Quarterly report pursuant to Section 13 or 15(d)

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

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CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)
In Thousands
 6 Months Ended
Jun. 30, 2011
Jun. 30, 2010
Cash Flows From Operating Activities:    
Net income $ 21,393 $ 9,415
Adjustments to reconcile net income to net cash provided by operating activities:    
Amortization of premiums and discounts on RMBS, net 4,693 1,774
Other-than-temporary impairment loss 294 0
Gain on investment securities, net (4,728) (2,031)
Loss on termination of interest rate swaps and swaptions 227 0
Unrealized gain on interest rate swaps and swaptions 38,351 4,392
Unrealized gain on other derivative instruments (5,893) (396)
Equity based compensation expense 147 65
Net change in:    
Increase in accrued interest receivable (12,334) (1,177)
Increase in deferred income taxes, net (4,330) (1,018)
Increase in prepaid tax asset 0 (142)
Decrease in prepaid and fixed assets 157 453
Increase in accrued interest payable, net 2,085 346
Increase in income taxes payable, net 5 0
Increase in accrued expenses and other liabilities 2,858 1,392
Net cash provided by operating activities 42,925 13,073
Cash Flows From Investing Activities:    
Purchases of available-for-sale securities (3,338,528) (706,619)
Proceeds from sales of available-for-sale securities 95,782 176,090
Principal payments on available-for-sale securities 116,651 50,140
Purchases of other derivative instruments (165,831) (38,896)
Proceeds from sales of other derivative instruments 19,572 24,266
Purchases of trading securities (1,319,959) 0
Proceeds from sales of trading securities 500,133 0
Decrease in due to/from counterparties, net (19,866) (15,887)
Increase in restricted cash (66,695) (9,734)
Net cash used in investing activities (4,178,741) (520,640)
Cash Flows From Financing Activities:    
Proceeds from repurchase agreements 8,283,571 1,651,661
Principal payments on repurchase agreements (4,626,172) (1,197,275)
Proceeds from issuance of common stock, net of offering costs 523,076 106,826
Dividends paid on common stock (26,650) (8,309)
Net cash provided by financing activities 4,153,825 552,903
Net increase in cash and cash equivalents 18,009 45,336
Cash and cash equivalents at beginning of period 163,900 26,105
Cash and cash equivalents at end of period 181,909 71,441
Supplemental Disclosure of Cash Flow Information:    
Cash paid for interest 4,277 1,035
Cash paid for taxes 1 0
Non-Cash Financing Activity:    
Dividends Payable, Amount $ 36,911 $ 8,622