Lument Finance Trust (LFT) 10-Q 10 May 17 2017 Q1 Quarterly report Financial data

Document And Entity Information

Document And Entity Information - shares	3 Months Ended
	Mar. 31, 2017	May 10, 2017
Document And Entity Information [Abstract]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2017
Document Fiscal Year Focus	2,017
Document Fiscal Period Focus	Q1
Entity Registrant Name	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		17,539,258

Condensed Consolidated Balance

Condensed Consolidated Balance Sheets - USD ($)		Mar. 31, 2017	Dec. 31, 2016
ASSETS
Available-for-sale securities, at fair value (includes pledged securities of $1,040,598,558 and $876,121,505 for March 31, 2017 and December 31, 2016, respectively)	[1]	$ 1,035,720,870	$ 870,929,601
Mortgage loans held-for-sale, at fair value	[1]	2,822,751	2,849,536
Multi-family loans held in securitization trusts, at fair value	[1]	1,215,157,038	1,222,905,433
Residential loans held in securitization trusts, at fair value	[1]	132,454,523	141,126,720
Mortgage servicing rights, at fair value	[1]	3,314,363	3,440,809
Cash and cash equivalents	[1]	32,713,356	27,534,374
Restricted cash	[1]	7,693,120	10,355,222
Deferred offering costs	[1]	96,532	96,489
Accrued interest receivable	[1]	8,078,915	7,619,717
Investment related receivable	[1]	2,193,766	3,914,458
Derivative assets, at fair value	[1]	4,976,938	8,053,813
Other assets	[1]	724,267	775,031
Total assets	[1]	2,445,946,439	2,299,601,203
Repurchase agreements:
Available-for-sale securities	[1]	971,225,000	804,811,000
Multi-family securitized debt obligations	[1]	1,195,536,818	1,204,583,678
Residential securitized debt obligations	[1]	126,535,978	134,846,348
Accrued interest payable	[1]	5,534,935	5,467,916
Dividends payable	[1]	39,132	39,132
Deferred income	[1]	200,534	203,743
Due to broker	[1]	915,590	4,244,678
Fees and expenses payable to Manager	[1]	709,000	880,000
Other accounts payable and accrued expenses	[1]	376,632	2,057,843
Total liabilities	[1]	2,301,073,619	2,157,134,338
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 March 31, 2017 and December 31, 2016, respectively	[1]	37,156,972	37,156,972
Common Stock: par value $0.01 per share; 450,000,000 shares authorized, 17,539,258 and 17,539,258 shares issued and outstanding, at March 31, 2017 and December 31, 2016, respectively	[1]	175,348	175,348
Additional paid-in capital	[1]	204,262,178	204,264,868
Accumulated other comprehensive income (loss)	[1]	(5,717,728)	(9,268,630)
Cumulative distributions to stockholders	[1]	(92,735,592)	(89,224,194)
Accumulated earnings (deficit)	[1]	1,731,642	(637,499)
Total stockholders' equity	[1]	144,872,820	142,466,865
Total liabilities and stockholders' equity	[1]	$ 2,445,946,439	$ 2,299,601,203
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

Condensed Consolidated Balance3

Condensed Consolidated Balance Sheets (Parenthetical) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Statement of Financial Position [Abstract]
Available-for-sale securities, pledged securities	$ 1,040,598,558	$ 876,121,505
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	8.75%	8.75%
Preferred stock, liquidation preference	$ 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	17,539,258	17,539,258
Common stock, shares outstanding	17,539,258	17,539,258
Assets of consolidated VIEs	$ 1,352,801,814	$ 1,369,120,941
Liabilities of consolidated VIEs	$ 1,327,153,665	$ 1,344,404,080

Condensed Consolidated Statemen

Condensed Consolidated Statements of Operations - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Interest income:
Available-for-sale securities	$ 6,822,622	$ 4,899,038
Mortgage loans held-for-sale	28,763	122,237
Multi-family loans held in securitization trusts	13,948,754	15,437,804
Residential loans held in securitization trusts	1,355,438	4,152,406
Cash and cash equivalents	35,734	5,710
Interest expense:
Repurchase agreements - available-for-sale securities	(2,095,474)	(1,489,413)
Repurchase agreements - mortgage loans held-for-sale	0	(76,200)
Multi-family securitized debt obligations	(13,237,724)	(14,112,709)
Residential securitized debt obligations	(1,074,352)	(3,178,442)
Net interest income	5,783,761	5,760,431
Other-than-temporary impairments
(Increase) decrease in credit reserves	0	(20,994)
Additional other-than-temporary credit impairment losses	0	0
Total impairment losses recognized in earnings	0	(20,994)
Other income:
Realized gain (loss) on sale of investments, net	(9,317,003)	(6,383,153)
Change in unrealized gain (loss) on fair value option securities	9,448,270	(371,095)
Realized gain (loss) on derivative contracts, net	2,233,051	(1,585,541)
Change in unrealized gain (loss) on derivative contracts, net	(3,077,088)	(8,462,400)
Realized gain (loss) on mortgage loans held-for-sale	(174)	(986)
Change in unrealized gain (loss) on mortgage loans held-for-sale	(3,709)	197,902
Change in unrealized gain (loss) on mortgage servicing rights	(126,446)	(900,288)
Change in unrealized gain (loss) on multi-family loans held in securitization trusts	1,299,630	1,536,317
Change in unrealized gain (loss) on residential loans held in securitization trusts	(368,343)	(2,554,077)
Other interest expense	(152,322)	0
Servicing income	252,738	223,678
Other income	12,171	24,982
Total other income (loss)	200,775	(18,274,661)
Expenses:
Management fee	544,510	623,223
General and administrative expenses	1,588,572	1,632,511
Operating expenses reimbursable to Manager	1,208,943	1,204,811
Other operating expenses	220,496	882,206
Compensation expense	52,874	69,639
Total expenses	3,615,395	4,412,390
Net income (loss)	2,369,141	(16,947,614)
Dividends to preferred stockholders	(880,509)	(880,509)
Net income (loss) attributable to common stockholders	1,488,632	(17,828,123)
Earnings (loss) per share:
Net income (loss) attributable to common stockholders (basic and diluted)	$ 1,488,632	$ (17,828,123)
Weighted average number of shares of common stock outstanding (in shares)	17,539,258	14,605,515
Basic and diluted income (loss) per share (in dollars per share)	$ 0.08	$ (1.22)
Dividends declared per share of common stock (in dollars per share)	$ 0.15	$ 0.18

Condensed Consolidated Stateme5

Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 2,369,141	$ (16,947,614)
Other comprehensive income (loss):
Increase (decrease) in net unrealized gain (loss) on available-for-sale securities, net	3,699,186	(2,246,013)
Reclassification adjustment for net gain (loss) included in net income (loss)	(148,284)	1,123,693
Reclassification adjustment for other-than-temporary impairments included in net income (loss)	0	20,994
Total other comprehensive income (loss)	3,550,902	(1,101,326)
Less: Dividends to preferred stockholders	(880,509)	(880,509)
Comprehensive income (loss) attributable to common stockholders	$ 5,039,534	$ (18,929,449)

Condensed Consolidated Stateme6

Condensed Consolidated Statement of Stockholders' Equity - 3 months ended Mar. 31, 2017 - USD ($)	Total		Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Cumulative Distributions to Stockholders	Accumulated Earnings (Deficit)
Balance (in shares) at Dec. 31, 2016			1,610,000	17,539,258
Balance at Dec. 31, 2016	$ 142,466,865	[1]	$ 37,156,972	$ 175,348	$ 204,264,868	$ (9,268,630)	$ (89,224,194)	$ (637,499)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Cost of issuing common stock	(9,310)				(9,310)
Restricted stock compensation expense	6,620				6,620
Net income (loss)	2,369,141							2,369,141
Increase (decrease) in net unrealized gain (loss) on available-for-sale securities, net	3,699,186					3,699,186
Reclassification adjustment for net gain (loss) included in net income (loss)	(148,284)					(148,284)
Common dividends declared	(2,630,889)						(2,630,889)
Preferred dividends declared	(880,509)						(880,509)
Balance (in shares) at Mar. 31, 2017			1,610,000	17,539,258
Balance at Mar. 31, 2017	$ 144,872,820	[1]	$ 37,156,972	$ 175,348	$ 204,262,178	$ (5,717,728)	$ (92,735,592)	$ 1,731,642
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

Condensed Consolidated Stateme7

Condensed Consolidated Statements of Cash Flows - USD ($)	3 Months Ended
	Mar. 31, 2017		Mar. 31, 2016
Cash flows from operating activities:
Net income (loss)	$ 2,369,141		$ (16,947,614)
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities:
Other-than-temporary impairment charges	0		20,994
Amortization/accretion of available-for-sale securities premiums and discounts, net	(1,399,788)		(1,855,886)
Realized (gain) loss on sale of investments, net	9,317,003		6,383,153
Realized (gain) loss on derivative contracts	(2,233,051)		1,585,541
Realized (gain) loss on mortgage loans held-for-sale	174		986
Unrealized (gain) loss on fair value option securities	(9,448,270)		371,095
Unrealized (gain) loss on derivative contracts	3,077,088		8,462,400
Unrealized (gain) loss on mortgage loans held-for-sale	3,709		(197,902)
Unrealized (gain) loss on mortgage servicing rights	126,446		900,288
Unrealized (gain) loss on multi-family loans held in securitization trusts	(1,299,630)		(1,536,317)
Unrealized (gain) loss on residential loans held in securitization trusts	368,343		2,554,077
Restricted stock compensation expense	6,620		17,139
Net change in:
Accrued interest receivable	(357,733)		120,710
Deferred offering costs	(43)		0
Other assets	50,764		5,670
Accrued interest payable	(39,796)		(100,868)
Deferred income	(3,209)		0
Fees and expenses payable to Manager	(171,000)		94,524
Other accounts payable and accrued expenses	(1,681,211)		776,332
Net cash (used in) provided by operating activities	(1,314,443)		654,322
Cash flows from investing activities:
Purchase of available-for-sale securities	(229,808,786)		0
Purchase of mortgage loans held-for-sale	0		(1,766,074)
Proceeds from sales of available-for-sale securities	46,285,304		82,592,076
Proceeds from FHLBI stock	0		1,372,500
Net proceeds from (payments for) derivative contracts	2,233,051		(1,585,541)
Principal payments from available-for-sale securities	23,814,162		14,493,260
Principal payments from mortgage loans held-for-sale	22,696		57,085
Investment related receivable	1,720,692		(280,349)
Due from broker	(3,329,088)		0
Net cash (used in) provided by investing activities	(159,061,969)		94,882,957
Cash flows from financing activities:
Proceeds from (costs for) issuance of common stock	(9,310)		0
Purchase of treasury stock	0		(283,565)
Dividends paid on common stock	(2,630,889)		(2,630,021)
Dividends paid on preferred stock	(880,509)		(880,509)
Proceeds from repurchase agreements - available-for-sale securities	2,720,168,000		1,340,766,000
Proceeds from repurchase agreements - mortgage loans held-for-sale	0		5,282,255
Payments for FHLBI advances	0		(49,697,000)
Principal repayments of repurchase agreements - available-for-sale securities	(2,553,754,000)		(1,389,724,000)
Principal repayments of repurchase agreements - mortgage loans held-for-sale	0		(5,433,357)
Net cash (used in) provided by financing activities	162,893,292		(102,600,197)
Net increase (decrease) in cash, cash equivalents and restricted cash	2,516,880		(7,062,918)
Cash, cash equivalents and restricted cash, beginning of period	37,889,596		34,315,356
Cash, cash equivalents and restricted cash, end of period	40,406,476		27,252,438
Supplemental disclosure of cash flow information
Cash paid for interest	4,147,592		1,666,481
Non-cash investing and financing activities information
Dividends declared but not paid at end of period	39,132	[1]	39,132
Net change in unrealized gain (loss) on available-for-sale securities	3,550,902		(1,101,326)
Consolidation of multi-family loans held in securitization trusts	1,219,903,501		1,438,864,444
Consolidation of residential loans held in securitization trusts	132,898,313		397,903,036
Consolidation of multi-family securitized debt obligations	1,200,261,830		1,351,297,578
Consolidation of residential securitized debt obligations	$ 126,891,835		$ 369,043,007
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

ORGANIZATION AND BUSINESS OPERA

ORGANIZATION AND BUSINESS OPERATIONS	3 Months Ended
	Mar. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
ORGANIZATION AND BUSINESS OPERATIONS	ORGANIZATION AND BUSINESS OPERATIONS Five Oaks Investment Corp. (the “Company”) is a Maryland corporation focused primarily on investing in, financing and managing residential mortgage-backed securities (“RMBS”), multi-family mortgage backed securities (“Multi-Family MBS”, and together with RMBS, “MBS”), mortgage servicing rights and other mortgage-related investments. The Company is externally managed by Oak Circle Capital Partners, LLC (the “Manager”), an asset management firm incorporated in Delaware. The Company’s common stock is listed on the NYSE under the symbol “OAKS.” The Company was incorporated on March 28, 2012 and commenced operations on May 16, 2012 . The Company began trading as a publicly traded company on March 22, 2013. 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. FOI was dissolved on July 18, 2016. The Company previously consolidated 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, the Company no longer consolidates the assets and liabilities of that trust. The Company determined that CSMC 2014-OAK1 Trust was a VIE and that the Company continues to be the primary beneficiary, and accordingly consolidates 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	3 Months Ended
	Mar. 31, 2017
Accounting Policies [Abstract]
SUMMARY OF SIGNIFICATN ACCOUNTING POLICIES	SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation The consolidated balance sheet as of December 31, 2016 has been derived from audited financial statements. The condensed consolidated balance sheet as of March 31, 2017 , the condensed consolidated statements of operations and the condensed consolidated statements of comprehensive income (loss), for the three months ended March 31, 2017 and for the three months ended March 31, 2016 , the condensed consolidated statement of stockholders’ equity for the three months ended March 31, 2017 and the condensed consolidated statements of cash flows for the three months ended March 31, 2017 , and the three months ended March 31, 2016 , 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, 2016 , which was filed with the Securities and Exchange Commission (“SEC”) on March 16, 2017. Reclassifications 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. 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 March 31, 2017 , 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-KF01trusts, 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. However, the Company's maximum exposure to loss from consolidated trusts was $25,648,149 and $24,716,861 , respectively, at March 31, 2017, and December 31, 2016. At March 31, 2017 and December 31, 2016 , 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 $0 and $7,592,802 , respectively, and Multi-Family MBS $35,810,200 and $73,146,566 , respectively). GAAP also requires the Company to consider whether securitizations it 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 with an aggregate unpaid principal balance of $518,455,163 to Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, and accounted for these transfers as sales for financial reporting purposes, in accordance with Accounting Standards Codification (“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, and as March 31, 2017, this remains the case. The Company’s analysis incorporates the considerations applicable to Consolidation (Topic 810). The Company’s determination involves complex and subjective analysis resulting from the various legal and structural aspects of each transaction. This analysis has focused in particular on ASC 810-10-25-38C and 25-38D, along with ASC 810-10-25-38G and ASC 810-10-15-13A and 15-13B. The Company’s maximum exposure to loss from these VIEs was limited to the fair value of its investments in Non-Agency RMBS issued by the two VIEs, with an aggregate fair value of $0 at March 31, 2017 ( December 31, 2016 : $4,413,403 ). This amount is included in Available-for-sale (“AFS”) securities on the Company’s condensed consolidated balance sheet. The Company is party to customary and standard repurchase obligations in respect of loans that it has sold to the two VIEs to the extent they have breached standard representations and warranties, but is not a party to arrangements to provide financial support to the VIEs that the Company believes could expose it to additional loss. 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 and Restricted Cash 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. The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the statement of financial position that sum to the total of the same amounts shown in the statement of cash flows. March 31, 2017 December 31, 2016 Cash and cash equivalents $ 32,713,356 27,534,374 Restricted cash 7,693,120 10,355,222 Total cash, cash equivalents and restricted cash $ 40,406,476 37,889,596 Deferred Income Certain service revenues received in the period are recorded as a liability in the Company’s condensed consolidated balance sheets in the line item “Deferred income”, for subsequent recognition as income in the Company’s condensed consolidated statements of operations. 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. Available-for-Sale Securities, at Fair Value 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 statements 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 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 investment’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 statements 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 statements of comprehensive income (loss). 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 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 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-KF01Trust, and residential mortgage loans held in the CSMC 2014-OAK1 Trust, as of March 31, 2017 . 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 JPMMT 2014-OAK4, 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 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 sub-servicer, 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, 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 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 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 The Company previously financed the acquisition of certain of its residential mortgage loans through the use of short-term, uncommitted residential loan warehouse facilities, which were structured as repurchase agreements. The Company accounted for outstandings under these facilities as collateralized financing transactions which were carried at their contractual amounts, and approximated fair value due to their short-term nature. 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 were treated as secured financing transactions and were carried at their contractual amounts. In connection with FHLB advances, FOI was required to purchase FHLBI stock, which was recorded on the Company’s condensed consolidated balance sheet as an asset. At December 31, 2016, all FHLB stock was redeemed and all FHLB advances were repaid. 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. Backstop Guarantees The Company, through FOAC and in return for fees, provides seller eligibility and backup guarantee services in respect of residential mortgage loans that are traded through one or more loan exchanges operated by MAXEX LLC ("MAXEX"). See Note 14 and 15 for additional information regarding MAXEX. To the extent that a loan seller approved by FOAC fails to honor its obligations to repurchase one or more loans based on an arbitration finding that such seller has breached its representations and warranties, FOAC provides a backstop guarantee of the repurchase obligation. The Company has evaluated its backstop guarantees pursuant to ASC 460, Guarantees, and has determined them to be performance guarantees, for which ASC 460 contains initial recognition and measurement requirements, and related disclosure requirements. FOAC is obligated in two respects: (i) a noncontingent liability, which represents FOAC's obligation to stand ready to perform under the terms of the guarantee in the event that the specified triggering event(s) occur, and (ii) the contingent liability, which represents FOAC's obligation to make future payments if those triggering events occur. FOAC recognizes the noncontingent liability at the inception of the guarantee at the fair value, which is the fee received or receivable, and is recorded on the Company's condensed consolidated balance sheet as a liability in the line item "Deferred income." The Company amortizes these fees into income on a straight-line basis over five years, based on an assumed constant prepayment rate of 15% for residential mortgage loans and other observable data. The Company's contingent liability is accounted for pursuant to ASC 450, Contingencies, pursuant to which the contingent liability must be recognized when its payment becomes probable and reasonably estimable. Common Stock At March 31, 2017 , and December 31, 2016 , the Company was authorized to issue up to 450,000,000 shares of common stock, par value $0.01 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Company’s Board of Directors. The Company had 17,539,258 shares of common stock issued and outstanding at both March 31, 2017 and December 31, 2016 . 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 million of the Company’s outstanding common stock. Subject to applicable securities laws, repurchase of common stock under the Repurchase Program may be made at times and in amounts as the Company deems appropriate, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be canceled and, until reissued by the Company, will be deemed to be authorized but unissued shares of common stock. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice. Through March 31, 2017, the Company had repurchased 126,856 shares of common stock at a weighted average share price of $5.09 . As of the date of this filing, $9.4 million of common stock remained authorized for future share repurchase under the Repurchase Program. Preferred Stock At March 31, 2017 , and December 31, 2016 , the Company was authorized to issue up to 50,000,000 share of preferred stock, par value $0.01 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Company’s Board. The Company had 1,610,000 shares of preferred stock issued and outstanding at both March 31, 2017 and December 31, 2016 . 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 with the exception of our taxable REIT subsidiaries, 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's accounting policy with respect to interest and penalties is to classify these amounts as other interest expense. As further described in Note 19, the Company declared and paid in the fourth quarter of 2016 a deficiency dividend relating to a determination of an inability to offset certain net gains on hedging transactions in 2013 against net capital losses on the sale of certain mortgage-backed securities. In connection with this declaration, during the first quarter of 2017, the Company paid an amount of $2.01 million for interest charges to the IRS. The Company previously provisioned $1.86 million in the third quarter of 2016 in the Company’s condensed consolidated balance sheets in the line item “Other accounts payable and accrued expenses”; the remaining balance of $0.15 million was expensed in the first quarter of 2017, which is included in “Other interest expense” in the Company’s condensed consolidated statements of operations. The first quarter 2017 payment of $2.01 million is included in "cash paid for interest" in the Company's condensed consolidated statements of cash flows. 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.

