ (1,755,107 ) 1.51 % 3.3 0.0 % Offsetting of Financial Assets and Liabilities The Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default of either counterparty to the agreement. The Company also has in place with its counterparties ISDA Master Agreements (“Master Agreements”) for its derivative contracts. In accordance with the Master Agreements to each counterparty, if on any date amounts would otherwise be payable in the same currency and in respect of the same transaction by each party to the other, then, on such date, each party’s obligation to make payment of any such amount will be automatically satisfied and discharged and, if the aggregate amount that would otherwise have been payable by one party exceeds the aggregate amount that would otherwise have been payable by the other party, replaced by an obligation upon the party by whom the larger aggregate amount would have been payable to pay to the other party the excess of the larger aggregate amount over the smaller aggregate amount. The Company has pledged financial collateral as restricted cash to its counterparties for its derivative contracts and repurchase agreements. See Note 2 for specific details on the terms of restricted cash with counterparties and Note 9 for the amounts of restricted cash outstanding. Under GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. The Company presents repurchase agreements subject to Master Agreements or similar agreements on a gross basis, and derivative assets and liabilities subject to such arrangements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. The below tables provide a reconciliation of these assets and liabilities that are subject to Master Agreements or similar agreements and can be potentially offset on the Company’s condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014: June 30, 2015 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of liabilities Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description liabilities Balance Sheet Balance Sheet instruments Pledged amount Repurchase agreements $ 541,041,099 $ - $ 541,041,099 $ - $ - $ 541,041,099 Interest rate swaps (2,850,933 ) - (2,850,933 ) - 2,850,933 - Futures (349,586 ) - (349,586 ) - 349,586 - FHLB Advances 53,400,000 - 53,400,000 53,400,000 Total $ 591,240,580 $ - $ 591,240,580 $ - $ 3,200,519 $ 594,441,099 December 31, 2014 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of assets Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description assets Balance Sheet Balance Sheet instruments Pledged amount Linked transactions (2) $ 210,402,629 $ (149,584,518 ) $ 60,818,111 $ (60,818,111 ) $ - $ - Swaptions 21,550 - 21,550 - - 21,550 Total $ 210,424,179 $ (149,584,518 ) $ 60,839,661 $ (60,818,111 ) $ - $ 21,550 December 31, 2014 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of liabilities Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description liabilities Balance Sheet Balance Sheet instruments Pledged amount Repurchase agreements $ 594,877,852 $ - $ 594,877,852 $ - $ - $ 594,877,852 Linked transactions (2) (149,584,518 ) 149,584,518 - - - - Interest rate swaps (1,755,107 ) - (1,755,107 ) - 1,755,107 - Futures (533,951 ) - (533,951 ) - 533,951 - Total $ 443,004,276 $ 149,584,518 $ 592,588,794 $ - $ 2,289,058 $ 594,877,852 (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above. (2) Non-Agency RMBS and Multi-Family MBS securities within a Linked Transaction serve as collateral for the Linked Transaction. See Note 3 “Non-Hedging Activity Linked Transactions” for information on Linked Transactions. Income Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate the interest rate risk associated with its debt portfolio. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its interest rate swaps, swaptions and any other derivative instruments. The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three months ended June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014: Three Months Ended June 30, 2015 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (900,671 ) $ 776,847 $ (123,824 ) Futures (316,721 ) 125,185 (191,536 ) Total $ (1,217,392 ) $ 902,032 $ (315,360 ) Three Months Ended June 30, 2014 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (765,826 ) $ (4,807,659 ) $ (5,573,485 ) Swaptions (84,000 ) (467,598 ) (551,598 ) Futures - (693,285 ) (693,285 ) Total $ (849,826 ) $ (5,968,542 ) $ (6,818,368 ) (1) In the three month period ended June 30, 2015, net swap interest expense totaled $719,442 comprised of $900,215 in interest expense paid (included in realized gain (loss) and $180,772 in accrued interest income (included in unrealized appreciation (depreciation). In the three month period ended June, 2014, net swap interest expense totaled $679,777 comprised of $765,826 in interest expense paid (included in realized gain (loss) and $86,049 in accrued interest income (included in unrealized appreciation (depreciation). Six Months Ended June 30, 2015 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (1,421,593 ) $ (1,095,827 ) $ (2,517,420 ) Swaptions (84,000 ) 62,450 (21,550 ) Futures (2,542,285 ) 184,371 (2,357,914 ) Total $ (4,047,878 ) $ (849,006 ) $ (4,896,884 ) Six Months Ended June 30, 2014 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (1,142,140 ) $ (9,036,957 ) $ (10,179,097 ) Swaptions (168,000 ) (1,148,003 ) (1,316,003 ) Futures (191,047 ) (847,550 ) (1,038,597 ) TBAs (191,406 ) (68,359 ) (259,765 ) Total $ (1,692,593 ) $ (11,100,869 ) $ (12,793,462 ) (1) In the six month period ended June 30, 2015, net swap interest expense totaled $1,433,547 comprised of $1,421,156 in interest expense paid (included in realized gain (loss) and $12,391 in accrued interest expense (included in unrealized appreciation (depreciation). In the six month period ended June, 2014, net swap interest expense totaled $1,316,793 comprised of $1,142,140 in interest expense paid (included in realized gain (loss) and $174,653 in accrued interest expense (included in unrealized appreciation (depreciation). |
MSRs
MSRs | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Servicing Rights MSR Disclosure [Abstract] | |
Mortgage Servicing Rights MSR Disclosure [Text Block] | NOTE 12 - MSRs During the six months ended June 30, 2015, the Company retained the servicing rights associated with an aggregate principal balance of $ 538,643,377 Three Months Ended June 30, 2015 Balance at beginning of period $ - MSRs retained from sales to securitizations 2,457,373 Balance at end of year $ 2,457,373 Loans associated with MSRs (1) $ 252,297,973 MSR values as percent of loans (2) 0.97 % (1) Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2015 (2) Amounts represent the carrying value of MSRs at June 30, 2015 divided by the outstanding balance of the loans associated with these MSRs Three Months Ended June 30, 2015 Servicing income, net $ 65,770 Income from MSRs, net $ 65,770 |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Financial Instruments Disclosure [Text Block] | NOTE 13 FINANCIAL INSTRUMENTS With effect from January 1, 2015, ASU 2014-11 changed the basis on which we account for repurchase to maturity transactions and linked repurchase financings to be consistent with the basis on which we account for secured borrowings. Accordingly, the assets and repurchase agreements that encompass linked transactions that were previously accounted for on a net basis and recorded as a forward purchase (derivative) contract are now bifurcated, and the gross amounts are reported in available-for-sale securities and repurchase agreements separately. Consequently, our GAAP financial statements as of and for the period ended June 30, 2015 are not directly comparable to prior period GAAP financials. U.S. GAAP defines fair value and provides a consistent framework for measuring fair value under U.S. GAAP. ASC 820 “Fair Value Measurement” expands fair value financial statement disclosure requirements. ASC 820 does not require any new fair value measurements and only applies to accounting pronouncements that already require or permit fair value measures, except for standards that relate to share-based payments. Valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. The three levels are defined as follows: • Level 1 Inputs Quoted prices for identical instruments in active markets. • Level 2 Inputs Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs Instruments with primarily unobservable value drivers. Quoted prices in Significant active markets other observable Unobservable for identical assets inputs inputs Balance as of Level 1 Level 2 Level 3 June 30, 2015 Assets: Residential mortgage-backed securities (a) $ - $ 491,584,595 $ - $ 491,584,595 Residential mortgage loans - 48,978,699 - 48,978,699 Multi-Family mortgage loans held in securitization trusts - 1,620,066,565 - 1,620,066,565 Residential mortgage loans held in securitization trusts - 472,629,816 - 472,629,816 Mortgage servicing rights - - 2,457,374 2,457,374 FHLB stock 2,403,000 - - 2,403,000 Total $ 2,403,000 $ 2,633,259,675 $ 2,457,374 $ 2,638,120,049 Liabilities: Interest rate swaps $ - $ (2,850,933) $ - $ (2,850,933) Multi-family securitized debt obligations - (1,536,502,580) - (1,536,502,580) Residential securitized debt obligations - (356,104,980) - (356,104,980) Futures - (349,586) - (349,586) Total $ - $ (1,895,808,079) $ - $ (1,895,808,079) Quoted prices in Significant active markets other observable Unobservable for identical assets inputs inputs Balance as of Level 1 Level 2 Level 3 December 31, 2014 Assets: Residential mortgage-backed securities (a) $ - $ 368,315,738 $ - $ 368,315,738 Residential mortgage loans - 54,678,382 - 54,678,382 Multi-Family mortgage loans held in securitization trusts - 1,750,294,430 - 1,750,294,430 Residential mortgage loans held in securitization trusts - 631,446,984 - 631,446,984 Mortgage servicing rights - - - Linked transactions (b) - 60,818,111 - 60,818,111 Swaptions - 21,550 - 21,550 Total $ - $ 2,865,575,195 $ - $ 2,865,575,195 Liabilities: Interest rate swaps $ - $ (1,755,107) $ - $ (1,755,107) Multi-family securitized debt obligations - (1,670,573,456) - (1,670,573,456) Residential securitized debt obligations - (432,035,976) - (432,035,976) Futures (533,951) - - (533,951) Total $ (533,951) $ (2,104,364,539) $ - $ (2,104,898,490) (a) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4. During the six months ended June 30, 2015 and year ended December 31, 2014, the Company did not have any transfers between any of the levels of the fair value hierarchy. Transfers between levels are deemed to take place on the last day of the reporting period in which the transfer takes place. As of June 30, 2015, the Company had $ 2,457,374 As of June 30, 2015 Valuation Technique Unobervable Input Range Weighted Average Discounted cash flow Constant prepayment rate 5.2 - 13.8% 10.7% Discounted cash flow Discount rate - 12.0% |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | N OTE 14 RELATED PARTY TRANSACTIONS Management Fee The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, the Company pays the Manager a management fee equal to 1.5 For the three months ended June 30, 2015, the Company incurred management fees of $ 698,629 For the six months ended June 30, 2015, the Company incurred management fees of $ 1,416,404 470,000 Expense Reimbursement Pursuant to the management agreement, the Company is required to reimburse the Manager for operating expenses related to the Company incurred by the Manager, including accounting services, auditing and tax services, technology and office facilities, operations, compliance, legal and filing fees, and miscellaneous general and administrative costs, including the cost of non-investment management personnel of the Manager who spend all or a portion of their time managing the Company’s affairs. For the three months ended June 30, 2015, the Company incurred reimbursable expenses of $ 1,055,074 685,000 For the six months ended June 30, 2015, the Company incurred reimbursable expenses of $ 2,106,642 685,000 Fulfillment and Securitization Fees During the three months ended June 30, 2015, the Company’s Manager accrued fees pursuant to Section 8(b) of our Management Agreement in addition to the Management Fee for services rendered in connection with FOAC’s aggregation of loans and subsequent contribution of these and certain other loans into the OAKS 2015-1 Trust. The invoice for such fees was paid pursuant to guidelines adopted by the Company’s Audit Committee pursuant to the Company’s related party transaction policies. Fees accrued during the period totaled $ 175,000 Manager Equity Plan The Company has adopted a Manager Equity Plan under which the Company may compensate the Manager and the Company’s independent directors or consultants, or officers whom it may employ in the future. In turn, the Manager, in its sole discretion, grants such awards to its directors, officers, employees or consultants. The Company will be able to issue under the Manager Equity Plan up to 3.0 Stock based compensation arrangements may include incentive stock options and non-qualified stock options, stock appreciation rights, restricted stock, restricted stock units, unrestricted stock awards and other awards based on the Company’s common stock. Under the Manager Equity Plan, the Company’s independent directors, as part of their compensation for serving as independent directors, are eligible to receive 1,500 1,500 4,500 65,250 14.50 4,500 1,500 50,715 11.27 1,500 6,000 60,420 10.07 As of the closing of the IPO on March 27, 2013, the Company’s board of directors granted the Manager 28,500 One-third of these restricted common stock shares vest on each of the first, second and third anniversaries of the grant date. 79,325 8.35 9,500 67,199 For the three and six months ended June 30, 2015, the Company recognized compensation expense related to restricted common stock of $ 19,431 44,800 113,292 10 |
STOCKHOLDERS' EQUITY
STOCKHOLDERS' EQUITY | 6 Months Ended |
