|
|
|
☒
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
☐
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Maryland
|
001-34766
|
26-1908763
|
(State or other jurisdiction of incorporation or organization)
|
(Commission File Number)
|
(I.R.S. Employer Identification No.)
|
Title of Each Class
|
|
Trading symbols
|
|
Name of Exchange on which registered
|
Preferred Stock, 7.00% Series C Cumulative Redeemable
|
|
ARR-PRC
|
|
New York Stock Exchange
|
Common Stock, $0.001 par value
|
|
ARR
|
|
New York Stock Exchange
|
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||
Assets
|
|
|
|
|
||||
Cash
|
|
$
|
153,258
|
|
|
$
|
181,395
|
|
Cash collateral posted to counterparties
|
|
27,460
|
|
|
91,771
|
|
||
Investments in securities, at fair value
|
|
|
|
|
||||
Agency Securities (including pledged securities of $4,421,226 at June 30, 2020 and $11,188,502 at December 31, 2019)
|
|
5,186,224
|
|
|
11,941,766
|
|
||
Credit Risk and Non-Agency Securities (including pledged securities of $0 at June 30, 2020 and $810,549 at December 31, 2019)
|
|
65,970
|
|
|
883,601
|
|
||
Derivatives, at fair value
|
|
10,620
|
|
|
24,751
|
|
||
Accrued interest receivable
|
|
13,007
|
|
|
35,085
|
|
||
Prepaid and other
|
|
2,448
|
|
|
9,051
|
|
||
Subordinated loan to BUCKLER
|
|
105,000
|
|
|
105,000
|
|
||
Total Assets
|
|
$
|
5,563,987
|
|
|
$
|
13,272,420
|
|
Liabilities and Stockholders’ Equity
|
|
|
|
|
||||
Liabilities:
|
|
|
|
|
||||
Repurchase agreements
|
|
$
|
4,237,603
|
|
|
$
|
11,354,547
|
|
Cash collateral posted by counterparties
|
|
8,189
|
|
|
14,958
|
|
||
Payable for unsettled purchases
|
|
443,523
|
|
|
358,712
|
|
||
Derivatives, at fair value
|
|
18,198
|
|
|
71,974
|
|
||
Accrued interest payable- repurchase agreements
|
|
676
|
|
|
31,932
|
|
||
Accounts payable and other accrued expenses
|
|
4,567
|
|
|
3,590
|
|
||
Total Liabilities
|
|
$
|
4,712,756
|
|
|
$
|
11,835,713
|
|
|
|
|
|
|
||||
Commitments and contingencies (Note 9)
|
|
|
|
|
||||
|
|
|
|
|
||||
Stockholders’ Equity:
|
|
|
|
|
||||
Preferred stock, $0.001 par value, 50,000 shares authorized;
|
|
|
|
|
||||
7.875% Series B Cumulative Preferred Stock; 8,383 shares issued and outstanding ($209,583 aggregate liquidation preference) at December 31, 2019
|
|
—
|
|
|
8
|
|
||
7.00% Series C Cumulative Preferred Stock; 5,303 shares issued and outstanding ($132,588 aggregate liquidation preference) at June 30, 2020
|
|
5
|
|
|
—
|
|
||
Common stock, $0.001 par value, 125,000 shares authorized, 64,689 and 58,877 shares issued and outstanding at June 30, 2020 and December 31, 2019, respectively
|
|
65
|
|
|
59
|
|
||
Additional paid-in capital
|
|
3,024,246
|
|
|
3,054,604
|
|
||
Accumulated deficit
|
|
(2,369,748
|
)
|
|
(1,973,437
|
)
|
||
Accumulated other comprehensive income
|
|
196,663
|
|
|
355,473
|
|
||
Total Stockholders’ Equity
|
|
$
|
851,231
|
|
|
$
|
1,436,707
|
|
Total Liabilities and Stockholders’ Equity
|
|
$
|
5,563,987
|
|
|
$
|
13,272,420
|
|
|
|
For the Three Months Ended June 30,
