AVAILABLE-FOR-SALE SECURITIES

8 Months Ended

9 Months Ended

Dec. 31, 2012

Sep. 30, 2013

Investments, Debt and Equity Securities [Abstract]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

NOTE 4—AVAILABLE-FOR-SALE SECURITIES

        Non-Agency RMBS that are accounted for as components of Linked Transactions are not reflected in the tables set forth in this Note, as they are accounted for as derivatives. (See Notes 7 and 8).

         The following table presents the Company's AFS investment securities by collateral type at fair value as of December 31, 2012:

	December 31, 2012
Mortgage-backed securities:
Agency
Federal Home Loan Mortgage Corporation	$	49,765,271
Federal National Mortgage Association		20,208,333
Non-Agency		11,054,394
Total mortgage-backed securities	$	81,027,998

         The following table presents the amortized cost and fair value of the Company's AFS investment securities by collateral type as of December 31, 2012:

	December 31, 2012
	Agency		Non-Agency		Total
Face Value	$	65,310,197	$	18,507,380	$	83,817,577
Unamortized premium		3,193,345		—		3,193,345
Unamortized discount
Designated credit reserve		—		(4,882,582)		(4,882,582)
Net, unamortized		—		(3,534,339)		(3,534,339)
Amortized Cost		68,503,542		10,090,459		78,594,001
Gross unrealized gains		1,470,062		963,935		2,433,997
Fair Value	$	69,973,604	$	11,054,394	$	81,027,998

         The following table presents the fair value of AFS investment securities by rate type as of December 31, 2012:

	December 31, 2012
	Agency		Non-Agency		Total
Adjustable rate	$	—	$	11,054,394	$	11,054,394
Fixed rate		69,973,604		—		69,973,604
Total	$	69,973,604	$	11,054,394	$	81,027,998

        As described in Note 3, when the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company often does not amortize into income a significant portion of this discount that the Company is entitled to earn because it does not expect to collect it due to the inherent credit risk of the security. The Company may also record an OTTI for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed  the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as an off balance sheet credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable.

        Actual maturities of AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years.

         The following table presents the changes for the period May 16, 2012 (commencement of operations) to December 31, 2012 of the unamortized net discount and designated credit reserves on non-Agency AFS securities.

	December 31, 2012
	Designated		Unamortized
	credit reserve		net discount		Total
Acquisitions	$	(5,363,444)	$	(3,997,817)	$	(9,361,261)
Accretion of net discount		—		463,478		463,478
Realized credit losses		480,862		—		480,862
Ending balance at December 31, 2012	$	(4,882,582)	$	(3,534,339)	$	(8,416,921)

        Gains and losses from the sale of AFS securities are recorded within realized loss on sale of investments, net in the Company's statements of operations and comprehensive income. For the period May 16, 2012 (commencement of operations) to December 31, 2012, the Company did not sell any AFS securities.

        Unrealized gains and losses on the Company's AFS securities are recorded as unrealized gain on available-for-sale securities, net in the Company's statement of comprehensive income. For the period May 16, 2012 (commencement of operations) to December 31, 2012, the Company had unrealized gains on AFS securities of $2,433,997.

         The following table presents components of interest income on the Company's Agency RMBS and non-Agency RMBS for the period May 16, 2012 (commencement of operations) to December 31, 2012:

	Period May 16, 2012 to December 31, 2012
			Net (premium
	Coupon		amortization)/		Interest
	interest		discount accretion		income
Agency	$	1,279,241	$	(115,831)	$	1,163,410
Non-Agency		54,549		463,478		518,027
Total	$	1,333,790	$	347,647	$	1,681,437

NOTE 4 – AVAILABLE-FOR-SALE SECURITIES

Non-Agency RMBS that are accounted for as components of Linked Transactions are not reflected in the tables set forth in this Note, as they are accounted for as derivatives. (See Notes 7 and 8).

The following table presents the Company’s AFS investment securities by collateral type at fair value as of September 30, 2013 and December 31, 2012:

	September 30, 2013		December 31, 2012
Mortgage-backed securities:
Agency
Federal Home Loan Mortgage Corporation	$	151,331,577	$	49,765,271
Federal National Mortgage Association		208,518,840		20,208,333
Non-Agency		57,702,486		11,054,394
Total mortgage-backed securities	$	417,552,903	$	81,027,998

The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of September 30, 2013 and December 31, 2012:

	September 30, 2013
	Agency		Non-Agency		Total
Face Value	$	357,111,292	$	93,841,342	$	450,952,634
Unamortized premium		12,854,666		-		12,854,666
Unamortized discount
Designated credit reserve		-		(15,967,512)		(15,967,512)
Net, unamortized		(1,614,616)		(21,166,734)		(22,781,350)
Amortized Cost		368,351,342		56,707,096		425,058,438
Gross unrealized loss		(8,500,925)		995,390		(7,505,535)
Fair Value	$	359,850,417	$	57,702,486	$	417,552,903

