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AVAILABLE-FOR-SALE SECURITIES (Tables)
 12 Months Ended
Dec. 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 December 31, 2017 and December 31, 2016:
 
 
December 31, 2017
 
December 31, 2016
Mortgage-backed securities:
 

 
 

Agency
 

 
 

Federal Home Loan Mortgage Corporation
$
530,640,091

 
$
326,958,046

Federal National Mortgage Association
754,443,557

 
463,232,187

Non-Agency
—

 
7,592,802

Multi-Family
5,742,000

 
73,146,566

Total mortgage-backed securities
$
1,290,825,648

 
$
870,929,601
Amoritized 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 December 31, 2017 and December 31, 2016:
 
 
December 31, 2017
 
Agency
 
Non-Agency
 
Multi-Family
 
Total
Face Value
$
1,274,329,317

 
$
—

 
$
7,500,000

 
$
1,281,829,317

Unamortized premium
23,818,687

 
—

 
—

 
23,818,687

Unamortized discount
 

 
 

 
 

 
 

Designated credit reserve and OTTI (2)
—

 
—

 
—

 
—

Net, unamortized
(491,020
)
 
—

 
(1,713,542
)
 
(2,204,562
)
Amortized Cost
1,297,656,984

 
—

 
5,786,458

 
1,303,443,442

Gross unrealized gain
751,458

 
—

 
—

 
751,458

Gross unrealized (loss)
(13,324,794
)
 
—

 
(44,458
)
 
(13,369,252
)
Fair Value
$
1,285,083,648

 
$
—

 
$
5,742,000

 
$
1,290,825,648

 
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 $9,448,271 and a fair value of $5,264,104 at 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 and at December 31, 2017 and December 31, 2016.
Composition of OTTI Charges Recorded
The following table present the composition of OTTI charges recorded by the Company for the years ended December 31, 2017, 2016, and 2015:
 
 
Year Ended
December 31,
 
2017
 
2016
 
2015
Cumulative credit loss at beginning of period
$
(3,074,728
)
 
$
(3,636,431
)
 
—

Additions:
 

 
 

 
 

Initial (increase) in credit reserves
—

 
(541,342
)
 
(745,492
)
Subsequent (increase) in credit reserves
—

 
—

 
—

Initial additional other-than-temporary credit impairment losses
—

 
(183,790
)
 
(2,890,939
)
Subsequent additional other-than-temporary credit impairment losses
—

 
—

 
—

Reductions:
 

 
 

 
 

For securities sold decrease in credit reserves
—

 
1,286,835

 
—

For securities sold decrease in other-than-temporary impairment
—

 
—

 
—

Cumulative credit (loss) at end of period
$
(3,074,728
)
 
$
(3,074,728
)
 
(3,636,431
)
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 December 31, 2017, and December 31, 2016. At December 31, 2017 the Company held 59 AFS securities, of which 49 were in an unrealized loss position for less than twelve consecutive months and five were in an unrealized loss for more than twelve months. All of these securities were either Agency RMBS or Multi-Family MBS. As such, credit-related adverse cash flow changes are not applicable and consequently no OTTI is recognized. 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
December 31, 2017
$
1,084,010,586

 
$
(11,135,736
)
 
$
95,024,791

 
$
(2,233,516
)
 
$
1,179,035,377

 
$
(13,369,252
)
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, inclusive of securities previously booked as linked, for the years ended December 2017, December 2016, and December 2015.
 
 
December 31, 2017
 
December 31, 2016
 
December 31, 2015
AFS securities sold, at cost
$
509,084,520

 
$
268,849,640

 
$
267,741,325

AFS principal payments, at cost
—

 
98,166,335

 
70,836,624

Proceeds from AFS securities sold
495,030,356

 
263,143,871

 
267,567,905

Proceeds from AFS principal payments
—

 
96,655,967

 
70,476,212

Net realized gain (loss) on sale of AFS securities
$
(14,054,164
)
 
$
(7,216,137
)
 
$
(533,832
)
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 December 31, 2017 and December 31, 2016:
 
 
December 31, 2017
 
Agency
 
Non-Agency
 
Multi-Family
 
Total
Adjustable rate
$
1,284,237,670

 
$
—

 
$
—

 
$
1,284,237,670

Fixed rate
845,978

 
—

 
5,742,000

 
6,587,978

Total
$
1,285,083,648

 
$
—

 
$
5,742,000

 
$
1,290,825,648

 
 
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 December 31, 2017 and December 31, 2016:
 
 
December 31, 2017
 
December 31, 2016
Less than one year
$
—

 
$
—

Greater than one year and less than five years
1,187,909,353

 
399,872,894

Greater than or equal to five years
102,916,295

 
471,056,707

Total
$
1,290,825,648

 
$
870,929,601
Changes of the Unamoritized Net Discount and Designated Credit Reserves on the MBS
The following tables present the changes for the year ended December 31, 2017 and the year ended December 31, 2016 of the unamortized net discount and designated credit reserves on the Company’s MBS.
 
 
December 31, 2017
 
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

 
22,685,756

 
24,615,589

Accretion of net discount
—

 
2,950,944

 
2,950,944

Realized gain on paydowns
—

 
—

 
—

Realized credit losses
—

 
—

 
—

Addition to credit reserves
—

 
—

 
—

Release of credit reserves
—

 
—

 
—

Ending Balance at December 31, 2017
$
—

 
$
(2,204,562
)
 
$
(2,204,562
)
 
 
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 years December 31, 2017, December 31, 2016, December 31, 2015:

 
Year Ended December 31, 2017
 
Coupon
interest
 
Net (premium
amortization)/
discount accretion
 
Interest
income
Agency
$
28,003,938

 
$
(654,970
)
 
$
27,348,968

Non-Agency
42,254

 
9,946

 
52,200

Multi-Family
—

 
2,120,725

 
2,120,725

Total
$
28,046,192

 
$
1,475,701

 
$
29,521,893




 
Year Ended December 31, 2016
 
Coupon interest
 
Net (premium amortization)/ discount accretion
 
Interest income
Agency
$
13,138,828

 
$
341,020

 
$
13,479,848

Non-Agency
2,579,344

 
1,343,594

 
3,922,938

Multi-Family
1,006,106

 
5,066,873

 
6,072,979

Total
$
16,724,278

 
$
6,751,487

 
$
23,475,765


 
Year Ended December 31, 2015
 
Coupon interest
 
Net (premium amortization)/ discount accretion
 
Interest income
Agency
$
7,286,166

 
$
241,550

 
$
7,527,716

Non-Agency
2,357,814

 
7,653,839

 
10,011,653

Multi-Family
1,443,326

 
5,315,461

 
6,758,787

Total
$
11,087,306

 
$
13,210,850

 
$
24,298,156