|
|
For the Six Months Ended June 30,
|
||||||||||||
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Interest Income:
|
|
|
|
|
|
|
|
|
||||||||
Agency Securities, net of amortization of premium and fees
|
|
$
|
23,648
|
|
|
$
|
113,438
|
|
|
$
|
103,424
|
|
|
$
|
193,270
|
|
Credit Risk and Non-Agency Securities, including discount accretion
|
|
4,873
|
|
|
13,383
|
|
|
17,228
|
|
|
26,975
|
|
||||
Interest-Only Securities
|
|
—
|
|
|
251
|
|
|
—
|
|
|
596
|
|
||||
U.S. Treasury Securities
|
|
—
|
|
|
744
|
|
|
469
|
|
|
1,226
|
|
||||
BUCKLER Subordinated loan
|
|
29
|
|
|
544
|
|
|
287
|
|
|
1,083
|
|
||||
Total Interest Income
|
|
$
|
28,550
|
|
|
$
|
128,360
|
|
|
$
|
121,408
|
|
|
$
|
223,150
|
|
Interest expense- repurchase agreements
|
|
(5,389
|
)
|
|
(87,504
|
)
|
|
(56,909
|
)
|
|
(148,482
|
)
|
||||
Interest expense- U.S. Treasury Securities sold short
|
|
(32
|
)
|
|
—
|
|
|
(32
|
)
|
|
—
|
|
||||
Net Interest Income
|
|
$
|
23,129
|
|
|
$
|
40,856
|
|
|
$
|
64,467
|
|
|
$
|
74,668
|
|
Other Income (Loss):
|
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on sale available for sale Agency Securities (reclassified from Other comprehensive income (loss))
|
|
36,008
|
|
|
(44
|
)
|
|
129,333
|
|
|
(2,953
|
)
|
||||
Credit loss expense
|
|
—
|
|
|
—
|
|
|
(1,012
|
)
|
|
—
|
|
||||
Gain on Agency Securities, trading
|
|
7,911
|
|
|
—
|
|
|
7,911
|
|
|
—
|
|
||||
Gain (loss) on Credit Risk and Non-Agency Securities
|
|
190
|
|
|
(17,699
|
)
|
|
(182,922
|
)
|
|
(17,203
|
)
|
||||
Gain on Interest-Only Securities
|
|
—
|
|
|
490
|
|
|
—
|
|
|
123
|
|
||||
Gain on U.S. Treasury Securities
|
|
—
|
|
|
3,453
|
|
|
21,771
|
|
|
2,760
|
|
||||
Loss on short sale of U.S. Treasury Securities
|
|
(414
|
)
|
|
—
|
|
|
(414
|
)
|
|
—
|
|
||||
Subtotal
|
|
$
|
43,695
|
|
|
$
|
(13,800
|
)
|
|
$
|
(25,333
|
)
|
|
$
|
(17,273
|
)
|
Realized loss on derivatives (1)
|
|
(180,567
|
)
|
|
(92,990
|
)
|
|
(415,716
|
)
|
|
(115,122
|
)
|
||||
Unrealized gain (loss) on derivatives
|
|
173,325
|
|
|
(107,304
|
)
|
|
39,438
|
|
|
(220,371
|
)
|
||||
Subtotal
|
|
$
|
(7,242
|
)
|
|
$
|
(200,294
|
)
|
|
$
|
(376,278
|
)
|
|
$
|
(335,493
|
)
|
Total Other Income (Loss)
|
|
$
|
36,453
|
|
|
$
|
(214,094
|
)
|
|
$
|
(401,611
|
)
|
|
$
|
(352,766
|
)
|
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Management fees
|
|
7,382
|
|
|
7,485
|
|
|
14,840
|
|
|
14,743
|
|
||||
Professional fees
|
|
1,654
|
|
|
912
|
|
|
2,499
|
|
|
1,947
|
|
||||
Insurance
|
|
183
|
|
|
183
|
|
|
366
|
|
|
348
|
|
||||
Compensation
|
|
1,357
|
|
|
995
|
|
|
2,822
|
|
|
1,782
|
|
||||
Other
|
|
205
|
|
|
437
|
|
|
187
|
|
|
713
|
|
||||
Total Expenses
|
|
$
|
10,781
|
|
|
$
|
10,012
|
|
|
$
|
20,714
|
|
|
$
|
19,533
|
|
Less management fees waived
|
|
(2,947
|
)
|
|
—
|
|
|
(2,947
|
)
|
|
—
|
|
||||
Total Expenses after fees waived
|
|
$
|
7,834
|
|
|
$
|
10,012
|
|
|
$
|
17,767
|
|
|
$
|
19,533
|
|
Net Income (Loss)
|
|
$
|
51,748
|
|
|
$
|
(183,250
|
)
|
|
$
|
(354,911
|
)
|
|
$
|
