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Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2014
Fair Value |
Summary of the carrying values and the estimated fair values of the Company's financial instruments |
|  | September 30, 2014 |  | December 31, 2013 |
|  |  |  | Estimated |  |  |  | Estimated |
|  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value |
Financial assets: |  |  |  |  |  |  |  |  |
Loans and investments, net |  | $ | 1,526,641,987 |  | $ | 1,535,535,289 |  | $ | 1,523,699,653 |  | $ | 1,550,248,793 |
Available-for-sale securities |  | 2,529,104 |  | 2,529,104 |  | 37,315,652 |  | 37,315,652 |
Derivative financial instruments |  | 3,020 |  | 3,020 |  | 6,402,336 |  | 6,402,336 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Credit facilities and repurchase agreements |  | $ | 71,306,110 |  | $ | 71,124,471 |  | $ | 159,125,023 |  | $ | 158,735,570 |
Collateralized debt obligations |  | 371,733,279 |  | 271,701,329 |  | 639,622,981 |  | 521,938,885 |
Collateralized loan obligations |  | 545,750,000 |  | 547,220,625 |  | 264,500,000 |  | 266,436,250 |
Senior unsecured notes |  | 97,860,025 |  | 95,902,825 |  | — |  | — |
Junior subordinated notes |  | 159,695,009 |  | 102,264,289 |  | 159,291,427 |  | 101,240,185 |
Notes payable |  | 1,300,000 |  | 1,292,461 |  | 2,500,000 |  | 2,487,287 |
Mortgage note payable - real estate owned and held-for-sale |  | 48,813,906 |  | 46,554,314 |  | 53,751,004 |  | 52,943,305 |
Derivative financial instruments |  | 16,334,580 |  | 16,334,580 |  | 24,794,051 |  | 24,794,051 |
Schedule of certain financial assets and financial liabilities measured at fair value on a recurring basis |
|  |  |  |  |  | Fair Value Measurements |
|  | Carrying |  | Fair |  | Using Fair Value Hierarchy |
|  | Value |  | Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Available-for-sale securities (1) |  | $ | 2,529,104 |  | $ | 2,529,104 |  | $ | 529,104 |  | $ | — |  | $ | 2,000,000 |
Derivative financial instruments |  | 3,020 |  | 3,020 |  | — |  | 3,020 |  | — |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Derivative financial instruments |  | $ | 16,334,580 |  | $ | 16,334,580 |  | $ | — |  | $ | 16,334,580 |  | $ | — |
(1) The Company’s equity securities were measured using Level 1 inputs and the Company’s CMBS investment was measured using Level 3 inputs.
Schedule of financial assets measured at fair value on a recurring basis using Level 3 inputs |
|  | Available-for-sale |  | Derivative |
|  | Securities |  | Financial Instruments |
Balance as of December 31, 2013 |  | $ | 36,580,786 |  | $ | 6,396,853 |
Adjustments to fair value: |  |  |  |  |
Paydowns (1) |  | (663,684 | ) | 1,483,387 |
Net changes in fair value (2) |  | (100,000 | ) | 511,012 |
Sales and settlements (3) |  | (33,817,102 | ) | (8,391,252 | )
Balance as of September 30, 2014 |  | $ | 2,000,000 |  | $ | — |
| (1) |  | Includes an addition of $1.7 million to the derivative financial instruments as a result of a decrease in the amount financed under the respective repurchase agreement.
| (2) |  | Represents the net change in fair value recorded to other income during the nine months ended September 30, 2014.
| (3) |  | Represents the sale of RMBS investments and the settlement of forward contract derivatives for which the Company recorded a gain of $0.5 million and $0.1 million, respectively, to other income during the nine months ended September 30, 2014.
Schedule of certain financial and non-financial assets measured at fair value on a nonrecurring basis | The Company measures certain financial and non-financial assets at fair value on a nonrecurring basis. The fair value of these financial assets was determined using the following inputs as of September 30, 2014:
|  | Net |  |  |  | Fair Value Measurements |
|  | Carrying |  | Fair |  | Using Fair Value Hierarchy |
|  | Value |  | Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Impaired loans, net (1) |  | $ | 112,189,705 |  | $ | 112,189,705 |  | $ | — |  | $ | — |  | $ | 112,189,705 |
(1) The Company had an allowance for loan losses of $116.4 million relating to 12 loans with an aggregate carrying value, before loan loss reserves, of approximately $228.6 million at September 30, 2014.
Schedule of quantitative information about Level 3 Fair Value Measurements on a recurring and non-recurring basis |
|  | September 30, 2014 |
|  |  |  | Valuation |  | Significant Unobservable |  | Range |
|  | Fair Value |  | Technique(s) |  | Inputs |  | (Weighted Average) |
Financial assets: |  |  |  |  |  |  |  |  |
Impaired loans (1): |  |  |  |  |  |  |  |  |
Multi-family |  | $ | 2,734,447 |  | Direct capitalization analysis and discounted cash flows |  | Discount rate Capitalization rate Revenue growth rate |  | 8.00% 6.50% to 8.00% (7.07%) 2.00% |
Office |  | 13,747,931 |  | Discounted cash flows |  | Discount rate Capitalization rate Revenue growth rate |  | 8.50% to 12.00% (9.71%) 7.00% to 10.00% (8.21%) 2.50% to 3.00% (2.97%) |
Land |  | 65,157,368 |  | Discounted cash flows |  | Discount rate Capitalization rate Revenue growth rate |  | 15.00% 7.25% 3.00% |
Hotel |  | 30,549,959 |  | Discounted cash flows |  | Discount rate Capitalization rate Revenue growth rate |  | 9.25% 7.25% 3.00% |
CMBS |  | 2,000,000 |  | Discounted cash flows |  | Discount rate |  | 14.16% |
| (1) |  | Includes all impaired loans regardless of the period in which a loan loss provision was recorded.
Schedule of fair value of assets and liabilities |
|  |  |  |  |  | Fair Value Measurements |
|  | Carrying |  | Fair |  | Using Fair Value Hierarchy |
|  | Value |  | Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Loans and investments, net |  | $ | 1,526,641,987 |  | $ | 1,535,535,289 |  | $ | — |  | $ | — |  | $ | 1,535,535,289 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Credit facilities |  | $ | 71,306,110 |  | $ | 71,124,471 |  | $ | — |  | $ | — |  | $ | 71,124,471 |
Collateralized debt obligations |  | 371,733,279 |  | 271,701,329 |  | — |  | — |  | 271,701,329 |
Collateralized loan obligation |  | 545,750,000 |  | 547,220,625 |  | — |  | — |  | 547,220,625 |
Senior unsecured notes |  | 97,860,025 |  | 95,902,825 |  | 95,902,825 |  | — |  | — |
Junior subordinated notes |  | 159,695,009 |  | 102,264,289 |  | — |  | — |  | 102,264,289 |
Notes payable |  | 1,300,000 |  | 1,292,461 |  | — |  | — |  | 1,292,461 |
Mortgage note payable — real estate owned and held-for-sale |  | 48,813,906 |  | 46,554,314 |  | — |  | — |  | 46,554,314 |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a,b,bb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=36462937&loc=SL7498348-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19296-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13433-108611 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13467-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13476-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
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