Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Aug. 08, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
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 | 14,597,894 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Available-for-sale securities, at fair value (includes pledged securities of $767,812,906 and $571,086,035 for June 30, 2016 and December 31, 2015, respectively) | [1] | $ 754,352,044 | $ 571,466,581 |
Mortgage loans held-for-sale, at fair value (includes pledged loans of $11,787,050 and $10,900,402 for June 30, 2016 and December 31, 2015, respectively) | [1] | 12,909,597 | 10,900,402 |
Multi-family loans held in securitization trusts, at fair value | [1] | 1,305,586,768 | 1,449,774,383 |
Residential loans held in securitization trusts, at fair value | [1] | 174,269,940 | 411,881,097 |
Mortgage servicing rights, at fair value | [1] | 3,229,937 | 4,268,673 |
Cash and cash equivalents | [1] | 25,536,658 | 26,140,718 |
Restricted cash | [1] | 14,454,208 | 8,174,638 |
Accrued interest receivable | [1] | 7,661,978 | 8,650,986 |
Dividends receivable | [1] | 2,014 | 26,022 |
Investment related receivable | [1] | 3,566,968 | 1,591,343 |
Derivative assets, at fair value | [1] | 0 | 2,558,350 |
FHLB stock | [1] | 11,300 | 2,403,000 |
Other assets | [1] | 1,104,520 | 530,468 |
Total assets | [1] | 2,302,685,932 | 2,498,366,661 |
Repurchase agreements: | |||
Available-for-sale securities | [1] | 677,197,000 | 509,231,000 |
Mortgage loans held-for-sale | [1] | 10,406,770 | 9,504,457 |
FHLB Advances | [1] | 0 | 49,697,000 |
Multi-family securitized debt obligations | [1] | 1,288,578,921 | 1,364,077,012 |
Residential securitized debt obligations | [1] | 159,799,323 | 380,638,423 |
Derivative liabilities, at fair value | [1] | 7,954,588 | 0 |
Accrued interest payable | [1] | 5,498,559 | 6,574,699 |
Dividends payable | [1] | 29,349 | 39,132 |
Fees and expenses payable to Manager | [1] | 686,187 | 842,903 |
Other accounts payable and accrued expenses | [1] | 335,972 | 267,507 |
Total liabilities | [1] | 2,150,486,669 | 2,320,872,133 |
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, 2016 and December 31, 2015, respectively | [1] | 37,156,972 | 37,156,972 |
Common Stock: par value $0.01 per share; 450,000,000 shares authorized, 14,597,894 and 14,656,394 shares issued and outstanding, at June 30, 2016 and December 31, 2015, respectively | [1] | 145,979 | 146,409 |
Additional paid-in capital | [1] | 188,780,121 | 189,037,702 |
Accumulated other comprehensive income (loss) | [1] | 2,599,743 | (395,771) |
Cumulative distributions to stockholders | [1] | (62,812,117) | (55,803,240) |
Accumulated earnings (deficit) | [1] | (13,671,435) | 7,352,456 |
Total stockholders' equity | [1] | 152,199,263 | 177,494,528 |
Total liabilities and stockholders' equity | [1] | $ 2,302,685,932 | $ 2,498,366,661 |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Available-for-sale Securities Pledged as Collateral (in dollars) | $ 767,812,906 | $ 571,086,035 |
Loans Pledged as Collateral | $ 11,787,050 | $ 10,900,402 |
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 | 14,597,894 | 14,656,394 |
Common stock, shares outstanding | 14,597,894 | 14,656,394 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets (in dollars) | $ 1,485,184,105 | $ 1,868,482,556 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities (in dollars) | $ 1,453,534,748 | $ 1,750,916,265 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest income: | ||||
Available-for-sale securities | $ 5,331,794 | $ 6,753,580 | $ 10,230,832 | $ 13,559,539 |
Mortgage loans held-for-sale | 167,070 | 585,566 | 289,307 | 1,291,027 |
Multi-family loans held in securitization trusts | 14,692,902 | 17,249,728 | 30,130,706 | 34,885,204 |
Residential loans held in securitization trusts | 3,408,847 | 5,039,380 | 7,561,253 | 10,931,159 |
Cash and cash equivalents | 8,945 | 4,236 | 14,655 | 8,577 |
Interest expense: | ||||
Repurchase agreements - available-for-sale securities | (1,338,815) | (1,789,532) | (2,828,228) | (3,502,300) |
Repurchase agreements - mortgage loans held-for-sale | (94,084) | (392,394) | (170,284) | (828,987) |
Multi-family securitized debt obligations | (13,814,743) | (15,778,322) | (27,927,452) | (31,913,781) |
Residential securitized debt obligations | (2,589,846) | (3,102,240) | (5,768,288) | (6,757,709) |
Net interest income | 5,772,070 | 8,570,002 | 11,532,501 | 17,672,729 |
Other-than-temporary impairments | ||||
(Increase) decrease in credit reserves | (146,224) | 567,205 | (167,218) | (1,410,284) |
Additional other-than-temporary credit impairment losses | 0 | 0 | 0 | (2,890,939) |
Total impairment losses recognized in earnings | (146,224) | 567,205 | (167,218) | (4,301,223) |
Other income: | ||||
Realized gain (loss) on sale of investments, net | 3,771,148 | 524,156 | (2,612,005) | 369,843 |
Change in unrealized gain (loss) on fair value option securities | (2,239,654) | (232,273) | (2,610,749) | (232,273) |
Realized gain (loss) on derivative contracts, net | (761,362) | (1,217,392) | (2,346,903) | (4,047,878) |
Change in unrealized gain (loss) on derivative contracts, net | (2,050,538) | 902,032 | (10,512,938) | (849,006) |
Realized gain (loss) on mortgage loans held-for-sale | 69,734 | 759,059 | 68,748 | 1,031,291 |
Change in unrealized gain (loss) on mortgage loans held-for-sale | (62,002) | (594,542) | 135,900 | (43,159) |
Change in unrealized gain (loss) on mortgage servicing rights | (138,447) | (268,311) | (1,038,735) | (268,311) |
Change in unrealized gain (loss) on multi-family loans held in securitization trusts | (8,071,468) | 1,803,472 | (6,535,151) | 3,840,584 |
Change in unrealized gain (loss) on residential loans held in securitization trusts | 3,399,187 | (2,975,798) | 845,110 | (6,332,205) |
Servicing income | 243,875 | 56,538 | 467,553 | 56,538 |
Other income | 1,826 | 26,611 | 26,808 | 26,611 |
Total other income (loss) | (5,837,701) | (1,216,448) | (24,112,362) | (6,447,965) |
Expenses: | ||||
Management fee | 626,738 | 698,629 | 1,249,961 | 1,416,404 |
General and administrative expenses | 1,679,132 | 1,717,361 | 3,311,643 | 3,401,237 |
Operating expenses reimbursable to Manager | 1,184,243 | 1,055,075 | 2,389,054 | 2,106,642 |
Other operating expenses | 350,061 | 586,298 | 1,232,267 | 1,205,541 |
Compensation expense | 24,248 | 62,348 | 93,887 | 122,995 |
Total expenses | 3,864,422 | 4,119,711 | 8,276,812 | 8,252,819 |
Net income (loss) before provision for income taxes | (4,076,277) | 3,801,048 | (21,023,891) | (1,329,278) |
(Provision for) benefit from income taxes | 0 | 0 | 0 | 0 |
Net income (loss) | (4,076,277) | 3,801,048 | (21,023,891) | (1,329,278) |
Dividends to preferred stockholders | (870,726) | (870,726) | (1,751,235) | (1,751,235) |
Net income (loss) attributable to common stockholders | (4,947,003) | 2,930,322 | (22,775,126) | (3,080,513) |
Earnings (loss) per share: | ||||
Net income (loss) attributable to common stockholders (basic and diluted) | $ (4,947,003) | $ 2,930,322 | $ (22,775,126) | $ (3,080,513) |
Weighted average number of shares of common stock outstanding | 14,597,894 | 14,721,492 | 14,604,540 | 14,720,051 |
Basic and diluted income per share | $ (0.34) | $ 0.2 | $ (1.56) | $ (0.21) |
Dividends declared per share of common stock | $ 0.18 | $ 0.38 | $ 0.36 | $ 0.75 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Net income (loss) | $ (4,076,277) | $ 3,801,048 | $ (21,023,891) | $ (1,329,278) |
Other comprehensive income (loss): | ||||
Increase (decrease) in net unrealized gain on available-for-sale securities, net | 11,621,634 | (9,034,477) | 9,375,621 | (6,478,490) |
Reclassification adjustment for net gain (loss) included in net income (loss) | (7,671,018) | 1,415,814 | (6,547,325) | 1,415,814 |
Reclassification adjustment for other-than-temporary impairments included in net income (loss) | 146,224 | (567,205) | 167,218 | 1,410,284 |
Reclassification cumulative adjustment for Linked Transactions | 0 | 0 | 0 | 4,457,544 |
Total other comprehensive income (loss) | 4,096,840 | (8,185,868) | 2,995,514 | 805,152 |
Less: Dividends to preferred stockholders | (870,726) | (870,726) | (1,751,235) | (1,751,235) |
Comprehensive income (loss) attributable to common stockholders | $ (850,163) | $ (5,255,546) | $ (19,779,612) | $ (2,275,361) |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Stockholders' Equity - 6 months ended Jun. 30, 2016 - 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, 2015 | $ 177,494,528 | [1] | $ 37,156,972 | $ 146,409 | $ 189,037,702 | $ (395,771) | $ (55,803,240) | $ 7,352,456 |
Balance (in shares) at Dec. 31, 2015 | 1,610,000 | 14,656,394 | ||||||
Issuance of common stock, net | 0 | $ 0 | $ 155 | (155) | 0 | 0 | 0 | |
Issuance of common stock, net (in shares) | 0 | 15,500 | ||||||
Purchase of treasury stock, net | (283,565) | $ 0 | $ (585) | (282,980) | 0 | 0 | 0 | |
Purchase of treasury stock, net (in shares) | 0 | (58,500) | ||||||
Restricted stock compensation expense | 25,554 | $ 0 | $ 0 | 25,554 | 0 | 0 | 0 | |
Restricted stock compensation expense (in shares) | 0 | (15,500) | ||||||
Net income (loss) | (21,023,891) | $ 0 | $ 0 | 0 | 0 | 0 | (21,023,891) | |
Increase (decrease) in net unrealized gain on available-for-sale securities, net | 9,375,621 | 0 | 0 | 0 | 9,375,621 | 0 | 0 | |
Reclassification adjustment for net gain (loss) included in net income (loss) | (6,547,325) | 0 | 0 | 0 | (6,547,325) | 0 | 0 | |
Reclassification adjustment for other-than-temporary impairments included in net income (loss) | 167,218 | 0 | 0 | 0 | 167,218 | 0 | ||
Common dividends declared | (5,257,642) | 0 | 0 | 0 | 0 | (5,257,642) | 0 | |
Preferred dividends declared | (1,751,235) | 0 | 0 | 0 | 0 | (1,751,235) | 0 | |
Balance at Jun. 30, 2016 | $ 152,199,263 | [1] | $ 37,156,972 | $ 145,979 | $ 188,780,121 | $ 2,599,743 | $ (62,812,117) | $ (13,671,435) |
Balance (in shares) at Jun. 30, 2016 | 1,610,000 | 14,597,894 | ||||||
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows - USD ($) | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ (21,023,891) | $ (1,329,278) | |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Other-than-temporary impairment charges | 167,218 | 4,301,223 | |
Amortization/accretion of available-for-sale securities premiums and discounts, net | (3,534,745) | (7,882,863) | |
Realized (gain) loss on sale of investments, net | 2,612,005 | (369,843) | |
Realized (gain) loss on derivative contracts | 2,346,903 | 4,047,878 | |
Realized (gain) loss on mortgage loans held-for-sale | (68,748) | (1,031,291) | |
Unrealized (gain) loss on fair value option securities | 2,610,749 | 232,273 | |
Unrealized (gain) loss on derivative contracts | 10,512,938 | 849,006 | |
Unrealized (gain) loss on mortgage loans held-for-sale | (135,900) | 43,159 | |
Unrealized (gain) loss on mortgage servicing rights | 1,038,735 | 268,311 | |
Unrealized (gain) loss on multi-family loans held in securitization trusts | 6,535,151 | (3,840,584) | |
Unrealized (gain) loss on residential loans held in securitization trusts | (845,110) | 6,332,205 | |
Restricted stock compensation expense | 25,554 | 45,078 | |
Net change in: | |||
Accrued interest receivable | (510,671) | 1,168,276 | |
Dividends receivable | 24,008 | 0 | |
Other assets | (574,052) | (253,708) | |
Accrued interest payable | (31,814) | (603,702) | |
Fees and expenses payable to Manager | (156,716) | 93,000 | |
Other accounts payable and accrued expenses | 68,465 | 849,389 | |
Net cash (used in) provided by operating activities | (939,921) | 2,918,529 | |
Cash flows from investing activities: | |||
Purchase of available-for-sale securities | (324,629,196) | (109,389,530) | |
Purchase of mortgage loans held-for-sale | (11,573,408) | (282,639,129) | |
Purchase of mortgage servicing rights | 0 | (2,725,685) | |
Purchase of FHLB stock | 0 | (2,403,000) | |
Proceeds from sales of available-for-sale securities | 189,273,268 | 162,351,939 | |
Proceeds from mortgage loans held-for-sale | 9,586,465 | 288,811,206 | |
Proceeds from FHLBI stock | 2,391,700 | 0 | |
Net proceeds from (payments for) derivative contracts | (2,346,903) | (3,963,878) | |
Principal payments from available-for-sale securities | 33,837,646 | 39,601,721 | |
Principal payments from mortgage loans held-for-sale | 182,396 | 515,738 | |
Deferred securitization costs | 0 | (89,643) | |
Investment related receivable | (1,975,625) | 70,399,740 | |
Restricted cash | (6,279,570) | (2,890,771) | |
Net cash (used in) provided by investing activities | (111,533,227) | 157,578,708 | |
Cash flows from financing activities: | |||
Proceeds from issuance of common stock | 0 | (225,594) | |
Deferred offering costs | 0 | 45,511 | |
Purchase of treasury stock | (283,565) | 0 | |
Dividends paid on common stock | (5,257,642) | (11,039,813) | |
Dividends paid on preferred stock | (1,761,018) | (1,761,018) | |
Proceeds from repurchase agreements - available-for-sale securities | 3,093,465,000 | 3,192,400,999 | |
Proceeds from repurchase agreements - mortgage loans held-for-sale | 13,548,045 | 47,097,001 | |
Proceeds from FHLBI advances | 0 | 53,400,000 | |
Payments for FHLBI advances | (49,697,000) | 0 | |
Principal repayments of repurchase agreements - available-for-sale securities | (2,925,499,000) | (3,387,929,999) | |
Principal repayments of repurchase agreements - mortgage loans held-for-sale | (12,645,732) | (54,697,754) | |
Net cash (used in) provided by financing activities | 111,869,088 | (162,710,667) | |
Net increase (decrease) in cash and cash equivalents | (604,060) | (2,213,430) | |
Cash and cash equivalents, beginning of period | 26,140,718 | [1] | 32,274,285 |
Cash and cash equivalents, end of period | 25,536,658 | [1] | 30,060,855 |
Supplemental disclosure of cash flow information | |||
Cash paid for interest | 3,030,326 | 4,934,989 | |
Non-cash investing and financing activities information | |||
Restricted stock compensation expense | 25,554 | 45,078 | |
Dividends declared but not paid at end of period | 29,349 | [1] | 29,349 |
Net change in unrealized gain (loss) on available-for-sale securities | 2,995,514 | (993,726) | |
Consolidation of multi-family loans held in securitization trusts | 1,310,347,394 | 1,625,701,369 | |
Consolidation of residential loans held in securitization trusts | 174,836,711 | 474,205,879 | |
Consolidation of multi-family securitized debt obligations | 1,293,320,974 | 1,541,927,234 | |
Consolidation of residential securitized debt obligations | 160,213,774 | 357,151,265 | |
MBS securities recorded upon adoption of revised accounting standard for repurchase agreement financing | 0 | 210,238,653 | |
Repurchase agreements recorded upon adoption of revised accounting standard for repurchase agreement financing | $ 0 | $ 149,293,000 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
ORGANIZATION AND BUSINESS OPERA
ORGANIZATION AND BUSINESS OPERATIONS | 6 Months Ended |
Jun. 30, 2016 | |
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 (“GAAP”). On April 30, 2014, the Company established Five Oaks Insurance LLC (“FOI”) as a wholly owned subsidiary. The Company consolidates this subsidiary under 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”). The Company determined that each of the trusts was a variable interest entity (“VIE”) and that in each case the Company remains the primary beneficiary, and accordingly consolidated the assets and liabilities of the trusts into the Company’s financial statements in accordance with GAAP. On April 21, 2016, and April 26, 2016, respectively, the Company completed two re-securitization transactions (the “Re-REMIC transactions”). The Company consolidates the assets and liabilities of the newly established trusts, in each case based upon the Company’s purchase of first-loss securities of the Re-REMIC transactions. Accordingly, the Company has determined that it remains the primary beneficiary of the underlying trusts and continues to consolidate the assets and liabilities of each underlying 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”). During the second quarter of 2016, the Company sold the first loss and subordinated tranches issued by the JPMMT 2014-OAK4 Trust, and as a result, having determined that it is no longer the primary beneficiary of the trust, no longer consolidates the assets and liabilities of that trust. The Company determined that CSMC 2014-OAK1 Trust was a variable interest entity (“VIE”) and that the Company continues to be the primary beneficiary, and accordingly consolidated the assets and liabilities of the trust into the Company’s financial statements in accordance with GAAP. On March 23, 2015, the Company established Oaks Funding LLC 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 GAAP. On April 20, 2016, the Company established Oaks Funding II LLC as a wholly owned subsidiary of FOAC, to fulfill certain functions as depositor in respect of certain Re-REMIC transactions. The Company consolidates this subsidiary under GAAP. On April 20, 2016, the Company established Oaks Holding I LLC as a wholly owned subsidiary to hold certain investment securities. The Company consolidates this subsidiary under GAAP. |
