2022 Q1 Form 10-Q Financial Statement

#000142820522000063 Filed on April 27, 2022

View on sec.gov

Income Statement

Concept 2022 Q1 2021 Q1
Revenue -$54.80M $81.90M
YoY Change -166.91% -123.79%
Cost Of Revenue $456.0K $100.0K
YoY Change 356.0% -99.81%
Gross Profit -$55.26M $81.80M
YoY Change -167.55% -120.67%
Gross Profit Margin 99.88%
Selling, General & Admin $10.37M $10.00M
YoY Change 3.69% 0.0%
% of Gross Profit 12.22%
Research & Development
YoY Change
% of Gross Profit
Depreciation & Amortization
YoY Change
% of Gross Profit
Operating Expenses $11.18M $10.49M
YoY Change 6.51% 5.63%
Operating Profit -$66.43M $71.31M
YoY Change -193.17% -117.58%
Interest Expense
YoY Change
% of Operating Profit
Other Income/Expense, Net
YoY Change
Pretax Income -$66.43M $71.30M
YoY Change -193.18% -117.53%
Income Tax
% Of Pretax Income
Net Earnings -$66.43M $71.33M
YoY Change -193.14% -117.54%
Net Earnings / Revenue 87.09%
Basic Earnings Per Share -$0.72 $1.04
Diluted Earnings Per Share -$0.72 $1.03
COMMON SHARES
Basic Shares Outstanding 96.23M shares 65.96M shares
Diluted Shares Outstanding 96.23M shares 67.02M shares

Balance Sheet

Concept 2022 Q1 2021 Q1
SHORT-TERM ASSETS
Cash & Short-Term Investments $316.9M $278.0M
YoY Change 13.98% -16.77%
Cash & Equivalents $326.1M $330.4M
Short-Term Investments
Other Short-Term Assets $57.73M $10.00M
YoY Change 477.33% 400.0%
Inventory
Prepaid Expenses
Receivables $17.41M $370.0M
Other Receivables $0.00 $0.00
Total Short-Term Assets $392.0M $658.0M
YoY Change -40.43% -36.36%
LONG-TERM ASSETS
Property, Plant & Equipment
YoY Change
Goodwill
YoY Change
Intangibles
YoY Change
Long-Term Investments $7.657B $4.318B
YoY Change 77.34% 21.53%
Other Assets $9.297M $53.00M
YoY Change -82.46% -84.86%
Total Long-Term Assets $8.315B $4.692B
YoY Change 77.23% 16.38%
TOTAL ASSETS
Total Short-Term Assets $392.0M $658.0M
Total Long-Term Assets $8.315B $4.692B
Total Assets $8.707B $5.350B
YoY Change 62.76% 5.61%
SHORT-TERM LIABILITIES
YoY Change
Accounts Payable $6.547M $4.000M
YoY Change 63.68% -55.56%
Accrued Expenses $964.0K $1.000M
YoY Change -3.6% -66.67%
Deferred Revenue
YoY Change
Short-Term Debt $6.440B $3.811B
YoY Change 68.98% 9.99%
Long-Term Debt Due
YoY Change
Total Short-Term Liabilities $6.997B $3.981B
YoY Change 75.76% 10.37%
LONG-TERM LIABILITIES
Long-Term Debt $0.00 $0.00
YoY Change
Other Long-Term Liabilities $687.8M $341.0M
YoY Change 101.7% -49.18%
Total Long-Term Liabilities $687.8M $341.0M
YoY Change 101.7% -49.18%
TOTAL LIABILITIES
Total Short-Term Liabilities $6.997B $3.981B
Total Long-Term Liabilities $687.8M $341.0M
Total Liabilities $7.685B $4.322B
YoY Change 77.8% 1.01%
SHAREHOLDERS EQUITY
Retained Earnings -$595.0M -$2.225B
YoY Change -73.26% -7.8%
Common Stock $100.0K $69.00K
YoY Change 44.93% 16.95%
Preferred Stock
YoY Change
Treasury Stock (at cost)
YoY Change
Treasury Stock Shares
Shareholders Equity $1.022B $1.027B
YoY Change
Total Liabilities & Shareholders Equity $8.707B $5.350B
YoY Change 62.76% 5.61%

Cashflow Statement

Concept 2022 Q1 2021 Q1
OPERATING ACTIVITIES
Net Income -$66.43M $71.33M
YoY Change -193.14% -117.54%
Depreciation, Depletion And Amortization
YoY Change
Cash From Operating Activities -$83.70M $21.20M
YoY Change -494.89% -111.49%
INVESTING ACTIVITIES
Capital Expenditures
YoY Change
Acquisitions
YoY Change
Other Investing Activities -$2.453B $804.2M
YoY Change -404.98% -90.65%
Cash From Investing Activities -$2.453B $804.2M
YoY Change -404.99% -90.65%
FINANCING ACTIVITIES
Cash Dividend Paid $32.10M $22.54M
YoY Change 42.41% -34.81%
Common Stock Issuance & Retirement, Net $46.43M -$52.96M
YoY Change -187.66% -6915.96%
Debt Paid & Issued, Net
YoY Change
Cash From Financing Activities $2.506B -$666.7M
YoY Change -475.93% -91.67%
NET CHANGE
Cash From Operating Activities -$83.70M $21.20M
Cash From Investing Activities -$2.453B $804.2M
Cash From Financing Activities $2.506B -$666.7M
Net Change In Cash -$30.07M $158.7M
YoY Change -118.95% -61.4%
FREE CASH FLOW
Cash From Operating Activities -$83.70M $21.20M
Capital Expenditures
Free Cash Flow
YoY Change

Facts In Submission

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131356000 USD
CY2021Q1 us-gaap Proceeds From Maturities Prepayments And Calls Of Available For Sale Securities
ProceedsFromMaturitiesPrepaymentsAndCallsOfAvailableForSaleSecurities
278722000 USD
CY2022Q1 us-gaap Proceeds From Sale Of Available For Sale Securities Debt
ProceedsFromSaleOfAvailableForSaleSecuritiesDebt
0 USD
CY2021Q1 us-gaap Proceeds From Sale Of Available For Sale Securities Debt
ProceedsFromSaleOfAvailableForSaleSecuritiesDebt
405050000 USD
CY2022Q1 us-gaap Payments For Securities Purchased Under Agreements To Resell
PaymentsForSecuritiesPurchasedUnderAgreementsToResell
0 USD
CY2021Q1 us-gaap Payments For Securities Purchased Under Agreements To Resell
PaymentsForSecuritiesPurchasedUnderAgreementsToResell
391125000 USD
CY2022Q1 us-gaap Proceeds From Securities Purchased Under Agreements To Resell
ProceedsFromSecuritiesPurchasedUnderAgreementsToResell
0 USD
CY2021Q1 us-gaap Proceeds From Securities Purchased Under Agreements To Resell
ProceedsFromSecuritiesPurchasedUnderAgreementsToResell
391125000 USD
CY2022Q1 us-gaap Increase Decrease Cash Collateral From Counterparties
IncreaseDecreaseCashCollateralFromCounterparties
378598000 USD
CY2021Q1 us-gaap Increase Decrease Cash Collateral From Counterparties
IncreaseDecreaseCashCollateralFromCounterparties
120426000 USD
CY2022Q1 us-gaap Net Cash Provided By Used In Investing Activities
NetCashProvidedByUsedInInvestingActivities
-2452654000 USD
CY2021Q1 us-gaap Net Cash Provided By Used In Investing Activities
NetCashProvidedByUsedInInvestingActivities
804170000 USD
