Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Nov. 06, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | ZAIS Group Holdings, Inc. | |
Entity Central Index Key | 1,562,214 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | ZAIS | |
Common Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 13,870,917 | |
Common Class B [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 20,000,000 |
Consolidated Statements of Fina
Consolidated Statements of Financial Condition - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Cash and cash equivalents | $ 75,707 | $ 7,664 |
Income and fees receivable | 2,077 | 4,283 |
Investments in affiliates, at fair value | 0 | 104 |
Due from related parties | 809 | 648 |
Fixed assets, net | 612 | 1,091 |
Prepaid expenses | 1,602 | 1,543 |
Deferred tax asset | 4,320 | 0 |
Other assets | 2,974 | 3,310 |
Total Assets | 188,229 | 1,319,539 |
Liabilities | ||
Notes payable | 1,253 | 0 |
Compensation payable | 2,461 | 6,094 |
Due to related parties | 174 | 32 |
Other liabilities | 3,044 | 3,050 |
Total Liabilities | $ 37,340 | 837,898 |
Commitments and Contingencies (Note 14) | ||
Redeemable Non-controlling Interests | $ 59,551 | 452,925 |
Equity | ||
Additional paid-in capital | 59,771 | 0 |
Retained earnings (Accumulated deficit) | (4,337) | 18,189 |
Accumulated other comprehensive income (loss) | 215 | 186 |
Total stockholders’ equity, ZAIS Group Holdings, Inc. | 55,650 | 18,376 |
Total Equity | 91,338 | 28,716 |
Total Liabilities, Redeemable Non-controlling Interests and Equity | 188,229 | 1,319,539 |
Common Class A [Member] | ||
Equity | ||
Common Stock | 1 | 1 |
Common Class B [Member] | ||
Equity | ||
Common Stock | 0 | 0 |
Consolidated Entities [Member] | ||
Assets | ||
Cash and cash equivalents | 20,098 | 94,212 |
Investments in affiliates, at fair value | 26,466 | 31,457 |
Other assets | 3,264 | 11,577 |
Restricted cash | 2,265 | 30,265 |
Investments, at fair value | 46,230 | 1,126,737 |
Derivative assets, at fair value | 1,805 | 6,648 |
Liabilities | ||
Notes payable | 0 | 749,719 |
Other liabilities | 205 | 32,863 |
Securities sold, not yet purchased | 12,621 | 19,308 |
Derivative liabilities, at fair value | 1,994 | 5,785 |
Due to broker | 15,588 | 21,047 |
Equity | ||
Non-controlling interests | 9,877 | 10,340 |
ZAIS Group Parent, LLC [Member] | ||
Equity | ||
Non-controlling interests | $ 25,811 | $ 0 |
Consolidated Statements of Fin3
Consolidated Statements of Financial Condition (Parenthetical) - $ / shares | Sep. 30, 2015 | Dec. 31, 2014 |
Common Class A [Member] | ||
Common stock, par value (in dollars per share) | $ 0.0001 | $ 0.0001 |
Common Stock, Shares Authorized | 180,000,000 | 180,000,000 |
Common Stock, Shares, Issued | 13,870,917 | 0 |
Common Stock, Shares, Outstanding | 13,870,917 | 0 |
Common Class B [Member] | ||
Common stock, par value (in dollars per share) | $ 0.000001 | $ 0.000001 |
Common Stock, Shares Authorized | 20,000,000 | 20,000,000 |
Common Stock, Shares, Issued | 20,000,000 | 0 |
Common Stock, Shares, Outstanding | 20,000,000 | 0 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||||||
Revenues | |||||||||
Management fee income | $ 4,111 | $ 4,373 | $ 11,826 | $ 14,739 | |||||
Incentive income | 3,870 | 4,953 | 5,991 | 41,743 | |||||
Other revenues | 81 | 85 | 218 | 454 | |||||
Total Revenues | 9,167 | 39,788 | 22,349 | 145,046 | |||||
Expenses | |||||||||
Compensation and benefits | 6,488 | 9,490 | 20,418 | 37,600 | |||||
General, administrative and other | 4,370 | 5,472 | 13,470 | 13,086 | |||||
Depreciation and amortization | 445 | 122 | 654 | 358 | |||||
Total Expenses | 10,561 | 27,022 | 35,314 | 150,908 | |||||
Other income (loss) | |||||||||
Net gain (loss) on investments | 0 | (20) | 0 | (41) | |||||
Other income (expense) | 83 | 104 | 88 | 164 | |||||
Total Other Income (Loss) | (4,904) | 4,468 | (2,915) | 72,300 | |||||
Income (loss) before income taxes | (6,298) | 17,234 | (15,880) | 66,438 | |||||
Income tax (benefit) expense | (1,528) | 5 | (4,111) | 19 | |||||
Consolidated net income (loss), net of tax | (4,770) | 17,229 | (11,769) | 66,419 | |||||
Other comprehensive income (loss), net of tax: | |||||||||
Foreign currency translation adjustment | (160) | 831 | 323 | 630 | |||||
Total Comprehensive Income (Loss) | (4,930) | 18,060 | (11,446) | 67,049 | |||||
Allocation of Consolidated Net Income (Loss), net of tax | |||||||||
Non-controlling interests in Consolidated Funds | 1,009 | 0 | 7,754 | 0 | |||||
Stockholders’ equity, ZAIS Group Holdings, Inc. | (568) | 0 | (4,337) | 0 | |||||
Consolidated Net Income (Loss), net of tax | (4,770) | 17,229 | (11,769) | 66,419 | |||||
Allocation of Total Comprehensive Income (Loss) | |||||||||
Stockholders’ equity, ZAIS Group Holdings, Inc. | (674) | 0 | (4,122) | 0 | |||||
Comprehensive Income (Loss), Net of Tax, Including Portion Attributable to Noncontrolling Interest | $ (4,930) | $ 18,060 | $ (11,446) | $ 67,049 | |||||
Consolidated Net Income (Loss), net of tax per Class A common share applicable to ZAIS Group Holdings, Inc. - Basic | $ (0.04) | $ (0.51) | $ (0.43) | $ 3.32 | |||||
Consolidated Net Income (Loss), net of tax per Class A common share applicable to ZAIS Group Holdings, Inc. - Diluted | $ (0.06) | $ (0.51) | $ (0.54) | $ 3.32 | |||||
Weighted average shares of Class A common stock outstanding: | |||||||||
Basic | 13,870,917 | 7,000,000 | [1],[2] | 10,009,416 | [3] | 7,000,000 | [1] | ||
Diluted | [5] | 20,870,917 | [4] | 7,000,000 | 17,009,416 | [3],[4] | 7,000,000 | ||
Consolidated Entities [Member] | |||||||||
Revenues | |||||||||
Income of Consolidated Funds | $ 1,105 | $ 30,377 | $ 4,314 | $ 88,110 | |||||
Expenses | |||||||||
Expenses of Consolidated Funds | (742) | 11,938 | 772 | 99,864 | |||||
Other income (loss) | |||||||||
Net gain (loss) on investments | (4,987) | 4,384 | (3,003) | 72,177 | |||||
Allocation of Consolidated Net Income (Loss), net of tax | |||||||||
Redeemable non-controlling interests | (2,282) | 21,183 | (43) | 41,434 | |||||
Non-controlling interests in Consolidated Funds | (911) | (415) | 365 | 1,726 | |||||
Allocation of Total Comprehensive Income (Loss) | |||||||||
Redeemable non-controlling interests | (2,282) | 21,182 | (43) | 41,408 | |||||
Non-controlling interests in Consolidated Funds | (911) | (415) | 365 | 1,726 | |||||
ZAIS Group Parent, LLC [Member] | |||||||||
Other comprehensive income (loss), net of tax: | |||||||||
Total Comprehensive Income (Loss) | 23,915 | ||||||||
Allocation of Consolidated Net Income (Loss), net of tax | |||||||||
Redeemable non-controlling interests | (1,009) | (3,539) | (7,754) | 23,259 | |||||
Allocation of Total Comprehensive Income (Loss) | |||||||||
Non-controlling interests in Consolidated Funds | $ (1,063) | $ (2,707) | $ (7,646) | ||||||
Comprehensive Income (Loss), Net of Tax, Including Portion Attributable to Noncontrolling Interest | $ 23,915 | ||||||||
[1] | Refer to Note 2 for the details around the number of units used to calculate earnings per share for periods prior to the Business Combination | ||||||||
[2] | Represents 100% ownership of ZAIS Group prior to the Business Combination. | ||||||||
[3] | Pro-rated based on the portion of the nine-month period preceding and following the Business Combination | ||||||||
[4] | Number of diluted shares outstanding for periods after the Business Combination takes into account non-controlling interests in ZAIS Group Parent, LLC that may be exchanged for Class A common stock under certain circumstances. Refer to Note 2 for the details regarding the number of units used to calculate earnings per share for periods prior to the Business Combination. | ||||||||
[5] | Number of diluted shares outstanding takes into account non-controlling interests of ZAIS Group Parent, LLC that may be exchanged for Class A Common Stock under certain circumstances. |
Consolidated Statement of Chang
Consolidated Statement of Changes in Equity, Non-controlling Interests and Redeemable Non-controlling Interests - 9 months ended Sep. 30, 2015 - USD ($) $ in Thousands | Total | Common Class A [Member] | Common Class B [Member] | Additional Paid-in Capital [Member] | Retained earnings / (Accumulated deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Non-controlling interests in ZAIS Group Parent, LLC [Member] | Non-controlling Interests in Consolidated Funds [Member] | Redeemable Non-controlling Interests [Member] |
Beginning of the period at Dec. 31, 2014 | $ 28,716 | $ 1 | $ 0 | $ 0 | $ 18,189 | $ 186 | $ 0 | $ 10,340 | $ 452,925 |
Beginning of the period (in shares) at Dec. 31, 2014 | 0 | 0 | |||||||
Distribution-in-kind | (1,145) | $ 0 | $ 0 | 0 | (1,145) | 0 | 0 | 0 | 0 |
Equity-based compensation | 63 | 0 | 0 | 0 | 63 | 0 | 0 | 0 | 0 |
Capital transfer | (370) | 0 | 0 | 0 | (370) | 0 | 0 | 0 | 1,515 |
Equity transferred from HF2 Financial Management, Inc. | 19 | 0 | 0 | 19 | 0 | 0 | 0 | 0 | 0 |
Recapitalization as a result of Business Combination | 73,516 | $ 0 | $ 0 | 73,516 | 0 | 0 | 0 | 0 | 0 |
Recapitalization as a result of Business Combination (in shares) | 13,870,917 | 20,000,000 | |||||||
Distributions to non-controlling interest in ZAIS Group Parent, LLC | 0 | $ 0 | $ 0 | (13,416) | (16,737) | (186) | 30,339 | 0 | 0 |
Capital contributions | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 2,748 |
Capital distributions | (1,346) | 0 | 0 | 0 | 0 | 0 | (518) | (828) | 0 |
Stock-based compensation charges | 3,288 | 0 | 0 | 2,073 | 0 | 0 | 1,215 | 0 | 0 |
Other Comprehensive income (loss) | (11,726) | 0 | 0 | 0 | (4,337) | 0 | (7,754) | 365 | (43) |
Rebalancing of ownership between the Company and non-controlling interests in ZAIS Group Parent, LLC | 0 | 0 | 0 | (2,421) | 0 | 0 | 2,421 | 0 | 0 |
Comprehensive income (loss) | 323 | 0 | 0 | 0 | 0 | 215 | 108 | 0 | 0 |
End of the period at Sep. 30, 2015 | $ 91,338 | $ 1 | $ 0 | 59,771 | (4,337) | 215 | 25,811 | 9,877 | 59,551 |
End of the period (in shares) at Sep. 30, 2015 | 13,870,917 | 20,000,000 | |||||||
Cumulative effect of adoption of ASU 2015-02 (See Note 3) | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ (397,594) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Cash Flows from Operating Activities | ||
Consolidated net income (loss) | $ (11,769) | $ 66,419 |
Adjustments to reconcile consolidated net income (loss) to net cash provided by (used in) operating activities: | ||
Depreciation and amortization | 654 | 358 |
Net (gain) loss on investments | 0 | 41 |
Non-cash stock-based compensation | 3,351 | 0 |
Operating cash flows due to changes in: | ||
Income and fees receivable | 9,146 | (2,422) |
Due from related parties | 120 | (59) |
Prepaid expenses | (59) | (10) |
Other assets | 338 | (60) |
Deferred tax asset | (4,320) | 0 |
Compensation payable | (3,633) | 3,888 |
Due to related parties | 142 | 0 |
Other liabilities | (6) | (564) |
Consolidated Funds related items: | ||
Realized (gain) loss on notes payable | 0 | (29,923) |
Change in due to broker | 15,574 | 0 |
Net Cash Provided by (Used in) Operating Activities | (7,398) | (123,719) |
Cash Flows from Investing Activities Continuing Operations | ||
Purchases of fixed assets, net | (178) | (104) |
Change in restricted cash | (478) | 79,830 |
Net Cash Provided by (Used in) Investing Activities | (656) | 79,726 |
Cash Flows from Financing Activities | ||
Net proceeds from Business Combination | 73,516 | 0 |
Equity transferred from HF2 Financial Management, Inc. | 19 | 0 |
Distributions/redemptions to non-controlling interests in Consolidated Funds, net of change in redemptions payable | (1,246) | (78,756) |
Net payments on notes payable of consolidated CDOs | 0 | (491,603) |
Proceeds from issuance of notes payable of consolidated CDOs | 0 | 637,457 |
Proceeds from issuance of notes payable | 1,250 | 0 |
Contributions from non-controlling interests in Consolidated Funds | 2,748 | 5,589 |
Distributions to non-controlling interests of ZGP | (518) | (14,300) |
Repayments of debt obligations | 0 | (781) |
Net Cash Provided by (Used in) Financing Activities | 75,769 | 57,606 |
Net increase(decrease) in cash and cash equivalents denominated in foreign currency | 328 | 630 |
Net increase(decrease) in cash and cash equivalents | 68,043 | 14,243 |
Cash and cash equivalents, beginning of period | 7,664 | 8,432 |
Cash and cash equivalents, end of period | 75,707 | 22,675 |
Supplemental Disclosure of Cash Flow Information | ||
Interest | 129 | 94,673 |
Income tax (benefit) expense | 0 | (19) |
Total Assets of Consolidated Funds | 1,233,254 | 0 |
Total Liabilities of Consolidated Funds | 835,661 | 0 |
Consolidated Entities [Member] | ||
Adjustments to reconcile consolidated net income (loss) to net cash provided by (used in) operating activities: | ||
Net (gain) loss on investments | 3,003 | (72,177) |
Consolidated Funds related items: | ||
Purchases of investments and investments in affiliated securities | (305,639) | (1,077,854) |
Proceeds from sale of investments and investments in affiliated securities | 300,369 | 951,524 |
Amortization of premium and discount | (297) | (47,023) |
Net realized (gains) losses on investments | (1,392) | 24,408 |
Net change in unrealized gain/loss on investments | 2,125 | (109,944) |
Net change in unrealized gain/loss on notes payable | 0 | 44,644 |
Change in cash and cash equivalents | (10,435) | (66,189) |
Change in due from affiliates | 0 | 3,707 |
Change in other assets | (1,727) | 1,859 |
Change in other liabilities | 60 | $ 113,481 |
Cash Flows from Financing Activities | ||
Cash and cash equivalents, beginning of period | 94,212 | |
Cash and cash equivalents, end of period | $ 20,098 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | 1. Organization ZAIS Group Holdings, Inc. (“ZAIS”) is a holding company conducting substantially all of its operations through ZAIS Group, LLC (“ZAIS Group”), an investment advisory and asset management firm focused on specialized credit which commenced operations in July 1997 and is headquartered in Red Bank, New Jersey and has an office in London. ZAIS Group is a wholly-owned consolidated subsidiary of ZAIS Group Parent, LLC (“ZGP”), a majority-owned consolidated subsidiary of ZAIS. ZGP became the sole member and 100% equity owner of ZAIS Group on March 31, 2014 pursuant to a merger transaction which is described in detail in ZAIS’s Current Report on Form 8-K filed with the Securities and Exchange Commission (“SEC”) on March 23, 2015 (the “Closing 8-K”). References to the “Company” in these consolidated financial statements refer to ZAIS, together with its consolidated subsidiaries. ZAIS Group is an investment advisor registered with the SEC under the Investment Advisors Act of 1940 and is also registered with the Commodity Futures Trading Commission as a Commodity Pool Operator and Commodity Trading Advisor. ZAIS Group provides investment advisory and asset management services to private funds, separately managed accounts, structured vehicles and ZAIS Financial Corp., a publicly traded mortgage real estate investment trust, (collectively, the “ZAIS Managed Entities”). The ZAIS Managed Entities predominantly invest in a variety of specialized credit instruments including mortgage loans, bank loans, corporate credit instruments such as collateral loan obligations (“CLOs”), collateral debt obligations (together with CLOs referred to as “CDOs”) and various securities and instruments backed by these asset classes. ZAIS Group had approximately $ 4.201 The Company’s primary sources of revenues are (i) management fee income, which is based predominantly on the assets under management of the ZAIS Managed Entities (ii) incentive income, which is based on the investment performance of the ZAIS Managed Entities and (iii) income of the consolidated ZAIS Managed Entities (the “Consolidated Funds”) which is based on the income generated from the portfolios of the Consolidated Funds, a majority of which is allocated to redeemable non-controlling interests and non-controlling interests in Consolidated Funds. All of the management fee income and incentive income earned by ZAIS Group from the Consolidated Funds is eliminated in consolidation. On March 20, 2015, ZAIS made a decision to terminate the business operations of its Shanghai subsidiary. ZAIS Group ceased conducting regular business activities in Shanghai and the office is now closed. Final clearance from the relevant government authorities on the plan of liquidation is expected in late 2015 or early 2016. Recapitalization as a Result of a Business Combination On October 5, 2012, HF2 Financial Management Inc. (“HF2”) was formed as a blank check company whose objective was to acquire, through a merger, share exchange, asset acquisition, stock purchase, recapitalization, reorganization or similar business combination, one or more businesses or entities. On September 16, 2014, HF2 entered into an Investment Agreement, as defined in the Closing 8-K, with ZGP and the members of ZGP (including Christian Zugel, the former managing member of ZGP and the founder and Chief Investment Officer of ZAIS Group, and certain related parties, collectively, the “ZGP Founder Members”), under which HF2 agreed to contribute cash to ZGP in exchange for newly issued Class A Units of ZGP (“Class A Units”) representing a majority financial interest in ZGP (the “Business Combination”) and to cause the transfer of all of its outstanding shares of Class B Common Stock, par value $ 0.000001 On March 9, 2015, the stockholders of HF2 approved the Business Combination and the transaction closed on March 17, 2015 (the “Closing”). In connection with the Closing, HF2 changed its name to ZAIS Group Holdings, Inc. Please refer to Note 2 - "Business Combination" below for additional information. Prior to the Closing, HF2 was a shell company with no operations. Upon the Closing, ZAIS became a holding company whose assets primarily consist of an approximate 66.5% interest in its majority-owned subsidiary, ZGP. Prior to the Closing, Christian Zugel served as the managing member of ZGP. Upon the Closing, ZAIS became the managing member of ZGP. |
Business Combination
Business Combination | 9 Months Ended |
Sep. 30, 2015 | |
Business Combinations [Abstract] | |
Business Combination Disclosure [Text Block] | 2. Business Combination Basis of Presentation and Accounting Treatment of the Business Combination Upon the Closing, ZAIS acquired approximately 66.5 The Business Combination was structured as an “Up-C” transaction. Generally, in an Up-C transaction involving an operating business, a publicly traded entity taxable as a corporation for U.S. federal income tax purposes acquires an interest in a partnership or limited liability company (taxable as a partnership for U.S. federal income tax purposes) that is conducting an operating business. The historic owners of the operating business continue to own an interest in the operating business through a continuing interest in the partnership or limited liability company and may have the ability to exchange their partnership or limited liability company interests for stock in the publicly traded entity under specified circumstances in accordance with the terms of an exchange agreement. Pursuant to the Business Combination, HF2, a publicly traded corporation taxable as a corporation for U.S. federal income tax purposes, became a holding company the assets of which consist primarily of its majority membership interest in ZGP, a partnership for U.S. federal income tax purposes. ZGP, in turn, is the sole member of ZAIS Group, an operating business. The accounting for the reorganization and recapitalization follows the rules for a reverse acquisition as enumerated in the Accounting Standards Codification, Section 805. In a reverse acquisition, the acquirer for accounting purposes is the target for legal purposes (in this case, ZGP) and the target for accounting purposes is the acquirer for legal purposes (in this case, HF2). The accounting acquirer in a reverse acquisition measures the consideration transferred using the hypothetical amount of equity interests it would have had to issue to keep the accounting target’s owners in the same ownership position they are in after the reverse acquisition. The accounting acquirer adjusts the amount of legal capital in the consolidated financial statements to reflect the legal capital of the accounting target and measures the non-controlling interest using the pre-combination carrying amounts of the accounting acquirer’s net assets and the non-controlling interests’ proportionate share in those pre-combination carrying amounts. No goodwill or other intangible assets were recorded as a result of the Business Combination. For accounting purposes, ZGP is considered the acquirer and has accounted for the Business Combination as a reorganization and recapitalization. ZGP was determined to be the acquirer based on the following facts and circumstances: • ZGP retained effective control. There is no change in control since ZGP’s operations comprise the ongoing operations of the combined entity; • ZGP is the sole member of ZAIS Group and ZAIS Group’s senior management became the senior management of the combined entity. The officers of the newly combined company consist primarily of ZAIS Group executives, including the Chief Executive Officer, Chief Financial Officer and General Counsel; • The ZGP Founder Members own a majority voting interest in the combined entity through the Class B Common Stock that is held in the ZGH Class B Voting Trust. Mr. Christian Zugel, a ZGP Founder Member, the former managing member of ZGP and the founder and Chief Investment Officer of ZAIS Group, is the sole initial trustee. Mr. Zugel has voting and investment power over the shares of the Class B Common Stock held in the ZGH Class B Voting Trust and therefore is able to elect all of the combined entity’s board of directors. Accordingly, the Business Combination does not constitute the acquisition of a business for purposes of ASC 805. As a result, the assets and liabilities of ZGP and ZAIS are carried at historical cost and ZAIS has not recorded any step-up in basis or any intangible assets or goodwill as a result of the Business Combination. All direct costs attributable to the Business Combination were recorded as reductions to additional paid-in-capital. Since the Business Combination is accounted for as a recapitalization of ZGP, the financial statements presented herein for periods prior to the Business Combination are those of ZGP. In the consolidated financial statements, the recapitalization of the number of shares of common stock attributable to the Business Combination is reflected retroactive to December 31, 2014. Accordingly, the number of shares of common stock that was used to calculate ZAIS’s earnings per share for all periods prior to the Business Combination was 7,000,000 Cash in HF2’s Trust $ 184,760,079 Payment for HF2 redemptions (102,282,526) Payment for HF2’s expenses (4,311,157) Net Cash Received by ZGP from Business Combination 78,166,396 Less: Ramsey incentive fee and fees to underwriters (4,650,000) Net proceeds from Business Combination $ 73,516,396 In connection with the Business Combination, HF2 redeemed 9,741,193 102,282,526 Number of Shares of Class A Common Stock of ZAIS HF2 public shares outstanding prior to the Business Combination 23,592,150 Less: redemption of HF2 public shares (9,741,193) Total HF2 shares outstanding immediately prior to the effective date of the Business Combination 13,850,957 Common shares issued as consideration to transaction underwriter 150,000 Shares cancelled from HF2 founders’ allocation (130,040) Total shares of Class A common stock of ZAIS outstanding at closing, March 17, 2015 13,870,917 Number of Class A Units of ZGP Class A Units of ZGP acquired by ZAIS 13,870,917 Class A Units of ZGP retained by ZGP Founder Members 7,000,000 Total Class A Units of ZGP outstanding at closing, March 17, 2015 20,870,917 There were no additional shares of common stock of ZAIS or Class A Units of ZGP issued during the period from the Closing through September 30, 2015. On April 30, 2015, non-employee directors of ZAIS were collectively awarded 30,000 During the first five years following the Closing, ZGP will release up to an additional 2,800,000 12.50 21.50 ZGP may also issue up to 6,800,000 Of these Class B Units, 1,600,000 Class B-0 Units vest on the later of the date of grant and the second anniversary of the Closing, unless otherwise provided in the restricted unit agreement granting the Class B unit. The remaining 5,200,000 units are designated as Class B-1, Class B-2, Class B-3 and Class B-4 Units (together the “Additional Employee Units”), which vest in three equal installments 12.50 21.50 As of September 30, 2015, there are 1,337,486 The ZGP Founder Members’ Class A Units and all of the vested Class B Units (but not any unvested Class B Units) may be exchanged for shares of Class A Common Stock of ZAIS on a one-for-one basis (subject to certain adjustments to the exchange ratio) or, at ZAIS’s option, cash or a combination of Class A Common Stock and cash, pursuant to the Exchange Agreement that ZAIS entered into with ZGP, the ZGP Founder Members and the other parties thereto. The Exchange Agreement contains certain restrictions on the ability of holders of Class A Units and Class B Units to exchange such units for Class A Common Stock of ZAIS. Subject to certain limited exceptions, including in connection with a change in control of the Company, there is a two-year lock-up period before any exchanges of Class A Units or Class B Units are permitted. Subsequent to the Closing, ZGP paid Neil Ramsey, an affiliate of NAR Special Global, LLC and of dQuant Special Opportunities Fund, L.P. (together, the “Ramsey Investors”), each of which are significant stockholders of ZAIS, an incentive fee of $ 3.4 65 |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | The accompanying unaudited consolidated financial statements have been prepared in accordance with United States generally accepted accounting principles ("U.S. GAAP") to reflect the financial position, results of operations and cash flows of the Company. These financial statements have been prepared on a going concern basis, which assumes the realization of assets and satisfaction of liabilities in the normal course of business. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted. These consolidated financial statements should be read in conjunction with the Company's most recent audited consolidated financial statements and related notes for the fiscal year ended December 31, 2014, which are included in the Closing 8-K. In the opinion of management, all adjustments considered necessary have been made for a fair presentation of the results of these interim periods. The Company currently operates as one business segment. The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. While management believes that the estimates used in preparing the consolidated financial statements are reasonable and prudent, actual results may ultimately differ from those estimates. In February 2015, the FASB issued ASU 2015-02 Consolidation (Topic 810): Amendments to the Consolidation Analysis Variable Interest Entities (“VIE”) Voting Interest Entities (“VOE”) The non-controlling interests within the consolidated statements of financial condition are comprised of: (i) redeemable non-controlling interests reported outside of the permanent capital section when investors have the right to redeem their interests from a Consolidated Fund or ZAIS Group; (ii) equity attributable to non-controlling interests in Consolidated Funds reported inside the permanent capital section when the investors do not have the right to redeem their interests and (iii) equity attributable to non-controlling interests in ZGP. The Company records redeemable non-controlling interests and non-controlling interests in the Consolidated Funds (excluding CDOs) to reflect the economic interests in those funds held by investors other than interests attributable to ZAIS Group. Subsequent to March 31, 2014, redeemable non-controlling interests represents investors in the Consolidated Funds who generally have the right to withdraw their capital after the end of a lock-up period as defined in the respective governing documents. Investors may withdraw their capital prior to the expiration of the lock-up period in certain limited circumstances that are beyond the control of ZAIS Group, such as instances in which retaining the equity interest could cause the investor to violate a law, regulation or rule. Prior to March 31, 2014, redeemable non-controlling interests also included membership interests held in ZAIS Group by employees and former employees of ZAIS Group. Income allocated to non-controlling interests in ZGP includes a portion of the management fee income received from ZAIS Financial Corp. that is payable to holders of Class B interests in ZAIS Group’s consolidated subsidiary, ZAIS REIT Management, LLC. The consolidated financial statements included herein are the financial statements of ZAIS, its subsidiaries and certain funds that are required to be consolidated. All intercompany balances and transactions have been eliminated in consolidation, including ZAIS’s investment in ZGP and ZGP’s investment in ZAIS Group. The Company's fiscal year ends on December 31. The operating results for the interim period presented are not necessarily indicative of the results that may be expected for the Company's fiscal year ending December 31, 2015. The consolidated financial statements include non-controlling interests in ZGP which is primarily comprised of Class A Units of ZGP held by the ZGP Founder Members. The Company’s consolidated financial statements also include variable interest entities for which ZAIS Group is considered the primary beneficiary, and certain entities that are not considered variable interest entities in which ZAIS Group has a controlling financial interest. Effective January 1, 2015 pursuant to Accounting Standards Codification (“ASC”) Topic 810, as amended by ASU 2015-02, these entities include ZAIS Opportunity Domestic Feeder Fund, LP, ZAIS Atlas Master Fund, LP, ZAIS Atlas Fund, LP and ZAIS Value-Added Real Estate Fund I, LP. For all periods prior to January 1, 2015, these entities include ZAIS Opportunity Master Fund, Ltd., ZAIS Opportunity Domestic Feeder Fund, LP, ZAIS Opportunity Fund, Ltd., ZAIS Atlas Fund, LP, ZAIS Value-Added Real Estate Fund I, LP and certain CDOs. After the adoption of ASC Topic 810, as amended by ASU 2015-02, there were no CDOs required to be consolidated in the Company’s financial statements for the nine months ended September 30, 2015 and prior to the adoption of ASC Topic 810, as amended by ASU 2015-02, there were ten CDOs consolidated in the Company’s financial statements for the year ended December 31, 2014. The cumulative effect of the adoption of ASU 2015-02 was a $397,594,000 reduction in redeemable non-controlling interests on January 1, 2015, which is reflected in the consolidated statement of changes in equity, non-controlling interests and redeemable non-controlling interests. All intercompany balances and transactions have been eliminated in consolidation. Refer to Note 7 for additional disclosures around the Consolidated Funds. The consolidated financial statements reflect the assets, liabilities, investment income, expenses and cash flows of the Consolidated Funds on a gross basis. Except for CDOs, the majority of the economic interests in the Consolidated Funds, which are held by third-party investors, are reflected as non-controlling interests in the consolidated financial statements. For CDOs, the majority of the economic interests in these vehicles, which are held by outside parties, are reported as notes payable of consolidated CDOs in the consolidated financial statements. The notes payable issued by the CDOs are backed by diversified collateral asset portfolios consisting primarily of loans or structured debt. In exchange for managing the collateral for the CDOs, ZAIS Group may earn investment management fees, including, in some cases, subordinated management fees and contingent incentive fees. All of the management fee income, incentive income and net gain (loss) on investments earned by ZAIS Group from the Consolidated Funds are eliminated in consolidation. However, because the eliminated amounts are earned from and funded by the non-controlling interests, income allocated to the non-controlling interests has been reduced, and the income allocated to ZGP has been increased by the amounts eliminated, of which ZAIS is allocated its pro-rata share as a member of ZGP. ZAIS Group does not recognize any incentive income based on the investment performance of ZAIS Managed Entities until the incentive income is (i) contractually receivable, (ii) fixed or determinable (also referred to as “crystallized”) and (iii) all related contingencies have been removed and collection is reasonably assured, (see policy disclosed under Management Fee Income, Incentive Income, and Other Income). Similarly, for any Consolidated Funds, the corresponding potential incentive expense based on the investment performance of the Consolidated Funds has not yet been deducted from the investor capital balances until the above criteria have been met. Therefore, the corresponding potential incentive income based on the investment performance of the Consolidated Funds that has not yet been recognized by ZAIS Group is included in non-controlling interests in the consolidated financial statements. The Consolidated Funds are deemed to be investment companies under U.S. GAAP, and therefore, the Company has retained the specialized investment company accounting of these consolidated entities in its consolidated financial statements. Prior to the adoption of ASU 2015-02, for entities in which the Company has a variable interest, the Company determines whether, if by design, (i) the entity