AVAILABLE-FOR-SALE SECURITIES

The following table presents the Company’s AFS investment securities by collateral type at fair value as of March 31, 2018 and December 31, 2017:



	March 31, 2018		December 31, 2017
Available-for-sale securities:
Agency
Federal Home Loan Mortgage Corporation	$	430,520,486	$	530,640,091
Federal National Mortgage Association	664,668,778		754,443,557
Multi-Family	—		5,742,000
Total available-for-sale securities	$	1,095,189,264	$	1,290,825,648

The following tables present the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of March 31, 2018 and December 31, 2017:



	March 31, 2018
	Agency			Multi-Family		Total
Face Value	$	1,098,998,936		$	—	$	1,098,998,936
Unamortized premium	20,077,893			—		20,077,893
Unamortized discount	(404,423		)	—		(404,423		)
Amortized Cost	1,118,672,406			—		1,118,672,406
Gross unrealized gain	—			—		—
Gross unrealized (loss)	(23,483,142		)	—		(23,483,142		)
Fair Value	$	1,095,189,264		$	—	$	1,095,189,264



	December 31, 2017
	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	(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

At March 31, 2018 and December 31, 2017, the Company did not intend to sell any of its MBS that were in an unrealized loss position, and it is not "more likely than not" that the Company will be required to sell these MBS before recovery of their amortized cost basis, which may be their maturity. The Company did not recognize credit-related OTTI losses through earnings during the three months ended March 31, 2018 and March 31, 2017.

The following table presents the composition of OTTI charges recorded by the Company for the three months ended March 31, 2018 and March 31, 2017:



	Three Months Ended March 31,
	2018			2017
Cumulative credit (loss) at beginning of period	$	(3,074,728	)	$	(3,074,728	)

Additions:
Initial (increase) in credit reserves	—			—
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	)	$	(3,074,728	)

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, 2018 and December 31, 2017. At March 31, 2018, the Company held 51 AFS securities, of which 46 were in an unrealized loss position for less than twelve consecutive months and five were in an unrealized loss for more than twelve months. 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 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, 2018	$	1,003,823,817	$	(20,481,607	)	$	91,365,447	$	(3,001,535	)	$	1,095,189,264	$	(23,483,142	)
December 31, 2017	$	1,084,010,586	$	(11,135,736	)	$	95,024,791	$	(2,233,516	)	$	1,179,035,377	$	(13,369,252	)

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, 2018 and March 31, 2017:



	Three Months Ended March 31, 2018			Three Months Ended March 31, 2017
AFS securities sold, at cost	$	147,058,544		$	55,602,307
Proceeds from AFS securities sold	$	144,210,537		$	46,285,304
Net realized gain (loss) on sale of AFS securities	$	(2,848,007	)	$	(9,317,003	)

The following tables present the fair value of AFS investment securities by rate type as of March 31, 2018 and December 31, 2017:



	March 31, 2018
	Agency		Multi-Family		Total
Adjustable rate	$	1,094,378,500	$	—	$	1,094,378,500
Fixed rate	810,764		—		810,764
Total	$	1,095,189,264	$	—	$	1,095,189,264



	December 31, 2017
	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

The following tables present the fair value of AFS investment securities by maturity date as of March 31, 2018 and December 31, 2017:



	March 31, 2018		December 31, 2017
Greater than or equal to one year and less than five years	$	992,367,597	$	1,187,909,353
Greater than or equal to five years	102,821,667		102,916,295
Total	$	1,095,189,264	$	1,290,825,648

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, 2018 and the year ended December 31, 2017 of the unamortized net discount and designated credit reserves on the Company’s MBS:



	March 31, 2018
	Designated credit reserve		Unamortized net discount			Total
Beginning Balance as of January 1, 2018	$	—	$	(2,204,562	)	$	(2,204,562	)
Dispositions	—		1,736,855			1,736,855
Accretion of net discount	—		63,284			63,284
Ending Balance at March 31, 2018	$	—	$	(404,423	)	$	(404,423	)



	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	)
Dispositions	1,929,833			22,685,756			24,615,589
Accretion of net discount	—			2,950,944			2,950,944
Ending Balance at December 31, 2017	$	—		$	(2,204,562	)	$	(2,204,562	)

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, 2018, the Company had unrealized gains (losses) on AFS securities of $(10,865,347) and for 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, 2018 and March 31, 2017:



	Three Months Ended March 31, 2018							Three Months Ended March 31, 2017
	Coupon interest		Net (premium amortization)/ discount accretion			Interest income		Coupon interest		Net (premium amortization)/ discount accretion		Interest income
Agency	$	8,323,342	$	(1,275,855	)	$	7,047,487	$	5,380,580	$	466,291	$	5,846,871
Non-Agency	—		—			—		42,254		9,946		52,200
Multi-Family	—		32,103			32,103		—		923,551		923,551
Total	$	8,323,342	$	(1,243,752	)	$	7,079,590	$	5,422,834	$	1,399,788	$	6,822,622