AVAILABLE-FOR-SALE SECURITIES (Tables)

3 Months Ended

Mar. 31, 2018

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, 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

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, 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

Composition of OTTI Charges Recorded

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	)

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, 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	)

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, 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	)

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, 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

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, 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

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, 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	)

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, 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