View Filing Data

1,580,103

1,685,998

26,946

26,754

^[1]

20,095

8,792

Receivable for securities sold

^[1]

21,373

81,461

51,614

21,606

Interest receivable

5,988

5,784

Other assets

748

575

Total Assets

1,748,269

1,887,087

LIABILITIES

Payable for securities purchased

^[1]

1,537,216

1,597,206

1,387

3,830

7,312

489

^[1]

1,655

1,863

Management fee payable to affiliate

16,195

81,289

Dividend payable

4,703

4,936

Accrued expenses

849

728

656

725

Interest payable

4,127

3,318

Total Liabilities

1,574,100

1,694,384

SHAREHOLDERS' EQUITY

Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)

Common shares, par value $0.01 per share, 500,000,000 shares authorized; (12,712,050 and 13,340,217 shares issued and outstanding, respectively)

127

134

Additional paid-in-capital

233,152

240,062

Accumulated deficit

(59,110)

(47,493)

Total Shareholders' Equity

174,169

192,703

Total Liabilities and Shareholders' Equity

$ 1,748,269

$ 1,887,087

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

CONSOLIDATED BALANCE SHEET (Parenthetical) - $ / shares	Jun. 30, 2018	Dec. 31, 2017
Statement of Financial Position [Abstract]
Preferred stock, par value	$ 0.01	$ 0.01
Preferred stock, shares authorized	100,000,000	100,000,000
Preferred stock, shares issued	0	0
Preferred stock, shares outstanding	0	0
Common stock, par value	$ 0.01	$ 0.01
Common stock, shares authorized	500,000,000	500,000,000
Common stock, shares issued	12,712,050	13,340,217
Common stock, shares outstanding	12,712,050	13,340,217

CONSOLIDATED STATEMENT OF OPERATIONS - USD ($)
$ in Thousands

3 Months Ended

6 Months Ended

Jun. 30, 2018

Jun. 30, 2017

Jun. 30, 2018

Jun. 30, 2017

INTEREST INCOME (EXPENSE)

Interest income

$ 14,081

$ 10,883

$ 27,506

$ 23,211

Interest expense

(7,668)

(4,020)

(14,915)

(7,199)

Total net interest income

6,413

6,863

12,591

16,012

EXPENSES

Management fees to affiliate

656

685

1,327

1,212

Professional fees

217

178

452

354

Compensation expense

187

216

375

Insurance Expense

^[1]

148

156

Other operating expenses

^[1]

293

284

641

612

Total expenses

1,427

1,437

2,943

2,709

OTHER INCOME (LOSS)

Net realized gains (losses) on securities

(7,114)

(359)

(5,188)

(3,350)

Net realized gains (losses) on financial derivatives

(3,702)

(9,128)

12,253

(7,474)

Change in net unrealized gains (losses) on securities

(3,218)

4,136

(30,279)

1,789

Change in net unrealized gains (losses) on financial derivatives

10,834

1,528

11,399

(613)

Total other income (loss)

(3,200)

(3,823)

(11,815)

(9,648)

NET INCOME (LOSS)

$ 1,786

$ 1,603

$ (2,167)

$ 3,655

NET INCOME (LOSS) PER COMMON SHARE:

Basic and Diluted (in dollars per share)

$ 0.14

$ 0.15

$ (0.17)

$ 0.37

CASH DIVIDENDS PER COMMON SHARE:

Dividends declared (in dollars per share)

$ 0.37

$ 0.40

$ 0.74

$ 0.80

[1]	Conformed to current period presentation.

CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY - USD ($)
$ in Thousands

Total

Common Shares [Member]

Preferred Stock [Member]

Additional Paid-in Capital [Member]

Accumulated (Deficit) Earnings [Member]

Balance, in shares at Dec. 31, 2016

9,130,897

Balance at Dec. 31, 2016

$ 141,677

$ 92

$ 0

$ 180,996

$ (39,411)

Shares Issued, Shares

3,236,738

^[1]

Shares Issued, Value

^[1]

$ 45,218

$ 32

$ 0

45,186

Offering costs

$ (141)

(141)

Forfeiture of common shares to satisfy tax withholding obligations, shares

(37)

Forfeiture of common shares to satisfy tax withholding obligations, value

$ 0

Share based compensation

$ 95

Repurchase of common shares, shares

Dividends declared

$ (8,599)

(8,599)

Net income (loss)

3,655

Balance, in shares at Jun. 30, 2017

12,367,598

Balance at Jun. 30, 2017

181,905

$ 124

$ 0

226,136

(44,355)

Balance, in shares at Dec. 31, 2017

13,340,217

Balance at Dec. 31, 2017

$ 192,703

$ 134

$ 0

240,062

(47,493)

Shares Issued, Shares

Forfeiture of common shares to satisfy tax withholding obligations, shares

Share based compensation

$ 99

Repurchase of common shares, shares

(628,167)

Repurchase of common shares, Value

$ (7,016)

$ (7)

$ 0

(7,009)

Dividends declared

(9,450)

Net income (loss)

(2,167)

Balance, in shares at Jun. 30, 2018

12,712,050

Balance at Jun. 30, 2018

$ 174,169

$ 127

$ 0

$ 233,152

$ (59,110)

[1]	For the six-month period ended June 30, 2017 proceeds from the issuance of shares is net of an underwriters' discount of $1.9 million.

CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY (PARENTHETICAL) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017
Statement of Stockholders' Equity [Abstract]
Underwriters' discount	$ 0.0	$ 1.9

CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017
Cash flows provided by (used in) operating activities:
Net income (loss)	$ (2,167)	$ 3,655
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:
Net realized (gains) losses on securities	5,188	3,350
Change in net unrealized (gains) losses on securities	30,279	(1,789)
Net realized (gains) losses on financial derivatives	(12,253)	7,474
Change in net unrealized (gains) losses on financial derivatives	(11,399)	613
Amortization of premiums and accretion of discounts (net)	7,250	4,142
Share based compensation	99	95
(Increase) decrease in assets:
Due from brokers	(192)	14,594
Interest receivable	(204)	(1,333)
Other assets	(173)	(240)
Increase (decrease) in liabilities:
Due to brokers	6,823	(737)
Accrued expenses	121	253
Interest payable	809	357
Management fees payable to affiliate	(69)	152
Net cash provided by (used in) operating activities	24,112	30,586
Cash flows provided by (used in) investing activities:
Purchases of securities	(611,463)	(1,536,238)
Proceeds from sale of securities	551,032	981,059
Principal repayments of mortgage-backed securities	87,304	73,221
Proceeds from investments sold short	635,002	423,237
Repurchase of investments sold short	(696,242)	(426,058)
Proceeds from disposition of financial derivatives	22,174	5,674
Purchase of financial derivatives	(10,033)	(13,149)
Payments made on reverse repurchase agreements	(9,536,399)	(8,872,124)
Proceeds from reverse repurchase agreements	9,596,486	8,873,666
Net cash provided by (used in) investing activities	37,861	(490,712)
Cash flows provided by (used in) financing activities:
Net proceeds from issuance of common shares	0	45,218
Offering costs paid	0	(108)
Repurchase of common shares	(7,016)	0
Dividends paid	(9,682)	(7,305)
Borrowings under repurchase agreements	771,028	1,651,747
Repayments of repurchase agreements	(831,018)	(1,221,270)
Cash provided by (used in) financing activities	(76,688)	468,282
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	(14,715)	8,156
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD	56,117	33,504
CASH AND CASH EQUIVALENTS, END OF PERIOD	41,402	41,660
Supplemental disclosure of cash flow information:
Interest paid	14,106	6,842
Dividend payable	$ 4,703	$ 4,947

Organization and Investment Objective	6 Months Ended
Organization and Investment Objective	Jun. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Investment Objective	Organization and Investment Objective Ellington Residential Mortgage REIT, or "EARN," was formed as a Maryland real estate investment trust, or "REIT," on August 2, 2012, and commenced operations on September 25, 2012. EARN conducts its business through its wholly owned subsidiaries, EARN OP GP LLC, or the "General Partner," and Ellington Residential Mortgage LP, or the "Operating Partnership," which were formed as a Delaware limited liability company and a Delaware limited partnership, respectively, on July 31, 2012 and commenced operations on September 25, 2012. The Operating Partnership conducts its business of acquiring, investing in, and managing residential mortgage- and real estate-related assets through its wholly owned subsidiaries. EARN, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company." Ellington Residential Mortgage Management LLC, or the "Manager," serves as the Manager of the Company pursuant to the terms of the Fifth Amended and Restated Management Agreement, or the "Management Agreement." The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is an SEC-registered investment adviser with a 23-year history of investing in a broad spectrum of mortgage-backed securities and related derivatives, with an emphasis on the residential mortgage-backed securities, or "RMBS," market. In accordance with the terms of the Management Agreement and the Services Agreement (as described in Note 9), the Manager is responsible for administering the Company's business activities and day-to-day operations, and performs certain services, subject to oversight by the Board of Trustees. See Note 9 for further information on the Management Agreement. The Company acquires and manages RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," and RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, manufactured housing, and subprime residential mortgage loans. Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of non-Agency CMOs, both investment grade and non-investment grade. The Company may also acquire and manage mortgage servicing rights, credit risk transfer securities, residential mortgage loans, and other mortgage- and real estate-related assets. The Company may also invest in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates, or "TBAs," interest rate swaps and swaptions, U.S. Treasury securities, Eurodollar and U.S. Treasury futures, other financial derivatives, and cash equivalents. The Company's targeted investments may range from unrated first loss securities to AAA senior securities. The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code," and intends to conduct its operations to be qualified and taxed as a REIT. As a REIT, the Company is required to distribute annually at least 90% of its taxable income. As long as the Company continues to qualify as a REIT, it will not be subject to U.S. federal corporate taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code, which may extend into the subsequent taxable year.

Significant Accounting Policies

6 Months Ended

Jun. 30, 2018

Accounting Policies [Abstract]

Significant Accounting Policies

(A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP." Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2017.

(B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:


•	Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives;

•

Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities, certain non-Agency RMBS, and actively traded derivatives such as TBAs, interest rate swaps, and swaptions, and;


•	Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes certain RMBS, such as certain non-Agency RMBS and certain Agency IOs, where there is less price transparency.

For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period.

Summary Valuation Techniques

For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument.

Valuations for fixed-rate RMBS pass-throughs issued by a U.S government agency or government-sponsored enterprise, or "GSE," are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed-rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. With respect to the Company's other RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates.

Given their relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets. Non-Agency RMBS and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide.

Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are generally designated as Level 2 instruments.

In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement.

The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures.

Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements.

(C) Accounting for Securities: Purchases and sales of investments are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost.

The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities.

(D) Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. An effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities.

The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above.

(E) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy.

(F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions.

(G) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, swaptions, and futures.

Swaps: The Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives.

Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date.

TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company primarily uses TBAs to mitigate interest rate risk, but from time to time it also holds net long positions in certain TBA securities as a means of acquiring exposure to Agency RMBS.

TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid).

Options: The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. In general, the Company's options contracts contain forward-settling premiums. In this case, no money is exchanged upfront; instead, the agreed-upon premium is paid by the buyer upon expiration of the options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in Realized gains (losses) on financial derivatives in the Consolidated Statement of Operations.

Futures Contracts: The Company enters into Eurodollar futures contracts and U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Realized gains or (losses) are included in Realized gains (losses) on financial derivatives in the Consolidated Statement of Operations.

Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet.

(H) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

(I) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements.

(J) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security.

The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its securities sold short. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities.

(K) Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital.

(L) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plan. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent directors and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent directors and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent directors and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement.

(M) Dividends: Dividends payable are recorded on the declaration date.

(N) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations.

(O) Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding.

(P) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding and are immediately retired upon settlement. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet.

(Q) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 to 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including the distribution of at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.

The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or to 2017, 2016, 2015, or 2014 (its open tax years). In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period, 2017, 2016, 2015, and 2014 (its open tax years). The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.

(R) Recent Accounting Pronouncements: In June 2018, the FASB issued ASU 2018-07, Compensation—Stock Compensation—Improvements to Nonemployee Share-Based Payment Accounting ("ASU 2018-07"). This amends ASC 718, Compensation—Stock Compensation, to simplify several aspects of accounting for nonemployee share-based payment transactions. ASU 2018-07 is effective for annual periods beginning after December 15, 2019 and interim periods beginning after December 15, 2020 with early adoption permitted. The adoption of ASU 2018-07 is not expected to have a material impact on the Company's consolidated financial statements.

Mortgage-Backed Securities

6 Months Ended

Jun. 30, 2018

Investments, Debt and Equity Securities [Abstract]

Mortgage-Backed Securities

The following tables present details of the Company's mortgage-backed securities portfolio at June 30, 2018 and December 31, 2017, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or GSE. The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk.

