AVAILABLE-FOR-SALE SECURITIES

The following table presents the Company’s AFS investment securities by collateral type at fair value as of March 31, 2017 and December 31, 2016:



	March 31, 2017		December 31, 2016
Mortgage-backed securities:
Agency
Federal Home Loan Mortgage Corporation	$	395,607,052	$	326,958,046
Federal National Mortgage Association	604,303,618		463,232,187
Non-Agency	—		7,592,802
Multi-Family	35,810,200		73,146,566
Total mortgage-backed securities	$	1,035,720,870	$	870,929,601

The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of March 31, 2017 and December 31, 2016:



	March 31, 2017
	Agency			Non-Agency		Multi-Family			Total
Face Value	$	981,890,924		$	—	$	48,666,385		$	1,030,557,309
Unamortized premium	21,113,937			—		—			21,113,937
Unamortized discount
Designated credit reserve and OTTI ⁽²⁾	—			—		—			—
Net, unamortized	(887,983		)	—		(11,781,042		)	(12,669,025		)
Amortized Cost	1,002,116,878			—		36,885,343			1,039,002,221
Gross unrealized gain	3,968,851			—		—			3,968,851
Gross unrealized (loss)	(6,175,059		)	—		(1,075,143		)	(7,250,202		)
Fair Value	$	999,910,670		$	—	$	35,810,200		$	1,035,720,870



	December 31, 2016
	Agency			Non-Agency (1)			Multi - Family			Total
Face Value	$	779,219,115		$	4,393,771		$	100,907,815		$	884,520,701
Unamortized premium	17,748,138			—			—			17,748,138
Unamortized discount
Designated credit reserve and OTTI ⁽²⁾	—			(1,929,833		)	—			(1,929,833		)
Net, unamortized	(1,311,292		)	(369,887		)	(26,160,083		)	(27,841,262		)
Amortized Cost	795,655,961			2,094,051			74,747,732			872,497,744
Gross unrealized gain	2,663,975			234,647			509,519			3,408,141
Gross unrealized (loss)	(8,129,703		)				(2,110,685		)	(10,240,388		)
Fair Value	$	790,190,233		$	2,328,698		$	73,146,566		$	865,665,497


(1)	Non-Agency AFS does not include interest-only securities with a notional amount of $509,109,248, book value of $14,712,374, unrealized loss of $9,448,270 and a fair value of $5,264,104 as of December 31, 2016.


(2)	Discount designated as Credit Reserve is generally not expected to be accreted into interest income. Amounts disclosed reflect Credit Reserve of $0 and $1,929,833, at March 31, 2017 and December 31, 2016, respectively.

At March 31, 2017, the Company did not intend to sell any of its MBS that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS before recovery of their amortized cost basis, which may be at their maturity.

The Company did not recognize credit-related OTTI losses through earnings during the three months ended March 31, 2017. As of March 31, 2016, the Company recognized credit-related losses of $0.02 million on one non-Agency RMBS.

Non-Agency RMBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes, or credit impairment. The Company’s estimate of cash flows for its Non-Agency RMBS is based on its review of the underlying mortgage loans securing these RMBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as Rating Agency reports, general market assessments, and dialogue with market participants. Significant judgment is used in both the Company’s analysis of the expected cash flows for its Non-Agency RMBS and any determination of OTTI that is the result, at least in part, of credit impairment.

The following tables present the composition of OTTI charges recorded by the Company for the three months ended March 31, 2017 and March 31, 2016:



	Three Months Ended March 31,
	2017			2016
Cumulative credit loss at beginning of period	$	(3,074,728	)	$	(3,636,432	)

Additions:
Initial (increase) in credit reserves	—			(20,994		)
Subsequent (increase) in credit reserves	—			—
Initial additional other-than-temporary credit impairment losses	—			—
Subsequent additional other-than-temporary credit impairment losses	—			—

Reductions:
For securities sold decrease in credit reserves	—			—
For securities sold decrease in other-than-temporary impairment	—			—

Cumulative credit (loss) at end of period	$	(3,074,728	)	$	(3,657,426	)

The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time the securities had an unrealized loss position as of March 31, 2017, and December 31, 2016. At March 31, 2017, the Company held 50 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and four were in an unrealized loss for more than twelve months. At December 31, 2016, the Company held 46 AFS securities, of which 31 were in an unrealized loss position for less than twelve consecutive months and five were in an unrealized loss position for more than twelve months:



	Less than 12 months					Greater than 12 months					Total
	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
March 31, 2017	$	583,314,803	$	(6,175,059	)	$	35,810,200	$	(1,075,143	)	$	619,125,003	$	(7,250,202	)
December 31, 2016	$	619,414,077	$	(8,129,704	)	$	45,879,433	$	(2,110,684	)	$	665,293,510	$	(10,240,388	)

To the extent the Company determines there are likely to be decreases in cash flows expected to be collected, and as a result of non-credit impairment, such changes are generally recognized prospectively through adjustment of the security’s yield over its remaining life.