has equity investors who lack, as a group, the characteristics of a controlling financial interest, (ii) the entity does not have sufficient equity at risk to finance its expected activities without additional subordinated financial support from other parties, (iii) the entity is structured with non-substantive voting rights or (iv) the equity holders do not have the obligation to bear potential losses or the right to receive potential gains. If an entity has at least one of these characteristics, it is considered a VIE, and is consolidated by its primary beneficiary. For entities managed by ZAIS Group that qualify for the deferral under ASU 2010-10, Amendments to Statement 167 for Certain Investment Funds Subsequent to the adoption of ASU 2015-02, for entities in which the Company has a variable interest, the Company determines whether, (i) the entity does not have enough equity to finance its activities without additional subordinated financial support, (ii) the at-risk equity holders, as a group lack (a) the power, through voting or similar rights, to direct the activities that most significantly impact the entity’s economic performance, (b) the obligation to absorb an entity’s expected losses, or (c) the right to receive an entity’s expected residual returns, or (iii) the entity is structured with non-substantive voting rights. If an entity has at least one of these characteristics, it is considered a VIE, and is consolidated by its primary beneficiary. For entities where ZAIS Group has a variable interest, but are determined not to be a VIE, the Company makes a consolidation determination based on the entity’s legal structure. For corporate structures, including companies domiciled in the Cayman Islands, the Company consolidates those entities in which ZAIS Group has a voting interest of greater than 50% and has control over the significant operating, financial and investing decisions of the entity. For limited partnerships and limited liability companies, the Company consolidates entities in which it is a general partner or managing member, and third-party investors have no substantive rights to participate in the ongoing governance and operating activities or substantive kick-out rights. The determination of whether an entity is a VIE or a VOE is based on the facts and circumstances for each individual entity. The Company considers highly liquid, short-term interest-bearing instruments of sufficient credit quality with original maturities of three months or less, and other instruments readily convertible into cash, to be cash equivalents. The Company’s deposits with financial institutions may exceed federally insurable limits of $ 250,000 Cash equivalents generally consist of excess cash that is swept daily into a money market fund, or into weekly or monthly term deposit accounts to earn short-term interest, or maintained as a short-term deposit. Additionally, the Company may from time-to-time invest in United States government obligations or short-term high investment grade mutual funds to manage excess liquidity. These investments are carried at fair value, as the Company has elected the fair value option in order to include any gains or losses within consolidated net income (loss). These investments are also recorded as cash equivalents in the consolidated statement of financial condition. At September 30, 2015 and December 31, 2014, the Company had approximately $ 36,536,000 2,687,000 26,001,000 0 11,152,000 0 U.S. GAAP permits entities to choose to measure certain eligible financial assets, financial liabilities and firm commitments at fair value (the “Fair Value Option”), on an instrument-by-instrument basis. The election to use the Fair Value Option is available when an entity first recognizes a financial asset or financial liability or upon entering into a firm commitment. The Fair Value Option is irrevocable and requires changes in fair value to be recognized in earnings. For ZAIS Group’s direct investments in the ZAIS Managed Entities that are not consolidated, and would otherwise be accounted for under the equity method, the Fair Value Option has been elected. In estimating the fair value for financial instruments for which the Fair Value Option has been elected, the Company uses the valuation methodologies as discussed in Note 5. ZAIS Group’s primary sources of revenue are (i) management fees, (ii) incentive fees and (iii) income of Consolidated Funds. The management fee and incentive fee revenues are derived from ZAIS Group’s advisory agreements with the ZAIS Managed Entities. Certain investments held by employees, executives and other related parties in the ZAIS Managed Entities are not subject to management fees or incentive fees/allocations and therefore do not generate revenue for ZAIS Group. All of the management fee income and incentive income earned by ZAIS Group from the Consolidated Funds are eliminated in consolidation. Income of Consolidated Funds is based on the income generated from the portfolios of the Consolidated Funds, a majority of which is allocated to redeemable non-controlling interests and non-controlling interests in Consolidated Funds ZAIS Group earns management fees and incentive fees for investment advisory services provided to the ZAIS Managed Entities. Management fees are accrued as earned, and are calculated and paid monthly, quarterly or semi-annually, depending on the applicable agreement. Revenue is accrued as earned for data, funding and analytical services provided to outside parties and affiliated funds. In the event management fee income is received before it is earned, deferred revenue is recorded and is included in other liabilities in the consolidated statements of financial condition. In addition to the management fee income mentioned above, subordinated management fee income may be earned from the CDOs. The subordinated management fee income is additional revenue earned for the same service, but has a lower priority in the CDO vehicle’s cash flows. The subordinated management fee income is contingent upon the economic performance of the respective CDO’s investments. If the CDOs experience a certain level of investment defaults, these fees may not be paid. There is no recovery by the CDOs of previously paid subordinated fees. Subordinated management fee income is recognized when collection is reasonably assured. Incentive income is recognized when it is (i) contractually receivable, (ii) fixed or determinable (also referred to as “crystallized”) and (iii) all related contingencies have been removed and collection is reasonably assured, which generally occurs in the quarter of, or the quarter immediately prior to, the payment of the incentive to ZAIS Group by the ZAIS Managed Entities. The criteria for revenue recognition related to incentive income is typically met only after all contributed capital and the preferred return, if any, on that capital have been distributed to the ZAIS Managed Entities’ investors for vehicles with private equity style fee arrangements, and is typically met only after any profits exceed a high-water mark for vehicles with hedge fund style fee arrangements. Income of Consolidated Funds is discussed in the section on Policies of Consolidated Funds. Income and fees receivable primarily includes management fees and incentive fees due from ZAIS Managed Entities, excluding the Consolidated Funds, and does not include any allowance for doubtful accounts. The Company did not recognize any bad debt expense for the three and nine months ended September 30, 2015 and September 30, 2014. The Company believes all income and fee receivable balances are fully collectible. Compensation and benefits expense is comprised of salaries, payroll taxes, employer contributions to welfare plans, discretionary and guaranteed cash bonuses, stock compensation and other contractual compensation programs payable to ZAIS Group employees. Compensation and benefits expense is generally recognized over the related service period. On an annual basis, compensation and benefits comprise a significant portion of total expenses, with discretionary cash bonuses, guaranteed cash bonuses, stock compensation and other contractual compensation programs generally comprising a significant portion of total compensation and benefits. Under the ZAIS Group, LLC Income Unit Plan (the “Income Unit Plan”), a portion of net operating income of ZAIS Group (after making certain adjustments) was due to certain employees of ZAIS Group. These amounts are accrued as compensation expense in the period incurred. This plan was terminated with an effective date of December 31, 2014. Compensation and benefits expense relating to the issuance of cash-based and equity-based awards to certain employees is measured at fair value on the grant date. Equity-based compensation awards to employees that are settled in shares are classified as equity instruments. The fair value of an equity settled award is determined on the date of grant and is not subject to remeasurement. Cash settled awards are classified as liabilities and are remeasured to fair value at each balance sheet date as long as the award is outstanding. Changes in fair value are reflected as compensation expense. Compensation expense for awards that vest over a future service period is recognized over the relevant service period on a straight-line basis, adjusted for estimated forfeitures of awards not expected to vest. The compensation expense for awards that do not require future service is recognized immediately. Upon the end of the service period, compensation expense is adjusted to account for actual forfeiture rates. Refer to Note 10 for additional details regarding equity awards granted by the Company. Compensation and benefits expense also includes compensation directly related to incentive income in the form of percentage interests (also referred to as “Points”) awarded to certain employees associated with the operation and management of certain ZAIS Managed Entities in the form of compensation agreements (“Points Agreements”). Under the Points Agreements, ZAIS Group has an obligation to pay certain employees and former employees a fixed percentage of the incentive income earned from the referenced entities. Amounts payable pursuant to these arrangements are recorded as compensation expense when they become probable and reasonably estimable. The determination of when the Points become probable and reasonably estimable is based on the assessment of numerous factors, particularly those related to the profitability, realizations, distribution status, investment profile and commitments or contingencies of certain ZAIS Managed Entities for which Points Agreements have been awarded. Points are expensed no later than the period in which the underlying income is recognized. Payment of the Points generally occurs in the same period the related income is received. Most recipients’ rights to receive payments related to their Points Agreement are subject to forfeiture risks. There are currently outstanding Points Agreements relating to one ZAIS Managed Entity and ZAIS Group does not anticipate awarding additional Points Agreements. Pursuant to ZAIS’s 2015 Stock Incentive Plan, non-employee directors of ZAIS are eligible to receive RSUs as a component of compensation for their service as directors of ZAIS. The awards are unvested at the time they are granted and, as such, are not entitled to any dividends or other material rights until such RSUs vest. The RSUs vest in full on the one year anniversary of the grant date. Upon vesting ZAIS will issue the recipient shares of Class A Common Stock equal to the number of vested RSUs. In accordance with ASC 718, "Compensation - Stock Compensation” Fixed assets consist of furniture and fixtures, office equipment, leasehold improvements and software, and are stated at cost, less accumulated depreciation and amortization. Depreciation and amortization on furniture and fixtures, office equipment and software is calculated using either the double declining balance method or straight-line method over an estimated useful life of three to five years. Amortization of leasehold improvements is calculated using the straight-line method over the lesser of the lease terms or the life of the asset. Fixed assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount of an asset may not be recoverable. The costs associated with maintenance and repairs are recorded as other operating expenses when incurred. Goodwill of approximately $ 2,669,000 Assets and liabilities of foreign subsidiaries that have non-U.S. dollar functional currencies are translated at exchange rates prevailing at the end of each reporting period. Results of foreign operations are translated at the weighted-average exchange rate for each reporting period. Translation adjustments are included as a component of accumulated other comprehensive income (loss) until realized. Gains or losses resulting from foreign currency transactions are included in general, administrative and other in the consolidated statements of comprehensive income (loss). The Company accounts for income taxes using the asset and liability method as prescribed in FASB guidance on Accounting for Income Taxes The measurement of current and deferred income tax assets and liabilities is based on provisions of enacted tax laws and involves uncertainties in the application of tax regulations in the U.S. and other tax jurisdictions. Because the Company’s interpretation of complex tax law may impact the measurement of current and deferred income taxes, actual results may differ from these estimates under different assumptions regarding the application of tax law. Prior to the reorganization and recapitalization due to the Business Combination, no provision was made for U.S. federal income taxes in ZGP’s accompanying consolidated financial statements since ZGP and its subsidiaries were pass-through entities for U.S. income tax purposes and profits and losses were allocated to the partners who were individually responsible for reporting such amounts. ZGP’s foreign subsidiaries, however, paid income taxes in the respective foreign jurisdictions, which were included in income tax (benefit) expense on the consolidated statements of comprehensive income (loss). Following the reorganization, ZGP and its subsidiaries continue to operate as pass-through entities for U.S. income tax purposes. ZAIS is subject to U.S. corporate federal, state and local income taxes which are included in income tax (benefit) expense on the consolidated statements of comprehensive income (loss) along with income taxes related to the foreign subsidiaries. Pursuant to FASB guidance on Accounting for Uncertainty in Income Taxes, an interpretation of FASB Statement on Accounting for Income Taxes The Company analyzes its tax filing positions in all of the U.S. federal, state, local and foreign tax jurisdictions where it is required to file income tax returns, as well as for all open tax years in these jurisdictions. If, based on this analysis, the Company determines that uncertainties in tax positions exist, a liability is established. The Company recognizes accrued interest and penalties related to uncertain tax positions in income tax (benefit) expense within the consolidated statements of comprehensive income (loss). Policies of Consolidated Funds Certain ZAIS Managed Entities, in which ZAIS Group has only a minority ownership interest or no ownership interest, are consolidated in the Company’s consolidated financial statements. The majority ownership interests in the Consolidated Funds are held by the investors in the Consolidated Funds, and these interests are included in non-controlling interests in the consolidated statements of financial condition. The management fees and incentive income from the Consolidated Funds are eliminated in consolidation, and the income allocated to ZAIS and non-controlling interests in ZGP has been increased by the amounts eliminated. The Consolidated Funds are considered investment companies for U.S. GAAP purposes. Pursuant to specialized accounting guidance for investment companies, and the retention of that guidance in the Company’s consolidated financial statements, the investments held by the Consolidated Funds are reported at their fair values. Restricted cash represents the Consolidated Funds’ cash held by counterparties as collateral against the Consolidated Funds’ derivatives or repurchase agreements. Cash held by counterparties as collateral is not available to the Consolidated Funds for general operating purposes, but may be applied against amounts due to derivative or securities repurchase agreement counterparties or returned to the Consolidated Funds when the collateral requirements are exceeded or at the maturity of the derivatives or securities repurchase agreements. Due to broker represents the Consolidated Funds’ payable to a broker for unsettled purchases as of September 30, 2015 and December 31, 2014. Investments and investments in affiliated securities are held at fair value. Please see Note 5 for information regarding the valuation of these assets. In August 2014, the FASB issued ASU 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity The notes payable of Consolidated CDOs are measured using the fair value of the financial assets, as further described in Note 5. The Company’s consolidated net income (loss) reflects the Company’s economic interests in the CDOs, including (1) changes in the fair value of the beneficial interests retained by the Company and (2) beneficial interests that represent compensation for services. The Consolidated Funds may enter into short sales whereby a security is sold that it does not own in anticipation of a decline in the value of that security. To enter a short sale, the Consolidated Funds may need to borrow the security for delivery to the buyer. On each day the short sale is open, the liability for the obligation to replace the borrowed security is marked to market, and an unrealized gain or loss equal to the difference between the price at which the security was sold and the cost of replacing the security is recorded. The liability in respect to securities sold short, traded on an exchange, is stated at the last reported sales price on the day of valuation; other securities traded in the over-the-counter market, and listed securities, for which no sale was reported on that date, are stated at the last quoted ask price. While the transaction is open, the Consolidated Funds will also incur an expense for any accrued interest payable to the lender of that security and for borrowing charges for certain positions. A gain or loss is realized and included within net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). The Consolidated Funds recognize investor redemptions as liabilities when the amount requested in the redemption notice becomes fixed and determinable. Net assets related to redemption notices received for which the dollar amount is not fixed will remain in the net assets of the Consolidated Funds until the amount is determined. As a result, redemptions paid after the end of a reporting period, but based upon capital balances as of the end of the respective reporting period that the redemption relates to are reflected as redemptions payable. Investment transactions are recorded on a trade-date basis. Realized gains and losses on investment transactions are determined on the specific-identification basis. Dividends received on equity tranches of structured products are recorded upon receipt and adjusted for any return of capital using the effective interest rate method over the lives of such securities. Interest income is recorded on the accrual basis. Any discounts and premiums on fixed income securities purchased are accreted or amortized into income or expense using the effective interest rate method over the lives of such securities. The effective interest rates are calculated using projected cash flows, including the impact of paydowns on each of the aforementioned securities. Any paydown gains and losses are presented as an adjustment to interest income. The Consolidated Funds may, from time to time, acquire assets or liabilities that protect against adverse movements in interest rates or credit performance (each a “Hedge Agreement”) with counterparties. The Consolidated Funds and the counterparty to each Hedge Agreement agree to make periodic payments on a specified notional amount. The payments can be made for a specified period of time, or may be triggered by a pre-determined credit event. The periodic payments may be based on a fixed or variable interest rate; the change in fair value of a specified security, basket of securities or index; or the return generated by a security. The consolidated CDOs, at December 31, 2014, also had a portfolio of credit default swaps which are used to obtain synthetic exposure to credit risk. These swaps are used as trading instruments, and not for hedging purposes. The Consolidated Funds recognize all derivatives as assets or liabilities in the consolidated statements of financial condition at fair value. Changes in fair value are recognized in the consolidated statements of comprehensive income (loss). In connection with their derivative activities, the Consolidated Funds have elected not to offset fair value amounts recognized for cash collateral against fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement. At September 30, 2015 and December 31, 2014, the Consolidated Funds have cash collateral receivables of approximately $2,265,000 and $30,265,000, respectively with counterparties under the same master netting arrangement and is included in restricted cash in the consolidated statements of financial condition. The Consolidated Funds are generally not subject to U.S. federal and state income taxes and, consequently, no income tax provision has been made in the accompanying consolidated financial statements because individual investors are responsible for taxes on their proportionate share of the taxable income. In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers In August 2014, the FASB issued ASU No. 2014-15, "Presentation of Financial Statements Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern" ("ASU 2014-15"), which requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company's ability to continue as a going concern within one year after the date the financial statements are issued. If conditions or events indicate it is probable that an entity will be unable to meet its obligations as they become due within one year after the financial statements are issued, the update requires additional disclosures. The update is effective for periods beginning after December 15, 2016 with early adoption permitted. Adoption of ASU 2014-15 is not expected to have a material effect on the Company's consolidated financial statements. |
Investments in Affiliates
Investments in Affiliates | 9 Months Ended |
Sep. 30, 2015 | |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |
Investments in and Advances to Affiliates, Schedule of Investments [Text Block] | 4. Investments in Affiliates The Company applied the Fair Value Option to its interests in the ZAIS Managed Entities that are not consolidated, and would have otherwise been subject to the equity method of accounting. As of and for the nine months ended September 30, 2015, the Company did not hold any interests in the ZAIS Managed Entities that are not consolidated. At December 31, 2014, the fair value of these investments was approximately $104,000. For the three and nine months ended September 30, 2014, the Company recorded an unrealized gain (loss) of approximately $6,000 and $4,000, respectively associated with the investments still held at the end of each respective period. Such amounts are included in net gain (loss) on investments in the consolidated statements of comprehensive income (loss). At December 31, 2014, no equity investment, individually or in the aggregate, held by the Company exceeded 10% of the total consolidated assets or income. |
Fair Value of Investments
Fair Value of Investments | 9 Months Ended |
Sep. 30, 2015 | |
Assets, Fair Value Disclosure [Abstract] | |
Fair Value Disclosures [Text Block] | 5. Fair Value of Investments The “Fair Value Measurements and Disclosures” Topic of the FASB ASC defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under U.S. GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date. Fair value under U.S. GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company was forced to sell assets in a short period to meet liquidity needs, the prices it receives could be substantially less than their recorded fair values. The Company follows the fair value measurement and disclosure guidance under U.S. GAAP, which establishes a hierarchical disclosure framework. This framework prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment, the characteristics specific to the investment and the state of the marketplace including the existence and transparency of transactions between market participants. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices in an orderly market generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. In all cases, an instrument’s level within the hierarchy is based upon the market pricing transparency of the instrument and does not necessarily correspond to the Company’s perceived risk or liquidity of the instrument. The Company considers observable data to be market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for any given investment is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires significant judgment and considers factors specific to the investment. Assets and liabilities that are measured and reported at fair value are classified and disclosed in one of the following categories: Level 1 Fair value is determined based on quoted prices for identical assets or liabilities in an active market. Assets and liabilities included in Level 1 include listed securities. As required in the fair value measurement and disclosure guidance under U.S. GAAP, the Company does not adjust the quoted price for these investments. The hierarchy gives highest priority to Level 1. Level 2 Fair value is determined based on inputs other than quoted prices that are observable for the asset or liability either directly or indirectly as of the reporting date. Assets and liabilities which are generally included in this category include corporate bonds and loans, less liquid and restricted equity securities and certain over-the-counter derivatives, including foreign exchange forward contracts whose values are based on the following: · Quoted prices for similar assets or liabilities in active markets. · Quoted prices for identical or similar assets or liabilities in nonactive markets. · Pricing models whose inputs are observable for substantially the full term of the asset or liability. · Pricing models whose inputs are derived principally from or corroborated by observable market data for substantially the full term of the asset or liability. Level 3 Fair value is determined based on inputs that are unobservable for the investment and includes situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value require significant management judgment or estimation and the Company may use models or other valuation methodologies to arrive at fair value. Investments that are included in this category generally include distressed debt, less liquid corporate debt securities, non-investment grade residual interests in securitizations, collateralized debt obligations and certain derivative contracts. The hierarchy gives the lowest priority to Level 3. The Company has established a valuation process that applies for all levels of investments in the valuation hierarchy to ensure that the valuation techniques are consistent and verifiable. The valuation process includes discussions between the valuation team, portfolio management team and the valuation committee (the “Valuation Committee”). The Valuation Committee consists of senior members of ZAIS Group and is co-chaired by the Chief Risk Officer and Chief Financial Officer of ZAIS Group. The Valuation Committee meets to review and approve the results of the valuation process which are used in connection with the preparation of quarterly and annual financial statements. The Valuation Committee is responsible for oversight and review of the written valuation policies and procedures and ensuring that they are applied consistently. The lack of an established, liquid secondary market for some of the Company’s holdings may have an adverse effect on the market value of those holdings and on the Company’s ability to dispose of them. Additionally, the public markets for the Company’s holdings may experience periods of volatility and periods of reduced liquidity and the Company’s holdings may be subject to certain other transfer restrictions that may further contribute to illiquidity. Such illiquidity may adversely affect the price and timing of liquidations of the Company’s holdings. The following is a description of the valuation techniques used to measure fair value and the classification of these instruments pursuant to the fair value hierarchy: Investments in affiliated funds and securities The Company measures the fair value of its investments in affiliated funds and securities at the net asset value per share (or its equivalent) (“NAV”). If the investment can be redeemed at its NAV at the measurement date, the Company classifies the investment as Level 2. If the investment cannot be redeemed at its NAV as of the measurement date but the investment may be redeemable at a future date, the Company considers the length of time until the investment will become redeemable in determining whether to classify the investment as Level 2 or Level 3. Net gains or losses on investments in affiliated funds and securities are included in net gain (loss) on investments in the consolidated statements of comprehensive income (loss). Investments The Company determines the fair value of investments in CDOs, RMBS and CMBS, corporate bonds, mortgage-backed securities (“MBS”) and asset-backed securities (“ABS”) generally using third party valuation services. ZAIS Group verifies that the quotes received from the valuation services are reflective of fair value as defined in U.S. GAAP, generally by comparing to trading activity for similar asset classes, pricing research provided by banks and brokers, the indicative broker quotes and results from ZAIS Group’s proprietary models. If the values from the third party valuation services are insufficient or unavailable, fair value is determined using observable market data, indicative broker quotes or proprietary models that incorporate market based inputs but also include unobservable inputs. Some of the significant unobservable inputs used are constant prepayment rates, constant default rates, delinquency rates, security ratings, discount rates, credit spreads, and yields. The proprietary models convert future projected cash flows to a single discounted present value. