CONSOLIDATED STATEMENT OF CASH FLOWS
$ in Thousands |
12 Months Ended |
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
Dec. 31, 2013
USD ($)
|
| Cash flows provided by (used in) operating activities: |
|
|
|
| Net income (loss) |
$ 30
|
$ 16,168
|
$ (1,914)
|
| Reconciliation of net income (loss) to net cash provided by (used in) operating activities: |
|
|
|
| Net realized gains (losses) on securities |
9,577
|
2,457
|
(37,456)
|
| Change in net unrealized (gains) losses on securities |
18,904
|
(48,550)
|
26,146
|
| Net realized (gains) losses on financial derivatives |
23,432
|
31,878
|
(7,310)
|
| Change in net unrealized (gains) losses on financial derivatives |
(3,419)
|
39,522
|
(33,894)
|
| Amortization of premiums and accretion of discounts (net) |
9,415
|
7,174
|
3,911
|
| Share based compensation |
120
|
135
|
46
|
| (Increase) decrease in assets: |
|
|
|
| Due from brokers |
(14,766)
|
(184)
|
(18,347)
|
| Interest receivable |
468
|
(27)
|
(4,727)
|
| Other assets |
28
|
(134)
|
(174)
|
| Increase (decrease) in liabilities: |
|
|
|
| Due to brokers |
(144)
|
(22,205)
|
22,788
|
| Accrued expenses |
(357)
|
66
|
281
|
| Interest payable |
674
|
(77)
|
764
|
| Management fees payable |
(6)
|
(49)
|
484
|
| Net cash provided by (used in) operating activities |
24,802
|
21,260
|
25,510
|
| Cash flows provided by (used in) investing activities: |
|
|
|
| Purchases of securities |
(2,020,500)
|
(2,019,101)
|
(2,889,912)
|
| Proceeds from sale of securities |
1,996,591
|
1,934,237
|
1,388,043
|
| Principal repayments of mortgage-backed securities |
136,726
|
98,144
|
47,994
|
| Proceeds from investments sold short |
799,493
|
211,937
|
2,043
|
| Repurchase of investments sold short |
(734,495)
|
(198,381)
|
(2,036)
|
| Proceeds from disposition of financial derivatives |
14,241
|
9,145
|
31,276
|
| Purchase of financial derivatives |
(37,341)
|
(41,024)
|
(23,967)
|
| Payments made on reverse repurchase agreements |
(14,584,118)
|
(1,094,706)
|
(4,098)
|
| Proceeds from reverse repurchase agreements |
14,519,473
|
1,080,719
|
4,098
|
| Net cash provided by (used in) investing activities |
90,070
|
(19,030)
|
(1,446,559)
|
| Cash flows provided by (used in) financing activities: |
|
|
|
| Proceeds from issuance of common shares |
0
|
0
|
150,000
|
| Offering costs paid |
0
|
(182)
|
(1,498)
|
| Repurchase of common shares |
(375)
|
0
|
0
|
| Dividends paid |
(19,207)
|
(19,656)
|
(5,849)
|
| Borrowings under repurchase agreements |
2,660,924
|
5,995,452
|
6,516,450
|
| Repayments of repurchase agreements |
(2,761,285)
|
(5,982,719)
|
(5,206,103)
|
| Cash provided by (used in) financing activities |
(119,943)
|
(7,105)
|
1,453,000
|
| NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS |
(5,071)
|
(4,875)
|
31,951
|
| CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD |
45,237
|
50,112
|
18,161
|
| CASH AND CASH EQUIVALENTS, END OF PERIOD |
40,166
|
45,237
|
50,112
|
| Supplemental disclosure of cash flow information: |
|
|
|
| Interest paid |
5,562
|
4,589
|
2,292
|
| Dividend payable |
$ 4,111
|
$ 5,032
|
$ 4,570
|