XML 42 R31.htm IDEA: XBRL DOCUMENT v3.10.0.1
AVAILABLE-FOR-SALE SECURITIES (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
December 31, 2016
Available-for-sale securities:
 
 

 
 

Agency
 
 

 
 

Federal Home Loan Mortgage Corporation
 
$
524,133,540

 
$
326,958,046

Federal National Mortgage Association
 
697,735,174

 
463,232,187

Non-Agency
 
—

 
7,592,802

Multi-Family
 
30,507,236

 
73,146,566

Total available-for-sale securities
 
$
1,252,375,950

 
$
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 June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
 
Agency
 
Non-Agency
 
Multi-Family
 
Total
Face Value
 
$
1,201,732,176

 
$
—

 
$
38,666,386

 
$
1,240,398,562

Unamortized premium
 
26,191,776

 
—

 
—

 
26,191,776

Unamortized discount
 
 

 
 

 
 

 
 

Net, unamortized
 
(718,551
)
 
—

 
(8,102,376
)
 
(8,820,927
)
Amortized Cost
 
1,227,205,401

 
—

 
30,564,010

 
1,257,769,411

Gross unrealized gain
 
2,756,978

 
—

 
76,466

 
2,833,444

Gross unrealized (loss)
 
(8,093,665
)
 
—

 
(133,240
)
 
(8,226,905
)
Fair Value
 
$
1,221,868,714

 
$
—

 
$
30,507,236

 
$
1,252,375,950


 
 
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 June 30, 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 and six months ended June 30, 2017 and June 30, 2016:
 
 
Three Months Ended
June 30,
 
 
2017
 
2016
Cumulative credit loss at beginning of period
 
$
(3,074,728
)
 
$
(3,657,426
)
 
 
 
 
 
Additions:
 
 

 
 

Initial (increase) in credit reserves
 
—

 
—

Subsequent (increase) in credit reserves
 
—

 
(146,224
)
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
)
 
$
(3,803,650
)

 
 
Six Months Ended June 30,
 
 
2017
 
2016
Cumulative credit loss at beginning of period
 
$
(3,074,728
)
 
$
(3,636,432
)
 
 
 
 
 
Additions:
 
 

 
 
Initial (increase) in credit reserves
 
—

 
—

Subsequent (increase) in credit reserves
 
—

 
(167,218
)
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
)
 
$
(3,803,650
)
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 June 30, 2017, and December 31, 2016. At June 30, 2017, the Company held 60 AFS securities, of which 41 were in an unrealized loss position for less than twelve consecutive months and two 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
June 30, 2017
 
$
794,142,898

 
$
(8,093,665
)
 
$
13,469,610

 
$
(133,240
)
 
$
807,612,508

 
$
(8,226,905
)
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 and six months ended June 30, 2017 and June 30, 2016:
 
 
Three Months Ended
June 30, 2017
 
Three Months Ended
June 30, 2016
AFS securities sold, at cost
 
$
6,832,799

 
$
102,654,599

AFS principal payments, at cost
 
—

 
19,599,985

Proceeds from AFS securities sold
 
$
6,681,250

 
$
106,681,346

Proceeds from AFS principal payments
 
—

 
19,344,386

Net realized gain (loss) on sale of AFS securities
 
$
(151,549
)
 
$
3,771,148



 
 
Six Months Ended June 30, 2017
 
Six Months Ended June 30, 2016
AFS securities sold, at cost
 
$
62,435,106

 
$
191,586,798

AFS principal payments, at cost
 
—

 
34,136,121

Proceeds from AFS securities sold
 
$
52,966,554

 
$
189,273,268

Proceeds from AFS principal payments
 
—

 
33,837,646

Net realized gain (loss) on sale of AFS securities
 
$
(9,468,552
)
 
$
(2,612,005
)
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 June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
 
Agency
 
Non-Agency
 
Multi-Family
 
Total
Adjustable rate
 
$
1,220,831,891

 
$
—

 
$
—

 
$
1,220,831,891

Fixed rate
 
1,036,823

 
—

 
30,507,236

 
31,544,059

Total
 
$
1,221,868,714

 
$
—

 
$
30,507,236

 
$
1,252,375,950


 
 
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 June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
December 31, 2016
Greater than or equal to one year and less than five years
 
$
779,054,852

 
$
399,872,894

Greater than or equal to five years
 
473,321,098

 
471,056,707

Total
 
$
1,252,375,950

 
$
870,929,601
Changes of the Unamortized Net Discount and Designated Credit Reserves on the MBS
The following tables present the changes for the six months ended June 30, 2017 and the year ended December 31, 2016 of the unamortized net discount and designated credit reserves on the Company’s MBS:
 
 
June 30, 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

 
16,982,632

 
18,912,465

Accretion of net discount
 
—

 
2,037,703

 
2,037,703

Realized gain on paydowns
 
—

 
—

 
—

Realized credit losses
 
—

 
—

 
—

Addition to credit reserves
 
—

 
—

 
—

Release of credit reserves
 
—

 
—

 
—

Ending Balance at June 30, 2017
 
$
—

 
$
(8,820,927
)
 
$
(8,820,927
)

 
 
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 and six months ended June 30, 2017 and June 30, 2016:
 
 
Three Months Ended June 30, 2017
 
Three Months Ended June 30, 2016
 
 
Coupon
interest
 
Net (premium
amortization)/
discount accretion
 
Interest
income
 
Coupon
interest
 
Net (premium
amortization)/
discount accretion
 
Interest
income
Agency
 
$
6,362,134

 
$
(214,920
)
 
$
6,147,214

 
$
2,598,975

 
$
81,068

 
$
2,680,043

Non-Agency
 
—

 
—

 
—

 
796,520

 
379,140

 
1,175,660

Multi-Family
 
—

 
511,465

 
511,465

 
257,440

 
1,218,651

 
1,476,091

Total
 
$
6,362,134

 
$
296,545

 
$
6,658,679

 
$
3,652,935

 
$
1,678,859

 
$
5,331,794

 
 
Six Months Ended June 30, 2017
 
Six Months Ended June 30, 2016
 
 
Coupon
interest
 
Net (premium
amortization)/
discount accretion
 
Interest
income
 
Coupon
interest
 
Net (premium
amortization)/
discount accretion
 
Interest
income
Agency
 
$
11,742,714

 
$
251,371

 
$
11,994,085

 
$
4,622,177

 
$
104,252

 
$
4,726,429

Non-Agency
 
42,254

 
9,946

 
52,200

 
1,558,601

 
875,978

 
2,434,579

Multi-Family
 
—

 
1,435,016

 
1,435,016

 
515,309

 
2,554,515

 
3,069,824

Total
 
$
11,784,968

 
$
1,696,333

 
$
13,481,301

 
$
6,696,087

 
$
3,534,745

 
$
10,230,832