(297,631
|
)
|
Dividends on preferred stock
|
|
(2,320
|
)
|
|
(4,274
|
)
|
|
(5,147
|
)
|
|
(8,533
|
)
|
||||
Net Income (Loss) available (related) to common stockholders
|
|
$
|
49,428
|
|
|
$
|
(187,524
|
)
|
|
$
|
(360,058
|
)
|
|
$
|
(306,164
|
)
|
(Continued)
|
|
|
For the Three Months Ended June 30,
|
|
For the Six Months Ended June 30,
|
||||||||||||
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Net Income (Loss) per share available (related) to common stockholders (Note 12):
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
$
|
0.78
|
|
|
$
|
(3.14
|
)
|
|
$
|
(5.87
|
)
|
|
$
|
(5.40
|
)
|
Diluted
|
|
$
|
0.77
|
|
|
$
|
(3.14
|
)
|
|
$
|
(5.87
|
)
|
|
$
|
(5.40
|
)
|
Dividends declared per common share
|
|
$
|
0.09
|
|
|
$
|
0.57
|
|
|
$
|
0.60
|
|
|
$
|
1.14
|
|
Weighted average common shares outstanding:
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
63,741
|
|
|
59,654
|
|
|
61,312
|
|
|
56,658
|
|
||||
Diluted
|
|
64,340
|
|
|
59,654
|
|
|
61,312
|
|
|
56,658
|
|
|
|
For the Three Months Ended June 30,
|
|
For the Six Months Ended June 30,
|
||||||||||||
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Net Income (Loss)
|
|
$
|
51,748
|
|
|
$
|
(183,250
|
)
|
|
$
|
(354,911
|
)
|
|
$
|
(297,631
|
)
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||||||
Reclassification adjustment for realized (gain) loss on sale of available for sale Agency Securities
|
|
(36,008
|
)
|
|
44
|
|
|
(129,333
|
)
|
|
2,953
|
|
||||
Reclassification adjustment for credit loss expense on available for sale Agency Securities
|
|
—
|
|
|
—
|
|
|
1,012
|
|
|
—
|
|
||||
Net unrealized gain (loss) on available for sale Agency Securities
|
|
7,654
|
|
|
173,015
|
|
|
(30,489
|
)
|
|
357,264
|
|
||||
Other comprehensive income (loss)
|
|
$
|
(28,354
|
)
|
|
$
|
173,059
|
|
|
$
|
(158,810
|
)
|
|
$
|
360,217
|
|
Comprehensive Income (Loss)
|
|
$
|
23,394
|
|
|
$
|
(10,191
|
)
|
|
$
|
(513,721
|
)
|
|
$
|
62,586
|
|
|
Preferred Stock
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
|
7.875% Series B
|
|
7.00% Series C
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Shares
|
|
Par
|
|
Shares
|
|
Par
|
|
Shares
|
|
Par
|
|
Total
Additional Paid-in
Capital
|
|
Accumulated
Deficit
|
|
Accumulated
Other
Comprehensive Income (Loss)
|
|
Total
|
|||||||||||||||||
Balance, December 31, 2019
|
8,383
|
|
|
$
|
8
|
|
|
—
|
|
|
$
|
—
|
|
|
58,877
|
|
|
$
|
59
|
|
|
$
|
3,054,604
|
|
|
$
|
(1,973,437
|
)
|
|
$
|
355,473
|
|
|
$
|
1,436,707
|
|
Series B Preferred dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,375
|
)
|
|
—
|
|
|
(1,375
|
)
|
|||||||
Series C Preferred dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,772
|
)
|
|
—
|
|
|
(3,772
|
)
|
|||||||
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(36,253
|
)
|
|
—
|
|
|
(36,253
|
)
|
|||||||
Series B Preferred stock, called for redemption
|
(8,383
|
)
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(209,575
|
)
|
|
—
|
|
|
—
|
|
|
(209,583
|
)
|
|||||||
Issuance of Series C Preferred stock, net of expenses