CY2022Q1 us-gaap Proceeds From Issuance Of Common Stock
ProceedsFromIssuanceOfCommonStock
46427000 USD
CY2021Q1 us-gaap Proceeds From Issuance Of Common Stock
ProceedsFromIssuanceOfCommonStock
52960000 USD
CY2022Q1 arr Proceeds From Securities Sold Under Agreements To Repurchase
ProceedsFromSecuritiesSoldUnderAgreementsToRepurchase
16191551000 USD
CY2021Q1 arr Proceeds From Securities Sold Under Agreements To Repurchase
ProceedsFromSecuritiesSoldUnderAgreementsToRepurchase
7044307000 USD
CY2022Q1 arr Payments For Securities Sold Under Agreements To Repurchase
PaymentsForSecuritiesSoldUnderAgreementsToRepurchase
13699584000 USD
CY2021Q1 arr Payments For Securities Sold Under Agreements To Repurchase
PaymentsForSecuritiesSoldUnderAgreementsToRepurchase
7769582000 USD
CY2022Q1 us-gaap Payments Of Dividends Preferred Stock And Preference Stock
PaymentsOfDividendsPreferredStockAndPreferenceStock
2995000 USD
CY2021Q1 us-gaap Payments Of Dividends Preferred Stock And Preference Stock
PaymentsOfDividendsPreferredStockAndPreferenceStock
2486000 USD
CY2022Q1 us-gaap Payments Of Dividends Common Stock
PaymentsOfDividendsCommonStock
29108000 USD
CY2021Q1 us-gaap Payments Of Dividends Common Stock
PaymentsOfDividendsCommonStock
20057000 USD
CY2022Q1 us-gaap Net Cash Provided By Used In Financing Activities
NetCashProvidedByUsedInFinancingActivities
2506291000 USD
CY2021Q1 us-gaap Net Cash Provided By Used In Financing Activities
NetCashProvidedByUsedInFinancingActivities
-666685000 USD
CY2022Q1 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents Period Increase Decrease Including Exchange Rate Effect
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalentsPeriodIncreaseDecreaseIncludingExchangeRateEffect
-30067000 USD
CY2021Q1 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents Period Increase Decrease Including Exchange Rate Effect
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalentsPeriodIncreaseDecreaseIncludingExchangeRateEffect
158682000 USD
CY2021Q4 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
356216000 USD
CY2020Q4 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
171668000 USD
CY2022Q1 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
326149000 USD
CY2021Q1 us-gaap Cash Cash Equivalents Restricted Cash And Restricted Cash Equivalents
CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
330350000 USD
CY2022Q1 us-gaap Interest Paid Net
InterestPaidNet
19371000 USD
CY2021Q1 us-gaap Interest Paid Net
InterestPaidNet
4193000 USD
CY2022Q1 arr Noncash Investing And Financing Activities Receivable For Broker Dealers And Clearing Organizations
NoncashInvestingAndFinancingActivitiesReceivableForBrokerDealersAndClearingOrganizations
47713000 USD
CY2021Q1 arr Noncash Investing And Financing Activities Receivable For Broker Dealers And Clearing Organizations
NoncashInvestingAndFinancingActivitiesReceivableForBrokerDealersAndClearingOrganizations
358670000 USD
CY2022Q1 arr Noncash Investingand Financing Activities Payablesto Broker Dealers And Clearing Organizations
NoncashInvestingandFinancingActivitiesPayablestoBrokerDealersAndClearingOrganizations
687250000 USD
CY2021Q1 arr Noncash Investingand Financing Activities Payablesto Broker Dealers And Clearing Organizations
NoncashInvestingandFinancingActivitiesPayablestoBrokerDealersAndClearingOrganizations
295991000 USD
CY2022Q1 us-gaap Other Comprehensive Income Loss Available For Sale Securities Adjustment Net Of Tax
OtherComprehensiveIncomeLossAvailableForSaleSecuritiesAdjustmentNetOfTax
-78538000 USD
CY2021Q1 us-gaap Other Comprehensive Income Loss Available For Sale Securities Adjustment Net Of Tax
OtherComprehensiveIncomeLossAvailableForSaleSecuritiesAdjustmentNetOfTax
-34880000 USD
CY2022Q1 arr Issuance Of Common Stock Receivable
IssuanceOfCommonStockReceivable
8009000 USD
CY2021Q1 arr Issuance Of Common Stock Receivable
IssuanceOfCommonStockReceivable
0 USD
CY2022Q1 us-gaap Nature Of Operations
NatureOfOperations
<div style="margin-bottom:10pt"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:120%">Note 1 - Organization and Nature of Business Operations</span><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:120%"> </span></div><div style="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">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 10.0% 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="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">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 Note 8 - Commitments and Contingencies and Note 14 - Related Party Transactions). 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="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">At March 31, 2022 and December 31, 2021, we invested 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. From time to time we have also invested in Credit Risk and Non-Agency Securities, Interest-Only Securities, U.S. Treasury Securities and money market instruments.</span></div>
CY2022Q1 us-gaap Basis Of Accounting
BasisOfAccounting
<div style="margin-bottom:10pt"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:120%">Note 2 - Basis of Presentation and Consolidation</span><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:120%"> </span></div><div style="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">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 three months ended March 31, 2022 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2022. 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 December 31, 2021.</span></div><div style="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">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>
CY2022Q1 us-gaap Use Of Estimates
UseOfEstimates
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.