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	3 Months Ended
	Mar. 31, 2017
Fair Value Disclosures [Abstract]
FAIR VALUE MEASUREMENTS	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 Agency RMBS, Multi-Family MBS and Non-Agency RMBS. 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 Agency RMBS, Multi-Family MBS and Non-Agency RMBS in its portfolio based on obtaining a valuation for each Agency RMBS, Multi-Family MBS and Non-Agency RMBS from third-party pricing services, and may also obtain dealer quotes, as described below. The third-party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement, as applicable. The dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security, including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security, as applicable. The Company obtains pricing data from a primary third-party pricing service for each Agency RMBS, Multi-Family MBS and Non-Agency RMBS. 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 repurchase agreement 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 Multi-Family MBS and Non-Agency RMBS 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 Agency and Non-Agency RMBS and Multi-Family MBS used to ensure that current market conditions are properly represented. This review includes, but is not limited to, comparisons of similar market transactions or alternative third-party pricing services, dealer quotes and comparisons to a pricing model. Values obtained from the third-party pricing service for similar instruments are classified as Level 2 securities if the pricing methods used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the pricing service, but dealer quotes are, the Company classifies the security as a Level 2 security. If neither is available, the Company determines the fair value based on characteristics of the security that are received from the issuer and based on available market information received from dealers and classifies it as a Level 3 security. Mortgage Loans Held-for-Sale Designation The Company currently classifies its residential mortgage loans as held-for-sale (“HFS”) investments. HFS residential mortgage loans include loans that the Company is marketing for sale to third parties, including transfers to securitization trusts. The Company 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 March 31, 2017 . 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 In accordance with ASU 2014-13, the Company 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 March 31, 2017 . 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 JPMMT 2014-OAK4, Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, it does not consolidate these trusts. Determination of Fair Value In accordance with ASU 2014-13, the Company 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 bases on quoted prices for similar instruments in active markets, including exchange-traded instruments, are classified as Level 1 valuations. 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. 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 .

AVAILABLE-FOR-SALE SECURITIES

AVAILABLE-FOR-SALE SECURITIES	3 Months Ended
	Mar. 31, 2017
Investments, Debt and Equity Securities [Abstract]
AVAILABLE-FOR-SALE SECURITIES	AVAILABLE-FOR-SALE SECURITIES The following table presents the Company’s AFS investment securities by collateral type at fair value as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 395,607,052 $ 326,958,046 Federal National Mortgage Association 604,303,618 463,232,187 Non-Agency — 7,592,802 Multi-Family 35,810,200 73,146,566 Total mortgage-backed securities $ 1,035,720,870 $ 870,929,601 The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of March 31, 2017 and December 31, 2016 : March 31, 2017 Agency Non-Agency Multi-Family Total Face Value $ 981,890,924 $ — $ 48,666,385 $ 1,030,557,309 Unamortized premium 21,113,937 — — 21,113,937 Unamortized discount Designated credit reserve and OTTI (2) — — — — Net, unamortized (887,983 ) — (11,781,042 ) (12,669,025 ) Amortized Cost 1,002,116,878 — 36,885,343 1,039,002,221 Gross unrealized gain 3,968,851 — — 3,968,851 Gross unrealized (loss) (6,175,059 ) — (1,075,143 ) (7,250,202 ) Fair Value $ 999,910,670 $ — $ 35,810,200 $ 1,035,720,870 December 31, 2016 Agency Non-Agency (1) Multi - Family Total Face Value $ 779,219,115 $ 4,393,771 $ 100,907,815 $ 884,520,701 Unamortized premium 17,748,138 — — 17,748,138 Unamortized discount Designated credit reserve and OTTI (2) — (1,929,833 ) — (1,929,833 ) Net, unamortized (1,311,292 ) (369,887 ) (26,160,083 ) (27,841,262 ) Amortized Cost 795,655,961 2,094,051 74,747,732 872,497,744 Gross unrealized gain 2,663,975 234,647 509,519 3,408,141 Gross unrealized (loss) (8,129,703 ) (2,110,685 ) (10,240,388 ) Fair Value $ 790,190,233 $ 2,328,698 $ 73,146,566 $ 865,665,497 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $509,109,248 , book value of $14,712,374 , unrealized loss of $9,448,270 and a fair value of $5,264,104 as of December 31, 2016 . (2) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $0 and $1,929,833 , at March 31, 2017 and December 31, 2016 , respectively. At March 31, 2017 , 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 did not recognize credit-related OTTI losses through earnings during the three months ended March 31, 2017. As of March 31, 2016, the Company recognized credit-related losses of $0.02 million on one non-Agency RMBS. Non-Agency RMBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes, or credit impairment. The Company’s estimate of cash flows for its Non-Agency RMBS is based on its review of the underlying mortgage loans securing these RMBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as Rating Agency reports, general market assessments, and dialogue with market participants. Significant judgment is used in both the Company’s analysis of the expected cash flows for its Non-Agency RMBS and any determination of OTTI that is the result, at least in part, of credit impairment. The following tables present the composition of OTTI charges recorded by the Company for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended 2017 2016 Cumulative credit loss at beginning of period $ (3,074,728 ) $ (3,636,432 ) Additions: Initial (increase) in credit reserves — (20,994 ) Subsequent (increase) in credit reserves — — Initial additional other-than-temporary credit impairment losses — — 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 $ (3,074,728 ) $ (3,657,426 ) 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 March 31, 2017 , and December 31, 2016 . At March 31, 2017 , the Company held 50 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and four were in an unrealized loss for more than twelve months. At December 31, 2016 , the Company held 46 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and five were in an unrealized loss position for more than twelve months: Less than 12 months Greater than 12 months Total Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses March 31, 2017 $ 583,314,803 $ (6,175,059 ) $ 35,810,200 $ (1,075,143 ) $ 619,125,003 $ (7,250,202 ) December 31, 2016 $ 619,414,077 $ (8,129,704 ) $ 45,879,433 $ (2,110,684 ) $ 665,293,510 $ (10,240,388 ) 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. The following table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended Three Months Ended AFS securities sold, at cost $ 55,602,307 $ 88,932,353 Proceeds from AFS securities sold 46,285,304 82,592,076 Net realized gain (loss) on sale of AFS securities $ (9,317,003 ) $ (6,340,277 ) The following tables present the fair value of AFS investment securities by rate type as of March 31, 2017 and December 31, 2016 : March 31, 2017 Agency Non-Agency Multi-Family Total Adjustable rate $ 998,859,824 $ — $ — $ 998,859,824 Fixed rate 1,050,846 — 35,810,200 36,861,046 Total $ 999,910,670 $ — $ 35,810,200 $ 1,035,720,870 December 31, 2016 Agency Non-Agency Multi- Family Total Adjustable rate $ 788,727,476 $ 7,592,802 $ — $ 796,320,278 Fixed rate 1,462,757 — 73,146,566 74,609,323 Total $ 790,190,233 $ 7,592,802 $ 73,146,566 $ 870,929,601 The following tables present the fair value of AFS investment securities by maturity date as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Greater than or equal to one year and less than five years 567,544,659 399,872,894 Greater than or equal to five years 468,176,211 471,056,707 Total $ 1,035,720,870 $ 870,929,601 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. The following tables present the changes for the three months ended March 31, 2017 and the year ended December 31, 2016 of the unamortized net discount and designated credit reserves on the Company’s MBS. Designated credit reserve Unamortized net discount Total Beginning Balance as of January 1, 2017 $ (1,929,833 ) $ (27,841,262 ) $ (29,771,095 ) Acquisitions — — — Dispositions 1,929,833 13,815,430 15,745,263 Accretion of net discount — 1,356,807 1,356,807 Realized gain on paydowns — — — Realized credit losses — — — Addition to credit reserves — — — Release of credit reserves — — — Ending Balance at March 31, 2017 $ — $ (12,669,025 ) $ (12,669,025 ) December 31, 2016 Designated credit reserve Unamortized net discount Total Beginning Balance as of January 1, 2016 $ (8,891,565 ) $ (57,280,275 ) $ (66,171,840 ) Acquisitions — — — Dispositions 4,893,913 21,637,637 26,531,550 Accretion of net discount — 6,703,365 6,703,365 Realized gain on paydowns — 325,709 325,709 Realized credit losses 3,023,911 (183,790 ) 2,840,121 Addition to credit reserves (1,021,433 ) 1,021,433 — Release of credit reserves 65,341 (65,341 ) — Ending Balance at December 31, 2016 $ (1,929,833 ) $ (27,841,262 ) $ (29,771,095 ) Gains and losses from the sale of AFS securities are recorded within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statements of operations. Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). For the three months ended March 31, 2017 , the Company had unrealized gains (losses) on AFS securities of $3,550,902 . The following tables present components of interest income on the Company’s AFS securities for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Coupon interest Net (premium amortization)/ discount accretion Interest income Coupon interest Net (premium amortization)/ discount accretion Interest income Agency $ 5,380,580 $ 466,291 $ 5,846,871 $ 2,023,202 $ 23,184 $ 2,046,386 Non-Agency 42,254 9,946 52,200 762,081 496,838 1,258,919 Multi-Family — 923,551 923,551 257,869 1,335,864 1,593,733 Total $ 5,422,834 $ 1,399,788 $ 6,822,622 $ 3,043,152 $ 1,855,886 $ 4,899,038

MORTGAGE LOANS HELD-FOR-SALE, a

MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE	3 Months Ended
	Mar. 31, 2017
Mortgage loans held-for-sale Disclosure [Abstract]
MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE	MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE Mortgage loans held-for-sale consists of residential mortgage loans carried at fair value as a result of the fair value option. The following table presents the carrying value of the Company’s mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Unpaid principal balance $ 2,844,189 $ 2,867,263 Fair value adjustment (21,438 ) (17,727 ) Carrying value $ 2,822,751 $ 2,849,536 The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 56.2 % 56.0 % Kentucky 24.4 % 24.4 % North Carolina 19.4 % 19.6 %

THE FREMF TRUSTS

THE FREMF TRUSTS	3 Months Ended
	Mar. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
THE FREMF TRUSTS	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 $19,641,671 at March 31, 2017 and $18,342,040 at December 31, 2016 . The condensed consolidated balance sheets of the FREMF trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Multi-family mortgage loans held in securitization trusts $ 1,215,157,038 $ 1,222,905,433 Receivables 4,746,463 4,617,642 Total assets $ 1,219,903,501 $ 1,227,523,075 Liabilities and Equity Multi-family securitized debt obligations $ 1,195,536,818 $ 1,204,583,678 Payables 4,725,012 4,597,357 Total liabilities $ 1,200,261,830 $ 1,209,181,035 Equity 19,641,671 18,342,040 Total liabilities and equity $ 1,219,903,501 $ 1,227,523,075 The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016 . The multi-family securitized debt obligations had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016 . The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 13,948,754 $ 15,437,804 Interest expense 13,237,724 14,112,709 Net interest income $ 711,030 $ 1,325,095 General and administrative fees (648,934 ) (703,483 ) Unrealized gain (loss) on multi-family loans held in securitization trusts 1,299,630 1,536,317 Net income (loss) $ 1,361,726 $ 2,157,929 The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 17.9 % 17.9 % New York 15.7 % 15.7 % Washington 8.4 % 8.4 % Colorado 7.5 % 7.5 % Georgia 5.5 % 5.5 %

RESIDENTIAL MORTGAGE LOAN SECUR

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS	3 Months Ended
	Mar. 31, 2017
Variable Interest Entity [Line Items]
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS	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 $19,641,671 at March 31, 2017 and $18,342,040 at December 31, 2016 . The condensed consolidated balance sheets of the FREMF trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Multi-family mortgage loans held in securitization trusts $ 1,215,157,038 $ 1,222,905,433 Receivables 4,746,463 4,617,642 Total assets $ 1,219,903,501 $ 1,227,523,075 Liabilities and Equity Multi-family securitized debt obligations $ 1,195,536,818 $ 1,204,583,678 Payables 4,725,012 4,597,357 Total liabilities $ 1,200,261,830 $ 1,209,181,035 Equity 19,641,671 18,342,040 Total liabilities and equity $ 1,219,903,501 $ 1,227,523,075 The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016 . The multi-family securitized debt obligations had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016 . The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 13,948,754 $ 15,437,804 Interest expense 13,237,724 14,112,709 Net interest income $ 711,030 $ 1,325,095 General and administrative fees (648,934 ) (703,483 ) Unrealized gain (loss) on multi-family loans held in securitization trusts 1,299,630 1,536,317 Net income (loss) $ 1,361,726 $ 2,157,929 The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 17.9 % 17.9 % New York 15.7 % 15.7 % Washington 8.4 % 8.4 % Colorado 7.5 % 7.5 % Georgia 5.5 % 5.5 %
Residential mortgage loans
Variable Interest Entity [Line Items]
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS	RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS The Company has elected the fair value option on the assets and liabilities of the CSMC 2014-OAK1Trust, 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 $6,006,478 at March 31, 2017 and $6,374,821 at December 31, 2016 . The Company previously consolidated the assets and liabilities of the JPMMT 2014-OAK4Trust, but based on the sale of subordinated and first loss securities during the second quarter of 2016, has determined that it is no longer the primary beneficiary of the trust, and accordingly no longer consolidates the assets and liabilities of this trust. The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Residential mortgage loans held in securitization trusts $ 132,454,523 $ 141,126,720 Receivables 443,790 471,146 Total assets $ 132,898,313 $ 141,597,866 Liabilities and Equity Residential securitized debt obligations $ 126,535,978 $ 134,846,348 Payables 355,857 376,697 Total liabilities $ 126,891,835 $ 135,223,045 Equity 6,006,478 6,374,821 Total liabilities and equity $ 132,898,313 $ 141,597,866 The residential mortgage loans held in securitization trusts had an unpaid principal balance of $132,562,375 at March 31, 2017 and $140,690,705 at December 31, 2016 . The residential mortgage loan securitized debt obligations had an unpaid principal balance of $132,562,375 at March 31, 2017 and $140,690,705 at December 31, 2016 . The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 1,355,438 $ 4,152,406 Interest expense 1,074,352 3,178,442 Net interest income $ 281,086 $ 973,964 General and administrative fees (11,844 ) (132,418 ) Unrealized gain (loss) on residential loans held in securitization trusts (368,343 ) (2,554,077 ) Net income (loss) $ (99,101 ) $ (1,712,531 ) The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 California 37.0 % 37.6 % Washington 15.5 % 15.4 % Massachusetts 8.0 % 8.4 % Florida 5.9 % 5.7 %

USE OF SPECIAL PURPOSE ENTITIES

USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES	3 Months Ended
	Mar. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES	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-KF01Trust 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 March 31, 2017 and December 31, 2016 . 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 the trusts. For the Company’s remaining Multi-Family and Non-Agency MBS investments that are VIEs, the Company has determined that it is not the primary beneficiary, and accordingly these investments are accounted for as further described in Notes 2, 6 and 7. 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 no longer has an exposure to loss from these VIEs as they were sold during the first quarter of 2017.

