Quarterly report pursuant to Section 13 or 15(d)

CONSOLIDATED STATEMENTS OF CASH FLOWS

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CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)
 6 Months Ended
Jun. 30, 2012
Jun. 30, 2011
Cash Flows From Operating Activities:    
Net income $ 75,804,000 $ 21,393,000
Adjustments to reconcile net income to net cash provided by (used in) operating activities:    
Amortization of premiums and discounts on RMBS, net (9,058,000) 4,693,000
Other-than-temporary impairment losses 8,751,000 294,000
Gain on investment securities, net (11,720,000) (4,728,000)
Loss (gain) on termination of interest rate swaps and swaptions 18,540,000 227,000
Unrealized loss (gain) on interest rate swaps and swaptions 46,296,000 38,351,000
Unrealized loss (gain) on other derivative instruments (4,773,000) (5,893,000)
Unrealized loss on mortgage loans (4,000) 0
Equity based compensation expense (433,346) (147,000)
Depreciation of real estate 32,000 0
Proceeds from repayment of mortgage loans held-for-sale 1,026,000 0
Net change in:    
Increase in accrued interest receivable (12,517,000) (12,334,000)
Increase in deferred income taxes, net (19,720,000) (4,330,000)
Increase in current tax receivable (4,465,000) 0
Decrease in prepaid and fixed assets (554,000) 157,000
Increase in accrued interest payable, net 5,089,000 2,085,000
Increase in escrow deposits (28,693,000) 0
(Decrease)/increase in income taxes payable (3,632,000) 5,000
Increase in accrued expenses 2,252,000 2,858,000
Net cash provided by operating activities 85,162,000 42,925,000
Cash Flows From Investing Activities:    
Purchases of available-for-sale securities (4,696,861,000) (3,338,528,000)
Proceeds from sales of available-for-sale securities 197,714,000 95,782,000
Principal payments on available-for-sale securities 295,829,000 116,651,000
Purchases of other derivative instruments (205,440,000) (165,831,000)
Proceeds from sales of other derivative instruments 69,699,000 19,572,000
Purchases of trading securities (996,016,000) (1,319,959,000)
Proceeds from sales of trading securities 1,001,904,000 500,133,000
Purchases of investments in real estate (71,758,000) 0
Increase in due to counterparties, net 72,932,000 (19,866,000)
Decrease (increase) in restricted cash 28,251,000 (66,695,000)
Net cash used in investing activities (4,332,439,000) (4,178,741,000)
Cash Flows From Financing Activities:    
Proceeds from repurchase agreements 23,100,723,000 8,283,571,000
Principal payments on repurchase agreements 19,322,430,000 4,626,172,000
Proceeds from issuance of common stock, net of offering costs 769,812,000 523,076,000
Increase in receivable from issuance of common stock (22,248,000) 0
Dividends paid on common stock (141,922,000) (26,650,000)
Net cash provided by financing activities 4,383,935,000 4,153,825,000
Net increase in cash and cash equivalents 136,658,000 18,009,000
Cash and cash equivalents at beginning of period 360,016,000 163,900,000
Cash and cash equivalents at end of period 496,674,000 181,909,000
Supplemental Disclosure of Cash Flow Information:    
Cash paid for interest 10,438,000 4,277,000
Cash paid for taxes 3,635,000 1,000
Non-Cash Financing Activity:    
Dividends payable 87,061,000 36,911,000
Reconciliation of mortgage loans held-for-sale:    
Mortgage loans held-for-sale at beginning of period 5,782,000 0
Proceeds from repayment of mortgage loans held-for-sale 1,026,000 0
Unrealized loss on mortgage loans (4,000) 0
Mortgage loans held-for-sale at end of period 11,378,000 0
Purchases of mortgage loans held-for-sale $ 6,618,000 $ 0