CY2022Q1 us-gaap Revenue Recognition Interest
RevenueRecognitionInterest
<div style="margin-bottom:10pt;text-indent:36pt"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-style:italic;font-weight:400;line-height:120%;text-decoration:underline">Revenue Recognition</span></div><div style="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">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>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.
CY2022Q1 arr Trading Securities Quotes Received Numberof Dealers
TradingSecuritiesQuotesReceivedNumberofDealers
3 dealer
CY2022Q1 us-gaap Debt Securities
DebtSecurities
7657366000 USD
CY2021Q4 us-gaap Debt Securities
DebtSecurities
4605354000 USD
CY2021Q4 arr Investment In Securities Fair Value Asset Value
InvestmentInSecuritiesFairValueAssetValue
4605354000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Purchases
InvestmentInSecuritiesFairValueAssetPurchases
5119205000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Sales
InvestmentInSecuritiesFairValueAssetSales
1517838000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Principal Repayments
InvestmentInSecuritiesFairValueAssetPrincipalRepayments
131356000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Gain Loss Included In Earnings
InvestmentInSecuritiesFairValueAssetGainLossIncludedInEarnings
-411314000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Amortization And Accretion Expense
InvestmentInSecuritiesFairValueAssetAmortizationAndAccretionExpense
6685000 USD
CY2022Q1 arr Investment In Securities Fair Value Asset Value
InvestmentInSecuritiesFairValueAssetValue
7657366000 USD
CY2022Q1 arr Investment Securities Percentof Portfolio
InvestmentSecuritiesPercentofPortfolio
1.0000
CY2020Q4 arr Investment In Securities Fair Value Asset Value
InvestmentInSecuritiesFairValueAssetValue
5178322000 USD
CY2021 arr Investment In Securities Fair Value Asset Purchases
InvestmentInSecuritiesFairValueAssetPurchases
2253829000 USD
CY2021 arr Investment In Securities Fair Value Asset Sales
InvestmentInSecuritiesFairValueAssetSales
1760064000 USD
CY2021 arr Investment In Securities Fair Value Asset Principal Repayments
InvestmentInSecuritiesFairValueAssetPrincipalRepayments
870985000 USD
CY2021 arr Investment In Securities Fair Value Asset Gain Loss Included In Earnings
InvestmentInSecuritiesFairValueAssetGainLossIncludedInEarnings
-147642000 USD
CY2021 arr Investment In Securities Fair Value Asset Amortization And Accretion Expense
InvestmentInSecuritiesFairValueAssetAmortizationAndAccretionExpense
48106000 USD
CY2021Q4 arr Investment In Securities Fair Value Asset Value
InvestmentInSecuritiesFairValueAssetValue
4605354000 USD
CY2021Q4 arr Investment Securities Percentof Portfolio
InvestmentSecuritiesPercentofPortfolio
1.0000
CY2022Q1 us-gaap Debt Securities Available For Sale Allowance For Credit Loss Not Previously Recorded
DebtSecuritiesAvailableForSaleAllowanceForCreditLossNotPreviouslyRecorded
0 USD
CY2022Q1 arr Available For Sale Securities Weighted Average Coupon Rate
AvailableForSaleSecuritiesWeightedAverageCouponRate
0.0382
CY2021Q4 arr Available For Sale Securities Weighted Average Coupon Rate
AvailableForSaleSecuritiesWeightedAverageCouponRate
0.0383
CY2022Q1 arr Debt Securities Availableforsale Principal Amount
DebtSecuritiesAvailableforsalePrincipalAmount
1218720000 USD
CY2022Q1 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
1248920000 USD
CY2022Q1 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Loss Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedLossBeforeTax
666000 USD
CY2022Q1 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Gain Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedGainBeforeTax
29101000 USD
CY2022Q1 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
1277355000 USD
CY2021Q4 arr Debt Securities Availableforsale Principal Amount
DebtSecuritiesAvailableforsalePrincipalAmount
1248910000 USD
CY2021Q4 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
1280872000 USD
CY2021Q4 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Loss Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedLossBeforeTax
45000 USD
CY2021Q4 us-gaap Available For Sale Debt Securities Accumulated Gross Unrealized Gain Before Tax
AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedGainBeforeTax
107018000 USD
CY2021Q4 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
1387845000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12Months
39266000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12MonthsAccumulatedLoss
623000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLonger
4749000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLongerAccumulatedLoss
43000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Unrealized Loss Position
DebtSecuritiesAvailableForSaleUnrealizedLossPosition
44015000 USD
CY2022Q1 us-gaap Debt Securities Available For Sale Unrealized Loss Position Accumulated Loss
DebtSecuritiesAvailableForSaleUnrealizedLossPositionAccumulatedLoss
666000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12Months
2924000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position Less Than12 Months Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPositionLessThan12MonthsAccumulatedLoss
17000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLonger
5185000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Continuous Unrealized Loss Position12 Months Or Longer Accumulated Loss
DebtSecuritiesAvailableForSaleContinuousUnrealizedLossPosition12MonthsOrLongerAccumulatedLoss
28000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Unrealized Loss Position
DebtSecuritiesAvailableForSaleUnrealizedLossPosition
8109000 USD
CY2021Q4 us-gaap Debt Securities Available For Sale Unrealized Loss Position Accumulated Loss
DebtSecuritiesAvailableForSaleUnrealizedLossPositionAccumulatedLoss
45000 USD
CY2022Q1 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Fair Value
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
183000 USD
CY2022Q1 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
183000 USD
CY2021Q4 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Fair Value
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
179000 USD
CY2021Q4 us-gaap Available For Sale Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
AvailableForSaleSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