	December 31, 2012
	Agency		Non-Agency		Total
Face Value	$	65,310,197	$	18,507,380	$	83,817,577
Unamortized premium		3,193,345		-		3,193,345
Unamortized discount
Designated credit reserve		-		(4,882,582)		(4,882,582)
Net, unamortized		-		(3,534,339)		(3,534,339)
Amortized Cost		68,503,542		10,090,459		78,594,001
Gross unrealized gain		1,470,062		963,935		2,433,997
Fair Value	$	69,973,604	$	11,054,394	$	81,027,998

The following tables present a summary of the Company’s net realized gain (loss) from the sale of Agency and non-Agency RMBS for the three months ended September 30, 2013 and September 30, 2012, nine months ended September 30, 2013 and the period May 16, 2012 (commencement of operations) to September 30, 2012:

	Three Months Ended		Three Months Ended
	September 30, 2013		September 30, 2012
Agency and non-Agency RMBS sold, at cost	$	348,566,209	$	-
Proceeds from Agency and non-Agency RMBS sold		331,913,127		-
Net realized gain (loss) on sale of Agency and non-Agency RMBS	$	(16,653,082)	$	-

	Nine Months Ended		Period May 16, 2012
	September 30, 2013		to September 30, 2012
Agency and non-Agency RMBS sold, at cost	$	717,350,126	$	-
Proceeds from Agency and non-Agency RMBS sold		687,252,011		-
Net realized gain (loss) on sale of Agency and non-Agency RMBS	$	(30,098,115)	$	-

The following tables present the fair value of AFS investment securities by rate type as of September 30, 2013 and December 31, 2012:

	September 30, 2013
	Agency		Non-Agency		Total
Adjustable rate	$	139,130,999	$	57,702,486	$	196,833,485
Fixed rate		220,719,418		-		220,719,418
Total	$	359,850,417	$	57,702,486	$	417,552,903

	December 31, 2012
	Agency		Non-Agency		Total
Adjustable rate	$	-	$	11,054,394	$	11,054,394
Fixed rate		69,973,604		-		69,973,604
Total	$	69,973,604	$	11,054,394	$	81,027,998

As described in Note 3, when the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company generally does not amortize into income a significant portion of this discount that the Company is entitled to earn because it does not expect to collect it due to the inherent credit risk of the security. The Company may also record an OTTI for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as an off balance sheet credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable.

Actual maturities of AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years.

The following tables present the changes for the nine months ended September 30, 2013 and the period May 16, 2012 (commencement of operations) to December 31, 2012 of the unamortized net discount and designated credit reserves on non-Agency AFS securities.

	September 30, 2013
	Designated		Unamortized
	credit reserve		net discount		Total
Acquisitions	$	(18,378,288)	$	(24,450,562)	$	(42,828,850)
Accretion of net discount		-		1,663,450		1,663,450
Realized gain on paydowns		-		5,762		5,762
Realized credit losses		1,755,001		-		1,755,001
Release of credit reserves		655,775		-		655,775
Ending balance at September 30, 2013	$	(15,967,512)	$	(22,781,350)	$	(38,748,862)

	December 31, 2012
	Designated		Unamortized
	credit reserve		net discount		Total
Acquisitions	$	(5,363,444)	$	(3,997,817)	$	(9,361,261)
Accretion of net discount		-		463,478		463,478
Realized credit losses		480,862		-		480,862
Ending balance at December 31, 2012	$	(4,882,582)	$	(3,534,339)	$	(8,416,921)

Gains and losses from the sale of AFS securities are recorded within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statements of operations.

Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). For the three and nine months ended September 30, 2013, the Company had unrealized gains (losses) on AFS securities of $16,495,823 and $(9,939,532), respectively.

The following tables present components of interest income on the Company’s Agency RMBS and non-Agency RMBS for the three months ended September 30, 2013 and September 30, 2012, nine months ended September 30, 2013 and the period May 16, 2012 (commencement of operations) to September 30, 2012:

	Three Months Ended September 30, 2013						Three Months Ended September 30, 2012
			Net (premium						Net (premium
	Coupon		amortization)/		Interest		Coupon		amortization)/		Interest
	interest		discount accretion		income		interest		discount accretion		income
Agency	$	3,472,373	$	(58,281)	$	3,414,092	$	535,560	$	(73,451)	$	462,109
Non-Agency		45,010		879,346		924,356		28,859		225,528		254,387
Total	$	3,517,383	$	821,065	$	4,338,448	$	564,419	$	152,077	$	716,496

	Nine Months Ended September 30, 2013						Period May 16, 2012 to September 30, 2012
			Net (premium						Net (premium
	Coupon		amortization)/		Interest		Coupon		amortization)/		Interest
	interest		discount accretion		income		interest		discount accretion		income
Agency	$	13,878,581	$	(713,094)	$	13,165,487	$	710,165	$	(90,166)	$	619,999
Non-Agency		138,050		1,620,889		1,758,939		28,859		225,528		254,387
Total	$	14,016,631	$	907,795	$	14,924,426	$	739,024	$	135,362	$	874,386