By RMBS Type

June 30, 2018:



($ in thousands)								Gross Unrealized							Weighted Average
	Current Principal		Unamortized Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon	Yield	Life (Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages	$	147,080	$	6,432		$	153,512	$	—	$	(5,013	)	$	148,499	3.41%	2.33%	4.58
20-year fixed-rate mortgages	8,143		624			8,767		—		(346		)	8,421		4.00%	2.54%	6.01
30-year fixed-rate mortgages	1,263,388		66,524			1,329,912		531		(35,960		)	1,294,483		4.02%	3.20%	8.20
Adjustable rate mortgages	20,124		1,397			21,521		7		(798		)	20,730		3.87%	2.64%	3.96
Reverse mortgages	71,781		6,822			78,603		79		(1,851		)	76,831		4.54%	2.90%	5.64
Interest only securities	n/a		n/a			18,583		1,343		(811		)	19,115		4.45%	8.22%	4.56
Total Agency RMBS	1,510,516		81,799			1,610,898		1,960		(44,779		)	1,568,079		4.02%	3.15%	7.42
Non-Agency RMBS	14,839		(4,561		)	10,278		1,825		(79		)	12,024		4.06%	11.37%	7.43
Total RMBS	$	1,525,355	$	77,238		$	1,621,176	$	3,785	$	(44,858	)	$	1,580,103	4.02%	3.20%	7.42


(1)	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

December 31, 2017:



($ in thousands)								Gross Unrealized							Weighted Average
	Current Principal		Unamortized Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon	Yield	Life (Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages	$	170,998	$	7,553		$	178,551	$	28	$	(1,805	)	$	176,774	3.38%	2.31%	4.75
20-year fixed-rate mortgages	8,712		682			9,394		—		(164		)	9,230		4.00%	2.55%	6.02
30-year fixed-rate mortgages	1,303,584		76,681			1,380,265		1,929		(12,605		)	1,369,589		3.96%	3.06%	8.18
Adjustable rate mortgages	28,087		1,862			29,949		30		(421		)	29,558		3.87%	2.58%	4.70
Reverse mortgages	64,608		6,293			70,901		259		(543		)	70,617		4.53%	2.79%	6.09
Interest only securities	n/a		n/a			13,197		382		(1,374		)	12,205		4.36%	5.64%	3.28
Total Agency RMBS	1,575,989		93,071			1,682,257		2,628		(16,912		)	1,667,973		3.95%	2.98%	7.38
Non-Agency RMBS	21,995		(6,717		)	15,278		2,846		(99		)	18,025		3.58%	8.39%	7.94
Total RMBS	$	1,597,984	$	86,354		$	1,697,535	$	5,474	$	(17,011	)	$	1,685,998	3.94%	3.03%	7.39


(1)	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

By Estimated Weighted Average Life

As of June 30, 2018:



($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than three years	$	6,230	$	6,322	3.81	%	$	1,303	$	1,676	4.47	%	$	—	$	—	—	%
Greater than three years and less than seven years	338,238		348,766		3.94	%	17,812		16,907		4.45	%	7,400		6,646		4.99	%
Greater than seven years and less than eleven years	1,169,634		1,202,396		3.99	%	—		—		—	%	2,145		1,093		3.06	%
Greater than eleven years	34,862		34,831		4.00	%	—		—		—	%	2,479		2,539		2.72	%
Total	$	1,548,964	$	1,592,315	3.98	%	$	19,115	$	18,583	4.45	%	$	12,024	$	10,278	4.06	%


(1)	Average lives of RMBS are generally shorter than stated contractual maturities.

As of December 31, 2017:



($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than three years	$	7,931	$	7,935	3.70	%	$	3,357	$	4,253	4.15	%	$	—	$	—	—	%
Greater than three years and less than seven years	419,295		423,248		3.93	%	8,848		8,944		4.51	%	9,625		9,062		5.00	%
Greater than seven years and less than eleven years	1,221,160		1,230,479		3.92	%	—		—		—	%	5,892		3,697		2.14	%
Greater than eleven years	7,382		7,398		3.68	%	—		—		—	%	2,508		2,519		2.18	%
Total	$	1,655,768	$	1,669,060	3.92	%	$	12,205	$	13,197	4.36	%	$	18,025	$	15,278	3.58	%


(1)	Average lives of RMBS are generally shorter than stated contractual maturities.

The following table reflects the components of interest income on the Company's RMBS for the three- and six- month periods ended June 30, 2018 and 2017:



	Three-Month Period Ended June 30, 2018							Six-Month Period Ended June 30, 2018
($ in thousands)	Coupon Interest		Net Amortization			Interest Income		Coupon Interest		Net Amortization			Interest Income
Agency RMBS	$	16,689	$	(3,208	)	$	13,481	$	33,597	$	(7,456	)	$	26,141
Non-Agency RMBS	149		152			301		318		238			556
Total	$	16,838	$	(3,056	)	$	13,782	$	33,915	$	(7,218	)	$	26,697



	Three-Month Period Ended June 30, 2017							Six-Month Period Ended June 30, 2017
($ in thousands)	Coupon Interest		Net Amortization			Interest Income		Coupon Interest		Net Amortization			Interest Income
Agency RMBS	$	13,914	$	(3,581	)	$	10,333	$	26,492	$	(4,336	)	$	22,156
Non-Agency RMBS	155		171			326		408		272			680
Total	$	14,069	$	(3,410	)	$	10,659	$	26,900	$	(4,064	)	$	22,836

For the three-month periods ended June 30, 2018 and 2017 the Catch-up Premium Amortization Adjustment was $0.5 million and $(0.3) million, respectively. For six-month periods ended June 30, 2018 and 2017 the Catch-up Premium Amortization Adjustment was $0.3 million and $2.3 million, respectively.

Valuation

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Valuation

The following tables present the Company's financial instruments measured at fair value on:

June 30, 2018:



(In thousands)
Description	Level 1		Level 2			Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	148,499		$	—	$	148,499
20-year fixed-rate mortgages	—		8,421			—		8,421
30-year fixed-rate mortgages	—		1,294,483			—		1,294,483
Adjustable rate mortgages	—		20,730			—		20,730
Reverse mortgages	—		76,831			—		76,831
Interest only securities	—		15,489			3,626		19,115
Non-Agency RMBS	—		5,031			6,993		12,024
Mortgage-backed securities, at fair value	—		1,569,484			10,619		1,580,103
Financial derivatives–assets, at fair value:
TBAs	—		422			—		422
Interest rate swaps	—		17,026			—		17,026
Swaptions	—		470			—		470
Futures	2,177		—			—		2,177
Total financial derivatives–assets, at fair value	2,177		17,918			—		20,095
Total mortgage-backed securities and financial derivatives–assets, at fair value	$	2,177	$	1,587,402		$	10,619	$	1,600,198
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(16,195	)	$	—	$	(16,195	)
Financial derivatives–liabilities, at fair value:
TBAs	—		(1,395		)	—		(1,395		)
Interest rate swaps	—		(260		)	—		(260		)
Total financial derivatives–liabilities, at fair value	—		(1,655		)	—		(1,655		)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	—	$	(17,850	)	$	—	$	(17,850	)

December 31, 2017:



(In thousands)
Description	Level 1		Level 2			Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	176,774		$	—	$	176,774
20-year fixed-rate mortgages	—		9,230			—		9,230
30-year fixed-rate mortgages	—		1,369,589			—		1,369,589
Adjustable rate mortgages	—		29,558			—		29,558
Reverse mortgages	—		70,617			—		70,617
Interest only securities	—		9,951			2,254		12,205
Non-Agency RMBS	—		9,193			8,832		18,025
Mortgage-backed securities, at fair value	—		1,674,912			11,086		1,685,998
Financial derivatives–assets, at fair value:
TBAs	—		402			—		402
Interest rate swaps	—		8,038			—		8,038
Swaptions	—		181			—		181
Futures	171		—			—		171
Total financial derivatives–assets, at fair value	171		8,621			—		8,792
Total mortgage-backed securities and financial derivatives–assets, at fair value	$	171	$	1,683,533		$	11,086	$	1,694,790
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(81,289	)	$	—	$	(81,289	)
Financial derivatives–liabilities, at fair value:
TBAs	—		(735		)	—		(735		)
Interest rate swaps	—		(1,128		)	—		(1,128		)
Total financial derivatives–liabilities, at fair value	—		(1,863		)	—		(1,863		)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	—	$	(83,152	)	$	—	$	(83,152	)

The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value:

Three-month period ended June 30, 2018:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of March 31, 2018	$	5,355		$	5,138
Purchases	—			160
Proceeds from sales	—			—
Principal repayments	(188		)	—
(Amortization)/accretion, net	126			(415		)
Net realized gains (losses)	—			(41		)
Change in net unrealized gains (losses)	(34		)	253
Transfers:
Transfers into level 3	1,734			—
Transfers out of level 3	—			(1,469		)
Ending balance as of June 30, 2018	$	6,993		$	3,626

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2018. For Level 3 financial instruments held by the Company as of June 30, 2018, change in net unrealized gains (losses) of $(65) thousand and $0.2 million, for the three-month period ended June 30, 2018 relate to non-Agency RMBS and Agency RMBS, respectively.

At June 30, 2018, the Company transferred $1.5 million of RMBS from Level 3 to Level 2 and $1.7 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period.

Three-month period ended June 30, 2017:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of March 31, 2017	$	2,502		$	12,542
Purchases	—			—
Proceeds from sales	(16		)	—
Principal repayments	(215		)	—
(Amortization)/accretion, net	84			(824		)
Net realized gains (losses)	16			(37		)
Change in net unrealized gains (losses)	475			(799		)
Transfers:
Transfers into level 3	5,567			—
Transfers out of level 3	(1,963		)	(8,357		)
Ending balance as of June 30, 2017	$	6,450		$	2,525

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2017. For Level 3 financial instruments held by the Company as of June 30, 2017, change in net unrealized gains (losses) of $0.6 million and $(0.2) million, for the three-month period ended June 30, 2017 relate to non-Agency RMBS and Agency RMBS, respectively.

As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. At June 30, 2017, the Company transferred $10.3 million of RMBS from Level 3 to Level 2 and $5.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period.

Six-month period ended June 30, 2018:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of December 31, 2017	$	8,832		$	2,254
Purchases	—			160
Proceeds from sales	(3,638		)	—
Principal repayments	(418		)	—
(Amortization)/accretion, net	171			(692		)
Net realized gains (losses)	1,254			(165		)
Change in net unrealized gains (losses)	(942		)	499
Transfers:
Transfers into level 3	1,734			1,570
Transfers out of level 3	—			—
Ending balance as of June 30, 2018	$	6,993		$	3,626

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2018. For Level 3 financial instruments held by the Company as of June 30, 2018, change in net unrealized gains (losses) of $(15) thousand and $0.7 million, for the six-month period ended June 30, 2018 relate to non-Agency RMBS and Agency RMBS, respectively.

At June 30, 2018, the Company transferred $3.3 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period.

Six-month period ended June 30, 2017:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of December 31, 2016	$	6,498		$	12,347
Purchases	—			—
Proceeds from sales	(2,866		)	—
Principal repayments	(424		)	—
(Amortization)/accretion, net	136			(1,585		)
Net realized gains (losses)	179			(73		)
Change in net unrealized gains (losses)	928			(990		)
Transfers:
Transfers into level 3	1,999			—
Transfers out of level 3	—			(7,174		)
Ending balance as of June 30, 2017	$	6,450		$	2,525

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2017. For Level 3 financial instruments held by the Company as of June 30, 2017, change in net unrealized gains (losses) of $1.1 million and $(0.2) million, for the six-month period ended June 30, 2017 relate to non-Agency RMBS and Agency RMBS, respectively.

As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. At June 30, 2017, the Company transferred $7.2 million of RMBS from Level 3 to Level 2 and $2.0 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period.

There were no transfers of financial instruments between Levels 1 and 2 of the fair value hierarchy during the three- or six-month periods ended June 30, 2018 or 2017.

The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2018 and December 31, 2017:

June 30, 2018:



					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average⁽¹⁾
	(In thousands)
Non-Agency RMBS	$	1,385	Market quotes	Non-Binding Third-Party Valuation	$	85.63		$	89.89		$	87.76
Agency RMBS–Interest Only Securities	922		Market quotes	Non-Binding Third-Party Valuation	20.06			21.13			20.60
Non-Agency RMBS	5,608		Discounted Cash Flows	Yield	4.1		%	9.3		%	5.9		%
				Projected Collateral Prepayments	19.5		%	49.0		%	34.5		%
				Projected Collateral Losses	4.6		%	18.8		%	12.3		%
				Projected Collateral Recoveries	6.4		%	19.3		%	13.6		%
				Projected Collateral Scheduled Amortization	25.2		%	49.2		%	39.6		%
											100.0		%
Agency RMBS–Interest Only Securities	2,704		Option Adjusted Spread ("OAS")	LIBOR OAS ⁽²⁾	548			1,164			688
				Projected Collateral Prepayments	33.6		%	77.1		%	59.1		%
				Projected Collateral Scheduled Amortization	22.9		%	66.4		%	40.9		%
											100.0		%


(1)	Averages are weighted based on the fair value of the related instrument.


(2)	Shown in basis points.

December 31, 2017:



					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average⁽¹⁾
	(In thousands)
Non-Agency RMBS	$	2,258	Market quotes	Non-Binding Third-Party Valuation	$	57.84		$	87.45		$	78.02
Non-Agency RMBS	6,574		Discounted Cash Flows	Yield	4.6		%	5.1		%	4.8		%
				Projected Collateral Prepayments	19.2		%	44.9		%	26.5		%
				Projected Collateral Losses	0.9		%	20.1		%	9.2		%
				Projected Collateral Recoveries	8.8		%	31.5		%	22.5		%
				Projected Collateral Scheduled Amortization	33.1		%	47.5		%	41.8		%
											100.0		%
Agency RMBS–Interest Only Securities	2,254		Option Adjusted Spread ("OAS")	LIBOR OAS⁽²⁾	627			1,408			781
				Projected Collateral Prepayments	43.8		%	88.1		%	71.2		%
				Projected Collateral Scheduled Amortization	11.9		%	56.2		%	28.8		%
											100.0		%


(1)	Averages are weighted based on the fair value of the related instrument.