RESTRICTED CASH

RESTRICTED CASH	3 Months Ended
	Mar. 31, 2017
Cash and Cash Equivalents [Abstract]
RESTRICTED CASH	RESTRICTED CASH As of March 31, 2017 , the Company is required to maintain certain cash balances with counterparties for broker activity and collateral for the Company's repurchase agreements in non-interest bearing accounts. The following table presents the Company's restricted cash balances as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Restricted cash balance held by: Broker counterparties for derivatives trading $ (915,590 ) $ (4,244,678 ) Repurchase counterparties as restricted collateral 7,693,120 10,355,222 Total $ 6,777,530 $ 6,110,544

BORROWINGS

BORROWINGS	3 Months Ended
	Mar. 31, 2017
Debt Disclosure [Abstract]
BORROWINGS	BORROWINGS Repurchase Agreements The Company has entered into repurchase agreements at March 31, 2017 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 1.06% at March 31, 2017 . Repurchase agreements are accounted for as secured borrowings since the Company maintains effective control of the financed assets. The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Amount outstanding Weighted average interest rate Market value of collateral held Amount outstanding Weighted average interest rate Market value of collateral held Agency $ 948,712,000 1.03 % $ 999,910,670 $ 755,221,000 0.97 % $ 790,190,232 Non-Agency 2,151,000 3.11 % 4,877,688 7,313,000 2.39 % 12,784,707 Multi-Family 20,362,000 2.35 % 35,810,200 42,277,000 2.52 % 73,146,566 Total $ 971,225,000 1.06 % $ 1,040,598,558 $ 804,811,000 1.07 % $ 876,121,505 At March 31, 2017 and December 31, 2016 , the repurchase agreements had the following remaining maturities: March 31, 2017 December 31, 2016 < or equal to 30 days $ 805,495,000 $ 737,823,000 31 to 60 days — 19,897,000 61 to 90 days 165,730,000 47,091,000 Total $ 971,225,000 $ 804,811,000 Under the repurchase agreements, 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 or (2) 50% of the highest stockholders’ equity on the last day of the preceding eight fiscal quarters. The Company was in compliance with these covenants as of March 31, 2017 and December 31, 2016 . The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2017 and December 31, 2016 : March 31, 2017 Repurchase Agreement Counterparties Amount Outstanding Percent of total amount outstanding Weighted days to maturity Market Value of collateral held North America $ 865,682,000 89.13 % 25 $ 926,452,396 Asia (1) 103,392,000 10.65 % 11 109,268,474 Europe (1) 2,151,000 0.22 % 81 4,877,688 Total $ 971,225,000 100.00 % 24 $ 1,040,598,558 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2016 Repurchase Agreement Counterparties Amount Outstanding Percent of total amount outstanding Weighted days to maturity Market Value of collateral held Wells Fargo Securities $ 33,666,000 4.18 % 8 $ 57,627,433 Other North America 703,788,000 87.45 % 16 742,690,286 Asia (1) 62,733,000 7.79 % 14 66,198,478 Europe (1) 4,624,000 0.58 % 44 9,605,308 Total $ 804,811,000 100.00 % 16 $ 876,121,505 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries.

DERIVATIVE INSTRUMENTS HEDGING

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES	3 Months Ended
	Mar. 31, 2017
Derivative Instrument Detail [Abstract]
DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES	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, swaptions and caps. In executing on the Company's 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 The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of March 31, 2017 and December 31, 2016 : March 31, 2017 Derivative Assets Derivative Liabilities Contracts Fair value Notional Contracts Fair value Notional Eurodollar Futures 10,037 $ 4,976,938 $ 10,037,000,000 — $ — $ — Total 10,037 $ 4,976,938 $ 10,037,000,000 — $ — $ — December 31, 2016 Derivative Assets Derivative Liabilities Contracts Fair value Notional Contracts Fair value Notional Eurodollar Futures 10,501 $ 8,053,813 $ 10,501,000,000 — $ — $ — Total 10,501 $ 8,053,813 $ 10,501,000,000 — $ — $ — 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, it 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. 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 March 31, 2017 and December 31, 2016 : March 31, 2017 Gross amounts not offset Description Gross amounts Gross amounts Net amounts Financial Cash Net Futures $ 4,976,938 $ — $ 4,976,938 $ — $ — $ 4,976,938 Total $ 4,976,938 $ — $ 4,976,938 $ — $ — $ 4,976,938 December 31, 2016 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized assets Gross amounts offset in the Balance Sheet Net amounts of assets presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net amount Futures $ 8,053,813 $ — $ 8,053,813 $ — $ — $ 8,053,813 Total $ 8,053,813 $ — $ 8,053,813 $ — $ — $ 8,053,813 March 31, 2017 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) Total $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) December 31, 2016 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) Total $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) (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. Income Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate the interest rate risk associated with its debt portfolio. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its interest rate swaps, swaptions and any other derivative instruments. The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Primary underlying risk Amount of realized gain (loss) Amount of unrealized appreciation (depreciation) Total Interest rate: Futures $ 2,233,051 $ (3,077,088 ) $ (844,037 ) Total $ 2,233,051 $ (3,077,088 ) $ (844,037 ) Three Months Ended March 31, 2016 Primary underlying risk Amount of realized gain (loss) Amount of unrealized appreciation (depreciation) Total Interest rate: Futures $ (1,585,541 ) $ (8,462,400 ) $ (10,047,941 ) Total $ (1,585,541 ) $ (8,462,400 ) $ (10,047,941 )

MSRs

MSRs	3 Months Ended
	Mar. 31, 2017
Mortgage Servicing Rights MSR Disclosure [Abstract]
MSRs	MSRs During the three months ended March 31, 2017 , the Company retained the servicing rights associated with an aggregate principal balance of $377,124,596 of residential mortgage loans that the Company had previously transferred to three residential mortgage loan securitization trusts. The Company’s MSRs are held and managed at the Company’s TRS, and the Company employs one or more licensed sub-servicers to perform the related 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. As a result of the Company’s determination that it is not the primary beneficiary of OAKS Mortgage Trust 2015-1 and OAKS Mortgage Trust 2015-2, it does not consolidate these trusts, and as a consequence, MSRs associated with these trusts are recorded on the Company’s condensed consolidated balance sheet at March 31, 2017 . In addition, the Company previously consolidated the assets and liabilities of the JPMMT 2014-OAK4Trust, but based on the sale of subordinated and first loss securities during the second quarter of 2016, has determined that it is no longer the primary beneficiary of the trust, and accordingly no longer consolidates its assets and liabilities. As a consequence, MSRs associated with this trust are also recorded on the Company’s condensed consolidated balance sheet at March 31, 2017 . The following table presents the Company’s MSR activity as of March 31, 2017 and the year ended December 31, 2016 : March 31, 2017 December 31, 2016 Balance at beginning of year $ 3,440,809 $ 4,268,673 MSRs retained from sales to securitizations — — MSRs related to deconsolidation of securitization trust — 364,163 Changes in fair value due to: Changes in valuation inputs or assumptions used in valuation model 54,662 (102,855 ) Other changes to fair value (1) (181,108 ) (1,089,172 ) Balance at end of period $ 3,314,363 $ 3,440,809 Loans associated with MSRs (2) $ 377,124,596 $ 397,925,409 MSR values as percent of loans (3) 0.88 % 0.86 % (1) Amounts represent changes due to realization of expected cash flows (2) Amounts represent the principal balance of loans associated with MSRs outstanding at March 31, 2017 and December 31, 2016 , respectively (3) Amounts represent the carrying value of MSRs at March 31, 2017 and December 31, 2016 , respectively divided by the outstanding balance of the loans associated with these MSRs The following table presents the components of servicing income recorded on the Company’s statements of operations for the three months ended March 31, 2017 , and March 31, 2016 : Three Months Ended Three Months Ended Servicing income, net $ 252,738 $ 223,678 Income from MSRs, net $ 252,738 $ 223,678

FINANCIAL INSTRUMENTS

FINANCIAL INSTRUMENTS	3 Months Ended
	Mar. 31, 2017
Fair Value Disclosures [Abstract]
FINANCIAL INSTRUMENTS	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 – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables summarize the valuation of the Company’s assets and liabilities at fair value within the fair value hierarchy levels as of March 31, 2017 and December 31, 2016 : March 31, 2017 Quoted prices in active markets for identical assets Level 1 Significant other observable inputs Level 2 Unobservable inputs Level 3 Balance as of March 31, 2017 Assets: Residential mortgage-backed securities (a) $ — $ 1,035,720,870 $ — $ 1,035,720,870 Residential mortgage loans — 2,822,751 — 2,822,751 Multi-Family mortgage loans held in securitization trusts — 1,215,157,038 — 1,215,157,038 Residential mortgage loans held in securitization trusts — 132,454,523 — 132,454,523 Mortgage servicing rights — — 3,314,363 3,314,363 Futures 4,976,938 — — 4,976,938 Total $ 4,976,938 $ 2,386,155,182 $ 3,314,363 $ 2,394,446,483 Liabilities: Multi-family securitized debt obligations $ — $ (1,195,536,818 ) $ — $ (1,195,536,818 ) Residential securitized debt obligations — (126,535,978 ) — (126,535,978 ) Total $ — $ (1,322,072,796 ) $ — $ (1,322,072,796 ) December 31, 2016 Quoted prices in active markets for identical assets Level 1 Significant other observable inputs Level 2 Unobservable inputs Level 3 Balance as of December 31, 2016 Assets: Residential mortgage-backed securities (a) $ — $ 870,929,601 $ — $ 870,929,601 Residential mortgage loans — 2,849,536 — 2,849,536 Multi-Family mortgage loans held in securitization trusts — 1,222,905,433 — 1,222,905,433 Residential mortgage loans held in securitization trusts — 141,126,720 — 141,126,720 Mortgage servicing rights — — 3,440,809 3,440,809 Futures 8,053,813 — — 8,053,813 Total $ 8,053,813 $ 2,237,811,290 $ 3,440,809 $ 2,249,305,912 Liabilities: Multi-family securitized debt obligations $ — $ (1,204,583,678 ) $ — $ (1,204,583,678 ) Residential securitized debt obligations — (134,846,348 ) — (134,846,348 ) Total $ — $ (1,339,430,026 ) $ — $ (1,339,430,026 ) (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 three months ended March 31, 2017 and year ended December 31, 2016 , the Company had no 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 March 31, 2017 and December 31, 2016 , the Company had $3,314,363 and $3,440,809 , respectively, in Level 3 assets. The Company’s Level 3 assets are comprised of MSRs. Accordingly, for more detail about Level 3 assets, also see Note 12. 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 March 31, 2017 and December 31, 2016 : As of March 31, 2017 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 8.2 - 25.5% 13.3 % Discount rate 12.0 % 12.0 % As of December 31, 2016 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 8.0 - 26.5% 13.7 % Discount rate 12.0 % 12.0 %

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	3 Months Ended
	Mar. 31, 2017
Related Party Transactions [Abstract]
RELATED PARTY TRANSACTIONS	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% per annum, calculated and payable monthly in arrears. For purposes of calculating the management fee, the Company’s stockholders’ equity means the sum of the net proceeds from all issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus the Company’s retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount that the Company pays for repurchases of the Company’s common stock since inception, and excluding any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income). This amount will be adjusted to exclude one-time events pursuant to changes in GAAP and certain non-cash items after discussions between the Manager and the Company’s independent directors and approval by a majority of the Company’s independent directors. To the extent asset impairment reduces the Company’s retained earnings at the end of any completed calendar quarter, it will reduce the management fee for such quarter. The Company’s stockholders’ equity for the purposes of calculating the management fee could be greater than the amount of stockholders’ equity shown on the financial statements. The initial term of the management agreement expired on May 16, 2014 , but there continue to be automatic, one -year renewals at the end of the initial term and each year thereafter. For the three months ended March 31, 2017 , the Company incurred management fees of $544,510 (March 31, 2016 : $623,223 ), included in Management Fee in the condensed consolidated statement of operations, of which $184,000 (March 31, 2016 : $415,000 ) was accrued but had not been paid, included in fees and expenses payable to Manager in the condensed consolidated balance sheets. 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 March 31, 2017 , the Company incurred reimbursable expenses of $1,208,943 (March 31, 2016 : $1,204,811 ), included in operating expenses reimbursable to Manager in the condensed consolidated statement of operations, of which $525,000 (March 31, 2016 : $522,427 ) was accrued but had not yet been paid, included in fees and expenses payable to Manager in the condensed consolidated balance sheets. 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% of the total number of issued and outstanding shares of common stock (on a fully diluted basis) at the time of each award. 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. The following table summarizes the activity related to restricted common stock for the three months ended March 31, 2017 and March 31, 2016: Three Months Ended March 31, 2017 2016 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding Unvested Shares at Beginning of Period 4,500 $ 5.97 15,500 $ 12.79 Granted — — — — Vested — — (9,500 ) 14.50 Outstanding Unvested Shares at End of Period 4,500 $ 5.97 6,000 $ 10.07 The Company’s lead independent director is also an independent director of an entity, MAXEX LLC (“ MAXEX ”), with which the Company has a commercial business relationship. The objective of MAXEX, together with its subsidiaries, is to create a whole loan mortgage trading platform which encompasses a centralized counterparty with a standardized purchase and sale contract and an independent dispute resolution process. As of December 31,2016, the Company had sold approximately $22.5 million of residential mortgage loans to a third party buyer that were effected through MAXEX, for which the Company did not receive compensation other than receipt of loan sale proceeds from the third party; the Company did not sell any additional loans through MAXEX in the first quarter of 2017. As of March 31, 2017 , the Company has received $218,412 in fees, net of $46,529 in marketing fees paid to MAXEX, relating to its provision to MAXEX of seller eligibility review and backstop services. These fees are recorded on the Company's condensed consolidated balance sheet as a liability in the line item "Deferred Income". See Note 15 for additional disclosure relating to the backstop services.

GUARANTEES

GUARANTEES	3 Months Ended
	Mar. 31, 2017
Guarantees [Abstract]
GUARANTEES	GUARANTEES The Company, through FOAC, is party to customary and standard loan repurchase obligations in respect of residential mortgage loans that it has sold into securitizations or to third parties, to the extent it is determined that there has been a breach of standard seller representations and warranties in respect of such loans. To date, the Company has not been required to repurchase any loan due to a claim of breached seller representations and warranties. In July 2016, the Company announced that it would no longer aggregate and securitize residential mortgage loans; however given FOAC's extensive experience understanding and analyzing seller rep and warranty risk, the Company has sought to capitalize on its infrastructure and knowledge to become the provider of seller eligibility review and backstop services to MAXEX. See Note 14 for a further description of MAXEX. MAXEX's wholly owned clearinghouse subsidiary, Central Clearing and Settlement LLC ("CCAS") functions as the central counterparty with which buyers and sellers transact, and acts as the buyer's counterparty for each transaction. Pursuant to a Master Agreement dated June 15, 2016, as amended August 29, 2016 and January 30, 2017, among MAXEX, CCAS and FOAC, FOAC provides seller eligibility review services under which it reviews, approves and monitors sellers that are to sell loans via CCAS. Once approved, and having signed the standardized loan sale contract, the seller then sells loan(s) to CCAS, and CCAS simultaneously sells loan(s) to the buyer on substantially the same terms including representations and warranties. To the extent that a seller approved by FOAC fails to honor its obligations to repurchase a loan based on an arbitration finding that it breached its representations and warranties, FOAC is obligated to backstop the seller's repurchase obligation. The term of the backstop guarantee is the earlier of the contractual maturity of the underlying mortgage, or its earlier repayment in full; however, the incidence of claims for breaches of representations and warranties over time is considered unlikely to occur more than five years from the sale of a mortgage. The maximum potential amount of future payments that the Company could be required to make under the outstanding backstop guarantees, which represents the outstanding balance of all underlying mortgage loans sold by approved sellers to CCAS, was estimated to be $492,012,203 as of March 31, 2017 and $469,015,145 as of December 31, 2016 . Amounts payable in excess of the outstanding principal of the related mortgage, for example any premium paid by the loan buyer or costs associated with collecting mortgage payments, are not currently estimable. Amounts that may become payable under the backstop guarantee are normally recoverable from the related seller, as well as from any payments received on (or from sale of property securing) the mortgage loan repurchased. Pursuant to the Master Agreement, FOAC is required to maintain minimum available liquidity equal to the greater of (i) $5.0 million or (ii) 0.10% of the aggregate unpaid principal balance of loans backstopped by FOAC, either directly or through a credit support agreement acceptable by MAXEX. As of March 31, 2017 , the Company was not aware of any circumstances expected to lead to the triggering of a backstop guarantee obligation. The Company assessed its backstop guarantee obligation as of March 31, 2017 in accordance with ASC 460, "Guarantees", and the carrying value of the liability was the unamortized portion of fees receivable in respect of the issuance of the guarantees. See Note 2 for information on the Company's accounting policy with respect to guarantee fees receivable. In addition, the Company enters into certain contracts that contain a variety of indemnification obligations, principally with the Manager, brokers and counterparties to repurchase agreements. The maximum potential future payment amount the Company could be required to pay under these indemnification obligations is unlimited. The Company has not incurred any costs to defend lawsuits or settle claims related to the indemnification obligations. As a result, the estimated fair value of these agreements is minimal. Accordingly, the Company recorded no liabilities for these agreements as of March 31, 2017 .