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires significant judgment and considers factors specific to the investment. The Company also employs valuation agents for marks on leveraged loans in connection with CDOs under management and independent valuation agents for certain commercial real estate investments. The Company determines fair value of investments in Exchange Traded Funds (“ETF”) using quoted market prices. Net gains or losses on investments are included in net gain (loss) on investments in the consolidated statements of comprehensive income (loss). Credit Default Swaps A credit default swap contract is an agreement between a Consolidated Fund and a counterparty where one party to the contract either buys protection (short the underlying credit) or sells protection (long the underlying credit) on an index or subset of an index or a single tranche of an index or a single name entity. The buyer of protection pays a fixed coupon in exchange for receiving one or more payments by the other party upon the occurrence of certain credit triggering events related to the specified instrument. The seller of protection receives a fixed coupon as compensation for making one or more payments upon the occurrence of certain triggering events. An index or a single name entity trading at a premium (price is above par) is one in which the current spread is tighter (lower) than the stated coupon, and so the buyer of protection will receive upfront the current premium to par and pays the stated coupon going forward. An index or a single name entity trading at a discount (price is below par) is one in which the current spread is wider (higher) than the stated coupon, and so the buyer of protection will pay upfront the current discount to par and pay the stated coupon going forward. On a tranche trade, the buyer may pay upfront points which represent the present value of expected future cash flows of the tranche and/or may pay a running coupon on the tranche. The credit default swap contracts are marked to market based upon the valuation policies previously discussed. Changes in the fair value of the credit default swap contracts are reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). Interest Rate Swaps An interest rate swap is an agreement between a Consolidated Fund and a counterparty to exchange periodic interest payments where one party to the contract makes a fixed rate payment in exchange for a floating rate payment from the other party. The dollar amount each party pays is an agreed-upon periodic interest rate multiplied by some predetermined dollar principal (notional amount). No principal (notional amount) is exchanged between the two parties at trade initiation date. Only interest payments are exchanged. The Consolidated Funds utilize proprietary modeling analysis or industry standard third party analytics to support the counterparty valuations received for interest rate swap agreements. These counterparty valuations are generally based on models with observable market inputs such as interest rates and contractual cash flows, and, as such, are classified as Level 2 in the fair value hierarchy. The Consolidated Funds' interest rate swap agreements are governed by International Swap and Derivative Association trading agreements, which are separately negotiated agreements with dealer counterparties. At September 30, 2015 and December 31, 2014, no credit valuation adjustment was made in determining the fair value of the derivative. Changes in the fair value of the contract are reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). Options The Consolidated Funds are authorized to purchase or write options. When the Consolidated Funds purchase an option, an amount equal to the premium paid is reflected as an asset. The amount of the asset is subsequently marked to market to reflect the current value of the option purchased and the change in fair value is reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). When the Consolidated Funds write an option, an amount equal to the premium received is reflected as a liability. The amount of the liability is subsequently marked to market to reflect the current value of the option written and the change in fair value is reported as net change in net gains of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). When an option is exercised, the related premium paid (or received) is added to (or subtracted from) the gain or loss recognized on the transaction. When an option expires (or the Consolidated Funds enter into a closing transaction), the Consolidated Fund realizes a gain (loss) on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received). Written and purchased options are non-income producing investments. Swaptions The Consolidated Funds may write swaption contracts (“Swaptions”) to manage exposure to fluctuations in interest rates and credit spreads and to enhance portfolio yield. Swaptions written by the Consolidated Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call Swaption is exercised, the writer will enter into a swap and is obligated to pay a fixed rate of interest and receive a floating rate of interest or receive protection payments on a credit index in exchange. If a written put Swaption is exercised, the writer will enter into a swap and is obligated to pay a floating rate of interest or make protection payments on a credit index and receive a fixed rate in exchange. Swaptions are marked to market based upon quotations from market makers, and the change in fair value is reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). When the Consolidated Funds write a Swaption, the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the Swaption. A gain or loss is recognized when Swaptions expire or are closed. Premiums received from writing Swaptions that expire are treated by the Consolidated Funds as realized gains from Swaptions written. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. The Consolidated Funds bear the market risk on Swaptions arising from any change in index values or interest rates. The Consolidated Funds utilize proprietary modeling analysis or industry standard third party analytics to support the counterparty valuations received for interest rate swaption agreements. These counterparty valuations are generally based on models with observable market inputs such as interest rates and contractual cash flows, and, as such, are classified as Level 2 in the fair value hierarchy. The Consolidated Funds’ Swaptions are governed by International Swap and Derivative Association trading agreements, which are separately negotiated agreements with dealer counterparties. At September 30, 2015 and December 31, 2014, no credit valuation adjustment was made in determining the fair value of the derivative. Total Return Swap A total return swap contract is an agreement between a Consolidated Fund and a counterparty where one party to the contract exchanges the return on a security for a floating rate index plus a spread. The return on the security includes income such as coupons and the change in its value. The total return swap contracts are marked to market based upon quotations from market makers, and the change in fair value is reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). Foreign Exchange Forward Contracts The Consolidated Funds are authorized to enter into foreign exchange forward contracts as a hedge against specific transactions or portfolio positions. A foreign exchange forward contract is marked to reflect the current value of the contract, based upon quoted market prices, and the change in fair value is reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). Cashflow Swap A cashflow swap contract is an agreement between two counterparties, whereby the counterparty will fund a portion of the amounts payable on certain CDO notes payable or certain other derivative contracts if the cash flows from the underlying investments are insufficient to pay such amounts. The cashflow swap contracts are marked to market based upon quotations from market makers, and the change in fair value is reported in net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). Notes Payable of Consolidated CDOs As a result of the adoption of ASU 2015-02, the CDOs are no longer required to be consolidated effective January 1, 2015. The following policy applies for all periods prior to January 1, 2015. In accordance with ASU 2014-13, the Company can elect to measure both the financial assets and the financial liabilities of the CDOs in its consolidated financial statements using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The notes payable of Consolidated CDOs’ are measured using the fair value of the financial assets. Upon adoption of ASU 2014-13, the notes are measured as (1) the sum of the fair value of the financial assets and the carrying value of any nonfinancial assets held temporarily, less (2) the sum of the fair value of any beneficial interests retained by the Company (other than those that represent compensation for services) and the Company’s carrying value of any beneficial interests that represent compensation for services. Investment in Affiliates Under U.S. GAAP, the Company is permitted, as a practical expedient, to estimate the fair value of its investments in other investment companies using the NAV (or its equivalent) of the related investment company. Accordingly, the Company utilizes the practical expedient in valuing its investments in the unconsolidated ZAIS Managed Entities, which is an amount equal to the sum of the Company’s proportionate interest in the capital accounts of the affiliated funds at fair value. The fair value of the assets and liabilities of the ZAIS Managed Entities are determined by the Company in accordance with its valuation policies described above. The resulting net gains or losses on investments are included in net gain (loss) on investments in the consolidated statements of comprehensive income (loss). At September 30, 2015, all of the Company’s investments in the ZAIS Managed Entities were required to be consolidated. At December 31, 2014, the Company held an investment in one unconsolidated ZAIS Managed Entity. The valuation of the investment in this entity represents the amount the Company would receive at September 30, 2015 and December 31, 2014, respectively, if it were to liquidate its investment in the fund. ZAIS Group has the ability to liquidate its investments according to the provisions of the respective fund’s operative agreements. September 30, 2015 ( Dollars in thousands ) Level 1 Level 2 Level 3 Total Assets, at fair value Investments, at fair value Collateralized loan obligations $ $ $ 9,172 $ 9,172 Residential mortgage-backed securities 12,993 12,993 Exchange traded funds 14,610 14,610 Real estate investment 9,455 9,455 Total investments, at fair value 14,610 31,620 46,230 Investments in affiliated securities, at fair value 26,466 26,466 Derivative assets, at fair value Interest rate swaps 717 717 Swaptions 1,088 1,088 Total derivative assets, at fair value 1,805 1,805 Total assets, at fair value $ 14,610 $ 28,271 $ 31,620 $ 74,501 Liabilities, at fair value Securities sold, not yet purchased Exchange traded funds $ 11,610 $ $ $ 11,610 Corporate bonds 1,011 1,011 Total securities sold, not yet purchased 11,610 1,011 12,621 Derivative liabilities, at fair value Credit default swaps 107 107 Interest rate swaps 1,553 1,553 Total return swaps 334 334 Total derivative liabilities, at fair value 1,994 1,994 Total liabilities, at fair value $ 11,610 $ 3,005 $ $ 14,615 The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy levels at December 31, 2014: December 31, 2014 ( Dollars in thousands ) Level 1 Level 2 Level 3 Total Assets, at fair value Investments in affiliates $ $ 104 $ $ 104 Investments, at fair value Collateralized debt obligations 359,211 359,211 Commercial mortgage-backed securities 4,535 4,535 Corporate bonds 7,857 7,857 Residential mortgage-backed securities 78,275 78,275 Asset-backed securities and other 63,174 63,174 High yield corporate loans 613,685 613,685 Total investments, at fair value 7,857 1,118,880 1,126,737 Investments in affiliated securities, at fair value 31,457 31,457 Derivative assets, at fair value Options 56 56 Forward currency contracts 3,794 3,794 Credit default swaps 2,798 2,798 Total derivative assets, at fair value 3,850 2,798 6,648 Total assets, at fair value $ $ 43,268 $ 1,121,678 $ 1,164,946 Liabilities, at fair value Notes payable of consolidated CDOs, at fair value Notes payable of consolidated CDOs $ $ $ 749,719 $ 749,719 Securities sold, not yet purchased Corporate bonds 19,308 19,308 Derivative liabilities, at fair value Credit default swaps 5,399 5,399 Cashflow swaps 386 386 Total derivative liabilities, at fair value 386 5,399 5,785 Total liabilities, at fair value $ $ 19,694 $ 755,118 $ 774,812 September 30, 2015 ( Dollars in thousands ) Change in Unrealized Gains/Losses Total Relating to Realized Assets and Beginning and Ending Liabilities Balance Sales/ Change in Transfers Balance Still Held at January 1, Purchases/ Redemptions/ Unrealized to (from) September 30, September 2015 Issuances Settlements Gains (Losses) Level 3 2015 30, 2015 Collateralized loan obligations $ 9,626 $ 3,499 $ (3,778) $ (175) $ $ 9,172 $ (318) Mortgage-backed securities 9,472 8,560 (4,408) (631) 12,993 (98) Real estate investment 9,722 (159) (108) 9,455 (267) Total assets, at fair value $ 28,820 $ 12,059 $ (8,345) $ (914) $ $ 31,620 $ (683) The following table summarizes the changes in the Company’s Level 3 assets and liabilities for the year ended December 31, 2014: December 31, 2014 ( Dollars in thousands ) Change in Unrealized Gains/Losses Total Relating to Realized Assets and Beginning and Ending Liabilities Balance Sales/ Change in Transfers Balance Still Held at January 1, Purchases/ Redemptions/ Unrealized to (from) December 31, December 31, 2014 Issuances Settlements Gains (Losses) Level 3 2014 2014 Collateralized debt obligations $ 707,718 $ 112,518 $ (461,995) $ 970 $ $ 359,211 $ (47,146) Commercial mortgage-backed securities 6,738 2,862 (5,424) 359 4,535 (116) Residential mortgage-backed securities 63,091 32,391 (21,545) 4,338 78,275 461 Asset-backed securities and other 95,281 63,295 (113,524) 18,122 63,174 1,847 High yield corporate loans - 782,501 (160,810) (8,006) 613,685 (7,285) Collateralized loan obligations 26,460 14,500 (39,000) (1,960) Total return swaps 2,727 (110) (2,617) Credit default swaps 2,300 3,245 (3,912) 1,165 2,798 550 Total assets, at fair value $ 904,315 $ 1,011,312 $ (806,320) $ 12,371 $ $ 1,121,678 $ (51,689) Notes payable of consolidated CDOs $ 730,348 $ 635,315 $ (510,600) $ (105,344) $ $ 749,719 $ (74,344) Total return swaps (196) 196 Credit default swaps 20,187 26,197 (22,391) (18,594) 5,399 (2,359) Total liabilities, at fair value $ 750,535 $ 661,512 $ (533,187) $ (123,742) $ $ 755,118 $ (76,703) The Company records transfers between Level 1, Level 2 and Level 3, if any, at the beginning of the period. There were no transfers between Level 1, Level 2 and Level 3 during the nine months ended September 30, 2015 and the year ended December 31, 2014. Fair Value at September 30, Valuation Unobservable Amount/ Weighted Investment Type 2015 Techniques Input Percentage Min Max Average (Dollars in thousands) Investments, at fair value Collateralized loan obligations $ 9,172 Broker quoted Not applicable. Residential mortgage-backed securities Agency IO 1,395 Discounted cash flow model Yield 3.48 % 3.48 % N/A Residential mortgage-backed securities Agency Inverse IO 399 Discounted cash flow model Yield 8.56 % 8.56 % N/A Residential mortgage-backed securities 11,199 Broker quoted Not applicable. Real estate investment 9,455 Capitalization Rate Method Capitalization Rate 7.00 % Total assets, at fair value $ 31,620 Fair Value at December 31, Valuation Unobservable Amount/ Weighted Investment Type 2014 Techniques Input Percentage Min Max Average (Dollars in thousands) Investments, at fair value Collateralized debt obligations $ 59,623 Discounted cash flow model Discount margin (bps) 253 2,138 776 Constant prepayment rate 10 % 35 % N/A (1) Constant default rate 0 % 4 % N/A (1) Loss severity 30 % 70 % N/A (1) Reinvestment price 100 Reinvestment spread 3.75 % Collateralized debt obligations 299,588 Broker quoted Not applicable. Commercial mortgage-backed securities 4,535 Broker quoted Not applicable. Residential mortgage-backed securities 17,085 Discounted cash flow model Discount margin (bps) 308 1,975 666 Constant prepayment rate 1 % 28 % 10 % Constant default rate 0 % 22 % 3 % Loss severity 0 % 150 % 78 % Residential mortgage-backed securities 61,190 Broker quoted Not applicable. Asset-backed securities and other 63,174 Broker quoted Not applicable. High yield corporate loans 613,685 Broker quoted Not applicable. Derivative assets, at fair value Credit default swaps 2,798 Broker quoted Not applicable. Total assets, at fair value $ 1,121,678 Liabilities Notes payable of consolidated CDOs, at fair value $ 749,719 ASU 2014-13 (2) Not applicable. Derivative liabilities, at fair value Credit default swaps 5,399 Broker quoted Not applicable. Total liabilities, at fair value $ 755,118 (1) Weighted Average Constant Prepayment Rate, Weighted Average Constant Default Rate and Weighted Average Loss Severity are flat percentages applied to the respective assets to project future cash flows. (2) Valued per ASU 2014-13 as described in Note 3. |
Derivatives
Derivatives | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 6. Derivatives In the normal course of business, the Consolidated Funds utilize derivative contracts in connection with their proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Consolidated Funds’ derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit and foreign currency exchange rate and equity price risks. In addition to its primary underlying risks, the Consolidated Funds are also subject to additional counterparty risks due to the inability of their counterparties to meet the terms of their contracts. The Consolidated Funds may enter into various swap contracts, including currency swaps, interest rate swaps, total return swaps and credit default swaps, as part of their investment strategies, to hedge against unfavorable changes in the value of investments and to protect against adverse movements in interest rates or credit performance. Generally, a swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to the other. During the term of the swap contract, changes in fair value are recognized as a net unrealized gain (loss) by marking the contracts at fair value. Additionally, the Consolidated Funds record a realized gain (loss) when a swap contract is terminated, and when periodic payments are received or made at the end of each measurement period. The fair value of open swap contracts reported in the consolidated statements of financial condition may differ from what would be realized in the event the Consolidated Funds terminated their positions in the contracts. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the aggregate fair value of swap contracts in an unrealized gain position, as well as any collateral posted with the counterparty. The risk is mitigated by having a master netting arrangement between each Consolidated Fund and the applicable counterparty and by the posting of collateral by the counterparty to the applicable Consolidated Fund to cover the Consolidated Funds’ exposure to the counterparty. As discussed in Note 2 to the consolidated financial statements, the Consolidated Funds have elected not to offset fair value amounts. Therefore, the Consolidated Funds consider the creditworthiness of the counterparty to each swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in the fair value of the underlying investments. September 30, 2015 ( Dollars and notional amounts in thousands ) Derivative Assets Derivative Liabilities Primary Financial Underlying Statement Fair Financial Statement Fair Risk Location Notional Value Location Notional Value Interest rate contracts Derivative assets, at fair value 106,000 $ 1,805 Derivative liabilities, at fair value 97,100 $ 1,553 Credit contracts Derivative assets, at fair value Derivative liabilities, at fair value 1,000 107 Equity contracts Derivative assets, at fair value Derivative liabilities, at fair value 5,000 334 Gross derivative instruments 106,000 $ 1,805 103,100 $ 1,994 December 31, 2014 ( Dollars and notional amounts in thousands ) Derivative Assets Derivative Liabilities Primary Financial Underlying Statement Fair Financial Statement Fair Risk Location Notional Value Location Notional Value Interest rate contracts Derivative assets, at fair value $ Derivative liabilities, at fair value 201,612 $ 386 Credit contracts Derivative assets, at fair value 72,265 2,798 Derivative liabilities, at fair value 180,172 5,399 Foreign exchange contracts Derivative assets, at fair value 201,400 3,850 Derivative liabilities, at fair value Gross derivative instruments 273,665 $ 6,648 381,784 $ 5,785 Three Months Ended September 30, 2015 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ 1,044 $ (1,626) $ (582) Credit contracts 17 81 98 Equity contracts (7) (409) (416) Total $ 1,054 $ (1,954) $ (900) Three Months Ended September 30, 2014 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ $ (507) $ (507) Credit contracts (376) (8,197) (8,573) Equity contracts 510 510 Foreign exchange contracts 82 60 142 Total $ (294) $ (8,134) $ (8,428) Nine Months Ended September 30, 2015 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ 451 $ (1,262) $ (811) Credit contracts 33 62 95 Equity contracts (7) (334) (341) Total $ 477 $ (1,534) $ (1,057) Nine Months Ended September 30, 2014 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ $ 402 $ 402 Credit contracts (855) (13,013) (13,868) Equity contracts (4,011) 1,208 (2,803) Foreign exchange contracts 19 147 166 Total $ (4,847) $ (11,256) $ (16,103) At September 30, 2015, the Consolidated Funds did not hold financial instruments where they were considered to be a seller of credit derivatives. At December 31, 2014, the Consolidated Funds held financial instruments where they were considered to be a seller of credit derivatives under U.S. GAAP. As described above, with the adoption of ASU 2015-02 the funds that have been consolidated in the two periods presented have changed. The Consolidated Funds’ written credit derivatives include credit default swaps. The Company believes credit ratings on issuers of underlying reference obligations, together with the period of expiration, are the best indicators of payment/performance risk on written credit derivative contracts. A reference obligation is considered investment grade if its credit rating is BBB- or higher, as rated by Standard & Poor’s (“S&P”). December 31, 2014 ( Dollars and notional amounts in thousands ) Fair Value Asset Notional Amount (Liability) Less than 1 5 Over CDS Type Credit Rating 1 year years 5 years Total Investment Grade Index Tranche Not rated 11,000 11,000 $ 925 Bespoke-Mezzanine Not rated 22,000 92,000 114,000 (471) High Yield Index Tranche Not rated 15,000 15,000 (889) High Yield Single Name Not rated 4,000 4,000 357 CDO Tranche on Corporate Debt Investment Grade 19,500 33,000 52,500 (1,407) CDO Tranche on Corporate Debt Non-Investment Grade 9,000 5,172 14,172 5,172 CDO Tranche on Corporate Debt Not rated 8,000 8,000 343 Total 22,000 158,500 38,172 218,672 $ 4,030 September 30, 2015 ( Notional amounts in thousands ) Long Exposure Short Exposure Average Number of Average Number of Yearly Contracts at Yearly Contracts at Notional September 30, Notional September 30, Primary Underlying Risk Amounts 2015 Amounts 2015 Interest rate contracts 122,375 7 92,800 12 Credit contracts 1,000 1 Equity contracts 2,500 1 Total 122,375 7 96,300 14 December 31, 2014 ( Notional amounts in thousands ) Long Exposure Short Exposure Average Number of Average Number of Yearly Contracts at Yearly Contracts at Notional December 31, Notional December 31, Primary Underlying Risk Amounts 2014 Amounts 2014 Interest rate contracts 327,500 150,708 1 Credit contracts 69,670 34 19,168 8 Foreign exchange contracts 100,000 1 1,275 1 Total 497,170 35 171,151 10 Offsetting of Derivatives The Consolidated Funds are required to disclose the impact of offsetting assets and liabilities included in the consolidated statements of financial condition to enable users of the consolidated financial statements to evaluate the effect or potential effect of netting arrangements on their financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement, or meet the following right of setoff criteria: the amounts owed by the Consolidated Funds to another party are determinable, the Consolidated Funds have the right to set off the amounts owed with the amounts owed by the other party, the Consolidated Funds intend to set off and the Consolidated Funds’ right of setoff is enforceable by law. At September 30, 2015 and December 31, 2014, the Consolidated Funds hold certain derivative instruments that are eligible for offset in the consolidated statements of financial condition and are subject to master netting arrangements. A master netting arrangement allows each applicable Consolidated Fund and the related counterparty to net derivative assets of each Consolidated Fund or collateral held on behalf of each Consolidated Fund against derivative liabilities or payment obligations of each Consolidated Fund to the counterparty. These arrangements also allow each Consolidated Fund and the applicable counterparty to net any derivative liabilities of each Consolidated Fund or collateral sent to each Consolidated Fund against derivatives assets or counterparty payment obligations to each Consolidated Fund. There are no master netting arrangements between the Consolidated Funds. Balances are presented on a gross basis in the consolidated statements of financial condition prior to the application of the impact of fair value and collateral netting. Offsetting Derivative Assets September 30, 2015 ( Dollars in thousands ) Net Amounts of Gross Assets Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Assets Condition Condition Instruments Received Amount Investments in derivatives, at fair value $ 1,805 $ $ 1,805 $ (1,051) $ $ 754 Total $ 1,805 $ $ 1,805 $ (1,051) $ $ 754 Offsetting Derivative Liabilities September 30, 2015 ( Dollars in thousands ) Net Amounts of Gross Liabilities Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Liabilities Condition Condition Instruments Pledged Amount Investments in derivatives, at fair value $ 1,994 $ $ 1,994 $ (1,051) $ (943) $ Total $ 1,994 $ $ 1,994 $ (1,051) $ (943) $ Offsetting Derivative Assets December 31, 2014 ( Dollars in thousands ) Net Amounts of Gross Assets Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Assets Condition Condition Instruments Received Amount Investments in derivatives, at fair value $ 6,648 $ $ 6,648 $ (2,119) $ $ 4,529 Total $ 6,648 $ $ 6,648 $ (2,119) $ $ 4,529 Offsetting Derivative Liabilities December 31, 2014 ( Dollars in thousands ) Net Amounts of Gross Liabilities Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Liabilities Condition Condition Instruments Pledged Amount Investments in derivatives, at fair value $ 5,785 $ $ 5,785 $ (2,119) $ (1,801) $ 1,865 Total $ 5,785 $ $ 5,785 $ (2,119) $ (1,801) $ 1,865 |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entity Disclosure [Text Block] | 7. Variable Interest Entities In the ordinary course of business, ZAIS Group sponsors the formation of VIEs that can be broadly classified into the following categories: hedge funds, hybrid private equity funds and securitized structures (CDOs). ZAIS Group generally serves as the investment advisor or collateral manager with certain investment-related, decision-making authority for these entities. The Company has not recorded any liabilities with respect to VIEs that are not consolidated. Certain ZAIS Managed Entities, including the CDOs, are VIEs. Funds Prior to the adoption of ASU 2015-02, substantially all of the ZAIS Managed Entities qualified for the deferral granted under ASU 2010-10, Amendments to Statement 167 for Certain Investment Funds In adopting ASU 2015-02, the Company re-evaluated all of the ZAIS Managed Entities for consolidation. As a result of the re-evaluation the Company is no longer required to consolidate ZAIS Opportunity Master Fund, Ltd. and ZAIS Opportunity Fund, Ltd. as it has been determined that the Company’s fee is no longer considered a variable interest. However, as a result of the re-evaluation, the Company is now required to consolidate ZAIS Atlas Master Fund, LP since it has been determined that the Company is the related party most-closely associated with the entity. In evaluating whether the Company is the primary beneficiary, the Company evaluates its economic interests in the entity held either directly by the Company or indirectly through related parties. For VIEs that are investment companies subject to ASU 2010-10, the primary beneficiary of the VIE is generally the variable interest holder that absorbs a majority of the expected losses of the VIE, receives a majority of the expected residual returns of the VIE, or both. The Company generally is not the primary beneficiary of VIEs created to manage assets for clients unless the Company’s ownership interest, including interests of related parties, is substantial. The primary beneficiary of a VIE is defined as the variable interest holder that has a controlling financial interest. A controlling financial interest is defined as (i) the power to direct activities of the VIE that most significantly impacts its economic performance and (ii) the obligation to absorb losses of the entity or the right to receive benefits from the entity that could potentially be significant to the VIE. If no single party satisfies both criteria, but the Company and its related parties satisfy the criteria on a combined basis, then the primary beneficiary is the entity out of the related party group that is most closely associated to the VIE. The consolidation analysis can generally be performed qualitatively, however, if it is not readily apparent that the Company is not the primary beneficiary, a quantitative analysis may also be performed. Securitized Structures ZAIS Group acts as collateral manager for CDOs that are VIEs. These are entities that issue collateralized notes which offer investors the opportunity for returns that vary commensurately with the risks they assume. The notes issued by the CDOs are generally backed by asset portfolios consisting of loans, other debt or other derivatives. ZAIS Group receives collateral management fees (which in some cases are waived in lieu of certain ZAIS Managed Entities owning the equity tranches) for acting as the collateral manager for these structures and, subject to hurdle rates, may earn incentive income based on the performance of the vehicles. Prior to the adoption of ASU 2015-02, the deferral granted under ASU 2010-10 did not apply to securitized structures. Accordingly, the determination of whether ZAIS Group was the primary beneficiary that would consolidate these entities was based on a determination of whether ZAIS Group had (i) the power to direct the activities of the entity that most significantly impact its economic performance, and (ii) the obligations to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Prior to the adoption of the ASU 2015-02, ZAIS Group determined that it possessed the power to direct the activities of the CDOs (with the exception of CLOs that were still in the warehouse stage) that most significantly impact their economic performance through its role as the collateral manager. In addition, ZAIS Group determined that it had the right to receive benefits from the CDOs that could potentially be significant, on a quantitative and qualitative basis. As a result, the Company consolidated certain securitized structures that ZAIS Group manages. CLOs that are still in the warehouse phase are VIEs. ZAIS Group did not consider itself to be the primary beneficiary of these entities because it does not have the power to direct the activities that most significantly impact the economic performance of these structures. Therefore, the CLOs that were still in the warehouse phase prior to January 1, 2015 have not been consolidated by the Company. In adopting ASU 2015-02, the Company re-evaluated all of its CDOs that are VIEs. The Company determined that it is no longer the primary beneficiary of these entities because under ASU 2015-02, ZAIS Group’s fee arrangements are commensurate with the level of effort performed and include only customary terms that do not represent variable interests. The Company considered investments its related parties have in the CDOs when determining if ZAIS Group’s fee represented a variable interest. The Company has concluded that for all CDOs its fee does not represent a variable interest and, accordingly, has deconsolidated the CDOs as of January 1, 2015. September 30, December 31, 2014 Funds CDOs Funds Total (Dollars in thousands) Assets Assets of Consolidated Funds Cash and cash equivalents $ 20,098 $ 34,399 $ 58,971 $ 93,370 Restricted cash 2,265 30,265 30,265 Investments, at fair value 46,230 789,410 327,605 1,117,015 Investments in affiliated securities, at fair value 26,466 34,762 34,762 Derivative assets, at fair value 1,805 509 6,139 6,648 Other assets 3,264 9,832 1,766 11,598 Total Assets $ 100,128 $ 834,150 $ 459,508 $ 1,293,658 Liabilities Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value $ $ 784,481 $ $ 784,481 Derivative liabilities, at fair value 1,994 2,374 3,411 5,785 Securities sold, not yet purchased 12,621 19,308 19,308 Due to broker 15,588 21,047 4,600 25,647 Other liabilities 244 26,248 2,441 28,689 Total Liabilities $ 30,447 $ 834,150 $ 29,760 $ 863,910 The assets presented in the table above belong to the investors in those entities, are available for use only by the entity to which they belong and are not available for use by the Company. The Consolidated Funds have no recourse to the general credit of ZAIS Group with respect to any liability. The Company also consolidates entities that are not VIEs, the assets and liabilities of which are not included in the table above. ZAIS Group has a minimal direct ownership, if any, in the non-consolidated entities that are VIEs and its involvement is generally limited to providing asset management services. ZAIS Group’s exposure to loss from these entities is limited to a decrease in the management fees and incentive income that has been earned and accrued, as well as any direct equity ownership in the VIEs. The net assets of these VIEs were approximately $ 81.8 104,000 |
Management Fee Income and Incen
Management Fee Income and Incentive Income | 9 Months Ended |
Sep. 30, 2015 | |
Management Fee Income and Incentive Income [Abstract] | |
Management Fee Income and Incentive Income [Text Block] | 8. Management Fee Income and Incentive Income ZAIS Group manages certain funds and accounts from which it may earn incentive income based on hedge fund-style and private equity-style fee arrangements. Funds and accounts with hedge fund-style fee arrangements are those that pay an incentive fee/allocation, which may be subject to a hurdle, to ZAIS Group on an annual basis. Funds and accounts with private equity-style fee arrangements are those that pay an incentive fee/allocation based on a priority of payments under which investor capital must be returned and a preferred return must be paid to the investor prior to any payments of incentive-based income to ZAIS Group. Management fees earned by ZAIS Group for funds and accounts with hedge fund-style fee arrangements generally range from 0.50 1.25 0.25 0.50 0.15 0.50 1.50 20 20 20 For funds and accounts with hedge fund-style fee arrangements, incentive income earned generally ranges from 10 20 For funds and accounts with private equity-style fee arrangements, incentive income earned by ZAIS Group is generally 20 For CDOs, incentive income earned generally ranges from 10 20 Three months Ended September 30, 2015 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 1,698 $ (64) $ 1,634 Managed accounts 990 990 Private equity funds 727 727 ZAIS Financial Corp. 760 760 Total $ 4,175 $ (64) $ 4,111 Incentive Income Hedge funds $ 35 $ $ 35 Managed accounts Private equity funds 3,835 3,835 Total $ 3,870 $ $ 3,870 Three months Ended September 30, 2014 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 898 $ (898) $ Managed accounts 2,895 2,895 Private equity funds 1,169 (266) 903 ZAIS Financial Corp. 575 575 Total $ 5,537 $ (1,164) $ 4,373 Incentive Income Hedge funds $ 2,415 $ (5) $ 2,410 Managed accounts Private equity funds 3,593 (1,050) 2,543 Total $ 6,008 $ (1,055) $ 4,953 Nine Months Ended September 30, 2015 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 4,927 $ (183) $ 4,744 Managed accounts 3,178 3,178 Private equity funds 1,716 1,716 ZAIS Financial Corp. 2,188 2,188 Total $ 12,009 $ (183) $ 11,826 Incentive Income Hedge funds $ 659 $ $ 659 Managed accounts 463 463 Private equity funds 4,869 4,869 Total $ 5,991 $ $ 5,991 Nine months Ended September 30, 2014 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 1,802 $ (1,802) $ Managed accounts 8,768 8,768 Private equity funds 11,146 (6,880) 4,266 ZAIS Financial Corp. 1,705 1,705 Total $ 23,421 $ (8,682) $ 14,739 Incentive Income Hedge funds $ 2,754 $ (93) $ 2,661 Managed accounts 827 827 Private equity funds 48,962 (10,707) 38,255 Total $ 52,543 $ (10,800) $ 41,743 At September 30, 2015, approximately $ 2,042,000 35,000 1,871,000 2,412,000 |
