AVAILABLE-FOR-SALE SECURITIES

The following table presents the Company’s AFS investment securities by collateral type at fair value as of December 31, 2017. As of September 30, 2018, the Company no longer held any AFS securities:



	December 31, 2017
Available-for-sale securities:
Agency
Federal Home Loan Mortgage Corporation	$	530,640,091
Federal National Mortgage Association	754,443,557
Multi-Family	5,742,000
Total available-for-sale securities	$	1,290,825,648

The following table presents the amortized cost and fair value of the Company’s AFS investment securities by collateral type as of December 31, 2017. As of September 30, 2018, the Company no longer held any AFS securities.



	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 September 30, 2018 the Company had sold all of its AFS securities. At December 31, 2017, the Company did not intend to sell any of its MBS that were in an unrealized loss position, and it was not "more likely than not" that the Company would be required to sell these AFS securities 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 nine months ended September 30, 2018 and September 30, 2017.

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. At September 30, 2018, the Company did not hold any AFS securities. 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
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 tables present a summary of the Company’s net realized gain (loss) from the sale of AFS securities for the three and nine months ended September 30, 2018, and September 30, 2017:



	Three Months Ended September 30, 2018		Three Months Ended September 30, 2017
AFS securities sold, at cost	$	—	$	421,186,153
Proceeds from AFS securities sold	$	—	$	416,037,708
Net realized gain (loss) on sale of AFS securities	$	—	$	(5,148,445	)



	Nine Months Ended September 30, 2018			Nine Months Ended September 30, 2017
AFS securities sold, at cost	$	1,260,655,162		$	483,621,259
Proceeds from AFS securities sold	$	1,227,314,578		$	469,004,262
Net realized gain (loss) on sale of AFS securities	$	(33,340,584	)	$	(14,616,997	)

The following table presents the fair value of AFS investment securities by rate type as of December 31, 2017. As of September 30, 2018, the Company no longer held any AFS securities:



	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 table presents the fair value of AFS investment securities by maturity date as of December 31, 2017. As of September 30, 2018, the Company no longer held any AFS securities:



	December 31, 2017
Greater than or equal to one year and less than five years	$	1,187,909,353
Greater than or equal to five years	102,916,295
Total	$	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 nine months ended September 30, 2018 and the year ended December 31, 2017 of the unamortized net discount and designated credit reserves on the Company’s AFS securities:



	September 30, 2018
	Designated credit reserve		Unamortized net discount			Total
Beginning Balance as of January 1, 2018	$	—	$	(2,204,562	)	$	(2,204,562	)
Dispositions	—		2,042,842			2,042,842
Accretion of net discount	—		161,720			161,720
Ending Balance at September 30, 2018	$	—	$	—		$	—



	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). At September 30, 2018, the Company did not have any unrealized gains (losses) on AFS securities and for the nine months ended September 30, 2017, the Company had unrealized gains (losses) on AFS securities of $(2,954,193).

The following tables present components of interest income on the Company’s AFS securities for the three and nine months ended September 30, 2018 and September 30, 2017:



	Three Months Ended September 30, 2018						Three Months Ended September 30, 2017
	Coupon interest		Net (premium amortization)/ discount accretion		Interest income		Coupon interest		Net (premium amortization)/ discount accretion			Interest income
Agency	$	—	$	—	$	—	$	7,870,458	$	(514,600	)	$	7,355,858
Non-Agency	—		—		—		—		—			—
Multi-Family	—		—		—		—		471,423			471,423
Total	$	—	$	—	$	—	$	7,870,458	$	(43,177	)	$	7,827,281



	Nine Months Ended September 30, 2018							Nine Months Ended September 30, 2017
	Coupon interest		Net (premium amortization)/ discount accretion			Interest income		Coupon interest		Net (premium amortization)/ discount accretion			Interest income
Agency	$	12,152,397	$	(1,435,534	)	$	10,716,863	$	19,613,173	$	(263,230	)	$	19,349,943
Non-Agency	—		—			—		42,254		9,946			52,200
Multi-Family	—		32,103			32,103		—		1,906,439			1,906,439
Total	$	12,152,397	$	(1,403,431	)	$	10,748,966	$	19,655,427	$	1,653,155		$	21,308,582