STOCKHOLDERS' EQUITY

STOCKHOLDERS' EQUITY	3 Months Ended
	Mar. 31, 2017
Stockholders' Equity Note [Abstract]
STOCKHOLDERS' EQUITY	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, XL Investments 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 entitled 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 shares of the Company’s common stock at a per share exercise price equal to 105% of the $15.00 IPO price, or $15.75 . Pursuant to the terms of the warrants and as a result of the deficiency dividend paid on December 27, 2016, the exercise price of the warrants was adjusted to $13.11 per share of common stock, and the number of shares of common stock purchasable upon exercise of the warrants increased to 3,753,492 . XL Global, Inc., a subsidiary of XL Group Ltd, holds a minority stake in the Manager. Common Stock The Company has 450,000,000 authorized shares of common stock, par value $0.01 per share, with 17,539,258 shares issued and outstanding as of both March 31, 2017 and December 31, 2016. On December 27, 2016, the Company paid a deficiency dividend in the amount of $19,384,684 representing $1.33 for each common share, payable in a combination of cash and stock with an aggregate payment of 20% of the deficiency dividend, or $3,878,042 , in cash and 80% of the deficiency dividend, or $15,506,642 , in stock. Pursuant to this deficiency dividend, the Company issued 2,936,864 shares of common stock for $5.28 per share. 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 million of the Company’s outstanding common stock. Shares of the Company’s common stock may be purchased in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b 18(b)(1) of the Securities Exchange Act of 1934, as amended. The timing, manner, price and amount of any repurchases will be determined at the Company’s discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, the Company intends to only consider repurchasing shares of the Company’s common stock when the purchase price is less than the Company’s estimate of the Company’s current net asset value per common share. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be canceled and, until reissued by the Company, will be deemed to be authorized but unissued shares of the Company’s common stock. Through December 31, 2016, the Company had repurchased 126,856 shares of common stock at a weighted average share price of $5.09 . No share repurchases were made during the three months ended March 31, 2017 . As of the date of this filing, $9.4 million of common stock remained authorized for future share repurchase under the Repurchase Program. Preferred Stock The Company has 50,000,000 authorized shares of preferred stock, par value $0.01 per share, with 1,610,000 shares of 8.75% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), par value of $0.01 per share and liquidation preference of $25.00 per share, issued and outstanding as of both March 31, 2017 and December 31, 2016. The Series A Preferred Stock is entitled to receive a dividend rate of 8.75% per year on the $25 liquidation preference and is senior to the common stock with respect to distributions upon liquidation, dissolution or winding up. The Company declares quarterly and pays monthly dividends on the shares of the Series A Preferred Stock, in arrears, on the 27th day of each month to holders of record at the close of business on the 15th day of each month. No dividends may be paid on the Company's common stock unless full cumulative dividends have been paid on the preferred stock. The Company has paid full cumulative dividends on its preferred stock on a monthly basis since it was first issued in December 2013. Distributions to stockholders For the 2017 taxable year to date, the Company has declared dividends to common stockholders totaling $2,630,889 , or $0.15 per share. The following table presents cash dividends declared by the Company on its common stock for the three months ended March 31, 2017 : Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 27, 2016 January 17, 2017 January 30, 2017 $ 876,963 $ 0.05000 December 27, 2016 February 15, 2017 February 27, 2017 $ 876,963 $ 0.05000 December 27, 2016 March 15, 2017 March 30, 2017 $ 876,963 $ 0.05000 The following table presents cash dividends declared by the Company on its Series A Preferred Stock for the three months ended March 31, 2017 : Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 27, 2016 January 17, 2017 January 27, 2017 $ 293,503 $ 0.18230 December 27, 2016 February 15, 2017 February 27, 2017 $ 293,503 $ 0.18230 December 27, 2016 March 15, 2017 March 27, 2017 $ 293,503 $ 0.18230

EARNINGS PER SHARE

EARNINGS PER SHARE	3 Months Ended
	Mar. 31, 2017
Earnings Per Share [Abstract]
EARNINGS PER SHARE	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. The following tables provide additional disclosure regarding the computation for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Net income (loss) $ 2,369,141 $ (16,947,614 ) Less dividends paid: Common stock $ 2,630,889 $ 2,630,021 Preferred stock 880,509 880,509 3,511,398 3,510,530 Undistributed earnings (deficit) $ (1,142,257 ) $ (20,458,144 ) Unvested Share-Based Payment Awards Common Stock Unvested Share-Based Payment Awards Common Stock Distributed earnings $ 0.15 $ 0.15 $ 0.18 $ 0.18 Undistributed earnings (deficit) (0.07 ) (0.07 ) (1.40 ) (1.40 ) Total $ 0.08 $ 0.08 $ (1.22 ) $ (1.22 ) No adjustment was required for the calculation of diluted earnings per share for the warrants described in Note 16 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	3 Months Ended
	Mar. 31, 2017
Segment Reporting [Abstract]
SEGMENT REPORTING	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	3 Months Ended
	Mar. 31, 2017
Income Tax Disclosure [Abstract]
INCOME TAXES	NOTE 19 – 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. The following table reconciles the Company’s TRS GAAP net income (loss) to taxable income (in thousands): As of March 31, 2017 As of December 31, 2016 GAAP consolidated net income (loss) attributable to Five Oaks Investment Corp 2,369 $ (7,990 ) GAAP net loss (income) from REIT operations (2,304 ) 6,654 GAAP net income (loss) of taxable subsidiary 65 (1,336 ) Capitalized transaction fees (10 ) (41 ) Unrealized gain (loss) 184 1,964 Deferred income (3 ) 204 Tax income of taxable subsidiary before utilization of net operating losses 236 791 Utilizations of net operating losses (236 ) (791 ) Net tax income of taxable subsidiaries — $ — The TRS has a deferred tax asset on which the Company has a 100% valuation allowance, comprised of the following (in thousands): As of March 31, 2017 As of December 31, 2016 Accumulated net operating losses of TRS 668 758 Unrealized gain 197 127 Capitalized transaction costs 192 196 Deferred income 76 77 AMT Credit 12 12 Deferred tax asset (liability) 1,145 1,170 Valuation allowance (1,145 ) (1,170 ) 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 March 31, 2017 , and December 31, 2016 . The Company recorded a 100% valuation allowance related to the TRS net deferred tax asset because it believes it is more likely than not that the deferred tax asset will not be fully realized. The valuation allowance decreased by $25,000 as a result of the corresponding decrease in the deferred tax asset. The realization of the deferred tax asset associated with net operating losses is dependent on projections of future taxable income, for which there is uncertainty when considering historic results and the nature of the business. Accordingly, no provision or benefit (current or deferred tax expense) for income taxes has been reflected in the accompanying financial statements. At March 31, 2017 , the TRS had net operating loss carryforwards for federal income tax purposes of $1.8 million , which are available to offset future taxable income and begin expiring in 2034. As of March 31, 2017, 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 2014, 2015 and 2016. 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 2014, 2015 and 2016 would be sufficient to offset any taxable income in 2017. For state tax purposes, the Company is in the process of determining filing requirements, but anticipates materially all prior losses to be recognized. The Company declared and paid in the fourth quarter of 2016 a deficiency dividend relating to a determination of an inability to offset certain net gains on hedging transactions in 2013 against capital losses on the sale of certain mortgage-backed securities. In connection with this declaration, the Company provisioned an amount of $1.86 million in 2016 for interest charges expected to be paid to the IRS following the payment of the dividend. On March 8, 2017, the Company paid an amount of $2.01 million to the IRS for interest charges related to the fourth quarter deficiency dividend payment. The amount paid exceeded the provision of $1.86 million taken in 2016 due to the timing of the payment and accordingly the Company recorded additional interest expense of $0.15 million , which is included in "Other interest expense" in the Company's condensed consolidated statements of operations. The first quarter payment of $2.01 million is included in "cash paid for interest" in the Company's condensed consolidated statements of cash flows.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	3 Months Ended
	Mar. 31, 2017
Subsequent Events [Abstract]
SUBSEQUENT EVENTS	SUBSEQUENT EVENTS We have reviewed subsequent events occurring through the date that these condensed consolidated financial statements were issued, and determined that no subsequent events occurred that would require accrual or additional disclosure.

SUMMARY OF SIGNIFICANT ACCOUN28

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies)	3 Months Ended
	Mar. 31, 2017
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation The consolidated balance sheet as of December 31, 2016 has been derived from audited financial statements. The condensed consolidated balance sheet as of March 31, 2017 , the condensed consolidated statements of operations and the condensed consolidated statements of comprehensive income (loss), for the three months ended March 31, 2017 and for the three months ended March 31, 2016 , the condensed consolidated statement of stockholders’ equity for the three months ended March 31, 2017 and the condensed consolidated statements of cash flows for the three months ended March 31, 2017 , and the three months ended March 31, 2016 , 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, 2016 , which was filed with the Securities and Exchange Commission (“SEC”) on March 16, 2017.
Reclassifications	Reclassifications Certain prior year amounts have been reclassified to conform to current year presentation.
Principles of Consolidation	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.
VIEs	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 March 31, 2017 , 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-KF01trusts, 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. However, the Company's maximum exposure to loss from consolidated trusts was $25,648,149 and $24,716,861 , respectively, at March 31, 2017, and December 31, 2016. At March 31, 2017 and December 31, 2016 , 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 $0 and $7,592,802 , respectively, and Multi-Family MBS $35,810,200 and $73,146,566 , respectively). GAAP also requires the Company to consider whether securitizations it 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 with an aggregate unpaid principal balance of $518,455,163 to Oaks Mortgage Trust Series 2015-1 and Oaks Mortgage Trust Series 2015-2, and accounted for these transfers as sales for financial reporting purposes, in accordance with Accounting Standards Codification (“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, and as March 31, 2017, this remains the case. The Company’s analysis incorporates the considerations applicable to Consolidation (Topic 810). The Company’s determination involves complex and subjective analysis resulting from the various legal and structural aspects of each transaction. This analysis has focused in particular on ASC 810-10-25-38C and 25-38D, along with ASC 810-10-25-38G and ASC 810-10-15-13A and 15-13B. The Company’s maximum exposure to loss from these VIEs was limited to the fair value of its investments in Non-Agency RMBS issued by the two VIEs, with an aggregate fair value of $0 at March 31, 2017 ( December 31, 2016 : $4,413,403 ). This amount is included in Available-for-sale (“AFS”) securities on the Company’s condensed consolidated balance sheet. The Company is party to customary and standard repurchase obligations in respect of loans that it has sold to the two VIEs to the extent they have breached standard representations and warranties, but is not a party to arrangements to provide financial support to the VIEs that the Company believes could expose it to additional loss.
Use of Estimates	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 and Restricted Cash	Cash and Cash Equivalents and Restricted Cash 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.
Deferred Income	Deferred Income Certain service revenues received in the period are recorded as a liability in the Company’s condensed consolidated balance sheets in the line item “Deferred income”, for subsequent recognition as income in the Company’s condensed consolidated statements of operations.
Deferred Offering Costs	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.
Revenue Recognition, Premium Amortization, and Discount Accretion	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 statements 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 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 investment’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 statements 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 statements of comprehensive income (loss).
Impairment	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	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 and Residential Mortgage Loans Held in Securitization Trusts	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-KF01Trust, and residential mortgage loans held in the CSMC 2014-OAK1 Trust, as of March 31, 2017 . 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 JPMMT 2014-OAK4, 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	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 sub-servicer, 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 10s, at Fair Value	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 Agreements	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 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	Residential Loan Warehouse Facilities The Company previously financed the acquisition of certain of its residential mortgage loans through the use of short-term, uncommitted residential loan warehouse facilities, which were structured as repurchase agreements. The Company accounted for outstandings under these facilities as collateralized financing transactions which were carried at their contractual amounts, and approximated fair value due to their short-term nature.
Secured Loans	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 were treated as secured financing transactions and were carried at their contractual amounts. In connection with FHLB advances, FOI was required to purchase FHLBI stock, which was recorded on the Company’s condensed consolidated balance sheet as an asset.
Multi-Family and Residential Securitized Debt Obligations	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.
Backstop Guarantees	Backstop Guarantees The Company, through FOAC and in return for fees, provides seller eligibility and backup guarantee services in respect of residential mortgage loans that are traded through one or more loan exchanges operated by MAXEX LLC ("MAXEX"). See Note 14 and 15 for additional information regarding MAXEX. To the extent that a loan seller approved by FOAC fails to honor its obligations to repurchase one or more loans based on an arbitration finding that such seller has breached its representations and warranties, FOAC provides a backstop guarantee of the repurchase obligation. The Company has evaluated its backstop guarantees pursuant to ASC 460, Guarantees, and has determined them to be performance guarantees, for which ASC 460 contains initial recognition and measurement requirements, and related disclosure requirements. FOAC is obligated in two respects: (i) a noncontingent liability, which represents FOAC's obligation to stand ready to perform under the terms of the guarantee in the event that the specified triggering event(s) occur, and (ii) the contingent liability, which represents FOAC's obligation to make future payments if those triggering events occur. FOAC recognizes the noncontingent liability at the inception of the guarantee at the fair value, which is the fee received or receivable, and is recorded on the Company's condensed consolidated balance sheet as a liability in the line item "Deferred income." The Company amortizes these fees into income on a straight-line basis over five years, based on an assumed constant prepayment rate of 15% for residential mortgage loans and other observable data. The Company's contingent liability is accounted for pursuant to ASC 450, Contingencies, pursuant to which the contingent liability must be recognized when its payment becomes probable and reasonably estimable.
Common Stock	Common Stock At March 31, 2017 , and December 31, 2016 , the Company was authorized to issue up to 450,000,000 shares of common stock, par value $0.01 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Company’s Board of Directors.
Stock Repurchase Program	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 million of the Company’s outstanding common stock. Subject to applicable securities laws, repurchase of common stock under the Repurchase Program may be made at times and in amounts as the Company deems appropriate, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be canceled and, until reissued by the Company, will be deemed to be authorized but unissued shares of common stock. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice
Preferred Stock	Preferred Stock At March 31, 2017 , and December 31, 2016 , the Company was authorized to issue up to 50,000,000 share of preferred stock, par value $0.01 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Company’s Board.
Income Taxes	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 with the exception of our taxable REIT subsidiaries, 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's accounting policy with respect to interest and penalties is to classify these amounts as other interest expense. As further described in Note 19, the Company declared and paid in the fourth quarter of 2016 a deficiency dividend relating to a determination of an inability to offset certain net gains on hedging transactions in 2013 against net capital losses on the sale of certain mortgage-backed securities. In connection with this declaration, during the first quarter of 2017, the Company paid an amount of $2.01 million for interest charges to the IRS. The Company previously provisioned $1.86 million in the third quarter of 2016 in the Company’s condensed consolidated balance sheets in the line item “Other accounts payable and accrued expenses”; the remaining balance of $0.15 million was expensed in the first quarter of 2017, which is included in “Other interest expense” in the Company’s condensed consolidated statements of operations. The first quarter 2017 payment of $2.01 million is included in "cash paid for interest" in the Company's condensed consolidated statements of cash flows. 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	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 17 for details of the computation of basic and diluted earnings per share.
Stock-Based Compensation	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 505, Equity ("ASC 505"), or ASC 718, Share-Based Payment (“ASC 718”), as appropriate. Compensation cost related to restricted common stock issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. Additionally, compensation cost related to restricted common stock issued to the non-management directors is measured at its estimated fair value at the grant date and amortized and expensed over the vesting period. See Note 14 for details of stock-based awards issuable under the Manager Equity Plan.
Comprehensive Income (Loss) Attributable to Common Stockholders	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 and dividends paid to preferred stockholders.
Recently Issued and/or Adopted Accounting Standards	Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the Financial Accounting Standards 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. Revenue recognition with respect to financial instruments is not within the scope of ASU 2014-09 and is not therefore expected to have a significant impact on the Company's consolidated financial statements. In May 2016, the FASB issued ASU 2016-11, “Revenue Recognition (Topic 605) and Derivatives and Hedging (Topic 815): Rescission of SEC Guidance Because of Accounting Standards Updates 2014-9 and 2014-16 Pursuant to Staff Announcements at the March 3, 2016 EITF Meeting.” The amendments make targeted improvements to clarify the principal versus agent assessment and are intended to make the guidance more operable and lead to more consistent application. The amendments in this update are effective immediately. Recognition and Measurement of Financial Assets and Financial Liabilities 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 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. Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, which amends ASC Topic 230, Statement of Cash Flows (“ASC 230”), to reduce diversity in how certain transactions are classified in the statement of cash flows. The ASU is effective for public business entities for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The Company has determined this ASU will not have a material impact on the Company's financial condition or results of operation. Interests Held through Related Parties That Are under Common Control In October 2016, the FASB issued ASU 2016-17, to amend the consolidation guidance on how a reporting entity that is the single decision maker of a VIE should treat indirect interests in the entity held through related parties that are under common control with the reporting entity when determining whether it is the primary beneficiary of that VIE. The ASU is effective for public business entities for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. The Company has determined this ASU will not have a material impact on the Company's financial condition or results of operation. Restricted Cash In November 2016, the FASB issued ASU 2016-18, which amends ASC Topic 230, Statement of Cash Flows, to reduce diversity in how entities present restricted cash and restricted cash equivalents in the statement of cash flows. The amendments in ASU 2016-18 require restricted cash and restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning-of-period and of end-of-period total amounts shown on the statement of cash flows. The ASU is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early application is permitted, provided that all of the amendments are adopted in the same period. The amendments of this ASU should generally be applied using a retrospective transition method to each period presented. The Company adopted the ASU beginning with the first quarter of 2017. The prior period consolidated statement of cash flows has been retrospectively adjusted to conform to this presentation.