Jun. 30, 2015 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Ownership and Warrants As a result of the May 2012 and March 2013 private offerings of common stock to XL Investments Ltd, an indirectly wholly owned subsidiary of XL Group plc, owns a significant minority investment in the Company. Pursuant to the terms of the May 2012 private offering, the Company agreed to issue to XL Investments Ltd warrants to purchase the Company’s common stock. The warrants were subsequently issued, effective as of September 29, 2012, and entitle XL Investments Ltd, commencing on July 25, 2013 (120 days following the closing of our IPO) to purchase an aggregate of 3,125,000 Common Stock The Company has 450,000,000 0.01 14,724,750 14,718,750 On February 19, 2014, the Company issued 3,000,000 11.30 31,927,377 The Company granted the underwriters the right to purchase up to an additional 450,000 11.30 300,000 11.30 3,214,325 On June 19, 2014, the Company issued 3,500,000 11.00 38,442,925 The Company granted the underwriters the right to purchase up to an additional 525,000 11.00 525,000 11.00 5,769,750 Preferred Stock The Company has 50,000,000 0.01 1,610,000 8.75 0.01 8.75 th th The Company in connection with a December 2013 public offering of the Series A Preferred Stock granted the underwriters the right to purchase up to an additional 120,000 25.00 120,000 2,778,201 On May 27, 2014, the Company closed an offering of 690,000 16,325,373 Deferred Offering Costs Pursuant to the April 25, 2014 S-3 registration statement, the Company has incurred $ 1,313,200 413,557 226,101 899,643 Distributions to stockholders For the 2015 taxable year, the Company has declared dividends to common stockholders totaling $ 11,039,813 0.375 Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2014 January 15, 2015 January 29, 2015 $ 1,839,844 $ 0.12500 December 16, 2014 February 17, 2015 February 26, 2015 $ 1,839,844 $ 0.12500 December 16, 2014 March 16, 2015 March 30, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 April 15, 2015 April 27, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 May 15, 2015 May 27, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 June 15, 2015 June 29, 2015 $ 1,840,594 $ 0.12500 Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2014 January 15, 2015 January 29, 2015 $ 293,503 $ 0.18230 December 16, 2014 February 17, 2015 February 26, 2015 $ 293,503 $ 0.18230 December 16, 2014 March 16, 2015 March 30, 2015 $ 293,503 $ 0.18230 March 17, 2015 April 15, 2015 April 27, 2015 $ 293,503 $ 0.18230 March 17, 2015 May 15, 2015 May 27, 2015 $ 293,503 $ 0.18230 March 17, 2015 June 15, 2015 June 29, 2015 $ 293,503 $ 0.18230 Dividend Reinvestment and Direct Stock Purchase Plan On May 11, 2015, the Company sponsored a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. Stockholders may also make optional cash purchases of shares of the Company’s common stock subject to certain limitation detailed in the plan prospectus. An aggregate of 2.5 |
EARNINGS PER SHARE
EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share [Text Block] | NOTE 16 EARNINGS PER SHARE In accordance with ASC 260, outstanding instruments that contain rights to non-forfeitable dividends are considered participating securities. The Company is required to apply the two-class method or the treasury stock method of computing basic and diluted earnings per share when there are participating securities outstanding. The Company has determined that outstanding unvested restricted shares issued under the Manager Equity Plan are participating securities, and they are therefore included in the computation of basic and diluted earnings per share. Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 Net income $ 4,033,321 $ 4,424,609 Less dividends paid: Common stock $ 5,520,281 $ 4,008,469 Unvested share-based payment awards 870,726 635,923 6,391,007 4,644,392 Undistributed earnings $ (2,357,686) $ (219,783) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.38 $ 0.38 $ 0.36 $ 0.36 Undistributed earnings (deficit) (0.17) (0.17) (0.02) (0.02) Total $ 0.21 $ 0.21 $ 0.34 $ 0.34 Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Net income $ (1,097,005) $ 1,883,335 Less dividends paid: Common stock $ 11,039,813 $ 7,191,938 Unvested share-based payment awards 1,751,235 1,116,495 12,791,048 8,308,433 Undistributed earnings $ (13,888,053) $ (6,425,098) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.75 $ 0.75 $ 0.72 $ 0.72 Undistributed earnings (deficit) (0.94) (0.94) (0.64) (0.64) Total $ (0.19) $ (0.19) $ 0.08 $ 0.08 No adjustment was required for the calculation of diluted earnings per share for the warrants described in Note 9 because the warrants’ exercise price is greater than the average market price of the common shares for the period, and thereby anti-dilutive. |
SEGMENT REPORTING
SEGMENT REPORTING | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure [Text Block] | NOTE 17 SEGMENT REPORTING The Company invests in a portfolio comprised of mortgage-backed securities, residential mortgage loans, and other mortgage-related investments, and operates as a single reporting segment. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | NOTE 18 INCOME TAXES Certain activities of the Company are conducted through a TRS, FOAC, and FOAC therefore is subject to tax as a corporation. Pursuant to ASC 740, deferred tax assets are reduced by a valuation allowance if, based on the weight of available evidence, it is more likely than not (a likelihood of more than 50%) that some portion or all of the deferred tax assets will not be realized. The tax loss for December 31, 2014 was ($ 4,006,540 617,493 As of June 30, 2015, Management is not aware of any uncertain tax positions. As of June 30, 2015 As of December 31, 2014 Non-current Deferred Tax Asset (Liability) Unrealized Gain (Security) (955,419) (1,393,014) Net Operating Losses 1,310,854 1,545,254 AMT Credit 4,350 - 359,785 152,240 Valuation Allowance (359,785) (152,240) Net Non-current Deferred Tax Asset (Liability) - - |
SUMMARY OF SIGNIFICANT ACCOUN26
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | Basis of Presentation The condensed consolidated balance sheet as of December 31, 2014 has been derived from audited financial statements. The condensed consolidated balance sheet as of June 30, 2015, the condensed consolidated statements of operations, the condensed consolidated statements of comprehensive income (loss), the condensed consolidated statement of stockholders’ equity and the condensed consolidated statements of cash flows, for the three and six months ended June 30, 2015 and for the three and six months ended June 30, 2014, are unaudited. The unaudited condensed consolidated financial statements and related notes have been prepared in accordance with U.S. GAAP for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, certain information and note disclosures normally included in the financial statements prepared under U.S. GAAP have been condensed or omitted. In the opinion of management, all adjustments considered necessary for a fair presentation of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. These condensed consolidated financial statements should be read in conjunction with the Company’s financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014, which was filed with the Securities and Exchange Commission (“SEC”) on March 16, 2015 . |
Reclassification, Policy [Policy Text Block] | Reclassifications Certain prior year amounts have been reclassified to conform to current year presentation. |
Consolidation, Policy [Policy Text Block] | Principles of Consolidation The accompanying condensed consolidated financial statements of the Company include the accounts of the Company and all its subsidiaries which are majority-owned, controlled by the Company or a variable interest entity where the Company is the primary beneficiary. All significant intercompany transactions have been eliminated in consolidation. |
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | VIEs An entity is referred to as a variable interest entity (“VIE”) if it lacks one or more of the following characteristics: (1) sufficient equity at risk to finance its activities without additional subordinated financial support provided by any parties, including the equity holders; (2) 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 impact 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) 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 based upon changes in the facts and circumstances pertaining to the VIE. 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 that most significantly impact the VIE's economic performance and the obligation to absorb losses of, or the right to receive benefits from, the VIE that could potentially be significant to the VIE. This determination may involve complex and subjective analyses. In general, the obligation to absorb losses is a function of holding a majority of the first loss tranche, while the ability to direct the activities that most significantly impact the VIEs economic performance will be determined based upon the rights associated with acting as the directing certificate holder, or equivalent, in a given transaction. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period based upon changes in the facts and circumstances pertaining to the VIE. The Company has evaluated its Non-Agency RMBS and Multi-Family MBS 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 June 30, 2015, the Company determined that it was the primary beneficiary of two Multi-Family MBS transactions (FREMF 2011-K13 and FREMF 2012-KF01), and two residential mortgage loan transactions (CSMC 2014-OAK1 and JPMMT 2014-OAK4), in each case based on its power to direct the trust’s activities and its obligations to absorb losses derived from the ownership of the first-loss tranches. In the case of the FREMF 2012-KF01 trust, the Company determined that it was the primary beneficiary of an intermediate trust that has the power to direct the activities and the obligation to absorb losses of the FREMF 2012-KF01 trust. Accordingly, the Company consolidated the assets, liabilities, income and expenses of each of the underlying trusts, and has elected the fair value option in respect of the assets and liabilities of each trust. At June 30, 2015 and December 31, 2014, with the exception of the listed transactions, the maximum exposure of the Company to VIEs was limited to the fair value of its investment in Non-Agency RMBS and Multi-Family MBS as disclosed in Note 4 (Non-Agency RMBS $ 142,019,587 53,485,053 116,499,851 0 |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates The financial statements have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts on an overnight basis. The Company maintains its cash and cash equivalents in highly rated financial institutions, and at times these balances exceed insurable amounts. |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted Cash Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s securities, 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 securities, derivatives or repurchase counterparties or returned to the Company when the collateral requirements are exceeded or, at the maturity of the derivative or repurchase agreement. |
Deferred Offering Costs, Policy [Policy Text Block] | Deferred Offering Costs In accordance with Accounting Standards Codification (“ASC”) Subtopic 505-10, the direct costs incurred to issue shares classified as equity, such as legal and accounting fees, should be deducted from the related proceeds and the net amount recorded as stockholders’ equity. Accordingly, payments made by the Company in respect of such costs related to the issuance of shares will be recorded as an asset in the accompanying consolidated balance sheets in the line item “Deferred offering costs”, for subsequent deduction from the related proceeds upon closing of the offering. To the extent that certain costs, in particular legal fees, are known to have been accrued but have not yet been invoiced and paid, they are included in “Other accounts payable and accrued expenses” on the accompanying consolidated balance sheets. On April 25, 2014, the Company filed an S-3 registration statement allowing the Company to issue common stock, preferred stock, debt securities and warrants up to a maximum aggregate offering price of $ 750,000,000 |
Deferred Charges, Policy [Policy Text Block] | Deferred Securitization Costs Certain direct costs associated with the acquisition of residential mortgage loans are payable by the Company in advance of the subsequent securitization of these loans. To the extent that such costs are expected to be recovered at the time of a forthcoming securitization, payments made by the Company in respect of such costs will be recorded as an asset in the accompanying consolidated balance sheets in the line item “Deferred securitization costs”, for subsequent deduction from the securitization proceeds upon closing. |
Available-for-Sale Securities, at Fair Value, Policy [Policy Text Block] | Available-for-Sale Securities, at Fair Value |
Revenue Recognition, Policy [Policy Text Block] | Revenue Recognition, Premium Amortization, and Discount Accretion Interest income on the Company’s available-for-sale (“AFS”) securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company recognizes interest income using the effective interest method for all AFS securities. As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs”, ASC 320-10, “Investments Debt and Equity Securities” or ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, as applicable. Total interest income will flow though the “Interest Income” line item on the condensed consolidated statement of operations. On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes such securities. If actual and anticipated cash flows differ from previous estimates; the Company recognizes a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS and Multi-Family MBS). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected are recognized as impairment to the extent that such decreases are due, at least in part, to an increase in credit loss expectations. To the extent that decreases in cash flows expected to be collected are the result of factors other than credit impairment, for example a change in rate of prepayments, such changes are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes is likely to differ from the financial accounting treatment of these items as described above. Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statement of operations. Upon the sale of a security, the Company will determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated other comprehensive income (loss) into earnings based on the specific identification method. Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). |
Property, Plant and Equipment, Impairment [Policy Text Block] | Impairment The Company evaluates its MBS, on a quarterly basis, to assess whether a decline in the fair value of an AFS security below the Company's amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security's amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value or (iii) does not expect to recover the security's amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the investment security is adjusted. However, if an entity does not intend to sell the impaired debt security and it is more likely than not that it will not be required to sell before recovery, an OTTI should still be recognized to the extent that a decrease in future cash flows expected to be collected is due, at least in part, to an increase in credit loss expectations (“credit impairment”). A decrease in future cash flows due to factors other than credit, for example a change in the rate of prepayments, is considered a non-credit impairment. The full amount of the difference between the security’s previous and new cost basis resulting from credit impairment is recognized currently in earnings, and the difference between the new amortized cost basis and the cash flows expected to be collected is accreted as interest income in accordance with the effective interest method. Decreases in cash flows expected to be collected resulting from non-credit impairment are generally recognized prospectively through adjustment of the loan’s yield over its remaining life. |
