Real Estate Securities and Other Investment Securities (Tables)

3 Months Ended

Mar. 31, 2014

Real Estate Securities and Other Investment Securities [Abstract]

Schedule of Information Regarding Real Estate Securities

The following table sets forth certain information regarding the Company's RMBS and Other Investment Securities at March 31, 2014:

	Principal or							Gross Unrealized(1)							Weighted Average
	Notional		Premium			Amortized
	Balance		(Discount)			Cost		Gains		Losses			Fair Value		Coupon		Yield(2)
Real estate securities
Non-Agency RMBS
Alternative - A(3)	$	164,764,296	$	(78,482,420	)	$	86,281,876	$	2,963,208	$	(327,637	)	$	88,917,447	4.09	%	7.11	%
Pay option adjustable
rate		33,700,568		(6,646,540	)		27,054,028		605,224		(228,195	)		27,431,057	0.74		6.83
Prime		105,995,923		(13,051,352	)		92,944,571		4,113,891		(235,413	)		96,823,049	4.71		6.59
Subprime		19,867,136		(1,701,070	)		18,166,066		689,080		(181,800	)		18,673,346	1.06		5.97
Total RMBS	$	324,327,923	$	(99,881,382	)	$	224,446,541	$	8,371,403	$	(973,045	)	$	231,844,899	3.71	%	6.77	%
Other investment securities	$	10,000,000	$	716,744		$	10,716,744	$	370,764	$	-		$	11,087,508	5.40	%	6.66	%

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(1)	The Company has elected the fair value option pursuant to ASC 825 for its real estate securities and Other Investment Securities. The Company recorded a gain of $2.7 million and $0.9 million for the three months ended March 31, 2014 and March 31, 2013, respectively, as change in unrealized gain or loss on real estate securities in the consolidated statements of operations. The Company also recorded a gain of $0.4 million for the three months ended March 31, 2014 as change in unrealized gain or loss on other investment securities in the consolidated statements of operations.
(2)	Unleveraged yield.
(3)	Alternative-A RMBS includes an IO with a notional balance of $61.4 million.

The following table sets forth certain information regarding the Company's RMBS at December 31, 2013:

	Principal or							Gross Unrealized(1)							Weighted Average
	Notional		Premium			Amortized
	Balance		(Discount)			Cost		Gains		Losses			Fair Value		Coupon		Yield(2)
Real estate securities
Non-Agency RMBS
Alternative - A(3)	$	160,590,487	$	(80,206,745	)	$	80,383,742	$	2,414,864	$	(1,112,077	)	$	81,686,529	4.26	%	6.77	%
Pay option adjustable
rate		34,374,028		(7,057,026	)		27,317,002		464,756		(345,915	)		27,435,843	0.76		6.80
Prime		109,136,108		(13,590,489	)		95,545,619		3,751,248		(767,825	)		98,529,042	4.77		6.45
Subprime		20,140,974		(1,894,417	)		18,246,557		536,407		(279,157	)		18,503,807	1.07		5.97
Total RMBS	$	324,241,597	$	(102,748,677	)	$	221,492,920	$	7,167,275	$	(2,504,974	)	$	226,155,221	3.80	%	6.57	%

____________________
 

(1)	The Company has elected the fair value option pursuant to ASC 825 for its real estate securities.
(2)	Unleveraged yield.
(3)	Alternative-A RMBS includes an IO with a notional balance of $64.3 million.

Schedule of Information Regarding Gains and Losses on Securities

The following table presents certain information regarding the Company's non-Agency RMBS as of March 31, 2014 by weighted average life:

	Non-Agency RMBS
					Weighted
	Fair Value		Amortized Cost		Average Yield
Weighted average life(1)
Greater than 5 years	$	231,844,899	$	224,446,541	6.77	%
	$	231,844,899	$	224,446,541	6.77	%

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(1) Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses.

     At March 31, 2014, the contractual maturities of the real estate securities ranged from 7.3 to 32.9 years, with a weighted average maturity of 23.9 years. All real estate securities held by the Company at March 31, 2014 were issued by issuers based in the United States.

The following table presents certain information regarding the Company's Other Investment Securities as of March 31, 2014 by weighted average life:

	Other Investment Securities
					Weighted
	Fair Value		Amortized Cost		Average Yield
Weighted average life(1)
Greater than 5 years	$	11,087,508	$	10,716,744	6.66	%
	$	11,087,508	$	10,716,744	6.66	%

____________________
 

(1) Actual maturities of other investment securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses.

At March 31, 2014, the contractual maturity of the Other Investment Securities was 9.6 years. All Other Investment Securities held by the Company at March 31, 2014 were issued by issuers based in the United States.

The following table presents certain information regarding the Company's non-Agency RMBS as of December 31, 2013 by weighted average life:

	Non-Agency RMBS
					Weighted
	Fair Value		Amortized Cost		Average Yield
Weighted average life(1)
Greater than 5 years	$	226,155,221	$	221,492,920	6.57	%
	$	226,155,221	$	221,492,920	6.57	%

____________________
 

(1) Actual maturities of real estate securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and credit losses.

Schedule of Information Regarding Real Estate Securities by Weighted Average Life

The following table presents certain additional information regarding the Company's RMBS:

	Three Months Ended
	March 31, 2014		March 31, 2013
Proceeds from the sale of real estate securities	$	2,072,198	$	6,801,398
Realized gain on the sale of real estate securities		73,619		-
Realized loss on OTTI		-		-