SUMMARY OF SIGNIFICANT ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The consolidated balance sheet as of December 31, 2015 has been derived from audited financial statements. The condensed consolidated balance sheet as of June 30, 2016, the condensed consolidated statements of operations and the condensed consolidated statements of comprehensive income (loss), for the three and six months ended June 30, 2016 and for the three and six months ended June 30, 2015, the condensed consolidated statement of stockholders’ equity for the six months ended June 30, 2016 and the condensed consolidated statements of cash flows for the six months ended June 30, 2016, and the six months ended June 30, 2015, are unaudited. The unaudited condensed consolidated financial statements and related notes have been prepared in accordance with 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 GAAP have been condensed or omitted. In the opinion of management, all adjustments are 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, 2015, which was filed with the Securities and Exchange Commission (“SEC”) on March 23, 2016. Certain prior year amounts have been reclassified to conform to current year presentation. 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 on consolidation. An entity is referred to as a 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 impacts the entity's economic performance, (b) the obligation to absorb the expected losses of the legal entity and (c) the right to receive the expected residual returns of the legal entity; and (3) 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, 2016, the Company determined that it continues to be the primary beneficiary of two Multi-Family MBS transactions (FREMF 2011-K13 and FREMF 2012-KF01), and one residential mortgage loan transaction (CSMC 2014-OAK1), 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 2011-K13 and the FREMF 2012-KF01 trusts, the Company determined that it is the primary beneficiary of certain intermediate trusts that have the power to direct the activities and the obligations to absorb losses of the underlying trusts. 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, 2016 and December 31, 2015, 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 $ 43,935,733 92,107,727 90,601,376 104,025,797 GAAP also requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings. During the year ended December 31, 2015, the Company transferred residential mortgage loans with an aggregate unpaid principal balance of $ 518,455,163 15,839,304 30,383,343 The financial statements have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with 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 and other short term deposit accounts with banks having original maturities of 90 days or less. 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 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 are recorded as an asset in the accompanying condensed 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 condensed consolidated balance sheets. 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, if any, are expected to be recovered at the time of a forthcoming securitization, payments made by the Company in respect of such costs if any are recorded as an asset in the Company’s condensed consolidated balance sheets in the line item “Deferred securitization costs”, for subsequent deduction from the securitization proceeds upon the closing of that securitization. Interest income on the Company’s AFS securities portfolio, with the exception of Non-Agency RMBS IOs (as further described below), 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 is recorded in 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 and ASC 310-30 (generally Non-Agency RMBS and Multi-Family MBS). In estimating these cash flows, there are a number of assumptions that are 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 applies 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 investment’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 (“credit impairment”). 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 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 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 investment’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 a securitization entity that the Company sponsors and expects them 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 consolidated 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, as of June 30, 2016. 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 three 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. As the result of the Company’s determination that it is not the primary beneficiary of Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, it does not consolidate these trusts. 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 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 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 the Company’s 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 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 which 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. Non-Agency RMBS IOs that the Company owns are associated with residential mortgage loan securitizations that the Company sponsors, and 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. Interest income on IOs is recognized at the contractually agreed rate, and changes in fair value are recognized in the Company’s condensed consolidated statement of operations. 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 that were 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. The Company finances the acquisition of certain of its residential mortgage loans through the use of short-term, uncommitted residential loan warehouse facilities, which are currently structured as repurchase agreements. The Company accounts for outstandings under these facilities as collateralized financing transactions which are carried at its contractual amount, and approximate fair value due to their short-term nature. 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 FHLBI, FOI borrowed funds from 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 was required to purchase FHLBI stock, which is recorded on the Company’s condensed consolidated balance sheet as an asset. See Note 10 for a further discussion of the Company’s FHLB advances and Note 3 for a description of the Company’s FHLB stock balance. Multi-family and residential securitized debt obligations represent third-party liabilities of the FREMF 2011-K13 Trust, FREMF 2012-KF01 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. At June 30, 2016, and December 31, 2015, the Company was authorized to issue up to 450,000,000 0.01 14,597,894 14,656,394 On December 15, 2015, the Company’s Board of Directors authorized a stock repurchase program (“Repurchase Program”), to repurchase up to $ 10 126,856 At June 30, 2016, and December 31, 2015, the Company was authorized to issue up to 50,000,000 0.01 1,610,000 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 stockholders 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 assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. 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 are taxed as a standalone U.S. C-Corporation. Accordingly, deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that includes the enactment date. 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 condensed consolidated statement of comprehensive income (loss), adjusted for changes in unrealized gain or loss on AFS securities (excluding Non-Agency RMBS IOs), reclassification adjustments for net gain (loss) and other-than-temporary impairments included in net income, reclassification adjustment for Linked Transactions, and dividends paid to preferred stockholders. Revenue from Contracts with Customers In May 2014, the Financial Accounting Standard Board, or FASB, issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under 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. As a result of the issuance of ASU No. 2015-14 in August 2015, deferring the effective date of ASU No. 2014-09 by one year, the ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption prohibited. The Company is currently assessing the impact of this guidance. 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 or stockholders’ equity. 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 or results of operations, 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 adoption of this guidance did not have a material impact on the Company’s financial condition or results of operations. In April 2015, the FASB issued ASU No. 2015-03, which simplifies the presentation of debt issuance costs by requiring debt issuance costs to be presented as a deduction from the corresponding debt liability. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2015, with early adoption permitted. Early adoption of this ASU did not have a material impact on the Company's financial condition or results of operations. In November 2015, the FASB issued ASU 2015-17, which requires deferred tax liabilities and assets to be classified as non-current in a classified statement of financial condition. The Company has early adopted ASU 2015-17 as of December 31, 2015, on a retrospective basis, based on the ASU’s intention to simplify the financial presentation of deferred taxes. The adoption of this guidance did not have a material impact on the Company’s financial condition or results of operations. In January 2016, the FASB issued ASU No. 2016-01, which changes how entities measure certain equity investments and present changes in the fair value of financial liabilities measured under the fair value option that are attributable to their own credit. 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, 2017, with early adoption permitted. The Company has determined this ASU will not h |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2016 | |
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 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, 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, except Non-Agency RMBS IOs, 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. As the result of a fair value election, unrealized gains and losses on Non-Agency RMBS IOs are recorded in the Company’s condensed consolidated statement of operations. Determination of MBS Fair Value The Company determines the fair values for the Non-Agency RMBS, Agency RMBS and Multi-Family MBS in its portfolio based on obtaining a valuation for each Non-Agency RMBS, 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 Non-Agency RMBS, 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 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 determines 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 follows 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 pricing service and the Company’s cash flow assumptions. The Company reviews all pricing of Non-Agency and 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 has 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 costs related to these loans are not deferred or capitalized. Fair value adjustments are reported in unrealized gain (loss) on mortgage loans held-for-sale on the condensed consolidated statements of operations. 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 determines 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 and excess servicing rights. Determination of Fair Value The Company determines the fair value of its MSRs and excess servicing rights 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 cash flow 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 consolidated 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, 2016. 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 these trusts. Determination of Fair Value As noted, 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 liabilities, the Company has determined that the valuation of the trust 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 consolidated securitization trusts are comprised of residential mortgage loans held in the CSMC 2014-OAK1 Trust as of June 30, 2016. Based on a number of factors, the Company determined that it was the primary beneficiary of the VIE underlying the trust, met the criteria for consolidation and, accordingly, has consolidated the CSMC 2014-OAK1 Trust including its 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 trust. As the result of the Company’s determination that it is not the primary beneficiary of Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, it does not consolidate these 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. The trust is “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 the trust is more observable, but in either case, the methodology results in the fair value of the assets of the trust being equal to the fair value of its liabilities. The Company has determined that the fair value of the liabilities of the trust 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 trust, 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 trust is an aggregate value derived from the fair value of the trust’s liabilities, the Company has determined that the valuation of the trust 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 condensed 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 condensed 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 condensed 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 on which the Company accounts for secured borrowings. Accordingly, the assets and repurchase agreements which 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 were considered part of the same arrangement, or a “linked transaction”, unless certain criteria were 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 condensed consolidated balance sheet in the line item “Linked Transactions, net, at fair value”. See Notes 10 and 11, for additional detail on the impact of the adoption of this ASU, including a description of the cumulative effect adjustment to retained earnings of the adoption of the ASU. See Note 11 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. At June 30, 2016, the Company had redeemed $ 2,391,700 11,300 The FHLB stock |
AVAILABLE-FOR-SALE SECURITIES
AVAILABLE-FOR-SALE SECURITIES | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 December 31, 2015 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 254,003,619 $ 148,760,159 Federal National Mortgage Association 365,811,316 182,867,134 Government National Mortgage Association - 43,705,764 Non-Agency 43,935,733 92,107,727 Multi-Family 90,601,376 104,025,797 Total mortgage-backed securities $ 754,352,044 $ 571,466,581 June 30, 2016 Agency Non-Agency (1) Multi-Family Total Face Value $ 597,958,187 $ 56,626,389 $ 120,145,351 $ 774,729,927 Unamortized premium 13,482,100 - 13,482,100 Unamortized discount Designated credit reserve and OTTI (2) - (3,746,646) - (3,746,646) Net, unamortized (1,706,174) (12,449,632) (28,704,545) (42,860,351) Amortized Cost 609,734,113 40,430,111 91,440,806 741,605,030 Gross unrealized gain 10,114,710 1,061,667 1,853,560 13,029,937 Gross unrealized (loss) (33,888) (4,892,810) (2,692,990) (7,619,688) Fair Value $ 619,814,935 $ 36,598,968 90,601,376 $ 747,015,279 December 31, 2015 Agency Non-Agency (1) Multi - Family Total Face Value $ 370,394,525 $ 116,954,842 $ 138,829,925 $ 626,179,292 Unamortized premium 5,745,862 80,257 - 5,826,119 Unamortized discount Designated credit reserve and OTTI (2) - (8,891,565) (8,891,565) Net, unamortized (1,929,145) (22,101,062) (33,250,068) (57,280,275) Amortized Cost 374,211,242 86,042,472 105,579,857 565,833,571 Gross unrealized gain 3,234,673 1,099,957 913,556 5,248,186 Gross unrealized (loss) (2,112,858) (1,808,973) (2,467,616) (6,389,447) Fair Value $ 375,333,057 $ 85,333,456 $ 104,025,797 $ 564,692,310 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $ 629,653,883 14,721,375 7,375,610 7,336,765 428,230,275 7,815,919 1,041,649 6,774,271 (2) Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $ 2,833,936 8,146,073 912,710 745,493 At June 30, 2016, 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 $ 0.17 4.3 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. Three Months Ended June 30, 2016 2015 Cumulative credit loss at beginning of period $ (3,657,426) $ (4,868,428) Additions: Initial (increase) in credit reserves - - Subsequent increase in credit reserves (146,224) - Initial additional other-than-temporary credit impairment losses - - Subsequent additional other-than-temporary credit impairment losses - - Reductions: For securities sold decrease in credit reserves - 567,205 For securities sold decrease in other-than-temporary impairment - - Cumulative credit (loss) at end of period $ (3,803,650) $ (4,301,223) Six Months Ended June 30, 2016 2015 Cumulative credit loss at beginning of period $ (3,636,432) $ - Additions: Initial increase in credit reserves - (1,410,284) Subsequent increase in credit reserves (167,218) - Initial additional other-than-temporary credit impairment losses - (2,890,939) Subsequent additional other-than-temporary credit impairment losses - - Reductions: For securities sold decrease in credit reserves - - For securities sold decrease in other-than-temporary impairment - - Cumulative credit (loss) at end of period $ (3,803,650) $ (4,301,223) Unrealized losses on the Company’s Non-Agency RMBS were $ 4.9 The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time the securities had an unrealized loss position as of June 30, 2016, and December 31, 2015. At June 30, 2016 the Company held 56 67 35 Less than 12 months Greater than 12 months Total Estimated Fair Gross Unrealized Estimated Fair Gross Unrealized Estimated Fair Gross Unrealized June 30, 2016 $ 35,555,269 $ (4,714,749) $ 41,510,925 $ (2,904,939) $ 77,066,194 $ (7,619,688) December 31, 2015 $ 348,120,251 $ (5,983,726) $ 6,939,257 $ (405,720) $ 355,059,508 $ (6,389,446) To the extent the Company determines there are likely to be decreases in cash flows expected to be collected, and as a result of non-credit impairment, such changes are generally recognized prospectively through adjustment of the security’s yield over its remaining life. Three Months Ended Three Months Ended June 30, 2016 June 30, 2015 AFS securities sold, at cost $ 102,654,599 $ 106,968,002 Proceeds from AFS securities sold 106,681,346 107,609,266 Net realized gain (loss) on sale of AFS securities $ 4,026,747 $ 641,264 Six Months Ended Six Months Ended June 30, 2016 June 30, 2015 AFS securities sold, at cost $ 191,586,798 $ 106,968,002 Proceeds from AFS securities sold 189,273,268 107,609,266 Net realized gain (loss) on sale of AFS securities $ (2,313,530) $ 641,264 June 30, 2016 Agency Non-Agency Multi-Family Total Adjustable rate $ 605,086,426 $ 43,935,733 - $ 649,022,159 Fixed rate 14,728,509 - 90,601,376 105,329,885 Total $ 619,814,935 $ 43,935,733 90,601,376 $ 754,352,044 December 31, 2015 Agency Non-Agency Multi- Family Total Adjustable rate $ 360,057,377 $ 92,107,727 $ 452,165,104 Fixed rate 15,275,680 - 104,025,797 119,301,477 Total $ 375,333,057 $ 92,107,727 $ 104,025,797 571,466,581 June 30, 2016 December 31, 2015 Less than one year $ - $ - Greater than one year and less than five years 623,689,645 211,800,340 Greater than or equal to five years 130,662,399 359,666,241 Total $ 754,352,044 $ 571,466,581 As described in Note 2, 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. June 30, 2016 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2016 $ (8,891,565) $ (57,280,275) $ (66,171,840) Acquisitions - - - Dispositions 2,904,601 10,598,841 13,503,442 Accretion of net discount - 3,497,298 3,497,298 Realized gain on paydowns - 156,568 156,568 Realized credit losses 2,407,536 - 2,407,536 Addition to credit reserves (167,218) 167,218 - Release of credit reserves - - - Ending balance at June 30, 2016 $ (3,746,646) $ (42,860,350) $ (46,606,996) December 31, 2015 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2015 $ (12,697,796) $ (17,454,022) $ (30,151,818) Cumulative - effect adjustment for Linked Transactions (36,627,321) (47,091,958) (83,719,279) Adjusted beginning Balance as of January 1, 2015 (49,325,117) (64,545,980) (113,871,097) Acquisitions - (24,446,013) (24,446,013) Dispositions - 20,963,895 20,963,895 Accretion of net discount 30,201,676 13,061,839 43,263,515 Realized gain (loss) on paydowns - 226,553 226,553 Realized credit losses 10,582,246 (2,890,939) 7,691,307 Addition to credit reserves (2,669,938) 2,669,938 - Release of credit reserves 2,319,568 (2,319,568) - Ending balance at December 31, 2015 $ (8,891,565) $ (57,280,275) $ (66,171,840) 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 six months ended June 30, 2016, the Company had unrealized gains (losses) on AFS securities of $ 2,828,296 Three Months Ended June 30, 2016 Three Months Ended June 30, 2015 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest Discount accretion income interest discount accretion income Agency $ 2,598,975 $ 81,068 $ 2,680,043 $ 1,891,811 $ 151,912 $ 2,043,723 Non-Agency 796,520 379,140 1,175,660 578,691 2,281,616 2,860,307 Multi-Family 257,440 1,218,651 1,476,091 455,636 1,393,914 1,849,550 Total $ 3,652,935 $ 1,678,859 $ 5,331,794 $ 2,926,138 $ 3,827,442 $ 6,753,580 Six Months Ended June 30, 2016 Six Months Ended June 30, 2015 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest Discount accretion income interest discount accretion income Agency $ 4,622,177 $ 104,252 $ 4,726,429 $ 3,883,365 $ 300,167 $ 4,183,532 Non-Agency 1,558,601 875,978 2,434,579 882,201 5,140,295 6,022,496 Multi-Family 515,309 2,554,515 3,069,824 911,901 2,441,610 3,353,511 Total $ 6,696,087 $ 3,534,745 $ 10,230,832 $ 5,677,467 $ 7,882,072 $ 13,559,539 |