(2)	Shown in basis points.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. For those assets valued using the LIBOR Option Adjusted Spread, or "OAS," valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally result in a lower expectation of collateral losses. Conversely, higher losses will generally result in lower prepayments.

The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of June 30, 2018 and December 31, 2017:



	June 30, 2018				December 31, 2017
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	41,402	$	41,402	$	56,117	$	56,117
Due from brokers	26,946		26,946		26,754		26,754
Reverse repurchase agreements	21,373		21,373		81,461		81,461
Liabilities:
Repurchase agreements	1,537,216		1,537,216		1,597,206		1,597,206
Due to brokers	7,312		7,312		489		489

Cash and cash equivalents includes cash held in an interest bearing overnight account for which fair value equals the carrying value and cash held in money market accounts which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details

Derivative Instruments

6 Months Ended

Jun. 30, 2018

Derivative Instrument Detail [Abstract]

Derivative Instruments and Hedging Activities Disclosure [Text Block]

Financial Derivatives

The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with the Company's borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, futures, swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to mitigate its interest rate risk.

The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2018 and December 31, 2017:



	June 30, 2018			December 31, 2017
	(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts	$	422		$	26
TBA securities sale contracts	—			376
Fixed payer interest rate swaps	17,026			7,475
Fixed receiver interest rate swaps	—			563
Swaptions	470			181
Futures	2,177			171
Total financial derivatives–assets, at fair value	20,095			8,792
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(1		)	(266		)
TBA securities sale contracts	(1,394		)	(469		)
Fixed payer interest rate swaps	(260		)	(1,128		)
Total financial derivatives–liabilities, at fair value	(1,655		)	(1,863		)
Total	$	18,440		$	6,929

Interest Rate Swaps

The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2018 and December 31, 2017:

June 30, 2018:



						Weighted Average
Maturity	Notional Amount		Fair Value			Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2020	$	86,000	$	1,916		1.60	%	2.35	%	1.82
2021	133,400		3,677			1.89		2.35		2.91
2022	68,480		2,206			2.00		2.36		3.94
2023	119,466		2,786			2.30		2.36		4.77
2024	8,900		436			1.99		2.31		5.76
2025	47,722		650			2.57		2.33		6.67
2026	40,885		3,761			1.63		2.35		8.21
2027	30,000		1,458			2.29		2.35		8.85
2028	7,923		(13		)	2.85		2.36		9.61
2043	12,380		(111		)	2.99		2.35		24.89
Total	$	555,156	$	16,766		2.05	%	2.35	%	4.93

December 31, 2017:



						Weighted Average
Maturity	Notional Amount		Fair Value			Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2018	$	65,990	$	187		0.97	%	1.38	%	0.43
2019	19,540		165			1.41		1.60		1.51
2020	131,900		1,514			1.60		1.41		2.39
2021	131,400		1,194			1.88		1.40		3.41
2022	79,044		736			1.97		1.39		4.48
2023	54,200		873			1.93		1.37		5.47
2024	8,900		142			1.99		1.34		6.26
2025	15,322		196			2.04		1.37		7.13
2026	40,885		2,230			1.63		1.36		8.71
2027	48,010		235			2.30		1.40		9.38
2043	12,380		(1,125		)	2.99		1.41		25.38
Total	$	607,571	$	6,347		1.77	%	1.40	%	4.54

The following table provides information about the Company's fixed receiver interest rate swaps as of December 31, 2017. The Company did not hold any fixed receiver interest rate swaps as of June 30, 2018.

December 31, 2017:



					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2025	$	9,700	$	563	1.36	%	3.00	%	7.54
Total	$	9,700	$	563	1.36	%	3.00	%	7.54

Interest Rate Swaptions

The following tables provide information about the Company's swaptions as of June 30, 2018 and December 31, 2017.

June 30, 2018:



Option				Underlying Swap
Type	Fair Value		Months to Expiration	Notional Amount		Term (Years)	Fixed Rate
($ in thousands)
Fixed Payer	$	470	1.0	$	10,000	10	2.40%

December 31, 2017:



Option				Underlying Swap
Type	Fair Value		Months to Expiration	Notional Amount		Term (Years)	Fixed Rate
($ in thousands)
Fixed Payer	$	181	7.0	$	10,000	10	2.40%

Futures

The following tables provide information about the Company's short positions in futures as of June 30, 2018 and December 31, 2017.

June 30, 2018:



Description	Notional Amount			Fair Value		Remaining Months to Expiration
($ in thousands)
U.S. Treasury Futures	$	(296,100	)	$	2,177	2.84

December 31, 2017:



Description	Notional Amount			Fair Value		Remaining Months to Expiration
($ in thousands)
U.S. Treasury Futures	$	(25,800	)	$	171	2.63

TBAs

The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company primarily uses TBAs to mitigate interest rate risk, typically in the form of short positions. However, from time to time, the Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position.

The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished.

As of June 30, 2018 and December 31, 2017, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:



	June 30, 2018												December 31, 2017
TBA Securities	Notional Amount⁽¹⁾			Cost Basis⁽²⁾			Market Value⁽³⁾			Net Carrying Value⁽⁴⁾			Notional Amount ⁽¹⁾			Cost Basis⁽²⁾			Market Value⁽³⁾			Net Carrying Value⁽⁴⁾
(In thousands)
Purchase contracts:
Assets	$	136,754		$	139,946		$	140,368		$	422		$	37,355		$	38,065		$	38,091		$	26
Liabilities	12,710			13,343			13,342			(1		)	75,789			79,570			79,304			(266		)
	149,464			153,289			153,710			421			113,144			117,635			117,395			(240		)
Sale contracts:
Assets	—			—			—			—			(358,279		)	(372,219		)	(371,843		)	376
Liabilities	(441,893		)	(447,161		)	(448,555		)	(1,394		)	(328,576		)	(341,134		)	(341,603		)	(469		)
	(441,893		)	(447,161		)	(448,555		)	(1,394		)	(686,855		)	(713,353		)	(713,446		)	(93		)
Total TBA securities, net	$	(292,429	)	$	(293,872	)	$	(294,845	)	$	(973	)	$	(573,711	)	$	(595,718	)	$	(596,051	)	$	(333	)


(1)	Notional amount represents the principal balance of the underlying Agency RMBS.


(2)	Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.


(3)	Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.


(4)	Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2018 and the year ended December 31, 2017:



Derivative Type	Six-Month Period Ended June 30, 2018		Year Ended December 31, 2017
	(In thousands)
Interest rate swaps	$	612,149	$	549,907
TBAs	665,097		796,813
Futures	225,514		30,092
Swaptions	10,000		4,615

Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2018 and 2017 are summarized in the tables below:



	Three-Month Period Ended June 30, 2018
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(1,341	)	$	528		$	(813	)	$	1,472	$	3,686	$	5,158
Swaptions				—			—					84		84
TBAs				(460		)	(460		)			1,304		1,304
Futures				(2,429		)	(2,429		)			4,288		4,288
Total	$	(1,341	)	$	(2,361	)	$	(3,702	)	$	1,472	$	9,362	$	10,834



	Three-Month Period Ended June 30, 2017
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(936	)	$	34		$	(902	)	$	317	$	(2,435	)	$	(2,118	)
TBAs				(7,718		)	(7,718		)			3,458			3,458
Futures				(508		)	(508		)			188			188
Total	$	(936	)	$	(8,192	)	$	(9,128	)	$	317	$	1,211		$	1,528



	Six-Month Period Ended June 30, 2018
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(209	)	$	2,969		$	2,760		$	(39	)	$	9,783		$	9,744
Swaptions				—			—						290			290
TBAs				10,843			10,843						(640		)	(640		)
Futures				(1,350		)	(1,350		)				2,005			2,005
Total	$	(209	)	$	12,462		$	12,253		$	(39	)	$	11,438		$	11,399



	Six-Month Period Ended June 30, 2017
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(951	)	$	5		$	(946	)	$	(144	)	$	(1,679	)	$	(1,823	)
TBAs				(5,887		)	(5,887		)				1,116			1,116
Futures				(641		)	(641		)				94			94
Total	$	(951	)	$	(6,523	)	$	(7,474	)	$	(144	)	$	(469	)	$	(613	)

From time to time, the Company uses short positions in U.S. Treasury positions as a component of its interest rate hedging portfolio. As of June 30, 2018, the Company held short positions in U.S. Treasury securities, with a principal amount of $16.3 million and a fair value of $16.2 million. As of December 31, 2017, the Company held short positions in U.S. Treasury securities, with a principal amount of $82.5 million and a fair value of $81.3 million. Such securities are included on the Company's Consolidated Balance Sheet under the caption U.S. Treasury securities sold short, at fair value.

Borrowings under Repurchase Agreements

6 Months Ended

Jun. 30, 2018

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements Disclosure [Text Block]

Borrowings under Repurchase Agreements

The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company generally can require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral.

At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. As of June 30, 2018 and December 31, 2017, the Company had outstanding borrowings under repurchase agreements with 16 and 15 counterparties, respectively.

The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2018 and December 31, 2017:



	June 30, 2018					December 31, 2017
			Weighted Average					Weighted Average
Remaining Days to Maturity	Borrowings Outstanding		Interest Rate		Remaining Days to Maturity	Borrowings Outstanding		Interest Rate		Remaining Days to Maturity
	(In thousands)
30 days or less	$	481,649	2.00	%	16	$	410,628	1.41	%	15
31-60 days	732,797		2.10		45	906,602		1.46		46
61-90 days	322,770		2.18		76	273,665		1.60		74
91-120 days	—		—		—	6,311		1.61		120
Total	$	1,537,216	2.09	%	42	$	1,597,206	1.47	%	43

Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment.

As of June 30, 2018 and December 31, 2017, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $1.6 billion and $1.7 billion, respectively. Collateral transferred under outstanding borrowings as of June 30, 2018 includes RMBS in the amount of $51.8 million that were sold prior to period end but for which such sale had not yet settled. Collateral transferred under outstanding borrowings as of December 31, 2017 includes RMBS in the amount of $21.5 million that were sold prior to year end but for which such sale had not yet settled. In addition as of June 30, 2018, the Company posted to repo counterparties net cash collateral of $22.4 million and additional securities with a fair value of $0.4 million, and received from repo counterparties securities with a fair value of $1.0 million, as a result of margin calls with various repo counterparties. As of December 31, 2017, the Company posted to repo counterparties net cash collateral of $18.7 million and additional securities with a fair value of $2.5 million as a result of margin calls with various repo counterparties.

Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. The following table reflects counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of shareholders' equity as of June 30, 2018. There was no counterparty for which the amount at risk was greater than 10% of shareholders' equity as of December 31, 2017.

June 30, 2018:



Counterparty	Amount at Risk⁽¹⁾		Weighted Average Remaining Days to Maturity	Percentage of Shareholders' Equity
	(In thousands)
Wells Fargo Bank, N.A.	$	19,165	34	11.0	%


(1)	Amounts at risk exclude, in aggregate, $15 thousand of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.

Offsetting of Assets and Liabilities

6 Months Ended

Jun. 30, 2018

Offsetting of Assets and Liabilities [Abstract]

OffsettingOfAssetsAndLiabilities [Text Block]

Offsetting of Assets and Liabilities

The Company records financial instruments at fair value as described in Note 2. All financial instruments are recorded on a gross basis on the Consolidated Balance Sheet. In connection with its financial derivatives, repurchase agreements, and related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions and repurchase agreements.

The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2018 and December 31, 2017. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction.

June 30, 2018:



Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾			Financial InstrumentsAvailable for Offset			Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾		Cash Collateral (Received) Pledged⁽²⁾⁽³⁾			Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	20,095		$	(1,188	)	$	—	$	(6,902	)	$	12,005
Reverse repurchase agreements	21,373			(21,373		)	—		—			—
Liabilities:
Financial derivatives–liabilities	(1,655		)	1,188			—		235			(232		)
Repurchase agreements	(1,537,216		)	21,373			1,493,402		22,441			—


(1)	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

(2)

For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2018 were $1.60 billion. As of June 30, 2018 total cash collateral on financial derivative assets and liabilities excludes $2.4 million and $1.5 million respectively of net excess cash collateral.

(3)

When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.

December 31, 2017:



Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾			Financial InstrumentsAvailable for Offset			Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾		Cash Collateral (Received) Pledged⁽²⁾⁽³⁾		Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	8,792		$	(1,046	)	$	—	$	—	$	7,746
Reverse repurchase agreements	81,461			(81,461		)	—		—		—
Liabilities:
Financial derivatives–liabilities	(1,863		)	1,046			—		697		(120		)
Repurchase agreements	(1,597,206		)	81,461			1,497,038		18,707		—


(1)	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

(2)

For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2017 were $1.66 billion. As of December 31, 2017 total cash collateral on financial derivative assets and liabilities excludes $5.4 million and $1.4 million, respectively of net excess cash collateral.

(3)

Earnings per Share

6 Months Ended

Jun. 30, 2018

Earnings Per Share [Abstract]

Earnings per Share

Earnings Per Share

Basic earnings per share, or "EPS," is calculated by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for the period. Diluted EPS takes into account the effect of outstanding dilutive instruments, such as share options and warrants, if any, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. As of June 30, 2018 and 2017, the Company did not have any dilutive instruments outstanding.

