Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2014

Derivative Instruments [Abstract]

Schedule of Notional Amounts of Derivative Instruments

The following table summarizes information related to derivative instruments at June 30, 2014 and December 31, 2013:

Non-hedge derivatives	June 30, 2014		December 31, 2013
Notional amount of interest rate swaption	$	225,000,000	$	-
Notional amount of interest rate swaps		17,200,000		17,200,000
Total notional amount	$	242,200,000	$	17,200,000

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 at June 30, 2014 and December 31, 2013:

Derivative instruments	Designation	Balance Sheet Location	June 30, 2014			December 31, 2013
Interest rate swaption	Non-hedge	Derivative assets, at fair value	$	368,136		$	-
Interest rate swaps	Non-hedge	Derivative (liabilities)/assets, at fair value	$	(442,585	)	$	284,454
Exchangeable Senior Notes
conversion option	Non-hedge	Derivative liabilities, at fair value	$	(1,107,544	)	$	(1,471,607	)

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, 2014			June 30, 2013			June 30, 2014			June 30, 2013
	Gain/(loss) on derivative
Interest rate swaption	instruments	$	(1,893,322	)	$	-		$	(4,435,614	)	$	-
	Gain/(loss) on derivative
Interest rate swaps	instruments	$	(482,794	)	$	8,272,229		$	(940,079	)	$	8,216,927
Exchangeable Senior Notes	Gain/(loss) on derivative
conversion option	instruments	$	473,167		$	-		$	364,063		$	-
	Gain/(loss) on derivative
TBAs(1)	instruments	$	-		$	(4,573,848	)	$	-		$	(4,237,402	)

____________________
 

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

Schedule of Information Related to Derivative Instruments, by Maturity

The following table presents information about the Company's interest rate swaption agreement at June 30, 2014:

	Notional
Swaption Expiration	Amount		Strike Rate	Swap Maturity
2015	$	225,000,000	3.64%	2025

Restricted cash at June 30, 2014 included $4.4 million of cash pledged as collateral against an interest rate swaption agreement.

     The following table presents information about the Company's interest rate swap agreements at June 30, 2014:

			Weighted	Weighted	Weighted
	Notional		Average Pay	Average	Average Years
Maturity	Amount		Rate	Receive Rate	to Maturity
2023	$	17,200,000	2.72%	0.23%	9.1
Total/Weighted average	$	17,200,000	2.72%	0.23%	9.1

Restricted cash at June 30, 2014 included $1.2 million of cash pledged as collateral against interest rate swap agreements.

The following table presents information about the Company's interest rate swap agreements at December 31, 2013:

			Weighted	Weighted	Weighted
	Notional		Average Pay	Average	Average Years
Maturity	Amount		Rate	Receive Rate	to Maturity
2023	$	17,200,000	2.72%	0.24%	9.6
Total/Weighted average	$	17,200,000	2.72%	0.24%	9.6