174000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeFairValue
25089000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeAmortizedCostBasis
24986000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeFairValue
27110000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling Year Two Through Three Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearTwoThroughThreeAmortizedCostBasis
26731000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveFairValue
14225000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
14316000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveFairValue
333598000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
319762000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling After Year Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
1237858000 USD
CY2022Q1 arr Availableforsale Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
1209435000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling After Year Five Fair Value
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
1026958000 USD
CY2021Q4 arr Availableforsale Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
AvailableforsaleSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
934205000 USD
CY2022Q1 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
1277355000 USD
CY2022Q1 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
1248920000 USD
CY2021Q4 us-gaap Available For Sale Securities Debt Securities
AvailableForSaleSecuritiesDebtSecurities
1387845000 USD
CY2021Q4 us-gaap Available For Sale Debt Securities Amortized Cost Basis
AvailableForSaleDebtSecuritiesAmortizedCostBasis
1280872000 USD
CY2022Q1 arr Trading Securities Debt Principal Amount
TradingSecuritiesDebtPrincipalAmount
6551154000 USD
CY2022Q1 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
6720691000 USD
CY2022Q1 arr Debt Securities Trading Accumulated Gross Unrealized Loss Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedLossBeforeTax
342136000 USD
CY2022Q1 arr Debt Securities Trading Accumulated Gross Unrealized Gain Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedGainBeforeTax
1456000 USD
CY2022Q1 us-gaap Trading Securities Debt
TradingSecuritiesDebt
6380011000 USD
CY2021Q4 arr Trading Securities Debt Principal Amount
TradingSecuritiesDebtPrincipalAmount
3110168000 USD
CY2021Q4 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
3271186000 USD
CY2021Q4 arr Debt Securities Trading Accumulated Gross Unrealized Loss Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedLossBeforeTax
54779000 USD
CY2021Q4 arr Debt Securities Trading Accumulated Gross Unrealized Gain Before Tax
DebtSecuritiesTradingAccumulatedGrossUnrealizedGainBeforeTax
1102000 USD
CY2021Q4 us-gaap Trading Securities Debt
TradingSecuritiesDebt
3217509000 USD
CY2022Q1 arr Trading Securities Debt Maturities Next Rolling Twelve Months Fair Value
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
199629000 USD
CY2022Q1 arr Trading Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
199700000 USD
CY2021Q4 arr Trading Securities Debt Maturities Next Rolling Twelve Months Fair Value
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsFairValue
99973000 USD
CY2021Q4 arr Trading Securities Debt Maturities Next Rolling Twelve Months Amortized Cost Basis
TradingSecuritiesDebtMaturitiesNextRollingTwelveMonthsAmortizedCostBasis
99978000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling Year Twoand Three Fair Value
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeFairValue
93000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling Year Twoand Three Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeAmortizedCostBasis
98000 USD
CY2021Q4 arr Repurchase Agreements Numberof Counterpartieswith Master Repurchase Agreements
RepurchaseAgreementsNumberofCounterpartieswithMasterRepurchaseAgreements
34 counterparty
CY2021Q4 arr Trading Securities Debt Maturities Rolling Year Twoand Three Fair Value
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeFairValue
5323000 USD
CY2021Q4 arr Trading Securities Debt Maturities Rolling Year Twoand Three Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearTwoandThreeAmortizedCostBasis
5365000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling Year Fourand Five Fair Value
TradingSecuritiesDebtMaturitiesRollingYearFourandFiveFairValue
413165000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
435063000 USD
CY2021Q4 arr Trading Securities Debt Maturities Rolling Year Fourand Five Fair Value
TradingSecuritiesDebtMaturitiesRollingYearFourandFiveFairValue
472774000 USD
CY2021Q4 arr Trading Securities Debt Maturities Rolling Year Four Through Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingYearFourThroughFiveAmortizedCostBasis
475600000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling After Year Five Fair Value
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
5767124000 USD
CY2022Q1 arr Trading Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
6085830000 USD
CY2021Q4 arr Trading Securities Debt Maturities Rolling After Year Five Fair Value
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveFairValue
2639439000 USD
CY2021Q4 arr Trading Securities Debt Maturities Rolling After Year Five Amortized Cost Basis
TradingSecuritiesDebtMaturitiesRollingAfterYearFiveAmortizedCostBasis
2690243000 USD
CY2022Q1 us-gaap Trading Securities Debt
TradingSecuritiesDebt
6380011000 USD
CY2022Q1 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
6720691000 USD
CY2021Q4 us-gaap Trading Securities Debt
TradingSecuritiesDebt
3217509000 USD
CY2021Q4 us-gaap Trading Securities Debt Amortized Cost
TradingSecuritiesDebtAmortizedCost
3271186000 USD
CY2022Q1 arr Repurchase Agreements Numberof Counterpartieswith Master Repurchase Agreements
RepurchaseAgreementsNumberofCounterpartieswithMasterRepurchaseAgreements
36 counterparty
CY2022Q1 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
6440004000 USD
CY2021Q4 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
3948037000 USD
CY2021Q4 arr Repurchase Agreements Number Of Counterpartieswith Outstanding Borrowings
RepurchaseAgreementsNumberOfCounterpartieswithOutstandingBorrowings
18 counterparty
CY2022Q1 us-gaap Schedule Of Repurchase Agreements
ScheduleOfRepurchaseAgreements