The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2018 and 2017:



(In thousands except for share amounts)	Three-Month Period Ended June 30, 2018		Three-Month Period Ended June 30, 2017		Six-Month Period Ended June 30, 2018			Six-Month Period Ended June 30, 2017
Numerator:
Net income (loss)	$	1,786	$	1,603	$	(2,167	)	$	3,655
Denominator:
Basic and diluted weighted average shares outstanding	12,715,277		10,741,074		12,968,340			9,940,433
Basic and diluted earnings per share	$	0.14	$	0.15	$	(0.17	)	$	0.37

Related Party Transactions	6 Months Ended
Related Party Transactions	Jun. 30, 2018
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Management Agreement The Company is party to the Management Agreement, which has a current term that expires on September 24, 2018, and has been, and will continue to be, renewed automatically each year thereafter for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the Management Agreement, the Manager provides the Company with its management team, including its officers, and appropriate support personnel. The Company does not have any employees. The Manager is responsible for the day-to-day operations of the Company. The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For each of the three-month periods ended June 30, 2018 and 2017, the total management fee incurred was $0.7 million. For the six-month periods ended June 30, 2018 and 2017, the total management fee incurred was $1.3 million and $1.2 million, respectively. Services Agreement The Manager and EMG are parties to a services agreement, pursuant to which EMG is required to provide to the Manager sufficient personnel, services, and resources to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the services agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against EMG in the event of any breach by the Manager of any of its duties, obligations, or agreements under the Management Agreement that arise out of or result from any breach by EMG of its obligations under the services agreement. The services agreement will terminate upon the termination of the Management Agreement. Pursuant to the services agreement, the Manager makes certain payments to EMG in connection with the services provided. The Manager and EMG have overlapping ownership and are under common control. Expense Reimbursement Under the terms of the Management Agreement, the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Trustees, to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the six-month periods ended June 30, 2018 and 2017, the Company reimbursed the Manager $1.2 million and $1.0 million, respectively, for previously incurred operating and compensation expenses. Termination Fee The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. Registration Rights Agreement The Company is a party to a registration rights agreement with an affiliate of EMG and with the Blackstone Tactical Opportunities Funds (the "Blackstone Funds") pursuant to which the Company has granted its initial investors and each of their permitted transferees and other holders of the Company's "registrable common shares" (as such term is defined in the registration rights agreement) who become parties to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown rights.

Capital

6 Months Ended

Jun. 30, 2018

Equity [Abstract]

Capital

The Company has authorized 500,000,000 common shares, $0.01 par value per share, and 100,000,000 preferred shares, $0.01 par value per share. The Board of Trustees may authorize the issuance of additional shares of either class. As of June 30, 2018 and December 31, 2017, there were 12,712,050 and 13,340,217 common shares outstanding, respectively. No preferred shares have been issued.

During the three-month periods ended June 30, 2018 and 2017, the Board of Directors authorized dividends totaling $0.37 per share and $0.40 per share, respectively. Total dividends declared during the three-month periods ended June 30, 2018 and 2017 were $4.7 million and $4.9 million. During the six-month periods ended June 30, 2018 and 2017, the Board of Directors authorized dividends totaling $0.74 per share and $0.80 per share, respectively. Total dividends declared during the six-month periods ended June 30, 2018 and 2017 were $9.5 million and $8.6 million, respectively.

Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2018 and 2017:



	Three-Month Period Ended June 30, 2018		Three-Month Period Ended June 30, 2017		Six-Month Period Ended June 30, 2018		Six-Month Period Ended June 30, 2017
Common Shares Outstanding (3/31/2018, 3/31/2017, 12/31/2017, and 12/31/2016, respectively)	12,827,850		9,130,897		13,340,217		9,130,897
Share Activity:
Shares issued	—		3,236,738		—		3,236,738
Shares repurchased	(115,800	)	—		(628,167	)	—
Forfeiture of common shares to satisfy tax withholding obligations	—		(37	)	—		(37	)
Common Shares Outstanding (6/30/2018, 6/30/2017, 6/30/2018, and 6/30/2017, respectively)	12,712,050		12,367,598		12,712,050		12,367,598
Unvested restricted shares outstanding (6/30/2018, 6/30/2017, 6/30/2018, and 6/30/2017, respectively)	15,945		16,395		15,945		16,395

The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2018:



Grant Recipient	Number of Restricted Shares Granted	Grant Date	Vesting Date⁽¹⁾
Independent trustees:
	9,976	September 12, 2017	September 11, 2018
Partially dedicated employees:
	2,630	December 12, 2017	December 12, 2018
	1,783	December 12, 2017	December 12, 2019
	1,556	December 13, 2016	December 13, 2018


(1)	Date at which such restricted shares will vest and become non-forfeitable.

As of June 30, 2018, there were 340,461 shares available for future issuance under the Company's 2013 Equity Incentive Plan.

On June 13, 2018, the Company's Board of Trustees approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.2 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations. This program superseded the program that was previously adopted on February 6, 2018. During the three-month period ended June 30, 2018, the Company purchased 115,800 of its common shares at an aggregate cost of $1.3 million, and an average price per share of $11.01. During the six-month period ended June 30, 2018, the Company purchased 628,167 of its common shares at an aggregate cost of $7.0 million, and an average price per share of $11.17. All of the Company's common shares repurchased during the six-month period ended June 30, 2018 occurred under the share repurchase program adopted on February 6, 2018.

Distribution Policy

The timing and frequency of distributions will be determined by the Board of Trustees based upon a variety of factors deemed relevant by the Company's trustees, including restrictions under applicable law, capital requirements of the Company, and the REIT requirements of the Code. Distributions to shareholders generally will be taxable as ordinary income, although a portion of such distributions may be designated as long-term capital gain or qualified dividend income, or may constitute a return of capital. The Company will furnish annually to each shareholder a statement setting forth distributions paid or deemed paid during the preceding year and their U.S. federal income tax treatment. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year.

Commitments and Contingencies	6 Months Ended
Commitments and Contingencies	Jun. 30, 2018
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of June 30, 2018 and December 31, 2017 and management is not aware of any significant contingencies at June 30, 2018.

Significant Accounting Policies Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2018

Accounting Policies [Abstract]

Basis of Presentation

Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP." Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2017.

Valuation

Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:


•	Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives;

•


•	Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes certain RMBS, such as certain non-Agency RMBS and certain Agency IOs, where there is less price transparency.

Summary Valuation Techniques

In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement.

Accounting for Securities

Accounting for Securities: Purchases and sales of investments are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost.

Interest Income

Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. An effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities.

Cash and Cash Equivalents

Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy.

Deposits with Dealers Held as Collateral/Due to Brokers

Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions.

Financial Derivatives

Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, swaptions, and futures.

Repurchase Agreements

Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

Reverse Repurchase Agreements

Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature.

Securities Sold Short

Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security.

Offering Costs/Deferred Offering Costs/Underwriters' Discounts

Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital.

Share Based Compensation

Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plan. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent directors and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent directors and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent directors and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement

Dividends

Dividends: Dividends payable are recorded on the declaration date.

Expenses

Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations.

Earnings Per Share

Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding.

Share Repurchases

Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding and are immediately retired upon settlement. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet.

Income Taxes

Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 to 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including the distribution of at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.

Recent Accounting Pronouncements

Recent Accounting Pronouncements: In June 2018, the FASB issued ASU 2018-07, Compensation—Stock Compensation—Improvements to Nonemployee Share-Based Payment Accounting ("ASU 2018-07"). This amends ASC 718, Compensation—Stock Compensation, to simplify several aspects of accounting for nonemployee share-based payment transactions. ASU 2018-07 is effective for annual periods beginning after December 15, 2019 and interim periods beginning after December 15, 2020 with early adoption permitted. The adoption of ASU 2018-07 is not expected to have a material impact on the Company's consolidated financial statements.

Mortgage-Backed Securities (Tables)

6 Months Ended

Jun. 30, 2018

Investments, Debt and Equity Securities [Abstract]

Mortgage-backed securities [Table Text Block]

By RMBS Type

June 30, 2018:



($ in thousands)								Gross Unrealized							Weighted Average
	Current Principal		Unamortized Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon	Yield	Life (Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages	$	147,080	$	6,432		$	153,512	$	—	$	(5,013	)	$	148,499	3.41%	2.33%	4.58
20-year fixed-rate mortgages	8,143		624			8,767		—		(346		)	8,421		4.00%	2.54%	6.01
30-year fixed-rate mortgages	1,263,388		66,524			1,329,912		531		(35,960		)	1,294,483		4.02%	3.20%	8.20
Adjustable rate mortgages	20,124		1,397			21,521		7		(798		)	20,730		3.87%	2.64%	3.96
Reverse mortgages	71,781		6,822			78,603		79		(1,851		)	76,831		4.54%	2.90%	5.64
Interest only securities	n/a		n/a			18,583		1,343		(811		)	19,115		4.45%	8.22%	4.56
Total Agency RMBS	1,510,516		81,799			1,610,898		1,960		(44,779		)	1,568,079		4.02%	3.15%	7.42
Non-Agency RMBS	14,839		(4,561		)	10,278		1,825		(79		)	12,024		4.06%	11.37%	7.43
Total RMBS	$	1,525,355	$	77,238		$	1,621,176	$	3,785	$	(44,858	)	$	1,580,103	4.02%	3.20%	7.42


(1)	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

December 31, 2017:



($ in thousands)								Gross Unrealized							Weighted Average
	Current Principal		Unamortized Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon	Yield	Life (Years)⁽¹⁾
Agency RMBS:
15-year fixed-rate mortgages	$	170,998	$	7,553		$	178,551	$	28	$	(1,805	)	$	176,774	3.38%	2.31%	4.75
20-year fixed-rate mortgages	8,712		682			9,394		—		(164		)	9,230		4.00%	2.55%	6.02
30-year fixed-rate mortgages	1,303,584		76,681			1,380,265		1,929		(12,605		)	1,369,589		3.96%	3.06%	8.18
Adjustable rate mortgages	28,087		1,862			29,949		30		(421		)	29,558		3.87%	2.58%	4.70
Reverse mortgages	64,608		6,293			70,901		259		(543		)	70,617		4.53%	2.79%	6.09
Interest only securities	n/a		n/a			13,197		382		(1,374		)	12,205		4.36%	5.64%	3.28
Total Agency RMBS	1,575,989		93,071			1,682,257		2,628		(16,912		)	1,667,973		3.95%	2.98%	7.38
Non-Agency RMBS	21,995		(6,717		)	15,278		2,846		(99		)	18,025		3.58%	8.39%	7.94
Total RMBS	$	1,597,984	$	86,354		$	1,697,535	$	5,474	$	(17,011	)	$	1,685,998	3.94%	3.03%	7.39


(1)	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

Weighted Average Life Classifications [Table Text Block]

By Estimated Weighted Average Life

As of June 30, 2018:



($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than three years	$	6,230	$	6,322	3.81	%	$	1,303	$	1,676	4.47	%	$	—	$	—	—	%
Greater than three years and less than seven years	338,238		348,766		3.94	%	17,812		16,907		4.45	%	7,400		6,646		4.99	%
Greater than seven years and less than eleven years	1,169,634		1,202,396		3.99	%	—		—		—	%	2,145		1,093		3.06	%
Greater than eleven years	34,862		34,831		4.00	%	—		—		—	%	2,479		2,539		2.72	%
Total	$	1,548,964	$	1,592,315	3.98	%	$	19,115	$	18,583	4.45	%	$	12,024	$	10,278	4.06	%


(1)	Average lives of RMBS are generally shorter than stated contractual maturities.

As of December 31, 2017:



($ in thousands)	Agency RMBS						Agency Interest Only Securities						Non-Agency RMBS
Estimated Weighted Average Life⁽¹⁾	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than three years	$	7,931	$	7,935	3.70	%	$	3,357	$	4,253	4.15	%	$	—	$	—	—	%
Greater than three years and less than seven years	419,295		423,248		3.93	%	8,848		8,944		4.51	%	9,625		9,062		5.00	%
Greater than seven years and less than eleven years	1,221,160		1,230,479		3.92	%	—		—		—	%	5,892		3,697		2.14	%
Greater than eleven years	7,382		7,398		3.68	%	—		—		—	%	2,508		2,519		2.18	%
Total	$	1,655,768	$	1,669,060	3.92	%	$	12,205	$	13,197	4.36	%	$	18,025	$	15,278	3.58	%


(1)	Average lives of RMBS are generally shorter than stated contractual maturities.

