DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2016 and December 31, 2015.

	September 30, 2016
	Derivative Assets				Derivative Liabilities
	Fair value		Notional		Fair value			Notional
Futures		-		-		(4,613,988	)		5,978,000,000
Total	$	-		-	$	(4,613,988	)		5,978,000,000
	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 September 30, 2016 and December 31, 2015:

As of September 30, 2016 the Company did not have any assets subject to Master Agreements or similar agreements.

	December  31, 2015
									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
Futures	$	2,558,350		$	-	$	2,558,350		$	-	$	-	$	2,558,350
Total	$	2,558,350		$	-	$	2,558,350		$	-	$	-	$	2,558,350
	September 30, 2016
									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	$	(746,625,821	)	$	-	$	(746,625,821	)	$	-	$	-	$	(746,625,821	)
Futures		(4,613,988	)		-		(4,613,988	)		-		4,613,988		-
Total	$	(751,239,809	)	$	-	$	(751,239,809	)	$	-	$	4,613,988	$	(746,625,821	)
	December 31, 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	$	(518,735,457	)	$	-	$	(518,735,457	)	$	-	$	-	$	(518,735,457	)
FHLB Advances		(49,697,000	)		-		(49,697,000	)		-		-		(49,697,000	)
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 and nine months ended September 30, 2016 and September 30, 2015:

	Three months ended September 30, 2016
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)		Total
Interest rate:
Futures		(820,974	)		3,340,600		2,519,626
Total	$	(820,974	)	$	3,340,600	$	2,519,626

	Three Months Ended September 30, 2015
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Interest rate swaps (1)	$	(5,552,898	)	$	2,777,551		$	(2,775,347	)
Futures		(2,709,525	)		(1,145,644	)		(3,855,169	)
Total	$	(8,262,423	)	$	1,631,907		$	(6,630,516	)

(1) In the three month period ended September 30, 2015 net swap interest expense totaled $782,870 comprised of $1,233,249 in interest expense paid (included in realized gain (loss)) and $450,379 in accrued interest income (included in unrealized appreciation (depreciation)).

	Nine Months Ended September 30, 2016
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Futures		(3,167,877	)		(7,172,338	)		(10,340,215	)
Total	$	(3,167,877	)	$	(7,172,338	)	$	(10,340,215	)

	Nine Months Ended September 30, 2015
	Amount of realized			Amount of unrealized
Primary underlying risk	gain (loss)			appreciation (depreciation)			Total
Interest rate:
Interest rate swaps (1)	$	(6,974,491	)	$	1,681,725		$	(5,292,766	)
Swaptions		(84,000	)		62,450			(21,550	)
Futures		(5,251,810	)		(961,274	)		(6,213,084	)
Total	$	(12,310,301	)	$	782,901		$	(11,527,400	)

(1) In the nine month period ended September 30, 2015, net swap interest expense totaled $2,216,417 comprised of $2,654,405 in interest expense paid (included in realized gain (loss)) and $437,988 in accrued interest expense (included in unrealized appreciation (depreciation)).