2020 Q2 Form 10-Q Financial Statement

#000142820520000235 Filed on July 22, 2020

View on sec.gov

Income Statement

Concept 2020 Q2 2019 Q2
Revenue $65.00M -$85.70M
YoY Change -175.85% -246.25%
Cost Of Revenue $2.500M $87.50M
YoY Change -97.14% 145.1%
Gross Profit $62.50M -$173.2M
YoY Change -136.09% -856.33%
Gross Profit Margin 96.15%
Selling, General & Admin $10.60M $9.600M
YoY Change 10.42% 3.23%
% of Gross Profit 16.96%
Research & Development
YoY Change
% of Gross Profit
Depreciation & Amortization
YoY Change
% of Gross Profit
Operating Expenses $10.78M $10.01M
YoY Change 7.68% 7.06%
Operating Profit $51.72M -$183.2M
YoY Change -128.23% -1452.32%
Interest Expense
YoY Change
% of Operating Profit
Other Income/Expense, Net
YoY Change
Pretax Income $51.70M -$183.3M
YoY Change -128.21% -1447.79%
Income Tax
% Of Pretax Income
Net Earnings $51.75M -$183.3M
YoY Change -128.24% -1451.2%
Net Earnings / Revenue 79.61%
Basic Earnings Per Share $0.78 -$3.14
Diluted Earnings Per Share $0.77 -$3.14
COMMON SHARES
Basic Shares Outstanding 63.74M shares 59.65M shares
Diluted Shares Outstanding 64.34M shares 59.65M shares

Balance Sheet

Concept 2020 Q2 2019 Q2
SHORT-TERM ASSETS
Cash & Short-Term Investments $153.0M $212.0M
YoY Change -27.83% -36.9%
Cash & Equivalents $180.7M $348.8M
Short-Term Investments
Other Short-Term Assets $2.000M $3.000M
YoY Change -33.33% 0.0%
Inventory
Prepaid Expenses
Receivables $13.00M $42.00M
Other Receivables $0.00 $0.00
Total Short-Term Assets $168.0M $257.0M
YoY Change -34.63% -55.3%
LONG-TERM ASSETS
Property, Plant & Equipment
YoY Change
Goodwill
YoY Change
Intangibles
YoY Change
Long-Term Investments $5.252B $14.41B
YoY Change -63.56% 99.23%
Other Assets $27.00M $137.0M
YoY Change -80.29% 1270.0%
Total Long-Term Assets $5.396B $14.67B
YoY Change -63.21% 94.98%
TOTAL ASSETS
Total Short-Term Assets $168.0M $257.0M
Total Long-Term Assets $5.396B $14.67B
Total Assets $5.564B $14.92B
YoY Change -62.72% 84.31%
SHORT-TERM LIABILITIES
YoY Change
Accounts Payable $5.000M $6.000M
YoY Change -16.67% 0.0%
Accrued Expenses $1.000M $43.00M
YoY Change -97.67% 616.67%
Deferred Revenue
YoY Change
Short-Term Debt $4.238B $13.30B
YoY Change -68.13% 112.62%
Long-Term Debt Due
YoY Change
Total Short-Term Liabilities $4.252B $13.37B
YoY Change -68.19% 107.92%
LONG-TERM LIABILITIES
Long-Term Debt $0.00 $55.00M
YoY Change -100.0%
Other Long-Term Liabilities $462.0M $128.0M
YoY Change 260.94% -72.35%
Total Long-Term Liabilities $462.0M $183.0M
YoY Change 152.46% -60.48%
TOTAL LIABILITIES
Total Short-Term Liabilities $4.252B $13.37B
Total Long-Term Liabilities $462.0M $183.0M
Total Liabilities $4.713B $13.55B
YoY Change -65.21% 96.61%
SHAREHOLDERS EQUITY
Retained Earnings -$2.370B -$1.954B
YoY Change 21.3% 43.47%
Common Stock $65.00K $59.00K
YoY Change 10.17% 40.48%
Preferred Stock
YoY Change
Treasury Stock (at cost)
YoY Change
Treasury Stock Shares
Shareholders Equity $851.2M $1.376B
YoY Change
Total Liabilities & Shareholders Equity $5.564B $14.92B
YoY Change -62.72% 84.31%

Cashflow Statement

Concept 2020 Q2 2019 Q2
OPERATING ACTIVITIES
Net Income $51.75M -$183.3M
YoY Change -128.24% -1451.2%
Depreciation, Depletion And Amortization
YoY Change
Cash From Operating Activities -$163.5M -$32.20M
YoY Change 407.76% -279.89%
INVESTING ACTIVITIES
Capital Expenditures
YoY Change
Acquisitions
YoY Change
Other Investing Activities -$1.153B -$951.8M
YoY Change 21.11% -231.17%
Cash From Investing Activities -$1.153B -$951.8M
YoY Change 21.11% -231.17%
FINANCING ACTIVITIES
Cash Dividend Paid $8.196M $38.47M
YoY Change -78.7% 35.51%
Common Stock Issuance & Retirement, Net
YoY Change
Debt Paid & Issued, Net
YoY Change
Cash From Financing Activities 812.7M 1.107B
YoY Change -26.55% -276.22%
NET CHANGE
Cash From Operating Activities -163.5M -32.20M
Cash From Investing Activities -1.153B -951.8M
Cash From Financing Activities 812.7M 1.107B
Net Change In Cash -503.5M 122.5M
YoY Change -511.02% 5.97%
FREE CASH FLOW
Cash From Operating Activities -$163.5M -$32.20M
Capital Expenditures
Free Cash Flow
YoY Change

Facts In Submission

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us-gaap Comprehensive Income Net Of Tax
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arr Gain Losson Short Saleof Us Treasury Securities
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us-gaap Increase Decrease In Prepaid Deferred Expense And Other Assets
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us-gaap Proceeds From Securities Purchased Under Agreements To Resell
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us-gaap Net Cash Provided By Used In Investing Activities
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us-gaap Net Cash Provided By Used In Investing Activities