SUMMARY OF SIGNIFICANT ACCOUN29

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables)	3 Months Ended
	Mar. 31, 2017
Accounting Policies [Abstract]
Reconciliation of Cash, Cash Equivalents and Restricted Cash	The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the statement of financial position that sum to the total of the same amounts shown in the statement of cash flows. March 31, 2017 December 31, 2016 Cash and cash equivalents $ 32,713,356 27,534,374 Restricted cash 7,693,120 10,355,222 Total cash, cash equivalents and restricted cash $ 40,406,476 37,889,596
Reconciliation of Cash, Cash Equivalents and Restricted Cash	The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the statement of financial position that sum to the total of the same amounts shown in the statement of cash flows. March 31, 2017 December 31, 2016 Cash and cash equivalents $ 32,713,356 27,534,374 Restricted cash 7,693,120 10,355,222 Total cash, cash equivalents and restricted cash $ 40,406,476 37,889,596 The following table presents the Company's restricted cash balances as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Restricted cash balance held by: Broker counterparties for derivatives trading $ (915,590 ) $ (4,244,678 ) Repurchase counterparties as restricted collateral 7,693,120 10,355,222 Total $ 6,777,530 $ 6,110,544

AVAILABLE-FOR-SALE SECURITIES (

AVAILABLE-FOR-SALE SECURITIES (Tables)	3 Months Ended
	Mar. 31, 2017
Investments, Debt and Equity Securities [Abstract]
AFS Investment Securities, by Collateral Type	The following table presents the Company’s AFS investment securities by collateral type at fair value as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 395,607,052 $ 326,958,046 Federal National Mortgage Association 604,303,618 463,232,187 Non-Agency — 7,592,802 Multi-Family 35,810,200 73,146,566 Total mortgage-backed securities $ 1,035,720,870 $ 870,929,601
Amortized Cost and Fair Value of the AFS Investment Securities, by Collateral Type	The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of March 31, 2017 and December 31, 2016 : March 31, 2017 Agency Non-Agency Multi-Family Total Face Value $ 981,890,924 $ — $ 48,666,385 $ 1,030,557,309 Unamortized premium 21,113,937 — — 21,113,937 Unamortized discount Designated credit reserve and OTTI (2) — — — — Net, unamortized (887,983 ) — (11,781,042 ) (12,669,025 ) Amortized Cost 1,002,116,878 — 36,885,343 1,039,002,221 Gross unrealized gain 3,968,851 — — 3,968,851 Gross unrealized (loss) (6,175,059 ) — (1,075,143 ) (7,250,202 ) Fair Value $ 999,910,670 $ — $ 35,810,200 $ 1,035,720,870 December 31, 2016 Agency Non-Agency (1) Multi - Family Total Face Value $ 779,219,115 $ 4,393,771 $ 100,907,815 $ 884,520,701 Unamortized premium 17,748,138 — — 17,748,138 Unamortized discount Designated credit reserve and OTTI (2) — (1,929,833 ) — (1,929,833 ) Net, unamortized (1,311,292 ) (369,887 ) (26,160,083 ) (27,841,262 ) Amortized Cost 795,655,961 2,094,051 74,747,732 872,497,744 Gross unrealized gain 2,663,975 234,647 509,519 3,408,141 Gross unrealized (loss) (8,129,703 ) (2,110,685 ) (10,240,388 ) Fair Value $ 790,190,233 $ 2,328,698 $ 73,146,566 $ 865,665,497 (1) Non-Agency AFS does not include interest-only securities with a notional amount of $509,109,248 , book value of $14,712,374 , unrealized loss of $9,448,270 and a fair value of $5,264,104 as of December 31, 2016 . (2) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $0 and $1,929,833 , at March 31, 2017 and December 31, 2016 , respectively.
Composition of OTTI Charges Recorded	The following tables present the composition of OTTI charges recorded by the Company for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended 2017 2016 Cumulative credit loss at beginning of period $ (3,074,728 ) $ (3,636,432 ) Additions: Initial (increase) in credit reserves — (20,994 ) Subsequent (increase) in credit reserves — — Initial additional other-than-temporary credit impairment losses — — 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 $ (3,074,728 ) $ (3,657,426 )
AFS Securities Not Deemed to be Other Than Temporarily Impaired	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 March 31, 2017 , and December 31, 2016 . At March 31, 2017 , the Company held 50 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and four were in an unrealized loss for more than twelve months. At December 31, 2016 , the Company held 46 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and five were in an unrealized loss position for more than twelve months: Less than 12 months Greater than 12 months Total Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses March 31, 2017 $ 583,314,803 $ (6,175,059 ) $ 35,810,200 $ (1,075,143 ) $ 619,125,003 $ (7,250,202 ) December 31, 2016 $ 619,414,077 $ (8,129,704 ) $ 45,879,433 $ (2,110,684 ) $ 665,293,510 $ (10,240,388 )
Summary of Net Realized Gain (Loss) From the Sale of AFS Securities	The following table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended Three Months Ended AFS securities sold, at cost $ 55,602,307 $ 88,932,353 Proceeds from AFS securities sold 46,285,304 82,592,076 Net realized gain (loss) on sale of AFS securities $ (9,317,003 ) $ (6,340,277 )
Fair Value of AFS Investment Securities, by Rate Type	The following tables present the fair value of AFS investment securities by rate type as of March 31, 2017 and December 31, 2016 : March 31, 2017 Agency Non-Agency Multi-Family Total Adjustable rate $ 998,859,824 $ — $ — $ 998,859,824 Fixed rate 1,050,846 — 35,810,200 36,861,046 Total $ 999,910,670 $ — $ 35,810,200 $ 1,035,720,870 December 31, 2016 Agency Non-Agency Multi- Family Total Adjustable rate $ 788,727,476 $ 7,592,802 $ — $ 796,320,278 Fixed rate 1,462,757 — 73,146,566 74,609,323 Total $ 790,190,233 $ 7,592,802 $ 73,146,566 $ 870,929,601
Fair Value of AFS Investment Securities, by Maturity Date	The following tables present the fair value of AFS investment securities by maturity date as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Greater than or equal to one year and less than five years 567,544,659 399,872,894 Greater than or equal to five years 468,176,211 471,056,707 Total $ 1,035,720,870 $ 870,929,601
Changes of the Unamortized Net Discount and Designated Credit Reserves on the MBS	The following tables present the changes for the three months ended March 31, 2017 and the year ended December 31, 2016 of the unamortized net discount and designated credit reserves on the Company’s MBS. Designated credit reserve Unamortized net discount Total Beginning Balance as of January 1, 2017 $ (1,929,833 ) $ (27,841,262 ) $ (29,771,095 ) Acquisitions — — — Dispositions 1,929,833 13,815,430 15,745,263 Accretion of net discount — 1,356,807 1,356,807 Realized gain on paydowns — — — Realized credit losses — — — Addition to credit reserves — — — Release of credit reserves — — — Ending Balance at March 31, 2017 $ — $ (12,669,025 ) $ (12,669,025 ) December 31, 2016 Designated credit reserve Unamortized net discount Total Beginning Balance as of January 1, 2016 $ (8,891,565 ) $ (57,280,275 ) $ (66,171,840 ) Acquisitions — — — Dispositions 4,893,913 21,637,637 26,531,550 Accretion of net discount — 6,703,365 6,703,365 Realized gain on paydowns — 325,709 325,709 Realized credit losses 3,023,911 (183,790 ) 2,840,121 Addition to credit reserves (1,021,433 ) 1,021,433 — Release of credit reserves 65,341 (65,341 ) — Ending Balance at December 31, 2016 $ (1,929,833 ) $ (27,841,262 ) $ (29,771,095 )
Components of Interest Income on AFS Securities	The following tables present components of interest income on the Company’s AFS securities for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Coupon interest Net (premium amortization)/ discount accretion Interest income Coupon interest Net (premium amortization)/ discount accretion Interest income Agency $ 5,380,580 $ 466,291 $ 5,846,871 $ 2,023,202 $ 23,184 $ 2,046,386 Non-Agency 42,254 9,946 52,200 762,081 496,838 1,258,919 Multi-Family — 923,551 923,551 257,869 1,335,864 1,593,733 Total $ 5,422,834 $ 1,399,788 $ 6,822,622 $ 3,043,152 $ 1,855,886 $ 4,899,038

MORTGAGE LOANS HELD-FOR-SALE,31

MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE (Tables)	3 Months Ended
	Mar. 31, 2017
Mortgage loans held-for-sale Disclosure [Abstract]
Carrying Value of Mortgage Loans Held-for-Sale	The following table presents the carrying value of the Company’s mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Unpaid principal balance $ 2,844,189 $ 2,867,263 Fair value adjustment (21,438 ) (17,727 ) Carrying value $ 2,822,751 $ 2,849,536
Geographic Concentrations	The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 56.2 % 56.0 % Kentucky 24.4 % 24.4 % North Carolina 19.4 % 19.6 % The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 17.9 % 17.9 % New York 15.7 % 15.7 % Washington 8.4 % 8.4 % Colorado 7.5 % 7.5 % Georgia 5.5 % 5.5 %

THE FREMF TRUSTS (Tables)

THE FREMF TRUSTS (Tables)	3 Months Ended
	Mar. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Condensed Consolidated Balance Sheets of the FREMF trusts	The condensed consolidated balance sheets of the FREMF trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Multi-family mortgage loans held in securitization trusts $ 1,215,157,038 $ 1,222,905,433 Receivables 4,746,463 4,617,642 Total assets $ 1,219,903,501 $ 1,227,523,075 Liabilities and Equity Multi-family securitized debt obligations $ 1,195,536,818 $ 1,204,583,678 Payables 4,725,012 4,597,357 Total liabilities $ 1,200,261,830 $ 1,209,181,035 Equity 19,641,671 18,342,040 Total liabilities and equity $ 1,219,903,501 $ 1,227,523,075
Condensed Consolidated Statements of Operations of the FREMF Trusts	The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 13,948,754 $ 15,437,804 Interest expense 13,237,724 14,112,709 Net interest income $ 711,030 $ 1,325,095 General and administrative fees (648,934 ) (703,483 ) Unrealized gain (loss) on multi-family loans held in securitization trusts 1,299,630 1,536,317 Net income (loss) $ 1,361,726 $ 2,157,929
Geographic Concentrations	The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 56.2 % 56.0 % Kentucky 24.4 % 24.4 % North Carolina 19.4 % 19.6 % The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 17.9 % 17.9 % New York 15.7 % 15.7 % Washington 8.4 % 8.4 % Colorado 7.5 % 7.5 % Georgia 5.5 % 5.5 %

RESIDENTIAL MORTGAGE LOAN SEC33

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Tables)	3 Months Ended
	Mar. 31, 2017
Variable Interest Entity [Line Items]
Condensed Consolidated Balance Sheets	The condensed consolidated balance sheets of the FREMF trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Multi-family mortgage loans held in securitization trusts $ 1,215,157,038 $ 1,222,905,433 Receivables 4,746,463 4,617,642 Total assets $ 1,219,903,501 $ 1,227,523,075 Liabilities and Equity Multi-family securitized debt obligations $ 1,195,536,818 $ 1,204,583,678 Payables 4,725,012 4,597,357 Total liabilities $ 1,200,261,830 $ 1,209,181,035 Equity 19,641,671 18,342,040 Total liabilities and equity $ 1,219,903,501 $ 1,227,523,075
Condensed Consolidated Statements of Operations	The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 13,948,754 $ 15,437,804 Interest expense 13,237,724 14,112,709 Net interest income $ 711,030 $ 1,325,095 General and administrative fees (648,934 ) (703,483 ) Unrealized gain (loss) on multi-family loans held in securitization trusts 1,299,630 1,536,317 Net income (loss) $ 1,361,726 $ 2,157,929
Geographic Concentrations	The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 56.2 % 56.0 % Kentucky 24.4 % 24.4 % North Carolina 19.4 % 19.6 % The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 Texas 17.9 % 17.9 % New York 15.7 % 15.7 % Washington 8.4 % 8.4 % Colorado 7.5 % 7.5 % Georgia 5.5 % 5.5 %
Residential mortgage loans
Variable Interest Entity [Line Items]
Condensed Consolidated Balance Sheets	The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at March 31, 2017 and December 31, 2016 are set out below: Balance Sheets March 31, 2017 December 31, 2016 Assets Residential mortgage loans held in securitization trusts $ 132,454,523 $ 141,126,720 Receivables 443,790 471,146 Total assets $ 132,898,313 $ 141,597,866 Liabilities and Equity Residential securitized debt obligations $ 126,535,978 $ 134,846,348 Payables 355,857 376,697 Total liabilities $ 126,891,835 $ 135,223,045 Equity 6,006,478 6,374,821 Total liabilities and equity $ 132,898,313 $ 141,597,866
Condensed Consolidated Statements of Operations	The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows: Statements of Operations Three Months Ended Three Months Ended Interest income $ 1,355,438 $ 4,152,406 Interest expense 1,074,352 3,178,442 Net interest income $ 281,086 $ 973,964 General and administrative fees (11,844 ) (132,418 ) Unrealized gain (loss) on residential loans held in securitization trusts (368,343 ) (2,554,077 ) Net income (loss) $ (99,101 ) $ (1,712,531 )
Geographic Concentrations	The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of March 31, 2017 and December 31, 2016 are as follows: March 31, 2017 December 31, 2016 California 37.0 % 37.6 % Washington 15.5 % 15.4 % Massachusetts 8.0 % 8.4 % Florida 5.9 % 5.7 %

RESTRICTED CASH (Tables)

RESTRICTED CASH (Tables)	3 Months Ended
	Mar. 31, 2017
Cash and Cash Equivalents [Abstract]
Restricted Cash Balances	The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the statement of financial position that sum to the total of the same amounts shown in the statement of cash flows. March 31, 2017 December 31, 2016 Cash and cash equivalents $ 32,713,356 27,534,374 Restricted cash 7,693,120 10,355,222 Total cash, cash equivalents and restricted cash $ 40,406,476 37,889,596 The following table presents the Company's restricted cash balances as of March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Restricted cash balance held by: Broker counterparties for derivatives trading $ (915,590 ) $ (4,244,678 ) Repurchase counterparties as restricted collateral 7,693,120 10,355,222 Total $ 6,777,530 $ 6,110,544

BORROWINGS (Tables)

BORROWINGS (Tables)	3 Months Ended
	Mar. 31, 2017
Debt Disclosure [Abstract]
Certain Characteristics of the Repurchase Agreements	The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Amount outstanding Weighted average interest rate Market value of collateral held Amount outstanding Weighted average interest rate Market value of collateral held Agency $ 948,712,000 1.03 % $ 999,910,670 $ 755,221,000 0.97 % $ 790,190,232 Non-Agency 2,151,000 3.11 % 4,877,688 7,313,000 2.39 % 12,784,707 Multi-Family 20,362,000 2.35 % 35,810,200 42,277,000 2.52 % 73,146,566 Total $ 971,225,000 1.06 % $ 1,040,598,558 $ 804,811,000 1.07 % $ 876,121,505
Repurchase Agreements Remaining Maturities	At March 31, 2017 and December 31, 2016 , the repurchase agreements had the following remaining maturities: March 31, 2017 December 31, 2016 < or equal to 30 days $ 805,495,000 $ 737,823,000 31 to 60 days — 19,897,000 61 to 90 days 165,730,000 47,091,000 Total $ 971,225,000 $ 804,811,000
Significant Counterparties of Repurchase Agreements	The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2017 and December 31, 2016 : March 31, 2017 Repurchase Agreement Counterparties Amount Outstanding Percent of total amount outstanding Weighted days to maturity Market Value of collateral held North America $ 865,682,000 89.13 % 25 $ 926,452,396 Asia (1) 103,392,000 10.65 % 11 109,268,474 Europe (1) 2,151,000 0.22 % 81 4,877,688 Total $ 971,225,000 100.00 % 24 $ 1,040,598,558 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries. December 31, 2016 Repurchase Agreement Counterparties Amount Outstanding Percent of total amount outstanding Weighted days to maturity Market Value of collateral held Wells Fargo Securities $ 33,666,000 4.18 % 8 $ 57,627,433 Other North America 703,788,000 87.45 % 16 742,690,286 Asia (1) 62,733,000 7.79 % 14 66,198,478 Europe (1) 4,624,000 0.58 % 44 9,605,308 Total $ 804,811,000 100.00 % 16 $ 876,121,505 (1) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries.