<div style="margin-bottom:10pt;text-align:justify;text-indent:36pt"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:120%">The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at March 31, 2022 and December 31, 2021. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At March 31, 2022, the average haircut percentage was 2.75% compared to 3.45% at December 31, 2021. The haircut for our repurchase agreements vary by counterparty and therefore, the changes in the average haircut percentage will vary with the changes in our counterparty repurchase agreement balances. </span></div><div style="margin-bottom:10pt;text-align:center"><table style="border-collapse:collapse;display:inline-table;margin-bottom:5pt;vertical-align:text-bottom;width:100.000%"><tr><td style="width:1.0%"/><td style="width:49.197%"/><td style="width:0.1%"/><td style="width:0.1%"/><td style="width:0.544%"/><td style="width:0.1%"/><td style="width:1.0%"/><td style="width:12.144%"/><td style="width:0.1%"/><td style="width:0.1%"/><td style="width:0.544%"/><td style="width:0.1%"/><td style="width:1.0%"/><td style="width:15.715%"/><td style="width:0.1%"/><td style="width:0.1%"/><td style="width:0.544%"/><td style="width:0.1%"/><td style="width:1.0%"/><td style="width:16.312%"/><td style="width:0.1%"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:center;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Balance</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:center;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Weighted Average Contractual Rate</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:center;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Weighted Average Maturity in days</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">March 31, 2022</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;border-top:1pt solid #000000;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;border-top:1pt solid #000000;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;border-top:1pt solid #000000;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;border-top:1pt solid #000000;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Agency Securities</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">≤ 30 days</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#ffffff;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">4,415,600 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.37 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">15</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">&gt; 30 days to ≤ 90 days</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">917,841 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.40 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">34</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">&gt; 90 days</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">26,605 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.98 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">175</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Total or Weighted Average</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">5,360,046 </span></td><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.37 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">19</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr style="height:6pt"><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;border-top:1pt solid #000;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">U.S. Treasury Securities</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">≤ 30 days</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">1,079,958 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.18 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">1</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Total or Weighted Average</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">6,440,004 </span></td><td style="background-color:#e6eeff;border-top:1pt solid #000;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.34 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">16</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr style="height:11pt"><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;border-top:3pt double #000;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">December 31, 2021</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;border-top:1pt solid #000000;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Agency Securities</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">≤ 30 days</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#e6eeff;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">2,565,743 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.13 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">13</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">&gt; 30 days to ≤ 60 days</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">647,584 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.13 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">35</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">&gt; 60 days to ≤ 90 days</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">635,710 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.11 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">89</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Total or Weighted Average</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td style="background-color:#ffffff;border-top:1pt solid #000;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#ffffff;border-top:1pt solid #000;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">3,849,037 </span></td><td style="background-color:#ffffff;border-top:1pt solid #000;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.13 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">29</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr style="height:6pt"><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;border-top:1pt solid #000;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">U.S. Treasury Securities</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt 2px 12.25pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">≤ 30 days</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">99,000 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="2" style="background-color:#e6eeff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.12 </span></td><td style="background-color:#e6eeff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#e6eeff;padding:0 1pt"/><td