DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2015 and December 31, 2014.

	June 30, 2015
	Derivative Assets				Derivative Liabilities
	Fair value		Notional		Fair value		Notional
Interest rate swaps	$	-		-	$	(2,850,933)		271,000,000
Futures		-		-		(349,586)		190,000,000
Total	$	-		-	$	(3,200,519)		461,000,000

	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 June 30, 2015 and December 31, 2014:

	June 30, 2015
	Notional		Fair		Fixed Pay			Maturity		Forward
Current Maturity Date	Amount		Value		Rate			Years		Starting
3 years or less	$	35,000,000	$	(110,768)		0.66	%		0.6		0.0	%
Greater than 3 years and less than 5 years		236,000,000		(2,740,165)		1.60	%		3.2		0.0	%
Total	$	271,000,000	$	(2,850,933)		1.48	%		2.9		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 June 30, 2015 and December 31, 2014:

	June 30, 2015
							Gross amounts not offset
					Net amounts		in the Balance Sheet (1)
	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	$	541,041,099	$	-	$	541,041,099	$	-	$	-	$	541,041,099
Interest rate swaps		(2,850,933)		-		(2,850,933)		-		2,850,933		-
Futures		(349,586)		-		(349,586)		-		349,586		-
FHLB Advances		53,400,000		-		53,400,000						53,400,000
Total	$	591,240,580	$	-	$	591,240,580	$	-	$	3,200,519	$	594,441,099

	December 31, 2014
							Gross amounts not offset
					Net amounts		in the Balance Sheet (1)
	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
					Net amounts		in the Balance Sheet (1)
	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 Transactions.

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 June 30, 2015 and June 30, 2014 and six months ended June 30, 2015 and June 30, 2014:

	Three Months Ended June 30, 2015
	Amount of realized			Amount of unrealized
Primary underlying risk		gain (loss)			appreciation (depreciation)		Total
Interest rate:
Interest rate swaps	$	(900,671	)	$	776,847	$	(123,824	)
Futures		(316,721	)		125,185		(191,536	)
Total	$	(1,217,392	)	$	902,032	$	(315,360	)

	Three Months Ended June 30, 2014
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Interest rate swaps	$	(765,826	)	$	(4,807,659	)	$	(5,573,485	)
Swaptions		(84,000	)		(467,598	)		(551,598	)
Futures		-			(693,285	)		(693,285	)
Total	$	(849,826	)	$	(5,968,542	)	$	(6,818,368	)

(1) In the three month period ended June 30, 2015, net swap interest expense totaled $719,442 comprised of $900,215 in interest expense paid (included in realized gain (loss) and $180,772 in accrued interest income (included in unrealized appreciation (depreciation). In the three month period ended June, 2014, net swap interest expense totaled $679,777 comprised of $765,826 in interest expense paid (included in realized gain (loss) and $86,049 in accrued interest income (included in unrealized appreciation (depreciation).

	Six Months Ended June 30, 2015
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Interest rate swaps	$	(1,421,593	)	$	(1,095,827	)	$	(2,517,420	)
Swaptions		(84,000	)		62,450			(21,550	)
Futures		(2,542,285	)		184,371			(2,357,914	)
Total	$	(4,047,878	)	$	(849,006	)	$	(4,896,884	)

	Six Months Ended June 30, 2014
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Interest rate swaps	$	(1,142,140	)	$	(9,036,957	)	$	(10,179,097	)
Swaptions		(168,000	)		(1,148,003	)		(1,316,003	)
Futures		(191,047	)		(847,550	)		(1,038,597	)
TBAs		(191,406	)		(68,359	)		(259,765	)
Total	$	(1,692,593	)	$	(11,100,869	)	$	(12,793,462	)

(1) In the six month period ended June 30, 2015, net swap interest expense totaled $1,433,547 comprised of $1,421,156 in interest expense paid (included in realized gain (loss) and $12,391 in accrued interest expense (included in unrealized appreciation (depreciation). In the six month period ended June, 2014, net swap interest expense totaled $1,316,793 comprised of $1,142,140 in interest expense paid (included in realized gain (loss) and $174,653 in accrued interest expense (included in unrealized appreciation (depreciation).