Debt Obligations
Debt Obligations | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | 9. Debt Obligations Notes Payable On March 17, 2015, in conjunction with the closing of the Business Combination, ZAIS issued two promissory notes with an aggregate principal balance of $ 1,250,000 Notes Payable of Consolidated CDOs Prior to adopting ASU 2015-02, the Company consolidated the CDOs that ZAIS Group manages. As a result, the senior and subordinated notes issued by the CDOs are included in the Company’s consolidated statements of financial condition. Notes payable of the consolidated CDOs are collateralized by the assets held by the CDOs, and the assets of one CDO may not be used to satisfy the liabilities of another. This collateral generally consists of loans, other debt and other derivatives. The stated maturity dates for the notes issued by the CDOs range from 2019 to 2057. 749,719,000 December 31, 2014 ( Dollars in thousands ) Cash and cash equivalents $ 34,399 Investments, at fair value: Collateralized debt obligations 138,637 Commercial mortgage-backed securities 1,606 Residential mortgage-backed securities 13,174 Asset-backed securities and other 22,308 High yield corporate loans 613,685 789,410 Derivative assets (liabilities), net, at fair value (1,864) Other assets (liabilities), net (37,464) Notes payable of consolidated CDOs, at fair value 784,481 Elimination of Consolidated Funds’ investments in CDOs (34,762) Notes payable of consolidated CDOs, at fair value (net of eliminations) $ 749,719 As discussed in Note 3, the Company has elected to carry these notes at fair value in its consolidated statements of financial condition. Accordingly, the Company measured the fair value of notes payable (as a group including both the senior and subordinated notes) as (1) the sum of the fair value of the financial assets and the carrying value of any non-financial assets held temporarily, less (2) the sum of the fair value of any beneficial interests retained by the Company (other than those that represent compensation for services) and the Company’s carrying value of any beneficial interests that represent compensation for services. The Company allocated the resulting amount to the different classes of notes based on the CDOs’ waterfall on an as liquidated basis. December 31, 2014 ( Dollars in thousands ) Weighted Weighted Average Borrowings Fair Average Maturity in Outstanding Value Interest Rate Years Senior Secured Notes $ 892,112 $ 749,344 1.74 % 17.80 Subordinated Notes 58,802 375 N/A 21.76 Total $ 950,914 $ 749,719 |
Compensation
Compensation | 9 Months Ended |
Sep. 30, 2015 | |
Share-based Compensation [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | 10. Compensation Employees are eligible to receive discretionary incentive cash compensation (the “Bonus Award”) on an annual basis. The amount of the Bonus Award is based on, among other factors, both individual performance and the financial results of ZAIS Group. For certain employees, as documented in an underlying agreement (the “Bonus Agreement”), the Bonus Award may be further subject to a retention-based payout schedule that generally provides for 30 895,000 2,721,000 3,106,000 8,336,000 5,001,000 ZAIS Group has entered into Points Agreements with certain of its employees whereby certain employees and former employees have been granted rights to participate in a portion of the incentive income received from certain ZAIS Managed Entities. For the three months ended September 30, 2015 and September 30, 2014, the Company recorded compensation expense of approximately $ 0 166,000 32,000 7,950,000 In 2013, ZAIS Group established the Income Unit Plan. Under the Income Unit Plan, certain employees were entitled to receive a fixed percentage of ZAIS Group’s distributable income, as defined in the Income Unit Plan agreement. Payout of 85 30 0 2,086,000 198,000 6,225,000 Stock-Based Compensation In conjunction with the close of the Business Combination on March 17, 2015, ZGP authorized 1,600,000 "Compensation - Stock Compensation” Weighted Average Grant Number of Date Fair B-0 units Value per Unit Offered Upon Closing of Business Combination 1,369,119 $ 9.70 Awards not accepted due to resignation (16,327) 9.70 Net granted Upon Closing of Business Combination 1,352,792 9.70 Granted Post-Closing of Business Combination 50,000 8.80 Forfeited (65,306) 9.70 Vested Balance at September 30, 2015 1,337,486 $ 9.67 The total compensation expense expected to be recognized in all future periods associated with the B-0 units, considering estimated forfeitures of 8 8,704,000 1.46 1,336 3,164 Pursuant to ZAIS’s 2015 Stock Incentive Plan, non-employee directors of ZAIS are eligible to receive RSUs as a component of compensation for their service as directors of ZAIS. The awards are unvested at the time they are granted, as such, are not entitled to any dividends or distributions from ZAIS or other material rights until such RSUs vest. The RSUs vest in full on the one year anniversary of the grant date. Upon vesting ZAIS will issue the recipient shares of Class A Common Stock equal to the number of vested RSUs. In accordance with ASC 718, "Compensation - Stock Compensation” Weighted Average Grant Number of Date Fair RSUs Value per Unit Granted 30,000 $ 9.85 Forfeited Vested Balance at September 30, 2015 30,000 $ 9.85 The total expense expected to be recognized in all future periods associated with the RSUs, considering estimated forfeitures of 0 172,000 0.58 74,000 124,000 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | 11. Income Taxes ZAIS is taxable as a corporation for U.S. tax purposes. The Company’s effective tax rate includes a rate benefit attributable to the fact that the Company’s subsidiaries operate as limited liability companies and limited partnerships which are treated as pass-through entities for U.S. federal and state income tax purposes. Accordingly, the Company’s consolidated financial statements include U.S. federal, state and local income taxes on the Company’s allocable share of the consolidated results of operations, as well as taxes payable to jurisdictions outside the U.S. The tax liability or benefit related to the partnership income or loss not allocable to the Company rests with the equity holders owning such non-controlling interests in ZAIS subsidiaries. As such, the non-controlling interest’s tax liability or benefit is not reflected in ZAIS’s unaudited consolidated financial statements. As a result of the significant variations in the customary relationship between income tax expense and pre-tax accounting income, the Company is unable to estimate the annual effective tax rate for 2015. Consequently, the actual effective tax rate for the interim period is being used. The Company’s foreign operations are conducted in “pass-through” entities for U.S. income tax purposes. The Company provides for U.S. income taxes on a current basis for those earnings. The Company’s foreign subsidiaries pay income taxes in the respective foreign jurisdictions, which are included in provision for income taxes. The Company recorded income tax (benefit) expense of $ (933,000) (3,536,000) 189,000 209,000 5,000 19,000 As of September 30, 2015, the Company had total deferred tax assets of $ 3,536 Additionally at September 30, 2015, the Company had deferred tax assets of $784,000 related to ZAIS’s net operating losses and development stage start-up expenses incurred during the period from its inception and prior to the closing of the Business Combination with ZGP. During the three months ended September 30, 2015, the Company released the full valuation allowance it had previously recorded on the deferred tax assets and recognized a benefit of $(784,000). This benefit is included in income tax (benefit) expense in the consolidated statements of comprehensive income (loss) and deferred tax assets in the consolidated statements of financial condition. As of September 30, 2015, 7,891,000 2032 $ 1,000 2033 83,000 2034 122,000 2035 7,685,000 Total $ 7,891,000 The Company’s effective tax rates were (27.26)% and (27.21)% for the three and nine months ended September 30, 2015, respectively. The difference between the U.S. federal statutory rate of 35.0 Effective Tax Effective Tax Three months Nine months ended September ended September Income tax (benefit) expense at the U.S. federal statutory income tax rate (35.00) % (35.00) % State and Local Income Tax, Net of Fed Benefit (2.12) % (3.19) % Redeemable non-controlling interests 12.69 % 0.09 % Non-controlling interests in Consolidated Funds 5.06 % (0.80) % Non-controlling interests in ZGP 4.56 % 16.63 % Change in Valuation Allowance on Pre-Business Combination Deferred Tax Assets (12.45) % (4.94) % Total (27.26) % (27.21) % As of September 30, 2015, and September 30, 2014 the Company did not have any unrecognized tax benefits. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | 12. Related Party Transactions ZAIS Group offers a range of alternative and traditional investment strategies through private accounts and pooled investment vehicles. ZAIS Group earns substantially all of its management fee income and incentive income from the ZAIS Managed Entities, which are considered related parties as the Company manages the operations of, and makes investment decisions for, these entities. The Company considers ZAIS Group’s principals, executives, employees and all ZAIS Managed Entities to be affiliates and related parties. ZAIS Group invests in some of its subsidiaries and some of the ZAIS Managed Entities. Investments in subsidiaries and certain ZAIS Managed Entities that are consolidated are eliminated. Investments in certain ZAIS Managed Entities not consolidated are further described in Note 3. On September 30, 2014, ZGP made a distribution-in-kind to its members of its full partnership interest in ZAIS Value-Added Real Estate Fund I, LP, a Consolidated Fund. The value of the partnership interest at the time of the distribution was approximately $ 5,310,000 29,082,000 30,141,000 Additionally, ZAIS Group did not charge management fees or earn incentive income on ZAIS CLO 1 and ZAIS CLO 2 since investments were made in these entities by ZAIS Managed Entities, with existing fee arrangements, representing 100% of the equity tranche of ZAIS CLO 1 and ZAIS CLO 2. The total amounts of asset under management that are not being charged fees are approximately $ 560,206,000 555,865,000 From time to time, ZAIS Group may pay related party research and data services expenses directly to vendors, and subsequently invoice these costs to the respective ZAIS Managed Entities based upon certain criteria. At September 30, 2015 and December 31, 2014, approximately $642,000 and $400,000, respectively, was due to ZAIS Group from the ZAIS Managed Entities as a result of this arrangement. These amounts are included in due from related parties in the consolidated statements of financial condition. In an effort to simplify the corporate structure of ZAIS Group’s operations, ZAISGroup International, LLP transferred, as of August 12, 2014, its business assets, liabilities, operations and staff, as well as its FCA authorization, to a new company named ZAIS Group (UK) Limited. ZAIS Group (UK) Limited is a wholly-owned subsidiary of ZAIS Group, and carries out the same roles and functions from the same premises, and with the same personnel, as ZAISGroup International, LLP had previously carried out. ZGP has entered into a two-year Consulting Agreement with Mr. Ramsey through an entity controlled by Mr. Ramsey (the “Consulting Agreement”), under the terms of which, among other things, Mr. Ramsey will provide consulting services to ZGP, ZAIS Group’s senior management team and ZAIS, as requested by ZGP’s managing member, from time to time during the 24-month period beginning on, the closing of the Business Combination. Mr. Ramsey may not compete against ZGP during the term of the Consulting Agreement, and for two years following its termination. In consideration for his undertakings under the Consulting Agreement, ZGP will pay Mr. Ramsey a consulting fee of $ 500,000 ZAIS Group is a party to a consulting agreement with Tracy Rohan, Mr. Zugel’s sister-in-law, pursuant to which Ms. Rohan provides services to ZAIS Group relating to event planning, promotion, web and print branding and related services. Pursuant to the consulting agreement, Ms. Rohan earned approximately $ 29,000 32,000 87,000 95,000 At September 30, 2015 and December 31, 2014, approximately $66,000 and $100,000, respectively, relating to employee loans were included in due from related parties in the consolidated statements of financial condition. Related Party Transactions of Consolidated Funds For the three months ended September 30, 2014, ZAIS Opportunity Master Fund, Ltd. did not enter into purchase and sale transactions with affiliated parties. For the nine months ended September 30, 2014, ZAIS Opportunity Master Fund, Ltd. entered into purchase and sale transactions with Deutsche Bank Securities, Inc., an entity affiliated with the employer of the members of the Board of Directors for the ZAIS Opportunity Master Fund, Ltd. Total purchases at fair value of approximately $ 0 4,000 459,000 were made with this affiliated party. |
Fixed Assets
Fixed Assets | 9 Months Ended |
Sep. 30, 2015 | |
Property, Plant and Equipment [Abstract] | |
Property, Plant and Equipment Disclosure [Text Block] | 13. Fixed Assets September 30, December 31, 2015 2014 ( Dollars in thousands ) Office equipment $ 3,187 $ 3,073 Leasehold improvements 947 938 Furniture and fixtures 587 569 Software 427 402 5,148 4,982 Less accumulated depreciation and amortization (4,536) (3,891) Total $ 612 $ 1,091 For the three months ended September 30, 2015 and September 30, 2014, depreciation and amortization expense amounted to approximately $445,000 and $122,000, respectively. In the current period, the useful life assumption for leasehold improvements was updated to be consistent with the term of the lease. For the nine months ended September 30, 2015 and September 30, 2014, depreciation and amortization expense from continuing operations amounted to approximately $654,000 and $358,000, respectively. The change in accumulated depreciation and amortization also includes the change in foreign currency spot rates for each respective period presented. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | 14. Commitments and Contingencies Capital Commitments As of September 30, 2015, a portion of the proceeds of the Business Combination had been committed to expand existing business lines. To provide ZAIS Group with the opportunity to continue to expand its corporate CLO business, up to $ 51 Lease Obligations ZAIS Group is obligated under operating lease agreements for office space expiring through October 2017. The Company recognizes expense related to its operating leases on a straight-line basis over the lease term. Period Amount ( Dollars in thousands ) Three Months Ending December 31, 2015 $ 235 Year Ending December 31, 2016 938 Year Ending December 31, 2017 728 $ 1,901 Rent expense is amortized on a straight-line basis and is included in general, administrative and other in the consolidated statements of comprehensive income (loss). For the three months ended September 30, 2015 and September 30, 2014, rent expense amounted to approximately $ 397,000 501,000 1,215,000 1,275,000 Litigation From time to time, ZAIS Group may become involved in various claims, regulatory inquiries and legal actions arising in the ordinary course of business. Management is not aware of any contingencies relating to such matters that would require accrual or disclosure in the financial statements at September 30, 2015. Other Contingencies In the normal course of business, ZAIS Group enters into contracts that provide a variety of indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to ZAIS Group under these arrangements could involve future claims that may be made against ZAIS Group. Currently, no such claims exist or are expected to arise and, accordingly, the Company has not accrued any liability in connection with such indemnifications. |
Segment Reporting
Segment Reporting | 9 Months Ended |
Sep. 30, 2015 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure [Text Block] | 15. Segment Reporting The ZAIS Managed Entities segment is currently the Company’s only reportable segment, and represents the Company’s core business, as substantially all of the Company’s operations are conducted through this segment. The ZAIS Managed Entities segment provides investment advisory and asset management services to the ZAIS Managed Entities. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share [Text Block] | 16. Earnings Per Share Shares of Class B common stock have no impact on the calculation of consolidated net income (loss) per share of Class A common stock as holders of Class B common stock do not participate in net income or dividends, and thus, are not participating securities. Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2015 2014 2015 2014 (Dollars in thousands, except shares and per share data) Numerator: Consolidated Net Income (Loss), net of tax, attributable to ZAIS Group Holdings, Inc. Class A common stockholders (Basic) $ (568) $ (3,539) (1) $ (4,337) $ 23,259 (1) Effect of dilutive securities: Consolidated Net Income (Loss), net of tax, attributable to non-controlling interests in ZGP (1,009) (7,754) Less: Consolidated Net Income (Loss), net of tax, attributable to ZAIS REIT Management, LLC Class B Members (2) (144) (426) Income tax (benefit) expense (3) 471 3,342 Consolidated Net Income (Loss), net of tax, attributable to stockholders, after effect of dilutive securities $ (1,250) $ (3,539) $ (9,175) $ 23,259 Denominator: Weighted average number of shares of Class A Common Stock 13,870,917 7,000,000 (5) 10,009,416 7,000,000 (5) Effect of dilutive securities: Weighted average number of Class A Units of ZGP 7,000,000 7,000,000 Dilutive number of B-0 Units and RSUs (4) Diluted weighted average shares outstanding (6) 20,870,917 7,000,000 17,009,416 7,000,000 Consolidated Net Income (Loss), net of tax, per Class A common share Basic $ (0.04) $ (0.51) $ (0.43) $ 3.32 Consolidated Net Income (Loss), net of tax, per Class A common share Diluted $ (0.06) $ (0.51) $ (0.54) $ 3.32 (1) Consolidated Net Income (Loss), net of tax for all periods prior to the Business Combination is attributable to ZGP Founder Members (2) Amount represents portion of the management fee income received from ZAIS Financial Corp. that is payable to holders of Class B interests in ZAIS Group’s consolidated subsidiary ZAIS REIT Management, LLC. (3) Income tax (benefit) / expense is calculated using an assumed tax rate of 40.85 (4) The treasury stock method is used to calculate incremental Class A common shares on potentially dilutive Class A common shares resulting from unvested Class B-0 Units granted in connection with and subsequent to the Business Combination and unvested RSUs granted to non-employee directors. These units are anti-dilutive and, consequently, have been excluded from the computation of diluted weighted average shares outstanding. (5) Refer to Note 2 for the details around the number of units used to calculate earnings per share for periods prior to the Business Combination (6) Number of diluted shares outstanding takes into account non-controlling interests of ZAIS Group Parent, LLC that may be exchanged for Class A Common Stock under certain circumstances. |
Supplemental Financial Informat
Supplemental Financial Information | 9 Months Ended |
Sep. 30, 2015 | |
Statement of Financial Position [Abstract] | |
Consolidated Funds on the Company’s Financial Position [Text Block] | 17. Supplemental Financial Information September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in thousands ) Assets Cash and cash equivalents $ 75,707 $ $ $ 75,707 Income and fees receivable 2,077 2,077 Investments in affiliates, at fair value 253 (253) Due from related parties 848 (39) 809 Fixed assets, net 612 612 Prepaid expenses 1,602 1,602 Deferred tax assets 4,320 4,320 Other assets 2,974 2,974 Assets of Consolidated Funds Cash and cash equivalents 20,098 20,098 Restricted cash 2,265 2,265 Investments, at fair value 46,230 46,230 Investments in affiliated securities, at fair value 26,466 26,466 Derivative assets, at fair value 1,805 1,805 Other assets 3,264 3,264 Total Assets $ 88,393 $ 100,128 $ (292) $ 188,229 Liabilities, Redeemable Non-controlling Interests and Equity Liabilities Notes payable $ 1,253 $ $ $ 1,253 Compensation payable 2,461 2,461 Due to related parties 174 174 Other liabilities 3,044 3,044 Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value Securities sold, not yet purchased 12,621 12,621 Derivative liabilities, at fair value 1,994 1,994 Due to broker 15,588 15,588 Other liabilities 244 (39) 205 Total Liabilities 6,932 30,447 (39) 37,340 Commitments and Contingencies (Note 14) Redeemable Non-controlling Interests 59,792 (241) 59,551 Equity Class A Common Stock 1 1 Class B Common Stock Additional paid-in-capital 59,771 59,771 Retained earnings (Accumulated deficit) (4,337) (4,337) Accumulated other comprehensive income (loss) 215 215 Total stockholders’ equity, ZAIS Group Holdings, Inc. 55,650 55,650 Non-controlling interests in ZAIS Group Parent, LLC 25,811 25,811 Non-controlling interests in Consolidated Funds 9,889 (12) 9,877 Total Equity 81,461 9,889 (12) 91,338 Total Liabilities, Redeemable Non-controlling Interests and Equity $ 88,393 $ 100,128 $ (292) $ 188,229 December 31, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in thousands ) Assets Cash and cash equivalents $ 7,664 $ $ $ 7,664 Income and fees receivable 11,223 (6,940) 4,283 Investments in affiliates, at fair value 1,752 (1,648) 104 Due from related parties 968 (320) 648 Fixed assets, net 1,091 1,091 Prepaid expenses 1,543 1,543 Other assets 3,310 3,310 Assets of Consolidated Funds Cash and cash equivalents 94,212 94,212 Restricted cash 30,265 30,265 Investments, at fair value 1,126,737 1,126,737 Investments in affiliated securities, at fair value 66,219 (34,762) 31,457 Derivative assets, at fair value 6,648 6,648 Other assets 11,599 (22) 11,577 Total Assets $ 27,551 $ 1,335,680 $ (43,692) $ 1,319,539 Liabilities, Redeemable Non-controlling Interests and Equity Liabilities Compensation payable $ 6,094 $ $ $ 6,094 Due to related parties 32 32 Other liabilities 3,050 3,050 Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value 784,481 (34,762) 749,719 Securities sold, not yet purchased 19,308 19,308 Derivative liabilities, at fair value 5,785 5,785 Due to broker 21,047 21,047 Other liabilities 40,144 (7,281) 32,863 Total Liabilities 9,176 870,765 (42,043) 837,898 Commitments and Contingencies (Note 14) Redeemable Non-controlling Interests 452,925 452,925 Equity Class A Common Stock 1 1 Class B Common Stock Additional paid-in-capital Retained earnings (Accumulated deficit) 18,188 1,650 (1,649) 18,189 Accumulated other comprehensive income (loss) 186 186 Total stockholders’ equity, ZAIS Group Holdings, Inc. 18,375 1,650 (1,649) 18,376 Non-controlling interests in ZAIS Group Parent, LLC Non-controlling interests in Consolidated Funds 10,340 10,340 Total Equity 18,375 11,990 (1,649) 28,716 Total Liabilities, Redeemable Non-controlling Interests and Equity $ 27,551 $ 1,335,680 $ (43,692) $ 1,319,539 Three months Ended September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 4,175 $ $ (64) $ 4,111 Incentive income 3,870 3,870 Other revenues 81 81 Income of Consolidated Funds 1,105 1,105 Total Revenues 8,126 1,105 (64) 9,167 Expenses Compensation and benefits 6,488 6,488 General, administrative and other 4,370 4,370 Depreciation and amortization 445 445 Expenses of Consolidated Funds (677) (65) (742) Total Expenses 11,303 (677) (65) 10,561 Other Income (loss) Net gain (loss) on investments (11) 11 Other income (expense) 83 83 Net gains (losses) of Consolidated Funds’ investments (4,987) (4,987) Total Other Income (Loss) 72 (4,987) 11 (4,904) Income (loss) before income taxes (3,105) (3,205) 12 (6,298) Income tax (benefit) expense (1,528) (1,528) Consolidated net income (loss), net of tax (1,577) (3,205) 12 (4,770) Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment (160) (160) Total Comprehensive Income (Loss) $ (1,737) $ (3,205) $ 12 $ (4,930) Three months Ended September 30, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 5,537 $ $ (1,164) $ 4,373 Incentive income 6,008 (1,055) 4,953 Other revenues 95 (10) 85 Income of Consolidated Funds 25,065 5,312 30,377 Total Revenues 11,640 25,065 3,083 39,788 Expenses Compensation and benefits 9,490 9,490 General, administrative and other 5,472 5,472 Depreciation and amortization 122 122 Expenses of Consolidated Funds 17,449 (5,511) 11,938 Total Expenses 15,084 17,449 (5,511) 27,022 Other Income (loss) Net gain (loss) on investments (194) 174 (20) Other income (expense) 104 104 Net gains (losses) of Consolidated Funds’ investments 151,354 (146,970) 4,384 Total Other Income (Loss) (90) 151,354 (146,796) 4,468 Income (loss) before income taxes (3,534) 158,970 (138,202) 17,234 Income tax (benefit) expense 5 5 Consolidated net income (loss), net of tax (3,539) 158,970 (138,202) 17,229 Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 831 831 Total Comprehensive Income (Loss) $ (2,708) $ 158,970 $ (138,202) $ 18,060 Nine months Ended September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 12,009 $ $ (183) $ 11,826 Incentive income 5,991 5,991 Other revenues 218 218 Income of Consolidated Funds 4,314 4,314 Total Revenues 18,218 4,314 (183) 22,349 Expenses Compensation and benefits 20,418 20,418 General, administrative and other 13,470 13,470 Depreciation and amortization 654 654 Expenses of Consolidated Funds 956 (184) 772 Total Expenses 34,542 956 (184) 35,314 Other Income (loss) Net gain (loss) on investments 34 (34) Other income (expense) 88 88 Net gains (losses) of Consolidated Funds’ investments (3,003) (3,003) Total Other Income (Loss) 122 (3,003) (34) (2,915) Income (loss) before income taxes (16,202) 355 (33) (15,880) Income tax (benefit) expense (4,111) (4,111) Consolidated net income (loss), net of tax (12,091) 355 (33) (11,769) Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 323 323 Total Comprehensive Income (Loss) $ (11,768) $ 355 $ (33) $ (11,446) Nine months Ended September 30, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 23,421 $ $ (8,682) $ 14,739 Incentive income 52,543 (10,800) 41,743 Other revenues 502 (48) 454 Income of Consolidated Funds 77,355 10,755 88,110 Total Revenues 76,466 77,355 (8,775) 145,046 Expenses Compensation and benefits 37,600 37,600 General, administrative and other 13,086 13,086 Depreciation and amortization 358 358 Expenses of Consolidated Funds 134,466 (34,602) 99,864 Total Expenses 51,044 134,466 (34,602) 150,908 Other Income (loss) Net gain (loss) on investments 1,424 (1,465) (41) Other income (expense) 164 164 Net gains (losses) of Consolidated Funds’ investments 92,504 (20,327) 72,177 Total Other Income (Loss) 1,588 92,504 (21,792) 72,300 Income (loss) before income taxes 27,010 35,393 4,035 66,438 Income tax (benefit) expense 19 19 Consolidated net income (loss), net of tax 26,991 35,393 4,035 66,419 Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 630 630 Total Comprehensive Income (Loss) $ 27,621 $ 35,393 $ 4,035 $ 67,049 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | 18. Subsequent Events On November 2, 2015, the Compensation Committee of the Board of Directors approved a waiver to the compensation guidelines set forth in the charter of the committee that provide that the Company’s total GAAP compensation expense on a consolidated basis for all cash and non-cash compensation paid to employees of the Company and its operating subsidiaries and affiliates during 2015 will not exceed 65 |
Basis of Presentation and Sum25
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in accordance with United States generally accepted accounting principles ("U.S. GAAP") to reflect the financial position, results of operations and cash flows of the Company. These financial statements have been prepared on a going concern basis, which assumes the realization of assets and satisfaction of liabilities in the normal course of business. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted. These consolidated financial statements should be read in conjunction with the Company's most recent audited consolidated financial statements and related notes for the fiscal year ended December 31, 2014, which are included in the Closing 8-K. In the opinion of management, all adjustments considered necessary have been made for a fair presentation of the results of these interim periods. The Company currently operates as one business segment. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. While management believes that the estimates used in preparing the consolidated financial statements are reasonable and prudent, actual results may ultimately differ from those estimates. |
New Accounting Pronouncements, Policy [Policy Text Block] | New Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02 Consolidation (Topic 810): Amendments to the Consolidation Analysis Variable Interest Entities (“VIE”) Voting Interest Entities (“VOE”) |
Non-Controlling Interests, Policy [Policy Text Block] | Non-Controlling Interests The non-controlling interests within the consolidated statements of financial condition are comprised of: (i) redeemable non-controlling interests reported outside of the permanent capital section when investors have the right to redeem their interests from a Consolidated Fund or ZAIS Group; (ii) equity attributable to non-controlling interests in Consolidated Funds reported inside the permanent capital section when the investors do not have the right to redeem their interests and (iii) equity attributable to non-controlling interests in ZGP. The Company records redeemable non-controlling interests and non-controlling interests in the Consolidated Funds (excluding CDOs) to reflect the economic interests in those funds held by investors other than interests attributable to ZAIS Group. Subsequent to March 31, 2014, redeemable non-controlling interests represents investors in the Consolidated Funds who generally have the right to withdraw their capital after the end of a lock-up period as defined in the respective governing documents. Investors may withdraw their capital prior to the expiration of the lock-up period in certain limited circumstances that are beyond the control of ZAIS Group, such as instances in which retaining the equity interest could cause the investor to violate a law, regulation or rule. Prior to March 31, 2014, redeemable non-controlling interests also included membership interests held in ZAIS Group by employees and former employees of ZAIS Group. Income allocated to non-controlling interests in ZGP includes a portion of the management fee income received from ZAIS Financial Corp. that is payable to holders of Class B interests in ZAIS Group’s consolidated subsidiary, ZAIS REIT Management, LLC. |