colspan="3" style="background-color:#e6eeff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">3</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr><tr><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#1c4787;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:700;line-height:100%">Total or Weighted Average</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td style="background-color:#ffffff;border-bottom:3pt double #000000;border-top:1pt solid #000;padding:2px 0 2px 1pt;text-align:left;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">$</span></td><td style="background-color:#ffffff;border-bottom:3pt double #000000;border-top:1pt solid #000;padding:2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">3,948,037 </span></td><td style="background-color:#ffffff;border-bottom:3pt double #000000;border-top:1pt solid #000;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"/><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="2" style="background-color:#ffffff;padding:2px 0 2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">0.12 </span></td><td style="background-color:#ffffff;padding:2px 1pt 2px 0;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">%</span></td><td colspan="3" style="background-color:#ffffff;padding:0 1pt"/><td colspan="3" style="background-color:#ffffff;padding:2px 1pt;text-align:right;vertical-align:bottom"><span style="color:#000000;font-family:'Calibri',sans-serif;font-size:10pt;font-weight:400;line-height:100%">29</span></td><td colspan="3" style="display:none"/><td colspan="3" style="display:none"/></tr></table></div>
CY2022Q1 arr Repurchase Agreements Number Of Counterpartieswith Outstanding Borrowings
RepurchaseAgreementsNumberOfCounterpartieswithOutstandingBorrowings
19 counterparty
CY2022Q1 arr Haircuton Repurchase Agreements
HaircutonRepurchaseAgreements
0.0275
CY2021Q4 arr Haircuton Repurchase Agreements
HaircutonRepurchaseAgreements
0.0345
CY2022Q1 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
6440004000 USD
CY2022Q1 us-gaap Assets Sold Under Agreements To Repurchase Interest Rate
AssetsSoldUnderAgreementsToRepurchaseInterestRate
0.0034
CY2022Q1 us-gaap Repurchase Agreement Counterparty Weighted Average Maturity Of Agreements1
RepurchaseAgreementCounterpartyWeightedAverageMaturityOfAgreements1
P16D
CY2021Q4 us-gaap Assets Sold Under Agreements To Repurchase Carrying Amounts
AssetsSoldUnderAgreementsToRepurchaseCarryingAmounts
3948037000 USD
CY2021Q4 us-gaap Assets Sold Under Agreements To Repurchase Interest Rate
AssetsSoldUnderAgreementsToRepurchaseInterestRate
0.0012
us-gaap Repurchase Agreement Counterparty Weighted Average Maturity Of Agreements1
RepurchaseAgreementCounterpartyWeightedAverageMaturityOfAgreements1
P29D
CY2022Q1 us-gaap Ratio Of Indebtedness To Net Capital1
RatioOfIndebtednessToNetCapital1
12
CY2022Q1 us-gaap Ratio Of Indebtedness To Net Capital1
RatioOfIndebtednessToNetCapital1
12
CY2022Q1 us-gaap Derivative Assets
DerivativeAssets
543229000 USD
CY2022Q1 us-gaap Derivative Asset Not Offset Policy Election Deduction
DerivativeAssetNotOffsetPolicyElectionDeduction
531000 USD
CY2022Q1 us-gaap Derivative Collateral Obligation To Return Cash
DerivativeCollateralObligationToReturnCash
463654000 USD
CY2022Q1 us-gaap Derivative Asset Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeAssetFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
79044000 USD
CY2021Q4 us-gaap Derivative Assets
DerivativeAssets
199073000 USD
CY2021Q4 us-gaap Derivative Asset Not Offset Policy Election Deduction
DerivativeAssetNotOffsetPolicyElectionDeduction
10900000 USD
CY2021Q4 us-gaap Derivative Collateral Obligation To Return Cash
DerivativeCollateralObligationToReturnCash
157493000 USD
CY2021Q4 us-gaap Derivative Asset Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeAssetFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
30680000 USD
CY2022Q1 us-gaap Derivative Liabilities
DerivativeLiabilities
531000 USD
CY2022Q1 us-gaap Derivative Liability Not Offset Policy Election Deduction
DerivativeLiabilityNotOffsetPolicyElectionDeduction
531000 USD
CY2022Q1 us-gaap Derivative Collateral Right To Reclaim Cash
DerivativeCollateralRightToReclaimCash
0 USD
CY2022Q1 us-gaap Derivative Liability Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeLiabilityFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
0 USD
CY2021Q4 us-gaap Derivative Liabilities
DerivativeLiabilities
10900000 USD
CY2021Q4 us-gaap Derivative Liability Not Offset Policy Election Deduction
DerivativeLiabilityNotOffsetPolicyElectionDeduction
10900000 USD
CY2021Q4 us-gaap Derivative Collateral Right To Reclaim Cash
DerivativeCollateralRightToReclaimCash
0 USD
CY2021Q4 us-gaap Derivative Liability Fair Value Offset Against Collateral Net Of Not Subject To Master Netting Arrangement Policy Election
DerivativeLiabilityFairValueOffsetAgainstCollateralNetOfNotSubjectToMasterNettingArrangementPolicyElection
0 USD
CY2022Q1 us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
244634000 USD
CY2021Q1 us-gaap Gain Loss On Derivative Instruments Net Pretax
GainLossOnDerivativeInstrumentsNetPretax
118620000 USD
CY2022Q1 us-gaap Derivative Notional Amount
DerivativeNotionalAmount
7410000000 USD
CY2022Q1 us-gaap Derivative Average Remaining Maturity1
DerivativeAverageRemainingMaturity1
P75M
CY2022Q1 arr Derivative Weighted Average Interest Rate
DerivativeWeightedAverageInterestRate
0.0066
CY2021Q4 us-gaap Derivative Notional Amount
DerivativeNotionalAmount
7210000000 USD
CY2021 us-gaap Derivative Average Remaining Maturity1
DerivativeAverageRemainingMaturity1
P77M
CY2021Q4 arr Derivative Weighted Average Interest Rate
DerivativeWeightedAverageInterestRate
0.0063
CY2022Q1 arr Derivative Notional Amount Forward Settling
DerivativeNotionalAmountForwardSettling
950000000 USD
CY2022Q1 arr Related Party Transaction Management Agreement Gross Equity Raised
RelatedPartyTransactionManagementAgreementGrossEquityRaised
3368971000 USD
CY2021Q1 arr Related Party Transaction Management Agreement Gross Equity Raised
RelatedPartyTransactionManagementAgreementGrossEquityRaised
3026269000 USD
CY2021Q2 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
800000 USD
CY2021Q3 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
700000 USD
CY2021Q2 arr Fee Waiver Adjustment First Quarter
FeeWaiverAdjustmentFirstQuarter
2100000 USD
CY2021Q1 arr Fee Waiver Adjustment First Quarter