Mortgage Loans Held-for-Sale, at Fair Value, Policy [Policy Text Block] | Mortgage Loans Held-for-Sale, at Fair Value Mortgage loans held-for-sale are reported at fair value as a result of a fair value option election. See Note 3 Fair Value Measurements for details on fair value measurement. Mortgage loans are currently classified as held-for-sale based upon the Company’s intent to sell them either in the secondary whole loan market or to include them in a securitization, including transfers to securitization entities that the Company sponsors and expects to be accounted for as sales for financial reporting purposes. Interest income on mortgage loans held-for-sale is recognized at the loan coupon rate. Interest income recognition is suspended when mortgage loans are placed on non-accrual status. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is considered non-collectible, and in all cases when payment becomes greater than 90 days past due. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. |
Multi Family Mortgage Loans Held in Securitization Trusts [Policy Text Block] | Multi-Family and Residential Mortgage Loans Held in Securitization Trusts Multi-family and residential mortgage loans held in securitization trusts are comprised of multi-family mortgage loans held in the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, and residential mortgage loans held in the CSMC 2014-OAK1 Trust and the JPMMT 2014-OAK4 Trust, as of June 30, 2015. Based on a number of factors, the Company determined that it was the primary beneficiary of the VIEs underlying the trusts, met the criteria for consolidation and, accordingly, has consolidated the four trusts, including their assets, liabilities, income and expenses in its financial statements. The Company has elected the fair value option on each of the assets and liabilities held within the trusts. See Note 3 Fair Value Measurement below for additional detail. Interest income on multi-family and residential mortgage loans held in securitization trusts is recognized at the loan coupon rate. Interest income recognition is suspended when mortgage loans are placed on non-accrual status. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is considered non-collectible, and in no case when payment becomes greater than 90 days past due. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. |
Mortgage Servicing Rights and Excess Servicing Rights, at Fair Value [Policy Text Block] | Mortgage Servicing Rights and Excess Servicing Rights, at Fair Value Mortgage servicing rights (“MSRs”) are associated with residential mortgage loans that the Company has purchased and subsequently sold or securitized. MSRs are held and managed at our TRS. As the owner of MSRs, the Company is entitled to receive a portion of the interest payments from the associated residential mortgage loan, and is obligated to service directly or through a subservicer, the associated loan. MSRs are reported at fair value as a result of a fair value option election. See Note 3 Fair Value Measurement below for additional detail. Residential mortgage loans for which the Company owns the MSRs are directly serviced by one or more sub-servicers retained by the Company, since the Company does not originate or directly service any residential mortgage loans. MSR income is recognized at the contractually agreed rate, net of the costs of sub-servicers retained by the Company. If a sub-servicer with whom the Company contracts were to default, an evaluation of MSR assets for impairment would be undertaken at that time. To the extent that the Company determines it is the primary beneficiary of a residential mortgage loan securitization trust into which it has sold loans, any associated MSRs are eliminated on the consolidation of the trust. The trust is contractually obligated to pay a portion of the interest payments from the associated residential mortgage loans for the direct servicing of the loans, and after deduction of sub-servicing fees payable to contracted sub-servicers, the net amount, excess servicing rights, represents a liability of the trust. See Note 3 Fair Value Measurement below for additional detail. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements The Company finances the acquisition of certain of its mortgage-backed securities through the use of repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates at a specified margin over LIBOR and are generally uncommitted. In accordance with ASC 860 “Transfers and Servicing” the Company accounts for the repurchase agreements, other than those treated as Linked Transactions (see Note 3 Accounting for Derivative Financial Instruments Non-Hedging Activity/Linked Transactions below), as collateralized financing transactions and they are carried at their contractual amounts, as specified in the respective agreements. The contractual amounts approximate fair value due to their short-term nature. |
Residential Loan Warehouse Facilities, Policy [Policy Text Block] | Residential Loan Warehouse Facilities |
Debt, Policy [Policy Text Block] | Secured Loans In February 2015, the Company’s wholly owned subsidiary, FOI, became a member of the Federal Home Loan Bank of Indianapolis (“FHLBI”). As a member of the FHLBI, FOI may borrow funds from the FHLBI in the form of secured advances (“FHLB advances”). FHLB advances are treated as secured financing transactions and are carried at their contractual amounts. In connection with FHLB advances, FOI is required to purchase FHLBI stock, which is recorded on the Company’s condensed consolidated balance sheet as an asset. |
Multi Family and Residential Securitized Debt Obligations [Policy Text Block] | Multi-Family and Residential Securitized Debt Obligations Multi-family and residential securitized debt obligations represent third-party liabilities of the FREMF 2011-K13 Trust, FREMF 2012-KF01 Trust, JPMMT 2014-OAK4 Trust and CSMC 2014-OAK1 Trust, and excludes liabilities of the trust acquired by the Company that are eliminated on consolidation. The third-party obligations of each trust do not have any recourse to the Company as the consolidator of each trust. |
Income Tax, Policy [Policy Text Block] | Income Taxes The Company has elected to be taxed as a REIT under the Code for U.S. federal income tax purposes, commencing with the Company’s short taxable period ended December 31, 2012. So long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its net taxable income to shareholders and maintains its qualification as a REIT. In addition to the Company’s election to be taxed as a REIT, the Company complies with Sections 856 through 859 of the Code. Accordingly, the Company generally will not be subject to U.S. federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and share ownership tests are met. To maintain its qualification as a REIT, the Company must distribute at least 90% of its REIT taxable income to its stockholders and meet certain other requirements. The Company may also be subject to certain state, local and franchise taxes. Under certain circumstances, federal income and excise taxes may be due on its undistributed taxable income. If the Company were to fail to meet these requirements, it would be subject to U.S. federal income tax, which could have a material adverse impact on its results of operations and amounts available for distributions to its stockholders. The Company believes it will meet all of the criteria to maintain the Company's REIT qualification for the applicable periods, but there can be no assurance that these criteria will continue to be met in subsequent periods. The Company does not have any material uncertain tax positions at this time. The Company's accounting policy with respect to interest and penalties is to classify these amounts as interest expense. The Company has not recognized any such amounts related to uncertain tax positions as of the balance sheet date. Certain activities of the Company are conducted through a TRS and therefore will be taxed as a standalone U.S. C-Corporation. If a TRS generates net income, the TRS can declare dividends to the Company which will be included in its taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at a TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. |
Earnings Per Share, Policy [Policy Text Block] | Earnings per Share The Company calculates basic and diluted earnings per share by dividing net income attributable to common stockholders for the period by the weighted-average shares of the Company’s common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as warrants, stock options, and unvested restricted stock, but use the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. See Note 16 for details of the computation of basic and diluted earnings per share. |
Share-based Compensation, Option and Incentive Plans Policy [Policy Text Block] | Stock-Based Compensation The Company is required to recognize compensation costs relating to stock-based payment transactions in the financial statements. The Company accounts for share-based compensation issued to its Manager and non-management directors using the fair value based methodology prescribed by ASC 718, Share-Based Payment |
Comprehensive Income, Policy [Policy Text Block] | Comprehensive Income (Loss) Comprehensive income (loss) is comprised of net income, as presented in the consolidated statement of comprehensive income (loss), adjusted for changes in unrealized gain or loss on AFS securities. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the FASB issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2016, with early adoption prohibited. The Company has determined this ASU will not have a material impact on the Company’s financial condition or results of operations. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures In June 2014, the FASB issued ASU No. 2014-11, which requires repurchase-to-maturity transactions to be accounted for as secured borrowings, eliminates the existing guidance for repurchase financings, and requires new disclosures for certain transactions accounted for as secured borrowings and sales. This ASU is effective for the first interim or annual period beginning after December 15, 2014, except for the disclosures related to transactions accounted for as secured borrowings, which are effective for periods beginning on or after March 15, 2015. Adoption of this ASU did not have any impact on the Company’s financial condition, but did impact financial statement disclosures as further described in Note 3. Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity In August 2014, the FASB issued ASU No. 2014-13, which updates the guidance on measuring the financial assets and financial liabilities of consolidated collateralized financing entities, or CFEs. The update allows an entity to measure both the financial assets and financial liabilities of a qualifying CFE it consolidates using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. The ASU requires certain recurring disclosures and is effective for annual periods beginning on or after December 15, 2015, with early adoption permitted as of the beginning of an annual period. Early adoption of this ASU was applied, which did not have a material impact on the Company’s financial condition, but did impact financial statement disclosures as further described in Note 3. Amendments to the Consolidation Analysis In February 2015, the FASB issued ASU No. 2015-02, which changes the guidance on the consolidation of certain investment funds as well as both the variable interest model and the voting model. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2015, with early adoption permitted. The Company is currently assessing the impact of this guidance. |
AVAILABLE-FOR-SALE SECURITIES (
AVAILABLE-FOR-SALE SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities [Table Text Block] | The following table presents the Company’s AFS investment securities by collateral type at fair value as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 89,429,826 $ 162,344,627 Federal National Mortgage Association 143,635,331 152,486,058 Non-Agency 142,019,587 53,485,053 Multi-Family 116,499,851 Total mortgage-backed securities $ 491,584,595 $ 368,315,738 |
Schedule Of Available-For-Sale Securities Reconciliation [Table Text Block] | The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of June 30, 2015 and December 31, 2014: June 30, 2015 Agency Non-Agency (1) Multi-Family Total Face Value $ 229,830,135 $ 188,029,097 $ 153,521,523 $ 571,380,755 Unamortized premium 1,202,379 66,825 - 1,269,204 Unamortized discount Designated credit reserve - (18,305,657) (2) - (18,305,657) Net, unamortized (1,887,043) (35,090,000) (36,154,385) (73,131,428) Amortized Cost 229,145,471 134,700,265 117,367,138 481,212,874 Gross unrealized gain 4,276,386 5,143,175 1,203,761 10,623,322 Gross unrealized (loss) (356,700) (1,424,572) (2,071,048) (3,852,320) Fair Value $ 233,065,157 $ 138,418,868 116,499,851 $ 487,983,876 December 31, 2014 Agency Non-Agency Total Face Value $ 309,790,551 $ 76,672,548 $ 386,463,099 Unamortized premium 4,796,106 - 4,796,106 Unamortized discount Designated credit reserve - (12,697,796) (12,697,796) Net, unamortized (2,244,687) (15,209,335) (17,454,022) Amortized Cost 312,341,970 48,765,417 361,107,387 Gross unrealized gain 3,670,643 4,732,247 8,402,890 Gross unrealized (loss) (1,181,928) (12,611) (1,194,539) Fair Value $ 314,830,685 $ 53,485,053 $ 368,315,738 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $ 229,787,057 3,832,990 232,273 3,600,718 (2) Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at June 30, 2015 reflect Credit Reserve of $ 1,410,284 2,890,939 |
Composition of Available For Sale Securities [Table Text Block] | The following table presents the composition of OTTI charges recorded by the Company for the three and six months ended June 30, 2015 and 2014: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 (Increase)/decrease in credit reserves $ 567,205 $ - Additional other-than-temporary credit impairment losses - - Total impairment losses recognized in earnings 567,205 - Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 (Increase)/decrease in credit reserves (1,410,284) - Additional other-than-temporary credit impairment losses (2,890,939) - Total impairment losses recognized in earnings (4,301,223) - |
Schedule of Realized Gain (Loss) [Table Text Block] | The following table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities, inclusive of securities previously booked as linked, for the three and six months ended June 30, 2015 and June 30, 2014: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 AFS securities sold, at cost $ 106,968,002 $ 11,997,363 Proceeds from AFS securities sold 107,609,266 12,915,101 Net realized gain (loss) on sale of AFS securities $ 641,264 $ 917,738 Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 AFS securities sold, at cost $ 106,968,002 $ 106,746,157 Proceeds from AFS securities sold 107,609,266 103,535,140 Net realized gain (loss) on sale of AFS securities $ 641,264 $ (3,211,017) |