MORTGAGE LOANS HELD-FOR-SALE, a
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 December 31, 2015 Unpaid principal balance $ 12,641,118 $ 10,767,856 Fair value adjustment 268,479 132,546 Carrying value $ 12,909,597 $ 10,900,402 At June 30, 2016 and December 31, 2015, the Company pledged mortgage loans with a fair value of $ 11.8 10.9 Borrowings June 30, 2016 Texas 39.3 % California 13.8 % Florida 13.4 % Arizona 9.7 % Minnesota 5.9 % Georgia 5.0 % |
THE FREMF TRUSTS
THE FREMF TRUSTS | 6 Months Ended |
Jun. 30, 2016 | |
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 $ 17,026,420 and $ 86,030,550 Balance Sheets June 30, 2016 December 31, 2015 Assets Multi-family mortgage loans held in securitization trusts $ 1,305,586,768 $ 1,449,774,383 Receivables 4,760,626 5,380,956 Total assets $ 1,310,347,394 $ 1,455,155,339 Liabilities and Equity Multi-family securitized debt obligations $ 1,288,578,921 $ 1,364,077,012 Payables 4,742,053 5,047,777 $ 1,293,320,974 $ 1,369,124,789 Equity 17,026,420 86,030,550 Total liabilities and equity $ 1,310,347,394 $ 1,455,155,339 The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $ 1,204,484,329 1,371,258,074 1,204,484,329 1,371,258,074 Statements of Operations Three Months Ended Three Months Ended Interest income $ 14,692,902 $ 17,249,728 Interest expense 13,814,743 15,778,321 Net interest income $ 878,159 $ 1,471,407 General and administrative fees (679,217) (838,544) Unrealized gain (loss) on multi-family loans held in securitization trusts (8,071,468) 1,803,473 Net Income (loss) $ (7,872,526) $ 2,436,336 Statements of Operations Six Months Ended Six Months Ended Interest income $ 30,130,706 $ 34,885,204 Interest expense 27,927,452 31,913,781 Net interest income $ 2,203,254 $ 2,971,423 General and administrative fees (1,382,700) (1,706,891) Unrealized gain (loss) on multi-family loans held in securitization trusts (6,535,151) 3,840,584 Net Income (loss) $ (5,714,597) $ 5,105,116 are as follows June 30, 2016 Texas 20.1 % New York 15.0 % Washington 8.0 % Colorado 7.2 % California 5.5 % Georgia 5.3 % |
RESIDENTIAL MORTGAGE LOAN SECUR
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS | 6 Months Ended |
Jun. 30, 2016 | |
Residential Mortgage [Member] | |
Variable Interest Entity [Line Items] | |
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, which requires that changes in valuations of the trust be reflected in the Company’s statements of operations. The Company’s net investment in the trust 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 carrying value of $ 14,622,937 , and $ 31,535,741 The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at June 30, 2016 and December 31, 2015 are set out below: Balance Sheets June 30, 2016 December 31, 2015 Assets Residential mortgage loans held in securitization trusts $ 174,269,940 $ 411,881,097 Receivables 566,771 1,446,120 Total assets $ 174,836,711 $ 413,327,217 Liabilities and Equity Residential securitized debt obligations $ 159,799,323 $ 380,638,423 Payables 414,451 1,153,053 $ 160,213,774 $ 381,791,476 Equity 14,622,937 31,535,741 Total liabilities and equity $ 174,836,711 $ 413,327,217 The residential mortgage loans held in securitization trusts had an unpaid principal balance of $ 169,029,899 411,650,562 169,029,899 411,650,562 Statements of Operations Three Months Ended Three Months Ended Interest income $ 3,408,847 $ 5,039,380 Interest expense 2,589,846 3,102,240 Net interest income $ 819,001 $ 1,937,140 General and administrative fees (108,353) (107,325) Unrealized gain (loss) on multi-family loans held in securitization trusts 3,399,187 (2,975,804) Net Income (loss) $ 4,109,835 $ (1,145,989) Statements of Operations Six Months Ended Six Months Ended Interest income $ 7,561,253 $ 10,931,159 Interest expense 5,768,288 6,757,709 Net interest income $ 1,792,965 $ 4,173,450 General and administrative fees (240,771) (348,520) Unrealized gain (loss) on multi-family loans held in securitization trusts 845,110 (6,332,205) Net Income (loss) $ 2,397,304 $ (2,507,275) June 30, 2016 California 40.2 % Washington 13.8 % Massachusetts 9.5 % Florida 5.2 % |
USE OF SPECIAL PURPOSE ENTITIES
USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2016 | |
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. SPEs 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 and CSMC 2014-OAK1 Trust. Accordingly, the Company consolidated the assets, liabilities, income and expenses of these trusts in its financial statements as of and for the periods ending June 30, 2016 and December 31, 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. The Company has elected the fair value option in respect of the assets and liabilities of 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. As further described in Note 2, GAAP also requires the Company to consider whether securitizations the Company sponsors and other transfers of financial assets should be treated as sales or financings. During the year ended December 31, 2015, the Company transferred residential mortgage loans to Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust 2015-2, and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. The Company also determined that it was not the primary beneficiary of these VIEs because it lacked the power to direct the activities that will have the most significant economic impact on the entities. The Company’s maximum exposure to loss from these VIEs is limited to the fair value of its investments in Non-Agency RMBS issued by the two VIEs, with a fair value of $ 15,839,304 |
RESTRICTED CASH
RESTRICTED CASH | 6 Months Ended |
Jun. 30, 2016 | |
Cash and Cash Equivalents [Abstract] | |
Restricted Cash and Cash Equivalents Disclosure [Text Block] | NOTE 9 RESTRICTED CASH As of June 30, 2016, 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. June 30, 2016 December 31, 2015 Restricted cash balance held by: Broker counterparties for derivatives trading $ 9,926,000 $ 528,564 Repurchase counterparties as restricted collateral 4,528,208 7,646,074 Total $ 14,454,208 $ 8,174,638 |
BORROWINGS
BORROWINGS | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | NOTE 10 BORROWINGS Repurchase Agreements The Company has entered into repurchase agreements (including one residential loan warehouse facility, at June 30, 2016) to finance its portfolio of investments. The repurchase agreements bear interest at a contractually agreed rate. The repurchase obligations mature and typically reinvest every 30 days to one year and have a weighted average aggregate interest rate of 0.92 June 30, 2016 December 31, 2015 Weighted Weighted Amount average Market value Amount average Market value outstanding Interest rate of collateral held outstanding Interest rate of collateral held Agency $ 586,566,000 0.68 % 619,814,935 $ 358,239,000 0.66 % 374,952,510 Non-Agency 52,680,000 2.33 % 90,601,375 114,512,000 2.24 % 121,475,112 Multi-Family 37,951,000 2.15 % 57,396,595 86,177,000 1.83 % 190,056,347 Mortgage loans 10,406,770 2.80 % 11,787,050 9,504,457 2.87 % 10,900,403 Total $ 687,603,770 0.92 % 779,599,955 $ 568,432,457 1.19 % 697,384,372 June 30, 2016 December 31, 2015 < 30 days $ 634,667,770 $ 449,063,000 31 to 60 days 4,153,000 76,044,000 61 to 90 days 48,783,000 37,873,540 > 90 days - 5,451,917 Total $ 687,603,770 $ 568,432,457 Under the repurchase agreements (including the residential loan warehouse facility), 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 most restrictive of which requires that, on the last day of any fiscal quarter, our total stockholders’ equity shall not be less than the greater of (1) $ 75,000,000 50 June 30, 2016 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding Amount outstanding days to maturity of collateral held Wells Fargo Securities 31,403,000 4.57 % 7 55,592,968 Other North America 534,868,000 77.79 % 16 574,626,482 Asia (1) 83,124,000 12.09 % 16 94,326,169 Europe (1) 38,208,770 5.56 % 17 55,054,336 Total $ 687,603,770 100.00 % 16 $ 779,599,955 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2015 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding (1) Amount outstanding days to maturity of collateral held Merrill Lynch $ 99,770,000 17.55 % 30 $ 154,005,234 Wells Fargo Securities 32,192,000 5.66 % 10 53,711,547 Other North America 291,806,000 51.34 % 25 315,040,818 Asia (1) 88,565,000 15.58 % 16 97,970,226 Europe (1) 56,099,457 9.87 % 46 76,656,547 Total $ 568,432,457 100.00 % 26 $ 697,384,372 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. Secured Loans On February 24, 2015, our wholly owned captive insurance subsidiary, FOI, became a member of the FHLBI. A condition of FOI’s membership was the purchase of FHLBI membership stock. On January 12, 2016, the regulator of the FHLB system, the Federal Housing Finance Agency, or the FHFA, published a Final Rule that amended FHLB membership regulations for captive insurance subsidiaries. Under the new regulations, FOI was required to terminate its membership and repay its advances on or before February 19, 2017 in order to be eligible for timely full stock redemption. In addition, FOI is prohibited from taking new advances or renew existing maturing advances during this one-year transition period. At June 30, 2016, FOI had repaid all secured FHLBI advances and replaced them with repurchase agreements. |
DERIVATIVE INSTRUMENTS HEDGING
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instrument Detail [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | NOTE 11 DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES 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. 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 June 30, 2016 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Futures - - (7,954,588) 4,792,000,000 Total $ - - $ (7,954,588) 4,792,000,000 December 31, 2015 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Futures 2,558,350 5,945,000,000 - - Total $ 2,558,350 5,945,000,000 $ - - 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 with 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, is 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. December 31, 2015 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 Futures $ 2,558,350 $ - $ 2,558,350 $ - $ - $ 2,558,350 Total $ 2,558,350 $ - $ 2,558,350 $ - $ - $ 2,558,350 June 30, 2016 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 $ (687,603,770) $ - $ (687,603,770) $ - $ - $ (687,603,770) Futures (7,954,588) - (7,954,588) - 7,954,588 - Total $ (695,558,358) $ - $ (695,558,358) $ - $ 7,954,588 $ (687,603,770) December 31, 2015 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 $ (518,735,457) $ - $ (518,735,457) $ - $ - $ (518,735,457) FHLB Advances (49,697,000) - (49,697,000) - - (49,697,000) Total $ (568,432,457) $ - $ (568,432,457) $ - $ - $ (568,432,457) (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. 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. Three months ended June 30, 2016 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Futures (761,362) (2,050,538) (2,811,900) Total $ (761,362) $ (2,050,538) $ (2,811,900) 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 (1) $ (900,671) $ 776,847 $ (123,824) Futures (316,721) 125,185 (191,536) Total $ (1,217,392) $ 902,032 $ (315,360) (1) In the three month period ended June 30, 2015 net swap interest expense totaled $ 719,443 900,215 180,772 Six Months Ended June 30, 2016 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Futures (2,346,903) (10,512,938) (12,859,841) Total $ (2,346,903) $ (10,512,938) $ (12,859,841) 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) $ (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) (1) In the six month period ended June 30, 2015, net swap interest expense totaled $ 1,433,547 1,421,156 12,391 |
MSRs
MSRs | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Servicing Rights MSR Disclosure [Abstract] | |
Mortgage Servicing Rights MSR Disclosure [Text Block] | NOTE 12 - MSRs During the six months ended June 30, 2016, the Company retained the servicing rights associated with an aggregate principal balance of $ 477,514,431 June 30, 2016 December 31, 2015 Balance at beginning of period $ 4,268,673 $ - MSRs retained from sales to securitizations 355,196 4,940,630 Changes in fair value due to: Changes in valuation inputs or assumptions used in valuation model (938,804) (217,663) Other changes to fair value (1) (455,128) (454,294) Balance at end of period $ 3,229,937 $ 4,268,673 Loans associated with MSRs (2) $ 477,514,431 $ 472,886,810 MSR values as percent of loans (3) 0.68 % 0.90 % (1) Amounts represent changes due to realization of expected cash flows (2) Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2016 and December 31, 2015, respectively (3) Amounts represent the carrying value of MSRs at June 30, 2016 and December 31, 2015, respectively divided by the outstanding balance of the loans associated with these MSRs Three Months Ended Three Months Ended June 30, 2016 June 30, 2015 Servicing income, net $ 243,875 $ 56,538 Income from MSRs, net $ 243,875 $ 56,538 Six Months Ended Six Months Ended June 30, 2016 June 30, 2015 Servicing income, net $ 467,553 $ 56,538 Income from MSRs, net $ 467,553 $ 56,538 |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Financial Instruments Disclosure [Text Block] | NOTE 13 FINANCIAL INSTRUMENTS GAAP defines fair value and provides a consistent framework for measuring fair value under 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 • Level 2 Inputs • Level 3 Inputs 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, 2016 Assets: Residential mortgage-backed securities (a) $ - $ 754,352,044 $ - $ 754,352,044 Residential mortgage loans - 12,909,597 - 12,909,597 Multi-Family mortgage loans held in securitization trusts - 1,305,586,768 - 1,305,586,768 Residential mortgage loans held in securitization trusts - 174,269,940 - 174,269,940 Mortgage servicing rights - - 3,229,937 3,229,937 FHLB stock 11,300 - - 11,300 Total $ 11,300 $ 2,247,118,349 $ 3,229,937 $ 2,250,359,586 Liabilities: Multi-family securitized debt obligations $ - $ (1,288,578,921) $ - $ (1,288,578,921) Residential securitized debt obligations - (159,799,323) - (159,799,323) Futures (7,954,588) - - (7,954,588) Total $ (7,954,588) $ (1,448,378,244) $ - $ (1,456,332,832) 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, 2015 Assets: Residential mortgage-backed securities (a) $ - $ 571,466,581 $ - $ 571,466,581 Residential mortgage loans - 10,900,402 - 10,900,402 Multi-Family mortgage loans held in securitization trusts - 1,449,774,383 - 1,449,774,383 Residential mortgage loans held in securitization trusts - 411,881,097 - 411,881,097 Mortgage servicing rights - 4,268,673 4,268,673 FHLB Stock 2,403,000 - 2,403,000 Futures 2,558,350 - 2,558,350 Total $ 4,961,350 $ 2,444,022,463 $ 4,268,673 $ 2,453,252,486 Liabilities: Interest rate swaps $ - $ $ - $ - Multi-family securitized debt obligations - (1,364,077,012) - (1,364,077,012) Residential securitized debt obligations - (380,638,423) - (380,638,423) Futures - - - - Total $ - $ (1,744,715,435) $ - $ (1,744,715,435) (a) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4. For the six months ended June 30, 2016 and year ended December 31, 2015, 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, 2016 and December 31, 2015, the Company had $ 3,229,937 4,268,673 As of June 30, 2016 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 7.6 - 29.2% 18.2 % Discount rate 12.0 % 12.0 % As of December 31, 2015 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 6.5 - 28.6% 13.3 % Discount rate 12.0 % 12.0 % |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | NOTE 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 May 16, 2014 For the three months ended June 30, 2016, the Company incurred management fees of $ 626,738 698,629 208,000 470,000 For the six months ended June 30, 2016, the Company incurred management fees of $ 1,249,961 1,416,404 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, 2016, the Company incurred reimbursable expenses of $ 1,184,243 1,055,075 478,187 685,000 For the six months ended June 30, 2016, the Company incurred reimbursable expenses of $ 2,389,054 2,106,642 478,188 685,000 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 4,500 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 vested on each of the first, second and third anniversaries of the grant date 9,500 49,875 For the three and six months ended June 30, 2016, the Company recognized compensation expense related to restricted common stock of $ 8,416 25,554 |
STOCKHOLDERS' EQUITY
STOCKHOLDERS' EQUITY | 6 Months Ended |