The following table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities for the three months ended March 31, 2017 and March 31, 2016:



	Three Months Ended March 31, 2017			Three Months Ended March 31, 2016
AFS securities sold, at cost	$	55,602,307		$	88,932,353
Proceeds from AFS securities sold	46,285,304			82,592,076
Net realized gain (loss) on sale of AFS securities	$	(9,317,003	)	$	(6,340,277	)

The following tables present the fair value of AFS investment securities by rate type as of March 31, 2017 and December 31, 2016:



	March 31, 2017
	Agency		Non-Agency		Multi-Family		Total
Adjustable rate	$	998,859,824	$	—	$	—	$	998,859,824
Fixed rate	1,050,846		—		35,810,200		36,861,046
Total	$	999,910,670	$	—	$	35,810,200	$	1,035,720,870



	December 31, 2016
	Agency		Non-Agency		Multi- Family		Total
Adjustable rate	$	788,727,476	$	7,592,802	$	—	$	796,320,278
Fixed rate	1,462,757		—		73,146,566		74,609,323
Total	$	790,190,233	$	7,592,802	$	73,146,566	$	870,929,601

The following tables present the fair value of AFS investment securities by maturity date as of March 31, 2017 and December 31, 2016:



	March 31, 2017		December 31, 2016
Greater than or equal to one year and less than five years	567,544,659		399,872,894
Greater than or equal to five years	468,176,211		471,056,707
Total	$	1,035,720,870	$	870,929,601

As described in Note 2, when the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company generally does not amortize into income a significant portion of this discount that the Company is entitled to earn because it does not expect to collect it due to the inherent credit risk of the security. The Company may also record an OTTI for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as an off balance sheet credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable.

Actual maturities of AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years.

The following tables present the changes for the three months ended March 31, 2017 and the year ended December 31, 2016 of the unamortized net discount and designated credit reserves on the Company’s MBS.



	Designated credit reserve			Unamortized net discount			Total
Beginning Balance as of January 1, 2017	$	(1,929,833	)	$	(27,841,262	)	$	(29,771,095	)
Acquisitions	—			—			—
Dispositions	1,929,833			13,815,430			15,745,263
Accretion of net discount	—			1,356,807			1,356,807
Realized gain on paydowns	—			—			—
Realized credit losses	—			—			—
Addition to credit reserves	—			—			—
Release of credit reserves	—			—			—
Ending Balance at March 31, 2017	$	—		$	(12,669,025	)	$	(12,669,025	)



	December 31, 2016
	Designated credit reserve			Unamortized net discount			Total
Beginning Balance as of January 1, 2016	$	(8,891,565	)	$	(57,280,275	)	$	(66,171,840	)
Acquisitions	—			—			—
Dispositions	4,893,913			21,637,637			26,531,550
Accretion of net discount	—			6,703,365			6,703,365
Realized gain on paydowns	—			325,709			325,709
Realized credit losses	3,023,911			(183,790		)	2,840,121
Addition to credit reserves	(1,021,433		)	1,021,433			—
Release of credit reserves	65,341			(65,341		)	—
Ending Balance at December 31, 2016	$	(1,929,833	)	$	(27,841,262	)	$	(29,771,095	)

Gains and losses from the sale of AFS securities are recorded within realized gain (loss) on sale of investments, net in the Company's condensed consolidated statements of operations.

Unrealized gains and losses on the Company’s AFS securities are recorded as unrealized gain (loss) on available-for-sale securities, net in the Company's condensed consolidated statement of comprehensive income (loss). For the three months ended March 31, 2017, the Company had unrealized gains (losses) on AFS securities of $3,550,902.

The following tables present components of interest income on the Company’s AFS securities for the three months ended March 31, 2017 and March 31, 2016:



	Three Months Ended March 31, 2017						Three Months Ended March 31, 2016
	Coupon interest		Net (premium amortization)/ discount accretion		Interest income		Coupon interest		Net (premium amortization)/ discount accretion		Interest income
Agency	$	5,380,580	$	466,291	$	5,846,871	$	2,023,202	$	23,184	$	2,046,386
Non-Agency	42,254		9,946		52,200		762,081		496,838		1,258,919
Multi-Family	—		923,551		923,551		257,869		1,335,864		1,593,733
Total	$	5,422,834	$	1,399,788	$	6,822,622	$	3,043,152	$	1,855,886	$	4,899,038