Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2012

Repurchase agreements and credit facilities

Debt Obligations

Schedule of borrowings under the company's repurchase agreements and credit facilities

	September 30, 2012				December 31, 2011
	Debt		Collateral		Debt		Collateral
	Carrying		Carrying		Carrying		Carrying
	Value		Value		Value		Value
Repurchase agreement, financial institution, rolling monthly term, interest is variable based on one-month LIBOR; the weighted average note rate was 1.73% and 1.69%, respectively	$	43,724,000	$	50,831,653	$	26,105,000	$	29,192,267
Repurchase agreement, financial institution, rolling monthly term, interest is variable based on one-month LIBOR; the weighted average note rate was 1.74%	779,000		974,105		—		—
Warehousing credit facility, financial institution, $50.0 million committed line, expiration July 2013, interest is variable based on one-month LIBOR, the weighted average note rate was 3.01% and 3.09%, respectively	8,812,500		11,750,000		50,000,000		70,192,000
Warehousing credit facility, financial institution, $12.6 million committed line, expiration December 2013, interest is variable based on LIBOR or Prime, the weighted average note rate was 3.01%	12,600,000		18,000,000		—		—
Revolving credit facility, financial institution, $15.0 million committed line, expiration May 2013, interest is fixed at 8.00% with a 1.00% non-use fee, the weighted average note rate was 8.11%	15,000,000		—		—		—
Total repurchase agreements and credit facilities	$	80,915,500	$	81,555,758	$	76,105,000	$	99,384,267

Collateralized debt obligations

Debt Obligations

Schedule of borrowings under the company's repurchase agreements and credit facilities

The following table outlines borrowings and the corresponding collateral under the Company’s collateralized debt obligations as of September 30, 2012:

					Collateral
	Debt				Loans				Securities						Cash
	Face		Carrying		Unpaid		Carrying		Face		Carrying		Fair		Restricted		Collateral
	Value		Value		Principal (1)		Value (1)		Value		Value		Value (2)		Cash (3)		At-Risk (4)
CDO I — Issued four investment grade tranches January 19, 2005. Reinvestment period through April 2009. Stated maturity date of February 2040. Interest is variable based on three-month LIBOR; the weighted average note rate was 3.94%	$	137,082,164	$	142,998,907	$	300,106,639	$	240,413,980	$	724,293	$	730,480	$	727,784	$	3,073,225	$	207,991,389
CDO II — Issued nine investment grade tranches January 11, 2006. Reinvestment period through April 2011. Stated maturity date of April 2038. Interest is variable based on three-month LIBOR; the weighted average note rate was 3.19%	233,417,163		239,496,323		410,815,552		346,262,415		10,000,000		1,100,000		1,100,000		2,117,465		140,981,154
CDO III — Issued ten investment grade tranches December 14, 2006. Reinvestment period through January 2012. Stated maturity date of January 2042. Interest is variable based on three-month LIBOR; the weighted average note rate was 0.68%	449,958,857		458,964,924		550,221,759		503,182,149		—		—		—		23,458,314		188,477,132
Total CDOs	$	820,458,184	$	841,460,154	$	1,261,143,950	$	1,089,858,544	$	10,724,293	$	1,830,480	$	1,827,784	$	28,649,004	$	537,449,675

The following table outlines borrowings and the corresponding collateral under the Company’s collateralized debt obligations as of December 31, 2011:

					Collateral
	Debt				Loans				Securities						Cash
	Face		Carrying		Unpaid		Carrying		Face		Carrying		Fair		Restricted		Collateral
	Value		Value		Principal (1)		Value (1)		Value		Value		Value (2)		Cash (3)		At-Risk (4)
CDO I — Issued four investment grade tranches January 19, 2005. Reinvestment period through April 2009. Stated maturity date of February 2040. Interest is variable based on three-month LIBOR; the weighted average note rate was 4.49%	$	160,435,201	$	166,513,982	$	329,771,834	$	267,636,713	$	734,969	$	742,602	$	737,423	$	22,136	$	152,303,041
CDO II — Issued nine investment grade tranches January 11, 2006. Reinvestment period through April 2011. Stated maturity date of April 2038. Interest is variable based on three-month LIBOR; the weighted average note rate was 2.83%	285,827,267		292,073,302		443,418,527		380,782,546		10,000,000		2,000,000		2,000,000		17,136,397		131,932,659
CDO III — Issued ten investment grade tranches December 14, 2006. Reinvestment period through January 2012. Stated maturity date of January 2042. Interest is variable based on three-month LIBOR; the weighted average note rate was 1.24%	534,791,657		544,028,109		579,343,579		531,123,295		—		—		—		24,795,495		171,427,137
Total CDOs	$	981,054,125	$	1,002,615,393	$	1,352,533,940	$	1,179,542,554	$	10,734,969	$	2,742,602	$	2,737,423	$	41,954,028	$	455,662,837

(1) Amounts include loans to real estate assets consolidated by the Company that were reclassified to real estate owned and held-for-sale, net on the Consolidated Financial Statements.

(2) The security with a fair value of $727,784 was rated AAA at September 30, 2012 and December 31, 2011 by Standard & Poor’s.  The security with a fair value of $1,100,000 was rated a CCC- at September 30, 2012 and December 31, 2011 by Standard & Poor’s.

(3) Represents restricted cash held for reinvestment and/or principal repayments in the CDOs.  Does not include restricted cash related to interest payments, delayed fundings and expenses.

(4) Amounts represent the face value of collateral in default, as defined by the CDO indenture, as well as assets deemed to be “credit risk”.  Credit risk assets are reported by each of the CDOs and are generally defined as one that, in the CDO collateral manager’s reasonable business judgment, has a significant risk of declining in credit quality or, with a passage of time, becoming a defaulted asset.

Schedule of face amount and gain on extinguishment of the company's CDO bonds repurchased by bond class

	For the Three Months Ended September 30,								For the Nine Months Ended September 30,
	2012				2011				2012				2011
Class:	Face Amount		Gain		Face Amount		Gain		Face Amount		Gain		Face Amount		Gain
B	$	—	$	—	$	4,500,000	$	1,636,875	$	13,000,000	$	4,615,000	$	4,500,000	$	1,636,875
C	—		—		3,788,190		2,034,637		3,329,509		1,200,182		5,418,190		2,792,587
D	3,000,000		1,281,563		2,433,912		1,428,950		13,350,000		5,819,066		2,433,912		1,428,950
E	6,000,000		2,863,125		—		—		13,765,276		6,445,033		—		—
F	—		—		—		—		9,708,556		5,048,417		3,370,000		2,061,250
G	—		—		—		—		8,672,039		4,777,138		—		—
H	—		—		—		—		4,403,771		2,554,187		—		—
Total	$	9,000,000	$	4,144,688	$	10,722,102	$	5,100,462	$	66,229,151	$	30,459,023	$	15,722,102	$	7,919,662

Summary of the company's CDO compliance tests as of the most recent determination date

Cash Flow Triggers	CDO I		CDO II		CDO III
Overcollateralization (1)
Current	223.81	%	186.18	%	105.64	%
Limit	184.00	%	169.50	%	105.60	%
Pass / Fail	Pass		Pass		Pass
Interest Coverage (2)
Current	428.27	%	460.60	%	533.00	%
Limit	160.00	%	147.30	%	105.60	%
Pass / Fail	Pass		Pass		Pass

(1) The overcollateralization ratio divides the total principal balance of all collateral in the CDO by the total principal balance of the bonds associated with the applicable ratio.  To the extent an asset is considered a defaulted security, the asset’s principal balance for purposes of the overcollateralization test is the lesser of the asset’s market value or the principal balance of the defaulted asset multiplied by the asset’s recovery rate which is determined by the rating agencies.  Rating downgrades of CDO collateral will generally not have a direct impact on the principal balance of a CDO asset for purposes of calculating the CDO’s overcollateralization test unless the rating downgrade is below a significantly low threshold (e.g. CCC-) as defined in each CDO vehicle.