Consolidation, Policy [Policy Text Block] | Principles of Consolidation The consolidated financial statements included herein are the financial statements of ZAIS, its subsidiaries and certain funds that are required to be consolidated. All intercompany balances and transactions have been eliminated in consolidation, including ZAIS’s investment in ZGP and ZGP’s investment in ZAIS Group. The Company's fiscal year ends on December 31. The operating results for the interim period presented are not necessarily indicative of the results that may be expected for the Company's fiscal year ending December 31, 2015. The consolidated financial statements include non-controlling interests in ZGP which is primarily comprised of Class A Units of ZGP held by the ZGP Founder Members. The Company’s consolidated financial statements also include variable interest entities for which ZAIS Group is considered the primary beneficiary, and certain entities that are not considered variable interest entities in which ZAIS Group has a controlling financial interest. Effective January 1, 2015 pursuant to Accounting Standards Codification (“ASC”) Topic 810, as amended by ASU 2015-02, these entities include ZAIS Opportunity Domestic Feeder Fund, LP, ZAIS Atlas Master Fund, LP, ZAIS Atlas Fund, LP and ZAIS Value-Added Real Estate Fund I, LP. For all periods prior to January 1, 2015, these entities include ZAIS Opportunity Master Fund, Ltd., ZAIS Opportunity Domestic Feeder Fund, LP, ZAIS Opportunity Fund, Ltd., ZAIS Atlas Fund, LP, ZAIS Value-Added Real Estate Fund I, LP and certain CDOs. After the adoption of ASC Topic 810, as amended by ASU 2015-02, there were no CDOs required to be consolidated in the Company’s financial statements for the nine months ended September 30, 2015 and prior to the adoption of ASC Topic 810, as amended by ASU 2015-02, there were ten CDOs consolidated in the Company’s financial statements for the year ended December 31, 2014. The cumulative effect of the adoption of ASU 2015-02 was a $397,594,000 reduction in redeemable non-controlling interests on January 1, 2015, which is reflected in the consolidated statement of changes in equity, non-controlling interests and redeemable non-controlling interests. All intercompany balances and transactions have been eliminated in consolidation. Refer to Note 7 for additional disclosures around the Consolidated Funds. The consolidated financial statements reflect the assets, liabilities, investment income, expenses and cash flows of the Consolidated Funds on a gross basis. Except for CDOs, the majority of the economic interests in the Consolidated Funds, which are held by third-party investors, are reflected as non-controlling interests in the consolidated financial statements. For CDOs, the majority of the economic interests in these vehicles, which are held by outside parties, are reported as notes payable of consolidated CDOs in the consolidated financial statements. The notes payable issued by the CDOs are backed by diversified collateral asset portfolios consisting primarily of loans or structured debt. In exchange for managing the collateral for the CDOs, ZAIS Group may earn investment management fees, including, in some cases, subordinated management fees and contingent incentive fees. All of the management fee income, incentive income and net gain (loss) on investments earned by ZAIS Group from the Consolidated Funds are eliminated in consolidation. However, because the eliminated amounts are earned from and funded by the non-controlling interests, income allocated to the non-controlling interests has been reduced, and the income allocated to ZGP has been increased by the amounts eliminated, of which ZAIS is allocated its pro-rata share as a member of ZGP. ZAIS Group does not recognize any incentive income based on the investment performance of ZAIS Managed Entities until the incentive income is (i) contractually receivable, (ii) fixed or determinable (also referred to as “crystallized”) and (iii) all related contingencies have been removed and collection is reasonably assured, (see policy disclosed under Management Fee Income, Incentive Income, and Other Income). Similarly, for any Consolidated Funds, the corresponding potential incentive expense based on the investment performance of the Consolidated Funds has not yet been deducted from the investor capital balances until the above criteria have been met. Therefore, the corresponding potential incentive income based on the investment performance of the Consolidated Funds that has not yet been recognized by ZAIS Group is included in non-controlling interests in the consolidated financial statements. The Consolidated Funds are deemed to be investment companies under U.S. GAAP, and therefore, the Company has retained the specialized investment company accounting of these consolidated entities in its consolidated financial statements. |
Variable Interest Entities [Policy Text Block] | VIE Model Prior to the adoption of ASU 2015-02, for entities in which the Company has a variable interest, the Company determines whether, if by design, (i) the entity has equity investors who lack, as a group, the characteristics of a controlling financial interest, (ii) the entity does not have sufficient equity at risk to finance its expected activities without additional subordinated financial support from other parties, (iii) the entity is structured with non-substantive voting rights or (iv) the equity holders do not have the obligation to bear potential losses or the right to receive potential gains. If an entity has at least one of these characteristics, it is considered a VIE, and is consolidated by its primary beneficiary. For entities managed by ZAIS Group that qualify for the deferral under ASU 2010-10, Amendments to Statement 167 for Certain Investment Funds Subsequent to the adoption of ASU 2015-02, for entities in which the Company has a variable interest, the Company determines whether, (i) the entity does not have enough equity to finance its activities without additional subordinated financial support, (ii) the at-risk equity holders, as a group lack (a) the power, through voting or similar rights, to direct the activities that most significantly impact the entity’s economic performance, (b) the obligation to absorb an entity’s expected losses, or (c) the right to receive an entity’s expected residual returns, or (iii) the entity is structured with non-substantive voting rights. If an entity has at least one of these characteristics, it is considered a VIE, and is consolidated by its primary beneficiary. |
Voting Interest Entities [Policy Text Block] | VOE Model For entities where ZAIS Group has a variable interest, but are determined not to be a VIE, the Company makes a consolidation determination based on the entity’s legal structure. For corporate structures, including companies domiciled in the Cayman Islands, the Company consolidates those entities in which ZAIS Group has a voting interest of greater than 50% and has control over the significant operating, financial and investing decisions of the entity. For limited partnerships and limited liability companies, the Company consolidates entities in which it is a general partner or managing member, and third-party investors have no substantive rights to participate in the ongoing governance and operating activities or substantive kick-out rights. The determination of whether an entity is a VIE or a VOE is based on the facts and circumstances for each individual entity. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents The Company considers highly liquid, short-term interest-bearing instruments of sufficient credit quality with original maturities of three months or less, and other instruments readily convertible into cash, to be cash equivalents. The Company’s deposits with financial institutions may exceed federally insurable limits of $ 250,000 Cash equivalents generally consist of excess cash that is swept daily into a money market fund, or into weekly or monthly term deposit accounts to earn short-term interest, or maintained as a short-term deposit. Additionally, the Company may from time-to-time invest in United States government obligations or short-term high investment grade mutual funds to manage excess liquidity. These investments are carried at fair value, as the Company has elected the fair value option in order to include any gains or losses within consolidated net income (loss). These investments are also recorded as cash equivalents in the consolidated statement of financial condition. At September 30, 2015 and December 31, 2014, the Company had approximately $ 36,536,000 2,687,000 26,001,000 0 11,152,000 0 |
Investment, Policy [Policy Text Block] | Investments in Affiliates U.S. GAAP permits entities to choose to measure certain eligible financial assets, financial liabilities and firm commitments at fair value (the “Fair Value Option”), on an instrument-by-instrument basis. The election to use the Fair Value Option is available when an entity first recognizes a financial asset or financial liability or upon entering into a firm commitment. The Fair Value Option is irrevocable and requires changes in fair value to be recognized in earnings. For ZAIS Group’s direct investments in the ZAIS Managed Entities that are not consolidated, and would otherwise be accounted for under the equity method, the Fair Value Option has been elected. In estimating the fair value for financial instruments for which the Fair Value Option has been elected, the Company uses the valuation methodologies as discussed in Note 5. |
Revenue Recognition, Policy [Policy Text Block] | Revenue Recognition ZAIS Group’s primary sources of revenue are (i) management fees, (ii) incentive fees and (iii) income of Consolidated Funds. The management fee and incentive fee revenues are derived from ZAIS Group’s advisory agreements with the ZAIS Managed Entities. Certain investments held by employees, executives and other related parties in the ZAIS Managed Entities are not subject to management fees or incentive fees/allocations and therefore do not generate revenue for ZAIS Group. All of the management fee income and incentive income earned by ZAIS Group from the Consolidated Funds are eliminated in consolidation. Income of Consolidated Funds is based on the income generated from the portfolios of the Consolidated Funds, a majority of which is allocated to redeemable non-controlling interests and non-controlling interests in Consolidated Funds |
Management Fee Income, Incentive Income and Other Income, Policy [Policy Text Block] | Management Fee Income, Incentive Income and Other Income ZAIS Group earns management fees and incentive fees for investment advisory services provided to the ZAIS Managed Entities. Management fees are accrued as earned, and are calculated and paid monthly, quarterly or semi-annually, depending on the applicable agreement. Revenue is accrued as earned for data, funding and analytical services provided to outside parties and affiliated funds. In the event management fee income is received before it is earned, deferred revenue is recorded and is included in other liabilities in the consolidated statements of financial condition. In addition to the management fee income mentioned above, subordinated management fee income may be earned from the CDOs. The subordinated management fee income is additional revenue earned for the same service, but has a lower priority in the CDO vehicle’s cash flows. The subordinated management fee income is contingent upon the economic performance of the respective CDO’s investments. If the CDOs experience a certain level of investment defaults, these fees may not be paid. There is no recovery by the CDOs of previously paid subordinated fees. Subordinated management fee income is recognized when collection is reasonably assured. Incentive income is recognized when it is (i) contractually receivable, (ii) fixed or determinable (also referred to as “crystallized”) and (iii) all related contingencies have been removed and collection is reasonably assured, which generally occurs in the quarter of, or the quarter immediately prior to, the payment of the incentive to ZAIS Group by the ZAIS Managed Entities. The criteria for revenue recognition related to incentive income is typically met only after all contributed capital and the preferred return, if any, on that capital have been distributed to the ZAIS Managed Entities’ investors for vehicles with private equity style fee arrangements, and is typically met only after any profits exceed a high-water mark for vehicles with hedge fund style fee arrangements. Income of Consolidated Funds is discussed in the section on Policies of Consolidated Funds. |
Receivables, Policy [Policy Text Block] | Income and Fees Receivable Income and fees receivable primarily includes management fees and incentive fees due from ZAIS Managed Entities, excluding the Consolidated Funds, and does not include any allowance for doubtful accounts. The Company did not recognize any bad debt expense for the three and nine months ended September 30, 2015 and September 30, 2014. The Company believes all income and fee receivable balances are fully collectible. |
Compensation Related Costs, Policy [Policy Text Block] | Compensation and Benefits Compensation and benefits expense is comprised of salaries, payroll taxes, employer contributions to welfare plans, discretionary and guaranteed cash bonuses, stock compensation and other contractual compensation programs payable to ZAIS Group employees. Compensation and benefits expense is generally recognized over the related service period. On an annual basis, compensation and benefits comprise a significant portion of total expenses, with discretionary cash bonuses, guaranteed cash bonuses, stock compensation and other contractual compensation programs generally comprising a significant portion of total compensation and benefits. Under the ZAIS Group, LLC Income Unit Plan (the “Income Unit Plan”), a portion of net operating income of ZAIS Group (after making certain adjustments) was due to certain employees of ZAIS Group. These amounts are accrued as compensation expense in the period incurred. This plan was terminated with an effective date of December 31, 2014. Compensation and benefits expense relating to the issuance of cash-based and equity-based awards to certain employees is measured at fair value on the grant date. Equity-based compensation awards to employees that are settled in shares are classified as equity instruments. The fair value of an equity settled award is determined on the date of grant and is not subject to remeasurement. Cash settled awards are classified as liabilities and are remeasured to fair value at each balance sheet date as long as the award is outstanding. Changes in fair value are reflected as compensation expense. Compensation expense for awards that vest over a future service period is recognized over the relevant service period on a straight-line basis, adjusted for estimated forfeitures of awards not expected to vest. The compensation expense for awards that do not require future service is recognized immediately. Upon the end of the service period, compensation expense is adjusted to account for actual forfeiture rates. Refer to Note 10 for additional details regarding equity awards granted by the Company. Compensation and benefits expense also includes compensation directly related to incentive income in the form of percentage interests (also referred to as “Points”) awarded to certain employees associated with the operation and management of certain ZAIS Managed Entities in the form of compensation agreements (“Points Agreements”). Under the Points Agreements, ZAIS Group has an obligation to pay certain employees and former employees a fixed percentage of the incentive income earned from the referenced entities. Amounts payable pursuant to these arrangements are recorded as compensation expense when they become probable and reasonably estimable. The determination of when the Points become probable and reasonably estimable is based on the assessment of numerous factors, particularly those related to the profitability, realizations, distribution status, investment profile and commitments or contingencies of certain ZAIS Managed Entities for which Points Agreements have been awarded. Points are expensed no later than the period in which the underlying income is recognized. Payment of the Points generally occurs in the same period the related income is received. Most recipients’ rights to receive payments related to their Points Agreement are subject to forfeiture risks. There are currently outstanding Points Agreements relating to one ZAIS Managed Entity and ZAIS Group does not anticipate awarding additional Points Agreements. Pursuant to ZAIS’s 2015 Stock Incentive Plan, non-employee directors of ZAIS are eligible to receive RSUs as a component of compensation for their service as directors of ZAIS. The awards are unvested at the time they are granted and, as such, are not entitled to any dividends or other material rights until such RSUs vest. The RSUs vest in full on the one year anniversary of the grant date. Upon vesting ZAIS will issue the recipient shares of Class A Common Stock equal to the number of vested RSUs. In accordance with ASC 718, "Compensation - Stock Compensation” |
Property, Plant and Equipment, Policy [Policy Text Block] | Fixed Assets Fixed assets consist of furniture and fixtures, office equipment, leasehold improvements and software, and are stated at cost, less accumulated depreciation and amortization. Depreciation and amortization on furniture and fixtures, office equipment and software is calculated using either the double declining balance method or straight-line method over an estimated useful life of three to five years. Amortization of leasehold improvements is calculated using the straight-line method over the lesser of the lease terms or the life of the asset. Fixed assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount of an asset may not be recoverable. The costs associated with maintenance and repairs are recorded as other operating expenses when incurred. |
Goodwill and Intangible Assets, Policy [Policy Text Block] | Goodwill Goodwill of approximately $ 2,669,000 |
Foreign Currency Transactions and Translations Policy [Policy Text Block] | Foreign Currency Translation Gains (Losses) Assets and liabilities of foreign subsidiaries that have non-U.S. dollar functional currencies are translated at exchange rates prevailing at the end of each reporting period. Results of foreign operations are translated at the weighted-average exchange rate for each reporting period. Translation adjustments are included as a component of accumulated other comprehensive income (loss) until realized. Gains or losses resulting from foreign currency transactions are included in general, administrative and other in the consolidated statements of comprehensive income (loss). |
Income Tax, Policy [Policy Text Block] | Income Taxes The Company accounts for income taxes using the asset and liability method as prescribed in FASB guidance on Accounting for Income Taxes The measurement of current and deferred income tax assets and liabilities is based on provisions of enacted tax laws and involves uncertainties in the application of tax regulations in the U.S. and other tax jurisdictions. Because the Company’s interpretation of complex tax law may impact the measurement of current and deferred income taxes, actual results may differ from these estimates under different assumptions regarding the application of tax law. Prior to the reorganization and recapitalization due to the Business Combination, no provision was made for U.S. federal income taxes in ZGP’s accompanying consolidated financial statements since ZGP and its subsidiaries were pass-through entities for U.S. income tax purposes and profits and losses were allocated to the partners who were individually responsible for reporting such amounts. ZGP’s foreign subsidiaries, however, paid income taxes in the respective foreign jurisdictions, which were included in income tax (benefit) expense on the consolidated statements of comprehensive income (loss). Following the reorganization, ZGP and its subsidiaries continue to operate as pass-through entities for U.S. income tax purposes. ZAIS is subject to U.S. corporate federal, state and local income taxes which are included in income tax (benefit) expense on the consolidated statements of comprehensive income (loss) along with income taxes related to the foreign subsidiaries. Pursuant to FASB guidance on Accounting for Uncertainty in Income Taxes, an interpretation of FASB Statement on Accounting for Income Taxes The Company analyzes its tax filing positions in all of the U.S. federal, state, local and foreign tax jurisdictions where it is required to file income tax returns, as well as for all open tax years in these jurisdictions. If, based on this analysis, the Company determines that uncertainties in tax positions exist, a liability is established. The Company recognizes accrued interest and penalties related to uncertain tax positions in income tax (benefit) expense within the consolidated statements of comprehensive income (loss). |
Consolidated Entities [Member] | |
Accounting Policies [Abstract] | |
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Restricted Cash Restricted cash represents the Consolidated Funds’ cash held by counterparties as collateral against the Consolidated Funds’ derivatives or repurchase agreements. Cash held by counterparties as collateral is not available to the Consolidated Funds for general operating purposes, but may be applied against amounts due to derivative or securities repurchase agreement counterparties or returned to the Consolidated Funds when the collateral requirements are exceeded or at the maturity of the derivatives or securities repurchase agreements. |
Due to and from Broker-Dealers and Clearing Organizations Disclosure [Text Block] | Due to Broker Due to broker represents the Consolidated Funds’ payable to a broker for unsettled purchases as of September 30, 2015 and December 31, 2014. |
Debt, Policy [Policy Text Block] | Notes Payable of Consolidated CDOs In August 2014, the FASB issued ASU 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity The notes payable of Consolidated CDOs are measured using the fair value of the financial assets, as further described in Note 5. The Company’s consolidated net income (loss) reflects the Company’s economic interests in the CDOs, including (1) changes in the fair value of the beneficial interests retained by the Company and (2) beneficial interests that represent compensation for services. |
Securities Sold, Not Yet Purchased, Policy [Policy Text Block] | Securities Sold, Not Yet Purchased The Consolidated Funds may enter into short sales whereby a security is sold that it does not own in anticipation of a decline in the value of that security. To enter a short sale, the Consolidated Funds may need to borrow the security for delivery to the buyer. On each day the short sale is open, the liability for the obligation to replace the borrowed security is marked to market, and an unrealized gain or loss equal to the difference between the price at which the security was sold and the cost of replacing the security is recorded. The liability in respect to securities sold short, traded on an exchange, is stated at the last reported sales price on the day of valuation; other securities traded in the over-the-counter market, and listed securities, for which no sale was reported on that date, are stated at the last quoted ask price. While the transaction is open, the Consolidated Funds will also incur an expense for any accrued interest payable to the lender of that security and for borrowing charges for certain positions. A gain or loss is realized and included within net gains (losses) of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss). |
Redemptions Payable, Policy [Policy Text Block] | Redemptions Payable The Consolidated Funds recognize investor redemptions as liabilities when the amount requested in the redemption notice becomes fixed and determinable. Net assets related to redemption notices received for which the dollar amount is not fixed will remain in the net assets of the Consolidated Funds until the amount is determined. As a result, redemptions paid after the end of a reporting period, but based upon capital balances as of the end of the respective reporting period that the redemption relates to are reflected as redemptions payable. |
Income of Consolidated Funds Policy [Policy Text Block] | Income of Consolidated Funds Investment transactions are recorded on a trade-date basis. Realized gains and losses on investment transactions are determined on the specific-identification basis. Dividends received on equity tranches of structured products are recorded upon receipt and adjusted for any return of capital using the effective interest rate method over the lives of such securities. Interest income is recorded on the accrual basis. Any discounts and premiums on fixed income securities purchased are accreted or amortized into income or expense using the effective interest rate method over the lives of such securities. The effective interest rates are calculated using projected cash flows, including the impact of paydowns on each of the aforementioned securities. Any paydown gains and losses are presented as an adjustment to interest income. |
Derivatives, Policy [Policy Text Block] | Derivative Instruments The Consolidated Funds may, from time to time, acquire assets or liabilities that protect against adverse movements in interest rates or credit performance (each a “Hedge Agreement”) with counterparties. The Consolidated Funds and the counterparty to each Hedge Agreement agree to make periodic payments on a specified notional amount. The payments can be made for a specified period of time, or may be triggered by a pre-determined credit event. The periodic payments may be based on a fixed or variable interest rate; the change in fair value of a specified security, basket of securities or index; or the return generated by a security. The consolidated CDOs, at December 31, 2014, also had a portfolio of credit default swaps which are used to obtain synthetic exposure to credit risk. These swaps are used as trading instruments, and not for hedging purposes. The Consolidated Funds recognize all derivatives as assets or liabilities in the consolidated statements of financial condition at fair value. Changes in fair value are recognized in the consolidated statements of comprehensive income (loss). In connection with their derivative activities, the Consolidated Funds have elected not to offset fair value amounts recognized for cash collateral against fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement. At September 30, 2015 and December 31, 2014, the Consolidated Funds have cash collateral receivables of approximately $2,265,000 and $30,265,000, respectively with counterparties under the same master netting arrangement and is included in restricted cash in the consolidated statements of financial condition. |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers In August 2014, the FASB issued ASU No. 2014-15, "Presentation of Financial Statements Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern" ("ASU 2014-15"), which requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company's ability to continue as a going concern within one year after the date the financial statements are issued. If conditions or events indicate it is probable that an entity will be unable to meet its obligations as they become due within one year after the financial statements are issued, the update requires additional disclosures. The update is effective for periods beginning after December 15, 2016 with early adoption permitted. Adoption of ASU 2014-15 is not expected to have a material effect on the Company's consolidated financial statements. |
Investment, Policy [Policy Text Block] | Investments at Fair Value Investments and investments in affiliated securities are held at fair value. Please see Note 5 for information regarding the valuation of these assets. |
Income Tax, Policy [Policy Text Block] | Income Taxes The Consolidated Funds are generally not subject to U.S. federal and state income taxes and, consequently, no income tax provision has been made in the accompanying consolidated financial statements because individual investors are responsible for taxes on their proportionate share of the taxable income. |
Business Combination (Tables)
Business Combination (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Business Combinations [Abstract] | |
Schedule of Cash Flows related to Business Combination [Table Text Block] | The net proceeds from the Business Combination, as reported in the unaudited consolidated statements of cash flows within the financing section, are summarized as follows: Cash in HF2’s Trust $ 184,760,079 Payment for HF2 redemptions (102,282,526) Payment for HF2’s expenses (4,311,157) Net Cash Received by ZGP from Business Combination 78,166,396 Less: Ramsey incentive fee and fees to underwriters (4,650,000) Net proceeds from Business Combination $ 73,516,396 |
Schedule of Business Acquisitions, by Acquisition [Table Text Block] | The number of shares of Class A common stock of ZAIS issued and outstanding and the number of Class A Units of ZGP issued and outstanding immediately following the consummation of the Business Combination is summarized as follows: Number of Shares of Class A Common Stock of ZAIS HF2 public shares outstanding prior to the Business Combination 23,592,150 Less: redemption of HF2 public shares (9,741,193) Total HF2 shares outstanding immediately prior to the effective date of the Business Combination 13,850,957 Common shares issued as consideration to transaction underwriter 150,000 Shares cancelled from HF2 founders’ allocation (130,040) Total shares of Class A common stock of ZAIS outstanding at closing, March 17, 2015 13,870,917 Number of Class A Units of ZGP Class A Units of ZGP acquired by ZAIS 13,870,917 Class A Units of ZGP retained by ZGP Founder Members 7,000,000 Total Class A Units of ZGP outstanding at closing, March 17, 2015 20,870,917 |
Fair Value of Investments (Tabl
Fair Value of Investments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Assets, Fair Value Disclosure [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy levels at September 30, 2015: September 30, 2015 ( Dollars in thousands ) Level 1 Level 2 Level 3 Total Assets, at fair value Investments, at fair value Collateralized loan obligations $ $ $ 9,172 $ 9,172 Residential mortgage-backed securities 12,993 12,993 Exchange traded funds 14,610 14,610 Real estate investment 9,455 9,455 Total investments, at fair value 14,610 31,620 46,230 Investments in affiliated securities, at fair value 26,466 26,466 Derivative assets, at fair value Interest rate swaps 717 717 Swaptions 1,088 1,088 Total derivative assets, at fair value 1,805 1,805 Total assets, at fair value $ 14,610 $ 28,271 $ 31,620 $ 74,501 Liabilities, at fair value Securities sold, not yet purchased Exchange traded funds $ 11,610 $ $ $ 11,610 Corporate bonds 1,011 1,011 Total securities sold, not yet purchased 11,610 1,011 12,621 Derivative liabilities, at fair value Credit default swaps 107 107 Interest rate swaps 1,553 1,553 Total return swaps 334 334 Total derivative liabilities, at fair value 1,994 1,994 Total liabilities, at fair value $ 11,610 $ 3,005 $ $ 14,615 The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy levels at December 31, 2014: December 31, 2014 ( Dollars in thousands ) Level 1 Level 2 Level 3 Total Assets, at fair value Investments in affiliates $ $ 104 $ $ 104 Investments, at fair value Collateralized debt obligations 359,211 359,211 Commercial mortgage-backed securities 4,535 4,535 Corporate bonds 7,857 7,857 Residential mortgage-backed securities 78,275 78,275 Asset-backed securities and other 63,174 63,174 High yield corporate loans 613,685 613,685 Total investments, at fair value 7,857 1,118,880 1,126,737 Investments in affiliated securities, at fair value 31,457 31,457 Derivative assets, at fair value Options 56 56 Forward currency contracts 3,794 3,794 Credit default swaps 2,798 2,798 Total derivative assets, at fair value 3,850 2,798 6,648 Total assets, at fair value $ $ 43,268 $ 1,121,678 $ 1,164,946 Liabilities, at fair value Notes payable of consolidated CDOs, at fair value Notes payable of consolidated CDOs $ $ $ 749,719 $ 749,719 Securities sold, not yet purchased Corporate bonds 19,308 19,308 Derivative liabilities, at fair value Credit default swaps 5,399 5,399 Cashflow swaps 386 386 Total derivative liabilities, at fair value 386 5,399 5,785 Total liabilities, at fair value $ $ 19,694 $ 755,118 $ 774,812 |
Schedule of Changes in Fair Value of Assets and Liabilities [Table Text Block] | The following table summarizes the changes in the Company’s Level 3 assets and liabilities for the nine months ended September 30, 2015 subsequent to the adoption of ASU 2015-02: September 30, 2015 ( Dollars in thousands ) Change in Unrealized Gains/Losses Total Relating to Realized Assets and Beginning and Ending Liabilities Balance Sales/ Change in Transfers Balance Still Held at January 1, Purchases/ Redemptions/ Unrealized to (from) September 30, September 2015 Issuances Settlements Gains (Losses) Level 3 2015 30, 2015 Collateralized loan obligations $ 9,626 $ 3,499 $ (3,778) $ (175) $ $ 9,172 $ (318) Mortgage-backed securities 9,472 8,560 (4,408) (631) 12,993 (98) Real estate investment 9,722 (159) (108) 9,455 (267) Total assets, at fair value $ 28,820 $ 12,059 $ (8,345) $ (914) $ $ 31,620 $ (683) The following table summarizes the changes in the Company’s Level 3 assets and liabilities for the year ended December 31, 2014: December 31, 2014 ( Dollars in thousands ) Change in Unrealized Gains/Losses Total Relating to Realized Assets and Beginning and Ending Liabilities Balance Sales/ Change in Transfers Balance Still Held at January 1, Purchases/ Redemptions/ Unrealized to (from) December 31, December 31, 2014 Issuances Settlements Gains (Losses) Level 3 2014 2014 Collateralized debt obligations $ 707,718 $ 112,518 $ (461,995) $ 970 $ $ 359,211 $ (47,146) Commercial mortgage-backed securities 6,738 2,862 (5,424) 359 4,535 (116) Residential mortgage-backed securities 63,091 32,391 (21,545) 4,338 78,275 461 Asset-backed securities and other 95,281 63,295 (113,524) 18,122 63,174 1,847 High yield corporate loans - 782,501 (160,810) (8,006) 613,685 (7,285) Collateralized loan obligations 26,460 14,500 (39,000) (1,960) Total return swaps 2,727 (110) (2,617) Credit default swaps 2,300 3,245 (3,912) 1,165 2,798 550 Total assets, at fair value $ 904,315 $ 1,011,312 $ (806,320) $ 12,371 $ $ 1,121,678 $ (51,689) Notes payable of consolidated CDOs $ 730,348 $ 635,315 $ (510,600) $ (105,344) $ $ 749,719 $ (74,344) Total return swaps (196) 196 Credit default swaps 20,187 26,197 (22,391) (18,594) 5,399 (2,359) Total liabilities, at fair value $ 750,535 $ 661,512 $ (533,187) $ (123,742) $ $ 755,118 $ (76,703) |