Jun. 30, 2016 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | NOTE 15 STOCKHOLDERS’ EQUITY 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 Ltd, 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 the Company’s IPO) to purchase an aggregate of 3,125,000 Common Stock The Company has 450,000,000 0.01 14,597,894 14,656,394 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 Stock Repurchase Program On December 15, 2015, the Company’s board of directors authorized a stock repurchase program (or the “Repurchase Program”), to repurchase up to $ 10 126,856 5.06 9.4 No share repurchases were made during the three months ended June 30, 2016. Preferred Stock The Company has 50,000,000 0.01 1,610,000 8.75 0.01 25.00 8.75 25 th th On December 23, 2013, the Company closed an offering of 800,000 18,060,897 The Company granted the underwriters the right to purchase up to an additional 120,000 25.00 120,000 25.00 2,778,201 On May 27, 2014, the Company closed an offering of 690,000 16,325,373 Distributions to stockholders For the 2016 taxable year to date, the Company has declared dividends to common stockholders totaling $ 5,257,642 0.36 Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2015 January 15, 2016 January 28, 2016 $ 878,274 $ 0.60000 December 16, 2015 February 16, 2016 February 26, 2016 $ 875,874 $ 0.60000 December 16, 2015 March 15, 2016 March 28, 2016 $ 875,873 $ 0.60000 March 18, 2016 April 15, 2016 April 27, 2016 $ 875,874 $ 0.60000 March 18, 2016 May 16, 2016 May 27, 2016 $ 875,873 $ 0.60000 March 18, 2016 June 15, 2016 June 27, 2016 $ 875,874 $ 0.60000 Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2015 January 15, 2016 January 28, 2016 $ 293,503 $ 0.18230 December 16, 2015 February 16, 2016 February 26, 2016 $ 293,503 $ 0.18230 December 16, 2015 March 16, 2016 March 28, 2016 $ 293,503 $ 0.18230 March 18, 2016 April 15, 2016 April 27, 2016 $ 293,503 $ 0.18230 March 18, 2016 May 16, 2016 May 27, 2016 $ 293,503 $ 0.18230 March 18, 2016 June 15, 2016 June 27, 2016 $ 293,503 $ 0.18230 |
EARNINGS PER SHARE
EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 Three Months Ended June 30, 2015 Net income (loss) $ (4,076,277) $ 3,801,048 Less dividends paid: Common stock $ 2,627,621 $ 5,520,281 Unvested share-based 870,726 payment awards - 870,726 3,498,347 6,391,007 Undistributed earnings $ (7,574,624) $ (2,589,959) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.18 $ 0.18 $ 0.38 $ 0.38 Undistributed earnings (deficit) (0.52) (0.52) (0.18) (0.18) Total $ (0.34) $ (0.34) $ 0.20 $ 0.20 Six Months Ended June 30, 2016 Six Months Ended June 30, 2015 Net income (loss) $ (21,023,891) $ (1,329,278) Less dividends paid: Common stock $ 5,257,642 $ 11,039,813 Unvested share-based 1,751,235 payment awards - 1,751,235 7,008,877 12,791,048 Undistributed earnings $ (28,032,768) $ (14,120,326) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.36 $ 0.36 $ 0.75 $ 0.75 Undistributed earnings (deficit) (1.92) (1.92) (0.96) (0.96) Total $ (1.56) $ (1.56) $ (0.21) $ (0.21) No adjustment was required for the calculation of diluted earnings per share for the warrants described in Note 15 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, 2016 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure [Text Block] | NOTE 17 SEGMENT REPORTING The Company invests in a portfolio comprised of MBS, residential mortgage loans, and other mortgage-related investments, and operates as a single reporting segment. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2016 | |
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 is therefore 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. As of June 30, 2016 As of December 31, 2015 (in thousands) (in thousands) GAAP consolidated net income (loss) attributable to Five Oaks Investment Corp (21,024) 450 GAAP net loss (income) from REIT operations 19,457 (1,826) GAAP net income (loss) of taxable subsidiary (1,567) (1,376) Capitalized transaction fees (41) (41) Unrealized gain (loss) 1,909 2,041 Tax income of taxable subsidiary before utilization of net operating losses 301 624 Utilizations of net operating losses (301) (624) Net tax income of taxable subsidiaries - - As of June 30, 2016 As of December 31, 2015 Accumulated net operating losses of TRS 862 1,058 Unrealized gain (loss) 106 (618) Capitalized transaction costs 195 210 AMT Credit 9 9 Deferred tax asset 1,172 659 Valuation allowance (1,172) (659) Net non-current deferred tax asset (liability) - - The Company has provided a valuation allowance against its deferred tax asset that results in no deferred tax asset at June 30, 2016, and December 31, 2015. The Company recorded a 100 0.5 2.3 As of June 30, 2016, the Company is not aware of any uncertain tax positions, but the Company could be subject to federal and state taxes for its open tax years of 2013, 2014 and 2015. The Company has potential nexus in several states in which it did not file a 2015 tax return. The exposure would be immaterial due to the Company being in a Net Operating Loss (NOL) position. The losses incurred in 2015 would be sufficient to offset any taxable income in 2016. For state tax purposes the Company is in the process of determining filing requirements, but anticipates materially all prior losses to be recognized. |
SUMMARY OF SIGNIFICANT ACCOUN26
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | Basis of Presentation The consolidated balance sheet as of December 31, 2015 has been derived from audited financial statements. The condensed consolidated balance sheet as of June 30, 2016, the condensed consolidated statements of operations and the condensed consolidated statements of comprehensive income (loss), for the three and six months ended June 30, 2016 and for the three and six months ended June 30, 2015, the condensed consolidated statement of stockholders’ equity for the six months ended June 30, 2016 and the condensed consolidated statements of cash flows for the six months ended June 30, 2016, and the six months ended June 30, 2015, are unaudited. The unaudited condensed consolidated financial statements and related notes have been prepared in accordance with 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 GAAP have been condensed or omitted. In the opinion of management, all adjustments are 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, 2015, which was filed with the Securities and Exchange Commission (“SEC”) on March 23, 2016. |
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 on consolidation. |
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | VIEs An entity is referred to as a 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 impacts the entity's economic performance, (b) the obligation to absorb the expected losses of the legal entity and (c) the right to receive the expected residual returns of the legal entity; and (3) 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, 2016, the Company determined that it continues to be the primary beneficiary of two Multi-Family MBS transactions (FREMF 2011-K13 and FREMF 2012-KF01), and one residential mortgage loan transaction (CSMC 2014-OAK1), 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 2011-K13 and the FREMF 2012-KF01 trusts, the Company determined that it is the primary beneficiary of certain intermediate trusts that have the power to direct the activities and the obligations to absorb losses of the underlying trusts. 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, 2016 and December 31, 2015, 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 $ 43,935,733 92,107,727 90,601,376 104,025,797 GAAP also requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings. During the year ended December 31, 2015, the Company transferred residential mortgage loans with an aggregate unpaid principal balance of $ 518,455,163 15,839,304 30,383,343 |
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 GAAP. The preparation of financial statements in conformity with 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 and other short term deposit accounts with banks having original maturities of 90 days or less. 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 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 are recorded as an asset in the accompanying condensed 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 condensed consolidated balance sheets. |
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, if any, are expected to be recovered at the time of a forthcoming securitization, payments made by the Company in respect of such costs if any are recorded as an asset in the Company’s condensed consolidated balance sheets in the line item “Deferred securitization costs”, for subsequent deduction from the securitization proceeds upon the closing of that securitization. |
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 AFS securities portfolio, with the exception of Non-Agency RMBS IOs (as further described below), 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 is recorded in 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 and ASC 310-30 (generally Non-Agency RMBS and Multi-Family MBS). In estimating these cash flows, there are a number of assumptions that are 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 applies 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 investment’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 (“credit impairment”). 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 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 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 investment’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 a securitization entity that the Company sponsors and expects them 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 consolidated 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, as of June 30, 2016. 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 three 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. As the result of the Company’s determination that it is not the primary beneficiary of Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, it does not consolidate these trusts. 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 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 |
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 the Company’s 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 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 which 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. |
Non-Agency Residential Mortgage Loan Securitizations Fair Value [Policy Text Block] | Non-Agency RMBS IOs, at Fair Value Non-Agency RMBS IOs that the Company owns are associated with residential mortgage loan securitizations that the Company sponsors, and 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. Interest income on IOs is recognized at the contractually agreed rate, and changes in fair value are recognized in the Company’s condensed consolidated statement of operations. |
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 that were 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 The Company finances the acquisition of certain of its residential mortgage loans through the use of short-term, uncommitted residential loan warehouse facilities, which are currently structured as repurchase agreements. The Company accounts for outstandings under these facilities as collateralized financing transactions which are carried at its contractual amount, and approximate fair value due to their short-term nature. |
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 FHLBI, FOI borrowed funds from 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 was required to purchase FHLBI stock, which is recorded on the Company’s condensed consolidated balance sheet as an asset. See Note 10 for a further discussion of the Company’s FHLB advances and Note 3 for a description of the Company’s FHLB stock balance. |
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 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. |
Common Stock [Policy Text Block] | Common Stock At June 30, 2016, and December 31, 2015, the Company was authorized to issue up to 450,000,000 0.01 14,597,894 14,656,394 |
Treasury Stock Policy [Policy Text Block] | Stock Repurchase Program On December 15, 2015, the Company’s Board of Directors authorized a stock repurchase program (“Repurchase Program”), to repurchase up to $ 10 126,856 |
Preferred Stock [Policy Text Block] | Preferred Stock At June 30, 2016, and December 31, 2015, the Company was authorized to issue up to 50,000,000 0.01 1,610,000 |
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 stockholders 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 assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. 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 are taxed as a standalone U.S. C-Corporation. Accordingly, deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that includes the enactment date. 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) Attributable to Common Stockholders Comprehensive income (loss) is comprised of net income, as presented in the condensed consolidated statement of comprehensive income (loss), adjusted for changes in unrealized gain or loss on AFS securities (excluding Non-Agency RMBS IOs), reclassification adjustments for net gain (loss) and other-than-temporary impairments included in net income, reclassification adjustment for Linked Transactions, and dividends paid to preferred stockholders. |
New Accounting Pronouncements, Policy [Policy Text Block] | Revenue from Contracts with Customers In May 2014, the Financial Accounting Standard Board, or FASB, issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under 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. As a result of the issuance of ASU No. 2015-14 in August 2015, deferring the effective date of ASU No. 2014-09 by one year, the ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption prohibited. The Company is currently assessing the impact of this guidance. 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 or stockholders’ equity. 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 or results of operations, 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 adoption of this guidance did not have a material impact on the Company’s financial condition or results of operations. In April 2015, the FASB issued ASU No. 2015-03, which simplifies the presentation of debt issuance costs by requiring debt issuance costs to be presented as a deduction from the corresponding debt liability. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2015, with early adoption permitted. Early adoption of this ASU did not have a material impact on the Company's financial condition or results of operations. In November 2015, the FASB issued ASU 2015-17, which requires deferred tax liabilities and assets to be classified as non-current in a classified statement of financial condition. The Company has early adopted ASU 2015-17 as of December 31, 2015, on a retrospective basis, based on the ASU’s intention to simplify the financial presentation of deferred taxes. The adoption of this guidance did not have a material impact on the Company’s financial condition or results of operations. In January 2016, the FASB issued ASU No. 2016-01, which changes how entities measure certain equity investments and present changes in the fair value of financial liabilities measured under the fair value option that are attributable to their own credit. 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, 2017, with early adoption permitted. The Company has determined this ASU will not have a material impact on the Company's financial condition or results of operation. Stock Compensation In March 2016, the FASB issued ASU 2016-09, effective January 1, 2017, which simplifies several aspects of the accounting for employee share-based payment transactions for both public and nonpublic entities. The areas for simplifications in the update involve several aspects of the accounting for share-based payment transactions, including income tax consequences, classifications of awards as either equity or liabilities, and classification on the statement of cash flows. The Company has determined this ASU will not have a material impact on the Company's financial condition or results of operation. Credit Losses In June 2016, the FASB issued ASU 2016-13 which is a comprehensive amendment of credit losses on financial instruments. Currently GAAP requires an “incurred loss” methodology for recognizing credit losses that delays recognition until it is probable a loss has been incurred. The standard’s core principle is that an entity replaces the “incurred loss” impairment methodology in current GAAP with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. For public business entities that are U.S. Securities and Exchange commission (“SEC”) filers, the amendment in this update are effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. The Company is currently assessing the impact of this guidance. |
AVAILABLE-FOR-SALE SECURITIES (
AVAILABLE-FOR-SALE SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015: June 30, 2016 December 31, 2015 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 254,003,619 $ 148,760,159 Federal National Mortgage Association 365,811,316 182,867,134 Government National Mortgage Association - 43,705,764 Non-Agency 43,935,733 92,107,727 Multi-Family 90,601,376 104,025,797 Total mortgage-backed securities $ 754,352,044 $ 571,466,581 |