Interest Income Components - Investments [Table Text Block]

The following table reflects the components of interest income on the Company's RMBS for the three- and six- month periods ended June 30, 2018 and 2017:



	Three-Month Period Ended June 30, 2018							Six-Month Period Ended June 30, 2018
($ in thousands)	Coupon Interest		Net Amortization			Interest Income		Coupon Interest		Net Amortization			Interest Income
Agency RMBS	$	16,689	$	(3,208	)	$	13,481	$	33,597	$	(7,456	)	$	26,141
Non-Agency RMBS	149		152			301		318		238			556
Total	$	16,838	$	(3,056	)	$	13,782	$	33,915	$	(7,218	)	$	26,697



	Three-Month Period Ended June 30, 2017							Six-Month Period Ended June 30, 2017
($ in thousands)	Coupon Interest		Net Amortization			Interest Income		Coupon Interest		Net Amortization			Interest Income
Agency RMBS	$	13,914	$	(3,581	)	$	10,333	$	26,492	$	(4,336	)	$	22,156
Non-Agency RMBS	155		171			326		408		272			680
Total	$	14,069	$	(3,410	)	$	10,659	$	26,900	$	(4,064	)	$	22,836

Valuation (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurements

The following tables present the Company's financial instruments measured at fair value on:

June 30, 2018:



(In thousands)
Description	Level 1		Level 2			Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	148,499		$	—	$	148,499
20-year fixed-rate mortgages	—		8,421			—		8,421
30-year fixed-rate mortgages	—		1,294,483			—		1,294,483
Adjustable rate mortgages	—		20,730			—		20,730
Reverse mortgages	—		76,831			—		76,831
Interest only securities	—		15,489			3,626		19,115
Non-Agency RMBS	—		5,031			6,993		12,024
Mortgage-backed securities, at fair value	—		1,569,484			10,619		1,580,103
Financial derivatives–assets, at fair value:
TBAs	—		422			—		422
Interest rate swaps	—		17,026			—		17,026
Swaptions	—		470			—		470
Futures	2,177		—			—		2,177
Total financial derivatives–assets, at fair value	2,177		17,918			—		20,095
Total mortgage-backed securities and financial derivatives–assets, at fair value	$	2,177	$	1,587,402		$	10,619	$	1,600,198
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(16,195	)	$	—	$	(16,195	)
Financial derivatives–liabilities, at fair value:
TBAs	—		(1,395		)	—		(1,395		)
Interest rate swaps	—		(260		)	—		(260		)
Total financial derivatives–liabilities, at fair value	—		(1,655		)	—		(1,655		)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	—	$	(17,850	)	$	—	$	(17,850	)

December 31, 2017:



(In thousands)
Description	Level 1		Level 2			Level 3		Total
Assets:
Mortgage-backed securities, at fair value:
Agency RMBS:
15-year fixed-rate mortgages	$	—	$	176,774		$	—	$	176,774
20-year fixed-rate mortgages	—		9,230			—		9,230
30-year fixed-rate mortgages	—		1,369,589			—		1,369,589
Adjustable rate mortgages	—		29,558			—		29,558
Reverse mortgages	—		70,617			—		70,617
Interest only securities	—		9,951			2,254		12,205
Non-Agency RMBS	—		9,193			8,832		18,025
Mortgage-backed securities, at fair value	—		1,674,912			11,086		1,685,998
Financial derivatives–assets, at fair value:
TBAs	—		402			—		402
Interest rate swaps	—		8,038			—		8,038
Swaptions	—		181			—		181
Futures	171		—			—		171
Total financial derivatives–assets, at fair value	171		8,621			—		8,792
Total mortgage-backed securities and financial derivatives–assets, at fair value	$	171	$	1,683,533		$	11,086	$	1,694,790
Liabilities:
U.S. Treasury securities sold short, at fair value	$	—	$	(81,289	)	$	—	$	(81,289	)
Financial derivatives–liabilities, at fair value:
TBAs	—		(735		)	—		(735		)
Interest rate swaps	—		(1,128		)	—		(1,128		)
Total financial derivatives–liabilities, at fair value	—		(1,863		)	—		(1,863		)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value	$	—	$	(83,152	)	$	—	$	(83,152	)

Unobservable Input Reconciliation

The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value:

Three-month period ended June 30, 2018:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of March 31, 2018	$	5,355		$	5,138
Purchases	—			160
Proceeds from sales	—			—
Principal repayments	(188		)	—
(Amortization)/accretion, net	126			(415		)
Net realized gains (losses)	—			(41		)
Change in net unrealized gains (losses)	(34		)	253
Transfers:
Transfers into level 3	1,734			—
Transfers out of level 3	—			(1,469		)
Ending balance as of June 30, 2018	$	6,993		$	3,626

Three-month period ended June 30, 2017:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of March 31, 2017	$	2,502		$	12,542
Purchases	—			—
Proceeds from sales	(16		)	—
Principal repayments	(215		)	—
(Amortization)/accretion, net	84			(824		)
Net realized gains (losses)	16			(37		)
Change in net unrealized gains (losses)	475			(799		)
Transfers:
Transfers into level 3	5,567			—
Transfers out of level 3	(1,963		)	(8,357		)
Ending balance as of June 30, 2017	$	6,450		$	2,525

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2017. For Level 3 financial instruments held by the Company as of June 30, 2017, change in net unrealized gains (losses) of $0.6 million and $(0.2) million, for the three-month period ended June 30, 2017 relate to non-Agency RMBS and Agency RMBS, respectively.

Six-month period ended June 30, 2018:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of December 31, 2017	$	8,832		$	2,254
Purchases	—			160
Proceeds from sales	(3,638		)	—
Principal repayments	(418		)	—
(Amortization)/accretion, net	171			(692		)
Net realized gains (losses)	1,254			(165		)
Change in net unrealized gains (losses)	(942		)	499
Transfers:
Transfers into level 3	1,734			1,570
Transfers out of level 3	—			—
Ending balance as of June 30, 2018	$	6,993		$	3,626

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2018, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2018. For Level 3 financial instruments held by the Company as of June 30, 2018, change in net unrealized gains (losses) of $(15) thousand and $0.7 million, for the six-month period ended June 30, 2018 relate to non-Agency RMBS and Agency RMBS, respectively.

Six-month period ended June 30, 2017:



(In thousands)	Non-Agency RMBS			Agency RMBS
Beginning balance as of December 31, 2016	$	6,498		$	12,347
Purchases	—			—
Proceeds from sales	(2,866		)	—
Principal repayments	(424		)	—
(Amortization)/accretion, net	136			(1,585		)
Net realized gains (losses)	179			(73		)
Change in net unrealized gains (losses)	928			(990		)
Transfers:
Transfers into level 3	1,999			—
Transfers out of level 3	—			(7,174		)
Ending balance as of June 30, 2017	$	6,450		$	2,525

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2017. For Level 3 financial instruments held by the Company as of June 30, 2017, change in net unrealized gains (losses) of $1.1 million and $(0.2) million, for the six-month period ended June 30, 2017 relate to non-Agency RMBS and Agency RMBS, respectively.

As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. At June 30, 2017, the Company transferred $7.2 million of RMBS from Level 3 to Level 2 and $2.0 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period.

Quantitative Information

The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2018 and December 31, 2017:

June 30, 2018:



					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average⁽¹⁾
	(In thousands)
Non-Agency RMBS	$	1,385	Market quotes	Non-Binding Third-Party Valuation	$	85.63		$	89.89		$	87.76
Agency RMBS–Interest Only Securities	922		Market quotes	Non-Binding Third-Party Valuation	20.06			21.13			20.60
Non-Agency RMBS	5,608		Discounted Cash Flows	Yield	4.1		%	9.3		%	5.9		%
				Projected Collateral Prepayments	19.5		%	49.0		%	34.5		%
				Projected Collateral Losses	4.6		%	18.8		%	12.3		%
				Projected Collateral Recoveries	6.4		%	19.3		%	13.6		%
				Projected Collateral Scheduled Amortization	25.2		%	49.2		%	39.6		%
											100.0		%
Agency RMBS–Interest Only Securities	2,704		Option Adjusted Spread ("OAS")	LIBOR OAS ⁽²⁾	548			1,164			688
				Projected Collateral Prepayments	33.6		%	77.1		%	59.1		%
				Projected Collateral Scheduled Amortization	22.9		%	66.4		%	40.9		%
											100.0		%


(1)	Averages are weighted based on the fair value of the related instrument.


(2)	Shown in basis points.

December 31, 2017:



					Range
Description	Fair Value		Valuation Technique	Significant Unobservable Input	Min			Max			Weighted Average⁽¹⁾
	(In thousands)
Non-Agency RMBS	$	2,258	Market quotes	Non-Binding Third-Party Valuation	$	57.84		$	87.45		$	78.02
Non-Agency RMBS	6,574		Discounted Cash Flows	Yield	4.6		%	5.1		%	4.8		%
				Projected Collateral Prepayments	19.2		%	44.9		%	26.5		%
				Projected Collateral Losses	0.9		%	20.1		%	9.2		%
				Projected Collateral Recoveries	8.8		%	31.5		%	22.5		%
				Projected Collateral Scheduled Amortization	33.1		%	47.5		%	41.8		%
											100.0		%
Agency RMBS–Interest Only Securities	2,254		Option Adjusted Spread ("OAS")	LIBOR OAS⁽²⁾	627			1,408			781
				Projected Collateral Prepayments	43.8		%	88.1		%	71.2		%
				Projected Collateral Scheduled Amortization	11.9		%	56.2		%	28.8		%
											100.0		%


(1)	Averages are weighted based on the fair value of the related instrument.


(2)	Shown in basis points.

Fair Value, Other Financial Instruments

The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of June 30, 2018 and December 31, 2017:



	June 30, 2018				December 31, 2017
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	41,402	$	41,402	$	56,117	$	56,117
Due from brokers	26,946		26,946		26,754		26,754
Reverse repurchase agreements	21,373		21,373		81,461		81,461
Liabilities:
Repurchase agreements	1,537,216		1,537,216		1,597,206		1,597,206
Due to brokers	7,312		7,312		489		489

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Derivative Instrument Detail [Abstract]

Schedule of Derivative Instruments [Table Text Block]

The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2018 and December 31, 2017:



	June 30, 2018			December 31, 2017
	(In thousands)
Financial derivatives–assets, at fair value:
TBA securities purchase contracts	$	422		$	26
TBA securities sale contracts	—			376
Fixed payer interest rate swaps	17,026			7,475
Fixed receiver interest rate swaps	—			563
Swaptions	470			181
Futures	2,177			171
Total financial derivatives–assets, at fair value	20,095			8,792
Financial derivatives–liabilities, at fair value:
TBA securities purchase contracts	(1		)	(266		)
TBA securities sale contracts	(1,394		)	(469		)
Fixed payer interest rate swaps	(260		)	(1,128		)
Total financial derivatives–liabilities, at fair value	(1,655		)	(1,863		)
Total	$	18,440		$	6,929

Interest Rate Swaps By Remaining Maturity [Table Text Block]

The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2018 and December 31, 2017:

June 30, 2018:



						Weighted Average
Maturity	Notional Amount		Fair Value			Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2020	$	86,000	$	1,916		1.60	%	2.35	%	1.82
2021	133,400		3,677			1.89		2.35		2.91
2022	68,480		2,206			2.00		2.36		3.94
2023	119,466		2,786			2.30		2.36		4.77
2024	8,900		436			1.99		2.31		5.76
2025	47,722		650			2.57		2.33		6.67
2026	40,885		3,761			1.63		2.35		8.21
2027	30,000		1,458			2.29		2.35		8.85
2028	7,923		(13		)	2.85		2.36		9.61
2043	12,380		(111		)	2.99		2.35		24.89
Total	$	555,156	$	16,766		2.05	%	2.35	%	4.93

December 31, 2017:



						Weighted Average
Maturity	Notional Amount		Fair Value			Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2018	$	65,990	$	187		0.97	%	1.38	%	0.43
2019	19,540		165			1.41		1.60		1.51
2020	131,900		1,514			1.60		1.41		2.39
2021	131,400		1,194			1.88		1.40		3.41
2022	79,044		736			1.97		1.39		4.48
2023	54,200		873			1.93		1.37		5.47
2024	8,900		142			1.99		1.34		6.26
2025	15,322		196			2.04		1.37		7.13
2026	40,885		2,230			1.63		1.36		8.71
2027	48,010		235			2.30		1.40		9.38
2043	12,380		(1,125		)	2.99		1.41		25.38
Total	$	607,571	$	6,347		1.77	%	1.40	%	4.54

December 31, 2017:



					Weighted Average
Maturity	Notional Amount		Fair Value		Pay Rate		Receive Rate		Remaining Years to Maturity
	(In thousands)
2025	$	9,700	$	563	1.36	%	3.00	%	7.54
Total	$	9,700	$	563	1.36	%	3.00	%	7.54

Interest Rate Swaptions By Remaining Maturity [Table Text Block]

The following tables provide information about the Company's swaptions as of June 30, 2018 and December 31, 2017.

June 30, 2018:



Option				Underlying Swap
Type	Fair Value		Months to Expiration	Notional Amount		Term (Years)	Fixed Rate
($ in thousands)
Fixed Payer	$	470	1.0	$	10,000	10	2.40%

December 31, 2017:



Option				Underlying Swap
Type	Fair Value		Months to Expiration	Notional Amount		Term (Years)	Fixed Rate
($ in thousands)
Fixed Payer	$	181	7.0	$	10,000	10	2.40%

Futures [Table Text Block]

The following tables provide information about the Company's short positions in futures as of June 30, 2018 and December 31, 2017.

June 30, 2018:



Description	Notional Amount			Fair Value		Remaining Months to Expiration
($ in thousands)
U.S. Treasury Futures	$	(296,100	)	$	2,177	2.84

December 31, 2017:



Description	Notional Amount			Fair Value		Remaining Months to Expiration
($ in thousands)
U.S. Treasury Futures	$	(25,800	)	$	171	2.63

Schedule of To-be-announced securities (TBAs) [Table Text Block]

As of June 30, 2018 and December 31, 2017, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:



	June 30, 2018												December 31, 2017
TBA Securities	Notional Amount⁽¹⁾			Cost Basis⁽²⁾			Market Value⁽³⁾			Net Carrying Value⁽⁴⁾			Notional Amount ⁽¹⁾			Cost Basis⁽²⁾			Market Value⁽³⁾			Net Carrying Value⁽⁴⁾
(In thousands)
Purchase contracts:
Assets	$	136,754		$	139,946		$	140,368		$	422		$	37,355		$	38,065		$	38,091		$	26
Liabilities	12,710			13,343			13,342			(1		)	75,789			79,570			79,304			(266		)
	149,464			153,289			153,710			421			113,144			117,635			117,395			(240		)
Sale contracts:
Assets	—			—			—			—			(358,279		)	(372,219		)	(371,843		)	376
Liabilities	(441,893		)	(447,161		)	(448,555		)	(1,394		)	(328,576		)	(341,134		)	(341,603		)	(469		)
	(441,893		)	(447,161		)	(448,555		)	(1,394		)	(686,855		)	(713,353		)	(713,446		)	(93		)
Total TBA securities, net	$	(292,429	)	$	(293,872	)	$	(294,845	)	$	(973	)	$	(573,711	)	$	(595,718	)	$	(596,051	)	$	(333	)


(1)	Notional amount represents the principal balance of the underlying Agency RMBS.