|
—
|
|
|
—
|
|
|
5,303
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
129,091
|
|
|
—
|
|
|
—
|
|
|
129,096
|
|
|||||||
Issuance of common stock, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,767
|
|
|
6
|
|
|
48,880
|
|
|
—
|
|
|
—
|
|
|
48,886
|
|
|||||||
Stock based compensation, net of withholding requirements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
85
|
|
|
—
|
|
|
2,023
|
|
|
|
|
|
—
|
|
|
2,023
|
|
|||||||
Common stock repurchased, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(40
|
)
|
|
—
|
|
|
(777
|
)
|
|
—
|
|
|
—
|
|
|
(777
|
)
|
|||||||
Net Loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(354,911
|
)
|
|
—
|
|
|
(354,911
|
)
|
|||||||
Other comprehensive loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(158,810
|
)
|
|
(158,810
|
)
|
|||||||
Balance, June 30, 2020
|
—
|
|
|
$
|
—
|
|
|
5,303
|
|
|
$
|
5
|
|
|
64,689
|
|
|
$
|
65
|
|
|
$
|
3,024,246
|
|
|
$
|
(2,369,748
|
)
|
|
$
|
196,663
|
|
|
$
|
851,231
|
|
|
|
For the Six Months Ended June 30,
|
||||||
|
|
2020
|
|
2019
|
||||
Cash Flows From Operating Activities:
|
|
|
|
|
||||
Net Loss
|
|
$
|
(354,911
|
)
|
|
$
|
(297,631
|
)
|
Adjustments to reconcile net loss to net cash and cash collateral posted to counterparties used in operating activities:
|
|
|
|
|
||||
Net amortization of premium on Agency Securities
|
|
23,364
|
|
|
17,470
|
|
||
Accretion of net discount on Credit Risk and Non-Agency Securities
|
|
(2,529
|
)
|
|
(1,505
|
)
|
||
Net amortization of Interest-Only Securities
|
|
—
|
|
|
1,923
|
|
||
Net amortization of U.S. Treasury Securities
|
|
84
|
|
|
(379
|
)
|
||
Realized (gain) loss on sale of Agency Securities, available for sale
|
|
(129,333
|
)
|
|
2,953
|
|
||
Credit loss expense
|
|
1,012
|
|
|
—
|
|
||
Gain on Agency Securities, trading
|
|
(7,911
|
)
|
|
—
|
|
||
Loss on Credit Risk and Non-Agency Securities
|
|
182,922
|
|
|
17,203
|
|
||
Gain on Interest-Only Securities
|
|
—
|
|
|
(123
|
)
|
||
Gain on U.S. Treasury Securities
|
|
(21,771
|
)
|
|
(2,760
|
)
|
||
Loss on short sale of U.S. Treasury Securities
|
|
414
|
|
|
—
|
|
||
Stock based compensation
|
|
2,023
|
|
|
1,302
|
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
||||
Increase (decrease) in accrued interest receivable
|
|
22,030
|
|
|
(20,024
|
)
|
||
Increase (decrease) in prepaid and other assets
|
|
6,603
|
|
|
(337
|
)
|
||
Change in derivatives, at fair value
|
|
(39,645
|
)
|
|
202,829
|
|
||
Increase (decrease) in accrued interest payable- repurchase agreements
|
|
(31,256
|
)
|
|
33,081
|
|
||
Increase in accounts payable and other accrued expenses
|
|
977
|
|
|
2,452
|
|
||
Net cash and cash collateral posted to counterparties used in operating activities
|
|
$
|
(347,927
|
)
|
|
$
|
(43,546
|
)
|
Cash Flows From Investing Activities:
|
|
|
|
|
||||
Purchases of Agency Securities
|
|
(4,727,162
|
)
|
|
(7,971,429
|
)
|
||
Purchases of Credit Risk and Non-Agency Securities
|
|
(237,928
|
)
|
|
—
|
|
||