Fair Value Assets and liabilities Measured On Recurring Basis Unobservable Input Reconciliation [Table Text Block] | The tables below summarize information about the significant unobservable inputs used in determining the fair value of the Level 3 assets and liabilities held by the Consolidated Funds at September 30, 2015 and December 31, 2014: Fair Value at September 30, Valuation Unobservable Amount/ Weighted Investment Type 2015 Techniques Input Percentage Min Max Average (Dollars in thousands) Investments, at fair value Collateralized loan obligations $ 9,172 Broker quoted Not applicable. Residential mortgage-backed securities Agency IO 1,395 Discounted cash flow model Yield 3.48 % 3.48 % N/A Residential mortgage-backed securities Agency Inverse IO 399 Discounted cash flow model Yield 8.56 % 8.56 % N/A Residential mortgage-backed securities 11,199 Broker quoted Not applicable. Real estate investment 9,455 Capitalization Rate Method Capitalization Rate 7.00 % Total assets, at fair value $ 31,620 Fair Value at December 31, Valuation Unobservable Amount/ Weighted Investment Type 2014 Techniques Input Percentage Min Max Average (Dollars in thousands) Investments, at fair value Collateralized debt obligations $ 59,623 Discounted cash flow model Discount margin (bps) 253 2,138 776 Constant prepayment rate 10 % 35 % N/A (1) Constant default rate 0 % 4 % N/A (1) Loss severity 30 % 70 % N/A (1) Reinvestment price 100 Reinvestment spread 3.75 % Collateralized debt obligations 299,588 Broker quoted Not applicable. Commercial mortgage-backed securities 4,535 Broker quoted Not applicable. Residential mortgage-backed securities 17,085 Discounted cash flow model Discount margin (bps) 308 1,975 666 Constant prepayment rate 1 % 28 % 10 % Constant default rate 0 % 22 % 3 % Loss severity 0 % 150 % 78 % Residential mortgage-backed securities 61,190 Broker quoted Not applicable. Asset-backed securities and other 63,174 Broker quoted Not applicable. High yield corporate loans 613,685 Broker quoted Not applicable. Derivative assets, at fair value Credit default swaps 2,798 Broker quoted Not applicable. Total assets, at fair value $ 1,121,678 Liabilities Notes payable of consolidated CDOs, at fair value $ 749,719 ASU 2014-13 (2) Not applicable. Derivative liabilities, at fair value Credit default swaps 5,399 Broker quoted Not applicable. Total liabilities, at fair value $ 755,118 (1) Weighted Average Constant Prepayment Rate, Weighted Average Constant Default Rate and Weighted Average Loss Severity are flat percentages applied to the respective assets to project future cash flows. (2) Valued per ASU 2014-13 as described in Note 3. |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following tables quantify the volume of the Consolidated Funds’ derivative activity, recorded within assets and liabilities in the consolidated statements of financial condition, at September 30, 2015 and December 31, 2014, through a disclosure of notional amounts, in comparison with the fair value of those derivatives. All notional and fair value amounts are disclosed on a gross basis, prior to counterparty and cash collateral netting: September 30, 2015 ( Dollars and notional amounts in thousands ) Derivative Assets Derivative Liabilities Primary Financial Underlying Statement Fair Financial Statement Fair Risk Location Notional Value Location Notional Value Interest rate contracts Derivative assets, at fair value 106,000 $ 1,805 Derivative liabilities, at fair value 97,100 $ 1,553 Credit contracts Derivative assets, at fair value Derivative liabilities, at fair value 1,000 107 Equity contracts Derivative assets, at fair value Derivative liabilities, at fair value 5,000 334 Gross derivative instruments 106,000 $ 1,805 103,100 $ 1,994 December 31, 2014 ( Dollars and notional amounts in thousands ) Derivative Assets Derivative Liabilities Primary Financial Underlying Statement Fair Financial Statement Fair Risk Location Notional Value Location Notional Value Interest rate contracts Derivative assets, at fair value $ Derivative liabilities, at fair value 201,612 $ 386 Credit contracts Derivative assets, at fair value 72,265 2,798 Derivative liabilities, at fair value 180,172 5,399 Foreign exchange contracts Derivative assets, at fair value 201,400 3,850 Derivative liabilities, at fair value Gross derivative instruments 273,665 $ 6,648 381,784 $ 5,785 |
Derivative Instruments, Gain (Loss) [Table Text Block] | The following tables identify the net realized gains (losses) and change in unrealized gains/losses on derivative contracts included within net gains of Consolidated Funds’ investments in the consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2015 and September 30, 2014: Three Months Ended September 30, 2015 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ 1,044 $ (1,626) $ (582) Credit contracts 17 81 98 Equity contracts (7) (409) (416) Total $ 1,054 $ (1,954) $ (900) Three Months Ended September 30, 2014 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ $ (507) $ (507) Credit contracts (376) (8,197) (8,573) Equity contracts 510 510 Foreign exchange contracts 82 60 142 Total $ (294) $ (8,134) $ (8,428) Nine Months Ended September 30, 2015 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ 451 $ (1,262) $ (811) Credit contracts 33 62 95 Equity contracts (7) (334) (341) Total $ 477 $ (1,534) $ (1,057) Nine Months Ended September 30, 2014 ( Dollars in thousands ) Realized Change in Gains Unrealized Primary Underlying Risk (Losses) Gains (Losses) Total Interest rate contracts $ $ 402 $ 402 Credit contracts (855) (13,013) (13,868) Equity contracts (4,011) 1,208 (2,803) Foreign exchange contracts 19 147 166 Total $ (4,847) $ (11,256) $ (16,103) |
Disclosure of Credit Derivatives [Table Text Block] | The following tables set forth the information related to the Consolidated Funds’ written credit derivatives held December 31, 2014: December 31, 2014 ( Dollars and notional amounts in thousands ) Fair Value Asset Notional Amount (Liability) Less than 1 5 Over CDS Type Credit Rating 1 year years 5 years Total Investment Grade Index Tranche Not rated 11,000 11,000 $ 925 Bespoke-Mezzanine Not rated 22,000 92,000 114,000 (471) High Yield Index Tranche Not rated 15,000 15,000 (889) High Yield Single Name Not rated 4,000 4,000 357 CDO Tranche on Corporate Debt Investment Grade 19,500 33,000 52,500 (1,407) CDO Tranche on Corporate Debt Non-Investment Grade 9,000 5,172 14,172 5,172 CDO Tranche on Corporate Debt Not rated 8,000 8,000 343 Total 22,000 158,500 38,172 218,672 $ 4,030 |
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | The following tables list the average yearly notional amounts and number of contracts held at September 30, 2015 and December 31, 2014, categorized by primary underlying risk: September 30, 2015 ( Notional amounts in thousands ) Long Exposure Short Exposure Average Number of Average Number of Yearly Contracts at Yearly Contracts at Notional September 30, Notional September 30, Primary Underlying Risk Amounts 2015 Amounts 2015 Interest rate contracts 122,375 7 92,800 12 Credit contracts 1,000 1 Equity contracts 2,500 1 Total 122,375 7 96,300 14 December 31, 2014 ( Notional amounts in thousands ) Long Exposure Short Exposure Average Number of Average Number of Yearly Contracts at Yearly Contracts at Notional December 31, Notional December 31, Primary Underlying Risk Amounts 2014 Amounts 2014 Interest rate contracts 327,500 150,708 1 Credit contracts 69,670 34 19,168 8 Foreign exchange contracts 100,000 1 1,275 1 Total 497,170 35 171,151 10 |
Schedule Of Gross And Net Information About Derivative Instruments [Table Text Block] | The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements), and can potentially be offset in the consolidated statements of financial condition at September 30, 2015 and December 31, 2014: Offsetting Derivative Assets September 30, 2015 ( Dollars in thousands ) Net Amounts of Gross Assets Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Assets Condition Condition Instruments Received Amount Investments in derivatives, at fair value $ 1,805 $ $ 1,805 $ (1,051) $ $ 754 Total $ 1,805 $ $ 1,805 $ (1,051) $ $ 754 Offsetting Derivative Liabilities September 30, 2015 ( Dollars in thousands ) Net Amounts of Gross Liabilities Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Liabilities Condition Condition Instruments Pledged Amount Investments in derivatives, at fair value $ 1,994 $ $ 1,994 $ (1,051) $ (943) $ Total $ 1,994 $ $ 1,994 $ (1,051) $ (943) $ December 31, 2014 ( Dollars in thousands ) Net Amounts of Gross Assets Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Assets Condition Condition Instruments Received Amount Investments in derivatives, at fair value $ 6,648 $ $ 6,648 $ (2,119) $ $ 4,529 Total $ 6,648 $ $ 6,648 $ (2,119) $ $ 4,529 Offsetting Derivative Liabilities December 31, 2014 ( Dollars in thousands ) Net Amounts of Gross Liabilities Gross Amounts Not Offset Amounts Presented in in the Consolidated Offset in the the Statements of Financial Gross Consolidated Consolidated Condition Amounts of Statements Statements of Cash Recognized of Financial Financial Financial Collateral Net Description Liabilities Condition Condition Instruments Pledged Amount Investments in derivatives, at fair value $ 5,785 $ $ 5,785 $ (2,119) $ (1,801) $ 1,865 Total $ 5,785 $ $ 5,785 $ (2,119) $ (1,801) $ 1,865 |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities [Table Text Block] | The following table presents the assets and liabilities of entities that are VIEs, and consolidated by the Company on a gross basis prior to eliminations due to consolidation at September 30, 2015 and December 31, 2014: September 30, December 31, 2014 Funds CDOs Funds Total (Dollars in thousands) Assets Assets of Consolidated Funds Cash and cash equivalents $ 20,098 $ 34,399 $ 58,971 $ 93,370 Restricted cash 2,265 30,265 30,265 Investments, at fair value 46,230 789,410 327,605 1,117,015 Investments in affiliated securities, at fair value 26,466 34,762 34,762 Derivative assets, at fair value 1,805 509 6,139 6,648 Other assets 3,264 9,832 1,766 11,598 Total Assets $ 100,128 $ 834,150 $ 459,508 $ 1,293,658 Liabilities Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value $ $ 784,481 $ $ 784,481 Derivative liabilities, at fair value 1,994 2,374 3,411 5,785 Securities sold, not yet purchased 12,621 19,308 19,308 Due to broker 15,588 21,047 4,600 25,647 Other liabilities 244 26,248 2,441 28,689 Total Liabilities $ 30,447 $ 834,150 $ 29,760 $ 863,910 |
Management Fee Income and Inc30
Management Fee Income and Incentive Income (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Management Fee Income and Incentive Income [Abstract] | |
Schedule of Components of Management Fee Income and Incentive Income [Table Text Block] | The following tables represent the gross amounts of management fee income and incentive income earned prior to eliminations due to consolidation of the Consolidated Funds and the net amount reported in the Company’s consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2015 and September 30, 2014: Three months Ended September 30, 2015 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 1,698 $ (64) $ 1,634 Managed accounts 990 990 Private equity funds 727 727 ZAIS Financial Corp. 760 760 Total $ 4,175 $ (64) $ 4,111 Incentive Income Hedge funds $ 35 $ $ 35 Managed accounts Private equity funds 3,835 3,835 Total $ 3,870 $ $ 3,870 Three months Ended September 30, 2014 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 898 $ (898) $ Managed accounts 2,895 2,895 Private equity funds 1,169 (266) 903 ZAIS Financial Corp. 575 575 Total $ 5,537 $ (1,164) $ 4,373 Incentive Income Hedge funds $ 2,415 $ (5) $ 2,410 Managed accounts Private equity funds 3,593 (1,050) 2,543 Total $ 6,008 $ (1,055) $ 4,953 Nine Months Ended September 30, 2015 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 4,927 $ (183) $ 4,744 Managed accounts 3,178 3,178 Private equity funds 1,716 1,716 ZAIS Financial Corp. 2,188 2,188 Total $ 12,009 $ (183) $ 11,826 Incentive Income Hedge funds $ 659 $ $ 659 Managed accounts 463 463 Private equity funds 4,869 4,869 Total $ 5,991 $ $ 5,991 Nine months Ended September 30, 2014 ( Dollars in thousands ) Gross Net Amount Elimination Amount Management Fee Income Hedge funds $ 1,802 $ (1,802) $ Managed accounts 8,768 8,768 Private equity funds 11,146 (6,880) 4,266 ZAIS Financial Corp. 1,705 1,705 Total $ 23,421 $ (8,682) $ 14,739 Incentive Income Hedge funds $ 2,754 $ (93) $ 2,661 Managed accounts 827 827 Private equity funds 48,962 (10,707) 38,255 Total $ 52,543 $ (10,800) $ 41,743 |
Debt Obligations (Tables)
Debt Obligations (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Table Text Block] | At September 30, 2015 no CDOs were consolidated due to the adoption of ASU 2015-02. At December 31, 2014, the fair value of the CDOs’ net assets is approximately $ 749,719,000 December 31, 2014 ( Dollars in thousands ) Cash and cash equivalents $ 34,399 Investments, at fair value: Collateralized debt obligations 138,637 Commercial mortgage-backed securities 1,606 Residential mortgage-backed securities 13,174 Asset-backed securities and other 22,308 High yield corporate loans 613,685 789,410 Derivative assets (liabilities), net, at fair value (1,864) Other assets (liabilities), net (37,464) Notes payable of consolidated CDOs, at fair value 784,481 Elimination of Consolidated Funds’ investments in CDOs (34,762) Notes payable of consolidated CDOs, at fair value (net of eliminations) $ 749,719 |
Schedule of Long-term Debt Instruments [Table Text Block] | The tables below present information related to the CDOs’ notes outstanding at December 31, 2014. The subordinated notes have no stated interest rate, and are entitled to any excess cash flows after contractual payments are made to the senior notes. December 31, 2014 ( Dollars in thousands ) Weighted Weighted Average Borrowings Fair Average Maturity in Outstanding Value Interest Rate Years Senior Secured Notes $ 892,112 $ 749,344 1.74 % 17.80 Subordinated Notes 58,802 375 N/A 21.76 Total $ 950,914 $ 749,719 |
Compensation (Tables)
Compensation (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Share-based Compensation [Abstract] | |
Schedule of Nonvested Share Activity [Table Text Block] | The following table presents the unvested Class B-0 units’ activity during the period from March 17, 2015 through September 30, 2015: Weighted Average Grant Number of Date Fair B-0 units Value per Unit Offered Upon Closing of Business Combination 1,369,119 $ 9.70 Awards not accepted due to resignation (16,327) 9.70 Net granted Upon Closing of Business Combination 1,352,792 9.70 Granted Post-Closing of Business Combination 50,000 8.80 Forfeited (65,306) 9.70 Vested Balance at September 30, 2015 1,337,486 $ 9.67 |
Schedule of Nonvested Restricted Stock Units Activity [Table Text Block] | The following table presents the unvested RSU activity during the nine months ended September 30, 2015: Weighted Average Grant Number of Date Fair RSUs Value per Unit Granted 30,000 $ 9.85 Forfeited Vested Balance at September 30, 2015 30,000 $ 9.85 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Summary of Operating Loss Carryforwards [Table Text Block] | the Company has estimated federal and state income tax net operating loss carryforwards of $ 7,891,000 2032 $ 1,000 2033 83,000 2034 122,000 2035 7,685,000 Total $ 7,891,000 |
Schedule of Components of Income Tax Expense (Benefit) [Table Text Block] | The below table provides the reconciliation of the Company’s effective tax rate to the U.S. federal statutory rate. Effective Tax Effective Tax Three months Nine months ended September ended September Income tax (benefit) expense at the U.S. federal statutory income tax rate (35.00) % (35.00) % State and Local Income Tax, Net of Fed Benefit (2.12) % (3.19) % Redeemable non-controlling interests 12.69 % 0.09 % Non-controlling interests in Consolidated Funds 5.06 % (0.80) % Non-controlling interests in ZGP 4.56 % 16.63 % Change in Valuation Allowance on Pre-Business Combination Deferred Tax Assets (12.45) % (4.94) % Total (27.26) % (27.21) % |
Fixed Assets (Tables)
Fixed Assets (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Property, Plant and Equipment [Abstract] | |
Property, Plant and Equipment [Table Text Block] | Fixed assets consist of the following: September 30, December 31, 2015 2014 ( Dollars in thousands ) Office equipment $ 3,187 $ 3,073 Leasehold improvements 947 938 Furniture and fixtures 587 569 Software 427 402 5,148 4,982 Less accumulated depreciation and amortization (4,536) (3,891) Total $ 612 $ 1,091 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Future Minimum Rental Payments for Operating Leases [Table Text Block] | Aggregate future minimum annual rental payments for the periods subsequent to September 30, 2015 are approximately as follows: Period Amount ( Dollars in thousands ) Three Months Ending December 31, 2015 $ 235 Year Ending December 31, 2016 938 Year Ending December 31, 2017 728 $ 1,901 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share: Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2015 2014 2015 2014 (Dollars in thousands, except shares and per share data) Numerator: Consolidated Net Income (Loss), net of tax, attributable to ZAIS Group Holdings, Inc. Class A common stockholders (Basic) $ (568) $ (3,539) (1) $ (4,337) $ 23,259 (1) Effect of dilutive securities: Consolidated Net Income (Loss), net of tax, attributable to non-controlling interests in ZGP (1,009) (7,754) Less: Consolidated Net Income (Loss), net of tax, attributable to ZAIS REIT Management, LLC Class B Members (2) (144) (426) Income tax (benefit) expense (3) 471 3,342 Consolidated Net Income (Loss), net of tax, attributable to stockholders, after effect of dilutive securities $ (1,250) $ (3,539) $ (9,175) $ 23,259 Denominator: Weighted average number of shares of Class A Common Stock 13,870,917 7,000,000 (5) 10,009,416 7,000,000 (5) Effect of dilutive securities: Weighted average number of Class A Units of ZGP 7,000,000 7,000,000 Dilutive number of B-0 Units and RSUs (4) Diluted weighted average shares outstanding (6) 20,870,917 7,000,000 17,009,416 7,000,000 Consolidated Net Income (Loss), net of tax, per Class A common share Basic $ (0.04) $ (0.51) $ (0.43) $ 3.32 Consolidated Net Income (Loss), net of tax, per Class A common share Diluted $ (0.06) $ (0.51) $ (0.54) $ 3.32 (1) Consolidated Net Income (Loss), net of tax for all periods prior to the Business Combination is attributable to ZGP Founder Members (2) Amount represents portion of the management fee income received from ZAIS Financial Corp. that is payable to holders of Class B interests in ZAIS Group’s consolidated subsidiary ZAIS REIT Management, LLC. (3) Income tax (benefit) / expense is calculated using an assumed tax rate of 40.85 (4) The treasury stock method is used to calculate incremental Class A common shares on potentially dilutive Class A common shares resulting from unvested Class B-0 Units granted in connection with and subsequent to the Business Combination and unvested RSUs granted to non-employee directors. These units are anti-dilutive and, consequently, have been excluded from the computation of diluted weighted average shares outstanding. (5) Refer to Note 2 for the details around the number of units used to calculate earnings per share for periods prior to the Business Combination (6) Number of diluted shares outstanding takes into account non-controlling interests of ZAIS Group Parent, LLC that may be exchanged for Class A Common Stock under certain circumstances. |
Supplemental Financial Inform37
Supplemental Financial Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Statement of Financial Position [Abstract] | |
Schedule Of Consolidated Funds on the Company’s Financial Position [Table Text Block] | The following supplemental financial information illustrates the consolidating effects of the Consolidated Funds on the Company’s financial position at September 30, 2015 and December 31, 2014, and results of operations for the three and nine months ended September 30, 2015 and September 30, 2014: September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in thousands ) Assets Cash and cash equivalents $ 75,707 $ $ $ 75,707 Income and fees receivable 2,077 2,077 Investments in affiliates, at fair value 253 (253) Due from related parties 848 (39) 809 Fixed assets, net 612 612 Prepaid expenses 1,602 1,602 Deferred tax assets 4,320 4,320 Other assets 2,974 2,974 Assets of Consolidated Funds Cash and cash equivalents 20,098 20,098 Restricted cash 2,265 2,265 Investments, at fair value 46,230 46,230 Investments in affiliated securities, at fair value 26,466 26,466 Derivative assets, at fair value 1,805 1,805 Other assets 3,264 3,264 Total Assets $ 88,393 $ 100,128 $ (292) $ 188,229 Liabilities, Redeemable Non-controlling Interests and Equity Liabilities Notes payable $ 1,253 $ $ $ 1,253 Compensation payable 2,461 2,461 Due to related parties 174 174 Other liabilities 3,044 3,044 Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value Securities sold, not yet purchased 12,621 12,621 Derivative liabilities, at fair value 1,994 1,994 Due to broker 15,588 15,588 Other liabilities 244 (39) 205 Total Liabilities 6,932 30,447 (39) 37,340 Commitments and Contingencies (Note 14) Redeemable Non-controlling Interests 59,792 (241) 59,551 Equity Class A Common Stock 1 1 Class B Common Stock Additional paid-in-capital 59,771 59,771 Retained earnings (Accumulated deficit) (4,337) (4,337) Accumulated other comprehensive income (loss) 215 215 Total stockholders’ equity, ZAIS Group Holdings, Inc. 55,650 55,650 Non-controlling interests in ZAIS Group Parent, LLC 25,811 25,811 Non-controlling interests in Consolidated Funds 9,889 (12) 9,877 Total Equity 81,461 9,889 (12) 91,338 Total Liabilities, Redeemable Non-controlling Interests and Equity $ 88,393 $ 100,128 $ (292) $ 188,229 December 31, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in thousands ) Assets Cash and cash equivalents $ 7,664 $ $ $ 7,664 Income and fees receivable 11,223 (6,940) 4,283 Investments in affiliates, at fair value 1,752 (1,648) 104 Due from related parties 968 (320) 648 Fixed assets, net 1,091 1,091 Prepaid expenses 1,543 1,543 Other assets 3,310 3,310 Assets of Consolidated Funds Cash and cash equivalents 94,212 94,212 Restricted cash 30,265 30,265 Investments, at fair value 1,126,737 1,126,737 Investments in affiliated securities, at fair value 66,219 (34,762) 31,457 Derivative assets, at fair value 6,648 6,648 Other assets 11,599 (22) 11,577 Total Assets $ 27,551 $ 1,335,680 $ (43,692) $ 1,319,539 Liabilities, Redeemable Non-controlling Interests and Equity Liabilities Compensation payable $ 6,094 $ $ $ 6,094 Due to related parties 32 32 Other liabilities 3,050 3,050 Liabilities of Consolidated Funds Notes payable of consolidated CDOs, at fair value 784,481 (34,762) 749,719 Securities sold, not yet purchased 19,308 19,308 Derivative liabilities, at fair value 5,785 5,785 Due to broker 21,047 21,047 Other liabilities 40,144 (7,281) 32,863 Total Liabilities 9,176 870,765 (42,043) 837,898 Commitments and Contingencies (Note 14) Redeemable Non-controlling Interests 452,925 452,925 Equity Class A Common Stock 1 1 Class B Common Stock Additional paid-in-capital Retained earnings (Accumulated deficit) 18,188 1,650 (1,649) 18,189 Accumulated other comprehensive income (loss) 186 186 Total stockholders’ equity, ZAIS Group Holdings, Inc. 18,375 1,650 (1,649) 18,376 Non-controlling interests in ZAIS Group Parent, LLC Non-controlling interests in Consolidated Funds 10,340 10,340 Total Equity 18,375 11,990 (1,649) 28,716 Total Liabilities, Redeemable Non-controlling Interests and Equity $ 27,551 $ 1,335,680 $ (43,692) $ 1,319,539 Three months Ended September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 4,175 $ $ (64) $ 4,111 Incentive income 3,870 3,870 Other revenues 81 81 Income of Consolidated Funds 1,105 1,105 Total Revenues 8,126 1,105 (64) 9,167 Expenses Compensation and benefits 6,488 6,488 General, administrative and other 4,370 4,370 Depreciation and amortization 445 445 Expenses of Consolidated Funds (677) (65) (742) Total Expenses 11,303 (677) (65) 10,561 Other Income (loss) Net gain (loss) on investments (11) 11 Other income (expense) 83 83 Net gains (losses) of Consolidated Funds’ investments (4,987) (4,987) Total Other Income (Loss) 72 (4,987) 11 (4,904) Income (loss) before income taxes (3,105) (3,205) 12 (6,298) Income tax (benefit) expense (1,528) (1,528) Consolidated net income (loss), net of tax (1,577) (3,205) 12 (4,770) Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment (160) (160) Total Comprehensive Income (Loss) $ (1,737) $ (3,205) $ 12 $ (4,930) Three months Ended September 30, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 5,537 $ $ (1,164) $ 4,373 Incentive income 6,008 (1,055) 4,953 Other revenues 95 (10) 85 Income of Consolidated Funds 25,065 5,312 30,377 Total Revenues 11,640 25,065 3,083 39,788 Expenses Compensation and benefits 9,490 9,490 General, administrative and other 5,472 5,472 Depreciation and amortization 122 122 Expenses of Consolidated Funds 17,449 (5,511) 11,938 Total Expenses 15,084 17,449 (5,511) 27,022 Other Income (loss) Net gain (loss) on investments (194) 174 (20) Other income (expense) 104 104 Net gains (losses) of Consolidated Funds’ investments 151,354 (146,970) 4,384 Total Other Income (Loss) (90) 151,354 (146,796) 4,468 Income (loss) before income taxes (3,534) 158,970 (138,202) 17,234 Income tax (benefit) expense 5 5 Consolidated net income (loss), net of tax (3,539) 158,970 (138,202) 17,229 Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 831 831 Total Comprehensive Income (Loss) $ (2,708) $ 158,970 $ (138,202) $ 18,060 Nine months Ended September 30, 2015 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 12,009 $ $ (183) $ 11,826 Incentive income 5,991 5,991 Other revenues 218 218 Income of Consolidated Funds 4,314 4,314 Total Revenues 18,218 4,314 (183) 22,349 Expenses Compensation and benefits 20,418 20,418 General, administrative and other 13,470 13,470 Depreciation and amortization 654 654 Expenses of Consolidated Funds 956 (184) 772 Total Expenses 34,542 956 (184) 35,314 Other Income (loss) Net gain (loss) on investments 34 (34) Other income (expense) 88 88 Net gains (losses) of Consolidated Funds’ investments (3,003) (3,003) Total Other Income (Loss) 122 (3,003) (34) (2,915) Income (loss) before income taxes (16,202) 355 (33) (15,880) Income tax (benefit) expense (4,111) (4,111) Consolidated net income (loss), net of tax (12,091) 355 (33) (11,769) Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 323 323 Total Comprehensive Income (Loss) $ (11,768) $ 355 $ (33) $ (11,446) Nine months Ended September 30, 2014 Consolidated ZAIS Funds Eliminations Consolidated ( Dollars in Thousands ) Revenues Management fee income $ 23,421 $ $ (8,682) $ 14,739 Incentive income 52,543 (10,800) 41,743 Other revenues 502 (48) 454 Income of Consolidated Funds 77,355 10,755 88,110 Total Revenues 76,466 77,355 (8,775) 145,046 Expenses Compensation and benefits 37,600 37,600 General, administrative and other 13,086 13,086 Depreciation and amortization 358 358 Expenses of Consolidated Funds 134,466 (34,602) 99,864 Total Expenses 51,044 134,466 (34,602) 150,908 Other Income (loss) Net gain (loss) on investments 1,424 (1,465) (41) Other income (expense) 164 164 Net gains (losses) of Consolidated Funds’ investments 92,504 (20,327) 72,177 Total Other Income (Loss) 1,588 92,504 (21,792) 72,300 Income (loss) before income taxes 27,010 35,393 4,035 66,438 Income tax (benefit) expense 19 19 Consolidated net income (loss), net of tax 26,991 35,393 4,035 66,419 Other Comprehensive Income (Loss), net of tax Foreign currency translation adjustment 630 630 Total Comprehensive Income (Loss) $ 27,621 $ 35,393 $ 4,035 $ 67,049 |
Organization (Details Textual)
Organization (Details Textual) - USD ($) $ / shares in Units, $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Common Class B [Member] | ||
Common Stock, Par or Stated Value Per Share | $ 0.000001 | $ 0.000001 |
ZAIS [Member] | ||
Assets under Management, Carrying Amount | $ 4,201 | |
ZGP Founders [Member] | Common Class B [Member] | ||
Common Stock, Par or Stated Value Per Share | $ 0.000001 |
Business Combination (Details)
Business Combination (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Business Acquisition [Line Items] | ||
Net proceeds from Business Combination | $ 73,516,000 | $ 0 |
ZAIS Group Parent, LLC [Member] | ||
Business Acquisition [Line Items] | ||
Cash in HF2’s Trust | 184,760,079 | |
Payment for HF2 redemptions | (102,282,526) | |
Payment for HF2’s expenses | (4,311,157) | |
Net Cash Received by ZGP from Business Combination | 78,166,396 | |
Less: Ramsey incentive fee and fees to underwriters | (4,650,000) | |
Net proceeds from Business Combination | $ 73,516,000 |
Business Combination (Details 1
Business Combination (Details 1) - ZAIS Group Holdings Inc [Member] | Mar. 17, 2015shares |
Business Acquisition [Line Items] | |
HF2 public shares outstanding prior to the Business Combination | 23,592,150 |
Less: redemption of HF2 public shares | (9,741,193) |
Total HF2 shares outstanding immediately prior to the effective date of the Business Combination | 13,850,957 |
Common shares issued as consideration to transaction underwriter | 150,000 |
Shares cancelled from HF2 founders' allocation | (130,040) |
Total shares of Class A common stock of ZAIS outstanding at closing, March 17, 2015 | 13,870,917 |
Business Combination (Details 2
Business Combination (Details 2) | Mar. 17, 2015shares |
ZAIS Group Holdings Inc [Member] | |
Business Acquisition [Line Items] | |
Limited Partners' Capital Account, Units Outstanding | 13,870,917 |
ZAIS Group, LLC [Member] | |
Business Acquisition [Line Items] | |
Limited Partners' Capital Account, Units Outstanding | 20,870,917 |
ZGP Founders [Member] | |
Business Acquisition [Line Items] | |
Limited Partners' Capital Account, Units Outstanding | 7,000,000 |
Business Combination (Details T
Business Combination (Details Textual) - USD ($) | 1 Months Ended | 9 Months Ended | |
Apr. 30, 2015 | Sep. 30, 2015 | Mar. 17, 2015 | |
Weighted Average Number of Shares Outstanding, Basic and Diluted | 7,000,000 | ||
Restricted Stock Units (RSUs) [Member] | Director [Member] | |||
Stock Issued During Period, Shares, Issued for Services | 30,000 | ||
ZAIS [Member] | |||
Equity Method Investment, Ownership Percentage | 66.50% | ||
Capital Unit, Class A [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 2,800,000 | ||
Capital Unit, Class B [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 6,800,000 | 1,600,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights | Of these Class B Units, 1,600,000 Class B-0 Units vest on the later of the date of grant and the second anniversary of the Closing, unless otherwise provided in the restricted unit agreement granting the Class B unit. The remaining 5,200,000 units are designated as Class B-1, Class B-2, Class B-3 and Class B-4 Units (together the Additional Employee Units), which vest in three equal installments | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Nonvested, Number of Shares, Beginning Balance | 1,337,486 | 1,352,792 | |
Capital Unit, Class B [Member] | Minimum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price | $ 12.50 | ||
Capital Unit, Class B [Member] | Maximum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price | $ 21.50 | ||
ZAIS Group Parent, LLC [Member] | |||
Incentive Fee Expense | $ 3,400,000 | ||
Redemption of shares | 9,741,193 | ||
Payments for Redemptions Under Business Combination | $ 102,282,526 | ||
Minimum Balance To be Kept Under HF2’s Trust Account | $ 65,000,000 | ||
ZAIS Group Parent, LLC [Member] | Capital Unit, Class A [Member] | Minimum [Member] | |||
Threshold Price Per Unit | $ 12.50 | ||
ZAIS Group Parent, LLC [Member] | Capital Unit, Class A [Member] | Maximum [Member] | |||
Threshold Price Per Unit | $ 21.50 |
Basis of Presentation and Sum43
Basis of Presentation and Summary of Significant Accounting Policies (Details Textual) - USD ($) | 12 Months Ended | ||
Dec. 31, 2012 | Sep. 30, 2015 | Dec. 31, 2014 | |
Cash, FDIC Insured Amount | $ 250,000 | ||
Cash Equivalents, at Carrying Value | 36,536,000 | $ 2,687,000 | |
Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | 26,001,000 | 0 | |
Other Short-term Investments | 11,152,000 | 0 | |
ZGP [Member] | |||
Goodwill, Acquired During Period | $ 2,669,000 | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | 397,594,000 | ||
Consolidated Entities [Member] | |||
Restricted Cash and Cash Equivalents | $ 2,265,000 | $ 30,265,000 |
Investments in Affiliates (Deta
Investments in Affiliates (Details Textual) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2014 | Sep. 30, 2015 | |
Investments in and Advances to Affiliates [Line Items] | ||||
Investments in and Advances to Affiliates, at Fair Value | $ 104 | $ 0 | ||
Equity Method Investment, Additional Information | no equity investment, individually or in the aggregate, held by the Company exceeded 10% of the total consolidated assets or income. | |||
Affiliated Entity [Member] | ||||
Investments in and Advances to Affiliates [Line Items] | ||||
Unrealized Gain (Loss) on Investments | $ 6 | $ 4 |
Fair Value of Investments (Deta
Fair Value of Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Investments, Fair Value Disclosure [Abstract] | ||
Investments in and Advances to Affiliates, at Fair Value | $ 0 | $ 104 |
Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 1,805 | 6,648 |
Consolidated Entities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 74,501 | 1,164,946 |
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 46,230 | 1,126,737 |
Investments in and Advances to Affiliates, at Fair Value | 26,466 | 31,457 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 14,615 | 774,812 |
Total securities sold, not yet purchased | 12,621 | 19,308 |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 3,794 | |
Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,994 | 5,785 |
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 334 | |
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 56 | |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 14,610 | 0 |
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 14,610 | 0 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 11,610 | 0 |