Schedule Of Available For Sale Securities By Rate Type [Table Text Block] | The following tables present the fair value of AFS investment securities by rate type as of June 30, 2015 and December 31, 2014: June 30, 2015 Agency Non-Agency Multi-Family Total Adjustable rate $ 216,373,089 $ 142,019,587 - $ 358,392,676 Fixed rate 16,692,069 - 116,499,851 133,191,920 Total $ 233,065,158 $ 142,019,587 116,499,851 $ 491,584,596 December 31, 2014 Agency Non-Agency Total Adjustable rate $ 229,648,342 $ 53,485,053 $ 283,133,395 Fixed rate 85,182,343 - 85,182,343 Total $ 314,830,685 $ 53,485,053 $ 368,315,738 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The following tables present the fair value of AFS investment securities by maturity date as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Less than one year $ - $ - Greater than one year and less than five years 62,111,743 35,855,146 Greater than or equal to five years 429,472,853 332,460,592 Total $ 491,584,596 $ 368,315,738 |
Schedule Of Investments In Debt and Marketable Equity Securities and Certain Trading Assets Disclosure [Table Text Block] | The following tables present the changes for the six months ended June 30, 2015 and year ended December 31, 2014 of the unamortized net discount and designated credit reserves on the Company’s MBS. June 30, 2015 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2015 $ (49,325,117) $ (64,545,980) $ (113,871,097) Acquisitions - (22,597,930) (22,597,930) Dispositions 24,994,386 9,143,622 34,138,008 Accretion of net discount - 7,795,422 7,795,422 Realized gain on paydowns - 132,716 132,716 Realized credit losses 6,024,520 (2,890,939) 3,133,581 Addition to credit reserves (2,319,014) 2,151,230 (167,784) Release of credit reserves 2,319,568 (2,319,568) - Ending balance at June 30, 2015 $ (18,305,657) $ (73,131,427) $ (91,437,084) December 31, 2014 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2014 $ (16,126,355) $ (22,400,380) $ (38,526,735) Acquisitions - (2,361,186) (2,361,186) Accretion of net discount 559,860 1,667,828 2,227,688 Realized gain on paydowns - 4,760,729 4,760,729 Realized credit losses - 223,212 223,212 Release of credit reserves 2,868,699 - 2,868,699 Ending balance at December 31, 2013 - 655,775 655,775 $ (12,697,796) $ (17,454,022) $ (30,151,818) |
Investment Income [Table Text Block] | The following tables present components of interest income on the Company’s AFS securities for the three months ended June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014: Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest discount accretion income interest discount accretion income Agency $ 1,891,811 $ 151,912 $ 2,043,723 $ 3,074,166 $ 151,622 $ 3,225,788 Non-Agency 578,691 2,281,616 2,860,307 127,034 1,042,083 1,169,117 Multi-Family 455,635 1,393,914 1,849,550 83,461 8,913 92,374 Total $ 2,926,137 $ 3,827,443 $ 6,753,580 $ 3,284,661 $ 1,202,618 $ 4,487,279 Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest discount accretion income interest discount accretion income Agency $ 3,887,013 $ 303,805 $ 4,190,818 $ 5,770,383 $ 212,007 $ 5,982,390 Non-Agency 875,207 5,140,318 6,015,526 174,460 2,084,467 2,258,927 Multi-Family 912,523 2,441,608 3,354,131 128,495 20,427 148,922 Total $ 5,674,743 $ 7,885,731 $ 13,560,475 $ 6,073,338 $ 2,316,901 $ 8,390,239 |
MORTGAGE LOANS HELD-FOR-SALE,28
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans Held For Sale At Fair Value [Line Items] | |
Schedule of Mortgage loans held-for-sale [Table Text Block] | The following table presents the fair value of the Company’s mortgage loans held-for-sale as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Unpaid principal balance $ 48,699,760 $ 54,348,654 Fair value adjustment 278,939 329,728 Fair value $ 48,978,699 $ 54,678,382 |
Mortgage Loans Held-for-sale [Member] | |
Mortgage Loans Held For Sale At Fair Value [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of June 30, 2015 are as follows: June 30, 2015 Massachussetts 34.3 % California 25.6 % New Jersey 14.4 % |
THE FREMF TRUSTS (Tables)
THE FREMF TRUSTS (Tables) - FREMF trusts [Member] | 6 Months Ended |
Jun. 30, 2015 | |
Balance Sheet | |
Condensed Balance Sheet [Table Text Block] | The condensed consolidated balance sheet of the FREMF trusts at June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Balance Sheet Assets Multi-family mortgage loans held in securitization trusts $ 1,620,066,565 1,750,294,430 Receivables 5,634,804 6,012,642 Total assets $ 1,625,701,369 1,756,307,072 Liabilities and Equity Multi-family securitized debt obligations $ 1,536,502,579 1,670,573,456 Payables 5,424,655 5,800,065 $ 1,541,927,234 1,676,373,521 Equity 83,774,135 79,933,551 Total liabilities and equity $ 1,625,701,369 1,756,307,072 |
Condensed Income Statement [Table Text Block] | The condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2015 and June 30, 2014 are as follows: Three Months Ended Three Months Ended June 30, 2015 June 30, 2014 Statement of Operations Interest income $ 17,249,728 - Interest expense 15,778,321 - Net interest income $ 1,471,407 - General and administrative fees (838,544) - Unrealized gain (loss) on multi-family loans held in securitization trusts 1,803,473 - Net Income $ 2,436,336 - Six Months Ended Six Months Ended Statement of Operations Interest income $ 34,885,204 - Interest expense 31,913,781 - Net interest income $ 2,971,423 - General and administrative fees (1,706,891) - Unrealized gain (loss) on multi-family loans held in securitization trusts 3,840,584 - Net Income $ 5,105,116 - |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of June 30, 2015: June 30, 2015 Texas 20.0 % New York 12.0 % California 11.1 % Washington 6.5 % Colorado 5.8 % Georgia 5.4 % |
RESIDENTIAL MORTGAGE LOAN SEC30
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Tables) - Residential Mortgage [Member] | 6 Months Ended |
Jun. 30, 2015 | |
Balance Sheet | |
Condensed Balance Sheet [Table Text Block] | June 30, 2015 December 31, 2014 Balance Sheet Assets Residential mortgage loans held in securitization trusts $ 472,629,816 631,446,984 Receivables 1,576,063 2,030,045 Total assets $ 474,205,879 633,477,029 Liabilities and Equity Residential securitized debt obligations $ 356,104,980 502,900,040 Payables 1,046,285 1,662,660 $ 357,151,265 504,562,700 Equity 117,054,614 128,914,329 Total liabilities and equity $ 474,205,879 633,477,029 |
Condensed Income Statement [Table Text Block] | The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three and six months ended June 30, 2015 and June 30, 2014 are as follows: Three Months Ended Three Months Ended Statement of Operations Interest income $ 5,039,380 - Interest expense 3,102,240 - Net interest income $ 1,937,140 - General and administrative fees (107,325) - Unrealized gain (loss) on residential loans held in securitization trusts (2,975,804) - Net Income $ (1,145,989) - Six Months Ended Six Months Ended June 30, 2015 June 30, 2014 Statement of Operations Interest income $ 10,931,159 - Interest expense 6,757,709 - Net interest income $ 4,173,450 - General and administrative fees (348,520) - Unrealized gain (loss) on residential loans held in securitization trusts (6,332,205) - Net Income $ (2,507,275) - |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of June 30, 2015: June 30, 2015 California 48.6 % Washington 13.0 % Massachussetts 5.5 % |
RESTRICTED CASH (Tables)
RESTRICTED CASH (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Cash and Cash Equivalents [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents [Table Text Block] | The following table presents the Company's restricted cash balances as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Restricted cash balance held by: Broker counterparties for derivatives trading $ 7,029,075 $ 5,104,532 Repurchase counterparties as restricted collateral 7,156,580 6,296,111 Total $ 14,185,655 $ 11,400,643 |
BORROWINGS (Tables)
BORROWINGS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Weighted Weighted Amount average Amount average outstanding interest rate outstanding interest rate Agency $ 168,366,000 0.37 % $ 298,783,000 0.36 % Non-Agency (1) 200,524,000 1.94 % 200,347,000 1.25 % Multi-Family (2) 129,488,000 1.55 % 45,484,000 1.85 % Mortgage loans 42,663,099 2.65 % 50,263,852 2.86 % Total $ 541,041,099 1.36 % $ 594,877,852 0.99 % (1) At December 31, 2014, the Company had repurchase agreements of $ 85,497,000 |
Schedule Of Remaining Maturities Under Repurchase Agreement [Table Text Block] | At June 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities: June 30, 2015 December 31, 2014 < 30 days $ 481,135,919 $ 465,817,820 31 to 60 days 15,886,000 86,025,327 61 to 90 days 14,843,000 - > 90 days 29,176,180 43,034,705 Total $ 541,041,099 $ 594,877,852 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block] | June 30, 2015 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding amount outstanding days to maturity of collateral held North America $ 321,243,000 59.37 % 14 $ 419,513,822 Europe (1) 116,222,099 21.48 % 77 145,849,613 Asia (1) 103,576,000 19.14 % 11 117,236,750 Total $ 541,041,099 100.00 % 27 $ 682,600,185 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2014 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding (1) amount outstanding days to maturity of collateral held North America $ 388,138,820 65.25 % 19 $ 463,615,686 Europe (2) 93,350,032 15.69 % 21 113,286,452 Asia (2) 113,389,000 19.06 % 122 118,519,817 Total $ 594,877,852 100.00 % 36 $ 695,421,955 (1) At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $ 63,796,000 (2) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
DERIVATIVE INSTRUMENTS HEDGIN33
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instrument Detail [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of June 30, 2015 and December 31, 2014. June 30, 2015 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Interest rate swaps $ - - $ (2,850,933) 271,000,000 Futures - - (349,586) 190,000,000 Total $ - - $ (3,200,519) 461,000,000 December 31, 2014 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Interest rate swaps $ - - $ (1,755,107) 226,000,000 Swaptions 21,550 25,000,000 - - Futures - - (533,951) 98,000,000 Total $ 21,550 25,000,000 $ (2,289,058) 324,000,000 |
Derivatives Instruments Average Fixed Pay Rate And Average Maturity [Table Text Block] | The following tables present the average fixed pay rate and average maturity for the Company’s interest rate swaps (excludes interest rate swaptions) as of June 30, 2015 and December 31, 2014: June 30, 2015 Notional Fair Fixed Pay Maturity Forward Current Maturity Date Amount Value Rate Years Starting 3 years or less $ 35,000,000 $ (110,768) 0.66 % 0.6 0.0 % Greater than 3 years and less than 5 years 236,000,000 (2,740,165) 1.60 % 3.2 0.0 % Total $ 271,000,000 $ (2,850,933) 1.48 % 2.9 0.0 % December 31, 2014 Notional Fair Fixed Pay Maturity Forward Current Maturity Date Amount Value Rate Years Starting 3 years or less $ 35,000,000 $ (124,591) 0.66 % 1.1 0.0 % Greater than 3 years and less than 5 years 191,000,000 (1,630,516) 1.66 % 3.7 0.0 % Total $ 226,000,000 $ (1,755,107) 1.51 % 3.3 0.0 % |
Schedule of Derivative Instruments [Table Text Block] | The below tables provide a reconciliation of these assets and liabilities that are subject to Master Agreements or similar agreements and can be potentially offset on the Company’s condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014: June 30, 2015 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of liabilities Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description liabilities Balance Sheet Balance Sheet instruments Pledged amount Repurchase agreements $ 541,041,099 $ - $ 541,041,099 $ - $ - $ 541,041,099 Interest rate swaps (2,850,933) - (2,850,933) - 2,850,933 - Futures (349,586) - (349,586) - 349,586 - FHLB Advances 53,400,000 - 53,400,000 53,400,000 Total $ 591,240,580 $ - $ 591,240,580 $ - $ 3,200,519 $ 594,441,099 December 31, 2014 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of assets Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description assets Balance Sheet Balance Sheet instruments Pledged amount Linked transactions (2) $ 210,402,629 $ (149,584,518) $ 60,818,111 $ (60,818,111) $ - $ - Swaptions 21,550 - 21,550 - - 21,550 Total $ 210,424,179 $ (149,584,518) $ 60,839,661 $ (60,818,111) $ - $ 21,550 December 31, 2014 Gross amounts not offset Net amounts in the Balance Sheet (1) Gross amounts Gross amounts of liabilities Cash collateral of recognized offset in the presented in the Financial (Received)/ Net Description liabilities Balance Sheet Balance Sheet instruments Pledged amount Repurchase agreements $ 594,877,852 $ - $ 594,877,852 $ - $ - $ 594,877,852 Linked transactions (2) (149,584,518) 149,584,518 - - - - Interest rate swaps (1,755,107) - (1,755,107) - 1,755,107 - Futures (533,951) - (533,951) - 533,951 - Total $ 443,004,276 $ 149,584,518 $ 592,588,794 $ - $ 2,289,058 $ 594,877,852 (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above. (2) Non-Agency RMBS and Multi-Family MBS securities within a Linked Transaction serve as collateral for the Linked Transaction. See Note 3 “Non-Hedging Activity Linked Transactions” for information on Linked Transactions. |
Schedule of Price Risk Derivatives [Table Text Block] | The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three months ended June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014: Three Months Ended June 30, 2015 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (900,671 ) $ 776,847 $ (123,824 ) Futures (316,721 ) 125,185 (191,536 ) Total $ (1,217,392 ) $ 902,032 $ (315,360 ) Three Months Ended June 30, 2014 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (765,826 ) $ (4,807,659 ) $ (5,573,485 ) Swaptions (84,000 ) (467,598 ) (551,598 ) Futures - (693,285 ) (693,285 ) Total $ (849,826 ) $ (5,968,542 ) $ (6,818,368 ) (1) In the three month period ended June 30, 2015, net swap interest expense totaled $719,442 comprised of $900,215 in interest expense paid (included in realized gain (loss) and $180,772 in accrued interest income (included in unrealized appreciation (depreciation). In the three month period ended June, 2014, net swap interest expense totaled $679,777 comprised of $765,826 in interest expense paid (included in realized gain (loss) and $86,049 in accrued interest income (included in unrealized appreciation (depreciation). Six Months Ended June 30, 2015 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (1,421,593 ) $ (1,095,827 ) $ (2,517,420 ) Swaptions (84,000 ) 62,450 (21,550 ) Futures (2,542,285 ) 184,371 (2,357,914 ) Total $ (4,047,878 ) $ (849,006 ) $ (4,896,884 ) Six Months Ended June 30, 2014 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Interest rate swaps $ (1,142,140 ) $ (9,036,957 ) $ (10,179,097 ) Swaptions (168,000 ) (1,148,003 ) (1,316,003 ) Futures (191,047 ) (847,550 ) (1,038,597 ) TBAs (191,406 ) (68,359 ) (259,765 ) Total $ (1,692,593 ) $ (11,100,869 ) $ (12,793,462 ) (1) In the six month period ended June 30, 2015, net swap interest expense totaled $1,433,547 comprised of $1,421,156 in interest expense paid (included in realized gain (loss) and $12,391 in accrued interest expense (included in unrealized appreciation (depreciation). In the six month period ended June, 2014, net swap interest expense totaled $1,316,793 comprised of $1,142,140 in interest expense paid (included in realized gain (loss) and $174,653 in accrued interest expense (included in unrealized appreciation (depreciation). |
