Fair Value (Tables)

3 Months Ended

Mar. 31, 2013

Fair Value [Abstract]

Schedule of Financial Instruments Accounted for at Fair Value on a Recurring Basis

The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of March 31, 2013, by level within the fair value hierarchy:

	Assets and Liabilities at Fair Value
	Level 1		Level 2		Level 3		Total
Assets
Mortgage loans	$	-	$	-	$	10,839,809	$	10,839,809
Real estate securities
Agency RMBS
30-year adjustable rate mortgage		-		3,078,408		-		3,078,408
30-year fixed rate mortgage		-		179,210,281		-		179,210,281
Non-Agency RMBS		-		-		273,639,784		273,639,784
Derivative assets		-		436,876		-		436,876
Total	$	-	$	182,725,565	$	284,479,593	$	467,205,158
Liabilities
Derivative liabilities	$	-	$	1,086,340	$	-	$	1,086,340
Total	$	-	$	1,086,340	$	-	$	1,086,340

The following table sets forth the Company's financial instruments that were accounted for at fair value on a recurring basis as of December 31, 2012, by level within the fair value hierarchy:

	Assets and Liabilities at Fair Value
	Level 1		Level 2		Level 3		Total
Assets
Real estate securities
Agency RMBS
30-year adjustable rate mortgage	$	-	$	3,240,330	$	-	$	3,240,330
30-year fixed rate mortgage		-		66,519,702		-		66,519,702
Non-Agency RMBS		-		-		100,911,651		100,911,651
Total	$	-	$	69,760,032	$	100,911,651	$	170,671,683
Liabilities
Derivative liabilities	$	-	$	1,144,744	$	-	$	1,144,744
Total	$	-	$	1,144,744	$	-	$	1,144,744

Schedule of Financial Instruments Utilizing Level 3 Inputs

The following table presents additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:

	March 31, 2013						December 31, 2012
	RMBS			Mortgage loans			RMBS			Mortgage loans
Beginning balance	$	100,911,651		$	-		$	76,473,092		$	-
Total net transfers into/out of Level 3		-			-			-			-
Acquisitions		175,559,950			10,839,809			68,617,460			-
Proceeds from sales		-			-			(43,379,205	)		-
Net accretion of discounts		960,203			28,906			1,337,369			-
Proceeds from principal repayments		(5,938,134	)		-			(16,938,626	)		-
Total losses (realized / unrealized)
included in earnings		(271,607	)		(28,906	)		(2,579,401	)		-
Total gains (realized / unrealized)
included in earnings		2,417,721			-			17,380,962			-
Ending balance	$	273,639,784		$	10,839,809		$	100,911,651		$	-
The amount of total gains or (losses) for the period included
in earnings attributable to the change in unrealized gains or
losses relating to assets or liabilities still held at the reporting date	$	2,146,115		$	(28,906	)	$	10,764,268		$	-

Schedule of Quantitative Information about Level 3 Fair Value Measurements

The following table presents quantitative information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: 

Quantitative Information about Level 3 Fair Value Measurements
	Fair Value as of		Valuation				Weighted
	March 31, 2013		Technique(s)	Unobservable Input	Min / Max		Average
Non-Agency RMBS (1)
Alternative - A	$	97,364,228	Broker quotes/comparable trades	Constant voluntary prepayment	1.5%	12.0%	7.0	%
				Constant default rate	1.4%	10.6%	6.7	%
				Loss severity	2.5%	70.8%	45.5	%
				Delinquency	4.0%	30.1%	16.8	%
Pay option adjustable rate		31,608,908	Broker quotes/comparable trades	Constant voluntary prepayment	1.0%	20.3%	7.8	%
				Constant default rate	3.3%	14.0%	6.3	%
				Loss severity	3.4%	72.7%	55.5	%
				Delinquency	4.1%	32.5%	14.6	%
Prime		110,237,355	Broker quotes/comparable trades	Constant voluntary prepayment	1.2%	20.0%	9.7	%
				Constant default rate	2.4%	10.3%	6.4	%
				Loss severity	5.5%	63.0%	43.7	%
				Delinquency	2.8%	27.8%	15.0	%
Subprime		34,429,293	Broker quotes/comparable trades	Constant voluntary prepayment	0.9%	10.2%	3.6	%
				Constant default rate	3.4%	14.7%	6.3	%
				Loss severity	10.9%	81.0%	56.8	%
				Delinquency	4.4%	29.1%	13.9	%
Total	$	273,639,784

____________________
 

(1) The Company uses third-party vendor prices and dealer quotes to estimate fair value of some of its financial assets. The Company verifies selected prices by using a variety of methods, including comparing prices to internally estimated prices and corroborating the prices by reference to other independent market data, such as relevant benchmark indices and prices of similar instruments. Where the Company has disclosed unobservable inputs for broker quotes or comparable trades, those inputs are based on the Company's validations performed at the security level.

Schedule of Fair Value Option

The following table presents the difference between the fair value and the aggregate unpaid principal amount of assets for which the fair value option was elected:

	March 31, 2013							December 31, 2012
			Amount							Amount
			Due Upon							Due Upon
	Fair Value		Maturity		Difference			Fair Value		Maturity		Difference
Financial instruments, at fair value
Assets
Real estate securities
Agency RMBS
30-year adjustable rate mortgage	$	3,078,408	$	2,939,138	$	139,270		$	3,240,330	$	3,083,892	$	156,438
30-year fixed rate mortgage		179,210,281		170,322,090		8,888,191			66,519,702		61,034,333		5,485,369
Non-Agency RMBS		273,639,784		319,366,757		(45,726,973	)		100,911,651		109,197,632		(8,285,981	)
Total RMBS		455,928,473		492,627,985		(36,699,512	)		170,671,683		173,315,857		(2,644,174	)
Mortgage loans		10,839,809		17,693,990		(6,854,181	)		-		-		-
Total financial instruments, at fair value	$	466,768,282	$	510,321,975	$	(43,553,693	)	$	170,671,683	$	173,315,857	$	(2,644,174	)

Schedule of Fair Value of Other Financial Instruments

The following table summarizes the estimated fair value for all other financial instruments:

	March 31, 2013		December 31, 2012
Other financial instruments
Assets
Cash	$	12,808,368	$	19,061,110
Restricted Cash		9,860,556		3,768,151
Liabilities
Repurchase agreements	$	280,321,921	$	109,270,298
Common stock repurchase liability		-		11,190,687