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us-gaap Proceeds From Issuance Of Common Stock
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us-gaap Proceeds From Issuance Of Common Stock
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us-gaap Payments For Repurchase Of Common Stock
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us-gaap Net Cash Provided By Used In Financing Activities
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us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents Period Increase Decrease Including Exchange Rate Effect
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us-gaap Interest Paid Net
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arr Noncash Investingand Financing Activities Payablesto Broker Dealers And Clearing Organizations
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NoncashInvestingandFinancingActivitiesPayablestoBrokerDealersAndClearingOrganizations
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OtherComprehensiveIncomeLossAvailableForSaleSecuritiesAdjustmentNetOfTax
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us-gaap Other Comprehensive Income Loss Available For Sale Securities Adjustment Net Of Tax
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357264000 USD
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arr Noncash Investingand Financing Activities Amounts Payablefor Preferred Stock Calledfor Redemption
NoncashInvestingandFinancingActivitiesAmountsPayableforPreferredStockCalledforRedemption
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arr Issuanceof Preferred Stock Receivable
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604000 USD
us-gaap Nature Of Operations
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<div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Note 1 - Organization and Nature of Business Operations</span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;"> </span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">References to "we," "us," "our," or the "Company" are to ARMOUR Residential REIT, Inc. ("ARMOUR") and its subsidiaries. References to "ACM" are to ARMOUR Capital Management LP, a Delaware limited partnership. ARMOUR owns a </span><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>10%</span></span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> equity interest in BUCKLER Securities, LLC ("BUCKLER"). BUCKLER is a Delaware limited liability company and a FINRA-regulated broker-dealer, controlled by ACM and certain executive officers of ARMOUR. Refer to the Glossary of Terms for definitions of capitalized terms and abbreviations used in this report. </span></div><div style="line-height:120%;text-align:justify;text-indent:58px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"> </span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">ARMOUR is an externally managed Maryland corporation incorporated in 2008. The Company is managed by ACM, an investment advisor registered with the Securities and Exchange Commission (the "SEC"), (see </span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-style:italic;">Note 9 - Commitments and Contingencies</span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> and </span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-style:italic;">Note 15 - Related Party Transactions</span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> for additional discussion). We have elected to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. As a REIT, we will generally not be subject to federal income tax on the REIT taxable income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for U.S. federal income tax purposes, we may still be subject to some federal, state and local taxes on our income.</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div>We invest primarily in mortgage backed securities ("MBS"), issued or guaranteed by a United States ("U.S.") Government-sponsored entity ("GSE"), such as the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or a government agency such as Government National Mortgage Administration ("Ginnie Mae") (collectively, "Agency Securities"). Our Agency Securities consist primarily of fixed rate loans. The remaining are either backed by hybrid adjustable rate or adjustable rate loans. Other MBS in which we invest, for which the payment of principal and interest is not guaranteed by a GSE or government agency, may benefit from credit enhancement derived from structural elements such as subordination, over collateralization or insurance (collectively, "Credit Risk and Non-Agency Securities"). From time to time we may also invest in Interest-Only Securities, U.S. Treasury Securities and money market instruments.