MSRs (Tables)
MSRs (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Servicing Rights MSR Disclosure [Abstract] | |
Schedule Of Mortgage Service Rights Activity [Table Text Block] | The following table presents the Company’s MSR activity for the three months ended June 30, 2015. Three Months Ended June 30, 2015 Balance at beginning of period $ - MSRs retained from sales to securitizations 2,457,373 Balance at end of year $ 2,457,373 Loans associated with MSRs (1) $ 252,297,973 MSR values as percent of loans (2) 0.97 % (1) Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2015 (2) Amounts represent the carrying value of MSRs at June 30, 2015 divided by the outstanding balance of the loans associated with these MSRs |
Schedule Of Components Of Servicing Income [Table Text Block] | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statement of operations for the three months ended June 30, 2015: Three Months Ended June 30, 2015 Servicing income, net $ 65,770 Income from MSRs, net $ 65,770 |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | The following tables summarize the valuation of the Company’s assets and liabilities at fair value within the fair value hierarchy levels as of June 30, 2015 and December 31, 2014: Quoted prices in Significant active markets other observable Unobservable for identical assets inputs inputs Balance as of Level 1 Level 2 Level 3 June 30, 2015 Assets: Residential mortgage-backed securities (a) $ - $ 491,584,595 $ - $ 491,584,595 Residential mortgage loans - 48,978,699 - 48,978,699 Multi-Family mortgage loans held in securitization trusts - 1,620,066,565 - 1,620,066,565 Residential mortgage loans held in securitization trusts - 472,629,816 - 472,629,816 Mortgage servicing rights - - 2,457,374 2,457,374 FHLB stock 2,403,000 - - 2,403,000 Total $ 2,403,000 $ 2,633,259,675 $ 2,457,374 $ 2,638,120,049 Liabilities: Interest rate swaps $ - $ (2,850,933) $ - $ (2,850,933) Multi-family securitized debt obligations - (1,536,502,580) - (1,536,502,580) Residential securitized debt obligations - (356,104,980) - (356,104,980) Futures - (349,586) - (349,586) Total $ - $ (1,895,808,079) $ - $ (1,895,808,079) Quoted prices in Significant active markets other observable Unobservable for identical assets inputs inputs Balance as of Level 1 Level 2 Level 3 December 31, 2014 Assets: Residential mortgage-backed securities (a) $ - $ 368,315,738 $ - $ 368,315,738 Residential mortgage loans - 54,678,382 - 54,678,382 Multi-Family mortgage loans held in securitization trusts - 1,750,294,430 - 1,750,294,430 Residential mortgage loans held in securitization trusts - 631,446,984 - 631,446,984 Mortgage servicing rights - - - Linked transactions (b) - 60,818,111 - 60,818,111 Swaptions - 21,550 - 21,550 Total $ - $ 2,865,575,195 $ - $ 2,865,575,195 Liabilities: Interest rate swaps $ - $ (1,755,107) $ - $ (1,755,107) Multi-family securitized debt obligations - (1,670,573,456) - (1,670,573,456) Residential securitized debt obligations - (432,035,976) - (432,035,976) Futures (533,951) - - (533,951) Total $ (533,951) $ (2,104,364,539) $ - $ (2,104,898,490) (a) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4. |
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | The following table provides quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at June 30, 2015: As of June 30, 2015 Valuation Technique Unobervable Input Range Weighted Average Discounted cash flow Constant prepayment rate 5.2 - 13.8% 10.7% Discounted cash flow Discount rate - 12.0% |
STOCKHOLDERS' EQUITY (Tables)
STOCKHOLDERS' EQUITY (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Common Stock [Member] | |
Schedule of Dividends Payable [Table Text Block] | The following table presents cash dividends declared and paid by the Company on its common stock for the six months ended June 30, 2015: Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2014 January 15, 2015 January 29, 2015 $ 1,839,844 $ 0.12500 December 16, 2014 February 17, 2015 February 26, 2015 $ 1,839,844 $ 0.12500 December 16, 2014 March 16, 2015 March 30, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 April 15, 2015 April 27, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 May 15, 2015 May 27, 2015 $ 1,839,844 $ 0.12500 March 17, 2015 June 15, 2015 June 29, 2015 $ 1,840,594 $ 0.12500 |
Series A Preferred Stock [Member] | |
Schedule of Dividends Payable [Table Text Block] | The following table presents cash dividends declared by the Company on its Series A Preferred Stock for the six months ended June 30, 2015: Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2014 January 15, 2015 January 29, 2015 $ 293,503 $ 0.18230 December 16, 2014 February 17, 2015 February 26, 2015 $ 293,503 $ 0.18230 December 16, 2014 March 16, 2015 March 30, 2015 $ 293,503 $ 0.18230 March 17, 2015 April 15, 2015 April 27, 2015 $ 293,503 $ 0.18230 March 17, 2015 May 15, 2015 May 27, 2015 $ 293,503 $ 0.18230 March 17, 2015 June 15, 2015 June 29, 2015 $ 293,503 $ 0.18230 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic, by Common Class, Including Two Class Method [Table Text Block] | The following tables provide additional disclosure regarding the computation for the three months ended June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014: Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 Net income $ 4,033,321 $ 4,424,609 Less dividends paid: Common stock $ 5,520,281 $ 4,008,469 Unvested share-based payment awards 870,726 635,923 6,391,007 4,644,392 Undistributed earnings $ (2,357,686) $ (219,783) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.38 $ 0.38 $ 0.36 $ 0.36 Undistributed earnings (deficit) (0.17) (0.17) (0.02) (0.02) Total $ 0.21 $ 0.21 $ 0.34 $ 0.34 Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Net income $ (1,097,005) $ 1,883,335 Less dividends paid: Common stock $ 11,039,813 $ 7,191,938 Unvested share-based payment awards 1,751,235 1,116,495 12,791,048 8,308,433 Undistributed earnings $ (13,888,053) $ (6,425,098) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.75 $ 0.75 $ 0.72 $ 0.72 Undistributed earnings (deficit) (0.94) (0.94) (0.64) (0.64) Total $ (0.19) $ (0.19) $ 0.08 $ 0.08 |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities [Table Text Block] | The following table summarized the Company’s deferred tax assets and valuation allowance as of June 30, 2015 and December 31, 2014: As of June 30, 2015 As of December 31, 2014 Non-current Deferred Tax Asset (Liability) Unrealized Gain (Security) (955,419) (1,393,014) Net Operating Losses 1,310,854 1,545,254 AMT Credit 4,350 - 359,785 152,240 Valuation Allowance (359,785) (152,240) Net Non-current Deferred Tax Asset (Liability) - - |
ORGANIZATION AND BUSINESS OPE39
ORGANIZATION AND BUSINESS OPERATIONS (Details Textual) | 6 Months Ended |
Jun. 30, 2015 | |
Organization And Business Operations [Line Items] | |
Operations Commenced Date | May 16, 2012 |
Entity Incorporation, State Country Name | Maryland |
Entity Incorporation, Date of Incorporation | Mar. 28, 2012 |
SUMMARY OF SIGNIFICANT ACCOUN40
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details Textual) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | Apr. 25, 2014 | |
Summary Of Significant Accounting Policies [Line Items] | ||||
Proposed Maximum Aggregate Offering Price | $ 750,000,000 | |||
Available-for-sale Securities, Total | $ 491,584,595 | $ 368,315,738 | ||
Non Agency RMBS [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Available-for-sale Securities, Total | 142,019,587 | [1] | 53,485,053 | |
Multi Family MBS [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Available-for-sale Securities, Total | $ 116,499,851 | $ 0 | ||
[1] | Non-Agency AFS does not include interest-only securities with a notional amount of $229,787,057, book value of $3,832,990, unrealized loss of $232,273 and a fair value of $3,600,718. |
AVAILABLE-FOR-SALE SECURITIES41
AVAILABLE-FOR-SALE SECURITIES (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | $ 491,584,595 | $ 368,315,738 | |
Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | 233,065,157 | 314,830,685 | |
Agency [Member] | Federal Home Loan Mortgage Corporation [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | 89,429,826 | 162,344,627 | |
Agency [Member] | Federal National Mortgage Association [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | 143,635,331 | 152,486,058 | |
Non Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | 142,019,587 | [1] | $ 53,485,053 |
Residential Multi Family [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities: | $ 116,499,851 | ||
[1] | Non-Agency AFS does not include interest-only securities with a notional amount of $229,787,057, book value of $3,832,990, unrealized loss of $232,273 and a fair value of $3,600,718. |
AVAILABLE-FOR-SALE SECURITIES42
AVAILABLE-FOR-SALE SECURITIES (Details 1) - USD ($) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | $ 571,380,755 | $ 386,463,099 | ||
Unamortized premium | 1,269,204 | 4,796,106 | ||
Unamortized discount | ||||
Designated credit reserve | (18,305,657) | (12,697,796) | $ (16,126,355) | |
Net, unamortized | (73,131,428) | (17,454,022) | $ (22,400,380) | |
Amortized Cost | 481,212,874 | 361,107,387 | ||
Gross unrealized gain | 10,623,322 | 8,402,890 | ||
Gross unrealized (loss) | (3,852,320) | (1,194,539) | ||
Fair Value | 491,584,595 | 368,315,738 | ||
Agency [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | 229,830,135 | 309,790,551 | ||
Unamortized premium | 1,202,379 | 4,796,106 | ||
Unamortized discount | ||||
Designated credit reserve | 0 | 0 | ||
Net, unamortized | (1,887,043) | (2,244,687) | ||
Amortized Cost | 229,145,471 | 312,341,970 | ||
Gross unrealized gain | 4,276,386 | 3,670,643 | ||
Gross unrealized (loss) | (356,700) | (1,181,928) | ||
Fair Value | 233,065,157 | 314,830,685 | ||
Non Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | 188,029,097 | [1] | 76,672,548 | |
Unamortized premium | 66,825 | [1] | 0 | |
Unamortized discount | ||||
Designated credit reserve | (18,305,657) | [1],[2] | (12,697,796) | |
Net, unamortized | (35,090,000) | [1] | (15,209,335) | |
Amortized Cost | 134,700,265 | [1] | 48,765,417 | |
Gross unrealized gain | 5,143,175 | [1] | 4,732,247 | |
Gross unrealized (loss) | (1,424,572) | [1] | (12,611) | |
Fair Value | 142,019,587 | [1] | $ 53,485,053 | |
Residential Multi Family [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | 153,521,523 | |||
Unamortized premium | 0 | |||
Unamortized discount | ||||
Designated credit reserve | 0 | |||
Net, unamortized | (36,154,385) | |||
Amortized Cost | 117,367,138 | |||
Gross unrealized gain | 1,203,761 | |||
Gross unrealized (loss) | (2,071,048) | |||
Fair Value | $ 116,499,851 | |||
[1] | Non-Agency AFS does not include interest-only securities with a notional amount of $229,787,057, book value of $3,832,990, unrealized loss of $232,273 and a fair value of $3,600,718. | |||
[2] | Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at June 30, 2015 reflect Credit Reserve of $1,410,284 and OTTI of $2,890,939. |
AVAILABLE-FOR-SALE SECURITIES43
AVAILABLE-FOR-SALE SECURITIES (Details 2) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
(Increase)/decrease in credit reserves | $ 567,205 | $ 0 | $ (1,410,284) | $ 0 |
Additional other-than-temporary credit impairment losses | 0 | 0 | (2,890,939) | 0 |
Total impairment losses recognized in earnings | 567,205 | 0 | (4,301,223) | 0 |
OTTI [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
(Increase)/decrease in credit reserves | 567,205 | 0 | (1,410,284) | 0 |
Additional other-than-temporary credit impairment losses | 0 | 0 | (2,890,939) | 0 |
Total impairment losses recognized in earnings | $ 567,205 | $ 0 | $ (4,301,223) | $ 0 |
AVAILABLE-FOR-SALE SECURITIES44
AVAILABLE-FOR-SALE SECURITIES (Details 3) - AFS securities [Member] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS securities sold, at cost | $ 106,968,002 | $ 11,997,363 | $ 106,968,002 | $ 106,746,157 |
Proceeds from AFS securities sold | 107,609,266 | 12,915,101 | 107,609,266 | 103,535,140 |
Net realized gain (loss) on sale of AFS securities | $ 641,264 | $ 917,738 | $ 641,264 | $ (3,211,017) |
AVAILABLE-FOR-SALE SECURITIES45
AVAILABLE-FOR-SALE SECURITIES (Details 4) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | $ 491,584,595 | $ 368,315,738 | |
Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 358,392,676 | 283,133,395 | |
Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 133,191,920 | 85,182,343 | |
Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 233,065,157 | 314,830,685 | |
Agency [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 216,373,089 | 229,648,342 | |
Agency [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 16,692,069 | 85,182,343 | |
Non-Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 142,019,587 | [1] | 53,485,053 |
Non-Agency [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 142,019,587 | 53,485,053 | |
Non-Agency [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 0 | $ 0 | |
Residential Multi Family [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 116,499,851 | ||
Residential Multi Family [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | 0 | ||
Residential Multi Family [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Total | $ 116,499,851 | ||
[1] | Non-Agency AFS does not include interest-only securities with a notional amount of $229,787,057, book value of $3,832,990, unrealized loss of $232,273 and a fair value of $3,600,718. |
AVAILABLE-FOR-SALE SECURITIES46
AVAILABLE-FOR-SALE SECURITIES (Details 5) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year | $ 0 | $ 0 |
Greater than one year and less than five years | 62,111,743 | 35,855,146 |
Greater than or equal to five years | 429,472,853 | 332,460,592 |
Total | $ 491,584,596 | $ 368,315,738 |
AVAILABLE-FOR-SALE SECURITIES47
AVAILABLE-FOR-SALE SECURITIES (Details 6) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Designated credit reserve, Beginning Balance | $ (12,697,796) | $ (16,126,355) |
Designated credit reserve, Acquisitions | 0 | 0 |
Designated credit reserve, Dispositions | 24,994,386 | 559,860 |
Designated credit reserve, Accretion of net discount | 0 | 0 |
