DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016 and December 31, 2015.

	March 31, 2016
	Derivative Assets				Derivative Liabilities
	Fair value		Notional		Fair value		Notional
Futures		-		-		(5,904,050)		5,405,000,000
Total	$	-		-	$	(5,904,050)		5,405,000,000

	December 31, 2015
	Derivative Assets				Derivative Liabilities
	Fair value		Notional		Fair value		Notional
Futures		2,558,350		5,945,000,000		-		-
Total	$	2,558,350		5,945,000,000	$	-		-

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, 2016 and December 31, 2015:

March  31, 2016

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

Futures

$

-

$

-

$

-

$

-

$

-

$

-

Total

$

-

$

-

$

-

$

-

$

-

$

-

	December  31, 2015
							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
Futures	$	2,558,350	$	-	$	2,558,350	$	-	$	-	$	2,558,350
Total	$	2,558,350	$	-	$	2,558,350	$	-	$	-	$	2,558,350

	March 31, 2016
							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	$	(469,626,356)	$	-	$	(469,626,356)	$	-	$	-	$	(469,626,356)
Futures		(5,904,050)		-		(5,904,050)		-		5,904,050		-
Total	$	(475,530,406)	$	-	$	(475,530,406)	$	-	$	5,904,050	$	(469,626,356)

	December 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	$	(518,735,457)	$	-	$	(518,735,457)	$	-	$	-	$	(518,735,457)
FHLB Advances		(49,697,000)		-		(49,697,000)		-				(49,697,000)
Futures				-		-		-				-
Total	$	(568,432,457)	$	-	$	(568,432,457)	$	-	$	-	$	(568,432,457)

(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.

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, 2016 and March 31, 2015:

	Three months ended March 31, 2016
	Amount of realized		Amount of unrealized
Primary underlying risk	gain (loss)		appreciation (depreciation)		Total
Interest rate:
Futures	$	(1,585,541)	$	(8,462,400)	$	(10,047,941)
Total	$	(1,585,541)	$	(8,462,400)	$	(10,047,941)

	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 (1)	$	(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)

(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)).