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, 2016 and December 31, 2015: June 30, 2016 Agency Non-Agency (1) Multi-Family Total Face Value $ 597,958,187 $ 56,626,389 $ 120,145,351 $ 774,729,927 Unamortized premium 13,482,100 - 13,482,100 Unamortized discount Designated credit reserve and OTTI (2) - (3,746,646) - (3,746,646) Net, unamortized (1,706,174) (12,449,632) (28,704,545) (42,860,351) Amortized Cost 609,734,113 40,430,111 91,440,806 741,605,030 Gross unrealized gain 10,114,710 1,061,667 1,853,560 13,029,937 Gross unrealized (loss) (33,888) (4,892,810) (2,692,990) (7,619,688) Fair Value $ 619,814,935 $ 36,598,968 90,601,376 $ 747,015,279 December 31, 2015 Agency Non-Agency (1) Multi - Family Total Face Value $ 370,394,525 $ 116,954,842 $ 138,829,925 $ 626,179,292 Unamortized premium 5,745,862 80,257 - 5,826,119 Unamortized discount Designated credit reserve and OTTI (2) - (8,891,565) (8,891,565) Net, unamortized (1,929,145) (22,101,062) (33,250,068) (57,280,275) Amortized Cost 374,211,242 86,042,472 105,579,857 565,833,571 Gross unrealized gain 3,234,673 1,099,957 913,556 5,248,186 Gross unrealized (loss) (2,112,858) (1,808,973) (2,467,616) (6,389,447) Fair Value $ 375,333,057 $ 85,333,456 $ 104,025,797 $ 564,692,310 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $ 629,653,883 14,721,375 7,375,610 7,336,765 428,230,275 7,815,919 1,041,649 6,774,271 (2) Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $ 2,833,936 8,146,073 912,710 745,493 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following tables present the composition of OTTI charges recorded by the Company for the three and six months ended June 30, 2016 and 2015: Three Months Ended June 30, 2016 2015 Cumulative credit loss at beginning of period $ (3,657,426) $ (4,868,428) Additions: Initial (increase) in credit reserves - - Subsequent increase in credit reserves (146,224) - Initial additional other-than-temporary credit impairment losses - - Subsequent additional other-than-temporary credit impairment losses - - Reductions: For securities sold decrease in credit reserves - 567,205 For securities sold decrease in other-than-temporary impairment - - Cumulative credit (loss) at end of period $ (3,803,650) $ (4,301,223) Six Months Ended June 30, 2016 2015 Cumulative credit loss at beginning of period $ (3,636,432) $ - Additions: Initial increase in credit reserves - (1,410,284) Subsequent increase in credit reserves (167,218) - Initial additional other-than-temporary credit impairment losses - (2,890,939) Subsequent additional other-than-temporary credit impairment losses - - Reductions: For securities sold decrease in credit reserves - - For securities sold decrease in other-than-temporary impairment - - Cumulative credit (loss) at end of period $ (3,803,650) $ (4,301,223) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | At December 31, 2015, the Company held 67 35 Less than 12 months Greater than 12 months Total Estimated Fair Gross Unrealized Estimated Fair Gross Unrealized Estimated Fair Gross Unrealized June 30, 2016 $ 35,555,269 $ (4,714,749) $ 41,510,925 $ (2,904,939) $ 77,066,194 $ (7,619,688) December 31, 2015 $ 348,120,251 $ (5,983,726) $ 6,939,257 $ (405,720) $ 355,059,508 $ (6,389,446) |
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 for the three and six months ended June 30, 2016 and June 30, 2015: Three Months Ended Three Months Ended June 30, 2016 June 30, 2015 AFS securities sold, at cost $ 102,654,599 $ 106,968,002 Proceeds from AFS securities sold 106,681,346 107,609,266 Net realized gain (loss) on sale of AFS securities $ 4,026,747 $ 641,264 Six Months Ended Six Months Ended June 30, 2016 June 30, 2015 AFS securities sold, at cost $ 191,586,798 $ 106,968,002 Proceeds from AFS securities sold 189,273,268 107,609,266 Net realized gain (loss) on sale of AFS securities $ (2,313,530) $ 641,264 |
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, 2016 and December 31, 2015: June 30, 2016 Agency Non-Agency Multi-Family Total Adjustable rate $ 605,086,426 $ 43,935,733 - $ 649,022,159 Fixed rate 14,728,509 - 90,601,376 105,329,885 Total $ 619,814,935 $ 43,935,733 90,601,376 $ 754,352,044 December 31, 2015 Agency Non-Agency Multi- Family Total Adjustable rate $ 360,057,377 $ 92,107,727 $ 452,165,104 Fixed rate 15,275,680 - 104,025,797 119,301,477 Total $ 375,333,057 $ 92,107,727 $ 104,025,797 571,466,581 |
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, 2016 and December 31, 2015: June 30, 2016 December 31, 2015 Less than one year $ - $ - Greater than one year and less than five years 623,689,645 211,800,340 Greater than or equal to five years 130,662,399 359,666,241 Total $ 754,352,044 $ 571,466,581 |
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, 2016 and the year ended December 31, 2015 of the unamortized net discount and designated credit reserves on the Company’s MBS. June 30, 2016 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2016 $ (8,891,565) $ (57,280,275) $ (66,171,840) Acquisitions - - - Dispositions 2,904,601 10,598,841 13,503,442 Accretion of net discount - 3,497,298 3,497,298 Realized gain on paydowns - 156,568 156,568 Realized credit losses 2,407,536 - 2,407,536 Addition to credit reserves (167,218) 167,218 - Release of credit reserves - - - Ending balance at June 30, 2016 $ (3,746,646) $ (42,860,350) $ (46,606,996) December 31, 2015 Designated Unamortized credit reserve net discount Total Beginning Balance as of January 1, 2015 $ (12,697,796) $ (17,454,022) $ (30,151,818) Cumulative - effect adjustment for Linked Transactions (36,627,321) (47,091,958) (83,719,279) Adjusted beginning Balance as of January 1, 2015 (49,325,117) (64,545,980) (113,871,097) Acquisitions - (24,446,013) (24,446,013) Dispositions - 20,963,895 20,963,895 Accretion of net discount 30,201,676 13,061,839 43,263,515 Realized gain (loss) on paydowns - 226,553 226,553 Realized credit losses 10,582,246 (2,890,939) 7,691,307 Addition to credit reserves (2,669,938) 2,669,938 - Release of credit reserves 2,319,568 (2,319,568) - Ending balance at December 31, 2015 $ (8,891,565) $ (57,280,275) $ (66,171,840) |
Investment Income [Table Text Block] | The following tables present components of interest income on the Company’s AFS securities for the three and six months ended June 30, 2016 and June 30, 2015: Three Months Ended June 30, 2016 Three Months Ended June 30, 2015 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest Discount accretion income interest discount accretion income Agency $ 2,598,975 $ 81,068 $ 2,680,043 $ 1,891,811 $ 151,912 $ 2,043,723 Non-Agency 796,520 379,140 1,175,660 578,691 2,281,616 2,860,307 Multi-Family 257,440 1,218,651 1,476,091 455,636 1,393,914 1,849,550 Total $ 3,652,935 $ 1,678,859 $ 5,331,794 $ 2,926,138 $ 3,827,442 $ 6,753,580 Six Months Ended June 30, 2016 Six Months Ended June 30, 2015 Net (premium Net (premium Coupon amortization)/ Interest Coupon amortization)/ Interest interest Discount accretion income interest discount accretion income Agency $ 4,622,177 $ 104,252 $ 4,726,429 $ 3,883,365 $ 300,167 $ 4,183,532 Non-Agency 1,558,601 875,978 2,434,579 882,201 5,140,295 6,022,496 Multi-Family 515,309 2,554,515 3,069,824 911,901 2,441,610 3,353,511 Total $ 6,696,087 $ 3,534,745 $ 10,230,832 $ 5,677,467 $ 7,882,072 $ 13,559,539 |
MORTGAGE LOANS HELD-FOR-SALE,28
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans Held For Sale At Fair Value [Line Items] | |
Schedule of Mortgage loans held-for-sale [Table Text Block] | Mortgage loans held-for-sale consists of residential mortgage loans carried at fair value as a result of the fair value option. The following table presents the carrying value of the Company’s mortgage loans held-for-sale as of June 30, 2016 and December 31, 2015: June 30, 2016 December 31, 2015 Unpaid principal balance $ 12,641,118 $ 10,767,856 Fair value adjustment 268,479 132,546 Carrying value $ 12,909,597 $ 10,900,402 |
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, 2016 are as follows: June 30, 2016 Texas 39.3 % California 13.8 % Florida 13.4 % Arizona 9.7 % Minnesota 5.9 % Georgia 5.0 % |
THE FREMF TRUSTS (Tables)
THE FREMF TRUSTS (Tables) - FREMF trusts [Member] | 6 Months Ended |
Jun. 30, 2016 | |
Balance Sheet | |
Condensed Balance Sheet [Table Text Block] | The condensed consolidated balance sheets of the FREMF trusts at June 30, 2016 and December 31, 2015 are set out below: Balance Sheets June 30, 2016 December 31, 2015 Assets Multi-family mortgage loans held in securitization trusts $ 1,305,586,768 $ 1,449,774,383 Receivables 4,760,626 5,380,956 Total assets $ 1,310,347,394 $ 1,455,155,339 Liabilities and Equity Multi-family securitized debt obligations $ 1,288,578,921 $ 1,364,077,012 Payables 4,742,053 5,047,777 $ 1,293,320,974 $ 1,369,124,789 Equity 17,026,420 86,030,550 Total liabilities and equity $ 1,310,347,394 $ 1,455,155,339 |
Condensed Income Statement [Table Text Block] | Statements of Operations Three Months Ended Three Months Ended Interest income $ 14,692,902 $ 17,249,728 Interest expense 13,814,743 15,778,321 Net interest income $ 878,159 $ 1,471,407 General and administrative fees (679,217) (838,544) Unrealized gain (loss) on multi-family loans held in securitization trusts (8,071,468) 1,803,473 Net Income (loss) $ (7,872,526) $ 2,436,336 Statements of Operations Six Months Ended Six Months Ended Interest income $ 30,130,706 $ 34,885,204 Interest expense 27,927,452 31,913,781 Net interest income $ 2,203,254 $ 2,971,423 General and administrative fees (1,382,700) (1,706,891) Unrealized gain (loss) on multi-family loans held in securitization trusts (6,535,151) 3,840,584 Net Income (loss) $ (5,714,597) $ 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, 2016 are as follows June 30, 2016 Texas 20.1 % New York 15.0 % Washington 8.0 % Colorado 7.2 % California 5.5 % Georgia 5.3 % |
RESIDENTIAL MORTGAGE LOAN SEC30
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Tables) - Residential Mortgage [Member] | 6 Months Ended |
Jun. 30, 2016 | |
Variable Interest Entity [Line Items] | |
Condensed Balance Sheet [Table Text Block] | The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at June 30, 2016 and December 31, 2015 are set out below: Balance Sheets June 30, 2016 December 31, 2015 Assets Residential mortgage loans held in securitization trusts $ 174,269,940 $ 411,881,097 Receivables 566,771 1,446,120 Total assets $ 174,836,711 $ 413,327,217 Liabilities and Equity Residential securitized debt obligations $ 159,799,323 $ 380,638,423 Payables 414,451 1,153,053 $ 160,213,774 $ 381,791,476 Equity 14,622,937 31,535,741 Total liabilities and equity $ 174,836,711 $ 413,327,217 |
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, 2016 and June 30, 2015 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 3,408,847 $ 5,039,380 Interest expense 2,589,846 3,102,240 Net interest income $ 819,001 $ 1,937,140 General and administrative fees (108,353) (107,325) Unrealized gain (loss) on multi-family loans held in securitization trusts 3,399,187 (2,975,804) Net Income (loss) $ 4,109,835 $ (1,145,989) Statements of Operations Six Months Ended Six Months Ended Interest income $ 7,561,253 $ 10,931,159 Interest expense 5,768,288 6,757,709 Net interest income $ 1,792,965 $ 4,173,450 General and administrative fees (240,771) (348,520) Unrealized gain (loss) on multi-family loans held in securitization trusts 845,110 (6,332,205) Net Income (loss) $ 2,397,304 $ (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, 2016 are as follows: June 30, 2016 California 40.2 % Washington 13.8 % Massachusetts 9.5 % Florida 5.2 % |
RESTRICTED CASH (Tables)
RESTRICTED CASH (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015: June 30, 2016 December 31, 2015 Restricted cash balance held by: Broker counterparties for derivatives trading $ 9,926,000 $ 528,564 Repurchase counterparties as restricted collateral 4,528,208 7,646,074 Total $ 14,454,208 $ 8,174,638 |
BORROWINGS (Tables)
BORROWINGS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015: June 30, 2016 December 31, 2015 Weighted Weighted Amount average Market value Amount average Market value outstanding Interest rate of collateral held outstanding Interest rate of collateral held Agency $ 586,566,000 0.68 % 619,814,935 $ 358,239,000 0.66 % 374,952,510 Non-Agency 52,680,000 2.33 % 90,601,375 114,512,000 2.24 % 121,475,112 Multi-Family 37,951,000 2.15 % 57,396,595 86,177,000 1.83 % 190,056,347 Mortgage loans 10,406,770 2.80 % 11,787,050 9,504,457 2.87 % 10,900,403 Total $ 687,603,770 0.92 % 779,599,955 $ 568,432,457 1.19 % 697,384,372 |
Schedule Of Remaining Maturities Under Repurchase Agreement [Table Text Block] | At June 30, 2016 and December 31, 2015, the repurchase agreements had the following remaining maturities: June 30, 2016 December 31, 2015 < 30 days $ 634,667,770 $ 449,063,000 31 to 60 days 4,153,000 76,044,000 61 to 90 days 48,783,000 37,873,540 > 90 days - 5,451,917 Total $ 687,603,770 $ 568,432,457 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block] | The following tables summarize certain characteristics of the Company’s repurchase agreements at June 30, 2016 and December 31, 2015: June 30, 2016 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding Amount outstanding days to maturity of collateral held Wells Fargo Securities 31,403,000 4.57 % 7 55,592,968 Other North America 534,868,000 77.79 % 16 574,626,482 Asia (1) 83,124,000 12.09 % 16 94,326,169 Europe (1) 38,208,770 5.56 % 17 55,054,336 Total $ 687,603,770 100.00 % 16 $ 779,599,955 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2015 Amount Percent of total Weighted average Market Value Repurchase Agreement Counterparties Outstanding (1) Amount outstanding days to maturity of collateral held Merrill Lynch $ 99,770,000 17.55 % 30 $ 154,005,234 Wells Fargo Securities 32,192,000 5.66 % 10 53,711,547 Other North America 291,806,000 51.34 % 25 315,040,818 Asia (1) 88,565,000 15.58 % 16 97,970,226 Europe (1) 56,099,457 9.87 % 46 76,656,547 Total $ 568,432,457 100.00 % 26 $ 697,384,372 (1) 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, 2016 | |
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, 2016 and December 31, 2015. June 30, 2016 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Futures - - (7,954,588) 4,792,000,000 Total $ - - $ (7,954,588) 4,792,000,000 December 31, 2015 Derivative Assets Derivative Liabilities Fair value Notional Fair value Notional Futures 2,558,350 5,945,000,000 - - Total $ 2,558,350 5,945,000,000 $ - - |
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, 2016 and December 31, 2015: December 31, 2015 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 Futures $ 2,558,350 $ - $ 2,558,350 $ - $ - $ 2,558,350 Total $ 2,558,350 $ - $ 2,558,350 $ - $ - $ 2,558,350 June 30, 2016 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 $ (687,603,770) $ - $ (687,603,770) $ - $ - $ (687,603,770) Futures (7,954,588) - (7,954,588) - 7,954,588 - Total $ (695,558,358) $ - $ (695,558,358) $ - $ 7,954,588 $ (687,603,770) December 31, 2015 Gross amounts not offset in the Balance Sheet (1) Net amounts 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 $ (518,735,457) $ - $ (518,735,457) $ - $ - $ (518,735,457) FHLB Advances (49,697,000) - (49,697,000) - - (49,697,000) Total $ (568,432,457) $ - $ (568,432,457) $ - $ - $ (568,432,457) (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. |
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 and six months ended June 30, 2016 and June 30, 2015: Three months ended June 30, 2016 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Futures (761,362) (2,050,538) (2,811,900) Total $ (761,362) $ (2,050,538) $ (2,811,900) 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 (1) $ (900,671) $ 776,847 $ (123,824) Futures (316,721) 125,185 (191,536) Total $ (1,217,392) $ 902,032 $ (315,360) (1) In the three month period ended June 30, 2015 net swap interest expense totaled $ 719,443 900,215 180,772 Six Months Ended June 30, 2016 Amount of realized Amount of unrealized Primary underlying risk gain (loss) appreciation (depreciation) Total Interest rate: Futures (2,346,903) (10,512,938) (12,859,841) Total $ (2,346,903) $ (10,512,938) $ (12,859,841) 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) $ (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) (1) In the six month period ended June 30, 2015, net swap interest expense totaled $ 1,433,547 1,421,156 12,391 |
MSRs (Tables)
MSRs (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Servicing Rights MSR Disclosure [Abstract] | |
Schedule Of Mortgage Service Rights Activity [Table Text Block] | The following table presents the Company’s MSR activity as of June 30, 2016 and the year ended December 31, 2015: June 30, 2016 December 31, 2015 Balance at beginning of period $ 4,268,673 $ - MSRs retained from sales to securitizations 355,196 4,940,630 Changes in fair value due to: Changes in valuation inputs or assumptions used in valuation model (938,804) (217,663) Other changes to fair value (1) (455,128) (454,294) Balance at end of period $ 3,229,937 $ 4,268,673 Loans associated with MSRs (2) $ 477,514,431 $ 472,886,810 MSR values as percent of loans (3) 0.68 % 0.90 % (1) Amounts represent changes due to realization of expected cash flows (2) Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2016 and December 31, 2015, respectively (3) Amounts represent the carrying value of MSRs at June 30, 2016 and December 31, 2015, respectively 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 statements of operations for the three and six months ended June 30, 2016, and June 30, 2015: Three Months Ended Three Months Ended June 30, 2016 June 30, 2015 Servicing income, net $ 243,875 $ 56,538 Income from MSRs, net $ 243,875 $ 56,538 Six Months Ended Six Months Ended June 30, 2016 June 30, 2015 Servicing income, net $ 467,553 $ 56,538 Income from MSRs, net $ 467,553 $ 56,538 |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015: 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, 2016 Assets: Residential mortgage-backed securities (a) $ - $ 754,352,044 $ - $ 754,352,044 Residential mortgage loans - 12,909,597 - 12,909,597 Multi-Family mortgage loans held in securitization trusts - 1,305,586,768 - 1,305,586,768 Residential mortgage loans held in securitization trusts - 174,269,940 - 174,269,940 Mortgage servicing rights - - 3,229,937 3,229,937 FHLB stock 11,300 - - 11,300 Total $ 11,300 $ 2,247,118,349 $ 3,229,937 $ 2,250,359,586 Liabilities: Multi-family securitized debt obligations $ - $ (1,288,578,921) $ - $ (1,288,578,921) Residential securitized debt obligations - (159,799,323) - (159,799,323) Futures (7,954,588) - - (7,954,588) Total $ (7,954,588) $ (1,448,378,244) $ - $ (1,456,332,832) 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, 2015 Assets: Residential mortgage-backed securities (a) $ - $ 571,466,581 $ - $ 571,466,581 Residential mortgage loans - 10,900,402 - 10,900,402 Multi-Family mortgage loans held in securitization trusts - 1,449,774,383 - 1,449,774,383 Residential mortgage loans held in securitization trusts - 411,881,097 - 411,881,097 Mortgage servicing rights - 4,268,673 4,268,673 FHLB Stock 2,403,000 - 2,403,000 Futures 2,558,350 - 2,558,350 Total $ 4,961,350 $ 2,444,022,463 $ 4,268,673 $ 2,453,252,486 Liabilities: Interest rate swaps $ - $ $ - $ - Multi-family securitized debt obligations - (1,364,077,012) - (1,364,077,012) Residential securitized debt obligations - (380,638,423) - (380,638,423) Futures - - - - Total $ - $ (1,744,715,435) $ - $ (1,744,715,435) (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, 2016 and December 31, 2015: As of June 30, 2016 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 7.6 - 29.2% 18.2 % Discount rate 12.0 % 12.0 % As of December 31, 2015 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 6.5 - 28.6% 13.3 % Discount rate 12.0 % 12.0 % |