us-gaap Basis Of Accounting
BasisOfAccounting
<div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Note 2 - Basis of Presentation and Consolidation</span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;"> </span></div><div style="line-height:120%;text-align:justify;text-indent:20px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"> </span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">The accompanying unaudited consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States ("GAAP") for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the SEC. Accordingly, the condensed financial statements do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">three and six months ended</span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">June 30, 2020</span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> are not necessarily indicative of the results that may be expected for the calendar year ending </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">December 31, 2020</span><span style="font-family:Calibri,sans-serif;font-size:10pt;">. These unaudited consolidated financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">December 31, 2019</span><span style="font-family:Calibri,sans-serif;font-size:10pt;">.</span></div><div style="line-height:120%;text-align:justify;text-indent:58px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"> </span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">The unaudited consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiaries. All intercompany accounts and transactions have been eliminated. The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying condensed consolidated financial statements include the valuation of MBS, including an assessment of the allowance for credit losses, and derivative instruments.</span></div>
us-gaap Revenue Recognition Interest
RevenueRecognitionInterest
<div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Revenue Recognition</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-style:italic;"/><span style="font-family:Calibri,sans-serif;font-size:10pt;">Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. Purchase and sale transactions (including TBA Agency Securities) are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from sales of available for sale securities are reclassified into income from other comprehensive income and are determined using the specific identification method.</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">Interest income on Credit Risk and Non-Agency Securities and Interest-Only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Impairment losses establish a new cost basis in the security for purposes of calculating effective yields, recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. Interest income on U.S. Treasury Securities is recognized based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction.</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div>
us-gaap Description Of New Accounting Pronouncements Not Yet Adopted
DescriptionOfNewAccountingPronouncementsNotYetAdopted
<div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Note 4 - Recent Accounting Pronouncements</span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;"> </span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">We consider the applicability and impact of all Accounting Standards Updates ("ASU") issued by the Financial Accounting Standards Board. Those not listed below were deemed to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:center;font-size:10pt;"><div style="padding-left:0px;text-indent:0px;line-height:normal;padding-top:10px;"><table cellpadding="0" cellspacing="0" style="font-family:Times New Roman;font-size:10pt;margin-left:auto;margin-right:auto;width:100%;border-collapse:collapse;text-align:left;"><tr><td colspan="3"/></tr><tr><td style="width:26%;"/><td style="width:1%;"/><td style="width:73%;"/></tr><tr><td style="vertical-align:top;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Accounting Standard</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Description</span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:13px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:13px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:13px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:top;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">ASU 2016-13, </span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;font-style:italic;">Financial Instruments–Credit Losses (Topic 326)</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">The standard introduces a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The standard applies to (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off–balance sheet credit exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The standard was effective for fiscal years beginning after December 15, 2019. The adoption of the standard on January 1, 2020 did not have a significant impact on the Company, since at that time we did not intend to sell our investments in available for sale Agency Securities. The Company determined that it was not more likely than not that we would be required to sell the investments before recovery of their amortized cost bases as the contractual cash flows of these federal agency mortgage backed securities are guaranteed by an agency of the U.S. government and we expected that all securities would not be settled at a price less than their amortized cost.</span></div></td></tr></table></div><span style="font-family:inherit;font-size:10pt;"><br/></span></div>
