Quarterly report pursuant to Section 13 or 15(d)

CONSOLIDATED STATEMENTS OF CASH FLOWS

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CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)
In Thousands, unless otherwise specified
 9 Months Ended
Sep. 30, 2012
Sep. 30, 2011
Cash Flows From Operating Activities:    
Net income $ 102,606 $ 76,002
Adjustments to reconcile net income to net cash provided by operating activities:    
Amortization of premiums and discounts on RMBS, net (5,566) (57)
Other-than-temporary impairment losses 9,310 3,665
Gain on investment securities, net (14,247) (36,159)
Loss on mortgage loans held-for-sale 45 0
Loss on termination of interest rate swaps and swaptions 26,084 18,074
Unrealized loss on interest rate swaps and swaptions 104,506 51,474
Unrealized gain on other derivative instruments (6,493) (20,144)
Unrealized gain on mortgage loans held-for-sale (59) 0
Equity based compensation expense 462 216
Depreciation of real estate 458 0
Purchases of mortgage loans held-for-sale 10,797 0
Proceeds from repayment of mortgage loans held-for-sale (2,040) 0
Net change in assets and liabilities:    
Increase in accrued interest receivable (23,482) (20,127)
(Increase)/decrease in deferred income taxes, net (27,288) 4,136
Increase in current tax receivable (4,469) 0
(Increase)/decrease in prepaid and fixed assets (906) 155
Increase in other receivables (99) 0
Increase in accrued interest payable, net 6,691 4,657
(Decrease)/increase in income taxes payable (3,898) 928
Increase in accrued expenses 8,096 5,684
Net cash provided by operating activities 162,994 88,504
Cash Flows From Investing Activities:    
Purchases of available-for-sale securities (8,705,850) (6,295,100)
Proceeds from sales of available-for-sale securities 207,083 1,004,248
Principal payments on available-for-sale securities 542,727 208,965
Purchases of other derivative instruments (372,483) (233,764)
Proceeds from sales of other derivative instruments 86,696 23,179
Purchases of trading securities (996,016) (2,019,959)
Proceeds from sales of trading securities 1,001,904 700,156
Purchases of investments in real estate (191,365) 0
Increase in escrow deposits (34,117) 0
Increase (decrease) in due to counterparties, net 128,147 (162,458)
Increase in restricted cash (39,603) (141,728)
Net cash used in investing activities (8,372,877) (6,916,461)
Cash Flows From Financing Activities:    
Proceeds from repurchase agreements 45,160,427 19,621,767
Principal payments on repurchase agreements (37,786,248) (13,490,957)
Proceeds from issuance of common stock, net of offering costs 1,362,555 1,006,755
Proceeds from exercise of warrants 175,725 0
Dividends paid on common stock (228,984) (63,561)
Net cash provided by financing activities 8,683,475 7,074,004
Net increase in cash and cash equivalents 473,592 246,047
Cash and cash equivalents at beginning of period 360,016 163,900
Cash and cash equivalents at end of period 833,608 409,947
Supplemental Disclosure of Cash Flow Information:    
Cash paid for interest 14,038 8,923
Cash paid for taxes 3,637 1
Non-Cash Financing Activities:    
Cashless exercise of warrants 178 0
Dividends payable 106,325 56,235
Reconciliation of mortgage loans held-for-sale:    
Mortgage loans held-for-sale, at fair value 5,782 0
Purchases of mortgage loans held-for-sale 10,797 0
Proceeds from repayment of mortgage loans held-for-sale (2,040) 0
Gain on mortgage loans held-for-sale 14 0
Mortgage loans held-for-sale, at fair value $ 14,553 $ 0