Designated credit reserve, Realized gain on paydowns | 0 | 0 |
Designated credit reserve, Realized credit losses | 6,024,520 | 2,868,699 |
Designated credit reserve, Addition to credit reserves | (2,319,014) | |
Designated credit reserve, Release of credit reserves | 2,319,568 | 0 |
Designated credit reserve, Ending balance | (18,305,657) | (12,697,796) |
Unamortized net discount, Beginning balance | (17,454,022) | (22,400,380) |
Unamortized net discount, Acquisitions | (22,597,930) | (2,361,186) |
Unamortized net discount, Dispositions | 9,143,622 | 1,667,828 |
Unamortized net discount, Accretion of net discount | 7,795,422 | 4,760,729 |
Unamortized net discount, Realized gain on paydowns | 132,716 | 223,212 |
Unamortized net discount, Realized credit losses | (2,890,939) | 0 |
Unamortized net discount, Addition to credit reserves | 2,151,230 | |
Unamortized net discount, Realized credit losses | (2,319,568) | 655,775 |
Unamortized net discount, Ending balance | (73,131,428) | (17,454,022) |
Beginning Balance, Total | (113,871,097) | (38,526,735) |
Acquisitions, Total | (22,597,930) | (2,361,186) |
Dispositions, Total | 34,138,008 | 2,227,688 |
Accretion of net discount, Total | 7,795,422 | 4,760,729 |
Realized gain on paydowns, Total | 132,716 | 223,212 |
Realized credit losses, Total | 3,133,581 | 2,868,699 |
Addition to credit reserves Total | (167,784) | |
Release of credit reserves, Total | 0 | 655,775 |
Ending balance, Total | $ (91,437,084) | $ (113,871,097) |
AVAILABLE-FOR-SALE SECURITIES48
AVAILABLE-FOR-SALE SECURITIES (Details 7) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | $ 2,926,137 | $ 3,284,661 | $ 5,674,743 | $ 6,073,338 |
Net (premium amortization)/ discount accretion | 3,827,443 | 1,202,618 | 7,882,863 | 2,316,901 |
Interest income | 6,753,580 | 4,487,279 | 13,560,475 | 8,390,239 |
Agency [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 1,891,811 | 3,074,166 | 3,887,013 | 5,770,383 |
Net (premium amortization)/ discount accretion | 151,912 | 151,622 | 303,805 | 212,007 |
Interest income | 2,043,723 | 3,225,788 | 4,190,818 | 5,982,390 |
Non Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 578,691 | 127,034 | 875,207 | 174,460 |
Net (premium amortization)/ discount accretion | 2,281,616 | 1,042,083 | 5,140,318 | 2,084,467 |
Interest income | 2,860,307 | 1,169,117 | 6,015,526 | 2,258,927 |
Residential Multi Family [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 455,635 | 83,461 | 912,523 | 128,495 |
Net (premium amortization)/ discount accretion | 1,393,914 | 8,913 | 2,441,608 | 20,427 |
Interest income | $ 1,849,550 | $ 92,374 | $ 3,354,131 | $ 148,922 |
AVAILABLE-FOR-SALE SECURITIES49
AVAILABLE-FOR-SALE SECURITIES (Details Textual) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ (8,418,141) | $ 5,625,970 | $ 3,463,518 | $ 18,031,737 | |
Available-for-sale Securities, Gross Unrealized Loss | 3,852,320 | $ 1,194,539 | |||
Gain (Loss) on Securitization of Financial Assets | 567,205 | 0 | (4,301,223) | 0 | |
Other Than Temporary Impairment Losses Investment | 2,890,939 | ||||
Other Than Temporary Impairment Losses Investments Portion Increase Decrease In Credit Reserves | 567,205 | $ 0 | (1,410,284) | $ 0 | |
AFS securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (8,418,144) | (993,726) | |||
Non Agency [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Securities, Gross Unrealized Loss | 1,400,000 | ||||
Securities Book Value | 3,832,990 | 3,832,990 | |||
Derivative, Notional Amount | 229,787,057 | 229,787,057 | |||
Unrealized Gain (Loss) on Securities | 232,273 | ||||
Derivative, Fair Value, Net, Total | 3,600,718 | $ 3,600,718 | |||
Increase Decrease In Credit Reserves | $ 734,989 |
MORTGAGE LOANS HELD-FOR-SALE,50
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage loans held-for-sale [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | $ 48,978,699 | $ 54,678,382 |
Mortgage Loans Held-for-sale [Member] | ||
Mortgage loans held-for-sale [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | 48,978,699 | 54,678,382 |
Unpaid principal balance [Member] | Mortgage Loans Held-for-sale [Member] | ||
Mortgage loans held-for-sale [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | 48,699,760 | 54,348,654 |
Fair value adjustment [Member] | Mortgage Loans Held-for-sale [Member] | ||
Mortgage loans held-for-sale [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | $ 278,939 | $ 329,728 |
MORTGAGE LOANS HELD-FOR-SALE,51
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details 1) - Mortgage Loans Held-for-sale [Member] | 6 Months Ended |
Jun. 30, 2015 | |
Massachussetts [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 34.30% |
California [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 25.60% |
New Jersey [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 14.40% |
MORTGAGE LOANS HELD-FOR-SALE,52
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details Textual) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans Held For Sale At Fair Value [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | $ 48,978,699 | $ 54,678,382 |
Mortgage Loans Held-or-Sale [Member] | ||
Mortgage Loans Held For Sale At Fair Value [Line Items] | ||
Mortgages Held-for-sale, Fair Value Disclosure | $ 49,000,000 | $ 54,700,000 |
THE FREMF TRUSTS (Details)
THE FREMF TRUSTS (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets | |||
Multi-family mortgage loans held in securitization trusts | $ 1,620,066,565 | $ 1,750,294,430 | |
Total assets | [1] | 2,694,357,789 | 2,922,209,557 |
Liabilities and Equity | |||
Multi-family securitized debt obligations | 1,536,502,579 | 1,670,573,456 | |
Liabilities | [1] | 2,499,512,894 | 2,709,411,427 |
Equity | 194,844,895 | 212,798,130 | |
Total liabilities and equity | 2,694,357,789 | 2,922,209,557 | |
FREMF trusts [Member] | |||
Assets | |||
Multi-family mortgage loans held in securitization trusts | 1,620,066,565 | 1,750,294,430 | |
Receivables | 5,634,804 | 6,012,642 | |
Total assets | 1,625,701,369 | 1,756,307,072 | |
Liabilities and Equity | |||
Multi-family securitized debt obligations | 1,536,502,579 | 1,670,573,456 | |
Payables | 5,424,655 | 5,800,065 | |
Liabilities | 1,541,927,234 | 1,676,373,521 | |
Equity | 83,774,135 | 79,933,551 | |
Total liabilities and equity | $ 1,625,701,369 | $ 1,756,307,072 | |
[1] | The Company’s condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs”) as the Company is the primary beneficiary of these VIEs. As of June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $2,099,907,248 and $2,389,784,101, respectively, and the liabilities of consolidated VIEs totaled $1,899,078,499 and $2,180,936,221, respectively |
THE FREMF TRUSTS (Details 1)
THE FREMF TRUSTS (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statements of Operation | ||||
Net interest income | $ 8,626,540 | $ 3,890,862 | $ 17,729,267 | $ 7,238,323 |
General and administrative fees | (1,717,361) | (380,711) | (3,401,237) | (632,802) |
Unrealized gain (loss) on multi-family loans held in securitization trusts | 3,840,584 | 0 | ||
Net Income | 4,033,321 | 4,424,609 | (1,097,005) | 1,883,335 |
FREMF trusts [Member] | ||||
Statements of Operation | ||||
Interest income | 17,249,728 | 0 | 34,885,204 | 0 |
Interest expense | 15,778,321 | 0 | 31,913,781 | 0 |
Net interest income | 1,471,407 | 0 | 2,971,423 | 0 |
General and administrative fees | (838,544) | 0 | (1,706,891) | 0 |
Unrealized gain (loss) on multi-family loans held in securitization trusts | 1,803,473 | 0 | 3,840,584 | 0 |
Net Income | $ 2,436,336 | $ 0 | $ 5,105,116 | $ 0 |
THE FREMF TRUSTS (Details 2)
THE FREMF TRUSTS (Details 2) - FREMF trusts [Member] | 6 Months Ended |
Jun. 30, 2015 | |
Texas | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 20.00% |
California | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 11.10% |
New York | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 12.00% |
Washington | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 6.50% |
Colorado | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.80% |
Georgia | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.40% |
THE FREMF TRUSTS (Details Textu
THE FREMF TRUSTS (Details Textual) - FREMF trusts [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Balance Sheet | ||
Investment of Multi-Family Mortgage Backed Securities MBS, Net Carrying Value | $ 83,774,135 | |
Multi-family loans held in securitization trusts, unpaid principal balance | 1,512,710,609 | $ 1,637,721,473 |
Multi-family securitized debt obligations, unpaid principal balance | $ 1,512,710,609 | $ 1,637,721,473 |
RESIDENTIAL MORTGAGE LOAN SEC57
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets | |||
Residential mortgage loans held in securitization trusts | $ 1,620,066,565 | $ 1,750,294,430 | |
Total assets | [1] | 2,694,357,789 | 2,922,209,557 |
Liabilities and Equity | |||
Residential securitized debt obligations | 1,536,502,579 | 1,670,573,456 | |
Liabilities | [1] | 2,499,512,894 | 2,709,411,427 |
Equity | 194,844,895 | 212,798,130 | |
Total liabilities and equity | 2,694,357,789 | 2,922,209,557 | |
Residential Mortgage [Member] | |||
Assets | |||
Residential mortgage loans held in securitization trusts | 472,629,816 | 631,446,984 | |
Receivables | 1,576,063 | 2,030,045 | |
Total assets | 474,205,879 | 633,477,029 | |
Liabilities and Equity | |||
Residential securitized debt obligations | 356,104,980 | 502,900,040 | |
Payables | 1,046,285 | 1,662,660 | |
Liabilities | 357,151,265 | 504,562,700 | |
Equity | 117,054,614 | 128,914,329 | |
Total liabilities and equity | $ 474,205,879 | $ 633,477,029 | |
[1] | The Company’s condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs”) as the Company is the primary beneficiary of these VIEs. As of June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $2,099,907,248 and $2,389,784,101, respectively, and the liabilities of consolidated VIEs totaled $1,899,078,499 and $2,180,936,221, respectively |
RESIDENTIAL MORTGAGE LOAN SEC58
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statement of Operations | ||||
Net interest income | $ 8,626,540 | $ 3,890,862 | $ 17,729,267 | $ 7,238,323 |
General and administrative fees | (1,717,361) | (380,711) | (3,401,237) | (632,802) |
Net income (loss) | 4,033,321 | 4,424,609 | (1,097,005) | 1,883,335 |
Residential Mortgage [Member] | ||||
Statement of Operations | ||||
Interest income | 5,039,380 | 0 | 10,931,159 | 0 |
Interest expense | 3,102,240 | 0 | 6,757,709 | 0 |
Net interest income | 1,937,140 | 0 | 4,173,450 | 0 |
General and administrative fees | (107,325) | 0 | (348,520) | 0 |
Unrealized gain (loss) on residential loans held in securitization trusts | (2,975,804) | 0 | (6,332,205) | 0 |
Net income (loss) | $ (1,145,989) | $ 0 | $ (2,507,275) | $ 0 |
RESIDENTIAL MORTGAGE LOAN SEC59
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details 2) - Residential Mortgage [Member] | 6 Months Ended |
Jun. 30, 2015 | |
California [Member] | |
Balance Sheet | |
Concentration Risk, Percentage | 48.60% |
Washington [Member] | |
Balance Sheet | |
Concentration Risk, Percentage | 13.00% |
Massachussetts [Member] | |
Balance Sheet | |
Concentration Risk, Percentage | 5.50% |
RESIDENTIAL MORTGAGE LOAN SEC60
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details Textual) - Residential Mortgage [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Balance Sheet | ||
Investment of Multi-Family Mortgage Backed Securities MBS, Net Carrying Value | $ 117,054,614 | |
Multi-family loans held in securitization trusts, unpaid principal balance | 460,636,416 | $ 608,858,758 |
Multi-family securitized debt obligations, unpaid principal balance | $ 460,636,416 | $ 608,858,758 |
RESTRICTED CASH (Details)
RESTRICTED CASH (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 14,291,416 | $ 11,400,645 |
Broker counterparties for derivatives trading [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 7,029,075 | 5,104,532 |
Repurchase counterparties as restricted collateral [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 7,156,580 | $ 6,296,111 |
BORROWINGS (Details)
BORROWINGS (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |||
Short-term Debt [Line Items] | |||||
Repurchase Agreements, Amount outstanding | $ 541,041,099 | $ 594,877,852 | [1] | ||
Repurchase Agreements, Weighted average interest rate | 1.36% | [1],[2] | 0.99% | ||
Agency [Member] | |||||
Short-term Debt [Line Items] | |||||
Repurchase Agreements, Amount outstanding | $ 168,366,000 | $ 298,783,000 | |||
Repurchase Agreements, Weighted average interest rate | 0.37% | 0.36% | |||
Non-Agency [Member] | |||||
Short-term Debt [Line Items] | |||||
Repurchase Agreements, Amount outstanding | [3] | $ 200,524,000 | $ 200,347,000 | ||
Repurchase Agreements, Weighted average interest rate | [3] | 1.94% | 1.25% | ||
Multi-Family [Member] | |||||
Short-term Debt [Line Items] | |||||
Repurchase Agreements, Amount outstanding | $ 129,488,000 | $ 45,484,000 | |||
Repurchase Agreements, Weighted average interest rate | 1.55% | 1.85% | |||
Mortgage loans [Member] | |||||
Short-term Debt [Line Items] | |||||
Repurchase Agreements, Amount outstanding | $ 42,663,099 | $ 50,263,852 | |||
Repurchase Agreements, Weighted average interest rate | 2.65% | 2.86% | |||
[1] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $63,796,000 that were linked to Non-Agency RMBS and Multi-Family MBS purchases, respectively, and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). | ||||
[2] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. | ||||
[3] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 that were linked to Non-Agency RMBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). |
BORROWINGS (Details 1)
BORROWINGS (Details 1) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 541,041,099 | $ 594,877,852 | [1] |
Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 481,135,919 | 465,817,820 | |
Maturity 31 To 60 Days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 15,886,000 | 86,025,327 | |
Maturity 61 To 90 Days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 14,843,000 | 0 | |
Maturity Over 90 Days Member [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 29,176,180 | $ 43,034,705 | |
[1] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $63,796,000 that were linked to Non-Agency RMBS and Multi-Family MBS purchases, respectively, and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). |
BORROWINGS (Details 2)
BORROWINGS (Details 2) - USD ($) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | |||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | $ 541,041,099 | $ 594,877,852 | [1] | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | 100.00% | 100.00% | ||
Repurchase Agreement Counterparties, Weighted average days to maturity | 27 days | 36 days | ||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 682,600,185 | $ 695,421,955 | ||
North America [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | $ 321,243,000 | $ 388,138,820 | [1] | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | 59.37% | 65.25% | ||