arr Trading Securities Quotes Received Numberof Dealers
TradingSecuritiesQuotesReceivedNumberofDealers
3 dealer
CY2020Q2 us-gaap Debt Securities
DebtSecurities
5252194000 USD
CY2019Q4 us-gaap Debt Securities
DebtSecurities
12825367000 USD
CY2019Q4 us-gaap Debt Securities
DebtSecurities
12825367000 USD
us-gaap Payments To Acquire Investments
PaymentsToAcquireInvestments
9671725000 USD
us-gaap Proceeds From Sales Of Assets Investing Activities
ProceedsFromSalesOfAssetsInvestingActivities
16329912000 USD
us-gaap Proceeds From Sale And Maturity Of Marketable Securities
ProceedsFromSaleAndMaturityOfMarketableSecurities
709924000 USD
us-gaap Debt Securities Gain Loss
DebtSecuritiesGainLoss
-183131000 USD
us-gaap Debt Securities Available For Sale Allowance For Credit Loss Period Increase Decrease
DebtSecuritiesAvailableForSaleAllowanceForCreditLossPeriodIncreaseDecrease
1012000 USD
us-gaap Accretion Amortization Of Discounts And Premiums Investments
AccretionAmortizationOfDiscountsAndPremiumsInvestments
-20919000 USD
CY2020Q2 us-gaap Debt Securities
DebtSecurities
5252194000 USD
CY2020Q2 arr Investment Securities Percentof Portfolio
InvestmentSecuritiesPercentofPortfolio
1.0000
CY2018Q4 us-gaap Debt Securities
DebtSecurities
7991138000 USD
CY2019 us-gaap Payments To Acquire Investments
PaymentsToAcquireInvestments
10954337000 USD
CY2019 us-gaap Proceeds From Sales Of Assets Investing Activities
ProceedsFromSalesOfAssetsInvestingActivities
4699251000 USD
CY2019 us-gaap Proceeds From Sale And Maturity Of Marketable Securities
ProceedsFromSaleAndMaturityOfMarketableSecurities
1755047000 USD
CY2019 us-gaap Debt Securities Gain Loss
DebtSecuritiesGainLoss
386705000 USD
CY2019 us-gaap Accretion Amortization Of Discounts And Premiums Investments
AccretionAmortizationOfDiscountsAndPremiumsInvestments
-52515000 USD
CY2019Q4 us-gaap Debt Securities
DebtSecurities
12825367000 USD
CY2019Q4 arr Investment Securities Percentof Portfolio
InvestmentSecuritiesPercentofPortfolio
1.0000
CY2020Q1 us-gaap Debt Securities Available For Sale Allowance For Credit Loss Not Previously Recorded
DebtSecuritiesAvailableForSaleAllowanceForCreditLossNotPreviouslyRecorded
1012000 USD
CY2020Q2 arr Debt Securities Availableforsale Principal Amount
DebtSecuritiesAvailableforsalePrincipalAmount
2080113000 USD
CY2020Q2 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
2145284000 USD
CY2020Q2 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Loss Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedLossBeforeTax
40000 USD
CY2020Q2 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Gain Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedGainBeforeTax
196703000 USD
CY2020Q2 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
2341947000 USD
CY2019Q4 arr Debt Securities Availableforsale Principal Amount
DebtSecuritiesAvailableforsalePrincipalAmount
11324705000 USD
CY2019Q4 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
11586293000 USD
CY2019Q4 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Loss Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedLossBeforeTax
792000 USD
CY2019Q4 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Gain Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedGainBeforeTax
356265000 USD
CY2019Q4 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
11941766000 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12Months
25164000 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12MonthsAccumulatedLoss
40000 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLonger
0 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLongerAccumulatedLoss
0 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Unrealized Loss Position
DebtSecuritiesAvailableForSaleUnrealizedLossPosition
25164000 USD
CY2020Q2 us-gaap Debt Securities Available For Sale Unrealized Loss Position Accumulated Loss
DebtSecuritiesAvailableForSaleUnrealizedLossPositionAccumulatedLoss
40000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12Months
2136000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12MonthsAccumulatedLoss
10000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLonger
43939000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLongerAccumulatedLoss
782000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Unrealized Loss Position
DebtSecuritiesAvailableForSaleUnrealizedLossPosition
46075000 USD
CY2019Q4 us-gaap Debt Securities Available For Sale Unrealized Loss Position Accumulated Loss
DebtSecuritiesAvailableForSaleUnrealizedLossPositionAccumulatedLoss
792000 USD
CY2020Q2 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Fair Value
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
53000 USD
CY2020Q2 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
53000 USD
CY2019Q4 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Fair Value
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
0 USD
CY2019Q4 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
0 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeFairValue
175073000 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeAmortizedCostBasis
168758000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeFairValue
22237000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeAmortizedCostBasis
22254000 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveFairValue
925178000 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
883968000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveFairValue
6542389000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
6365623000 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling After Year Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
1241643000 USD
CY2020Q2 arr Availableforsale Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
1092505000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling After Year Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
5377140000 USD
CY2019Q4 arr Availableforsale Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
5198416000 USD
CY2020Q2 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
2341947000 USD
CY2020Q2 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
2145284000 USD
CY2019Q4 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
11941766000 USD
CY2019Q4 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
11586293000 USD
CY2020Q2 arr Trading Securities Debt Principal Amount
TradingSecuritiesDebtPrincipalAmount
2737545000 USD
CY2020Q2 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
2905520000 USD
CY2020Q2 arr Debt Securities Trading Accumulated Gross Unrealized Loss Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedLossBeforeTax
6809000 USD
CY2020Q2 arr Debt Securities Trading Accumulated Gross Unrealized Gain Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedGainBeforeTax
11536000 USD
CY2020Q2 us-gaap Trading Securities Debt
TradingSecuritiesDebt
2910247000 USD
CY2020Q2 arr Trading Securities Debt Maturities Next Rolling Twelve Months Fair Value
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
0 USD
CY2020Q2 arr Trading Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
0 USD
CY2019Q4 arr Trading Securities Debt Maturities Next Rolling Twelve Months Fair Value
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
0 USD
CY2019Q4 arr Trading Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
0 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling Year Twoand Three Fair Value
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeFairValue
567943000 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling Year Twoand Three Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeAmortizedCostBasis
571872000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling Year Twoand Three Fair Value
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeFairValue
389883000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling Year Twoand Three Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeAmortizedCostBasis
369600000 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling Year Fourand Five Fair Value
TradingSecuritiesDebtMaturitiesRollingYearFourandFiveFairValue
1306206000 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
1298630000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling Year Fourand Five Fair Value
TradingSecuritiesDebtMaturitiesRollingYearFourandFiveFairValue
407656000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
375030000 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling After Year Five Fair Value
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
1036098000 USD
CY2020Q2 arr Trading Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
1035018000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling After Year Five Fair Value
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
86062000 USD
CY2019Q4 arr Trading Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
80214000 USD
CY2020Q2 us-gaap Trading Securities Debt
TradingSecuritiesDebt
2910247000 USD
CY2020Q2 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
2905520000 USD
CY2019Q4 us-gaap Trading Securities Debt
TradingSecuritiesDebt
883601000 USD
CY2019Q4 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
824844000 USD
CY2020Q2 arr Repurchase Agreements Numberof Counterpartieswith Master Repurchase Agreements
RepurchaseAgreementsNumberofCounterpartieswithMasterRepurchaseAgreements
32 counterparty
CY2020Q2 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
4237603000 USD
CY2020Q2 arr Repurchase Agreements Number Of Counterpartieswith Outstanding Borrowings
RepurchaseAgreementsNumberOfCounterpartieswithOutstandingBorrowings
13 counterparty
CY2019Q4 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
11354547000 USD
CY2019Q4 arr Repurchase Agreements Number Of Counterpartieswith Outstanding Borrowings
RepurchaseAgreementsNumberOfCounterpartieswithOutstandingBorrowings
25 counterparty
us-gaap Schedule Of Repurchase Agreements
ScheduleOfRepurchaseAgreements
<div style="line-height:120%;text-align:justify;text-indent:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">June 30, 2020</span><span style="font-family:Calibri,sans-serif;font-size:10pt;"> and </span><span style="font-family:Calibri,sans-serif;font-size:10pt;">December 31, 2019</span><span style="font-family:Calibri,sans-serif;font-size:10pt;">. No amounts below are subject to offsetting.