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CONSOLIDATED BALANCE SHEET - USD ($)
$ in Thousands
Sep. 30, 2022
Dec. 31, 2021
ASSETS    
Cash and cash equivalents $ 25,408 $ 69,028
Mortgage-backed securities, at fair value(1) [1] 934,668 1,311,361
Other investments, at fair value 8,498 309
Due from brokers 48,595 88,662
Financial derivatives–assets, at fair value 71,853 6,638
Reverse repurchase agreements 21,774 117,505
Receivable for securities sold 73,945 0
Interest receivable 3,855 4,504
Other assets 638 459
Total Assets 1,189,234 1,598,466
LIABILITIES    
Repurchase agreements 938,046 1,064,835
Payable for securities purchased 72,957 255,136
Due to brokers 44,115 1,959
Financial derivatives–liabilities, at fair value 4,440 1,103
U.S. Treasury securities sold short, at fair value 21,577 117,195
Dividend payable 1,060 1,311
Accrued expenses 1,306 1,236
Management fee payable to affiliate 388 581
Interest payable 2,340 885
Total Liabilities 1,086,229 1,444,241
SHAREHOLDERS' EQUITY    
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively) 0 0
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (13,245,298 and 13,109,926 shares issued and outstanding, respectively) 132 131
Additional paid-in-capital 240,026 238,865
Accumulated deficit (137,153) (84,771)
Total Shareholders' Equity 103,005 154,225
Total Liabilities and Shareholders' Equity $ 1,189,234 $ 1,598,466
[1] Includes assets pledged as collateral to counterparties. See Note 6 for additional details on the Company's borrowings and related collateral.