(2)	Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.


(3)	Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.


(4)	Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

Derivative Activity, Volume [Table Text Block]



Derivative Type	Six-Month Period Ended June 30, 2018		Year Ended December 31, 2017
	(In thousands)
Interest rate swaps	$	612,149	$	549,907
TBAs	665,097		796,813
Futures	225,514		30,092
Swaptions	10,000		4,615

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2018 and 2017 are summarized in the tables below:



	Three-Month Period Ended June 30, 2018
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(1,341	)	$	528		$	(813	)	$	1,472	$	3,686	$	5,158
Swaptions				—			—					84		84
TBAs				(460		)	(460		)			1,304		1,304
Futures				(2,429		)	(2,429		)			4,288		4,288
Total	$	(1,341	)	$	(2,361	)	$	(3,702	)	$	1,472	$	9,362	$	10,834



	Three-Month Period Ended June 30, 2017
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps		Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(936	)	$	34		$	(902	)	$	317	$	(2,435	)	$	(2,118	)
TBAs				(7,718		)	(7,718		)			3,458			3,458
Futures				(508		)	(508		)			188			188
Total	$	(936	)	$	(8,192	)	$	(9,128	)	$	317	$	1,211		$	1,528



	Six-Month Period Ended June 30, 2018
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(209	)	$	2,969		$	2,760		$	(39	)	$	9,783		$	9,744
Swaptions				—			—						290			290
TBAs				10,843			10,843						(640		)	(640		)
Futures				(1,350		)	(1,350		)				2,005			2,005
Total	$	(209	)	$	12,462		$	12,253		$	(39	)	$	11,438		$	11,399



	Six-Month Period Ended June 30, 2017
Derivative Type	Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps			Net Realized Gains (Losses) on Financial Derivatives			Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps			Change in Net Unrealized Gains (Losses) on Financial Derivatives
(In thousands)
Interest rate swaps	$	(951	)	$	5		$	(946	)	$	(144	)	$	(1,679	)	$	(1,823	)
TBAs				(5,887		)	(5,887		)				1,116			1,116
Futures				(641		)	(641		)				94			94
Total	$	(951	)	$	(6,523	)	$	(7,474	)	$	(144	)	$	(469	)	$	(613	)

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41641-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
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+ Details

Borrowings under Repurchase Agreements (Tables)

6 Months Ended

Jun. 30, 2018

Disclosure of Repurchase Agreements [Abstract]

Schedule of Repurchase Agreements [Table Text Block]

The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2018 and December 31, 2017:



	June 30, 2018					December 31, 2017
			Weighted Average					Weighted Average
Remaining Days to Maturity	Borrowings Outstanding		Interest Rate		Remaining Days to Maturity	Borrowings Outstanding		Interest Rate		Remaining Days to Maturity
	(In thousands)
30 days or less	$	481,649	2.00	%	16	$	410,628	1.41	%	15
31-60 days	732,797		2.10		45	906,602		1.46		46
61-90 days	322,770		2.18		76	273,665		1.60		74
91-120 days	—		—		—	6,311		1.61		120
Total	$	1,537,216	2.09	%	42	$	1,597,206	1.47	%	43

Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block]

June 30, 2018:



Counterparty	Amount at Risk⁽¹⁾		Weighted Average Remaining Days to Maturity	Percentage of Shareholders' Equity
	(In thousands)
Wells Fargo Bank, N.A.	$	19,165	34	11.0	%


(1)	Amounts at risk exclude, in aggregate, $15 thousand of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed.

Offsetting of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2018

Offsetting of Assets and Liabilities [Abstract]

Offsetting of Assets and Liabilities [Table Text Block]

June 30, 2018:



Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾			Financial InstrumentsAvailable for Offset			Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾		Cash Collateral (Received) Pledged⁽²⁾⁽³⁾			Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	20,095		$	(1,188	)	$	—	$	(6,902	)	$	12,005
Reverse repurchase agreements	21,373			(21,373		)	—		—			—
Liabilities:
Financial derivatives–liabilities	(1,655		)	1,188			—		235			(232		)
Repurchase agreements	(1,537,216		)	21,373			1,493,402		22,441			—


(1)	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

(2)

(3)

December 31, 2017:



Description	Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet⁽¹⁾			Financial InstrumentsAvailable for Offset			Financial Instruments Transferred or Pledged as Collateral⁽²⁾⁽³⁾		Cash Collateral (Received) Pledged⁽²⁾⁽³⁾		Net Amount
(In thousands)
Assets:
Financial derivatives–assets	$	8,792		$	(1,046	)	$	—	$	—	$	7,746
Reverse repurchase agreements	81,461			(81,461		)	—		—		—
Liabilities:
Financial derivatives–liabilities	(1,863		)	1,046			—		697		(120		)
Repurchase agreements	(1,597,206		)	81,461			1,497,038		18,707		—


(1)	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

(2)

For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2017 were $1.66 billion. As of December 31, 2017 total cash collateral on financial derivative assets and liabilities excludes $5.4 million and $1.4 million, respectively of net excess cash collateral.

(3)

Earnings per Share (Tables)

6 Months Ended

Jun. 30, 2018

Earnings Per Share [Abstract]

Schedule of Earnings Per Share Reconciliation

The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2018 and 2017:



(In thousands except for share amounts)	Three-Month Period Ended June 30, 2018		Three-Month Period Ended June 30, 2017		Six-Month Period Ended June 30, 2018			Six-Month Period Ended June 30, 2017
Numerator:
Net income (loss)	$	1,786	$	1,603	$	(2,167	)	$	3,655
Denominator:
Basic and diluted weighted average shares outstanding	12,715,277		10,741,074		12,968,340			9,940,433
Basic and diluted earnings per share	$	0.14	$	0.15	$	(0.17	)	$	0.37

Capital (Tables)

6 Months Ended

Jun. 30, 2018

Equity [Abstract]

Summary of Common Shares Outstanding [Table Text Block]

Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2018 and 2017:



	Three-Month Period Ended June 30, 2018		Three-Month Period Ended June 30, 2017		Six-Month Period Ended June 30, 2018		Six-Month Period Ended June 30, 2017
Common Shares Outstanding (3/31/2018, 3/31/2017, 12/31/2017, and 12/31/2016, respectively)	12,827,850		9,130,897		13,340,217		9,130,897
Share Activity:
Shares issued	—		3,236,738		—		3,236,738
Shares repurchased	(115,800	)	—		(628,167	)	—
Forfeiture of common shares to satisfy tax withholding obligations	—		(37	)	—		(37	)
Common Shares Outstanding (6/30/2018, 6/30/2017, 6/30/2018, and 6/30/2017, respectively)	12,712,050		12,367,598		12,712,050		12,367,598
Unvested restricted shares outstanding (6/30/2018, 6/30/2017, 6/30/2018, and 6/30/2017, respectively)	15,945		16,395		15,945		16,395

Vesting schedule for restricted shares [Table Text Block]

The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2018:



Grant Recipient	Number of Restricted Shares Granted	Grant Date	Vesting Date⁽¹⁾
Independent trustees:
	9,976	September 12, 2017	September 11, 2018
Partially dedicated employees:
	2,630	December 12, 2017	December 12, 2018
	1,783	December 12, 2017	December 12, 2019
	1,556	December 13, 2016	December 13, 2018


(1)	Date at which such restricted shares will vest and become non-forfeitable.

Organization and Investment Objective (Details)	6 Months Ended
Organization and Investment Objective (Details)	Jun. 30, 2018
Organization and Investment Objective [Line Items]
Required Distribution of Taxable Net Income, Percentage on Annual Basis	90.00%
Intended Distribution of Taxable Net Income, Percentage on Annual Basis	100.00%

Significant Accounting Policies (Details)	6 Months Ended
Significant Accounting Policies (Details)	Jun. 30, 2018
Significant Accounting Policies [Line Items]
Required Distribution of Taxable Net Income, Percentage on Annual Basis	90.00%
Minimum [Member]
Significant Accounting Policies [Line Items]
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period	1 year
Maximum [Member]
Significant Accounting Policies [Line Items]
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period	2 years

Schedule of Mortgage-Backed Securities (Details) - USD ($)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2018

Dec. 31, 2017

Residential Mortgage Backed Securities [Member]

$ 1,580,103

$ 1,685,998

1,525,355

1,597,984

77,238

86,354

1,621,176

1,697,535

3,785

5,474

(44,858)

(17,011)

$ 1,580,103

$ 1,685,998

4.02%

3.94%

3.20%

3.03%

^[1]

7 years 154 days

7 years 142 days

Non-Agency RMBS [Member]

$ 14,839

$ 21,995

(4,561)

(6,717)

10,278

15,278

1,825

2,846

(79)

(99)

$ 12,024

$ 18,025

4.06%

3.58%

11.37%

8.39%

15-year fixed rate mortgages [Member] | Agency RMBS [Member]

^[1]

7 years 157 days

7 years 343 days

$ 147,080

$ 170,998

6,432

7,553

153,512

178,551

(5,013)

(1,805)

$ 148,499

$ 176,774

3.41%

3.38%

2.33%

2.31%

20-year fixed rate mortgages [Member] | Agency RMBS [Member]

^[1]

4 years 212 days

4 years 274 days

$ 8,143

$ 8,712

624

682

8,767

9,394

(346)

(164)

$ 8,421

$ 9,230

4.00%

2.54%

2.55%

30-year fixed rate mortgages [Member] | Agency RMBS [Member]

^[1]

6 years 4 days

6 years 7 days

$ 1,263,388

$ 1,303,584

66,524

76,681

1,329,912

1,380,265

531

1,929

(35,960)

(12,605)

$ 1,294,483

$ 1,369,589

4.02%

3.96%

3.20%

3.06%

Adjustable Rate Mortgages | Agency RMBS [Member]

^[1]

8 years 73 days

8 years 66 days

$ 20,124

$ 28,087

1,397

1,862

21,521

29,949

(798)

(421)

$ 20,730

$ 29,558

3.87%

2.64%

2.58%

Reverse mortgages [Member] | Agency RMBS [Member]

^[1]

3 years 351 days

4 years 256 days

$ 71,781

$ 64,608

6,822

6,293

78,603

70,901

259

(1,851)

(543)

$ 76,831

$ 70,617

4.54%

4.53%

2.90%

2.79%

Interest-Only [Member] | Agency RMBS [Member]

^[1]

5 years 234 days

6 years 33 days

$ 18,583

$ 13,197

1,343

382

(811)

(1,374)

$ 19,115

$ 12,205

4.45%

4.36%

8.22%

5.64%

Agency Securities [Member] | Agency RMBS [Member]

^[1]

4 years 205 days

3 years 102 days

$ 1,510,516

$ 1,575,989

81,799

93,071

1,610,898

1,682,257

1,960

2,628

(44,779)

(16,912)

$ 1,568,079

$ 1,667,973

4.02%

3.95%

3.15%

2.98%

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

^[1]

7 years 154 days

7 years 139 days

[1]	Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

Schedule of Mortgage-Backed Securities by Weighted Average Life (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 1,580,103	$ 1,685,998
Non-Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	12,024	18,025
Amortized Cost	$ 10,278	$ 15,278
Weighted Average Coupon Rate, Percent	4.06%	3.58%
Less than three years [Member] \| Non-Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 0	$ 0
Amortized Cost	$ 0	$ 0
Weighted Average Coupon Rate, Percent	0.00%	0.00%
Greater than three years and less than seven years [Member] \| Non-Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 7,400	$ 9,625
Amortized Cost	$ 6,646	$ 9,062
Weighted Average Coupon Rate, Percent	4.99%	5.00%
Greater than seven years and less than eleven years [Member] \| Non-Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 2,145	$ 5,892
Amortized Cost	$ 1,093	$ 3,697
Weighted Average Coupon Rate, Percent	3.06%	2.14%
Greater than eleven years [Member] \| Non-Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 2,479	$ 2,508
Amortized Cost	$ 2,539	$ 2,519
Weighted Average Coupon Rate, Percent	2.72%	2.18%
Fixed Rate [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 1,548,964	$ 1,655,768
Amortized Cost	$ 1,592,315	$ 1,669,060
Weighted Average Coupon Rate, Percent	3.98%	3.92%
Fixed Rate [Member] \| Less than three years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 6,230	$ 7,931
Amortized Cost	$ 6,322	$ 7,935
Weighted Average Coupon Rate, Percent	3.81%	3.70%
Fixed Rate [Member] \| Greater than three years and less than seven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 338,238	$ 419,295
Amortized Cost	$ 348,766	$ 423,248
Weighted Average Coupon Rate, Percent	3.94%	3.93%
Fixed Rate [Member] \| Greater than seven years and less than eleven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 1,169,634	$ 1,221,160
Amortized Cost	$ 1,202,396	$ 1,230,479
Weighted Average Coupon Rate, Percent	3.99%	3.92%
Fixed Rate [Member] \| Greater than eleven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 34,862	$ 7,382
Amortized Cost	$ 34,831	$ 7,398
Weighted Average Coupon Rate, Percent	4.00%	3.68%
Interest-Only [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 19,115	$ 12,205
Amortized Cost	$ 18,583	$ 13,197
Weighted Average Coupon Rate, Percent	4.45%	4.36%
Interest-Only [Member] \| Less than three years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 1,303	$ 3,357
Amortized Cost	$ 1,676	$ 4,253
Weighted Average Coupon Rate, Percent	4.47%	4.15%
Interest-Only [Member] \| Greater than three years and less than seven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 17,812	$ 8,848
Amortized Cost	$ 16,907	$ 8,944
Weighted Average Coupon Rate, Percent	4.45%	4.51%
Interest-Only [Member] \| Greater than seven years and less than eleven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 0	$ 0
Amortized Cost	$ 0	$ 0
Weighted Average Coupon Rate, Percent	0.00%	0.00%
Interest-Only [Member] \| Greater than eleven years [Member] \| Agency RMBS [Member]
Mortgage-Backed Securities [Line Items]
Mortgage-backed securities, at fair value	$ 0	$ 0
Amortized Cost	$ 0	$ 0
Weighted Average Coupon Rate, Percent	0.00%	0.00%