</span></div><div style="line-height:120%;text-align:justify;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div><div style="line-height:120%;text-align:center;font-size:10pt;"><div style="padding-left:0px;text-indent:0px;line-height:normal;padding-top:10px;"><table cellpadding="0" cellspacing="0" style="font-family:Times New Roman;font-size:10pt;margin-left:auto;margin-right:auto;width:100%;border-collapse:collapse;text-align:left;"><tr><td colspan="13"/></tr><tr><td style="width:45%;"/><td style="width:1%;"/><td style="width:1%;"/><td style="width:11%;"/><td style="width:1%;"/><td style="width:1%;"/><td style="width:12%;"/><td style="width:1%;"/><td style="width:1%;"/><td style="width:14%;"/><td style="width:1%;"/><td style="width:10%;"/><td style="width:1%;"/></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Balance</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Weighted Average Contractual Rate</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Weighted Average Maturity in days</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;border-bottom:1px solid #000000;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:center;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Haircut</span><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;"><sup style="vertical-align:top;line-height:120%;font-size:pt"> (1)</sup></span></div></td></tr><tr><td style="vertical-align:bottom;border-bottom:1px solid #000000;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">June 30, 2020</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Agency Securities</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:20px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">≤ 30 days</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">$</span></div></td><td style="vertical-align:bottom;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>3,990,312</span></span></div></td><td style="vertical-align:bottom;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>0.25</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>10</span></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>3.37</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:20px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">&gt; 30 days to ≤ 60 days</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>247,291</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>0.26</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>50</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>3.55</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Total or Weighted Average</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-left:2px;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">$</span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>4,237,603</span></span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>0.25</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>13</span></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>3.38</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:14px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;border-bottom:1px solid #000000;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">December 31, 2019</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Agency Securities</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:20px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">≤ 30 days</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">$</span></div></td><td style="vertical-align:bottom;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>10,241,137</span></span></div></td><td style="vertical-align:bottom;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>2.56</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>8</span></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>4.35</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:20px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">&gt; 30 days to ≤ 60 days</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>426,147</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>1.99</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>34</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>4.61</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Total or Weighted Average</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-left:2px;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">$</span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>10,667,284</span></span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>2.54</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>9</span></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>4.36</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;height:9px;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Credit Risk and Non-Agency Securities</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="3" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td></tr><tr><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:20px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">≤ 30 days</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td colspan="2" style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>687,263</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>2.45</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>15</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>16.25</span></span></div></td><td style="vertical-align:bottom;background-color:#dce6f1;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr><tr><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;font-weight:bold;">Total or Weighted Average</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-left:2px;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">$</span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;padding-top:2px;padding-bottom:2px;border-top:1px solid #000000;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>11,354,547</span></span></div></td><td