FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2016

Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]

The following tables summarize the valuation of the Company’s assets and liabilities at fair value within the fair value hierarchy levels as of March 31, 2016 and December 31, 2015:

	Quoted prices in		Significant
	active markets		other observable		Unobservable
	for identical assets		inputs		inputs		Balance as of
March 31, 2016	Level 1		Level 2		Level 3		March 31, 2016
Assets:
Residential mortgage-backed securities (a)	$	-	$	468,482,202	$	-	$	468,482,202
Residential mortgage loans		-		12,806,307		-		12,806,307
Multi-Family mortgage loans held in securitization trusts		-		1,433,612,858		-		1,433,612,858
Residential mortgage loans held in securitization trusts		-		396,542,860		-		396,542,860
Mortgage servicing rights		-		-		3,368,385		3,368,385
FHLB stock		1,030,500		-		-		1,030,500
Total	$	1,030,500	$	2,311,444,227	$	3,368,385	$	2,315,843,112

Liabilities:
Multi-family securitized debt obligations	$	-	$	(1,346,254,828)	$	-	$	(1,346,254,828)
Residential securitized debt obligations		-		(367,958,982)		-		(367,958,982)
Futures		(5,904,050)		-		-		(5,904,050)
Total	$	(5,904,050)	$	(1,714,213,810)	$	-	$	(1,720,117,860)

	Quoted prices in		Significant
	active markets		other observable		Unobservable
	for identical assets		inputs		inputs		Balance as of
December 31, 2015	Level 1		Level 2		Level 3		December 31, 2015
Assets:
Residential mortgage-backed securities (a)	$	-	$	571,466,581	$	-	$	571,466,581
Residential mortgage loans		-		10,900,402		-		10,900,402
Multi-Family mortgage loans held in securitization trusts		-		1,449,774,383		-		1,449,774,383
Residential mortgage loans held in securitization trusts		-		411,881,097		-		411,881,097
Mortgage servicing rights				-		4,268,673		4,268,673
FHLB Stock		2,403,000				-		2,403,000
Futures		2,558,350				-		2,558,350
Total	$	4,961,350	$	2,444,022,463	$	4,268,673	$	2,453,252,486

Liabilities:
Interest rate swaps	$	-	$		$	-	$	-
Multi-family securitized debt obligations		-		(1,364,077,012)		-		(1,364,077,012)
Residential securitized debt obligations		-		(380,638,423)		-		(380,638,423)
Futures		-		-		-		-
Total	$	-	$	(1,744,715,435)	$	-	$	(1,744,715,435)

(a)

For more detail about the fair value of the Company’s MBS and type of securities, see Note 3 and Note 4.

Fair Value Inputs, Assets, Quantitative Information [Table Text Block]

The following table provides quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at March 31, 2016 and December 31, 2015:

As of March 31, 2016
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate		6.9 - 28.3%		16.1	%
	Discount rate		12.0%		12.0	%

As of December 31, 2015
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate		6.5 - 28.6%		13.3	%
	Discount rate		12.0%		12.0	%