Mortgage-Backed Securities Interest Income Components (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Interest Income Components [Line Items]
Net Amortization			$ (7,250)	$ (4,142)
Interest income	$ 14,081	$ 10,883	27,506	23,211
Agency RMBS [Member]
Interest Income Components [Line Items]
Coupon Interest	16,689	13,914	33,597	26,492
Net Amortization	(3,208)	(3,581)	(7,456)	(4,336)
Interest income	13,481	10,333	26,141	22,156
Non-Agency RMBS [Member]
Interest Income Components [Line Items]
Coupon Interest	149	155	318	408
Net Amortization	152	171	238	272
Interest income	301	326	556	680
Residential Mortgage Backed Securities [Member]
Interest Income Components [Line Items]
Coupon Interest	16,838	14,069	33,915	26,900
Net Amortization	(3,056)	(3,410)	(7,218)	(4,064)
Interest income	$ 13,782	$ 10,659	$ 26,697	$ 22,836

Mortgage-Backed Securities Narrative (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]
Catch-up Premium Amortization Adjustment	$ 0.5	$ (0.3)	$ 0.3	$ 2.3

Valuation Schedule of Fair Value Measurements (Details) - USD ($)
$ in Thousands

Jun. 30, 2018

Dec. 31, 2017

^[1]

$ 20,095

$ 8,792

Fair Value, Measurements, Recurring [Member]

^[1]

(1,655)

(1,863)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

1,580,103

1,685,998

Total mortgage-backed securities and financial derivatives–assets, at fair value

20,095

8,792

1,600,198

1,694,790

Total U.S. Treasury securities and financial derivatives-liabilities, at fair value

(1,655)

(1,863)

(17,850)

(83,152)

Fair Value, Measurements, Recurring [Member] | TBA securities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

422

402

Fair Value, Measurements, Recurring [Member] | Interest Rate Swap [Member]

(1,395)

(735)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

17,026

8,038

Fair Value, Measurements, Recurring [Member] | Swaption [Member]

(260)

(1,128)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Futures [Member]

470

181

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]

2,177

171

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]

148,499

176,774

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]

8,421

9,230

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages

1,294,483

1,369,589

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member]

20,730

29,558

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member]

76,831

70,617

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Non-Agency RMBS [Member]

19,115

12,205

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | US Treasury Securities [Member]

12,024

18,025

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member]

(16,195)

(81,289)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Total mortgage-backed securities and financial derivatives–assets, at fair value

2,177

171

2,177

171

Total U.S. Treasury securities and financial derivatives-liabilities, at fair value

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBA securities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Swaption [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Futures [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]

2,177

171

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | US Treasury Securities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

1,569,484

1,674,912

Total mortgage-backed securities and financial derivatives–assets, at fair value

17,918

8,621

1,587,402

1,683,533

Total U.S. Treasury securities and financial derivatives-liabilities, at fair value

(1,655)

(1,863)

(17,850)

(83,152)

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBA securities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

422

402

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member]

(1,395)

(735)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

17,026

8,038

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Swaption [Member]

(260)

(1,128)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Futures [Member]

470

181

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]

148,499

176,774

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]

8,421

9,230

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages

1,294,483

1,369,589

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]

20,730

29,558

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member]

76,831

70,617

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member]

15,489

9,951

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | US Treasury Securities [Member]

5,031

9,193

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member]

(16,195)

(81,289)

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

10,619

11,086

Total mortgage-backed securities and financial derivatives–assets, at fair value

10,619

11,086

Total U.S. Treasury securities and financial derivatives-liabilities, at fair value

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBA securities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Swaption [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Futures [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member]

3,626

2,254

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | US Treasury Securities [Member]

6,993

8,832

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Non-Agency RMBS [Member] | Market Quotes [Member]

$ 0

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

Valuation Unobservable Input Reconciliation (Details) - Level 3 [Member] - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Agency RMBS [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 5,138	$ 12,542	$ 2,254	$ 12,347
Purchases	160	0	160	0
Proceeds from sales	0	0	0	0
Principal repayments	0	0	0	0
(Amortization)/accretion, net	(415)	(824)	(692)	(1,585)
Net realized gains (losses)	(41)	(37)	(165)	(73)
Change in net unrealized gains (losses)	253	(799)	499	(990)
Transfers
Transfers into level 3	0	0	1,570	0
Transfers out of level 3	(1,469)	(8,357)	0	(7,174)
Ending balance	3,626	2,525	3,626	2,525
Change in net unrealized gains (losses) for level 3 assets still held	200	(200)	700	(200)
Non-Agency RMBS [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	5,355	2,502	8,832	6,498
Purchases	0	0	0	0
Proceeds from sales	0	(16)	(3,638)	(2,866)
Principal repayments	(188)	(215)	(418)	(424)
(Amortization)/accretion, net	126	84	171	136
Net realized gains (losses)	0	16	1,254	179
Change in net unrealized gains (losses)	(34)	475	(942)	928
Transfers
Transfers into level 3	1,734	5,567	1,734	1,999
Transfers out of level 3	0	(1,963)	0	0
Ending balance	6,993	6,450	6,993	6,450
Change in net unrealized gains (losses) for level 3 assets still held	(65)	600	(15)	1,100
Residential Mortgage Backed Securities [Member]
Transfers
Transfers into level 3	1,700	5,600	$ 3,300	2,000
Transfers out of level 3	$ (1,500)	$ (10,300)		$ (7,200)

Valuation Qualtitative Information (Details) - Level 3 [Member] - USD ($)

Jun. 30, 2018

Dec. 31, 2017

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Non-Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member]

$ 1,385,000

$ 2,258,000

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Non-Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member]

85.63

57.84

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Non-Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member]

89.89

87.45

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Non-Agency RMBS [Member] | Discounted Cash Flows [Member]

^[1]

87.76

78.02

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Minimum [Member]

$ 5,608,000

$ 6,574,000

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Yield

4.10%

4.60%

Projected Collateral Losses

19.50%

19.20%

4.60%

0.90%

Projected Collateral Recoveries

6.40%

8.80%

Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Maximum [Member]

25.20%

33.10%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Yield

9.30%

5.10%

Projected Collateral Losses

49.00%

44.90%

18.80%

20.10%

Projected Collateral Recoveries

19.30%

31.50%

Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Weighted Average [Member]

49.20%

47.50%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Yield

^[1]

5.90%

4.80%

Projected Collateral Losses

^[1]

34.50%

26.50%

^[1]

12.30%

9.20%

Projected Collateral Recoveries

^[1]

13.60%

22.50%

Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member]

^[1]

39.60%

41.80%

Projected Total

^[1]

100.00%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member]

$ 922,000

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member]

20.06

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member]

21.13

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member]

^[1]

20.60

Fair Value Inputs, Assets, Quantitative Information [Line Items]

Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Minimum [Member]

$ 2,704,000

$ 2,254,000

Fair Value Inputs, Assets, Quantitative Information [Line Items]

33.60%

43.80%

Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Maximum [Member]

22.90%

11.90%

LIBOR OAS

^[2]

5.48%

6.27%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

77.10%

88.10%

Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member]

66.40%

56.20%

LIBOR OAS

^[2]

11.64%

14.08%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

59.10%

71.20%

Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]

^[1]

40.90%

28.80%

Projected Total

^[1]

100.00%

LIBOR OAS

^[1],[2]

6.88%

7.81%

[1]	Averages are weighted based on the fair value of the related instrument.
[2]	Shown in basis points.

Valuation Fair Value, Other Financial Instruments (Details) - USD ($)
$ in Thousands

Jun. 30, 2018

Dec. 31, 2017

Jun. 30, 2017

Dec. 31, 2016

Cash and cash equivalents

$ 41,402

$ 56,117

$ 41,660

$ 33,504

26,946

26,754

^[1]

21,373

81,461

^[1]

1,537,216

1,597,206

Estimate of Fair Value Measurement [Member]

7,312

489

Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]

Cash and Cash Equivalents

41,402

56,117

26,946

26,754

21,373

81,461

1,537,216

1,597,206

Reported Value Measurement [Member]

7,312

489

Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]

Cash and cash equivalents

41,402

56,117

26,946

26,754

21,373

81,461

1,537,216

1,597,206

$ 7,312

$ 489

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

Derivative Instruments Schedule of Derivatves (Details) - USD ($)
$ in Thousands

Jun. 30, 2018

Dec. 31, 2017

^[1]

$ 20,095

$ 8,792

^[1]

(1,655)

(1,863)

TBA securities- purchase contracts [Member]

18,440

6,929

TBA securities- sale contracts [Member]

^[2]

421

(240)

Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member]

^[2]

(1,394)

(93)

Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member]

^[2]

422

Derivative Financial Instruments, Assets [Member] | Futures [Member]

^[2]

376

Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member]

2,177

171

Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member]

^[2]

(1)

(266)

Short [Member] | Interest Rate Swap [Member]

^[2]

(1,394)

(469)

Short [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member]

16,766

6,347

Short [Member] | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member]

17,026

7,475

Long [Member] | Interest Rate Swap [Member]

(260)

(1,128)

Long [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member]

563

Long [Member] | Derivative Financial Instruments, Assets [Member] | Swaption [Member]

563

$ 470

$ 181

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
[2]	Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

Derivative Instruments Schedule of Interest Rate Swaps by Maturity (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative, Fair Value, Net	$ 18,440	$ 6,929
Short [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	555,156	607,571
Derivative, Fair Value, Net	$ 16,766	$ 6,347
Weighted Average Pay Rate	2.05%	1.77%
Weighted Average Receive Rate	2.35%	1.40%
Derivative, Average Remaining Maturity	4 years 339 days	4 years 197 days
Short [Member] \| Year 2018 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional		$ 65,990
Derivative, Fair Value, Net		$ 187
Weighted Average Pay Rate		0.97%
Weighted Average Receive Rate		1.38%
Derivative, Average Remaining Maturity		157 days
Short [Member] \| Year 2019 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional		$ 19,540
Derivative, Fair Value, Net		$ 165
Weighted Average Pay Rate		1.41%
Weighted Average Receive Rate		1.60%
Derivative, Average Remaining Maturity		1 year 186 days
Short [Member] \| Year 2020 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 86,000	$ 131,900
Derivative, Fair Value, Net	$ 1,916	$ 1,514
Weighted Average Pay Rate	1.60%	1.60%
Weighted Average Receive Rate	2.35%	1.41%
Derivative, Average Remaining Maturity	1 year 299 days	2 years 142 days
Short [Member] \| Year 2021 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 133,400	$ 131,400
Derivative, Fair Value, Net	$ 3,677	$ 1,194
Weighted Average Pay Rate	1.89%	1.88%
Weighted Average Receive Rate	2.35%	1.40%
Derivative, Average Remaining Maturity	2 years 333 days	3 years 150 days
Short [Member] \| Year 2022 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 68,480	$ 79,044
Derivative, Fair Value, Net	$ 2,206	$ 736
Weighted Average Pay Rate	2.00%	1.97%
Weighted Average Receive Rate	2.36%	1.39%
Derivative, Average Remaining Maturity	3 years 344 days	4 years 175 days
Short [Member] \| Year 2023 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 119,466	$ 54,200
Derivative, Fair Value, Net	$ 2,786	$ 873
Weighted Average Pay Rate	2.30%	1.93%
Weighted Average Receive Rate	2.36%	1.37%
Derivative, Average Remaining Maturity	4 years 282 days	5 years 172 days
Short [Member] \| Year 2024 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 8,900	$ 8,900
Derivative, Fair Value, Net	$ 436	$ 142
Weighted Average Pay Rate	1.99%	1.99%
Weighted Average Receive Rate	2.31%	1.34%
Derivative, Average Remaining Maturity	5 years 278 days	6 years 95 days
Short [Member] \| Year 2025 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 47,722	$ 15,322
Derivative, Fair Value, Net	$ 650	$ 196
Weighted Average Pay Rate	2.57%	2.04%
Weighted Average Receive Rate	2.33%	1.37%
Derivative, Average Remaining Maturity	6 years 245 days	7 years 47 days
Short [Member] \| Year 2026 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 40,885	$ 40,885
Derivative, Fair Value, Net	$ 3,761	$ 2,230
Weighted Average Pay Rate	1.63%	1.63%
Weighted Average Receive Rate	2.35%	1.36%
Derivative, Average Remaining Maturity	8 years 77 days	8 years 259 days
Short [Member] \| Year 2027 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 30,000	$ 48,010
Derivative, Fair Value, Net	$ 1,458	$ 235
Weighted Average Pay Rate	2.29%	2.30%
Weighted Average Receive Rate	2.35%	1.40%
Derivative, Average Remaining Maturity	8 years 311 days	9 years 139 days
Short [Member] \| Year 2028 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 7,923
Derivative, Fair Value, Net	$ (13)
Weighted Average Pay Rate	2.85%
Weighted Average Receive Rate	2.36%
Derivative, Average Remaining Maturity	9 years 223 days
Short [Member] \| Year 2043 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional	$ 12,380	$ 12,380
Derivative, Fair Value, Net	$ (111)	$ (1,125)
Weighted Average Pay Rate	2.99%	2.99%
Weighted Average Receive Rate	2.35%	1.41%
Derivative, Average Remaining Maturity	24 years 325 days	25 years 139 days
Long [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional		$ 9,700
Derivative, Fair Value, Net		$ 563
Weighted Average Pay Rate		1.36%
Weighted Average Receive Rate		3.00%
Derivative, Average Remaining Maturity		7 years 197 days
Long [Member] \| Year 2025 [Member] \| Interest Rate Swap [Member]
Derivative [Line Items]
Derivative notional		$ 9,700
Derivative, Fair Value, Net		$ 563
Weighted Average Pay Rate		1.36%
Weighted Average Receive Rate		3.00%
Derivative, Average Remaining Maturity		7 years 197 days