DERIVATIVE INSTRUMENTS HEDGIN36

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)	3 Months Ended
	Mar. 31, 2017
Derivative Instrument Detail [Abstract]
Gross Fair Value and Notional Amount of Derivative Financial Instruments	The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of March 31, 2017 and December 31, 2016 : March 31, 2017 Derivative Assets Derivative Liabilities Contracts Fair value Notional Contracts Fair value Notional Eurodollar Futures 10,037 $ 4,976,938 $ 10,037,000,000 — $ — $ — Total 10,037 $ 4,976,938 $ 10,037,000,000 — $ — $ — December 31, 2016 Derivative Assets Derivative Liabilities Contracts Fair value Notional Contracts Fair value Notional Eurodollar Futures 10,501 $ 8,053,813 $ 10,501,000,000 — $ — $ — Total 10,501 $ 8,053,813 $ 10,501,000,000 — $ — $ —
Offsetting Assets	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 March 31, 2017 and December 31, 2016 : March 31, 2017 Gross amounts not offset Description Gross amounts Gross amounts Net amounts Financial Cash Net Futures $ 4,976,938 $ — $ 4,976,938 $ — $ — $ 4,976,938 Total $ 4,976,938 $ — $ 4,976,938 $ — $ — $ 4,976,938 December 31, 2016 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized assets Gross amounts offset in the Balance Sheet Net amounts of assets presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net amount Futures $ 8,053,813 $ — $ 8,053,813 $ — $ — $ 8,053,813 Total $ 8,053,813 $ — $ 8,053,813 $ — $ — $ 8,053,813 March 31, 2017 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) Total $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) December 31, 2016 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) Total $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) (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.
Offsetting Liabilities	March 31, 2017 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) Total $ (971,225,000 ) $ — $ (971,225,000 ) $ — $ — $ (971,225,000 ) December 31, 2016 Gross amounts not offset in the Balance Sheet (1) Description Gross amounts of recognized liabilities Gross amounts offset in the Balance Sheet Net amounts of liabilities presented in the Balance Sheet Financial instruments Cash collateral (Received)/ Pledged Net Amount Repurchase agreements $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) Total $ (804,811,000 ) $ — $ (804,811,000 ) $ — $ — $ (804,811,000 ) (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.
Hedged Risks and Gains and Losses on Derivative Instruments	The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Primary underlying risk Amount of realized gain (loss) Amount of unrealized appreciation (depreciation) Total Interest rate: Futures $ 2,233,051 $ (3,077,088 ) $ (844,037 ) Total $ 2,233,051 $ (3,077,088 ) $ (844,037 ) Three Months Ended March 31, 2016 Primary underlying risk Amount of realized gain (loss) Amount of unrealized appreciation (depreciation) Total Interest rate: Futures $ (1,585,541 ) $ (8,462,400 ) $ (10,047,941 ) Total $ (1,585,541 ) $ (8,462,400 ) $ (10,047,941 )

MSRs (Tables)

MSRs (Tables)	3 Months Ended
	Mar. 31, 2017
Mortgage Servicing Rights MSR Disclosure [Abstract]
MSR Activity	The following table presents the Company’s MSR activity as of March 31, 2017 and the year ended December 31, 2016 : March 31, 2017 December 31, 2016 Balance at beginning of year $ 3,440,809 $ 4,268,673 MSRs retained from sales to securitizations — — MSRs related to deconsolidation of securitization trust — 364,163 Changes in fair value due to: Changes in valuation inputs or assumptions used in valuation model 54,662 (102,855 ) Other changes to fair value (1) (181,108 ) (1,089,172 ) Balance at end of period $ 3,314,363 $ 3,440,809 Loans associated with MSRs (2) $ 377,124,596 $ 397,925,409 MSR values as percent of loans (3) 0.88 % 0.86 % (1) Amounts represent changes due to realization of expected cash flows (2) Amounts represent the principal balance of loans associated with MSRs outstanding at March 31, 2017 and December 31, 2016 , respectively (3) Amounts represent the carrying value of MSRs at March 31, 2017 and December 31, 2016 , respectively divided by the outstanding balance of the loans associated with these MSRs
Components of Servicing Income	The following table presents the components of servicing income recorded on the Company’s statements of operations for the three months ended March 31, 2017 , and March 31, 2016 : Three Months Ended Three Months Ended Servicing income, net $ 252,738 $ 223,678 Income from MSRs, net $ 252,738 $ 223,678

FINANCIAL INSTRUMENTS (Tables)

FINANCIAL INSTRUMENTS (Tables)	3 Months Ended
	Mar. 31, 2017
Fair Value Disclosures [Abstract]
Valuation of Assets and Liabilities at Fair Value	The following tables summarize the valuation of the Company’s assets and liabilities at fair value within the fair value hierarchy levels as of March 31, 2017 and December 31, 2016 : March 31, 2017 Quoted prices in active markets for identical assets Level 1 Significant other observable inputs Level 2 Unobservable inputs Level 3 Balance as of March 31, 2017 Assets: Residential mortgage-backed securities (a) $ — $ 1,035,720,870 $ — $ 1,035,720,870 Residential mortgage loans — 2,822,751 — 2,822,751 Multi-Family mortgage loans held in securitization trusts — 1,215,157,038 — 1,215,157,038 Residential mortgage loans held in securitization trusts — 132,454,523 — 132,454,523 Mortgage servicing rights — — 3,314,363 3,314,363 Futures 4,976,938 — — 4,976,938 Total $ 4,976,938 $ 2,386,155,182 $ 3,314,363 $ 2,394,446,483 Liabilities: Multi-family securitized debt obligations $ — $ (1,195,536,818 ) $ — $ (1,195,536,818 ) Residential securitized debt obligations — (126,535,978 ) — (126,535,978 ) Total $ — $ (1,322,072,796 ) $ — $ (1,322,072,796 ) December 31, 2016 Quoted prices in active markets for identical assets Level 1 Significant other observable inputs Level 2 Unobservable inputs Level 3 Balance as of December 31, 2016 Assets: Residential mortgage-backed securities (a) $ — $ 870,929,601 $ — $ 870,929,601 Residential mortgage loans — 2,849,536 — 2,849,536 Multi-Family mortgage loans held in securitization trusts — 1,222,905,433 — 1,222,905,433 Residential mortgage loans held in securitization trusts — 141,126,720 — 141,126,720 Mortgage servicing rights — — 3,440,809 3,440,809 Futures 8,053,813 — — 8,053,813 Total $ 8,053,813 $ 2,237,811,290 $ 3,440,809 $ 2,249,305,912 Liabilities: Multi-family securitized debt obligations $ — $ (1,204,583,678 ) $ — $ (1,204,583,678 ) Residential securitized debt obligations — (134,846,348 ) — (134,846,348 ) Total $ — $ (1,339,430,026 ) $ — $ (1,339,430,026 ) (a) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4.
Quantitative Information About the Significant Unobservable Inputs Used in the Fair Value Measurement of MSRs Classified as Level 3	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 March 31, 2017 and December 31, 2016 : As of March 31, 2017 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 8.2 - 25.5% 13.3 % Discount rate 12.0 % 12.0 % As of December 31, 2016 Valuation Technique Unobservable Input Range Weighted Average Discounted cash flow Constant prepayment rate 8.0 - 26.5% 13.7 % Discount rate 12.0 % 12.0 %

STOCKHOLDERS' EQUITY (Tables)

STOCKHOLDERS' EQUITY (Tables)	3 Months Ended
	Mar. 31, 2017
Stockholders' Equity Note [Abstract]
Cash Dividends Declared	The following table presents cash dividends declared by the Company on its common stock for the three months ended March 31, 2017 : Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 27, 2016 January 17, 2017 January 30, 2017 $ 876,963 $ 0.05000 December 27, 2016 February 15, 2017 February 27, 2017 $ 876,963 $ 0.05000 December 27, 2016 March 15, 2017 March 30, 2017 $ 876,963 $ 0.05000 The following table presents cash dividends declared by the Company on its Series A Preferred Stock for the three months ended March 31, 2017 : Declaration Date Record Date Payment Date Dividend Amount Cash Dividend Per Share December 27, 2016 January 17, 2017 January 27, 2017 $ 293,503 $ 0.18230 December 27, 2016 February 15, 2017 February 27, 2017 $ 293,503 $ 0.18230 December 27, 2016 March 15, 2017 March 27, 2017 $ 293,503 $ 0.18230

EARNINGS PER SHARE (Tables)

EARNINGS PER SHARE (Tables)	3 Months Ended
	Mar. 31, 2017
Earnings Per Share [Abstract]
Computation of Basic and Diluted Earnings Per Share	The following tables provide additional disclosure regarding the computation for the three months ended March 31, 2017 and March 31, 2016 : Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Net income (loss) $ 2,369,141 $ (16,947,614 ) Less dividends paid: Common stock $ 2,630,889 $ 2,630,021 Preferred stock 880,509 880,509 3,511,398 3,510,530 Undistributed earnings (deficit) $ (1,142,257 ) $ (20,458,144 ) Unvested Share-Based Payment Awards Common Stock Unvested Share-Based Payment Awards Common Stock Distributed earnings $ 0.15 $ 0.15 $ 0.18 $ 0.18 Undistributed earnings (deficit) (0.07 ) (0.07 ) (1.40 ) (1.40 ) Total $ 0.08 $ 0.08 $ (1.22 ) $ (1.22 )

INCOME TAXES (Tables)

INCOME TAXES (Tables)	3 Months Ended
	Mar. 31, 2017
Income Tax Disclosure [Abstract]
Schedule of Taxable Income Reconciliation	The following table reconciles the Company’s TRS GAAP net income (loss) to taxable income (in thousands): As of March 31, 2017 As of December 31, 2016 GAAP consolidated net income (loss) attributable to Five Oaks Investment Corp 2,369 $ (7,990 ) GAAP net loss (income) from REIT operations (2,304 ) 6,654 GAAP net income (loss) of taxable subsidiary 65 (1,336 ) Capitalized transaction fees (10 ) (41 ) Unrealized gain (loss) 184 1,964 Deferred income (3 ) 204 Tax income of taxable subsidiary before utilization of net operating losses 236 791 Utilizations of net operating losses (236 ) (791 ) Net tax income of taxable subsidiaries — $ —
Schedule of Deferred Tax Assets	The TRS has a deferred tax asset on which the Company has a 100% valuation allowance, comprised of the following (in thousands): As of March 31, 2017 As of December 31, 2016 Accumulated net operating losses of TRS 668 758 Unrealized gain 197 127 Capitalized transaction costs 192 196 Deferred income 76 77 AMT Credit 12 12 Deferred tax asset (liability) 1,145 1,170 Valuation allowance (1,145 ) (1,170 ) Net non-current deferred tax asset (liability) — —

SUMMARY OF SIGNIFICANT ACCOUN42

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) - USD ($)		Mar. 08, 2017	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016	Dec. 31, 2016	Mar. 31, 2017	Sep. 30, 2016	Dec. 31, 2015	Dec. 15, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Maximum exposure to loss from consolidated trusts			$ 25,648,149		$ 24,716,861
Fair value of investments	[1]		$ 1,035,720,870		$ 870,929,601	$ 870,929,601	$ 1,035,720,870
Common stock, shares authorized (in shares)			450,000,000		450,000,000	450,000,000	450,000,000
Common stock, par value (in dollars per share)			$ 0.01		$ 0.01	$ 0.01	$ 0.01
Common stock, shares issued (in shares)			17,539,258		17,539,258	17,539,258	17,539,258
Common stock, shares outstanding (in shares)			17,539,258		17,539,258	17,539,258	17,539,258
Stock repurchase program, authorized amount										$ 10,000,000
Preferred stock, shares authorized (in shares)			50,000,000		50,000,000	50,000,000	50,000,000
Preferred stock, par value (in dollars per share)			$ 0.01		$ 0.01	$ 0.01	$ 0.01
Preferred stock, shares issued (in shares)			1,610,000		1,610,000	1,610,000	1,610,000
Preferred stock, shares outstanding (in shares)			1,610,000		1,610,000	1,610,000	1,610,000
Income taxes, interest paid			$ 4,147,592	$ 1,666,481
Stock Repurchase Program
Schedule of Trading Securities and Other Trading Assets [Line Items]
Common stock shares repurchased (in shares)			0			126,856	126,856
Weighted average share price of common stock repurchased (in dollars per share)						$ 5.09	$ 5.09
Stock repurchase program, remaining authorized amount			$ 9,400,000				$ 9,400,000
Non-Agency
Schedule of Trading Securities and Other Trading Assets [Line Items]
Fair value of investments			0		$ 7,592,802	$ 7,592,802	0
Maximum loss exposure from VIEs			0		4,413,403	4,413,403	0
Multi-Family MBS
Schedule of Trading Securities and Other Trading Assets [Line Items]
Fair value of investments			35,810,200		$ 73,146,566	$ 73,146,566	$ 35,810,200
Residential mortgage loans
Schedule of Trading Securities and Other Trading Assets [Line Items]
Unpaid mortgage balance									$ 518,455,163
Internal Revenue Service (IRS)
Schedule of Trading Securities and Other Trading Assets [Line Items]
Income taxes, interest paid		$ 2,010,000	2,010,000
Income taxes, interest provision								$ 1,860,000
Income taxes, interest expense			$ 150,000
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

SUMMARY OF SIGNIFICANT ACCOUN43

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Reconciliation of Cash, Cash Equivalents and Restricted Cash (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Accounting Policies [Abstract]
Cash and cash equivalents	[1]	$ 32,713,356	$ 27,534,374
Restricted cash	[1]	7,693,120	10,355,222
Total cash, cash equivalents and restricted cash		$ 40,406,476	$ 37,889,596	$ 27,252,438	$ 34,315,356
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

AVAILABLE-FOR-SALE SECURITIES -

AVAILABLE-FOR-SALE SECURITIES - AFS Securities by Collateral Type (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities	[1]	$ 1,035,720,870	$ 870,929,601
Agency
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities		999,910,670	790,190,233
Agency | Federal Home Loan Mortgage Corporation
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities		395,607,052	326,958,046
Agency | Federal National Mortgage Association
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities		604,303,618	463,232,187
Non-Agency
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities		0	7,592,802
Multi-Family
Schedule of Available-for-sale Securities [Line Items]
Mortgage-backed securities		$ 35,810,200	$ 73,146,566
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

AVAILABLE-FOR-SALE SECURITIES45

AVAILABLE-FOR-SALE SECURITIES - Amortized Cost and Fair Value of AFS Investments by Collateral Type (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Face Value	$ 1,030,557,309	$ 884,520,701
Unamortized premium	21,113,937	17,748,138
Unamortized discount
Designated credit reserve and OTTI	0	(1,929,833)	$ (8,891,565)
Net, unamortized	(12,669,025)	(27,841,262)	$ (57,280,275)
Amortized Cost	1,039,002,221	872,497,744
Gross unrealized gain	3,968,851	3,408,141
Gross unrealized (loss)	(7,250,202)	(10,240,388)
Fair Value	1,035,720,870	865,665,497
Agency
Schedule of Available-for-sale Securities [Line Items]
Face Value	981,890,924	779,219,115
Unamortized premium	21,113,937	17,748,138
Unamortized discount
Designated credit reserve and OTTI	0	0
Net, unamortized	(887,983)	(1,311,292)
Amortized Cost	1,002,116,878	795,655,961
Gross unrealized gain	3,968,851	2,663,975
Gross unrealized (loss)	(6,175,059)	(8,129,703)
Fair Value	999,910,670	790,190,233
Non-Agency
Schedule of Available-for-sale Securities [Line Items]
Face Value	0	4,393,771
Unamortized premium	0	0
Unamortized discount
Designated credit reserve and OTTI	0	(1,929,833)
Net, unamortized	0	(369,887)
Amortized Cost	0	2,094,051
Gross unrealized gain	0	234,647
Gross unrealized (loss)	0
Fair Value	0	2,328,698
Multi-Family
Schedule of Available-for-sale Securities [Line Items]
Face Value	48,666,385	100,907,815
Unamortized premium	0	0
Unamortized discount
Designated credit reserve and OTTI	0	0
Net, unamortized	(11,781,042)	(26,160,083)
Amortized Cost	36,885,343	74,747,732
Gross unrealized gain	0	509,519
Gross unrealized (loss)	(1,075,143)	(2,110,685)
Fair Value	$ 35,810,200	$ 73,146,566

AVAILABLE-FOR-SALE SECURITIES46

AVAILABLE-FOR-SALE SECURITIES - Narrative (Details)	3 Months Ended		12 Months Ended
	Mar. 31, 2017USD ($)security	Mar. 31, 2016USD ($)	Dec. 31, 2016USD ($)security	Dec. 31, 2015USD ($)
Schedule of Available-for-sale Securities [Line Items]
Credit reserves	$ 0	$ (20,994)	$ 1,929,833
Credit-related OTTI Losses	$ 3,074,728	3,657,426	$ 3,074,728	$ 3,636,432
Number of AFS securities | security	50		46
Number of AFS securities, unrealized loss position for less than twelve months | security	31		31
Number of AFS securities, unrealized loss position for more than twelve months | security	4		5
Unrealized gains (losses) on AFS securities	$ 3,550,902	(1,101,326)
Non Agency
Schedule of Available-for-sale Securities [Line Items]
Interest-only securities, notional amount			$ 509,109,248
Interest-only securities, book value			14,712,374
Interest-only securities, unrealized loss			9,448,270
Interest-only securities, fair value			$ 5,264,104
Credit-related OTTI Losses		$ 20,000
AFS Securities
Schedule of Available-for-sale Securities [Line Items]
Unrealized gains (losses) on AFS securities	$ 3,550,902

AVAILABLE-FOR-SALE SECURITIES47

AVAILABLE-FOR-SALE SECURITIES - OTTI Charges (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss at beginning of period	$ (3,074,728)	$ (3,636,432)
Additions:
Initial (increase) in credit reserves	0	(20,994)
Subsequent (increase) in credit reserves	0	0
Initial additional other-than-temporary credit impairment losses	0	0
Subsequent additional other-than-temporary credit impairment losses	0	0
Reductions:
For securities sold decrease in credit reserves	0	0
For securities sold decrease in other-than-temporary impairment	0	0
Cumulative credit (loss) at end of period	$ (3,074,728)	$ (3,657,426)