Total securities sold, not yet purchased | 11,610 | |
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 1 [Member] | Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 28,271 | 43,268 |
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | 7,857 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 3,005 | 19,694 |
Total securities sold, not yet purchased | 1,011 | |
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 1,805 | 3,850 |
Fair Value, Inputs, Level 2 [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 3,794 | |
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,994 | 386 |
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 334 | |
Fair Value, Inputs, Level 2 [Member] | Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 56 | |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 31,620 | 1,121,678 |
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 31,620 | 1,118,880 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | 755,118 |
Total securities sold, not yet purchased | 0 | |
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | 2,798 |
Fair Value, Inputs, Level 3 [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | 5,399 |
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 3 [Member] | Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Credit Default Swap [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 107 | 2,798 |
Credit Default Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 5,399 | |
Credit Default Swap [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | 0 |
Credit Default Swap [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Credit Default Swap [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 107 | 0 |
Credit Default Swap [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Credit Default Swap [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | 2,798 |
Credit Default Swap [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 5,399 | |
Cashflow Swaps [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 386 | |
Cashflow Swaps [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Cashflow Swaps [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 386 | |
Cashflow Swaps [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Swaption [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 1,088 | |
Swaption [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 1,088 | |
Swaption [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Notes Payable, Other Payables [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 749,719 | |
Notes Payable, Other Payables [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Notes Payable, Other Payables [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Notes Payable, Other Payables [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 749,719 | |
Funds [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments in Affiliates, Subsidiaries, Associates, and Joint Ventures, Fair Value Disclosure | 104 | |
Investments in and Advances to Affiliates, at Fair Value | 26,466 | 31,457 |
Funds [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments in Affiliates, Subsidiaries, Associates, and Joint Ventures, Fair Value Disclosure | 0 | |
Investments in and Advances to Affiliates, at Fair Value | 0 | 0 |
Funds [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments in Affiliates, Subsidiaries, Associates, and Joint Ventures, Fair Value Disclosure | 104 | |
Investments in and Advances to Affiliates, at Fair Value | 26,466 | 31,457 |
Funds [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments in Affiliates, Subsidiaries, Associates, and Joint Ventures, Fair Value Disclosure | 0 | |
Investments in and Advances to Affiliates, at Fair Value | 0 | 0 |
Collateralized Debt Obligations [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 9,172 | 359,211 |
Collateralized Debt Obligations [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | 0 |
Collateralized Debt Obligations [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | 0 |
Collateralized Debt Obligations [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 9,172 | 359,211 |
Commercial Mortgage Backed Securities [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 4,535 | |
Commercial Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Commercial Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Commercial Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 4,535 | |
Corporate Bond Securities [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 7,857 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,011 | 19,308 |
Corporate Bond Securities [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | 0 |
Corporate Bond Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 7,857 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,011 | 19,308 |
Corporate Bond Securities [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | 0 |
Residential Mortgage Backed Securities [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 12,993 | 78,275 |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 12,993 | 78,275 |
Asset-backed Securities [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 63,174 | |
Asset-backed Securities [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Asset-backed Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Asset-backed Securities [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 63,174 | |
Corporate and Other [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 613,685 | |
Corporate and Other [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Corporate and Other [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Corporate and Other [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | $ 613,685 | |
Exchange Traded Funds [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 14,610 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 11,610 | |
Exchange Traded Funds [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 14,610 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 11,610 | |
Exchange Traded Funds [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Exchange Traded Funds [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Real Estate Investment [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 9,455 | |
Real Estate Investment [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Real Estate Investment [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 0 | |
Real Estate Investment [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Investments, Fair Value Disclosure [Abstract] | ||
Investments, Fair Value Disclosure | 9,455 | |
Interest Rate Swaps [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 717 | |
Interest Rate Swaps [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,553 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 0 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 717 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,553 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Assets [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 0 | |
Interest Rate Swaps [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ 0 |
Fair Value of Investments (De46
Fair Value of Investments (Details 1) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | $ 1,121,678 | $ 904,315 |
Total assets, at fair value, Purchases/Issuances | 1,011,312 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (806,320) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 12,371 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 1,121,678 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (51,689) | |
Total liabilities, at fair value (Beginning Balance) | 755,118 | 750,535 |
Total liabilities, at fair value, Purchases/Issuances | 661,512 | |
Total liabilities, at fair value, Sales/Redemptions/Settlements | (533,187) | |
Total liabilities, at fair value, Realized and Unrealized Gains/Losses | (123,742) | |
Total liabilities, at fair value, Transfers | 0 | |
Total liabilities, at fair value (Ending Balance) | 755,118 | |
Total liabilities, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (76,703) | |
Accounting Standards Update 2015 02 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 28,820 | |
Total assets, at fair value, Purchases/Issuances | 12,059 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (8,345) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (914) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 31,620 | 28,820 |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (683) | |
Notes Payable, Other Payables [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 749,719 | 730,348 |
Total assets, at fair value, Purchases/Issuances | 635,315 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (510,600) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (105,344) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 749,719 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (74,344) | |
Credit Default Swap [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 2,798 | 2,300 |
Total assets, at fair value, Purchases/Issuances | 3,245 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (3,912) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 1,165 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 2,798 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 550 | |
Total liabilities, at fair value (Beginning Balance) | 5,399 | 20,187 |
Total liabilities, at fair value, Purchases/Issuances | 26,197 | |
Total liabilities, at fair value, Sales/Redemptions/Settlements | (22,391) | |
Total liabilities, at fair value, Realized and Unrealized Gains/Losses | (18,594) | |
Total liabilities, at fair value, Transfers | 0 | |
Total liabilities, at fair value (Ending Balance) | 5,399 | |
Total liabilities, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (2,359) | |
Total Return Swap [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 0 | 2,727 |
Total assets, at fair value, Purchases/Issuances | 0 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (110) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (2,617) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 0 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 0 | |
Total liabilities, at fair value (Beginning Balance) | 0 | 0 |
Total liabilities, at fair value, Purchases/Issuances | 0 | |
Total liabilities, at fair value, Sales/Redemptions/Settlements | (196) | |
Total liabilities, at fair value, Realized and Unrealized Gains/Losses | 196 | |
Total liabilities, at fair value, Transfers | 0 | |
Total liabilities, at fair value (Ending Balance) | 0 | |
Total liabilities, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 0 | |
Collateralized Loan Obligations [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 0 | 26,460 |
Total assets, at fair value, Purchases/Issuances | 14,500 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (39,000) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (1,960) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 0 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 0 | |
Collateralized Loan Obligations [Member] | Accounting Standards Update 2015 02 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 9,626 | |
Total assets, at fair value, Purchases/Issuances | 3,499 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (3,778) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (175) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 9,172 | 9,626 |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (318) | |
Collateralized Debt Obligations [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 359,211 | 707,718 |
Total assets, at fair value, Purchases/Issuances | 112,518 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (461,995) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 970 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 359,211 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (47,146) | |
Commercial Mortgage Backed Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 4,535 | 6,738 |
Total assets, at fair value, Purchases/Issuances | 2,862 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (5,424) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 359 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 4,535 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (116) | |
Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 78,275 | 63,091 |
Total assets, at fair value, Purchases/Issuances | 32,391 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (21,545) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 4,338 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 78,275 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 461 | |
Asset-backed Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 63,174 | 95,281 |
Total assets, at fair value, Purchases/Issuances | 63,295 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (113,524) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | 18,122 | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 63,174 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 1,847 | |
Corporate and Other [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 613,685 | 0 |
Total assets, at fair value, Purchases/Issuances | 782,501 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (160,810) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (8,006) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 613,685 | |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (7,285) | |
Collateralized Mortgage Backed Securities [Member] | Accounting Standards Update 2015 02 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 9,472 | |
Total assets, at fair value, Purchases/Issuances | 8,560 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (4,408) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (631) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 12,993 | 9,472 |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (98) | |
Real Estate Investment [Member] | Accounting Standards Update 2015 02 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total assets, at fair value (Beginning Balance) | 9,722 | |
Total assets, at fair value, Purchases/Issuances | 0 | |
Total assets, at fair value, Sales/Redemptions/Settlements | (159) | |
Total assets, at fair value, Realized and Unrealized Gains/Losses | (108) | |
Total assets, at fair value, Transfers | 0 | |
Total assets, at fair value (Ending Balance) | 9,455 | $ 9,722 |
Total assets, at fair value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $ (267) |
Fair Value of Investments (De47
Fair Value of Investments (Details 2) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015USD ($) | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | ||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 1,121,678 | $ 904,315 | ||
Notes Payable | $ 1,253 | 0 | ||
Collateralized Loan Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | 0 | $ 26,460 | ||
Consolidated Entities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Derivative Asset | 1,805 | 6,648 | ||
Notes Payable | 0 | 749,719 | ||
Derivative Liability | 1,994 | 5,785 | ||
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Derivative Asset | 31,620 | 1,121,678 | ||
Derivative Liability | 755,118 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Entities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Notes Payable | $ 749,719 | |||
Fair Value Measurements, Valuation Techniques | [1] | ASU 2014-13 | ||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
Discounted cash flow model [Member] | Fair Value, Inputs, Level 3 [Member] | Real Estate Investment [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 9,455 | |||
Fair Value Measurements, Valuation Techniques | Capitalization Rate Method | |||
Fair Value Measurements Unobservable Input Description | Capitalization Rate | |||
Fair Value Input Reinvestment Spread percentage | [1] | 7.00% | ||
Discounted cash flow model [Member] | Fair Value, Inputs, Level 3 [Member] | Residential mortgage-backed securities - Agency IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 1,395 | |||
Fair Value Measurements, Valuation Techniques | Discounted cash flow model | |||
Discounted cash flow model [Member] | Fair Value, Inputs, Level 3 [Member] | Residential mortgage-backed securities - Agency Inverse IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 399 | |||
Fair Value Measurements, Valuation Techniques | Discounted cash flow model | |||
Discounted cash flow model [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 59,623 | |||
Fair Value Measurements, Valuation Techniques | Discounted cash flow model | |||
Discounted cash flow model [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 17,085 | |||
Fair Value Measurements, Valuation Techniques | Discounted cash flow model | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Discount margin (bps) | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 253 | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 2,138 | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 776 | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Discount margin (bps) | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 308 | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 1,975 | |||
Discounted cash flow model [Member] | Discount Margin [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Inputs Discount Margin | 666 | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Constant prepayment rate | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 10.00% | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 35.00% | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Constant prepayment rate | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 1.00% | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 28.00% | |||
Discounted cash flow model [Member] | Constant Prepayment Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 10.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Constant default rate | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 4.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Constant default rate | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 22.00% | |||
Discounted cash flow model [Member] | Constant Default Rate [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 3.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Loss severity | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 30.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 70.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Loss severity | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 0.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 150.00% | |||
Discounted cash flow model [Member] | Loss Severity [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 78.00% | |||
Discounted cash flow model [Member] | Reinvestment Price [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Reinvestment price | |||
Fair Value Input Reinvestment Spread percentage | 100.00% | |||
Discounted cash flow model [Member] | Reinvestment Spread [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Reinvestment spread | |||
Fair Value Input Reinvestment Spread percentage | 3.75% | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Residential mortgage-backed securities - Agency IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Yield | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Residential mortgage-backed securities - Agency Inverse IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Measurements Unobservable Input Description | Yield | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Minimum [Member] | Residential mortgage-backed securities - Agency IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 3.48% | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Minimum [Member] | Residential mortgage-backed securities - Agency Inverse IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 8.56% | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Maximum [Member] | Residential mortgage-backed securities - Agency IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 3.48% | |||
Discounted cash flow model [Member] | Yield [Member] | Fair Value, Inputs, Level 3 [Member] | Maximum [Member] | Residential mortgage-backed securities - Agency Inverse IO [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value Input Interest Rate | 8.56% | |||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 9,172 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Credit Default Swap [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Derivative Asset | $ 2,798 | |||
Derivative Liability | $ 5,399 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 299,588 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Commercial Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 4,535 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 11,199 | $ 61,190 | ||
Fair Value Measurements, Valuation Techniques | Broker quoted | Broker quoted | ||
Fair Value Measurements Unobservable Input Description | Not applicable. | Not applicable. | ||
Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | Asset-backed Securities, Securitized Loans and Receivables [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 63,174 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
High Yield Corporate Loans Securities [Member] | Broker quoted [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Assets and Liabilities Significant Unobservable Inputs [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 613,685 | |||
Fair Value Measurements, Valuation Techniques | Broker quoted | |||
Fair Value Measurements Unobservable Input Description | Not applicable. | |||
[1] | Valued per ASU 2014-13 as described in Note 3. |
Derivatives (Details)
Derivatives (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value, Notional | $ 106,000 | $ 273,665 |
Derivative assets, at fair value, Fair Value | 1,805 | 6,648 |
Derivative liabilities, at fair value, Notional | 103,100 | 381,784 |
Derivative liabilities, at fair value, Fair Value | 1,994 | 5,785 |
Interest rate contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value, Notional | 106,000 | 0 |
Derivative assets, at fair value, Fair Value | 1,805 | 0 |
Derivative liabilities, at fair value, Notional | 97,100 | 201,612 |
Derivative liabilities, at fair value, Fair Value | 1,553 | 386 |
Credit contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value, Notional | 0 | 72,265 |
Derivative assets, at fair value, Fair Value | 0 | 2,798 |
Derivative liabilities, at fair value, Notional | 1,000 | 180,172 |
Derivative liabilities, at fair value, Fair Value | 107 | 5,399 |
Equity contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value, Notional | 0 | |
Derivative assets, at fair value, Fair Value | 0 | |
Derivative liabilities, at fair value, Notional | 5,000 | |
Derivative liabilities, at fair value, Fair Value | $ 334 | |
Foreign exchange contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value, Notional | 201,400 | |
Derivative assets, at fair value, Fair Value | 3,850 | |
Derivative liabilities, at fair value, Notional | 0 | |
Derivative liabilities, at fair value, Fair Value | $ 0 |
Derivatives (Details 1)
Derivatives (Details 1) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Primary Underlying Risk, Realized Gains (Losses) | $ 1,054 | $ (294) | $ 477 | $ (4,847) |
Primary Underlying Risk, Change in Unrealized Gains/Losses | (1,954) | (8,134) | (1,534) | (11,256) |
Primary Underlying Risk, Total | (900) | (8,428) | (1,057) | (16,103) |
Interest rate contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Primary Underlying Risk, Realized Gains (Losses) | 1,044 | 0 | 451 | 0 |
Primary Underlying Risk, Change in Unrealized Gains/Losses | (1,626) | (507) | (1,262) | 402 |
Primary Underlying Risk, Total | (582) | (507) | (811) | 402 |
Credit contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Primary Underlying Risk, Realized Gains (Losses) | 17 | (376) | 33 | (855) |
Primary Underlying Risk, Change in Unrealized Gains/Losses | 81 | (8,197) | 62 | (13,013) |
Primary Underlying Risk, Total | 98 | (8,573) | 95 | (13,868) |
Equity contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Primary Underlying Risk, Realized Gains (Losses) | (7) | 0 | (7) | (4,011) |
Primary Underlying Risk, Change in Unrealized Gains/Losses | (409) | 510 | (334) | 1,208 |
Primary Underlying Risk, Total | $ (416) | 510 | $ (341) | (2,803) |
Foreign exchange contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Primary Underlying Risk, Realized Gains (Losses) | 82 | 19 | ||
Primary Underlying Risk, Change in Unrealized Gains/Losses | 60 | 147 | ||
Primary Underlying Risk, Total | $ 142 | $ 166 |
Derivatives (Details 2)
Derivatives (Details 2) $ in Thousands | Dec. 31, 2014USD ($) |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | $ 218,672 |
Derivative Assets (Liabilities), at Fair Value, Net | 4,030 |
Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 22,000 |
One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 158,500 |
Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 38,172 |
Investment Grade Index Tranche [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 11,000 |
Derivative Assets (Liabilities), at Fair Value, Net | 925 |
Investment Grade Index Tranche [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
Investment Grade Index Tranche [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 11,000 |
Investment Grade Index Tranche [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
Bespoke-Mezzanine [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 114,000 |
Derivative Assets (Liabilities), at Fair Value, Net | (471) |
Bespoke-Mezzanine [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 22,000 |
Bespoke-Mezzanine [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 92,000 |
Bespoke-Mezzanine [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
High Yield Index Tranche [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 15,000 |
Derivative Assets (Liabilities), at Fair Value, Net | (889) |
High Yield Index Tranche [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
High Yield Index Tranche [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 15,000 |
High Yield Index Tranche [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
High Yield Single Name [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 4,000 |
Derivative Assets (Liabilities), at Fair Value, Net | 357 |
High Yield Single Name [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
High Yield Single Name [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 4,000 |
High Yield Single Name [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
CDO Tranche on Corporate Debt [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 8,000 |
Derivative Assets (Liabilities), at Fair Value, Net | 343 |
CDO Tranche on Corporate Debt [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
CDO Tranche on Corporate Debt [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 8,000 |
CDO Tranche on Corporate Debt [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Investment Grade [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 52,500 |
Derivative Assets (Liabilities), at Fair Value, Net | (1,407) |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Investment Grade [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Investment Grade [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 19,500 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Investment Grade [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 33,000 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Non Investment Grade [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 14,172 |
Derivative Assets (Liabilities), at Fair Value, Net | 5,172 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Non Investment Grade [Member] | Less Than One Year [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 0 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Non Investment Grade [Member] | One to Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | 9,000 |
CDO Tranche on Corporate Debt [Member] | External Credit Rating, Non Investment Grade [Member] | Over Five Years [Member] | |
Derivative Instruments, Gain (Loss) [Line Items] | |
Derivative, Notional Amount | $ 5,172 |
Derivatives (Details 3)
Derivatives (Details 3) $ in Thousands | Sep. 30, 2015USD ($)Contracts | Dec. 31, 2014USD ($)Contracts |
Long Exposure [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 122,375 | $ 497,170 |
Derivative, Number of Instruments Held | 7 | 35 |
Long Exposure [Member] | Interest Rate Contract [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 122,375 | $ 327,500 |
Derivative, Number of Instruments Held | 7 | 0 |
Long Exposure [Member] | Credit contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 0 | $ 69,670 |
Derivative, Number of Instruments Held | 0 | 34 |
Long Exposure [Member] | Equity contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 0 | |
Derivative, Number of Instruments Held | 0 | |
Long Exposure [Member] | Foreign exchange contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 100,000 | |
Derivative, Number of Instruments Held | 1 | |
Short Exposure [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 96,300 | $ 171,151 |
Derivative, Number of Instruments Held | 14 | 10 |
Short Exposure [Member] | Interest Rate Contract [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 92,800 | $ 150,708 |
Derivative, Number of Instruments Held | 12 | 1 |
Short Exposure [Member] | Credit contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 1,000 | $ 19,168 |
Derivative, Number of Instruments Held | 1 | 8 |
Short Exposure [Member] | Equity contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 2,500 | |
Derivative, Number of Instruments Held | 1 | |
Short Exposure [Member] | Foreign exchange contracts [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative Average Yearly Notional Amount | $ | $ 1,275 | |
Derivative, Number of Instruments Held | 1 |
Derivatives (Details 4)
Derivatives (Details 4) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | $ 1,805 | $ 6,648 |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | 0 | 0 |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 1,805 | 6,648 |
Derivative Asset Collateral Obligation To Financial Instrument Posted Received | (1,051) | (2,119) |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 754 | 4,529 |
Derivative Liability, Fair Value, Gross Liability | 1,994 | 5,785 |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | 0 | 0 |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 1,994 | 5,785 |
Derivative Liability Collateral Obligation To Financial Instrument Posted Received | (1,051) | (2,119) |
Derivative, Collateral, Obligation to Return Cash | (943) | (1,801) |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 1,865 |
Investment Type [Member] | ||
Schedule Of Gross And Net Information About Derivative Instruments [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | 1,805 | 6,648 |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | 0 | 0 |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 1,805 | 6,648 |
Derivative Asset Collateral Obligation To Financial Instrument Posted Received | (1,051) | (2,119) |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 754 | 4,529 |
Derivative Liability, Fair Value, Gross Liability | 1,994 | 5,785 |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | 0 | 0 |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 1,994 | 5,785 |
Derivative Liability Collateral Obligation To Financial Instrument Posted Received | (1,051) | (2,119) |
Derivative, Collateral, Obligation to Return Cash | (943) | (1,801) |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 0 | $ 1,865 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 |
Assets of Consolidated Funds | ||||
Cash and cash equivalents | $ 75,707 | $ 7,664 | $ 22,675 | $ 8,432 |
Investments, at fair value | 789,410 | |||
Investments in affiliated securities, at fair value | 0 | 104 | ||
Other assets | 2,974 | 3,310 | ||
Total Assets | 188,229 | 1,319,539 | ||
Liabilities of Consolidated Funds | ||||
Notes payable of consolidated CDOs, at fair value | 1,253 | 0 | ||
Other liabilities | 3,044 | 3,050 | ||
Total Liabilities | 37,340 | 837,898 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Consolidated Entities [Member] | ||||
Assets of Consolidated Funds | ||||
Cash and cash equivalents | 93,370 | |||
Restricted cash | 30,265 | |||
Investments, at fair value | 1,117,015 | |||
Investments in affiliated securities, at fair value | 34,762 | |||
Derivative assets, at fair value | 6,648 | |||
Other assets | 11,598 | |||
Total Assets | 1,293,658 | |||
Liabilities of Consolidated Funds | ||||
Notes payable of consolidated CDOs, at fair value | 784,481 | |||
Derivative liabilities, at fair value | 5,785 | |||
Securities sold, not yet purchased | 19,308 | |||
Due to broker | 25,647 | |||
Other liabilities | 28,689 | |||
Total Liabilities | 863,910 | |||
CDOs [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||
Liabilities of Consolidated Funds | ||||
Notes payable of consolidated CDOs, at fair value | 784,481 | |||
CDOs [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Consolidated Entities [Member] | ||||
Assets of Consolidated Funds | ||||
Cash and cash equivalents | 34,399 | |||
Restricted cash | 0 | |||
Investments, at fair value | 789,410 | |||
Investments in affiliated securities, at fair value | 0 | |||
Derivative assets, at fair value | 509 | |||
Other assets | 9,832 | |||
Total Assets | 834,150 | |||
Liabilities of Consolidated Funds | ||||
Derivative liabilities, at fair value | 2,374 | |||
Securities sold, not yet purchased | 0 | |||
Due to broker | 21,047 | |||
Other liabilities | 26,248 | |||
Total Liabilities | 834,150 | |||
Funds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||||
Assets of Consolidated Funds | ||||
Cash and cash equivalents | 20,098 | |||