Derivative Instruments Schedule of Swaptions (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative, Fair Value, Net	$ 18,440	$ 6,929
Interest Rate Swaption [Member] \| Fixed Payer Swaption [Member]
Derivative [Line Items]
Derivative, Fair Value, Net	470	181
Derivative notional	$ 10,000	$ 10,000
Maturity term of asset underlying derivative contract	10 years	10 years
Derivative, Average Remaining Maturity	1 month	7 months
Derivative, Swaption Interest Rate	2.40%	2.40%

Derivative Instruments Schedule of Futures (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative, Fair Value, Net	$ 18,440	$ 6,929
US Treasury Note Futures [Member] \| Futures [Member] \| Short [Member]
Derivative [Line Items]
Derivative notional	(296,100)	(25,800)
Derivative, Fair Value, Net	$ 2,177	$ 171
Derivative, Average Remaining Maturity	2 months 25 days	2 months 20 days

Derivative Instruments Schedule of TBA Securities (Details) - USD ($)
$ in Thousands

Jun. 30, 2018

Dec. 31, 2017

^[1]

$ 20,095

$ 8,792

^[1]

(1,655)

(1,863)

TBA securities- purchase contracts [Member]

18,440

6,929

^[2]

149,464

113,144

^[3]

153,289

117,635

^[4]

153,710

117,395

TBA securities- sale contracts [Member]

^[5]

421

(240)

^[2]

(441,893)

(686,855)

^[3]

(447,161)

(713,353)

^[4]

(448,555)

(713,446)

^[5]

(1,394)

(93)

TBA securities [Member]

Derivative notional, net

^[2]

(292,429)

(573,711)

^[3]

(293,872)

(595,718)

^[4]

(294,845)

(596,051)

Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member]

^[5]

(973)

(333)

^[2]

136,754

37,355

^[3]

139,946

38,065

^[4]

140,368

38,091

Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member]

^[5]

422

^[2]

(358,279)

^[3]

(372,219)

^[4]

(371,843)

Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member]

^[5]

376

^[2]

12,710

75,789

^[3]

13,343

79,570

^[4]

13,342

79,304

Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member]

^[5]

(1)

(266)

^[2]

(441,893)

(328,576)

^[3]

(447,161)

(341,134)

^[4]

(448,555)

(341,603)

^[5]

$ (1,394)

$ (469)

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
[2]	Notional amount represents the principal balance of the underlying Agency RMBS.
[3]	Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
[4]	Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.
[5]	Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.

Schedule of Derivative Activity (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Interest Rate Swap [Member]
Derivative [Line Items]
Financial derivative average monthly notional	$ 612,149	$ 549,907
TBA securities [Member]
Derivative [Line Items]
Financial derivative average monthly notional	665,097	796,813
Futures [Member]
Derivative [Line Items]
Financial derivative average monthly notional	225,514	30,092
Swaption [Member]
Derivative [Line Items]
Financial derivative average monthly notional	$ 10,000	$ 4,615

Derivative Instruments Schedule of Gains and Losses on Derivative Instruments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative [Line Items]
Net realized gains (losses) on periodic settements of interest rate swaps	$ (1,341)	$ (936)	$ (209)	$ (951)
Net realized gains (losses) other than on periodic settements of interest rate swaps	(2,361)	(8,192)	12,462	(6,523)
Net realized gains (losses) on financial derivatives	(3,702)	(9,128)	12,253	(7,474)
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps	1,472	317	(39)	(144)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps	9,362	1,211	11,438	(469)
Change in net unrealized gains (losses) on financial derivatives	10,834	1,528	11,399	(613)
Interest Rate Swap [Member]
Derivative [Line Items]
Net realized gains (losses) on periodic settements of interest rate swaps	(1,341)	(936)	(209)	(951)
Net realized gains (losses) other than on periodic settements of interest rate swaps	528	34	2,969	5
Net realized gains (losses) on financial derivatives	(813)	(902)	2,760	(946)
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps	1,472	317	(39)	(144)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps	3,686	(2,435)	9,783	(1,679)
Change in net unrealized gains (losses) on financial derivatives	5,158	(2,118)	9,744	(1,823)
Swaption [Member]
Derivative [Line Items]
Net realized gains (losses) other than on periodic settements of interest rate swaps	0		0
Net realized gains (losses) on financial derivatives	0		0
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps	84		290
Change in net unrealized gains (losses) on financial derivatives	84		290
TBA securities [Member]
Derivative [Line Items]
Net realized gains (losses) other than on periodic settements of interest rate swaps	(460)	(7,718)	10,843	(5,887)
Net realized gains (losses) on financial derivatives	(460)	(7,718)	10,843	(5,887)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps	1,304	3,458	(640)	1,116
Change in net unrealized gains (losses) on financial derivatives	1,304	3,458	(640)	1,116
Futures [Member]
Derivative [Line Items]
Net realized gains (losses) other than on periodic settements of interest rate swaps	(2,429)	(508)	(1,350)	(641)
Net realized gains (losses) on financial derivatives	(2,429)	(508)	(1,350)	(641)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps	4,288	188	2,005	94
Change in net unrealized gains (losses) on financial derivatives	$ 4,288	$ 188	$ 2,005	$ 94

Financial Derivatives Narrative (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
U.S. Treasury securities sold short, at fair value	$ 16,195	$ 81,289
US Treasury Securities [Member]
Derivative [Line Items]
U.S. Treasury securities sold short, at fair value	16,195	81,289
Investment Sold, Not yet Purchased, Balance, Principal Amount	$ 16,300	$ 82,500

Borrowings under Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) - USD ($)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2018

Dec. 31, 2017

^[1]

$ 1,537,216

$ 1,597,206

Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements

2.09%

1.47%

42 days

43 days

Maturity up to 30 days [Member]

$ 481,649

$ 410,628

Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements

2.00%

1.41%

16 days

15 days

Maturity 31 to 60 days [Member]

$ 732,797

$ 906,602

Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements

2.10%

1.46%

45 days

46 days

Maturity 61 to 90 days [Member]

$ 322,770

$ 273,665

Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements

2.18%

1.60%

76 days

74 days

Maturity 91 to 120 days [Member]

$ 0

$ 6,311

Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements

0.00%

1.61%

0 days

120 days

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.

Borrowings under Repurchase Agreements Borrowings under Repurchase Agreements Schedule of Repurchase Agreement by Counterparty (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Repurchase Agreement Counterparty [Line Items]
Repurchase Agreement Counterparty Concentration Risk Threshold	10.00%
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements	42 days	43 days
Net Accrued Interest	$ 15
Wells Fargo Bank, N.A. [Member]
Repurchase Agreement Counterparty [Line Items]
Repurchase Agreement Counterparty, Amount at Risk	$ 19,165
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements	34 days
Repurchase Agreement Counterparty, Amount at Risk as a Percentage of Shareholders' Equity	11.00%

Borrowings under Repurchase Agreements (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2018 USD ($) counterparties	Dec. 31, 2017 USD ($) counterparties
Repurchase Agreements [Line Items]
Number of Counterparties with Outstanding Repurchase Agreements \| counterparties	16	15
Repurchase Agreements, collateral amount	$ 1,600,000	$ 1,700,000
Minimum [Member]
Repurchase Agreements [Line Items]
Repurchase Agreements Maturity	30 days
Maximum [Member]
Repurchase Agreements [Line Items]
Repurchase Agreements Maturity	180 days
Repurchase Agreements [Member]
Repurchase Agreements [Line Items]
Pledged Assets, Unsettled	$ 51,800	21,500
Cash Collateral (Received) Pledged	22,438	18,707
Securities received as collateral under repurchase agreements	1,000
Security Owned and Pledged as Collateral, Fair Value	$ 400	$ 2,500

Offsetting of Assets and Liabilities (Details) - USD ($)
$ in Thousands

Jun. 30, 2018

Dec. 31, 2017

^[1]

$ 20,095

$ 8,792

^[1]

21,373

81,461

^[1]

(1,655)

(1,863)

Derivative Liability, Fair Value, Amount Offset Against Collateral

^[1]

(1,537,216)

(1,597,206)

(1,188)

(1,046)

Securities sold under agreements to repurchase available for offset

(21,373)

(81,461)

Derivative Asset, Fair Value, Amount Offset Against Collateral

1,188

1,046

Securities purchased under agreements to resell available for offset

21,373

81,461

Derivative, Collateral, Obligation to Return Cash

^[3]

(6,902)

^[2]

^[4]

Cash collateral received

^[3]

^[2]

^[4]

Derivative, Collateral, Right to Reclaim Cash

^[3]

235

^[2]

697

^[4]

Cash Collateral Pledged

^[3]

22,441

^[2]

18,707

^[4]

Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election

12,005

7,746

Reverse Repurchase Agreements and Related Collateral Net

Derivatives and related collateral, net

(232)

(120)

Repurchase agreements and related collateral, net

Securities Sold under Agreements to Repurchase, Fair Value of Collateral

1,600,000

1,660,000

Derivative Financial Instruments, Assets [Member]

Derivative Financial Instruments, Liabilities [Member]

Excess cash collateral

2,400

5,400

Repurchase Agreements [Member]

Excess cash collateral

1,500

1,400

Reverse Repurchase Agreements [Member]

^[3]

1,493,402

^[2]

1,497,038

^[4]

Derivative Financial Instruments, Assets [Member]

^[3]

^[2]

^[4]

Derivative Financial Instruments, Liabilities [Member]

^[3]

^[2]

^[4]

Vest September 11, 2018 [Member] | Independent Trustees [Member]

^[3]

$ 0

^[2]

$ 0

^[4]

[1]	In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
[2]	For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2018 were $1.60 billion. As of June 30, 2018 total cash collateral on financial derivative assets and liabilities excludes $2.4 million and $1.5 million respectively of net excess cash collateral.
[3]	When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
[4]	For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2017 were $1.66 billion. As of December 31, 2017 total cash collateral on financial derivative assets and liabilities excludes $5.4 million and $1.4 million, respectively of net excess cash collateral.

Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Earnings Per Share [Abstract]
Net income (loss)	$ 1,786	$ 1,603	$ (2,167)	$ 3,655
Basic and diluted weighted average shares outstanding	12,715,277	10,741,074	12,968,340	9,940,433
Basic and Diluted Earnings Per Share (in dollars per share)	$ 0.14	$ 0.15	$ (0.17)	$ 0.37

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Related Party Transactions [Abstract]
Management Fee, Description			The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears.
Management agreement renewal period			1 year
Annual Base Management Fee, Percent	1.50%		1.50%
Management fees to affiliate	$ 656	$ 685	$ 1,327	$ 1,212
Expense reimbursement period			60 days
Expenses Reimbursed to Related Party			$ 1,200	$ 1,000
Termination fee percentage			5.00%
Termination Fee, Description			The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement.

Capital Summary of Common Shares Outstanding (Details) - shares	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Equity [Abstract]
Common Shares Outstanding, beginning of period	12,827,850	9,130,897	13,340,217	9,130,897
Shares Issued, Shares	0	3,236,738	0	3,236,738
Shares repurchased	(115,800)	0	(628,167)	0
Forfeiture of common shares to satisfy tax withholding obligations, shares	0	(37)	0	(37)
Common Shares Outstanding, end of period	12,712,050	12,367,598	12,712,050	12,367,598
Unvested restricted shares outstanding	15,945	16,395	15,945	16,395

Capital Vesting Schedule for restricted shares (Details)

6 Months Ended

Jun. 30, 2018

Share-based Compensation Arrangement by Share-based Payment Award [Line Items]

9,976

Sep. 12, 2017

Vest December 12, 2018 [Member] | Partially dedicated employees [Member]

Sep. 11, 2018

^[1]

Share-based Compensation Arrangement by Share-based Payment Award [Line Items]

2,630

Dec. 12, 2017

Vest December 13, 2018 [Member] | Partially dedicated employees [Member]

Dec. 12, 2018

^[1]

Share-based Compensation Arrangement by Share-based Payment Award [Line Items]

1,556

Dec. 13, 2016

Vest December 12, 2019 [Member] | Partially dedicated employees [Member]

Dec. 13, 2018

^[1]

Share-based Compensation Arrangement by Share-based Payment Award [Line Items]

1,783

Dec. 12, 2017