Purchases of U.S. Treasury Securities
|
|
(4,621,776
|
)
|
|
(1,427,320
|
)
|
||
Principal repayments of Agency Securities
|
|
666,156
|
|
|
459,784
|
|
||
Principal repayments of Credit Risk and Non-Agency Securities
|
|
43,768
|
|
|
15,646
|
|
||
Proceeds from sales of Agency Securities
|
|
10,855,465
|
|
|
1,114,121
|
|
||
Proceeds from sales of Credit Risk and Non-Agency Securities
|
|
831,398
|
|
|
—
|
|
||
Proceeds from sales of Interest-only Securities
|
|
—
|
|
|
18,822
|
|
||
Proceeds from sales of U.S. Treasury Securities
|
|
4,643,049
|
|
|
1,529,105
|
|
||
Disbursements on reverse repurchase agreements
|
|
(858,156
|
)
|
|
—
|
|
||
Receipts from reverse repurchase agreements
|
|
858,156
|
|
|
—
|
|
||
Decrease in cash collateral posted by counterparties
|
|
(6,769
|
)
|
|
(78,512
|
)
|
||
Net cash and cash collateral posted to counterparties provided by (used in) investing activities
|
|
$
|
7,446,201
|
|
|
$
|
(6,339,783
|
)
|
(Continued)
|
Cash Flows From Financing Activities:
|
|
|
|
|
||||
Redemption of Series B Preferred stock, net of expenses
|
|
(209,583
|
)
|
|
—
|
|
||
Issuance of Series B Preferred stock, net of expenses
|
|
—
|
|
|
2,750
|
|
||
Issuance of Series C Preferred stock, net of expenses
|
|
129,096
|
|
|
—
|
|
||
Issuance of common stock, net of expenses
|
|
48,886
|
|
|
321,892
|
|
||
Proceeds from repurchase agreements
|
|
53,582,910
|
|
|
96,704,891
|
|
||
Principal repayments on repurchase agreements
|
|
(60,699,854
|
)
|
|
(90,445,696
|
)
|
||
Series A Preferred stock dividends paid
|
|
—
|
|
|
(2,249
|
)
|
||
Series B Preferred stock dividends paid
|
|
(1,375
|
)
|
|
(6,284
|
)
|
||
Series C Preferred stock dividends paid
|
|
(3,772
|
)
|
|
—
|
|
||
Common stock dividends paid
|
|
(36,253
|
)
|
|
(64,012
|
)
|
||
Common stock repurchased, net
|
|
(777
|
)
|
|
(11,340
|
)
|
||
Net cash and cash collateral posted to counterparties provided by (used in) financing activities
|
|
$
|
(7,190,722
|
)
|
|
$
|
6,499,952
|
|
Net Increase (decrease) in cash and cash collateral posted to counterparties
|
|
(92,448
|
)
|
|
116,623
|
|
||
Cash and cash collateral posted to counterparties - beginning of period
|
|
273,166
|
|
|
232,199
|
|
||
Cash and cash collateral posted to counterparties - end of period
|
|
$
|
180,718
|
|
|
$
|
348,822
|
|
Supplemental Disclosure:
|
|
|
|
|
||||
Cash paid during the period for interest
|
|
$
|
166,358
|
|
|
187,005
|
|
|
Non-Cash Investing Activities:
|
|
|
|
|
||||
Payable for unsettled purchases
|
|
$
|
(443,523
|
)
|
|
—
|
|
|
Net unrealized gain (loss) on available for sale Agency Securities
|
|
$
|
(30,489
|
)
|
|
357,264
|
|
|
Non-Cash Financing Activities:
|
|
|
|
|
||||
Amounts payable for Series A Preferred stock, called for redemption
|
|
$
|
—
|
|
|
(54,514
|
)
|
|
Amounts receivable for issuance of Preferred B stock
|
|
$
|
—
|
|
|
604
|
|
Accounting Standard
|
|
Description
|
|
|
|
ASU 2016-13, Financial Instruments–Credit Losses (Topic 326)
|
|
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.
