REPURCHASE AGREEMENTS

8 Months Ended

9 Months Ended

Dec. 31, 2012

Sep. 30, 2013

Disclosure Of Repurchase Agreements [Abstract]

Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block]

NOTE 6—REPURCHASE AGREEMENTS

The Company has entered into repurchase agreements to finance its portfolio of investments. The repurchase agreements bear interest at a contractually agreed rate. The repurchase obligations mature and typically reinvest every thirty days to one year and have a weighted average aggregate interest rate of 0.59% at December 31, 2012. Repurchase agreements are being accounted for as secured borrowings since the Company maintains effective control of the financed assets. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2012:

	December 31, 2012
	Amount outstanding		Weighted average interest rate
Agency	$	59,616,000		0.48	%
Non-Agency(1)		3,807,000		2.31	%
Total	$	63,423,000		0.59	%

_____________________________________________________

(1)

At December 31, 2012, the Company had repurchase agreements of $13,989,000 that were linked to Non-Agency RMBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3).

At December 31, 2012, the repurchase agreements had the following remaining maturities:

	December 31, 2012
< 30 days	$	59,616,000
31 to 60 days		3,807,000
61 to 90 days		—
Total	$	63,423,000

_____________________________________________________

(1)

Under the repurchase agreements, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. In addition, the repurchase agreements are subject to certain financial covenants. The Company is in compliance with these covenants as of December 31, 2012.

The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2012:

	December 31, 2012
Repurchase Agreement Counterparties	Amount Outstanding(1)		Percent of total amount outstanding			Weighted average days to maturity		Company RMBS held as collateral
Merrill Lynch Pierce, Fenner & Smith Inc.	$	40,700,000		64.18	%		16	$	41,198,973
Mizuho Securities USA Inc		10,549,000		16.63	%		18		10,874,574
Cantor Fitzgerald & Co		8,367,000		13.19	%		9		8,566,297
Citigroup Global Markets Inc		3,807,000		6.00	%		44		5,697,236
Total	$	63,423,000		100.00	%		17	$	66,337,080

_____________________________________________________

(1)

NOTE 6 – REPURCHASE AGREEMENTS

The Company has entered into repurchase agreements to finance its portfolio of investments. The repurchase agreements bear interest at a contractually agreed rate. The repurchase obligations mature and typically reinvest every thirty days to one year and have a weighted average aggregate interest rate of 0.56% at September 30, 2013. Repurchase agreements are being accounted for as secured borrowings since the Company maintains effective control of the financed assets. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2013 and December 31, 2012:

	September 30, 2013					December 31, 2012
			Weighted					Weighted
	Amount		average			Amount		average
	outstanding		interest rate			outstanding		interest rate
Agency	$	338,846,000		0.39	%	$	59,616,000		0.48	%
Non-Agency⁽¹⁾		38,198,000		2.09	%		3,807,000		2.31	%
Total	$	377,044,000		0.56	%	$	63,423,000		0.59	%

(1) At September 30, 2013 and December 31, 2012, the Company had repurchase agreements of $42,548,000 and $13,989,000, respectively, that were linked to Non-Agency RMBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3).

At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities:

	September 30, 2013		December 31, 2012
< 30 days	$	315,000,000	$	59,616,000
31 to 60 days		62,044,000		3,807,000
Total	$	377,044,000	$	63,423,000

The following tables summarize certain characteristics of the Company’s repurchase agreements at September 30, 2013 and December 31, 2012:

	September 30, 2013
	Amount		Percent of total			Weighted average		Company RMBS
Repurchase Agreement Counterparties	Outstanding⁽¹⁾		amount outstanding			days to maturity		held as collateral
North America	$	184,744,000		49.00	%		18	$	196,351,333
Asia ⁽²⁾		81,235,000		21.54	%		34		86,361,215
Europe ⁽²⁾		53,791,000		14.27	%		23		61,033,655
Nomura Securities International, Inc.		45,577,000		12.09	%		20		56,260,079
Citigroup Global Markets, Inc.		11,697,000		3.10	%		33		17,546,621
Total	$	377,044,000		100.00	%		23	$	417,552,903

(1) At September 31, 2013, the Company had repurchase agreements of $42,548,000 that were linked to Non-Agency RMBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3).

(2) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries.

	December 31, 2012
	Amount		Percent of total			Weighted average		Company RMBS
Repurchase Agreement Counterparties	Outstanding⁽¹⁾		amount outstanding			days to maturity		held as collateral
North America	$	52,874,000		83.37	%		17	$	55,462,506
Asia ⁽²⁾		10,549,000		16.63	%		18		10,874,574
Total	$	63,423,000		100.00	%		17	$	66,337,080

(1) At December 31, 2012, the Company had repurchase agreements of $13,989,000 that were linked to Non-Agency RMBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 3).

(2) Counterparties domiciled in Europe and Asia, or their U.S. subsidiaries.