STOCKHOLDERS' EQUITY (Tables)
STOCKHOLDERS' EQUITY (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Common Stock [Member] | |
Stockholders' Equity Note [Line Items] | |
Schedule of Dividends Payable [Table Text Block] | The following table presents cash dividends declared by the Company on its common stock for the six months ended June 30, 2016: Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2015 January 15, 2016 January 28, 2016 $ 878,274 $ 0.60000 December 16, 2015 February 16, 2016 February 26, 2016 $ 875,874 $ 0.60000 December 16, 2015 March 15, 2016 March 28, 2016 $ 875,873 $ 0.60000 March 18, 2016 April 15, 2016 April 27, 2016 $ 875,874 $ 0.60000 March 18, 2016 May 16, 2016 May 27, 2016 $ 875,873 $ 0.60000 March 18, 2016 June 15, 2016 June 27, 2016 $ 875,874 $ 0.60000 |
Series A Preferred Stock [Member] | |
Stockholders' Equity Note [Line Items] | |
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, 2016: Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 16, 2015 January 15, 2016 January 28, 2016 $ 293,503 $ 0.18230 December 16, 2015 February 16, 2016 February 26, 2016 $ 293,503 $ 0.18230 December 16, 2015 March 16, 2016 March 28, 2016 $ 293,503 $ 0.18230 March 18, 2016 April 15, 2016 April 27, 2016 $ 293,503 $ 0.18230 March 18, 2016 May 16, 2016 May 27, 2016 $ 293,503 $ 0.18230 March 18, 2016 June 15, 2016 June 27, 2016 $ 293,503 $ 0.18230 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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 and six months ended June 30, 2016 and June 30, 2015: Three Months Ended June 30, 2016 Three Months Ended June 30, 2015 Net income (loss) $ (4,076,277) $ 3,801,048 Less dividends paid: Common stock $ 2,627,621 $ 5,520,281 Unvested share-based 870,726 payment awards - 870,726 3,498,347 6,391,007 Undistributed earnings $ (7,574,624) $ (2,589,959) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.18 $ 0.18 $ 0.38 $ 0.38 Undistributed earnings (deficit) (0.52) (0.52) (0.18) (0.18) Total $ (0.34) $ (0.34) $ 0.20 $ 0.20 Six Months Ended June 30, 2016 Six Months Ended June 30, 2015 Net income (loss) $ (21,023,891) $ (1,329,278) Less dividends paid: Common stock $ 5,257,642 $ 11,039,813 Unvested share-based 1,751,235 payment awards - 1,751,235 7,008,877 12,791,048 Undistributed earnings $ (28,032,768) $ (14,120,326) Unvested Share-Based Unvested Share-Based Payment Awards Common Stock Payment Awards Common Stock Distributed earnings $ 0.36 $ 0.36 $ 0.75 $ 0.75 Undistributed earnings (deficit) (1.92) (1.92) (0.96) (0.96) Total $ (1.56) $ (1.56) $ (0.21) $ (0.21) |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense (Benefit) [Table Text Block] | The following table reconciles the Company’s TRS GAAP net income (loss) to taxable income (in thousands): As of June 30, 2016 As of December 31, 2015 (in thousands) (in thousands) GAAP consolidated net income (loss) attributable to Five Oaks Investment Corp (21,024) 450 GAAP net loss (income) from REIT operations 19,457 (1,826) GAAP net income (loss) of taxable subsidiary (1,567) (1,376) Capitalized transaction fees (41) (41) Unrealized gain (loss) 1,909 2,041 Tax income of taxable subsidiary before utilization of net operating losses 301 624 Utilizations of net operating losses (301) (624) Net tax income of taxable subsidiaries - - |
Schedule of Deferred Tax Assets and Liabilities [Table Text Block] | The TRS has a deferred tax asset on which the Company has a 100% valuation allowance, comprised of the following (in thousands): As of June 30, 2016 As of December 31, 2015 Accumulated net operating losses of TRS 862 1,058 Unrealized gain (loss) 106 (618) Capitalized transaction costs 195 210 AMT Credit 9 9 Deferred tax asset 1,172 659 Valuation allowance (1,172) (659) Net non-current deferred tax asset (liability) - - |
ORGANIZATION AND BUSINESS OPE39
ORGANIZATION AND BUSINESS OPERATIONS (Details Textual) | 6 Months Ended |
Jun. 30, 2016 | |
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 ($) | 6 Months Ended | |||
Jun. 30, 2016 | Dec. 31, 2015 | Dec. 15, 2015 | ||
Summary Of Significant Accounting Policies [Line Items] | ||||
Available-for-sale Securities | [1] | $ 754,352,044 | $ 571,466,581 | |
Common Stock, Shares Authorized | 450,000,000 | 450,000,000 | ||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||
Common Stock, Shares, Issued | 14,597,894 | 14,656,394 | ||
Common Stock, Shares, Outstanding | 14,597,894 | 14,656,394 | ||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | ||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||
Preferred Stock, Shares Issued | 1,610,000 | 1,610,000 | ||
Preferred Stock, Shares Outstanding | 1,610,000 | 1,610,000 | ||
Stock Repurchase Program, Authorized Amount | $ 10,000,000 | $ 10,000,000 | ||
Stock Repurchase Program [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Treasury Stock, Shares, Acquired | 126,856 | |||
Non Agency RMBS [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Available-for-sale Securities | [2] | $ 43,935,733 | $ 92,107,727 | |
Variable Interest Entity, Reporting Entity Involvement, Maximum Loss Exposure, Amount | 15,839,304 | 30,383,343 | ||
Multi Family MBS [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Available-for-sale Securities | $ 90,601,376 | 104,025,797 | ||
Residential Mortgage [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Debt Instrument, Face Amount | $ 518,455,163 | |||
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively | |||
[2] | Non-Agency AFS does not include interest-only securities with a notional amount of $629,653,883, book value of $14,721,375, unrealized loss of $7,375,610 and a fair value of $7,336,765 at June 30, 2016 and a notional amount of $428,230,275, book value of $7,815,919, unrealized loss of $1,041,649 and a fair value of $6,774,271 as of December 31, 2015. |
FAIR VALUE MEASUREMENTS (Detail
FAIR VALUE MEASUREMENTS (Details Textual) - USD ($) | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Proceeds from Sale of Federal Home Loan Bank Stock | $ 2,391,700 | $ 0 | ||
Federal Home Loan Bank Stock | [1] | $ 11,300 | $ 2,403,000 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
AVAILABLE-FOR-SALE SECURITIES42
AVAILABLE-FOR-SALE SECURITIES (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | [1] | $ 754,352,044 | $ 571,466,581 |
Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | 619,814,935 | 375,333,057 | |
Agency [Member] | Government National Mortgage Association [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | 0 | 43,705,764 | |
Agency [Member] | Federal Home Loan Mortgage Corporation [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | 254,003,619 | 148,760,159 | |
Agency [Member] | Federal National Mortgage Association [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | 365,811,316 | 182,867,134 | |
Non Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | [2] | 43,935,733 | 92,107,727 |
Residential Multi Family [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Mortgage-backed securities | $ 90,601,376 | $ 104,025,797 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively | ||
[2] | Non-Agency AFS does not include interest-only securities with a notional amount of $629,653,883, book value of $14,721,375, unrealized loss of $7,375,610 and a fair value of $7,336,765 at June 30, 2016 and a notional amount of $428,230,275, book value of $7,815,919, unrealized loss of $1,041,649 and a fair value of $6,774,271 as of December 31, 2015. |
AVAILABLE-FOR-SALE SECURITIES43
AVAILABLE-FOR-SALE SECURITIES (Details 1) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | $ 774,729,927 | $ 626,179,292 | ||
Unamortized premium | 13,482,100 | 5,826,119 | ||
Unamortized discount | ||||
Designated credit reserve and OTTI | [1] | (3,746,646) | (8,891,565) | |
Net, unamortized | (42,860,351) | (57,280,275) | ||
Amortized Cost | 741,605,030 | 565,833,571 | ||
Gross unrealized gain | 13,029,937 | 5,248,186 | ||
Gross unrealized (loss) | (7,619,688) | (6,389,447) | ||
Fair Value | [2] | 754,352,044 | 571,466,581 | |
Agency [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | 597,958,187 | 370,394,525 | ||
Unamortized premium | 13,482,100 | 5,745,862 | ||
Unamortized discount | ||||
Designated credit reserve and OTTI | [1] | 0 | 0 | |
Net, unamortized | (1,706,174) | (1,929,145) | ||
Amortized Cost | 609,734,113 | 374,211,242 | ||
Gross unrealized gain | 10,114,710 | 3,234,673 | ||
Gross unrealized (loss) | (33,888) | (2,112,858) | ||
Fair Value | 619,814,935 | 375,333,057 | ||
Non Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | [3] | 56,626,389 | 116,954,842 | |
Unamortized premium | 0 | 80,257 | [3] | |
Unamortized discount | ||||
Designated credit reserve and OTTI | [1],[3] | (3,746,646) | (8,891,565) | |
Net, unamortized | [3] | (12,449,632) | (22,101,062) | |
Amortized Cost | [3] | 40,430,111 | 86,042,472 | |
Gross unrealized gain | [3] | 1,061,667 | 1,099,957 | |
Gross unrealized (loss) | [3] | (4,892,810) | (1,808,973) | |
Fair Value | [3] | 43,935,733 | 92,107,727 | |
Residential Multi Family [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face Value | 120,145,351 | 138,829,925 | ||
Unamortized premium | 0 | 0 | ||
Unamortized discount | ||||
Designated credit reserve and OTTI | [1] | 0 | ||
Net, unamortized | (28,704,545) | (33,250,068) | ||
Amortized Cost | 91,440,806 | 105,579,857 | ||
Gross unrealized gain | 1,853,560 | 913,556 | ||
Gross unrealized (loss) | (2,692,990) | (2,467,616) | ||
Fair Value | $ 90,601,376 | $ 104,025,797 | ||
[1] | Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $2,833,935 and $8,146,073, at June 30, 2016 and December 31, 2015, respectively, and OTTI of $766,487 and $745,493 at June 30, 2016 and December 31, 2015, respectively. | |||
[2] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively | |||
[3] | Non-Agency AFS does not include interest-only securities with a notional amount of $629,653,883, book value of $14,721,375, unrealized loss of $7,375,610 and a fair value of $7,336,765 at June 30, 2016 and a notional amount of $428,230,275, book value of $7,815,919, unrealized loss of $1,041,649 and a fair value of $6,774,271 as of December 31, 2015. |
AVAILABLE-FOR-SALE SECURITIES44
AVAILABLE-FOR-SALE SECURITIES (Details 2) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Cumulative credit loss at beginning of period | $ (3,657,426) | $ (4,868,428) | $ (3,636,432) | $ 0 |
Additions: | ||||
Initial increase in credit reserves | 0 | 0 | 0 | (1,410,284) |
Subsequent increase in credit reserves | (146,224) | 0 | (167,218) | 0 |
Initial additional other-than-temporary credit impairment losses | 0 | 0 | 0 | (2,890,939) |
Subsequent additional other-than-temporary credit impairment losses | 0 | 0 | 0 | 0 |
Reductions: | ||||
For securities sold decrease in credit reserves | 0 | 567,205 | 0 | 0 |
For securities sold decrease in other-than-temporary impairment | 0 | 0 | 0 | 0 |
Cumulative credit (loss) at end of period | $ (3,803,650) | $ (4,301,223) | $ (3,803,650) | $ (4,301,223) |
AVAILABLE-FOR-SALE SECURITIES45
AVAILABLE-FOR-SALE SECURITIES (Details 3) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 months, Estimated Fair Value | $ 35,555,269 | $ 348,120,251 |
Less than 12 months, Gross Unrealized Losses | (4,714,749) | (5,983,726) |
Greater than 12 months, Estimated Fair Value | 41,510,925 | 6,939,257 |
Greater than 12 months, Gross Unrealized Losses | (2,904,939) | (405,720) |
Total, Estimated Fair Value | 77,066,194 | 355,059,508 |
Total, Gross Unrealized Losses | $ (7,619,688) | $ (6,389,446) |
AVAILABLE-FOR-SALE SECURITIES46
AVAILABLE-FOR-SALE SECURITIES (Details 4) - AFS securities [Member] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS securities sold, at cost | $ 102,654,599 | $ 106,968,002 | $ 191,586,798 | $ 106,968,002 |
Proceeds from AFS securities sold | 106,681,346 | 107,609,266 | 189,273,268 | 107,609,266 |
Net realized gain (loss) on sale of AFS securities | $ 4,026,747 | $ 641,264 | $ (2,313,530) | $ 641,264 |
AVAILABLE-FOR-SALE SECURITIES47
AVAILABLE-FOR-SALE SECURITIES (Details 5) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | [1] | $ 754,352,044 | $ 571,466,581 |
Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 649,022,159 | 452,165,104 | |
Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 105,329,885 | 119,301,477 | |
Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 619,814,935 | 375,333,057 | |
Agency [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 605,086,426 | 360,057,377 | |
Agency [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 14,728,509 | 15,275,680 | |
Non-Agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | [2] | 43,935,733 | 92,107,727 |
Non-Agency [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 43,935,733 | 92,107,727 | |
Non-Agency [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 0 | 0 | |
Residential Multi Family [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 90,601,376 | 104,025,797 | |
Residential Multi Family [Member] | Adjustable rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | 0 | ||
Residential Multi Family [Member] | Fixed rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities | $ 90,601,376 | $ 104,025,797 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively | ||
[2] | Non-Agency AFS does not include interest-only securities with a notional amount of $629,653,883, book value of $14,721,375, unrealized loss of $7,375,610 and a fair value of $7,336,765 at June 30, 2016 and a notional amount of $428,230,275, book value of $7,815,919, unrealized loss of $1,041,649 and a fair value of $6,774,271 as of December 31, 2015. |
AVAILABLE-FOR-SALE SECURITIES48
AVAILABLE-FOR-SALE SECURITIES (Details 6) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year | $ 0 | $ 0 |
Greater than one year and less than five years | 623,689,645 | 211,800,340 |
Greater than or equal to five years | 130,662,399 | 359,666,241 |
Total | $ 754,352,044 | $ 571,466,581 |
AVAILABLE-FOR-SALE SECURITIES49
AVAILABLE-FOR-SALE SECURITIES (Details 7) - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Available-for-sale Securities [Line Items] | |||
Designated credit reserve, Beginning Balance | $ (8,891,565) | ||
Designated credit reserve, Beginning Balance | [1] | (8,891,565) | |
Designated credit reserve, Acquisitions | 0 | ||
Designated credit reserve, Dispositions | 2,904,601 | ||
Designated credit reserve, Accretion of net discount | 0 | ||
Designated credit reserve, Realized gain on paydowns | 0 | ||
Designated credit reserve, Realized credit losses | 2,407,536 | ||
Designated credit reserve, Addition to credit reserves | (167,218) | ||
Designated credit reserve, Release of credit reserves | 0 | ||
Designated credit reserve, Ending balance | [1] | (3,746,646) | $ (8,891,565) |
Unamortized net discount, Beginning balance | (57,280,275) | ||
Unamortized net discount, Beginning balance | (57,280,275) | ||
Unamortized net discount, Acquisitions | 0 | ||
Unamortized net discount, Dispositions | 10,598,841 | ||
Unamortized net discount, Accretion of net discount | 3,497,298 | ||
Unamortized net discount, Realized gain on paydowns | 156,568 | ||
Unamortized net discount, Realized credit losses | 0 | ||
Unamortized net discount, Addition to credit reserves | 167,218 | ||
Unamortized net discount, Realized credit losses | 0 | ||
Unamortized net discount, Ending balance | (42,860,351) | (57,280,275) | |
Beginning Balance, Total | (66,171,840) | ||
Acquisitions, Total | 0 | ||
Dispositions, Total | 13,503,442 | ||
Accretion of net discount, Total | 3,497,298 | ||
Realized gain on paydowns, Total | 156,568 | ||
Realized credit losses, Total | 2,407,536 | ||
Addition to credit reserves Total | 0 | ||
Release of credit reserves, Total | 0 | ||
Ending balance, Total | (46,606,996) | ||
Previous Accounting Guidance [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Designated credit reserve, Beginning Balance | (12,697,796) | ||
Designated credit reserve, Cumulative-effect adjustment for Linked Transactions | (36,627,321) | ||
Designated credit reserve, Beginning Balance | (8,891,565) | (49,325,117) | |
Designated credit reserve, Acquisitions | 0 | ||
Designated credit reserve, Dispositions | 0 | ||
Designated credit reserve, Accretion of net discount | 30,201,676 | ||
Designated credit reserve, Realized gain on paydowns | 0 | ||
Designated credit reserve, Realized credit losses | 10,582,246 | ||
Designated credit reserve, Addition to credit reserves | (2,669,938) | ||
Designated credit reserve, Release of credit reserves | 2,319,568 | ||
Designated credit reserve, Ending balance | (8,891,565) | ||
Unamortized net discount, Beginning balance | (17,454,022) | ||
Unamortized net discount, Cumulative-effect adjustment for Linked Transactions | (47,091,958) | ||
Unamortized net discount, Beginning balance | (57,280,275) | (64,545,980) | |
Unamortized net discount, Acquisitions | (24,446,013) | ||
Unamortized net discount, Dispositions | 20,963,895 | ||
Unamortized net discount, Accretion of net discount | 13,061,839 | ||
Unamortized net discount, Realized gain on paydowns | 226,553 | ||
Unamortized net discount, Realized credit losses | (2,890,939) | ||
Unamortized net discount, Addition to credit reserves | 2,669,938 | ||
Unamortized net discount, Realized credit losses | (2,319,568) | ||
Unamortized net discount, Ending balance | (57,280,275) | ||
Beginning Balance, Total | (30,151,818) | ||
Cumulative-effect adjustment for Linked Transactions, Total | (83,719,279) | ||
Beginning Balance, Total | $ (66,171,840) | (113,871,097) | |
Acquisitions, Total | (24,446,013) | ||
Dispositions, Total | 20,963,895 | ||
Accretion of net discount, Total | 43,263,515 | ||
Realized gain on paydowns, Total | 226,553 | ||
Realized credit losses, Total | 7,691,307 | ||
Addition to credit reserves Total | 0 | ||
Release of credit reserves, Total | 0 | ||
Ending balance, Total | $ (66,171,840) | ||
[1] | Discount designated as Credit Reserve and amount related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $2,833,935 and $8,146,073, at June 30, 2016 and December 31, 2015, respectively, and OTTI of $766,487 and $745,493 at June 30, 2016 and December 31, 2015, respectively. |
AVAILABLE-FOR-SALE SECURITIES50
AVAILABLE-FOR-SALE SECURITIES (Details 8) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | $ 3,652,935 | $ 2,926,138 | $ 6,696,087 | $ 5,677,467 |
Net (premium amortization)/ discount accretion | 1,678,859 | 3,827,442 | 3,534,745 | 7,882,863 |
Interest income | 5,331,794 | 6,753,580 | 10,230,832 | 13,559,539 |
Agency [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 2,598,975 | 1,891,811 | 4,622,177 | 3,883,365 |