FeeWaiverAdjustmentFirstQuarter
2400000 USD
CY2021Q3 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
700000 USD
CY2021Q4 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
650000 USD
CY2022Q1 us-gaap Investment Company Contractual Fee Waived
InvestmentCompanyContractualFeeWaived
1950000 USD
CY2021Q1 us-gaap Investment Company Contractual Fee Waived
InvestmentCompanyContractualFeeWaived
2400000 USD
CY2022Q1 arr Share Based Payment Arrangement Nonvested Award Cost Not Yet Recognized Amount Remainder Of Fiscal Year
ShareBasedPaymentArrangementNonvestedAwardCostNotYetRecognizedAmountRemainderOfFiscalYear
3202000 USD
CY2022Q1 arr Share Based Payment Arrangement Nonvested Award Cost Not Yet Recognized Amount Year One
ShareBasedPaymentArrangementNonvestedAwardCostNotYetRecognizedAmountYearOne
2416000 USD
CY2022Q1 arr Share Based Payment Arrangement Nonvested Award Cost Not Yet Recognized Amount Thereafter
ShareBasedPaymentArrangementNonvestedAwardCostNotYetRecognizedAmountThereafter
4905000 USD
CY2021Q4 us-gaap Stockholders Equity
StockholdersEquity
1143639000 USD
CY2020Q4 us-gaap Stockholders Equity
StockholdersEquity
938304000 USD
CY2022Q1 us-gaap Other Comprehensive Income Loss Net Of Tax Portion Attributable To Parent
OtherComprehensiveIncomeLossNetOfTaxPortionAttributableToParent
-78538000 USD
CY2021Q1 us-gaap Other Comprehensive Income Loss Net Of Tax Portion Attributable To Parent
OtherComprehensiveIncomeLossNetOfTaxPortionAttributableToParent
-42234000 USD
CY2022Q1 us-gaap Net Income Loss
NetIncomeLoss
-66434000 USD
CY2021Q1 us-gaap Net Income Loss
NetIncomeLoss
71327000 USD
CY2022Q1 us-gaap Stock Issued During Period Value Share Based Compensation
StockIssuedDuringPeriodValueShareBasedCompensation
935000 USD
CY2021Q1 us-gaap Stock Issued During Period Value Share Based Compensation
StockIssuedDuringPeriodValueShareBasedCompensation
1199000 USD
CY2022Q1 us-gaap Common Stock Dividends Per Share Cash Paid
CommonStockDividendsPerShareCashPaid
0.10
CY2021Q1 us-gaap Common Stock Dividends Per Share Cash Paid
CommonStockDividendsPerShareCashPaid
0.10
CY2022Q1 us-gaap Dividends Common Stock
DividendsCommonStock
29108000 USD
CY2021Q1 us-gaap Dividends Common Stock
DividendsCommonStock
20057000 USD
CY2022Q1 us-gaap Stockholders Equity
StockholdersEquity
1021935000 USD
CY2021Q1 us-gaap Stockholders Equity
StockholdersEquity
1027186000 USD
CY2022Q1 us-gaap Cumulative Dividends
CumulativeDividends
1870058000 USD
CY2021Q4 us-gaap Cumulative Dividends
CumulativeDividends
1837955000 USD
CY2021Q4 us-gaap Preferred Stock Shares Authorized
PreferredStockSharesAuthorized
50000000 shares
CY2022Q1 us-gaap Preferred Stock Shares Authorized
PreferredStockSharesAuthorized
50000000 shares
CY2022Q1 arr Preferred Stock Undesignated Shares Authorized
PreferredStockUndesignatedSharesAuthorized
40000000 shares
CY2021Q4 us-gaap Common Stock Shares Authorized
CommonStockSharesAuthorized
200000000 shares
CY2022Q1 us-gaap Common Stock Shares Authorized
CommonStockSharesAuthorized
200000000 shares
CY2021Q4 us-gaap Common Stock Par Or Stated Value Per Share
CommonStockParOrStatedValuePerShare
0.001
CY2022Q1 us-gaap Common Stock Par Or Stated Value Per Share
CommonStockParOrStatedValuePerShare
0.001
CY2022Q1 us-gaap Common Stock Shares Outstanding
CommonStockSharesOutstanding
100361000 shares
CY2022Q1 us-gaap Common Stock Shares Issued
CommonStockSharesIssued
100361000 shares
CY2021Q4 us-gaap Common Stock Shares Issued
CommonStockSharesIssued
94152000 shares
CY2021Q4 us-gaap Common Stock Shares Outstanding
CommonStockSharesOutstanding
94152000 shares
CY2021Q4 us-gaap Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased
StockRepurchaseProgramRemainingNumberOfSharesAuthorizedToBeRepurchased
8210000 shares
CY2022Q1 us-gaap Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased
StockRepurchaseProgramRemainingNumberOfSharesAuthorizedToBeRepurchased
8210000 shares
CY2022Q1 us-gaap Net Income Loss
NetIncomeLoss
-66434000 USD
CY2021Q1 us-gaap Net Income Loss
NetIncomeLoss
71327000 USD
CY2022Q1 us-gaap Preferred Stock Dividends Income Statement Impact
PreferredStockDividendsIncomeStatementImpact
2995000 USD
CY2021Q1 us-gaap Preferred Stock Dividends Income Statement Impact
PreferredStockDividendsIncomeStatementImpact
2486000 USD
CY2022Q1 us-gaap Net Income Loss Available To Common Stockholders Basic
NetIncomeLossAvailableToCommonStockholdersBasic
-69429000 USD
CY2021Q1 us-gaap Net Income Loss Available To Common Stockholders Basic
NetIncomeLossAvailableToCommonStockholdersBasic
68841000 USD
CY2022Q1 us-gaap Weighted Average Number Of Shares Outstanding Basic
WeightedAverageNumberOfSharesOutstandingBasic
96226000 shares
CY2021Q1 us-gaap Weighted Average Number Of Shares Outstanding Basic
WeightedAverageNumberOfSharesOutstandingBasic
65964000 shares
CY2022Q1 us-gaap Incremental Common Shares Attributable To Share Based Payment Arrangements
IncrementalCommonSharesAttributableToShareBasedPaymentArrangements
0 shares
CY2021Q1 us-gaap Incremental Common Shares Attributable To Share Based Payment Arrangements
IncrementalCommonSharesAttributableToShareBasedPaymentArrangements
1054000 shares
CY2022Q1 us-gaap Weighted Average Number Of Diluted Shares Outstanding
WeightedAverageNumberOfDilutedSharesOutstanding
96226000 shares
CY2021Q1 us-gaap Weighted Average Number Of Diluted Shares Outstanding
WeightedAverageNumberOfDilutedSharesOutstanding
67018000 shares
CY2022Q1 us-gaap Antidilutive Securities Excluded From Computation Of Earnings Per Share Amount
AntidilutiveSecuritiesExcludedFromComputationOfEarningsPerShareAmount
760000 shares
CY2022Q1 us-gaap Comprehensive Income Net Of Tax
ComprehensiveIncomeNetOfTax
-144972000 USD
CY2021Q1 us-gaap Comprehensive Income Net Of Tax
ComprehensiveIncomeNetOfTax
29093000 USD
CY2022Q1 us-gaap Preferred Stock Dividends Income Statement Impact
PreferredStockDividendsIncomeStatementImpact
2995000 USD
CY2021Q1 us-gaap Preferred Stock Dividends Income Statement Impact
PreferredStockDividendsIncomeStatementImpact
2486000 USD
CY2022Q1 arr Comprehensive Income Loss Availableto Common Stockholders
ComprehensiveIncomeLossAvailabletoCommonStockholders
-147967000 USD
CY2021Q1 arr Comprehensive Income Loss Availableto Common Stockholders
ComprehensiveIncomeLossAvailabletoCommonStockholders
26607000 USD
CY2022Q1 arr Comprehensive Income Loss Availableto Common Stockholders Per Share Basic
