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 December 31, 2018, the Company no longer held any AFS securities:



	December 31, 2017
Mortgage-backed securities:
Agency
Federal Home Loan Mortgage Corporation	$	530,640,091
Federal National Mortgage Association	754,443,557
Multi-Family	5,742,000
Total mortgage-backed 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 December 31, 2018, the Company no longer held any AFS securities:



	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	(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 December 31, 2018, the Company had sold all of its AFS securities. The Company did not recognize credit-related OTTI losses through earnings during the years ended December 31, 2018 and December 31, 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 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 table presents a summary of the Company’s net realized gain (loss) from the sale of AFS securities for the years ended December 2018 and December 2017:



	December 31, 2018			December 31, 2017
AFS securities sold, at cost	$	1,260,655,162		$	509,084,520
Proceeds from AFS securities sold	1,227,314,578			495,030,356
Net realized gain (loss) on sale of AFS securities	$	(33,340,584	)	$	(14,054,164	)

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



	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

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



	December 31, 2017
Greater than 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 year ended December 31, 2018 and the year ended December 31, 2017 of the unamortized net discount and designated credit reserves on the Company’s AFS securities.



	December 31, 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 December 31, 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 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" and "reclassification adjustment for net loss included in net income (loss)" in the Company's consolidated statement of comprehensive income (loss). For the year ended December 31, 2018, the Company had unrealized gains on AFS securities of $12,617,794 and for the year ended December 31, 2017 the Company had unrealized (losses) on AFS securities of ($5,785,854).

The following tables present components of interest income on the Company’s AFS securities for the years ended December 31, 2018 and December 31, 2017:



	Year Ended December 31, 2018
	Coupon interest		Net (premium amortization)/ discount accretion			Interest income
Agency	$	12,152,397	$	(1,435,534	)	$	10,716,863
Non-Agency	—		—			—
Multi-Family	—		32,103			32,103
Total	$	12,152,397	$	(1,403,431	)	$	10,748,966



	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