Net (premium amortization)/ discount accretion | 81,068 | 151,912 | 104,252 | 300,167 |
Interest income | 2,680,043 | 2,043,723 | 4,726,429 | 4,183,532 |
Non Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 796,520 | 578,691 | 1,558,601 | 882,201 |
Net (premium amortization)/ discount accretion | 379,140 | 2,281,616 | 875,978 | 5,140,295 |
Interest income | 1,175,660 | 2,860,307 | 2,434,579 | 6,022,496 |
Residential Multi Family [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon interest | 257,440 | 455,636 | 515,309 | 911,901 |
Net (premium amortization)/ discount accretion | 1,218,651 | 1,393,914 | 2,554,515 | 2,441,610 |
Interest income | $ 1,476,091 | $ 1,849,550 | $ 3,069,824 | $ 3,353,511 |
AVAILABLE-FOR-SALE SECURITIES51
AVAILABLE-FOR-SALE SECURITIES (Details Textual) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | ||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ 4,096,840 | $ (8,185,868) | $ 2,995,514 | $ 805,152 | ||
Other Than Temporary Impairment Losses Investments Portion Increase Decrease In Credit Reserves | (146,224) | 567,205 | (167,218) | (1,410,284) | $ 8,146,073 | |
Available-for-sale Securities | [1] | $ 754,352,044 | $ 754,352,044 | $ 571,466,581 | ||
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Total | 56 | 56 | 67 | |||
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 7 | 7 | 35 | |||
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 10 | 10 | 5 | |||
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | $ 7,619,688 | $ 7,619,688 | $ 6,389,447 | |||
AFS securities [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 2,828,296 | |||||
Non Agency [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Securities Book Value | 14,721,375 | 14,721,375 | 7,815,919 | |||
Derivative, Notional Amount | 629,653,883 | 629,653,883 | 428,230,275 | |||
Unrealized Gain (Loss) on Securities | 7,375,610 | 1,041,649 | ||||
Derivative, Fair Value, Net, Total | 7,336,765 | 7,336,765 | 6,774,271 | |||
Available-for-sale Securities | 170,000 | $ 4,300,000 | 170,000 | $ 4,300,000 | ||
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | $ 4,900,000 | 4,900,000 | ||||
OTTI [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Other Than Temporary Impairment Losses Investments Portion Increase Decrease In Credit Reserves | $ 912,710 | $ 745,493 | ||||
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
MORTGAGE LOANS HELD-FOR-SALE,52
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Mortgage loans held-for-sale [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | [1] | $ 12,909,597 | $ 10,900,402 |
Mortgage Loans Held-for-sale [Member] | |||
Mortgage loans held-for-sale [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | 12,909,597 | 10,900,402 | |
Unpaid principal balance [Member] | Mortgage Loans Held-for-sale [Member] | |||
Mortgage loans held-for-sale [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | 12,641,118 | 10,767,856 | |
Fair value adjustment [Member] | Mortgage Loans Held-for-sale [Member] | |||
Mortgage loans held-for-sale [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | $ 268,479 | $ 132,546 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
MORTGAGE LOANS HELD-FOR-SALE,53
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details 1) - Mortgage Loans Held-for-sale [Member] | 6 Months Ended |
Jun. 30, 2016 | |
Texas [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 39.30% |
California [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 13.80% |
Arizona [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 9.70% |
Minnesota [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.90% |
Georgia [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.00% |
Florida [Member] | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 13.40% |
MORTGAGE LOANS HELD-FOR-SALE,54
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Details Textual) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans Held For Sale At Fair Value [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | [1] | $ 12,909,597 | $ 10,900,402 |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
THE FREMF TRUSTS (Details)
THE FREMF TRUSTS (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets | |||
Multi-family mortgage loans held in securitization trusts | [1] | $ 1,305,586,768 | $ 1,449,774,383 |
Total assets | [1] | 2,302,685,932 | 2,498,366,661 |
Liabilities and Equity | |||
Multi-family securitized debt obligations | [1] | 1,288,578,921 | 1,364,077,012 |
Liabilities | [1] | 2,150,486,669 | 2,320,872,133 |
Equity | [1] | 152,199,263 | 177,494,528 |
Total liabilities and equity | [1] | 2,302,685,932 | 2,498,366,661 |
FREMF trusts [Member] | |||
Assets | |||
Multi-family mortgage loans held in securitization trusts | 1,305,586,768 | 1,449,774,383 | |
Receivables | 4,760,626 | 5,380,956 | |
Total assets | 1,310,347,394 | 1,455,155,339 | |
Liabilities and Equity | |||
Multi-family securitized debt obligations | 1,288,578,921 | 1,364,077,012 | |
Payables | 4,742,053 | 5,047,777 | |
Liabilities | 1,293,320,974 | 1,369,124,789 | |
Equity | 17,026,420 | 86,030,550 | |
Total liabilities and equity | $ 1,310,347,394 | $ 1,455,155,339 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
THE FREMF TRUSTS (Details 1)
THE FREMF TRUSTS (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Statements of Operations | ||||
Net interest income | $ 5,772,070 | $ 8,570,002 | $ 11,532,501 | $ 17,672,729 |
General and administrative fees | (1,679,132) | (1,717,361) | (3,311,643) | (3,401,237) |
Unrealized gain (loss) on multi-family loans held in securitization trusts | (6,535,151) | 3,840,584 | ||
Net Income (loss) | (4,076,277) | 3,801,048 | (21,023,891) | (1,329,278) |
FREMF trusts [Member] | ||||
Statements of Operations | ||||
Interest income | 14,692,902 | 17,249,728 | 30,130,706 | 34,885,204 |
Interest expense | 13,814,743 | 15,778,321 | 27,927,452 | 31,913,781 |
Net interest income | 878,159 | 1,471,407 | 2,203,254 | 2,971,423 |
General and administrative fees | (679,217) | (838,544) | (1,382,700) | (1,706,891) |
Unrealized gain (loss) on multi-family loans held in securitization trusts | (8,071,468) | 1,803,473 | (6,535,151) | 3,840,584 |
Net Income (loss) | $ (7,872,526) | $ 2,436,336 | $ (5,714,597) | $ 5,105,116 |
THE FREMF TRUSTS (Details 2)
THE FREMF TRUSTS (Details 2) - FREMF trusts [Member] | 6 Months Ended |
Jun. 30, 2016 | |
Texas | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 20.10% |
New York | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 15.00% |
Washington | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 8.00% |
Colorado | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 7.20% |
California | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.50% |
Georgia | |
Concentration Risk [Line Items] | |
Concentration Risk, Percentage | 5.30% |
THE FREMF TRUSTS (Details Textu
THE FREMF TRUSTS (Details Textual) - FREMF trusts [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Balance Sheet | ||
Investment of Multi-Family Mortgage Backed Securities MBS, Net Carrying Value | $ 17,026,420 | $ 86,030,550 |
Multi-family loans held in securitization trusts, unpaid principal balance | 1,204,484,329 | 1,371,258,074 |
Multi-family securitized debt obligations, unpaid principal balance | $ 1,204,484,329 | $ 1,371,258,074 |
RESIDENTIAL MORTGAGE LOAN SEC59
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets | |||
Residential mortgage loans held in securitization trusts | [1] | $ 1,305,586,768 | $ 1,449,774,383 |
Total assets | [1] | 2,302,685,932 | 2,498,366,661 |
Liabilities and Equity | |||
Residential securitized debt obligations | [1] | 1,288,578,921 | 1,364,077,012 |
Liabilities | [1] | 2,150,486,669 | 2,320,872,133 |
Equity | [1] | 152,199,263 | 177,494,528 |
Total liabilities and equity | [1] | 2,302,685,932 | 2,498,366,661 |
Residential Mortgage [Member] | |||
Assets | |||
Residential mortgage loans held in securitization trusts | 174,269,940 | 411,881,097 | |
Receivables | 566,771 | 1,446,120 | |
Total assets | 174,836,711 | 413,327,217 | |
Liabilities and Equity | |||
Residential securitized debt obligations | 159,799,323 | 380,638,423 | |
Payables | 414,451 | 1,153,053 | |
Liabilities | 160,213,774 | 381,791,476 | |
Equity | 14,622,937 | 31,535,741 | |
Total liabilities and equity | $ 174,836,711 | $ 413,327,217 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
RESIDENTIAL MORTGAGE LOAN SEC60
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details 1) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Statements of Operations | ||||
Net interest income | $ 5,772,070 | $ 8,570,002 | $ 11,532,501 | $ 17,672,729 |
General and administrative fees | (1,679,132) | (1,717,361) | (3,311,643) | (3,401,237) |
Unrealized gain (loss) on multi-family loans held in securitization trusts | 3,399,187 | (2,975,798) | 845,110 | (6,332,205) |
Net Income (loss) | (4,076,277) | 3,801,048 | (21,023,891) | (1,329,278) |
Residential Mortgage [Member] | ||||
Statements of Operations | ||||
Interest income | 3,408,847 | 5,039,380 | 7,561,253 | 10,931,159 |
Interest expense | 2,589,846 | 3,102,240 | 5,768,288 | 6,757,709 |
Net interest income | 819,001 | 1,937,140 | 1,792,965 | 4,173,450 |
General and administrative fees | (108,353) | (107,325) | (240,771) | (348,520) |
Unrealized gain (loss) on multi-family loans held in securitization trusts | 3,399,187 | (2,975,804) | 845,110 | (6,332,205) |
Net Income (loss) | $ 4,109,835 | $ (1,145,989) | $ 2,397,304 | $ (2,507,275) |
RESIDENTIAL MORTGAGE LOAN SEC61
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details 2) - Residential Mortgage [Member] | 6 Months Ended |
Jun. 30, 2016 | |
California [Member] | |
Variable Interest Entity [Line Items] | |
Concentration Risk, Percentage | 40.20% |
Washington [Member] | |
Variable Interest Entity [Line Items] | |
Concentration Risk, Percentage | 13.80% |
Massachusetts [Member] | |
Variable Interest Entity [Line Items] | |
Concentration Risk, Percentage | 9.50% |
Florida [Member] | |
Variable Interest Entity [Line Items] | |
Concentration Risk, Percentage | 5.20% |
RESIDENTIAL MORTGAGE LOAN SEC62
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Details Textual) - Residential Mortgage [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entity [Line Items] | ||
Investment of Multi-Family Mortgage Backed Securities MBS, Net Carrying Value | $ 14,622,937 | $ 31,535,741 |
Multi-family loans held in securitization trusts, unpaid principal balance | 169,029,899 | 411,650,562 |
Multi-family securitized debt obligations, unpaid principal balance | $ 169,029,899 | $ 411,650,562 |
USE OF SPECIAL PURPOSE ENTITI63
USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES (Details Textual) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Non Agency RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Reporting Entity Involvement, Maximum Loss Exposure, Amount | $ 15,839,304 | $ 30,383,343 |
RESTRICTED CASH (Details)
RESTRICTED CASH (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Restricted Cash and Cash Equivalents Items [Line Items] | |||
Restricted cash | [1] | $ 14,454,208 | $ 8,174,638 |
Broker counterparties for derivatives trading [Member] | |||
Restricted Cash and Cash Equivalents Items [Line Items] | |||
Restricted cash | 9,926,000 | 528,564 | |
Repurchase counterparties as restricted collateral [Member] | |||
Restricted Cash and Cash Equivalents Items [Line Items] | |||
Restricted cash | $ 4,528,208 | $ 7,646,074 | |
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
BORROWINGS (Details)
BORROWINGS (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Repurchase Agreements, Amount outstanding | $ 687,603,770 | $ 568,432,457 | [1] |
Repurchase Agreements, Weighted average interest rate | 0.92% | 1.19% | |
Repurchase Agreements, Market value of collateral held | $ 779,599,955 | $ 697,384,372 | |
Agency [Member] | |||
Short-term Debt [Line Items] | |||
Repurchase Agreements, Amount outstanding | $ 586,566,000 | $ 358,239,000 | |
Repurchase Agreements, Weighted average interest rate | 0.68% | 0.66% | |
Repurchase Agreements, Market value of collateral held | $ 619,814,935 | $ 374,952,510 | |
Non-Agency [Member] | |||
Short-term Debt [Line Items] | |||
Repurchase Agreements, Amount outstanding | $ 52,680,000 | $ 114,512,000 | |
Repurchase Agreements, Weighted average interest rate | 2.33% | 2.24% | |
Repurchase Agreements, Market value of collateral held | $ 90,601,375 | $ 121,475,112 | |
Multi-Family [Member] | |||
Short-term Debt [Line Items] | |||
Repurchase Agreements, Amount outstanding | $ 37,951,000 | $ 86,177,000 | |
Repurchase Agreements, Weighted average interest rate | 2.15% | 1.83% | |
Repurchase Agreements, Market value of collateral held | $ 57,396,595 | $ 190,056,347 | |
Mortgage loans [Member] | |||
Short-term Debt [Line Items] | |||
Repurchase Agreements, Amount outstanding | $ 10,406,770 | $ 9,504,457 | |
Repurchase Agreements, Weighted average interest rate | 2.80% | 2.87% | |
Repurchase Agreements, Market value of collateral held | $ 11,787,050 | $ 10,900,403 | |
[1] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
BORROWINGS (Details 1)
BORROWINGS (Details 1) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 687,603,770 | $ 568,432,457 | [1] |
Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 634,667,770 | 449,063,000 | |
Maturity 31 To 60 Days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 4,153,000 | 76,044,000 | |
Maturity 61 To 90 Days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | 48,783,000 | 37,873,540 | |
Maturity Over 90 Days Member [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 0 | $ 5,451,917 | |
[1] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
BORROWINGS (Details 2)
BORROWINGS (Details 2) - USD ($) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Dec. 31, 2015 | |||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | $ 687,603,770 | $ 568,432,457 | [1] | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | 100.00% | 100.00% | ||
Repurchase Agreement Counterparties, Weighted average days to maturity | 16 days | 26 days | ||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 779,599,955 | $ 697,384,372 | ||
Merrill Lynch [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | [1] | $ 99,770,000 | ||
Repurchase Agreement Counterparties, Percent of total amount outstanding | 17.55% | |||
Repurchase Agreement Counterparties, Weighted average days to maturity | 30 days | |||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 154,005,234 | |||
Wells Fargo Securities [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | $ 31,403,000 | $ 32,192,000 | [1] | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | 4.57% | 5.66% | ||
Repurchase Agreement Counterparties, Weighted average days to maturity | 7 days | 10 days | ||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 55,592,968 | $ 53,711,547 | ||
Other North America [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | $ 534,868,000 | $ 291,806,000 | [1] | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | 77.79% | 51.34% | ||
Repurchase Agreement Counterparties, Weighted average days to maturity | 16 days | 25 days | ||
Repurchase Agreement Counterparties, Market Value of collateral held | $ 574,626,482 | $ 315,040,818 | ||
Asia [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | [1] | $ 83,124,000 | $ 88,565,000 | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | [1] | 12.09% | 15.58% | |
Repurchase Agreement Counterparties, Weighted average days to maturity | [1] | 16 days | 16 days | |
Repurchase Agreement Counterparties, Market Value of collateral held | [1] | $ 94,326,169 | $ 97,970,226 | |
Europe [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ||||
Repurchase Agreement Counterparties, Amount Outstanding | [1] | $ 38,208,770 | $ 56,099,457 | |
Repurchase Agreement Counterparties, Percent of total amount outstanding | [1] | 5.56% | 9.87% | |
Repurchase Agreement Counterparties, Weighted average days to maturity | [1] | 17 days | 46 days | |
Repurchase Agreement Counterparties, Market Value of collateral held | [1] | $ 55,054,336 | $ 76,656,547 | |
[1] | Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. |
BORROWINGS (Details Textual)
BORROWINGS (Details Textual) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Repurchase Agreements [Line Items] | ||
Repurchase Agreements Weighted Average Interest Rate | 0.92% | 1.19% |
Capital | $ 75,000,000 | |
Percentage stockholders’ equity | 50.00% |
DERIVATIVE INSTRUMENTS HEDGIN69
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | $ 0 | $ 2,558,350 |
Derivative Assets, Notional Amount | 0 | 5,945,000,000 |
Derivative Liabilities, Fair value | (7,954,588) | 0 |
Derivative Liabilities, Notional Amount | 4,792,000,000 | 0 |
Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets, Fair value | 0 | 2,558,350 |
Derivative Assets, Notional Amount | 0 | 5,945,000,000 |
Derivative Liabilities, Fair value | (7,954,588) | 0 |
Derivative Liabilities, Notional Amount | $ 4,792,000,000 | $ 0 |
DERIVATIVE INSTRUMENTS HEDGIN70
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details 1) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Gross amounts of recognized assets | $ 2,558,350 | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of assets presented in the Balance Sheet | 2,558,350 | ||
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 | [2] | $ 0 | 2,558,350 |
Gross amounts of recognized liabilities | (695,558,358) | (568,432,457) | |
Gross amounts offset in the Balance Sheet | 0 | 0 | |
Net amounts of liabilities presented in the Balance Sheet | (695,558,358) | (568,432,457) | |
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] | 7,954,588 | 0 |
Net amounts of liabilities, Net amount | (687,603,770) | (568,432,457) | |
Repurchase agreements and secured loans [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | (687,603,770) | (518,735,457) | |
Gross amounts offset in the Balance Sheet | 0 | 0 | |
Net amounts of liabilities presented in the Balance Sheet | (687,603,770) | (518,735,457) | |
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 | (687,603,770) | (518,735,457) | |
Futures [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized assets | 2,558,350 | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of assets presented in the Balance Sheet | 2,558,350 | ||
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 | 2,558,350 | ||
Gross amounts of recognized liabilities | (7,954,588) | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of liabilities presented in the Balance Sheet | (7,954,588) | ||