|
June 30, 2020
|
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
Balance
|
||||||||
Assets at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Agency Securities
|
|
$
|
—
|
|
|
$
|
5,186,224
|
|
|
$
|
—
|
|
|
$
|
5,186,224
|
|
Credit Risk and Non-Agency Securities
|
|
$
|
—
|
|
|
$
|
65,970
|
|
|
$
|
—
|
|
|
$
|
65,970
|
|
Derivatives
|
|
$
|
—
|
|
|
$
|
10,620
|
|
|
$
|
—
|
|
|
$
|
10,620
|
|
Liabilities at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Derivatives
|
|
$
|
—
|
|
|
$
|
18,198
|
|
|
$
|
—
|
|
|
$
|
18,198
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2019
|
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
Balance
|
||||||||
Assets at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Agency Securities
|
|
$
|
—
|
|
|
$
|
11,941,766
|
|
|
$
|
—
|
|
|
$
|
11,941,766
|
|
Credit Risk and Non-Agency Securities
|
|
$
|
—
|
|
|
$
|
883,601
|
|
|
$
|
—
|
|
|
$
|
883,601
|
|
Derivatives
|
|
$
|
—
|
|
|
$
|
24,751
|
|
|
$
|
—
|
|
|
$
|
24,751
|
|
Liabilities at Fair Value:
|
|
|
|
|
|
|
|
|
|
|||||||
Derivatives
|
|
$
|
—
|
|
|
$
|
71,974
|
|
|
$
|
—
|
|
|
$
|
71,974
|
|
|
|
Available
for Sale
Securities
|
|
Trading Securities
|
|
|
||||||||||||||||||
|
|
Agency
|
|
Agency
|
|
Credit Risk and Non-Agency
|
|
Interest-Only
|
|
U.S. Treasuries
|
|
Totals
|
||||||||||||
June 30, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, December 31, 2019
|
|
$
|
11,941,766
|
|
|
$
|
—
|
|
|
$
|
883,601
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
12,825,367
|
|
Purchases (1)
|
|
1,768,688
|
|
|
3,043,333
|
|
|
237,928
|
|
|
—
|
|
|
4,621,776
|
|
|
9,671,725
|
|
||||||
Proceeds from sales
|
|
(10,701,096
|
)
|
|
(154,369
|
)
|
|
(831,398
|
)
|
|
—
|
|
|
(4,643,049
|
)
|
|
(16,329,912
|
)
|
||||||
Principal repayments
|
|
(616,654
|
)
|
|
(49,502
|
)
|
|
(43,768
|
)
|
|
—
|
|
|
—
|
|
|
(709,924
|
)
|
||||||
Gains (losses)
|
|
(29,477
|
)
|
|
7,911
|
|
|
(182,922
|
)
|
|
—
|
|
|
21,357
|
|
|
(183,131
|
)
|
||||||
Credit loss expense
|
|
(1,012
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,012
|
)
|
||||||
Amortization/accretion
|
|
(20,268
|
)
|
|
(3,096
|
)
|
|
2,529
|
|
|
—
|
|
|
(84
|
)
|
|
(20,919
|
)
|
||||||
Balance, June 30, 2020
|
|
$
|
2,341,947
|
|
|
$
|
2,844,277
|
|
|
$
|
65,970
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,252,194
|
|
Percentage of Portfolio
|
|
44.59
|
%
|
|
54.15
|
%
|
|
1.26
|
%
|
|
—
|
%
|
|
—
|
%
|
|
100.00
|
%
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, December 31, 2018
|
|
$
|
7,051,954
|
|
|
$
|
—
|
|
|
$
|
819,915
|
|
|
$
|
20,623
|
|
|
$
|
98,646
|
|
|
$
|
7,991,138
|
|
Purchases (1)
|
|
9,130,512
|
|
|
—
|
|
|
138,767
|
|
|
—
|
|
|
1,685,058
|
|
|
10,954,337
|
|
||||||
Sales
|
|
(2,894,339
|
)
|
|
—
|
|
|
—
|
|
|
(18,822
|
)
|
|
(1,786,090
|
)
|
|
(4,699,251
|
)
|
||||||
Principal Repayments
|
|
(1,701,406
|
)
|
|
—
|
|
|
(53,641
|
)
|
|
—
|
|
|
—
|
|
|
(1,755,047
|
)
|
||||||
Gains (losses)
|
|
408,954
|
|
|
—
|
|
|
(24,396
|
)
|
|
123
|
|
|
2,024
|
|
|
386,705
|
|
||||||
Amortization/accretion
|
|
(53,909
|
)
|
|
—
|
|
|
2,956
|
|
|
(1,924
|
)
|
|
362
|
|
|
(52,515
|
)
|
||||||
Balance, December 31, 2019
|
|
$
|
11,941,766
|
|
|
$
|
—
|
|
|
$
|
883,601
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
12,825,367
|
|
Percentage of Portfolio
|
|
93.11
|
%
|
|
|
|
6.89
|
%
|
|
—
|
%
|
|
—
|
%
|
|
100.00
|
%
|
(1)
|
Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end. At June 30, 2020 and December 31, 2019, we had investment related payables with respect to unsettled purchases of Agency Securities, trading of $443,523 and Agency Securities, available for sale of $358,712, respectively.