(2) The interest coverage ratio divides interest income by interest expense for the classes senior to those retained by the Company.

Collateralized loan obligations

Debt Obligations

Schedule of borrowings under the company's repurchase agreements and credit facilities

					Collateral
	Debt				Loans				Cash
	Face		Carrying		Unpaid		Carrying		Restricted
	Value		Value		Principal		Value		Cash
CLO — Issued two investment grade tranches September 24, 2012. Replacement period through September 2014. Stated maturity date of October 2022. Interest is variable based on three-month LIBOR; the weighted average note rate was 3.66%	$	87,500,000	$	87,500,000	$	125,086,650	$	124,421,383	$	—

Junior subordinated notes

Debt Obligations

Schedule of borrowings under the company's repurchase agreements and credit facilities

	September 30, 2012		December 31, 2011
	Debt		Debt
	Carrying		Carrying
	Value		Value
Junior subordinated notes, maturity March 2034, unsecured, face amount of $28.0 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 3.32% and 0.50%, respectively	$	25,267,834	$	25,203,958
Junior subordinated notes, maturity April 2035, unsecured, face amount of $7.0 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 3.65% and 0.50%, respectively	6,291,269		6,277,218
Junior subordinated notes, maturity March 2034, unsecured, face amount of $28.0 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 3.32% and 0.50%, respectively	25,267,834		25,203,958
Junior subordinated notes, maturity March 2034, unsecured, face amount of $27.3 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 3.32% and 0.50%, respectively	24,635,448		24,573,169
Junior subordinated notes, maturity June 2036, unsecured, face amount of $14.6 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 2.98% and 0.50%, respectively	13,150,327		13,121,735
Junior subordinated notes, maturity April 2037, unsecured, face amount of $15.7 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 2.88% and 0.50%, respectively	14,131,522		14,100,534
Junior subordinated notes, maturity April 2037, unsecured, face amount of $31.5 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 2.88% and 0.50%, respectively	28,389,437		28,327,185
Junior subordinated notes, maturity April 2035, unsecured, face amount of $21.2 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 3.65% and 0.50%, respectively	19,132,199		19,087,154
Junior subordinated notes, maturity June 2036, unsecured, face amount of $2.6 million, interest rate fixed until 2012 then variable based on three-month LIBOR, the weighted average note rate was 2.98% and 0.50%, respectively	2,371,923		2,366,557
Total junior subordinated notes	$	158,637,793	$	158,261,468

Notes payable

Debt Obligations

Schedule of borrowings under the company's repurchase agreements and credit facilities

	September 30, 2012				December 31, 2011
	Debt		Collateral		Debt		Collateral
	Carrying		Carrying		Carrying		Carrying
	Value		Value		Value		Value
Note payable relating to investment in equity affiliates, $50.2 million, expiration July 2016, interest is fixed, the weighted average note rate was 4.06%	$	50,157,708	$	55,988,411	$	50,157,708	$	55,988,411
Junior loan participation secured by the Company’s interest in a mezzanine loan with a principal balance of $32.0 million, participation interest was based on a portion of the interest received from the loan which had a variable rate of LIBOR plus 4.35%	—		—		32,000,000		32,000,000
Junior loan participation, maturity of August 2012, secured by the Company’s interest in a mezzanine loan with a principal balance of $11.8 million. The participation had a 0% rate of interest	—		—		2,000,000		2,000,000
Junior loan participation, secured by the Company’s interest in a first mortgage loan with a principal balance of $1.3 million, participation interest was based on a portion of the interest received from the loan which has a fixed rate of 9.57%	1,300,000		1,300,000		1,300,000		1,300,000
Total notes payable	$	51,457,708	$	57,288,411	$	85,457,708	$	91,288,411