DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Instrument Detail [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of March 31, 2015 and December 31, 2014.

	March 31, 2015
	Derivative Assets			Derivative Liabilities
	Fair value		Notional	Fair value		Notional
Interest rate swaps	$	-	-	$	(3,627,780)	226,000,000
Futures		-	-		(474,766)	47,000,000
Total	$	-	-	$	(4,102,546)	273,000,000

	December 31, 2014
	Derivative Assets			Derivative Liabilities
	Fair value		Notional	Fair value		Notional
Interest rate swaps	$	-	-	$	(1,755,107)	226,000,000
Swaptions		21,550	25,000,000		-	-
Futures		-	-		(533,951)	98,000,000
Total	$	21,550	25,000,000	$	(2,289,058)	324,000,000

Derivatives Instruments Average Fixed Pay Rate And Average Maturity [Table Text Block]

The following tables present the average fixed pay rate and average maturity for the Company’s interest rate swaps (excludes interest rate swaptions) as of March 31, 2015 and December 31, 2014:

	March 31, 2015
	Notional		Fair		Fixed Pay		Maturity	Forward
Current Maturity Date	Amount		Value		Rate		Years	Starting
3 years or less	$	35,000,000	$	(112,325)	0.66	%	0.8	0.0	%
Greater than 3 years and less than 5 years		191,000,000.0		(3,515,455)	1.66	%	3.5	0.0	%
Total	$	226,000,000	$	(3,627,780)	1.51	%	3.1	0.0	%

	December 31, 2014
	Notional		Fair		Fixed Pay		Maturity	Forward
Current Maturity Date	Amount		Value		Rate		Years	Starting
3 years or less	$	35,000,000	$	(124,591)	0.66	%	1.1	0.0	%
Greater than 3 years and less than 5 years		191,000,000		(1,630,516)	1.66	%	3.7	0.0	%
Total	$	226,000,000	$	(1,755,107)	1.51	%	3.3	0.0	%

Schedule of Derivative Instruments [Table Text Block]

The below tables provide a reconciliation of these assets and liabilities that are subject to Master Agreements or similar agreements and can be potentially offset on the Company’s condensed consolidated balance sheets as of March 31, 2015 and December 31, 2014:

	March 31, 2015
							Gross amounts not offset
							in the Balance Sheet (1)
					Net amounts
	Gross amounts		Gross amounts		of liabilities				Cash collateral
	of recognized		offset in the		presented in the		Financial		(Received)/		Net
Description	liabilities		Balance Sheet		Balance Sheet		instruments		Pledged		amount
Repurchase agreements and secured loans	$	745,847,853	$	-	$	745,847,853	$	-	$	-	$	745,847,853
Interest rate swaps		(3,627,780)		-		(3,627,780)		-		3,627,780		-
Futures		(474,766)		-		(474,766)		-		474,766		-
Total	$	741,745,307	$	-	$	741,745,307	$	-	$	4,102,546	$	745,847,853

	December 31, 2014
							Gross amounts not offset
							in the Balance Sheet (1)
					Net amounts
	Gross amounts		Gross amounts		of assets				Cash collateral
	of recognized		offset in the		presented in the		Financial		(Received)/		Net
Description	assets		Balance Sheet		Balance Sheet		instruments		Pledged		amount
Linked transactions(2)	$	210,402,629	$	(149,584,518)	$	60,818,111	$	(60,818,111)	$	-	$	-
Swaptions		21,550		-		21,550		-		-		21,550
Total	$	210,424,179	$	(149,584,518)	$	60,839,661	$	(60,818,111)	$	-	$	21,550

	December 31, 2014
							Gross amounts not offset
							in the Balance Sheet (1)
					Net amounts
	Gross amounts		Gross amounts		of liabilities				Cash collateral
	of recognized		offset in the		presented in the		Financial		(Received)/		Net
Description	liabilities		Balance Sheet		Balance Sheet		instruments		Pledged		amount
Repurchase agreements	$	594,877,852	$	-	$	594,877,852	$	-	$	-	$	594,877,852
Linked transactions(2)		(149,584,518)		149,584,518		-		-		-		-
Interest rate swaps		(1,755,107)		-		(1,755,107)		-		1,755,107		-
Futures		(533,951)		-		(533,951)		-		533,951		-
Total	$	443,004,276	$	149,584,518	$	592,588,794	$	-	$	2,289,058	$	594,877,852

(1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above.

(2) Non-Agency RMBS and Multi-Family MBS securities within a linked transaction serve as collateral for the linked transaction. See Note 3 “Non-Hedging Activity – Linked Transactions” for information on linked transaction arrangements.

Schedule of Price Risk Derivatives [Table Text Block]

The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three months ended March 31, 2015 and March 31, 2014:

	Three months ended March 31, 2015
	Amount of realized		Amount of unrealized
Primary underlying risk	gain (loss)		appreciation (depreciation)		Total
Interest rate:
Interest rate swaps	$	(520,922)	$	(1,872,674)	$	(2,393,596)
Swaptions		(84,000)		62,450		(21,550)
Futures		(2,225,564)		59,186		(2,166,378)
Total	$	(2,830,486)	$	(1,751,038)	$	(4,581,524)

	Three Months Ended March 31, 2014
	Amount of realized		Amount of unrealized
Primary underlying risk	gain (loss)		appreciation (depreciation)		Total
Interest rate:
Interest rate swaps	$	(376,314)	$	(4,229,298)	$	(4,605,612)
Swaptions		(84,000)		(680,405)		(764,405)
Futures		(191,047)		(154,265)		(345,312)
TBAs		(191,406)		(68,359)		(259,765)
Total	$	(842,767)	$	(5,132,327)	$	(5,975,094)

(1) In the three month period ended March 31, 2015, net swap interest expense totaled $712,406 comprised of $520,922 in interest expense paid (included in realized gain (loss) and $191,484 in accrued interest expense (included in unrealized appreciation (depreciation). In the three month period ended March 31, 2014 net swap interest expense totaled $637,015 comprised of $376,314 in interest expense paid (included in realized gain (loss) and $260,701 in accrued interest expense (included in unrealized appreciation (depreciation).