AVAILABLE-FOR-SALE SECURITIES48

AVAILABLE-FOR-SALE SECURITIES - Carrying Value of AFS Securities Not Deemed to be Other Than Temporarily Impaired (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Less than 12 months, Estimated Fair Value	$ 583,314,803	$ 619,414,077
Less than 12 months, Gross Unrealized Losses	(6,175,059)	(8,129,704)
Greater than 12 months, Estimated Fair Value	35,810,200	45,879,433
Greater than 12 months, Gross Unrealized Losses	(1,075,143)	(2,110,684)
Total, Estimated Fair Value	619,125,003	665,293,510
Total, Gross Unrealized Losses	$ (7,250,202)	$ (10,240,388)

AVAILABLE-FOR-SALE SECURITIES49

AVAILABLE-FOR-SALE SECURITIES - Realized Gain (Loss) from Sale of AFS Securities (Details) - AFS Securities - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
AFS securities sold, at cost	$ 55,602,307	$ 88,932,353
Proceeds from AFS securities sold	46,285,304	82,592,076
Net realized gain (loss) on sale of AFS securities	$ (9,317,003)	$ (6,340,277)

AVAILABLE-FOR-SALE SECURITIES50

AVAILABLE-FOR-SALE SECURITIES - Fair Value of AFS Investment Securities by Rate Type (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities	[1]	$ 1,035,720,870	$ 870,929,601
Adjustable rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		998,859,824	796,320,278
Fixed rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		36,861,046	74,609,323
Agency
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		999,910,670	790,190,233
Agency | Adjustable rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		998,859,824	788,727,476
Agency | Fixed rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		1,050,846	1,462,757
Non-Agency
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		0	7,592,802
Non-Agency | Adjustable rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		0	7,592,802
Non-Agency | Fixed rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		0	0
Multi-Family
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		35,810,200	73,146,566
Multi-Family | Adjustable rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		0	0
Multi-Family | Fixed rate
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale securities		$ 35,810,200	$ 73,146,566
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

AVAILABLE-FOR-SALE SECURITIES51

AVAILABLE-FOR-SALE SECURITIES - Fair Value of AFS Investment Securities by Maturity Date (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Greater than or equal to one year and less than five years	$ 567,544,659	$ 399,872,894
Greater than or equal to five years	468,176,211	471,056,707
Total	$ 1,035,720,870	$ 870,929,601

AVAILABLE-FOR-SALE SECURITIES52

AVAILABLE-FOR-SALE SECURITIES - Changes of Unamortized Net Discount and Designated Credit Reserves (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Designated credit reserve
Beginning Balance	$ (1,929,833)	$ (8,891,565)
Acquisitions	0	0
Dispositions	1,929,833	4,893,913
Accretion of net discount	0	0
Realized gain on paydowns	0	0
Realized credit losses	0	3,023,911
Addition to credit reserves	0	(1,021,433)
Release of credit reserves	0	65,341
Ending Balance	0	(1,929,833)
Unamortized net discount
Beginning Balance	(27,841,262)	(57,280,275)
Acquisitions	0	0
Dispositions	13,815,430	21,637,637
Accretion of net discount	1,356,807	6,703,365
Realized gain on paydowns	0	325,709
Realized credit losses	0	(183,790)
Addition to credit reserves	0	1,021,433
Release of credit reserves	0	(65,341)
Ending Balance	(12,669,025)	(27,841,262)
Total
Beginning Balance	(29,771,095)	(66,171,840)
Acquisitions	0	0
Dispositions	15,745,263	26,531,550
Accretion of net discount	1,356,807	6,703,365
Realized gain on paydowns	0	325,709
Realized credit losses	0	2,840,121
Addition to credit reserves	0	0
Release of credit reserves	0	0
Ending Balance	$ (12,669,025)	$ (29,771,095)

AVAILABLE-FOR-SALE SECURITIES53

AVAILABLE-FOR-SALE SECURITIES - Components of Interest Income on AFS Securities (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Schedule of Available-for-sale Securities [Line Items]
Coupon interest	$ 5,422,834	$ 3,043,152
Net (premium amortization)/ discount accretion	1,399,788	1,855,886
Interest income	6,822,622	4,899,038
Agency
Schedule of Available-for-sale Securities [Line Items]
Coupon interest	5,380,580	2,023,202
Net (premium amortization)/ discount accretion	466,291	23,184
Interest income	5,846,871	2,046,386
Non-Agency
Schedule of Available-for-sale Securities [Line Items]
Coupon interest	42,254	762,081
Net (premium amortization)/ discount accretion	9,946	496,838
Interest income	52,200	1,258,919
Multi-Family
Schedule of Available-for-sale Securities [Line Items]
Coupon interest	0	257,869
Net (premium amortization)/ discount accretion	923,551	1,335,864
Interest income	$ 923,551	$ 1,593,733

MORTGAGE LOANS HELD-FOR-SALE,54

MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE - Carrying Value (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Mortgage loans held-for-sale [Line Items]
Carrying value	[1]	$ 2,822,751	$ 2,849,536
Mortgage Loans Held-for-Sale
Mortgage loans held-for-sale [Line Items]
Carrying value		2,822,751	2,849,536
Unpaid principal balance | Mortgage Loans Held-for-Sale
Mortgage loans held-for-sale [Line Items]
Carrying value		2,844,189	2,867,263
Fair value adjustment | Mortgage Loans Held-for-Sale
Mortgage loans held-for-sale [Line Items]
Carrying value		$ (21,438)	$ (17,727)
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

MORTGAGE LOANS HELD-FOR-SALE,55

MORTGAGE LOANS HELD-FOR-SALE, at FAIR VALUE - Geographic Concentrations (Details) - Geographic Concentration Risk - Mortgage Loans Held-for-Sale	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Texas
Concentration Risk [Line Items]
Concentration risk, percentage	56.20%	56.00%
Kentucky
Concentration Risk [Line Items]
Concentration risk, percentage	24.40%	24.40%
North Carolina
Concentration Risk [Line Items]
Concentration risk, percentage	19.40%	19.60%

THE FREMF TRUSTS - Narrative (D

THE FREMF TRUSTS - Narrative (Details) - FREMF Trusts - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Balance Sheet
Investment in Multi-Family MBS, carrying value	$ 19,641,671	$ 18,342,040
Multi-family mortgage loans held in securitization trusts, unpaid principal balance	1,142,517,158	1,147,753,367
Multi-family securitized debt obligations, unpaid principal balance	$ 1,142,517,158	$ 1,147,753,367

THE FREMF TRUSTS - Condensed Co

THE FREMF TRUSTS - Condensed Consolidated Balance Sheets (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	[1]	$ 1,215,157,038	$ 1,222,905,433
Total assets	[1]	2,445,946,439	2,299,601,203
Liabilities and Equity
Multi-family securitized debt obligations	[1]	1,195,536,818	1,204,583,678
Total liabilities	[1]	2,301,073,619	2,157,134,338
Equity	[1]	144,872,820	142,466,865
Total liabilities and stockholders' equity	[1]	2,445,946,439	2,299,601,203
FREMF Trusts
Assets
Multi-family mortgage loans held in securitization trusts		1,215,157,038	1,222,905,433
Receivables		4,746,463	4,617,642
Total assets		1,219,903,501	1,227,523,075
Liabilities and Equity
Multi-family securitized debt obligations		1,195,536,818	1,204,583,678
Payables		4,725,012	4,597,357
Total liabilities		1,200,261,830	1,209,181,035
Equity		19,641,671	18,342,040
Total liabilities and stockholders' equity		$ 1,219,903,501	$ 1,227,523,075
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

THE FREMF TRUSTS - Condensed 58

THE FREMF TRUSTS - Condensed Consolidated Statements of Operations (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Statements of Operations
Net interest income	$ 5,783,761	$ 5,760,431
General and administrative fees	(1,588,572)	(1,632,511)
Unrealized gain (loss) on multi-family loans held in securitization trusts	1,299,630	1,536,317
Net income (loss)	2,369,141	(16,947,614)
FREMF Trusts
Statements of Operations
Interest income	13,948,754	15,437,804
Interest expense	13,237,724	14,112,709
Net interest income	711,030	1,325,095
General and administrative fees	(648,934)	(703,483)
Unrealized gain (loss) on multi-family loans held in securitization trusts	1,299,630	1,536,317
Net income (loss)	$ 1,361,726	$ 2,157,929

THE FREMF TRUSTS - Geographic C

THE FREMF TRUSTS - Geographic Concentrations (Details) - Geographic Concentration Risk - FREMF Trusts	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Texas
Concentration Risk [Line Items]
Concentration risk, percentage	17.90%	17.90%
New York
Concentration Risk [Line Items]
Concentration risk, percentage	15.70%	15.70%
Washington
Concentration Risk [Line Items]
Concentration risk, percentage	8.40%	8.40%
Colorado
Concentration Risk [Line Items]
Concentration risk, percentage	7.50%	7.50%
Georgia
Concentration Risk [Line Items]
Concentration risk, percentage	5.50%	5.50%

RESIDENTIAL MORTGAGE LOAN SEC60

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS - Narrative (Details) - Residential mortgage loans - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Variable Interest Entity [Line Items]
Investment in Non-Agency RMBS, carrying value	$ 6,006,478	$ 6,374,821
Residential mortgage loans held in securitization trust, unpaid balance	132,562,375	140,690,705
Residential mortgage loan securitized debt obligation, unpaid principal balance	$ 132,562,375	$ 140,690,705

RESIDENTIAL MORTGAGE LOAN SEC61

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS - Condensed Consolidated Balance Sheets (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Assets
Residential mortgage loans held in securitization trusts	[1]	$ 1,215,157,038	$ 1,222,905,433
Total assets	[1]	2,445,946,439	2,299,601,203
Liabilities and Equity
Residential securitized debt obligations	[1]	1,195,536,818	1,204,583,678
Total liabilities	[1]	2,301,073,619	2,157,134,338
Equity	[1]	144,872,820	142,466,865
Total liabilities and stockholders' equity	[1]	2,445,946,439	2,299,601,203
Residential mortgage loans
Assets
Residential mortgage loans held in securitization trusts		132,454,523	141,126,720
Receivables		443,790	471,146
Total assets		132,898,313	141,597,866
Liabilities and Equity
Residential securitized debt obligations		126,535,978	134,846,348
Payables		355,857	376,697
Total liabilities		126,891,835	135,223,045
Equity		6,006,478	6,374,821
Total liabilities and stockholders' equity		$ 132,898,313	$ 141,597,866
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

RESIDENTIAL MORTGAGE LOAN SEC62

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS - Condensed Consolidated Statements of Operations (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Statements of Operations
Net interest income	$ 5,783,761	$ 5,760,431
General and administrative fees	(1,588,572)	(1,632,511)
Unrealized gain (loss) on residential loans held in securitization trusts	(368,343)	(2,554,077)
Net income (loss)	2,369,141	(16,947,614)
Residential mortgage loans
Statements of Operations
Interest income	1,355,438	4,152,406
Interest expense	1,074,352	3,178,442
Net interest income	281,086	973,964
General and administrative fees	(11,844)	(132,418)
Unrealized gain (loss) on residential loans held in securitization trusts	(368,343)	(2,554,077)
Net income (loss)	$ (99,101)	$ (1,712,531)

RESIDENTIAL MORTGAGE LOAN SEC63

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS - Geographic Concentrations (Details) - Geographic Concentration Risk - Residential mortgage loans	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
California
Variable Interest Entity [Line Items]
Concentration risk, percentage	37.00%	37.60%
Washington
Variable Interest Entity [Line Items]
Concentration risk, percentage	15.50%	15.40%
Massachusetts
Variable Interest Entity [Line Items]
Concentration risk, percentage	8.00%	8.40%
Florida
Variable Interest Entity [Line Items]
Concentration risk, percentage	5.90%	5.70%

RESTRICTED CASH (Details)

RESTRICTED CASH (Details) - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Restricted cash balance held by:
Due to broker	[1]	$ (915,590)	$ (4,244,678)
Restricted cash	[1]	7,693,120	10,355,222
Total		6,777,530	6,110,544
Broker counterparties for derivatives trading
Restricted cash balance held by:
Due to broker		(915,590)	(4,244,678)
Repurchase counterparties as restricted collateral
Restricted cash balance held by:
Restricted cash		$ 7,693,120	$ 10,355,222
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

BORROWINGS - Narrative (Details

BORROWINGS - Narrative (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Debt Disclosure [Abstract]
Repurchase agreements, weighted average interest rate	1.06%	1.07%
Repurchase agreement covenant, minimum stockholders' equity	$ 75,000,000
Repurchase agreement covenant, minimum stockholders' equity, percentage of historical stockholders' equity	50.00%

BORROWINGS - Types of Repurchas

BORROWINGS - Types of Repurchase Agreements (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Repurchase Agreements
Amount outstanding	$ 971,225,000	$ 804,811,000
Weighted average interest rate	1.06%	1.07%
Market value of collateral held	$ 1,040,598,558	$ 876,121,505
Agency
Repurchase Agreements
Amount outstanding	$ 948,712,000	$ 755,221,000
Weighted average interest rate	1.03%	0.97%
Market value of collateral held	$ 999,910,670	$ 790,190,232
Non-Agency
Repurchase Agreements
Amount outstanding	$ 2,151,000	$ 7,313,000
Weighted average interest rate	3.11%	2.39%
Market value of collateral held	$ 4,877,688	$ 12,784,707
Multi-Family
Repurchase Agreements
Amount outstanding	$ 20,362,000	$ 42,277,000
Weighted average interest rate	2.35%	2.52%
Market value of collateral held	$ 35,810,200	$ 73,146,566

BORROWINGS - Maturities of Repu

BORROWINGS - Maturities of Repurchase Agreements (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Repurchase Agreements [Line Items]
Repurchase agreements	$ 971,225,000	$ 804,811,000
Maturity Less Than or Equal to 30 Days
Repurchase Agreements [Line Items]
Repurchase agreements	805,495,000	737,823,000
Maturity 31 To 60 Days
Repurchase Agreements [Line Items]
Repurchase agreements	0	19,897,000
Maturity 61 To 90 Days
Repurchase Agreements [Line Items]
Repurchase agreements	$ 165,730,000	$ 47,091,000

BORROWINGS - Significant Counte

BORROWINGS - Significant Counterparties of Repurchase Agreements (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Repurchase Agreement Counterparty [Line Items]
Amount Outstanding	$ 971,225,000	$ 804,811,000
Percent of total amount outstanding	100.00%	100.00%
Weighted days to maturity	24 days	16 days
Market Value of collateral held	$ 1,040,598,558	$ 876,121,505
Wells Fargo Securities
Repurchase Agreement Counterparty [Line Items]
Amount Outstanding		$ 33,666,000
Percent of total amount outstanding		4.18%
Weighted days to maturity		8 days
Market Value of collateral held		$ 57,627,433
North America
Repurchase Agreement Counterparty [Line Items]
Amount Outstanding	$ 865,682,000	$ 703,788,000
Percent of total amount outstanding	89.13%	87.45%
Weighted days to maturity	25 days	16 days
Market Value of collateral held	$ 926,452,396	$ 742,690,286
Asia
Repurchase Agreement Counterparty [Line Items]
Amount Outstanding	$ 103,392,000	$ 62,733,000
Percent of total amount outstanding	10.65%	7.79%
Weighted days to maturity	11 days	14 days
Market Value of collateral held	$ 109,268,474	$ 66,198,478
Europe
Repurchase Agreement Counterparty [Line Items]
Amount Outstanding	$ 2,151,000	$ 4,624,000
Percent of total amount outstanding	0.22%	0.58%
Weighted days to maturity	81 days	44 days
Market Value of collateral held	$ 4,877,688	$ 9,605,308

DERIVATIVE INSTRUMENTS HEDGIN69

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES - Fair Value and Notional Amounts (Details)	Mar. 31, 2017USD ($)contract	Dec. 31, 2016USD ($)contract
Derivative Assets
Number of contracts | contract	10,037	10,501
Fair value	$ 4,976,938	$ 8,053,813
Notional	$ 10,037,000,000	$ 10,501,000,000
Derivative Liabilities
Number of contracts | contract	0	0
Fair value	$ 0	$ 0
Notional	$ 0	$ 0
Eurodollar Futures
Derivative Assets
Number of contracts | contract	10,037	10,501
Fair value	$ 4,976,938	$ 8,053,813
Notional	$ 10,037,000,000	$ 10,501,000,000
Derivative Liabilities
Number of contracts | contract	0	0
Fair value	$ 0	$ 0
Notional	$ 0	$ 0

DERIVATIVE INSTRUMENTS HEDGIN70

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES - Asset and Liabilities Subject to Master Netting Agreements (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Gross amounts of recognized assets	$ 4,976,938	$ 8,053,813
Gross amounts offset in the Balance Sheet	0	0
Net amounts of assets presented in the Balance Sheet	4,976,938	8,053,813
Gross amounts not offset in the Balance Sheet, Financial instruments	0	0
Gross amounts not offset in the Balance Sheet, Cash collateral (Received)/Pledged	0	0
Net Amount	4,976,938	8,053,813
Gross amounts of recognized liabilities	(971,225,000)	(804,811,000)
Gross amounts offset in the Balance Sheet	0	0
Net amounts of liabilities presented in the Balance Sheet	(971,225,000)	(804,811,000)
Gross amounts not offset in the Balance Sheet, Cash collateral (Received)/Pledged	0	0
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged	0	0
Net Amount	(971,225,000)	(804,811,000)
Repurchase agreements
Derivative [Line Items]
Gross amounts of recognized liabilities	(971,225,000)	(804,811,000)
Gross amounts offset in the Balance Sheet	0	0
Net amounts of liabilities presented in the Balance Sheet	(971,225,000)	(804,811,000)
Gross amounts not offset in the Balance Sheet, Cash collateral (Received)/Pledged	0	0
Gross amounts not offset in the Balance Sheet, Cash collateral (Received) / Pledged	0	0
Net Amount	(971,225,000)	(804,811,000)
Futures
Derivative [Line Items]
Gross amounts of recognized assets	4,976,938	8,053,813
Gross amounts offset in the Balance Sheet	0	0
Net amounts of assets presented in the Balance Sheet	4,976,938	8,053,813
Gross amounts not offset in the Balance Sheet, Financial instruments	0	0
Gross amounts not offset in the Balance Sheet, Cash collateral (Received)/Pledged	0	0
Net Amount	$ 4,976,938	$ 8,053,813