Repurchase Agreement Counterparties, Weighted average days to maturity | 14 days | 19 days | ||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 419,513,822 | $ 463,615,686 | ||
Europe [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | [2] | $ 116,222,099 | $ 93,350,032 | [1] |
Repurchase Agreement Counterparties, Percent of total amount outstanding | [2] | 21.48% | 15.69% | |
Repurchase Agreement Counterparties, Weighted average days to maturity | [2] | 77 days | 21 days | |
Repurchase Agreement Counterparties, Market Value of collateral held | [2] | $ 145,849,613 | $ 113,286,452 | |
Asia [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | [2] | $ 103,576,000 | $ 113,389,000 | [1] |
Repurchase Agreement Counterparties, Percent of total amount outstanding | [2] | 19.14% | 19.06% | |
Repurchase Agreement Counterparties, Weighted average days to maturity | [2] | 11 days | 122 days | |
Repurchase Agreement Counterparties, Market Value of collateral held | [2] | $ 117,236,750 | $ 118,519,817 | |
[1] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $63,796,000 that were linked to Non-Agency RMBS and Multi-Family MBS purchases, respectively, and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). | |||
[2] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
BORROWINGS (Details Textual)
BORROWINGS (Details Textual) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | ||
Repurchase Agreements [Line Items] | ||||
Repurchase agreements | $ 541,041,099 | $ 594,877,852 | [1] | |
Repurchase Agreements Weighted Average Interest Rate | 1.36% | [1],[2] | 0.99% | |
Federal Funds Purchased and Securities Sold under Agreements to Repurchase | $ 53,400,000 | $ 0 | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Maximum Amount Available | 500,000,000 | |||
Secured Debt | $ 8,100,000 | |||
Debt, Weighted Average Interest Rate | 0.35% | |||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 55,900,000 | |||
Federal Home Loan Bank Stock | $ 2,403,000 | 0 | ||
Non Agency Linked Transactions [Member] | Repurchase Agreements [Member] | ||||
Repurchase Agreements [Line Items] | ||||
Repurchase agreements | 85,497,000 | |||
Multi Family MBS [Member] | Repurchase Agreements [Member] | ||||
Repurchase Agreements [Line Items] | ||||
Repurchase agreements | $ 63,796,000 | |||
[1] | At December 31, 2014, the Company had repurchase agreements of $85,497,000 and $63,796,000 that were linked to Non-Agency RMBS and Multi-Family MBS purchases, respectively, and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3). | |||
[2] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
DERIVATIVE INSTRUMENTS HEDGIN66
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | $ 0 | $ 21,550 |
Derivative Assets, Notional Amount | 0 | 25,000,000 |
Derivative Liabilities, Fair value | (3,200,519) | (2,289,058) |
Derivative Liabilities, Notional Amount | 461,000,000 | 324,000,000 |
Interest rate swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | 0 | 0 |
Derivative Assets, Notional Amount | 0 | 0 |
Derivative Liabilities, Fair value | (2,850,933) | (1,755,107) |
Derivative Liabilities, Notional Amount | 271,000,000 | 226,000,000 |
Swaptions [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | 21,550 | |
Derivative Assets, Notional Amount | 25,000,000 | |
Derivative Liabilities, Fair value | 0 | |
Derivative Liabilities, Notional Amount | 0 | |
Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | 0 | 0 |
Derivative Assets, Notional Amount | 0 | 0 |
Derivative Liabilities, Fair value | (349,586) | (533,951) |
Derivative Liabilities, Notional Amount | $ 190,000,000 | $ 98,000,000 |
DERIVATIVE INSTRUMENTS HEDGIN67
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details 1) - Major Types of Debt and Equity Securities [Domain] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | ||
Derivative Financial Instruments, Notional Amount | $ 461,000,000 | $ 324,000,000 |
Derivative Financial Instruments, Fair value | $ (3,200,519) | $ (2,289,058) |
Derivative Financial Instruments, Fixed Pay Rate | 1.48% | 1.51% |
Derivative Financial Instruments, Maturity Years | 2 years 10 months 24 days | 3 years 3 months 18 days |
Derivative Financial Instruments, Forward Starting | 0.00% | 0.00% |
3 years or less [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Financial Instruments, Notional Amount | $ 35,000,000 | $ 35,000,000 |
Derivative Financial Instruments, Fair value | $ (110,768) | $ (124,591) |
Derivative Financial Instruments, Fixed Pay Rate | 0.66% | 0.66% |
Derivative Financial Instruments, Maturity Years | 7 months 6 days | 1 year 1 month 6 days |
Derivative Financial Instruments, Forward Starting | 0.00% | 0.00% |
Greater than 3 years and less than 5 years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Financial Instruments, Notional Amount | $ 236,000,000 | $ 191,000,000 |
Derivative Financial Instruments, Fair value | $ (2,740,165) | $ (1,630,516) |
Derivative Financial Instruments, Fixed Pay Rate | 1.60% | 1.66% |
Derivative Financial Instruments, Maturity Years | 3 years 2 months 12 days | 3 years 8 months 12 days |
Derivative Financial Instruments, Forward Starting | 0.00% | 0.00% |
DERIVATIVE INSTRUMENTS HEDGIN68
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details 2) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Gross amounts of recognized assets | $ 210,424,179 | ||
Gross amounts offset in the Balance Sheet | (149,584,518) | ||
Net amounts of assets presented in the Balance Sheet | 60,839,661 | ||
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | (60,818,111) | |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 0 | |
Net amounts of assets, Net amount | $ 0 | 21,550 | |
Gross amounts of recognized liabilities | 591,240,580 | 443,004,276 | |
Gross amounts offset in the Balance Sheet | 0 | 149,584,518 | |
Net amounts of liabilities presented in the Balance Sheet | 591,240,580 | 592,588,794 | |
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | 0 | 0 |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 3,200,519 | 2,289,058 |
Net amounts of liabilities, Net amount | 594,441,099 | 594,877,852 | |
Repurchase agreements and secured loans [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | 541,041,099 | 594,877,852 | |
Gross amounts offset in the Balance Sheet | 0 | 0 | |
Net amounts of liabilities presented in the Balance Sheet | 541,041,099 | 594,877,852 | |
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | 0 | 0 |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 0 | 0 |
Net amounts of liabilities, Net amount | 541,041,099 | 594,877,852 | |
Linked transactions [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized assets | 210,402,629 | ||
Gross amounts offset in the Balance Sheet | (149,584,518) | ||
Net amounts of assets presented in the Balance Sheet | 60,818,111 | ||
Gross amounts not offset in the Balance Sheet, Financial instruments | [1],[2] | (60,818,111) | |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1],[2] | 0 | |
Net amounts of assets, Net amount | 0 | ||
Gross amounts of recognized liabilities | [2] | (149,584,518) | |
Gross amounts offset in the Balance Sheet | [2] | 149,584,518 | |
Net amounts of liabilities presented in the Balance Sheet | [2] | 0 | |
Gross amounts not offset in the Balance Sheet, Financial instruments | [1],[2] | 0 | |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1],[2] | 0 | |
Net amounts of liabilities, Net amount | [2] | 0 | |
Interest rate swaps [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | (2,850,933) | (1,755,107) | |
Gross amounts offset in the Balance Sheet | 0 | 0 | |
Net amounts of liabilities presented in the Balance Sheet | (2,850,933) | (1,755,107) | |
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | 0 | 0 |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 2,850,933 | 1,755,107 |
Net amounts of liabilities, Net amount | 0 | 0 | |
Swaptions [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized assets | 21,550 | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of assets presented in the Balance Sheet | 21,550 | ||
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | 0 | |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 0 | |
Net amounts of assets, Net amount | 21,550 | ||
Futures [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | (349,586) | (533,951) | |
Gross amounts offset in the Balance Sheet | 0 | 0 | |
Net amounts of liabilities presented in the Balance Sheet | (349,586) | (533,951) | |
Gross amounts not offset in the Balance Sheet, Financial instruments | [1] | 0 | 0 |
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged | [1] | 349,586 | 533,951 |
Net amounts of liabilities, Net amount | 0 | $ 0 | |
FHLB Advances [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | 53,400,000 | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of liabilities presented in the Balance Sheet | 53,400,000 | ||
Net amounts of liabilities, Net amount | $ 53,400,000 | ||
[1] | Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above. | ||
[2] | Non-Agency RMBS and Multi-Family MBS securities within a Linked Transaction serve as collateral for the Linked Transaction. See Note 3 “Non-Hedging Activity Linked Transactions” for information on Linked Transactions. |
DERIVATIVE INSTRUMENTS HEDGIN69
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details 3) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest rate: | ||||
Amount of realized gain (loss) | $ (1,217,392) | $ (849,826) | $ (4,047,878) | $ (1,692,593) |
Amount of unrealized appreciation (depreciation) | 902,032 | (5,968,542) | (849,006) | (11,100,869) |
Total | (315,360) | (6,818,368) | (4,896,884) | (12,793,462) |
Interest Rate Swaps [Member] | ||||
Interest rate: | ||||
Amount of realized gain (loss) | (900,671) | (765,826) | (1,421,593) | (1,142,140) |
Amount of unrealized appreciation (depreciation) | 776,847 | (4,807,659) | (1,095,827) | (9,036,957) |
Total | (123,824) | (5,573,485) | (2,517,420) | (10,179,097) |
Swaptions [Member] | ||||
Interest rate: | ||||
Amount of realized gain (loss) | (84,000) | (84,000) | (168,000) | |
Amount of unrealized appreciation (depreciation) | (467,598) | 62,450 | (1,148,003) | |
Total | (551,598) | (21,550) | (1,316,003) | |
Futures [Member] | ||||
Interest rate: | ||||
Amount of realized gain (loss) | (316,721) | 0 | (2,542,285) | (191,047) |
Amount of unrealized appreciation (depreciation) | 125,185 | (693,285) | 184,371 | (847,550) |
Total | $ (191,536) | $ (693,285) | $ (2,357,914) | (1,038,597) |
TBAs [Member] | ||||
Interest rate: | ||||
Amount of realized gain (loss) | (191,406) | |||
Amount of unrealized appreciation (depreciation) | (68,359) | |||
Total | $ (259,765) |
DERIVATIVE INSTRUMENTS HEDGIN70
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details Textual) - Major Types of Debt and Equity Securities [Domain] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative [Line Items] | ||||
Interest Income (Expense), Net, Total | $ 8,626,540 | $ 3,890,862 | $ 17,729,267 | $ 7,238,323 |
Investment Income, Interest | 2,926,137 | 3,284,661 | 5,674,743 | 6,073,338 |
Swap [Member] | ||||
Derivative [Line Items] | ||||
Interest Income (Expense), Net, Total | 719,442 | 679,777 | 1,433,547 | 1,316,793 |
Interest Expense | 900,215 | 765,826 | 1,421,156 | 1,142,140 |
Investment Income, Interest | $ 180,772 | $ 86,049 | $ 12,391 | $ 174,653 |
MSRs (Details)
MSRs (Details) - 3 months ended Jun. 30, 2015 - Mortgage Servicing Rights [Member] - USD ($) | Total | |
Schedule Of Mortgage Service Rights Activity [Line Items] | ||
Balance at beginning of period | $ 0 | |
MSRs retained from sales to securitizations | 2,457,373 | |
Balance at end of year | 2,457,373 | |
Loans associated with MSRs | [1] | $ 252,297,973 |
MSR values as percent of loans | [2] | 0.97% |
[1] | Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2015 | |
[2] | Amounts represent the carrying value of MSRs at June 30, 2015 divided by the outstanding balance of the loans associated with these MSRs |
MSRs (Details 1)
MSRs (Details 1) - Mortgages [Member] | 3 Months Ended |
Jun. 30, 2015USD ($) | |
Schedule Of Components Of Servicing Income [Line Items] | |
Servicing income, net Income | $ 65,770 |
Income from MSRs, net | $ 65,770 |
MSRs (Details Textual)
MSRs (Details Textual) | Jun. 30, 2015USD ($) |
TRS Activity [Member] | |
Mortgage Servicing Rights MSR [Line Items] | |
Mortgage Loans on Real Estate | $ 538,643,377 |
FINANCIAL INSTRUMENTS (Details)
FINANCIAL INSTRUMENTS (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Assets, Fair Value Disclosure | $ 2,638,120,049 | $ 2,865,575,195 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,895,808,079) | (2,104,898,490) | |
Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,403,000 | 0 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | (533,951) | |
Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,633,259,675 | 2,865,575,195 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,895,808,079) | (2,104,364,539) | |
Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,457,374 | 0 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Residential Mortgage Backed Securities [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 491,584,595 | 368,315,738 | [1] |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | [1] |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 491,584,595 | 368,315,738 | [1] |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | [1] |
Residential mortgage loans [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 48,978,699 | 54,678,382 | |
Residential mortgage loans [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Residential mortgage loans [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 48,978,699 | 54,678,382 | |
Residential mortgage loans [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Multi-Family mortgage loans held in securitization trusts [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 1,620,066,565 | 1,750,294,430 | |
Multi-Family mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Multi-Family mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 1,620,066,565 | 1,750,294,430 | |
Multi-Family mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Residential mortgage loans held in securitization trusts [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 472,629,816 | 631,446,984 | |
Residential mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Residential mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 472,629,816 | 631,446,984 | |
Residential mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Linked transactions [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 60,818,111 | ||
Linked transactions [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Linked transactions [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 60,818,111 | ||
Linked transactions [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Swaptions [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 21,550 | ||
Swaptions [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Swaptions [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 21,550 | ||