style="vertical-align:bottom;border-bottom:3px double #000000;border-top:1px solid #000000;"><div style="text-align:left;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"><br/></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>2.54</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>9</span></span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;padding-right:2px;"><div style="overflow:hidden;font-size:10pt;"><span style="font-family:inherit;font-size:10pt;"> </span></div></td><td style="vertical-align:bottom;padding-left:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:right;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><span>5.16</span></span></div></td><td style="vertical-align:bottom;padding-right:2px;padding-top:2px;padding-bottom:2px;"><div style="text-align:left;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">%</span></div></td></tr></table></div></div><table cellpadding="0" cellspacing="0" style="padding-top:8px;font-family:Times New Roman; font-size:10pt;"><tr><td style="width:24px;"/><td/></tr><tr><td style="vertical-align:top"><div style="line-height:120%;font-size:10pt;padding-left:0px;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">(1)</span></div></td><td style="vertical-align:top;padding-left:24px;"><div style="line-height:120%;text-align:justify;font-size:10pt;text-indent:-24px;"><span style="font-family:Calibri,sans-serif;font-size:10pt;">The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount.</span></div></td></tr></table><div style="line-height:120%;padding-top:4px;text-align:justify;padding-left:48px;font-size:10pt;"><span style="font-family:Calibri,sans-serif;font-size:10pt;"><br/></span></div>
CY2019Q4 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
11354547000 USD
CY2019Q4 us-gaap Assets Sold Under Agreements To Repurchase Interest Rate
AssetsSoldUnderAgreementsToRepurchaseInterestRate
0.0254
CY2019 us-gaap Repurchase Agreement Counterparty Weighted Average Maturity Of Agreements1
RepurchaseAgreementCounterpartyWeightedAverageMaturityOfAgreements1
P9D
CY2019Q4 arr Haircuton Repurchase Agreements
HaircutonRepurchaseAgreements
0.0516
CY2020Q2 us-gaap Derivative Assets
DerivativeAssets
10620000 USD
CY2020Q2 us-gaap Derivative Asset Not Offset Policy Election Deduction
DerivativeAssetNotOffsetPolicyElectionDeduction
18198000 USD
CY2020Q2 us-gaap Derivative Collateral Obligation To Return Cash
DerivativeCollateralObligationToReturnCash
-20681000 USD
CY2020Q2 us-gaap Derivative Asset Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeAssetFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
13103000 USD
CY2019Q4 us-gaap Derivative Assets
DerivativeAssets
24751000 USD
CY2019Q4 us-gaap Derivative Asset Not Offset Policy Election Deduction
DerivativeAssetNotOffsetPolicyElectionDeduction
71382000 USD
CY2019Q4 us-gaap Derivative Collateral Obligation To Return Cash
DerivativeCollateralObligationToReturnCash
-83066000 USD
CY2019Q4 us-gaap Derivative Asset Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeAssetFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
36435000 USD
CY2020Q2 us-gaap Derivative Liabilities
DerivativeLiabilities
18198000 USD
CY2020Q2 us-gaap Derivative Liability Not Offset Policy Election Deduction
DerivativeLiabilityNotOffsetPolicyElectionDeduction
18198000 USD
CY2020Q2 us-gaap Derivative Collateral Right To Reclaim Cash
DerivativeCollateralRightToReclaimCash
0 USD
CY2020Q2 us-gaap Derivative Liability Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeLiabilityFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
0 USD
CY2019Q4 us-gaap Derivative Liabilities
DerivativeLiabilities
71974000 USD
CY2019Q4 us-gaap Derivative Liability Not Offset Policy Election Deduction
DerivativeLiabilityNotOffsetPolicyElectionDeduction
71382000 USD
CY2019Q4 us-gaap Derivative Collateral Right To Reclaim Cash
DerivativeCollateralRightToReclaimCash
377000 USD
CY2019Q4 us-gaap Derivative Liability Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeLiabilityFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
215000 USD
CY2020Q2 us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
-7242000 USD
CY2019Q2 us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
-200294000 USD
us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
-376278000 USD
us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
-335493000 USD
CY2020Q2 us-gaap Derivative Notional Amount
DerivativeNotionalAmount
5112000000 USD
us-gaap Derivative Average Remaining Maturity1
DerivativeAverageRemainingMaturity1
P52M
CY2020Q2 arr Derivative Weighted Average Interest Rate
DerivativeWeightedAverageInterestRate
0.0029
CY2019Q4 us-gaap Derivative Notional Amount
DerivativeNotionalAmount
7975000000 USD
CY2019 us-gaap Derivative Average Remaining Maturity1
DerivativeAverageRemainingMaturity1
P53M
CY2019Q4 arr Derivative Weighted Average Interest Rate
DerivativeWeightedAverageInterestRate
0.0174
CY2020Q2 arr Related Party Transaction Management Agreement Gross Equity Raised
RelatedPartyTransactionManagementAgreementGrossEquityRaised
2937354000 USD
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CY2020Q2 us-gaap Investment Company Contractual Fee Waived
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us-gaap Management Fee Expense
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us-gaap Management Fee Expense
ManagementFeeExpense
14716000 USD

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