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] | 7,954,588 | |
Net amounts of liabilities, Net amount | $ 0 | ||
FHLB Advances [Member] | |||
Derivative [Line Items] | |||
Gross amounts of recognized liabilities | (49,697,000) | ||
Gross amounts offset in the Balance Sheet | 0 | ||
Net amounts of liabilities presented in the Balance Sheet | (49,697,000) | ||
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 liabilities, Net amount | $ (49,697,000) | ||
[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] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
DERIVATIVE INSTRUMENTS HEDGIN71
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details 2) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |||
Interest rate: | ||||||
Amount of realized gain (loss) | $ (761,362) | $ (1,217,392) | $ (2,346,903) | $ (4,047,878) | ||
Amount of unrealized appreciation (depreciation) | (2,050,538) | 902,032 | (10,512,938) | (849,006) | ||
Total | (2,811,900) | (315,360) | (12,859,841) | (4,896,884) | ||
Interest Rate Swaps [Member] | ||||||
Interest rate: | ||||||
Amount of realized gain (loss) | (900,671) | [1] | (1,421,593) | [2] | ||
Amount of unrealized appreciation (depreciation) | 776,847 | [1] | (1,095,827) | [2] | ||
Total | (123,824) | [1] | (2,517,420) | [2] | ||
Swaptions [Member] | ||||||
Interest rate: | ||||||
Amount of realized gain (loss) | (84,000) | |||||
Amount of unrealized appreciation (depreciation) | 62,450 | |||||
Total | (21,550) | |||||
Futures [Member] | ||||||
Interest rate: | ||||||
Amount of realized gain (loss) | (761,362) | (316,721) | (2,346,903) | (2,542,285) | ||
Amount of unrealized appreciation (depreciation) | (2,050,538) | 125,185 | (10,512,938) | 184,371 | ||
Total | $ (2,811,900) | $ (191,536) | $ (12,859,841) | $ (2,357,914) | ||
[1] | In the three month period ended June 30, 2015 net swap interest expense totaled $719,443 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)). | |||||
[2] | 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 $12,391 in accrued interest expense (included in unrealized appreciation (depreciation)). |
DERIVATIVE INSTRUMENTS HEDGIN72
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Details Textual) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative [Line Items] | ||||
Interest Income (Expense), Net, Total | $ 5,772,070 | $ 8,570,002 | $ 11,532,501 | $ 17,672,729 |
Investment Income, Interest | $ 3,652,935 | 2,926,138 | $ 6,696,087 | 5,677,467 |
Swap [Member] | ||||
Derivative [Line Items] | ||||
Interest Income (Expense), Net, Total | 719,443 | 1,433,547 | ||
Interest Expense | 900,215 | 1,421,156 | ||
Investment Income, Interest | $ 180,772 | $ 12,391 |
MSRs (Details)
MSRs (Details) - Mortgage Servicing Rights [Member] - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | ||
Schedule Of Mortgage Service Rights Activity [Line Items] | |||
Balance at beginning of period | $ 4,268,673 | $ 0 | |
MSRs retained from sales to securitizations | 355,196 | 4,940,630 | |
Changes in fair value due to: | |||
Changes in valuation inputs or assumptions used in valuation model | (938,804) | (217,663) | |
Other changes to fair value | [1] | (455,128) | (454,294) |
Balance at end of period | 3,229,937 | 4,268,673 | |
Loans associated with MSRs | [2] | $ 477,514,431 | $ 472,886,810 |
MSR values as percent of loans | [3] | 0.68% | 0.90% |
[1] | Amounts represent changes due to realization of expected cash flows | ||
[2] | Amounts represent the principal balance of loans associated with MSRs outstanding at June 30, 2016 and December 31, 2015, respectively | ||
[3] | Amounts represent the carrying value of MSRs at June 30, 2016 and December 31, 2015, respectively divided by the outstanding balance of the loans associated with these MSRs |
MSRs (Details 1)
MSRs (Details 1) - Mortgages [Member] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule Of Components Of Servicing Income [Line Items] | ||||
Servicing income, net | $ 243,875 | $ 56,538 | $ 467,553 | $ 56,538 |
Income from MSRs, net | $ 243,875 | $ 56,538 | $ 467,553 | $ 56,538 |
MSRs (Details Textual)
MSRs (Details Textual) | Jun. 30, 2016USD ($) |
TRS Activity [Member] | |
Mortgage Servicing Rights MSR [Line Items] | |
Mortgage Loans on Real Estate | $ 477,514,431 |
FINANCIAL INSTRUMENTS (Details)
FINANCIAL INSTRUMENTS (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Assets, Fair Value Disclosure | $ 2,250,359,586 | $ 2,453,252,486 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,456,332,832) | (1,744,715,435) | |
Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 11,300 | 4,961,350 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | (7,954,588) | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,247,118,349 | 2,444,022,463 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,448,378,244) | (1,744,715,435) | |
Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 3,229,937 | 4,268,673 | |
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Residential mortgage-backed securities [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | [1] | 754,352,044 | 571,466,581 |
Residential mortgage-backed securities [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | [1] | 0 | 0 |
Residential mortgage-backed securities [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | [1] | 754,352,044 | 571,466,581 |
Residential mortgage-backed securities [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | [1] | 0 | 0 |
Residential mortgage loans [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 12,909,597 | 10,900,402 | |
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 | 12,909,597 | 10,900,402 | |
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 | 1,305,586,768 | 1,449,774,383 | |
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 | 1,305,586,768 | 1,449,774,383 | |
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 | 174,269,940 | 411,881,097 | |
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 | 174,269,940 | 411,881,097 | |
Residential mortgage loans held in securitization trusts [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Mortgage servicing rights [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 3,229,937 | 4,268,673 | |
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 | 3,229,937 | 4,268,673 | |
FHLB stock [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 11,300 | 2,403,000 | |
FHLB stock [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 11,300 | 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 | 0 | |
Futures [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,558,350 | ||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (7,954,588) | 0 | |
Futures [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 2,558,350 | ||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (7,954,588) | 0 | |
Futures [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Futures [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Assets, Fair Value Disclosure | 0 | ||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Interest rate swaps [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | ||
Interest rate swaps [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | ||
Interest rate swaps [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | 0 | ||
Multi-family securitized debt obligations [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | (1,288,578,921) | (1,364,077,012) | |
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 | (1,288,578,921) | (1,364,077,012) | |
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 | (159,799,323) | (380,638,423) | |
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 | (159,799,323) | (380,638,423) | |
Residential securitized debt obligations [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Liabilities: | |||
Liabilities, Fair Value Disclosure | $ 0 | $ 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) - Fair Value, Inputs, Level 3 [Member] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
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 | Discounted cash flow |
Fair Value Assumptions, Weighted Average Volatility Rate | 18.20% | 13.30% |
Discount rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value Assumptions, Weighted Average Volatility Rate | 12.00% | 12.00% |
Fair Value Inputs, Discount Rate | 12.00% | 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 | 7.60% | 6.50% |
Maximum [Member] | Constant prepayment rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value Inputs, Prepayment Rate | 29.20% | 28.60% |
FINANCIAL INSTRUMENTS (Detail78
FINANCIAL INSTRUMENTS (Details Textual) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure, Total | $ 2,250,359,586 | $ 2,453,252,486 |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure, Total | $ 3,229,937 | $ 4,268,673 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details Textual) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||||||
Mar. 27, 2016 | May 22, 2015 | Aug. 19, 2014 | Mar. 27, 2014 | Mar. 27, 2013 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Related Party Transaction [Line Items] | |||||||||
Management Fee Percentage | 1.50% | ||||||||
Management fee | $ 626,738 | $ 698,629 | $ 1,249,961 | $ 1,416,404 | |||||
Management Fee Payable | 208,000 | 470,000 | 208,000 | 470,000 | |||||
Operating expenses reimbursable to Manager | 1,184,243 | 1,055,075 | 2,389,054 | 2,106,642 | |||||
Restricted stock compensation expense | 8,416 | 25,554 | 45,078 | ||||||
Additional Cost Of Reimbursable Expense Waived | $ 478,187 | $ 685,000 | $ 478,188 | $ 685,000 | |||||
Management Expiration Date | May 16, 2014 | ||||||||
Independent Director Three [Member] | Restricted Stock Units (Rsus) [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested in Period, Fair Value | $ 4,500 | ||||||||
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 | $ 49,875 | ||||||||
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 vested on each of the first, second and third anniversaries of the grant date | ||||||||
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 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 | 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 | ||||||||
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, Equity Instruments Other than Options, Vested in Period | 6,000 | ||||||||
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 ($) | 6 Months Ended | ||||
Jun. 30, 2016 | Dec. 31, 2015 | [1] | Jun. 30, 2015 | ||
Dividends [Line Items] | |||||
Dividend Amount | $ 29,349 | [1] | $ 39,132 | $ 29,349 | |
Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Dividend Amount | $ 5,257,642 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.36 | ||||
Distribution One [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Jan. 15, 2016 | ||||
Payment Date | Jan. 28, 2016 | ||||
Dividend Amount | $ 878,274 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.6 | ||||
Distribution One [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Jan. 15, 2016 | ||||
Payment Date | Jan. 28, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.1823 | ||||
Distribution Two [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Feb. 16, 2016 | ||||
Payment Date | Feb. 26, 2016 | ||||
Dividend Amount | $ 875,874 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.6 | ||||
Distribution Two [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Feb. 16, 2016 | ||||
Payment Date | Feb. 26, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.1823 | ||||
Distribution Three [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Mar. 15, 2016 | ||||
Payment Date | Mar. 28, 2016 | ||||
Dividend Amount | $ 875,873 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.6 | ||||
Distribution Three [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Dec. 16, 2015 | ||||
Record Date | Mar. 16, 2016 | ||||
Payment Date | Mar. 28, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.1823 | ||||
Distribution Four [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | Apr. 15, 2016 | ||||
Payment Date | Apr. 27, 2016 | ||||
Dividend Amount | $ 875,874 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.60000 | ||||
Distribution Four [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | Apr. 15, 2016 | ||||
Payment Date | Apr. 27, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | ||||
Distribution Five [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | May 16, 2016 | ||||
Payment Date | May 27, 2016 | ||||
Dividend Amount | $ 875,873 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.60000 | ||||
Distribution Five [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | May 16, 2016 | ||||
Payment Date | May 27, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | ||||
Distribution Six [Member] | Common Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | Jun. 15, 2016 | ||||
Payment Date | Jun. 27, 2016 | ||||
Dividend Amount | $ 875,874 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.60000 | ||||
Distribution Six [Member] | Series A Preferred Stock [Member] | |||||
Dividends [Line Items] | |||||
Declaration Date | Mar. 18, 2016 | ||||
Record Date | Jun. 15, 2016 | ||||
Payment Date | Jun. 27, 2016 | ||||
Dividend Amount | $ 293,503 | ||||
Cash Dividend Per Share (in dollars per share) | $ 0.18230 | ||||
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
STOCKHOLDERS' EQUITY (Details T
STOCKHOLDERS' EQUITY (Details Textual) - USD ($) | Jul. 14, 2014 | Jun. 19, 2014 | May 27, 2014 | Mar. 07, 2014 | Feb. 19, 2014 | Jan. 24, 2014 | Dec. 23, 2013 | Jul. 25, 2013 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2013 | Dec. 15, 2015 | ||
Stockholders' Equity Note [Line Items] | |||||||||||||||
Proceeds From Issuance Of Common Stock | $ 0 | $ (225,594) | |||||||||||||
Preferred Stock, Dividend Rate, Percentage | 8.75% | 8.75% | |||||||||||||
Dividends Payable | $ 29,349 | [1] | $ 29,349 | $ 39,132 | [1] | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||||||||||
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 | 14,597,894 | 14,656,394 | |||||||||||||
Common Stock, Shares, Outstanding | 14,597,894 | 14,656,394 | |||||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |||||||||||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | |||||||||||||
Preferred Stock, Shares Issued | 1,610,000 | 1,610,000 | |||||||||||||
Stock Repurchase Program, Authorized Amount | $ 10,000,000 | $ 10,000,000 | |||||||||||||
Stock Repurchase Program [Member] | |||||||||||||||
Stockholders' Equity Note [Line Items] | |||||||||||||||
Treasury Stock, Shares, Acquired | 126,856 | ||||||||||||||
Treasury Stock Acquired, Average Cost Per Share | $ 5.06 | ||||||||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 9,400,000 | ||||||||||||||
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 | $ 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 | 800,000 | |||||||||||||
Stock Issued During Period Value New Issues Two | $ 16,325,373 | $ 18,060,897 | |||||||||||||
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 | $ 5,257,642 | ||||||||||||||
Dividends Payable, Amount Per Share | $ 0.36 | ||||||||||||||
Common Stock [Member] | IPO [Member] | |||||||||||||||
Stockholders' Equity Note [Line Items] | |||||||||||||||
Warrants To Purchase Common Stock | 3,125,000 | ||||||||||||||
Common Stock Exercise Price Description | common stock 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 | ||||||||||||||
[1] | Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIE's) as the Company is the primary beneficiary of these VIEs. As of June 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,485,184,105 and $1,868,482,556, respectively, and the liabilities of consolidated VIEs totaled $1,453,534,748 and $1,750,916,265, respectively |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Net income (loss) | $ (4,076,277) | $ 3,801,048 | $ (21,023,891) | $ (1,329,278) |
Less dividends paid: | ||||
Common stock | 2,627,621 | 5,520,281 | 5,257,642 | 11,039,813 |
Unvested share-based payment awards | 870,726 | 870,726 | 1,751,235 | 1,751,235 |
Dividends | 3,498,347 | 6,391,007 | 7,008,877 | 12,791,048 |
Undistributed earnings (deficit) | $ (7,574,624) | $ (2,589,959) | (28,032,768) | $ (14,120,326) |
Common Stock [Member] | ||||
Less dividends paid: | ||||
Common stock | $ 0 | |||
Distributed earnings (In dollars per share) | $ 0.18 | $ 0.38 | $ 0.36 | $ 0.75 |
Undistributed earnings (deficit) (in dollars per share) | (0.52) | (0.18) | (1.92) | (0.96) |
Effect of dilutive securities: | ||||
Total (in dollars per share) | (0.34) | 0.2 | (1.56) | (0.21) |
Unvested Share-Based Payment Awards [Member] | ||||
Less dividends paid: | ||||
Distributed earnings (In dollars per share) | 0.18 | 0.38 | 0.36 | 0.75 |
Undistributed earnings (deficit) (in dollars per share) | (0.52) | (0.18) | (1.92) | (0.96) |
Effect of dilutive securities: | ||||
Total (in dollars per share) | $ (0.34) | $ 0.2 | $ (1.56) | $ (0.21) |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Income Tax Disclosure [Line Items] | |||||
Net income (loss) | $ (4,076,277) | $ 3,801,048 | $ (21,023,891) | $ (1,329,278) | |
Capitalized transaction fees | (41,000) | $ (41,000) | |||
Unrealized gain (loss) | 1,909,000 | 2,041,000 | |||
Tax income of taxable subsidiary before utilization of net operating losses | 301,000 | 624,000 | |||
Utilizations of net operating losses | (301,000) | (624,000) | |||
Net tax income of taxable subsidiaries | 0 | 0 | |||
REIT Operation [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Net income (loss) | 19,457,000 | (1,826,000) | |||
Five Oaks Investment Corp [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Net income (loss) | (21,024,000) | 450,000 | |||
Subsidiaries [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Net income (loss) | $ (1,567,000) | $ (1,376,000) |
INCOME TAXES (Details 1)
INCOME TAXES (Details 1) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Non-current Deferred Tax Asset (Liability) | ||
Accumulated net operating losses of TRS | $ 862 | $ 1,058 |
Unrealized gain (loss) | 106 | (618) |
Capitalized transaction costs | 195 | 210 |
AMT Credit | 9 | 9 |
Deferred tax asset | 1,172 | 659 |
Valuation allowance | (1,172) | (659) |
Net non-current deferred tax asset (liability) | $ 0 | $ 0 |
INCOME TAXES (Details Textual)
INCOME TAXES (Details Textual) $ in Millions | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Income Tax Disclosure [Line Items] | |
Operating Loss Carryforwards | $ 2.3 |
Valuation Allowance, Percent | 100.00% |
Valuation Allowance, Deferred Tax Asset, Increase (Decrease), Amount | $ 0.5 |