Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2013

Derivative Instruments [Abstract]

Schedule of Information about Interest Rate Swaps

The following table summarizes information related to derivative instruments:

Non-hedge derivatives	June 30, 2013		December 31, 2012
Notional amount of interest rate swaps	$	225,725,000	$	32,600,000
Net notional amount of TBA contracts		62,000,000		-
Total net notional amount	$	287,725,000	$	32,600,000

Schedule of Fair Value of Derivative Instruments

The following table presents the fair value of the Company's derivative instruments and their balance sheet location:
				June 30,			December 31,
	Derivative instruments	Designation	Balance Sheet Location	2013			2012
	Interest rate swaps	Non-hedge	Derivative assets (liabilities), at fair value	$	7,169,531		$	(1,144,744	)
	TBAs(1)	Non-hedge	Derivative liabilities, at fair value	$	(5,069,472	)	$	-
	____________________

(1) Fair value as of June 30, 2013 includes $1.4 million of unrealized loss on TBA contracts that have not been paired off as of June 30, 2013.

Schedule of Gains / (Losses) Related to Derivatives

The following table summarizes gains and losses related to derivatives:

		Three Months Ended						Six Months Ended
	Income Statement
Non-hedge derivatives	Location	June 30, 2013			June 30, 2012			June 30, 2013			June 30, 2012
Interest rate swaps	Gain / (loss) on derivative instruments	$	8,272,229		$	(897,767	)	$	8,216,927		$	(755,952	)
TBAs(1)	Gain / (loss) on derivative instruments		(4,573,848	)		-			(4,237,402	)		-
____________________

(1) Gains and losses from purchases and sales of TBAs consists of $0.8 million of net TBA dollar roll net interest income and a net loss of $5.4 million due to price declines.

Schedule of Information Related to Derivative Instruments

The following table presents information about the Company's interest rate swap agreements as of June 30, 2013:

			Weighted Average		Weighted Average		Weighted Average
Maturity	Notional Amount		Pay Rate		Receive Rate		Years to Maturity
2016	$	12,102,000	1.20	%	0.27	%	3.2
2017		11,050,000	1.28		0.28		3.8
2018		38,000,000	1.54		0.28		4.9
2021		9,448,000	2.16		0.27		8.2
2023		155,125,000	2.05		0.27		9.7
Total/Weighted average	$	225,725,000	1.88	%	0.27	%	8.2
The following table presents information about the Company's interest rate swap agreements as of December 31, 2012:

			Weighted Average		Weighted Average		Weighted Average
Maturity	Notional Amount		Pay Rate		Receive Rate		Years to Maturity
2016	$	12,102,000	1.21	%	0.31	%	3.7
2017		11,050,000	1.28		0.31		4.3
2021		9,448,000	2.16		0.31		8.7
Total/Weighted average	$	32,600,000	1.51	%	0.31	%	5.3