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CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($)
$ in Thousands
 3 Months Ended
Mar. 31, 2018
Mar. 31, 2017
Cash flows provided by (used in) operating activities:    
Net income (loss) $ (3,953) $ 2,052
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:    
Net realized (gains) losses on securities (1,927) 2,990
Change in net unrealized (gains) losses on securities 27,061 2,347
Net realized (gains) losses on financial derivatives (15,955) (1,653)
Change in net unrealized (gains) losses on financial derivatives (565) 2,142
Amortization of premiums and accretion of discounts (net) 4,219 701
Share based compensation 49 48
(Increase) decrease in assets:    
Due from brokers (5,307) 22,313
Interest receivable 139 (333)
Other assets 52 81
Increase (decrease) in liabilities:    
Due to brokers 536 (24)
Accrued expenses 183 61
Interest payable 367 (80)
Management fees payable to affiliate (54) (5)
Net cash provided by (used in) operating activities 4,845 30,640
Cash flows provided by (used in) investing activities:    
Purchases of securities (271,590) (315,416)
Proceeds from sale of securities 214,246 273,393
Principal repayments of mortgage-backed securities 41,253 37,716
Proceeds from investments sold short 443,964 225,738
Repurchase of investments sold short (476,886) (221,258)
Proceeds from disposition of financial derivatives 18,938 4,362
Purchase of financial derivatives (3,141) (2,709)
Payments made on reverse repurchase agreements (7,682,238) (4,354,368)
Proceeds from reverse repurchase agreements 7,719,081 4,349,247
Net cash provided by (used in) investing activities 3,627 (3,295)
Cash flows provided by (used in) financing activities:    
Repurchase of common shares (5,741) 0
Dividends paid (4,936) (3,652)
Borrowings under repurchase agreements 268,450 390,532
Repayments of repurchase agreements (276,337) (410,220)
Cash provided by (used in) financing activities (18,564) (23,340)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS (10,092) 4,005
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD 56,117 33,504
CASH AND CASH EQUIVALENTS, END OF PERIOD 46,025 37,509
Supplemental disclosure of cash flow information:    
Interest paid 6,881 3,259
Dividend payable $ 4,746 $ 3,652