AVAILABLE-FOR-SALE SECURITIES (Tables)

3 Months Ended

Mar. 31, 2017

Investments, Debt and Equity Securities [Abstract]

AFS Investment Securities, by Collateral Type

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

Amortized Cost and Fair Value of the AFS Investment Securities, by Collateral Type

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.

Composition of OTTI Charges Recorded

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	)

AFS Securities Not Deemed to be Other Than Temporarily Impaired

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	)

Summary of Net Realized Gain (Loss) From the Sale of AFS Securities

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	)

Fair Value of AFS Investment Securities, by Rate Type

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

Fair Value of AFS Investment Securities, by Maturity Date

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

Changes of the Unamortized Net Discount and Designated Credit Reserves on the MBS

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	)

Components of Interest Income on AFS Securities

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