DERIVATIVE INSTRUMENTS HEDGIN71

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES - Gains and Losses on Derivative Contracts (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Interest rate:
Amount of realized gain (loss)	$ 2,233,051	$ (1,585,541)
Amount of unrealized appreciation (depreciation)	(3,077,088)	(8,462,400)
Total	(844,037)	(10,047,941)
Futures
Interest rate:
Amount of realized gain (loss)	2,233,051	(1,585,541)
Amount of unrealized appreciation (depreciation)	(3,077,088)	(8,462,400)
Total	$ (844,037)	$ (10,047,941)

MSRs - MSR Activity (Details)

MSRs - MSR Activity (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Movement in Mortgage Service Rights
MSRs related to deconsolidation of securitization trust	$ 0	$ 364,163
Mortgage Servicing Rights
Movement in Mortgage Service Rights
Balance at beginning of year	3,440,809	4,268,673
MSRs retained from sales to securitizations	0	0
Changes in fair value due to:
Changes in valuation inputs or assumptions used in valuation model	54,662	(102,855)
Other changes to fair value	(181,108)	(1,089,172)
Balance at end of period	3,314,363	3,440,809
Loans associated with MSRs	$ 377,124,596	$ 397,925,409
MSR values as percent of loans	0.88%	0.86%

MSRs - Components of Servicing

MSRs - Components of Servicing Income (Details) - Mortgages - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Schedule Of Components Of Servicing Income [Line Items]
Servicing income, net	$ 252,738	$ 223,678
Income from MSRs, net	$ 252,738	$ 223,678

FINANCIAL INSTRUMENTS - Assets

FINANCIAL INSTRUMENTS - Assets and Liabilities at Fair Value (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Assets:
Total assets	$ 2,394,446,483	$ 2,249,305,912
Liabilities:
Total liabilities	(1,322,072,796)	(1,339,430,026)
Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	4,976,938	8,053,813
Liabilities:
Total liabilities	0	0
Significant other observable inputs Level 2
Assets:
Total assets	2,386,155,182	2,237,811,290
Liabilities:
Total liabilities	(1,322,072,796)	(1,339,430,026)
Unobservable inputs Level 3
Assets:
Total assets	3,314,363	3,440,809
Liabilities:
Total liabilities	0	0
Residential mortgage-backed securities
Assets:
Total assets	1,035,720,870	870,929,601
Residential mortgage-backed securities | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	0	0
Residential mortgage-backed securities | Significant other observable inputs Level 2
Assets:
Total assets	1,035,720,870	870,929,601
Residential mortgage-backed securities | Unobservable inputs Level 3
Assets:
Total assets	0	0
Residential mortgage loans
Assets:
Total assets	2,822,751	2,849,536
Residential mortgage loans | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	0	0
Residential mortgage loans | Significant other observable inputs Level 2
Assets:
Total assets	2,822,751	2,849,536
Residential mortgage loans | Unobservable inputs Level 3
Assets:
Total assets	0	0
Multi-Family mortgage loans held in securitization trusts
Assets:
Total assets	1,215,157,038	1,222,905,433
Multi-Family mortgage loans held in securitization trusts | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	0	0
Multi-Family mortgage loans held in securitization trusts | Significant other observable inputs Level 2
Assets:
Total assets	1,215,157,038	1,222,905,433
Multi-Family mortgage loans held in securitization trusts | Unobservable inputs Level 3
Assets:
Total assets	0	0
Residential mortgage loans held in securitization trusts
Assets:
Total assets	132,454,523	141,126,720
Residential mortgage loans held in securitization trusts | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	0	0
Residential mortgage loans held in securitization trusts | Significant other observable inputs Level 2
Assets:
Total assets	132,454,523	141,126,720
Residential mortgage loans held in securitization trusts | Unobservable inputs Level 3
Assets:
Total assets	0	0
Mortgage servicing rights
Assets:
Total assets	3,314,363	3,440,809
Mortgage servicing rights | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	0	0
Mortgage servicing rights | Significant other observable inputs Level 2
Assets:
Total assets	0	0
Mortgage servicing rights | Unobservable inputs Level 3
Assets:
Total assets	3,314,363	3,440,809
Futures
Assets:
Total assets	4,976,938	8,053,813
Futures | Quoted prices in active markets for identical assets Level 1
Assets:
Total assets	4,976,938	8,053,813
Futures | Significant other observable inputs Level 2
Assets:
Total assets	0	0
Futures | Unobservable inputs Level 3
Assets:
Total assets	0	0
Multi-family securitized debt obligations
Liabilities:
Total liabilities	(1,195,536,818)	(1,204,583,678)
Multi-family securitized debt obligations | Quoted prices in active markets for identical assets Level 1
Liabilities:
Total liabilities	0	0
Multi-family securitized debt obligations | Significant other observable inputs Level 2
Liabilities:
Total liabilities	(1,195,536,818)	(1,204,583,678)
Multi-family securitized debt obligations | Unobservable inputs Level 3
Liabilities:
Total liabilities	0	0
Residential securitized debt obligations
Liabilities:
Total liabilities	(126,535,978)	(134,846,348)
Residential securitized debt obligations | Quoted prices in active markets for identical assets Level 1
Liabilities:
Total liabilities	0	0
Residential securitized debt obligations | Significant other observable inputs Level 2
Liabilities:
Total liabilities	(126,535,978)	(134,846,348)
Residential securitized debt obligations | Unobservable inputs Level 3
Liabilities:
Total liabilities	$ 0	$ 0

FINANCIAL INSTRUMENTS - Narrati

FINANCIAL INSTRUMENTS - Narrative (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets	$ 2,394,446,483	$ 2,249,305,912
Unobservable inputs Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets	3,314,363	3,440,809
Mortgage Servicing Rights
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets	3,314,363	3,440,809
Mortgage Servicing Rights | Unobservable inputs Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets	$ 3,314,363	$ 3,440,809

FINANCIAL INSTRUMENTS - Unobser

FINANCIAL INSTRUMENTS - Unobservable Inputs Information (Details) - Mortgage servicing rights - Discounted cash flow - Unobservable inputs Level 3	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unobservable input, discount rate	12.00%	12.00%
Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unobservable input, constant prepayment rate	8.20%	8.00%
Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unobservable input, constant prepayment rate	25.50%	26.50%
Weighted Average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unobservable input, constant prepayment rate	13.30%	13.70%
Unobservable input, discount rate	12.00%	12.00%

RELATED PARTY TRANSACTIONS - Na

RELATED PARTY TRANSACTIONS - Narrative (Details) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Related Party Transaction [Line Items]
Management fee percentage	1.50%
Management agreement, renewal terms	1 year
Management fee	$ 544,510	$ 623,223
Management fee payable	184,000	415,000
Reimbursable expenses	1,208,943	1,204,811
Reimbursable expenses payable	525,000	$ 522,427
MAXEX LLC | Residential Mortgage Loans
Related Party Transaction [Line Items]
Proceeds from sale of loans			$ 22,500,000
MAXEX LLC | Loan Review Services
Related Party Transaction [Line Items]
Proceeds from fees	218,412
Marketing fees paid	$ 46,529
Manager Equity Plan
Related Party Transaction [Line Items]
Maximum shares issued, percentage of issued and outstanding shares of common stock	3.00%

RELATED PARTY TRANSACTIONS - Un

RELATED PARTY TRANSACTIONS - Unvested Share Activity (Details) - Employee Stock Option - $ / shares	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Shares
Outstanding Unvested Shares at Beginning of Period (in shares)	4,500	15,500
Granted (in shares)	0	0
Vested (in shares)	0	(9,500)
Outstanding Unvested Shares at End of Period (in shares)	4,500	6,000
Weighted Average Grant Date Fair Market Value
Outstanding Unvested Shares at Beginning of Period (in dollars per share)	$ 5.97	$ 12.79
Granted (in dollars per share)	0	0
Vested (in dollars per share)	0	14.50
Outstanding Unvested Shares at End of Period (in dollars per share)	$ 5.97	$ 10.07

GUARANTEES (Details)

GUARANTEES (Details) - USD ($)	Jun. 15, 2016	Mar. 31, 2017	Dec. 31, 2016
Backstop Guarantee
Guarantor Obligations [Line Items]
Representation and warranty breach, threshold period for likely occurance		5 years
Maximum amount of estimated future payments under the backstop guarantees		$ 492,012,203	$ 469,015,145
Minimum available liquidity	$ 5,000,000
Minimum available liquidity, percentage of aggregate unpaid principal balance	0.10%
Indemnification Agreement
Guarantor Obligations [Line Items]
Maximum amount of estimated future payments under the backstop guarantees		$ 0

STOCKHOLDERS' EQUITY - Narrativ

STOCKHOLDERS' EQUITY - Narrative (Details) - USD ($)	Dec. 27, 2016	Mar. 31, 2017		Mar. 31, 2016	Dec. 31, 2016		Dec. 31, 2016		Mar. 31, 2017		Dec. 15, 2015	Jul. 25, 2013
Stockholders' Equity Note [Line Items]
Common stock shares into which warrants may be converted (in shares)	3,753,492
Exercise price of warrants, percentage of IPO price												105.00%
Exercise price of warrants (in dollars per share)	$ 13.11											$ 15.75
Common stock, shares authorized (in shares)		450,000,000			450,000,000		450,000,000		450,000,000
Common stock, par value (in dollars per share)		$ 0.01			$ 0.01		$ 0.01		$ 0.01
Common stock, shares issued (in shares)		17,539,258			17,539,258		17,539,258		17,539,258
Common stock, shares outstanding (in shares)		17,539,258			17,539,258		17,539,258		17,539,258
Deficiency dividends	$ 19,384,684	$ 3,511,398		$ 3,510,530
Dividends declared per share of common stock (in dollars per share)	$ 1.33	$ 0.15		$ 0.18
Dividend payment, percentage in cash	20.00%
Cash dividends	$ 3,878,042
Dividend payment, percentage in stock	80.00%
Stock dividends	$ 15,506,642
Common stock dividends, shares issued (in shares)	2,936,864
Common stock dividends, shares issued (in dollars per share)	$ 5.28
Stock repurchase program, authorized amount											$ 10,000,000
Preferred stock, shares authorized (in shares)		50,000,000			50,000,000		50,000,000		50,000,000
Preferred stock, par value (in dollars per share)		$ 0.01			$ 0.01		$ 0.01		$ 0.01
Preferred stock, shares issued (in shares)		1,610,000			1,610,000		1,610,000		1,610,000
Preferred stock, dividend rate		8.75%			8.75%
Preferred stock, liquidation preference (in dollars per share)		$ 25			$ 25		$ 25		$ 25
Dividends payable		$ 39,132	[1]	$ 39,132	$ 39,132	[1]	$ 39,132	[1]	$ 39,132	[1]
Stock Repurchase Program
Stockholders' Equity Note [Line Items]
Common stock shares repurchased (in shares)		0					126,856		126,856
Weighted average share price of common stock repurchased (in dollars per share)							$ 5.09		$ 5.09
Stock repurchase program, remaining authorized amount		$ 9,400,000							$ 9,400,000
Series A Preferred Stock
Stockholders' Equity Note [Line Items]
Preferred stock, par value (in dollars per share)		$ 0.01			$ 0.01		$ 0.01		$ 0.01
Preferred stock, dividend rate		8.75%
Preferred stock, liquidation preference (in dollars per share)		$ 25							$ 25
IPO
Stockholders' Equity Note [Line Items]
Share price (in dollars per share)												$ 15
Common Stock
Stockholders' Equity Note [Line Items]
Dividends payable		$ 2,630,889							$ 2,630,889
Dividends payable, amount per share (in dollars per share)		$ 0.15							$ 0.15
Common Stock | IPO
Stockholders' Equity Note [Line Items]
Common stock shares into which warrants may be converted (in shares)												3,125,000
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

STOCKHOLDERS' EQUITY - Dividend

STOCKHOLDERS' EQUITY - Dividends Declared (Details) - USD ($)	3 Months Ended
	Mar. 31, 2017		Dec. 31, 2016	[1]	Mar. 31, 2016
Dividends [Line Items]
Dividend Amount	$ 39,132	[1]	$ 39,132		$ 39,132
Common Stock
Dividends [Line Items]
Dividend Amount	$ 2,630,889
Cash Dividend Per Share (in dollars per share)	$ 0.15
Distribution One | Series A Preferred Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Jan. 17, 2017
Payment Date	Jan. 27, 2017
Dividend Amount	$ 293,503
Cash Dividend Per Share (in dollars per share)	$ 0.1823
Distribution One | Common Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Jan. 17, 2017
Payment Date	Jan. 30, 2017
Dividend Amount	$ 876,963
Cash Dividend Per Share (in dollars per share)	$ 0.05000
Distribution Two | Series A Preferred Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Feb. 15, 2017
Payment Date	Feb. 27, 2017
Dividend Amount	$ 293,503
Cash Dividend Per Share (in dollars per share)	$ 0.1823
Distribution Two | Common Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Feb. 15, 2017
Payment Date	Feb. 27, 2017
Dividend Amount	$ 876,963
Cash Dividend Per Share (in dollars per share)	$ 0.05000
Distribution Three | Series A Preferred Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Mar. 15, 2017
Payment Date	Mar. 27, 2017
Dividend Amount	$ 293,503
Cash Dividend Per Share (in dollars per share)	$ 0.1823
Distribution Three | Common Stock
Dividends [Line Items]
Declaration Date	Dec. 27, 2016
Record Date	Mar. 15, 2017
Payment Date	Mar. 30, 2017
Dividend Amount	$ 876,963
Cash Dividend Per Share (in dollars per share)	$ 0.05000
[1]	Our consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2017 and December 31, 2016, assets of consolidated VIEs totaled $1,352,801,814 and $1,369,120,941 respectively, and the liabilities of consolidated VIEs totaled $1,327,153,665 and $1,344,404,080 respectively

EARNINGS PER SHARE (Details)

EARNINGS PER SHARE (Details) - USD ($)	Dec. 27, 2016	Mar. 31, 2017	Mar. 31, 2016
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items]
Net income (loss)		$ 2,369,141	$ (16,947,614)
Less dividends paid:
Common stock		2,630,889	2,630,021
Preferred stock		880,509	880,509
Dividends	$ 19,384,684	3,511,398	3,510,530
Undistributed earnings (deficit)		$ (1,142,257)	$ (20,458,144)
Adjustment to calculation of diluted earnings per share for warrants (in shares)		0	0
Common Stock
Less dividends paid:
Distributed earnings (in dollars per share)		$ 0.15	$ 0.18
Undistributed earnings (deficit) (in dollars per share)		(0.07)	(1.40)
Total (in dollars per share)		0.08	(1.22)
Unvested Share-Based Payment Awards
Less dividends paid:
Distributed earnings (in dollars per share)		0.15	0.18
Undistributed earnings (deficit) (in dollars per share)		(0.07)	(1.40)
Total (in dollars per share)		$ 0.08	$ (1.22)

INCOME TAXES - Taxable Income R

INCOME TAXES - Taxable Income Reconciliation (Details) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016
Income Tax Disclosure [Line Items]
Net income (loss)	$ 2,369,141	$ (16,947,614)
REIT Operation
Income Tax Disclosure [Line Items]
Net income (loss)	(2,304,000)		$ 6,654,000
Five Oaks Investment Corp
Income Tax Disclosure [Line Items]
Net income (loss)	2,369,000		(7,990,000)
Subsidiaries
Income Tax Disclosure [Line Items]
Net income (loss)	65,000		(1,336,000)
Capitalized transaction fees	(10,000)		(41,000)
Unrealized gain (loss)	184,000		1,964,000
Deferred income	(3,000)		204,000
Tax income of taxable subsidiary before utilization of net operating losses	236,000		791,000
Utilizations of net operating losses	(236,000)		(791,000)
Net tax income of taxable subsidiaries	$ 0		$ 0

INCOME TAXES - Narrative (Detai

INCOME TAXES - Narrative (Details) - USD ($)	Mar. 08, 2017	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016	Sep. 30, 2016
Income Tax Disclosure [Line Items]
Percent of valuation allowance		100.00%
Net non-current deferred tax asset		$ 0		$ 0
Decrease in valuation allowance		25,000
Net operating loss carryforwards		1,800,000
Income taxes, interest paid		4,147,592	$ 1,666,481
Internal Revenue Service (IRS)
Income Tax Disclosure [Line Items]
Income taxes, interest provision					$ 1,860,000
Income taxes, interest paid	$ 2,010,000	2,010,000
Income taxes, interest expense		$ 150,000

INCOME TAXES - Deferred Tax Ass

INCOME TAXES - Deferred Tax Assets (Details) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Non-current Deferred Tax Asset (Liability)
Accumulated net operating losses of TRS	$ 668,000	$ 758,000
Unrealized gain	197,000	127,000
Capitalized transaction costs	192,000	196,000
Deferred income	76,000	77,000
AMT Credit	12,000	12,000
Deferred tax asset (liability)	1,145,000	1,170,000
Valuation allowance	(1,145,000)	(1,170,000)
Net non-current deferred tax asset (liability)	$ 0	$ 0