ComprehensiveIncomeLossAvailabletoCommonStockholdersPerShareBasic
-1.54
CY2021Q1 arr Comprehensive Income Loss Availableto Common Stockholders Per Share Basic
ComprehensiveIncomeLossAvailabletoCommonStockholdersPerShareBasic
0.40
CY2022Q1 arr Comprehensive Income Loss Availableto Common Stockholders Per Share Diluted
ComprehensiveIncomeLossAvailabletoCommonStockholdersPerShareDiluted
-1.54
CY2021Q1 arr Comprehensive Income Loss Availableto Common Stockholders Per Share Diluted
ComprehensiveIncomeLossAvailabletoCommonStockholdersPerShareDiluted
0.40
CY2022Q1 us-gaap Weighted Average Number Of Shares Outstanding Basic
WeightedAverageNumberOfSharesOutstandingBasic
96226000 shares
CY2021Q1 us-gaap Weighted Average Number Of Shares Outstanding Basic
WeightedAverageNumberOfSharesOutstandingBasic
65964000 shares
CY2022Q1 arr Incremental Common Shares Attributableto Dilutive Effectof Sharebased Payment Arrangements Comprehensive Income Loss
IncrementalCommonSharesAttributabletoDilutiveEffectofSharebasedPaymentArrangementsComprehensiveIncomeLoss
0 shares
CY2021Q1 arr Incremental Common Shares Attributableto Dilutive Effectof Sharebased Payment Arrangements Comprehensive Income Loss
IncrementalCommonSharesAttributabletoDilutiveEffectofSharebasedPaymentArrangementsComprehensiveIncomeLoss
1054000 shares
CY2022Q1 arr Weighted Average Numberof Shares Outstanding Diluted Comprehensive Income Loss
WeightedAverageNumberofSharesOutstandingDilutedComprehensiveIncomeLoss
96226000 shares
CY2021Q1 arr Weighted Average Numberof Shares Outstanding Diluted Comprehensive Income Loss
WeightedAverageNumberofSharesOutstandingDilutedComprehensiveIncomeLoss
67018000 shares
CY2022Q1 us-gaap Antidilutive Securities Excluded From Computation Of Earnings Per Share Amount
AntidilutiveSecuritiesExcludedFromComputationOfEarningsPerShareAmount
760000 shares
CY2022Q1 us-gaap Net Income Loss
NetIncomeLoss
-66434000 USD
CY2021Q1 us-gaap Net Income Loss
NetIncomeLoss
71327000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Reversalof Income
EffectiveTaxableIncomeReconciliationReversalofIncome
1000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Reversalof Income
EffectiveTaxableIncomeReconciliationReversalofIncome
7000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Premium Amortization Expense
EffectiveTaxableIncomeReconciliationPremiumAmortizationExpense
41000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Premium Amortization Expense
EffectiveTaxableIncomeReconciliationPremiumAmortizationExpense
48000 USD
CY2022Q1 us-gaap Debt Securities Trading Gain Loss
DebtSecuritiesTradingGainLoss
-254389000 USD
CY2021Q1 us-gaap Debt Securities Trading Gain Loss
DebtSecuritiesTradingGainLoss
-62586000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Trading Securities Us Treasury Securities
EffectiveTaxableIncomeReconciliationTradingSecuritiesUSTreasurySecurities
-78387000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Trading Securities Us Treasury Securities
EffectiveTaxableIncomeReconciliationTradingSecuritiesUSTreasurySecurities
-28000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Changes In Derivatives
EffectiveTaxableIncomeReconciliationChangesInDerivatives
250900000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Changes In Derivatives
EffectiveTaxableIncomeReconciliationChangesInDerivatives
122195000 USD
CY2021Q1 arr Fee Waiver Adjustment First Quarter
FeeWaiverAdjustmentFirstQuarter
2400000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Gains Losseson Availableforsale Securities
EffectiveTaxableIncomeReconciliationGainsLossesonAvailableforsaleSecurities
0 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Gains Losseson Availableforsale Securities
EffectiveTaxableIncomeReconciliationGainsLossesonAvailableforsaleSecurities
-7354000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Amortizationof Financing Costsand Discounts
EffectiveTaxableIncomeReconciliationAmortizationofFinancingCostsandDiscounts
39581000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Amortizationof Financing Costsand Discounts
EffectiveTaxableIncomeReconciliationAmortizationofFinancingCostsandDiscounts
41867000 USD
CY2022Q1 arr Effective Taxable Income Reconciliation Other Adjustments
EffectiveTaxableIncomeReconciliationOtherAdjustments
550000 USD
CY2021Q1 arr Effective Taxable Income Reconciliation Other Adjustments
EffectiveTaxableIncomeReconciliationOtherAdjustments
417000 USD
CY2022Q1 arr Estimated Reit Taxable Income
EstimatedREITTaxableIncome
-23631000 USD
CY2021Q1 arr Estimated Reit Taxable Income
EstimatedREITTaxableIncome
-37113000 USD
CY2022Q1 us-gaap Deferred Tax Assets Operating Loss Carryforwards
DeferredTaxAssetsOperatingLossCarryforwards
240428000 USD
CY2022Q1 arr Aggregate Tax Basis Stockholders Equityin Excessof Assetsand Liabilities
AggregateTaxBasisStockholdersEquityinExcessofAssetsandLiabilities
308578000 USD
CY2022Q1 arr Aggregate Tax Basis Stockholders Equityin Excessof Assetsand Liabilities Per Share
AggregateTaxBasisStockholdersEquityinExcessofAssetsandLiabilitiesPerShare
3.07
CY2022Q1 us-gaap Common Stock Shares Issued
CommonStockSharesIssued
100361000 shares
CY2022Q1 us-gaap Payments Of Dividends
PaymentsOfDividends
32103000 USD
CY2021Q1 us-gaap Payments Of Dividends
PaymentsOfDividends
22543000 USD
CY2021Q2 arr Fee Waiver Adjustment First Quarter
FeeWaiverAdjustmentFirstQuarter
2100000 USD
CY2021Q2 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
800000 USD
CY2021Q3 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
700000 USD
CY2021Q3 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
700000 USD
CY2021Q4 arr Fee Waiver Adjustment Every Month Thereafter
FeeWaiverAdjustmentEveryMonthThereafter
650000 USD
CY2022Q1 arr Related Party Management Fees
RelatedPartyManagementFees
8125000 USD
CY2021Q1 arr Related Party Management Fees
RelatedPartyManagementFees
7428000 USD
CY2022Q1 us-gaap Investment Company Contractual Fee Waived
InvestmentCompanyContractualFeeWaived
1950000 USD
CY2021Q1 us-gaap Investment Company Contractual Fee Waived
InvestmentCompanyContractualFeeWaived
2400000 USD
CY2022Q1 us-gaap Management Fee Expense
ManagementFeeExpense
6175000 USD
CY2021Q1 us-gaap Management Fee Expense
ManagementFeeExpense
5028000 USD
CY2019Q1 arr Numberof Loan Agreementswith Related Party
NumberofLoanAgreementswithRelatedParty
1 loan

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