|
Agency Securities
|
|
Principal Amount
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
||||||||||
June 30, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Fannie Mae
|
|
$
|
1,579,419
|
|
|
$
|
1,624,933
|
|
|
$
|
(11
|
)
|
|
$
|
174,315
|
|
|
$
|
1,799,237
|
|
Total Freddie Mac
|
|
470,725
|
|
|
489,693
|
|
|
—
|
|
|
22,080
|
|
|
511,773
|
|
|||||
Total Ginnie Mae
|
|
29,969
|
|
|
30,658
|
|
|
(29
|
)
|
|
308
|
|
|
30,937
|
|
|||||
Total
|
|
$
|
2,080,113
|
|
|
$
|
2,145,284
|
|
|
$
|
(40
|
)
|
|
$
|
196,703
|
|
|
$
|
2,341,947
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Fannie Mae
|
|
$
|
8,779,331
|
|
|
$
|
8,975,140
|
|
|
$
|
(291
|
)
|
|
$
|
294,937
|
|
|
$
|
9,269,786
|
|
Total Freddie Mac
|
|
2,522,870
|
|
|
2,587,512
|
|
|
(40
|
)
|
|
61,323
|
|
|
2,648,795
|
|
|||||
Total Ginnie Mae
|
|
22,504
|
|
|
23,641
|
|
|
(461
|
)
|
|
5
|
|
|
23,185
|
|
|||||
Total
|
|
$
|
11,324,705
|
|
|
$
|
11,586,293
|
|
|
$
|
(792
|
)
|
|
$
|
356,265
|
|
|
$
|
11,941,766
|
|
|
|
Unrealized Loss Position For:
|
||||||||||||||||||||||
|
|
< 12 Months
|
|
≥ 12 Months
|
|
Total
|
||||||||||||||||||
Agency Securities
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
||||||||||||
June 30, 2020
|
|
$
|
25,164
|
|
|
$
|
(40
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
25,164
|
|
|
$
|
(40
|
)
|
December 31, 2019
|
|
$
|
2,136
|
|
|
$
|
(10
|
)
|
|
$
|
43,939
|
|
|
$
|
(782
|
)
|
|
$
|
46,075
|
|
|
$
|
(792
|
)
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
Weighted Average Life of Available for Sale Securities
|
|
Fair Value
|
|
Amortized
Cost |
|
Fair Value
|
|
Amortized
Cost |
||||||||
< 1 year
|
|
$
|
53
|
|
|
$
|
53
|
|
|
$
|
—
|
|
|
$
|
—
|
|
≥ 1 year and < 3 years
|
|
175,073
|
|
|
168,758
|
|
|
22,237
|
|
|
22,254
|
|
||||
≥ 3 years and < 5 years
|
|
925,178
|
|
|
883,968
|
|
|
6,542,389
|
|
|
6,365,623
|
|
||||
≥ 5 years
|
|
1,241,643
|
|
|
1,092,505
|
|
|
5,377,140
|
|
|
5,198,416
|
|
||||
Total Available for Sale Securities
|
|
$
|
2,341,947
|
|
|
$
|
2,145,284
|
|
|
$
|
11,941,766
|
|
|
$
|
11,586,293
|
|
|
|
Principal Amount
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
||||||||||
June 30, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Agency Securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Fannie Mae
|
|
$
|
2,151,752
|
|
|
$
|
2,296,252
|
|
|
$
|
(2,345
|
)
|
|
$
|
8,648
|
|
|
$
|
2,302,555
|
|
Total Freddie Mac
|
|
510,398
|
|
|
538,979
|
|
|
(145
|
)
|
|
2,888
|
|
|
541,722
|
|
|||||
Total Agency Securities
|
|
$
|
2,662,150
|
|
|
$
|
2,835,231
|
|
|
$
|
(2,490
|
)
|
|
$
|
11,536
|
|
|
$
|
2,844,277
|
|
Credit Risk and Non-Agency Securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit Risk Transfer
|
|
$
|
75,395
|
|
|
$
|
70,289
|
|
|
$
|
(4,319
|
)
|
|
$
|
—
|
|
|
$
|
65,970
|
|
Total Trading Securities
|
|
$
|
