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CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($)
$ in Thousands
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Cash flows provided by (used in) operating activities:    
Net income (loss) $ (239) $ 3,677
Reconciliation of net income (loss) to net cash provided by (used in) operating activities:    
Net realized (gains) losses on securities (3,010) (6,722)
Change in net unrealized (gains) losses on securities (8,633) (5,186)
Net realized (gains) losses on financial derivatives 3,996 8,743
Change in net unrealized (gains) losses on financial derivatives 14,135 7,094
Amortization of premiums and accretion of discounts (net) 1,850 2,477
Share based compensation 40 30
(Increase) decrease in assets:    
Due from brokers 3,091 (10,209)
Interest receivable 233 342
Other assets (234) (293)
Increase (decrease) in liabilities:    
Due to brokers (312) 1,026
Accrued expenses (86) 18
Interest payable 21 164
Management fees payable (17) 59
Net cash provided by (used in) operating activities 10,835 1,220
Cash flows provided by (used in) investing activities:    
Purchases of securities (723,002) (482,987)
Proceeds from sale of securities 782,510 584,903
Principal repayments of mortgage-backed securities 30,044 31,207
Proceeds from investments sold short 157,931 214,417
Repurchase of investments sold short (169,090) (165,926)
Proceeds from disposition of financial derivatives 3,004 4,457
Purchase of financial derivatives (7,028) (13,200)
Payments made on reverse repurchase agreements (4,546,558) (2,092,173)
Proceeds from reverse repurchase agreements 4,555,615 2,043,187
Net cash provided by (used in) investing activities 83,426 123,885
Cash flows provided by (used in) financing activities:    
Repurchase of common shares (196) 0
Dividends paid (4,111) (5,032)
Borrowings under repurchase agreements 559,785 1,421,636
Repayments of repurchase agreements (648,663) (1,533,606)
Cash provided by (used in) financing activities (93,185) (117,002)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS 1,076 8,103
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD 40,166 45,237
CASH AND CASH EQUIVALENTS, END OF PERIOD 41,242 53,340
Supplemental disclosure of cash flow information:    
Interest paid 2,030 1,094
Dividend payable $ 4,103 $ 5,032