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CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($)
$ in Thousands
 3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Cash flows provided by (used in) operating activities:    
Net income (loss) $ (16,745) $ 8,928
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:    
Net realized (gains) losses on securities (1,093) 1,674
Change in net unrealized (gains) losses on securities (6,768) (21,971)
Net realized (gains) losses on financial derivatives 6,499 12,091
Change in net unrealized (gains) losses on financial derivatives 20,600 968
Amortization of premiums and accretion of discounts, net 3,501 3,065
Share based compensation 59 53
(Increase) decrease in assets:    
Interest receivable 797 213
Other assets (263) (200)
Increase (decrease) in liabilities:    
Accrued expenses 102 (167)
Interest payable (1,050) 89
Management fees payable to affiliate (79) 16
Net cash provided by (used in) operating activities 5,560 4,759
Cash flows provided by (used in) investing activities:    
Purchases of securities (232,331) (492,149)
Proceeds from sale of securities 398,335 558,621
Principal repayments of mortgage-backed securities 66,571 33,983
Proceeds from investments sold short 133,603 174,823
Repurchase of investments sold short (136,361) (136,719)
Proceeds from disposition of financial derivatives 7,278 6,232
Purchase of financial derivatives (14,064) (15,264)
Payments made on reverse repurchase agreements (2,481,482) (938,023)
Proceeds from reverse repurchase agreements 2,481,348 899,567
Due from brokers, net (17,463) (6,641)
Due to brokers, net 276 (5)
Net cash provided by (used in) investing activities 205,710 84,425
Cash flows provided by (used in) financing activities:    
Repurchase of common shares (986) (414)
Dividends paid (3,488) (4,252)
Borrowings under repurchase agreements 598,921 538,285
Repayments of repurchase agreements (785,851) (592,699)
Due from brokers, net 4,075 (3,966)
Due to brokers, net 379 (460)
Cash provided by (used in) financing activities (186,950) (63,506)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS 24,320 25,678
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD 35,351 18,585
CASH AND CASH EQUIVALENTS, END OF PERIOD 59,671 44,263
Supplemental disclosure of cash flow information:    
Interest paid 7,152 9,466
Dividend payable $ 3,449 $ 4,239