Funds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Consolidated Entities [Member] | ||||
Assets of Consolidated Funds | ||||
Cash and cash equivalents | 58,971 | |||
Restricted cash | 2,265 | 30,265 | ||
Investments, at fair value | 46,230 | 327,605 | ||
Investments in affiliated securities, at fair value | 26,466 | 34,762 | ||
Derivative assets, at fair value | 1,805 | 6,139 | ||
Other assets | 3,264 | 1,766 | ||
Total Assets | 100,128 | 459,508 | ||
Liabilities of Consolidated Funds | ||||
Notes payable of consolidated CDOs, at fair value | 0 | 0 | ||
Derivative liabilities, at fair value | 1,994 | 3,411 | ||
Securities sold, not yet purchased | 12,621 | 19,308 | ||
Due to broker | 15,588 | 4,600 | ||
Other liabilities | 244 | 2,441 | ||
Total Liabilities | $ 30,447 | $ 29,760 |
Variable Interest Entities (D54
Variable Interest Entities (Details Textual) - Variable Interest Entity, Primary Beneficiary [Member] | Dec. 31, 2014USD ($) |
Variable Interest Entity [Line Items] | |
Variable Interest Entity, Nonconsolidated, Carrying Amount, Assets and Liabilities, Net | $ 81,800,000 |
Variable Interest Entity, Reporting Entity Involvement, Maximum Loss Exposure, Amount | $ 104,000 |
Management Fee Income and Inc55
Management Fee Income and Incentive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | $ 4,111 | $ 4,373 | $ 11,826 | $ 14,739 |
Management Fees, Incentive Revenue | 3,870 | 4,953 | 5,991 | 41,743 |
Hedge Funds [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 1,634 | 0 | 4,744 | 0 |
Management Fees, Incentive Revenue | 35 | 2,410 | 659 | 2,661 |
Managed accounts [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 990 | 2,895 | 3,178 | 8,768 |
Management Fees, Incentive Revenue | 0 | 0 | 463 | 827 |
Private Equity [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 727 | 903 | 1,716 | 4,266 |
Management Fees, Incentive Revenue | 3,835 | 2,543 | 4,869 | 38,255 |
ZAIS Financial Corp. [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 760 | 575 | 2,188 | 1,705 |
Gross Amount [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 4,175 | 5,537 | 12,009 | 23,421 |
Management Fees, Incentive Revenue | 3,870 | 6,008 | 5,991 | 52,543 |
Gross Amount [Member] | Hedge Funds [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 1,698 | 898 | 4,927 | 1,802 |
Management Fees, Incentive Revenue | 35 | 2,415 | 659 | 2,754 |
Gross Amount [Member] | Managed accounts [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 990 | 2,895 | 3,178 | 8,768 |
Management Fees, Incentive Revenue | 0 | 0 | 463 | 827 |
Gross Amount [Member] | Private Equity [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 727 | 1,169 | 1,716 | 11,146 |
Management Fees, Incentive Revenue | 3,835 | 3,593 | 4,869 | 48,962 |
Gross Amount [Member] | ZAIS Financial Corp. [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 760 | 575 | 2,188 | 1,705 |
Elimination [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | (64) | (1,164) | (183) | (8,682) |
Management Fees, Incentive Revenue | 0 | (1,055) | 0 | (10,800) |
Elimination [Member] | Hedge Funds [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | (64) | (898) | (183) | (1,802) |
Management Fees, Incentive Revenue | 0 | (5) | 0 | (93) |
Elimination [Member] | Managed accounts [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 0 | 0 | 0 | 0 |
Management Fees, Incentive Revenue | 0 | 0 | 0 | 0 |
Elimination [Member] | Private Equity [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | 0 | (266) | 0 | (6,880) |
Management Fees, Incentive Revenue | 0 | (1,050) | 0 | (10,707) |
Elimination [Member] | ZAIS Financial Corp. [Member] | ||||
Components of Management Fee Income and Incentive Income [Line Items] | ||||
Management Fee Income | $ 0 | $ 0 | $ 0 | $ 0 |
Management Fee Income and Inc56
Management Fee Income and Incentive Income (Details Textual) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Components of Management Fee Income and Incentive Income [Line Items] | |||
Accrued Management Fee Income | $ 2,042,000 | $ 1,871,000 | |
Accrued Incentive Income | $ 35,000 | $ 2,412,000 | |
Percentage of Management Fee | 20.00% | ||
Conditional Management Fees Based On Booked On Gross Basis Percentage | 20.00% | ||
Conditional Management Fees Based On Booked On Net Basis Percentage | 20.00% | ||
Minimum [Member] | Collateralized Debt Obligations [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 0.15% | ||
Percentage of Incentive Income Earned | 10.00% | ||
Maximum [Member] | Collateralized Debt Obligations [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 0.50% | ||
Percentage of Incentive Income Earned | 20.00% | ||
Hedge Funds [Member] | Minimum [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 0.50% | ||
Percentage of Incentive Income Earned | 10.00% | ||
Hedge Funds [Member] | Maximum [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 1.25% | ||
Percentage of Incentive Income Earned | 20.00% | ||
Private Equity [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Percentage of Incentive Income Earned | 20.00% | ||
Private Equity [Member] | Minimum [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 0.25% | ||
Private Equity [Member] | Maximum [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 0.50% | ||
Real Estate Investment Trust [Member] | |||
Components of Management Fee Income and Incentive Income [Line Items] | |||
Conditional Management Fees, Based on Net Asset Value, Percentage | 1.50% |
Debt Obligations (Details)
Debt Obligations (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 |
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Cash and cash equivalents | $ 75,707 | $ 7,664 | $ 22,675 | $ 8,432 |
Investments | 789,410 | |||
Derivative assets (liabilities), net, at fair value | 4,030 | |||
Notes Payable of Consolidated CDOs [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Cash and cash equivalents | 34,399 | |||
Derivative assets (liabilities), net, at fair value | (1,864) | |||
Other assets (liabilities), net | (37,464) | |||
Notes payable of consolidated CDOs, at fair value | 784,481 | |||
Elimination of Consolidated Fund’s investments in CDOs | (34,762) | |||
Notes payable of consolidated CDOs, at fair value (net of eliminations) | 749,719 | |||
Notes Payable of Consolidated CDOs [Member] | Investments, Collateralized debt obligations [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Investments | 138,637 | |||
Notes Payable of Consolidated CDOs [Member] | Investments, Commercial mortgage-backed securities [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Investments | 1,606 | |||
Notes Payable of Consolidated CDOs [Member] | Investments, Residential mortgage-backed securities [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Investments | 13,174 | |||
Notes Payable of Consolidated CDOs [Member] | Investments, Asset-backed securities and other [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Investments | 22,308 | |||
Notes Payable of Consolidated CDOs [Member] | Investments, High yield corporate loans [Member] | ||||
Components of CDO Assets and Liabilities and Eliminations for Consolidated Fund’s Investments in CDOs [Line Items] | ||||
Investments | $ 613,685 |
Debt Obligations (Details 1)
Debt Obligations (Details 1) - Notes Payable of Consolidated CDOs [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2014USD ($) | |
Debt Instrument [Line Items] | |
Borrowings Outstanding | $ 950,914 |
Fair Value | 749,719 |
Subordinated Notes [Member] | |
Debt Instrument [Line Items] | |
Borrowings Outstanding | 58,802 |
Fair Value | $ 375 |
Weighted Average Maturity in Years | 21 years 9 months 4 days |
Senior Secured Notes [Member] | |
Debt Instrument [Line Items] | |
Borrowings Outstanding | $ 892,112 |
Fair Value | $ 749,344 |
Weighted Average Interest Rate | 1.74% |
Weighted Average Maturity in Years | 17 years 9 months 18 days |
Debt Obligations (Details Textu
Debt Obligations (Details Textual) - Notes Payable, Other Payables [Member] - USD ($) | 12 Months Ended | |
Dec. 31, 2014 | Mar. 17, 2015 | |
Debt Instrument [Line Items] | ||
Debt Instrument, Face Amount | $ 1,250,000 | |
Repayments of Debt | $ 749,719,000 |
Compensation (Details)
Compensation (Details) - Class B-O Units [Member] | 9 Months Ended |
Sep. 30, 2015$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
B-0 units, Offered - Upon Closing of Business Combination | shares | 1,369,119 |
B-0 units, Awards not accepted due to resignation | shares | (16,327) |
B-0 units, Granted - Post-Closing of Business Combination | shares | 50,000 |
B-0 units, Forfeited | shares | (65,306) |
B-0 units, Vested | shares | 0 |
B-0 units, Balance at June 30, 2015 | shares | 1,337,486 |
Offered - Upon Closing of Business Combination, Weighted Average Grant Date Fair Value per Unit | $ 9.70 |
Awards not accepted due to resignation, Weighted Average Grant Date Fair Value per Unit | 9.70 |
Net granted - Upon Closing of Business Combination, Weighted Average Grant Date Fair Value per Unit | 9.70 |
Granted - Post-Closing of Business Combination, Weighted Average Grant Date Fair Value per Unit | 8.80 |
Forfeited, Weighted Average Grant Date Fair Value per Unit | 9.70 |
Vested, Weighted Average Grant Date Fair Value per Unit | 0 |
Balance at June 30, 2015, Weighted Average Grant Date Fair Value per Unit | $ 9.67 |
Compensation (Details 1)
Compensation (Details 1) - Restricted Stock Units (RSUs) [Member] | 9 Months Ended |
Sep. 30, 2015$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
RSUs, Granted | shares | 30,000 |
RSUs, Forfeited | shares | 0 |
RSUs, Vested | shares | 0 |
RSUs, Balance at June 30, 2015 | shares | 30,000 |
Granted, Weighted Average Grant Date Fair Value per Unit | $ 9.85 |
Forfeited, Weighted Average Grant Date Fair Value per Unit | 0 |
Vested, Weighted Average Grant Date Fair Value per Unit | 0 |
Balance at June 30, 2015, Weighted Average Grant Date Fair Value per Unit | $ 9.85 |
Compensation (Details Textual)
Compensation (Details Textual) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2013 | Mar. 17, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 3,351,000 | $ 0 | ||||
Share-based Compensation, Total | $ 3,288,000 | |||||
Class B-O Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 6,800,000 | 6,800,000 | 1,600,000 | |||
Share Based Compensation Estimated Forfeiture Percentage | 8.00% | |||||
Stock or Unit Option Plan Expense | $ 8,704,000 | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 1 year 5 months 16 days | |||||
Share-based Compensation, Total | $ 1,336,000 | $ 3,164,000 | ||||
Restricted Stock Units (RSUs) [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | 74,000 | $ 124,000 | ||||
Share Based Compensation Estimated Forfeiture Percentage | 0.00% | |||||
Restricted Stock or Unit Expense | $ 172,000 | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Outstanding, Weighted Average Remaining Contractual Terms | 6 months 29 days | |||||
ZAIS Group, LLC [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 0 | 2,086,000 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights, Percentage | 85.00% | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 30 days | |||||
ZAIS Group, LLC [Member] | Income Unit Plan [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 198,000 | 6,225,000 | ||||
Bonus Agreement [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Bonus Award Percentage | 30.00% | |||||
Allocated Share-based Compensation Expense | 895,000 | 2,721,000 | $ 3,106,000 | 8,336,000 | ||
Accrued Bonuses | 5,001,000 | 5,001,000 | ||||
Points Agreements [Member] | ZAIS Group, LLC [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 0 | $ 166,000 | $ 32,000 | $ 7,950,000 |
Income Taxes (Details)
Income Taxes (Details) | Sep. 30, 2015USD ($) |
Income Tax [Line Items] | |
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | $ 7,891,000 |
Expiration Date One [Member] | |
Income Tax [Line Items] | |
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | 1,000 |
Expiration Date Two [Member] | |
Income Tax [Line Items] | |
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | 83,000 |
Expiration Date Three [Member] | |
Income Tax [Line Items] | |
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | 122,000 |
Expiration Date Four [Member] | |
Income Tax [Line Items] | |
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | $ 7,685,000 |
Income Taxes (Details 1)
Income Taxes (Details 1) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Effective Tax Rate | ||
Pre-Tax Income | (35.00%) | (35.00%) |
State and Local Income Tax, Net of Fed Benefit | (2.12%) | (3.19%) |
Change in Valuation Allowance on Pre-Business Combination Deferred Tax Assets | (12.45%) | (4.94%) |
Total | (27.26%) | (27.21%) |
Consolidated Entities [Member] | ||
Effective Tax Rate | ||
Effective Income Tax Rate Reconciliation, Noncontrolling Interest Income (Loss), Percent | 5.06% | (0.80%) |
ZGP Founders [Member] | ||
Effective Tax Rate | ||
Effective Income Tax Rate Reconciliation, Noncontrolling Interest Income (Loss), Percent | 4.56% | 16.63% |
Noncontrolling Interest [Member] | ||
Effective Tax Rate | ||
Effective Income Tax Rate Reconciliation, Noncontrolling Interest Income (Loss), Percent | 12.69% | 0.09% |
Income Taxes (Details Textual)
Income Taxes (Details Textual) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Income Tax [Line Items] | |||||
Foreign Income Tax Expense (Benefit), Continuing Operations, Total | $ 189,000 | $ 5,000 | $ 209,000 | $ 19,000 | |
Deferred Tax Assets, Net, Total | $ 4,320,000 | $ 4,320,000 | $ 0 | ||
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | (35.00%) | (35.00%) | |||
Deferred Tax Assets, Operating Loss Carryforwards, Subject to Expiration | $ 7,891,000 | $ 7,891,000 | |||
Deferred Tax Assets, Valuation Allowance | 784,000 | 784,000 | |||
State and Local Income Tax Expense (Benefit), Continuing Operations, Total | $ (933,000) | $ (3,536,000) |
Related Party Transactions (Det
Related Party Transactions (Details Textual) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||||
Due from Related Parties | $ 809,000 | $ 809,000 | $ 648,000 | ||
Employee Loans [Member] | |||||
Related Party Transaction [Line Items] | |||||
Due from Related Parties | 66,000 | 66,000 | 100,000 | ||
Partnership Interest [Member] | |||||
Related Party Transaction [Line Items] | |||||
Dividends, Paid-in-kind | $ 5,310,000 | ||||
ZAIS Managed Entities [Member] | |||||
Related Party Transaction [Line Items] | |||||
Capital | 29,082,000 | $ 30,141,000 | 29,082,000 | 30,141,000 | |
Due from Related Parties | 642,000 | 642,000 | $ 400,000 | ||
ZAIS Managed Entities [Member] | Mr. Ramsey [Member] | |||||
Related Party Transaction [Line Items] | |||||
Consulting Fees | 500,000 | ||||
ZAIS Managed Entities [Member] | Ms. Rohan [Member] | |||||
Related Party Transaction [Line Items] | |||||
Consulting Fees | 29,000 | 32,000 | 87,000 | 95,000 | |
Opportunity Master Fund, Ltd. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Fair Value Hedge Assets | 0 | 0 | |||
Fair Value Hedge Liabilities | 4,000 | 4,000 | |||
Gain (Loss) on Fair Value Hedges Recognized in Earnings | 459,000 | ||||
ZAIS CLO I and ZAIS CLO II [Member] | |||||
Related Party Transaction [Line Items] | |||||
Assets under Management, Carrying Amount | $ 560,206,000 | $ 555,865,000 | $ 560,206,000 | $ 555,865,000 |
Fixed Assets (Details)
Fixed Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Property, Plant and Equipment [Line Items] | ||
Office equipment | $ 3,187 | $ 3,073 |
Leasehold improvements | 947 | 938 |
Furniture and fixtures | 587 | 569 |
Software | 427 | 402 |
Property, Plant and Equipment, Gross | 5,148 | 4,982 |
Less accumulated depreciation and amortization | (4,536) | (3,891) |
Total | $ 612 | $ 1,091 |
Fixed Assets (Details Textual)
Fixed Assets (Details Textual) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Property, Plant and Equipment [Line Items] | ||||
Depreciation, Depletion and Amortization | $ 445 | $ 122 | $ 654 | $ 358 |
Commitments and Contingencies69
Commitments and Contingencies (Details) $ in Thousands | Sep. 30, 2015USD ($) |
Future Minimum Rental Payments For Operating Leases [Line Items] | |
Three Months Ending December 31, 2015 | $ 235 |
Year Ending December 31, 2016 | 938 |
Year Ending December 31, 2017 | 728 |
Operating Leases, Future Minimum Payments Due | $ 1,901 |
Commitments and Contingencies70
Commitments and Contingencies (Details Textual) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Future Minimum Rental Payments For Operating Leases [Line Items] | ||||
Operating Leases, Rent Expense | $ 397,000 | $ 501,000 | $ 1,215,000 | $ 1,275,000 |
Other Commitment, Total | $ 51,000,000 | $ 51,000,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||||||
Numerator: | |||||||||
Consolidated Net Income (Loss), net of tax, attributable to ZAIS Group Holdings, Inc. Class A common stockholders (Basic) | $ (568) | $ (3,539) | [1] | $ (4,337) | $ 23,259 | [1] | |||
Effect of dilutive securities: | |||||||||
Consolidated Net Income (Loss), net of tax, attributable to non-controlling interests in ZGP | (1,009) | 0 | (7,754) | 0 | |||||
Less: Consolidated Net Income (Loss), net of tax, attributable to ZAIS REIT Management, LLC Class B Members | [2] | (144) | 0 | (426) | 0 | ||||
Income tax (benefit) expense | [3] | 471 | 0 | 3,342 | 0 | ||||
Consolidated Net Income (Loss), net of tax, attributable to stockholders, after effect of dilutive securities | $ (1,250) | $ (3,539) | $ (9,175) | $ 23,259 | |||||
Denominator: | |||||||||
Weighted average number of shares of Class A Common Stock | 13,870,917 | 7,000,000 | [4],[5] | 10,009,416 | [6] | 7,000,000 | [4] | ||
Effect of dilutive securities: | |||||||||
Weighted average number of Class A Units of ZGP | 7,000,000 | 0 | 7,000,000 | 0 | |||||
Dilutive number of B-0 Units and RSUs | [7] | 0 | 0 | 0 | 0 | ||||
Diluted weighted average shares outstanding | [9] | 20,870,917 | [8] | 7,000,000 | 17,009,416 | [6],[8] | 7,000,000 | ||
Consolidated Net Income (Loss), net of tax, per Class A common share - Basic | $ (0.04) | $ (0.51) | $ (0.43) | $ 3.32 | |||||
Consolidated Net Income (Loss), net of tax, per Class A common share - Diluted | $ (0.06) | $ (0.51) | $ (0.54) | $ 3.32 | |||||
[1] | Consolidated Net Income (Loss), net of tax for all periods prior to the Business Combination is attributable to ZGP Founder Members | ||||||||
[2] | Amount represents portion of the management fee income received from ZAIS Financial Corp. that is payable to holders of Class B interests in ZAIS Group’s consolidated subsidiary ZAIS REIT Management, LLC. | ||||||||
[3] | Income tax (benefit) / expense is calculated using an assumed tax rate of 40.85%. | ||||||||
[4] | Refer to Note 2 for the details around the number of units used to calculate earnings per share for periods prior to the Business Combination | ||||||||
[5] | Represents 100% ownership of ZAIS Group prior to the Business Combination. | ||||||||
[6] | Pro-rated based on the portion of the nine-month period preceding and following the Business Combination | ||||||||
[7] | The treasury stock method is used to calculate incremental Class A common shares on potentially dilutive Class A common shares resulting from unvested Class B-0 Units granted in connection with and subsequent to the Business Combination and unvested RSUs granted to non-employee directors. These units are anti-dilutive and, consequently, have been excluded from the computation of diluted weighted average shares outstanding. | ||||||||
[8] | Number of diluted shares outstanding for periods after the Business Combination takes into account non-controlling interests in ZAIS Group Parent, LLC that may be exchanged for Class A common stock under certain circumstances. Refer to Note 2 for the details regarding the number of units used to calculate earnings per share for periods prior to the Business Combination. | ||||||||
[9] | Number of diluted shares outstanding takes into account non-controlling interests of ZAIS Group Parent, LLC that may be exchanged for Class A Common Stock under certain circumstances. |
Earnings Per Share (Details Tex
Earnings Per Share (Details Textual) | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Line Items] | |
Income Tax Expense Benefit Percentage | 40.85% |
Supplemental Financial Inform73
Supplemental Financial Information (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 |
Assets | ||||
Cash and cash equivalents | $ 75,707 | $ 7,664 | $ 22,675 | $ 8,432 |
Income and fees receivable | 2,077 | 4,283 | ||
Investments in affiliated securities, at fair value | 0 | 104 | ||
Due from related parties | 809 | 648 | ||
Fixed assets, net | 612 | 1,091 | ||
Prepaid expenses | 1,602 | 1,543 | ||
Deferred tax assets | 4,320 | |||
Other assets | 2,974 | 3,310 | ||
Total Assets | 188,229 | 1,319,539 | ||
Liabilities | ||||
Notes payable | 1,253 | 0 | ||
Compensation payable | 2,461 | 6,094 | ||
Due to related parties | 174 | 32 | ||
Other liabilities | 3,044 | 3,050 | ||
Liabilities of Consolidated Funds | ||||
Total Liabilities | $ 37,340 | 837,898 | ||
Commitments and Contingencies (Note 14) | ||||
Redeemable Non-controlling Interests | $ 59,551 | 452,925 | ||
Equity | ||||
Additional paid-in-capital | 59,771 | 0 | ||
Retained earnings (Accumulated deficit) | (4,337) | 18,189 | ||
Accumulated other comprehensive income (loss) | 215 | 186 | ||
Total stockholders’ equity, ZAIS Group Holdings, Inc. | 55,650 | 18,376 | ||
Total Equity | 91,338 | 28,716 | ||
Total Liabilities, Redeemable Non-controlling Interests and Equity | 188,229 | 1,319,539 | ||
Intersegment Eliminations [Member] | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Income and fees receivable | 0 | (6,940) | ||
Investments in affiliated securities, at fair value | (253) | (1,648) | ||
Due from related parties | (39) | (320) | ||
Fixed assets, net | 0 | 0 | ||
Prepaid expenses | 0 | 0 | ||
Other assets | 0 | 0 | ||
Liabilities | ||||
Notes payable | 0 | |||
Compensation payable | 0 | 0 | ||
Due to related parties | 0 | 0 | ||
Other liabilities | 0 | 0 | ||
Consolidation, Eliminations [Member] | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Restricted cash | 0 | 0 | ||
Investments, at fair value | 0 | 0 | ||
Investments in affiliated securities, at fair value | 0 | (34,762) | ||
Derivative assets, at fair value | 0 | 0 | ||
Deferred tax assets | 0 | |||
Other assets | 0 | (22) | ||
Total Assets | (43,692) | |||
Liabilities | ||||
Notes payable | 0 | (34,762) | ||
Securities sold, not yet purchased | 0 | 0 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Due to broker | 0 | 0 | ||
Other liabilities | $ (39) | (7,281) | ||
Liabilities of Consolidated Funds | ||||
Total Liabilities | (42,043) | |||
Commitments and Contingencies (Note 14) | ||||
Equity | ||||
Equity attributable to non-controlling interests | $ (12) | |||
Additional paid-in-capital | 0 | |||
Retained earnings (Accumulated deficit) | 0 | |||
Accumulated other comprehensive income (loss) | 0 | |||
Total stockholders’ equity, ZAIS Group Holdings, Inc. | 0 | |||
Non-controlling interests in ZAIS Group Parent, LLC | (12) | |||
Eliminations [Member] | ||||
Assets | ||||
Total Assets | (292) | |||
Liabilities of Consolidated Funds | ||||
Total Liabilities | (39) | |||
Redeemable Non-controlling Interests | (241) | 0 | ||
Equity | ||||
Equity attributable to non-controlling interests | 0 | |||
Additional paid-in-capital | 0 | |||
Retained earnings (Accumulated deficit) | (1,649) | |||
Accumulated other comprehensive income (loss) | 0 | |||
Total stockholders’ equity, ZAIS Group Holdings, Inc. | (1,649) | |||
Non-controlling interests in ZAIS Group Parent, LLC | 0 | |||
Total Equity | (12) | (1,649) | ||
Total Liabilities, Redeemable Non-controlling Interests and Equity | (292) | (43,692) | ||
Consolidated Entities [Member] | ||||
Assets | ||||
Cash and cash equivalents | 20,098 | 94,212 | ||
Restricted cash | 2,265 | 30,265 | ||
Investments, at fair value | 46,230 | 1,126,737 | ||
Investments in affiliated securities, at fair value | 26,466 | 31,457 | ||
Derivative assets, at fair value | 1,805 | 6,648 | ||
Other assets | 3,264 | 11,577 | ||
Liabilities | ||||
Notes payable | 0 | 749,719 | ||
Securities sold, not yet purchased | 12,621 | 19,308 | ||
Derivative liabilities, at fair value | 1,994 | 5,785 | ||
Due to broker | 15,588 | 21,047 | ||
Other liabilities | 205 | 32,863 | ||
Equity | ||||
Equity attributable to non-controlling interests | 9,877 | 10,340 | ||
Non-controlling interests in ZAIS Group Parent, LLC | 9,877 | 10,340 | ||
ZAIS [Member] | ||||
Assets | ||||
Cash and cash equivalents | 75,707 | 7,664 | ||
Income and fees receivable | 2,077 | 11,223 | ||
Investments in affiliated securities, at fair value | 253 | 1,752 | ||
Due from related parties | 848 | 968 | ||
Fixed assets, net | 612 | 1,091 | ||
Prepaid expenses | 1,602 | 1,543 | ||
Deferred tax assets | 4,320 | |||
Other assets | 2,974 | 3,310 | ||
Total Assets | 88,393 | 27,551 | ||
Liabilities | ||||
Notes payable | 1,253 | |||
Compensation payable | 2,461 | 6,094 | ||
Due to related parties | 174 | 32 | ||
Due to broker | 0 | |||
Other liabilities | 3,044 | 3,050 | ||
Liabilities of Consolidated Funds | ||||
Total Liabilities | $ 6,932 | 9,176 | ||
Commitments and Contingencies (Note 14) | ||||
Redeemable Non-controlling Interests | $ 0 | 0 | ||
Equity | ||||
Equity attributable to non-controlling interests | 25,811 | 0 | ||
Additional paid-in-capital | 59,771 | 0 | ||
Retained earnings (Accumulated deficit) | (4,337) | 18,188 | ||
Accumulated other comprehensive income (loss) | 215 | 186 | ||
Total stockholders’ equity, ZAIS Group Holdings, Inc. | 55,650 | 18,375 | ||
Non-controlling interests in ZAIS Group Parent, LLC | 25,811 | 0 | ||
Total Equity | 81,461 | 18,375 | ||
Total Liabilities, Redeemable Non-controlling Interests and Equity | 88,393 | 27,551 | ||
Consolidated Funds, Before Eliminations [Member] | ||||
Assets | ||||
Cash and cash equivalents | 20,098 | 94,212 | ||
Restricted cash | 2,265 | 30,265 | ||
Investments, at fair value | 46,230 | 1,126,737 | ||
Investments in affiliated securities, at fair value | 26,466 | 66,219 | ||
Derivative assets, at fair value | 1,805 | 6,648 | ||
Other assets | 3,264 | 11,599 | ||
Total Assets | 100,128 | 1,335,680 | ||
Liabilities | ||||
Notes payable | 0 | 784,481 | ||
Securities sold, not yet purchased | 12,621 | 19,308 | ||
Derivative liabilities, at fair value | 1,994 | 5,785 | ||
Due to broker | 15,588 | 21,047 | ||
Other liabilities | 244 | 40,144 | ||
Liabilities of Consolidated Funds | ||||
Total Liabilities | $ 30,447 | 870,765 | ||
Commitments and Contingencies (Note 14) | ||||
Redeemable Non-controlling Interests | $ 59,792 | 452,925 | ||
Equity | ||||
Equity attributable to non-controlling interests | 9,889 | 10,340 | ||
Additional paid-in-capital | 0 | 0 | ||
Retained earnings (Accumulated deficit) | 0 | 1,650 | ||
Accumulated other comprehensive income (loss) | 0 | 0 | ||
Total stockholders’ equity, ZAIS Group Holdings, Inc. | 0 | 1,650 | ||
Non-controlling interests in ZAIS Group Parent, LLC | 9,889 | 10,340 | ||
Total Equity | 9,889 | 11,990 | ||
Total Liabilities, Redeemable Non-controlling Interests and Equity | 100,128 | 1,335,680 | ||
ZAIS Group Parent, LLC [Member] | ||||
Equity | ||||
Equity attributable to non-controlling interests | 25,811 | 0 | ||
Non-controlling interests in ZAIS Group Parent, LLC | 25,811 | 0 | ||
ZAIS Group Parent, LLC [Member] | Consolidated [Member] | ||||
Equity | ||||
Equity attributable to non-controlling interests | 25,811 | 0 | ||
Non-controlling interests in ZAIS Group Parent, LLC | 25,811 | 0 | ||
Common Class A [Member] | ||||
Equity | ||||
Common stock | 1 | 1 | ||
Common Class A [Member] | Consolidation, Eliminations [Member] | ||||
Equity | ||||
Common stock | 0 | |||
Common Class A [Member] | Eliminations [Member] | ||||
Equity | ||||
Common stock | 0 | |||
Common Class A [Member] | ZAIS [Member] | ||||
Equity | ||||
Common stock | 1 | 1 | ||
Common Class A [Member] | Consolidated Funds, Before Eliminations [Member] | ||||
Equity | ||||
Common stock | 0 | 0 | ||
Common Class B [Member] | ||||
Equity | ||||
Common stock | 0 | 0 | ||
Common Class B [Member] | Consolidation, Eliminations [Member] | ||||
Equity | ||||
Common stock | 0 | |||
Common Class B [Member] | Eliminations [Member] | ||||
Equity | ||||
Common stock | 0 | |||
Common Class B [Member] | ZAIS [Member] | ||||
Equity | ||||
Common stock | 0 | 0 | ||
Common Class B [Member] | Consolidated Funds, Before Eliminations [Member] | ||||
Equity | ||||
Common stock | $ 0 | $ 0 |
Supplemental Financial Inform74
Supplemental Financial Information (Details 1) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Revenues | ||||
Management fee income | $ 4,111 | $ 4,373 | $ 11,826 | $ 14,739 |
Incentive income | 3,870 | 4,953 | 5,991 | 41,743 |
Other revenues | 81 | 85 | 218 | 454 |
Total Revenues | 9,167 | 39,788 | 22,349 | 145,046 |
Expenses | ||||
Compensation and benefits | 6,488 | 9,490 | 20,418 | 37,600 |
General, administrative and other | 4,370 | 5,472 | 13,470 | 13,086 |
Depreciation and amortization | 445 | 122 | 654 | 358 |
Total Expenses | 10,561 | 27,022 | 35,314 | 150,908 |
Other Income (loss) | ||||
Net gain (loss) on investments | 0 | (20) | 0 | (41) |
Other income (expense) | 83 | 104 | 88 | 164 |
Total Other Income (Loss) | (4,904) | 4,468 | (2,915) | 72,300 |
Income (loss) before income taxes | (6,298) | 17,234 | (15,880) | 66,438 |
Income tax (benefit) expense | (1,528) | 5 | (4,111) | 19 |
Discontinued Operations | ||||
Consolidated net income (loss), net of tax | (4,770) | 17,229 | (11,769) | 66,419 |
Other Comprehensive Income (Loss), net of tax | ||||
Foreign currency translation adjustment | (160) | 831 | 323 | 630 |
Total Comprehensive Income (Loss) | (4,930) | 18,060 | (11,446) | 67,049 |
Eliminations [Member] | ||||
Revenues | ||||
Total Revenues | (64) | 3,083 | (183) | (8,775) |
Expenses | ||||
Total Expenses | (65) | (5,511) | (184) | (34,602) |
Other Income (loss) | ||||
Total Other Income (Loss) | 11 | (146,796) | (34) | (21,792) |
Income (loss) before income taxes | 12 | (138,202) | (33) | 4,035 |
Income tax (benefit) expense | 0 | 0 | 0 | 0 |
Discontinued Operations | ||||
Consolidated net income (loss), net of tax | 12 | (138,202) | (33) | 4,035 |
Other Comprehensive Income (Loss), net of tax | ||||
Foreign currency translation adjustment | 0 | 0 | 0 | 0 |
Total Comprehensive Income (Loss) | 12 | (138,202) | (33) | 4,035 |
Intersegment Eliminations [Member] | ||||
Revenues | ||||
Management fee income | (64) | (1,164) | (183) | (8,682) |
Incentive income | 0 | (1,055) | 0 | (10,800) |
Other revenues | 0 | (10) | 0 | (48) |
Expenses | ||||
Compensation and benefits | 0 | 0 | 0 | 0 |
General, administrative and other | 0 | 0 | 0 | 0 |
Depreciation and amortization | 0 | 0 | 0 | 0 |
Other Income (loss) | ||||
Net gain (loss) on investments | 11 | 174 | (34) | (1,465) |
Other income (expense) | 0 | 0 | 0 | 0 |
Consolidation, Eliminations [Member] | ||||
Revenues | ||||
Income of Consolidated Funds | 0 | 5,312 | 0 | 10,755 |
Expenses | ||||
Expenses of Consolidated Funds | (65) | (5,511) | (184) | (34,602) |
Other Income (loss) | ||||
Net gain (loss) on investments | 0 | (146,970) | 0 | (20,327) |
ZAIS [Member] | ||||
Revenues | ||||
Management fee income | 4,175 | 5,537 | 12,009 | 23,421 |
Incentive income | 3,870 | 6,008 | 5,991 | 52,543 |
Other revenues | 81 | 95 | 218 | 502 |
Income of Consolidated Funds | 0 | 0 | 0 | 0 |
Total Revenues | 8,126 | 11,640 | 18,218 | 76,466 |
Expenses | ||||
Compensation and benefits | 6,488 | 9,490 | 20,418 | 37,600 |
General, administrative and other | 4,370 | 5,472 | 13,470 | 13,086 |
Depreciation and amortization | 445 | 122 | 654 | 358 |
Expenses of Consolidated Funds | 0 | 0 | 0 | 0 |
Total Expenses | 11,303 | 15,084 | 34,542 | 51,044 |
Other Income (loss) | ||||
Net gain (loss) on investments | (11) | (194) | 34 | 1,424 |
Other income (expense) | 83 | 104 | 88 | 164 |
Total Other Income (Loss) | 72 | (90) | 122 | 1,588 |
Income (loss) before income taxes | (3,105) | (3,534) | (16,202) | 27,010 |
Income tax (benefit) expense | (1,528) | 5 | (4,111) | 19 |
Discontinued Operations | ||||
Consolidated net income (loss), net of tax | (1,577) | (3,539) | (12,091) | 26,991 |
Other Comprehensive Income (Loss), net of tax | ||||
Foreign currency translation adjustment | (160) | 831 | 323 | 630 |
Total Comprehensive Income (Loss) | (1,737) | (2,708) | (11,768) | 27,621 |
Consolidated Funds, Before Eliminations [Member] | ||||
Revenues | ||||
Management fee income | 0 | |||
Incentive income | 0 | |||
Other revenues | 0 | |||
Income of Consolidated Funds | 1,105 | 25,065 | 4,314 | 77,355 |
Total Revenues | 1,105 | 25,065 | 4,314 | 77,355 |
Expenses | ||||
Expenses of Consolidated Funds | (677) | 17,449 | 956 | 134,466 |
Total Expenses | (677) | 17,449 | 956 | 134,466 |
Other Income (loss) | ||||
Net gain (loss) on investments | (4,987) | 151,354 | (3,003) | 92,504 |
Other income (expense) | 0 | |||
Total Other Income (Loss) | (4,987) | 151,354 | (3,003) | 92,504 |
Income (loss) before income taxes | (3,205) | 158,970 | 355 | 35,393 |
Income tax (benefit) expense | 0 | 0 | 0 | 0 |
Discontinued Operations | ||||
Consolidated net income (loss), net of tax | (3,205) | 158,970 | 355 | 35,393 |
Other Comprehensive Income (Loss), net of tax | ||||
Foreign currency translation adjustment | 0 | 0 | 0 | 0 |
Total Comprehensive Income (Loss) | (3,205) | 158,970 | 355 | 35,393 |
Consolidated Entities [Member] | ||||
Revenues | ||||
Income of Consolidated Funds | 1,105 | 30,377 | 4,314 | 88,110 |
Expenses | ||||
Expenses of Consolidated Funds | (742) | 11,938 | 772 | 99,864 |
Other Income (loss) | ||||
Net gain (loss) on investments | $ (4,987) | $ 4,384 | $ (3,003) | $ 72,177 |
Subsequent Events (Details Text
Subsequent Events (Details Textual) | Nov. 02, 2015 |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Maximum Percentage of Noncash Compensation to Employees | 65.00% |