FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Valuation of Assets and Liabilities at Fair Value

The following tables summarize the valuation of the Company’s assets and liabilities carried at fair value within the fair value hierarchy levels as of September 30, 2018 and December 31, 2017:

	September 30, 2018
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2		Unobservable inputs Level 3		Balance as of September 30, 2018
Assets:
Multi-family mortgage loans held in securitization trusts	—		24,787,988		—		24,787,988
Mortgage servicing rights	—		—		4,209,124		4,209,124
Total	$	—	$	24,787,988	$	4,209,124	$	28,997,112
Liabilities:
Multi-family securitized debt obligations	$	—	$	19,462,838	$	—	$	19,462,838
Total	$	—	$	19,462,838	$	—	$	19,462,838

	December 31, 2017
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2			Unobservable inputs Level 3		Balance as of December 31, 2017
Assets:
Residential mortgage-backed securities (1)	$	—	$	1,290,825,648		$	—	$	1,290,825,648
Multi-family mortgage loans held in securitization trusts	—		1,130,874,274			—		1,130,874,274
Residential mortgage loans held in securitization trusts	—		119,756,455			—		119,756,455
Mortgage servicing rights	—		—			2,963,861		2,963,861
Futures (Short positions)	5,349,613		—			—		5,349,613
Total	$	5,349,613	$	2,541,456,377		$	2,963,861	$	2,549,769,851
Liabilities:
Multi-family securitized debt obligations	$	—	$	(1,109,204,743	)	$	—	$	(1,109,204,743	)
Residential securitized debt obligations	—		(114,418,318		)	—		(114,418,318		)
Total	$	—	$	(1,223,623,061	)	$	—	$	(1,223,623,061	)

(1) For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4

Quantitative Information About the Significant Unobservable Inputs Used in the Fair Value Measurement of MSRs Classified as Level 3

The following table provides quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at September 30, 2018 and December 31, 2017:

As of September 30, 2018
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	7.0 - 19.3%		10.1	%
	Discount rate	12.0	%	12.0	%

As of December 31, 2017
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 25.4%		12.8	%
	Discount rate	12.0	%	12.0	%

Fair value schedule of financial instruments

The following table details the carrying amount, face amount and fair value of the financial instruments described in Note 3:

	September 30, 2018
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	9,912,051	$	9,912,051	$	9,912,051
Restricted cash	77,694,265		77,694,265		77,694,265
Commercial mortgage loans held-for-investment	544,586,537		544,586,537		544,586,537
Total	$	632,192,853	$	632,192,853	$	632,192,853
Liabilities
Collateralized loan obligations	$	503,487,121	$	510,181,000	$	512,428,916
Total	$	503,487,121	$	510,181,000	$	512,428,916

	December 31, 2017
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	34,347,339	$	34,347,339	$	34,347,339
Restricted cash	11,275,263		11,275,263		11,275,263
Total	$	45,622,602	$	45,622,602	$	45,622,602
Liabilities:
Repurchase agreements	$	1,234,522,000	$	1,234,522,000	$	1,234,522,000
Total	$	1,234,522,000	$	1,234,522,000	$	1,234,522,000