2,737,545
|
|
|
$
|
2,905,520
|
|
|
$
|
(6,809
|
)
|
|
$
|
11,536
|
|
|
$
|
2,910,247
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit Risk Transfer
|
|
$
|
754,729
|
|
|
$
|
751,940
|
|
|
$
|
—
|
|
|
$
|
52,024
|
|
|
$
|
803,964
|
|
Non-Agency Securities
|
|
93,723
|
|
|
72,904
|
|
|
(3
|
)
|
|
6,736
|
|
|
79,637
|
|
|||||
Total Trading Securities
|
|
$
|
848,452
|
|
|
$
|
824,844
|
|
|
$
|
(3
|
)
|
|
$
|
58,760
|
|
|
$
|
883,601
|
|
|
|
Unrealized Loss Position For:
|
||||||||||||||||||||||
|
|
< 12 Months
|
|
≥ 12 Months
|
|
Total
|
||||||||||||||||||
|
|
Fair Value
|
|
Unrealized Losses
|
|
Fair Value
|
|
Unrealized Losses
|
|
Fair Value
|
|
Unrealized Losses
|
||||||||||||
June 30, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency Securities
|
|
$
|
817,358
|
|
|
$
|
(2,490
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
817,358
|
|
|
$
|
(2,490
|
)
|
Credit Risk and Non-Agency Securities
|
|
$
|
65,970
|
|
|
$
|
(4,319
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
65,970
|
|
|
$
|
(4,319
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Credit Risk and Non-Agency Securities
|
|
$
|
362
|
|
|
$
|
(3
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
362
|
|
|
$
|
(3
|
)
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
Estimated Weighted Average Life of Trading Securities
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
||||||||
< 1 year
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
≥ 1 year and < 3 years
|
|
567,943
|
|
|
571,872
|
|
|
389,883
|
|
|
369,600
|
|
||||
≥ 3 years and < 5 years
|
|
1,306,206
|
|
|
1,298,630
|
|
|
407,656
|
|
|
375,030
|
|
||||
≥ 5 years
|
|
1,036,098
|
|
|
1,035,018
|
|
|
86,062
|
|
|
80,214
|
|
||||
Total
|
|
$
|
2,910,247
|
|
|
$
|
2,905,520
|
|
|
$
|
883,601
|
|
|
$
|
824,844
|
|
|
|
Balance
|
|
Weighted Average Contractual Rate
|
|
Weighted Average Maturity in days
|
|
Haircut (1)
|
||||
June 30, 2020
|
|
|
|
|
|
|
|
|
||||
Agency Securities
|
|
|
|
|
|
|
|
|
||||
≤ 30 days
|
|
$
|
3,990,312
|
|
|
0.25
|
%
|
|
10
|
|
3.37
|
%
|
> 30 days to ≤ 60 days
|
|
247,291
|
|
|
0.26
|
%
|
|
50
|
|
3.55
|
%
|
|
Total or Weighted Average
|
|
$
|
4,237,603
|
|
|
0.25
|
%
|
|
13
|
|
3.38
|
%
|
|
|
|
|
|
|
|
|
|
||||
December 31, 2019
|
|
|
|
|
|
|
|
|
||||
Agency Securities
|
|
|
|
|
|
|
|
|
||||
≤ 30 days
|
|
$
|
10,241,137
|
|
|
2.56
|
%
|
|
8
|
|
4.35
|
%
|
> 30 days to ≤ 60 days
|
|
426,147
|
|
|
1.99
|
%
|
|
34
|
|
4.61
|
%
|
|
Total or Weighted Average
|
|
$
|
10,667,284
|
|
|
2.54
|
%
|
|
9
|
|
4.36
|
%
|
|
|
|
|
|
|
|
|
|
||||
Credit Risk and Non-Agency Securities
|
|
|
|
|
|
|
|
|
||||
≤ 30 days
|
|
687,263
|
|
|
2.45
|
%
|
|
15
|
|
16.25
|
%
|
|
Total or Weighted Average
|
|
$
|
11,354,547
|
|
|
2.54
|
%
|
|
9
|
|
5.16
|
%
|
(1)
|
The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount.
|