Swaptions [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Interest rate swaps [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (2,850,933) | (1,755,107) | |
Interest rate swaps [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Interest rate swaps [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (2,850,933) | (1,755,107) | |
Interest rate swaps [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Multi-family securitized debt obligations [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,536,502,580) | (1,670,573,456) | |
Multi-family securitized debt obligations [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Multi-family securitized debt obligations [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,536,502,580) | (1,670,573,456) | |
Multi-family securitized debt obligations [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Residential securitized debt obligations [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (356,104,980) | (432,035,976) | |
Residential securitized debt obligations [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Residential securitized debt obligations [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (356,104,980) | (432,035,976) | |
Residential securitized debt obligations [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Futures [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (349,586) | (533,951) | |
Futures [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | (533,951) | |
Futures [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (349,586) | 0 | |
Futures [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Mortgage Servicing Rights [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,457,374 | 0 | |
Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,457,374 | $ 0 | |
FHLB Stock [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,403,000 | ||
FHLB Stock [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,403,000 | ||
FHLB Stock [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
FHLB Stock [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | $ 0 | ||
[1] | For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4. |
FINANCIAL INSTRUMENTS (Details
FINANCIAL INSTRUMENTS (Details 1) - 6 months ended Jun. 30, 2015 - Fair Value, Inputs, Level 3 [Member] | Total |
Constant prepayment rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Fair Value Measurements, Valuation Techniques | Discounted cash flow |
Fair Value Assumptions, Weighted Average Volatility Rate | 10.70% |
Discount rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Fair Value Measurements, Valuation Techniques | Discounted cash flow |
Fair Value Assumptions, Weighted Average Volatility Rate | 12.00% |
Minimum [Member] | Constant prepayment rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Fair Value Inputs, Prepayment Rate | 5.20% |
Maximum [Member] | Constant prepayment rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Fair Value Inputs, Prepayment Rate | 13.80% |
FINANCIAL INSTRUMENTS (Detail76
FINANCIAL INSTRUMENTS (Details Textual) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure, Total | $ 2,638,120,049 | $ 2,865,575,195 |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure, Total | $ 2,457,374 | $ 0 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details Textual) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
May. 22, 2015 | Mar. 27, 2015 | Aug. 19, 2014 | Mar. 27, 2013 | Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||||||||
Management Fee Percentage | 1.50% | ||||||||
Management fee | $ 698,629 | $ 622,843 | $ 1,416,404 | $ 1,090,378 | |||||
Management Fee Payable | 470,000 | 470,000 | |||||||
Operating expenses reimbursable to Manager | 1,055,075 | $ 870,817 | 2,106,642 | 1,539,470 | |||||
Restricted stock compensation expense | 19,431 | 45,078 | (35,696) | ||||||
Additional Cost Of Reimbursable Expense Waived | 685,000 | $ 685,000 | |||||||
Management Fee Accrued | $ 175,000 | ||||||||
Independent Director [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 6,000 | ||||||||
Manager Equity Plan [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Percentage Of Shares Issued | 3.00% | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 9,500 | ||||||||
Proceeds from Issuance of Shares under Incentive and Share-based Compensation Plans, Excluding Stock Options | $ 67,199 | ||||||||
Manager Equity Plan [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights | One-third of these restricted common stock shares vest on each of the first, second and third anniversaries of the grant date. | ||||||||
Employee Service Share-based Compensation, Nonvested Awards, Total Compensation Cost Not yet Recognized, Share-based Awards Other than Options | $ 113,292 | $ 113,292 | |||||||
Employee Service Share-based Compensation, Nonvested Awards, Total Compensation Cost Not yet Recognized, Period for Recognition | 10 months | ||||||||
Manager Equity Plan [Member] | Independent Director One [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,500 | ||||||||
Manager Equity Plan [Member] | Independent Director Two [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,500 | ||||||||
Manager Equity Plan [Member] | Independent Director Three [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,500 | ||||||||
Manager Equity Plan [Member] | Independent Director [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 4,500 | ||||||||
Common Stock Purchase Price | $ 14.50 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Granted in Period, Fair Value | $ 65,250 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Number of Shares | 4,500 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested in Period, Fair Value | $ 50,715 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Weighted Average Grant Date Fair Value | $ 11.27 | ||||||||
Manager Equity Plan [Member] | Manager [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 28,500 | ||||||||
Common Stock Purchase Price | $ 8.35 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Granted in Period, Fair Value | $ 79,325 | ||||||||
Manager Equity Plan [Member] | Independent Director Four [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,500 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested in Period, Fair Value | $ 60,420 | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested, Weighted Average Grant Date Fair Value | $ 10.07 |
STOCKHOLDERS' EQUITY (Details)
STOCKHOLDERS' EQUITY (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | |
Dividends [Line Items] | ||||
Dividend Amount | $ 29,349 | $ 29,349 | $ 39,132 | $ 29,349 |
Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Dividend Amount | $ 11,039,813 | $ 11,039,813 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.375 | $ 0.375 | ||
Distribution One [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Jan. 15, 2015 | |||
Payment Date | Jan. 29, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution One [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Jan. 15, 2015 | |||
Payment Date | Jan. 29, 2015 | |||
Dividend Amount | $ 1,839,844 | $ 1,839,844 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 | ||
Distribution Two [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Feb. 17, 2015 | |||
Payment Date | Feb. 26, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution Two [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Feb. 17, 2015 | |||
Payment Date | Feb. 26, 2015 | |||
Dividend Amount | $ 1,839,844 | $ 1,839,844 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 | ||
Distribution Three [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Mar. 16, 2015 | |||
Payment Date | Mar. 30, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution Three [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Dec. 16, 2014 | |||
Record Date | Mar. 16, 2015 | |||
Payment Date | Mar. 30, 2015 | |||
Dividend Amount | $ 1,839,844 | $ 1,839,844 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 | ||
Distribution Four [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | Apr. 15, 2015 | |||
Payment Date | Apr. 27, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution Four [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | Apr. 15, 2015 | |||
Payment Date | Apr. 27, 2015 | |||
Dividend Amount | $ 1,839,844 | $ 1,839,844 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 | ||
Distribution Five [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | May 15, 2015 | |||
Payment Date | May 27, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution Five [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | May 15, 2015 | |||
Payment Date | May 27, 2015 | |||
Dividend Amount | $ 1,839,844 | $ 1,839,844 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 | ||
Distribution Six [Member] | Series A Preferred Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | Jun. 15, 2015 | |||
Payment Date | Jun. 29, 2015 | |||
Dividend Amount | $ 293,503 | $ 293,503 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | $ 0.18230 | ||
Distribution Six [Member] | Common Stock [Member] | ||||
Dividends [Line Items] | ||||
Declaration Date | Mar. 17, 2015 | |||
Record Date | Jun. 15, 2015 | |||
Payment Date | Jun. 29, 2015 | |||
Dividend Amount | $ 1,840,594 | $ 1,840,594 | ||
Cash Dividend Per Share (in dollars per share) | $ 0.12500 | $ 0.12500 |
STOCKHOLDERS' EQUITY (Details T
STOCKHOLDERS' EQUITY (Details Textual) - USD ($) | Jul. 14, 2014 | Jun. 19, 2014 | May. 27, 2014 | Apr. 25, 2014 | Mar. 07, 2014 | Feb. 19, 2014 | Jan. 24, 2014 | Jul. 25, 2013 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Stockholders' Equity Note [Line Items] | ||||||||||||
Proceeds From Issuance Of Common Stock | $ (225,594) | $ 73,684,805 | ||||||||||
Preferred Stock, Dividend Rate, Percentage | 8.75% | 8.75% | ||||||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 45,511 | 19,103,574 | ||||||||||
Dividends Payable | $ 29,349 | $ 29,349 | $ 39,132 | |||||||||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||||||||||
Common Stock, Shares Authorized | 450,000,000 | 450,000,000 | ||||||||||
Common Stock, Shares, Issued | 14,724,750 | 14,718,750 | ||||||||||
Common Stock, Shares, Outstanding | 14,724,750 | 14,718,750 | ||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||||||||||
Preferred Stock, Liquidation Preference, Value | $ 25 | $ 25 | ||||||||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||
Preferred Stock, Shares Issued | 1,610,000 | 1,610,000 | ||||||||||
Preferred Stock, Shares Outstanding | 1,610,000 | 1,610,000 | ||||||||||
Stock Issued During Period Value New Issues Two | $ 0 | |||||||||||
Noninterest Expense Offering Cost | $ 1,313,200 | 226,101 | ||||||||||
Amortization of Financing Costs | 413,557 | |||||||||||
Deferred Offering Costs | $ 900,150 | $ 945,661 | ||||||||||
Common Stock, Capital Shares Reserved for Future Issuance | 2,500,000 | |||||||||||
Series A Preferred Stock [Member] | ||||||||||||
Stockholders' Equity Note [Line Items] | ||||||||||||
Preferred Stock, Dividend Rate, Percentage | 8.75% | |||||||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | $ 2,778,201 | |||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 120,000 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 120,000 | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | |||||||||||
Stock Issued During Period Shares New Issues Two | 690,000 | |||||||||||
Stock Issued During Period Value New Issues Two | $ 16,325,373 | |||||||||||
Common Stock [Member] | ||||||||||||
Stockholders' Equity Note [Line Items] | ||||||||||||
Stock Issued During Period, Shares, New Issues | 3,500,000 | 3,000,000 | ||||||||||
Stock Issued During Period Offer Price New Issues | $ 11 | $ 11.30 | ||||||||||
Proceeds From Issuance Of Common Stock | $ 38,442,925 | $ 31,927,377 | ||||||||||
Dividends Payable | $ 11,039,813 | |||||||||||
Dividends Payable, Amount Per Share | $ 0.375 | |||||||||||
Stock Issued During Period Value New Issues Two | $ 0 | |||||||||||
Common Stock [Member] | IPO [Member] | ||||||||||||
Stockholders' Equity Note [Line Items] | ||||||||||||
Warrants To Purchase Common Stock | 3,125,000 | |||||||||||
Common Stock Exercise Price Description | at a per share exercise price equal to 105% of the $15.00 IPO price, or $15.75. | |||||||||||
Common Stock [Member] | Underwriters Issuance One [Member] | ||||||||||||
Stockholders' Equity Note [Line Items] | ||||||||||||
Stock Issued During Period Offer Price New Issues | $ 11.30 | |||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 11.30 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 450,000 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 300,000 | |||||||||||
Proceeds from Stock Options Exercised | $ 3,214,325 | |||||||||||
Common Stock [Member] | Underwriters Issuance Two [Member] | ||||||||||||
Stockholders' Equity Note [Line Items] | ||||||||||||
Stock Issued During Period Offer Price New Issues | $ 11 | |||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 11 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 525,000 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 525,000 | |||||||||||
Proceeds from Stock Options Exercised | $ 5,769,750 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Net income | $ 4,033,321 | $ 4,424,609 | $ (1,097,005) | $ 1,883,335 |
Less dividends paid: | ||||
Common stock | 5,520,281 | 4,008,469 | 11,039,813 | 7,191,938 |
Unvested share-based payment awards | 870,726 | 635,923 | 1,751,235 | 1,116,495 |
Dividends | 6,391,007 | 4,644,392 | 12,791,048 | 8,308,433 |
Undistributed earnings | $ (2,357,686) | $ (219,783) | (13,888,053) | $ (6,425,098) |
Common Stock [Member] | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Net income | 0 | |||
Less dividends paid: | ||||
Common stock | $ 0 | |||
Distributed earnings (in dollars per share) | $ 0.38 | $ 0.36 | $ 0.75 | $ 0.72 |
Undistributed earnings (deficit) (in dollars per share) | (0.17) | (0.02) | (0.94) | (0.64) |
Effect of dilutive securities: | ||||
Total (in dollars per share) | 0.21 | 0.34 | (0.19) | 0.08 |
Unvested Share Based Payment Awards [Member] | ||||
Less dividends paid: | ||||
Distributed earnings (in dollars per share) | 0.38 | 0.36 | 0.75 | 0.72 |
Undistributed earnings (deficit) (in dollars per share) | (0.17) | (0.02) | (0.94) | (0.64) |
Effect of dilutive securities: | ||||
Total (in dollars per share) | $ 0.21 | $ 0.34 | $ (0.19) | $ 0.08 |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Non-current Deferred Tax Asset (Liability) | ||
Unrealized Gain (Security) | $ (955,419) | $ (1,393,014) |
Net Operating Losses | 1,310,854 | 1,545,254 |
AMT Credit | 4,350 | 0 |
Non-current Deferred Tax Asset (Liability) | 359,785 | 152,240 |
Valuation Allowance | (359,785) | (152,240) |
Net Non-current Deferred Tax Asset (Liability) | $ 0 | $ 0 |
INCOME TAXES (Details Textual)
INCOME TAXES (Details Textual) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Income Tax Disclosure [Line Items] | ||
Operating Loss Carryforwards | $ 617,493 | $ 4,006,540 |