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
 9 Months Ended
Sep. 30, 2011
Sep. 30, 2010
Cash Flows From Operating Activities:    
Net income $ 76,002 $ 19,295
Adjustments to reconcile net income to net cash provided by operating activities:    
Amortization of premiums and discounts on RMBS, net (57) 1,987
Other-than-temporary impairment loss 3,665 0
Gain on investment securities, net (36,159) (4,608)
Loss on termination of interest rate swaps and swaptions 18,074 2,486
Unrealized gain on interest rate swaps and swaptions 51,474 5,357
Unrealized gain on other derivative instruments (20,144) (1,025)
Equity based compensation expense 216 145
Net change in:    
Increase in accrued interest receivable (20,127) (1,671)
Increase in deferred income taxes, net 4,136 (1,162)
Increase in prepaid tax asset 0 400
Decrease in prepaid and fixed assets 155 432
Increase in accrued interest payable, net 4,657 526
Increase in income taxes payable, net 928 0
Increase in accrued expenses and other liabilities 5,684 752
Net cash provided by operating activities 88,504 22,914
Cash Flows From Investing Activities:    
Purchases of available-for-sale securities (6,295,100) (888,466)
Proceeds from sales of available-for-sale securities 1,004,248 247,858
Principal payments on available-for-sale securities 208,965 78,520
Purchases of other derivative instruments (233,764) (38,896)
Proceeds from sales of other derivative instruments 23,179 26,632
Purchases of trading securities (2,019,959) (58,189)
Proceeds from sales of trading securities 700,156 58,516
Decrease in due to/from counterparties, net (162,458) (10,978)
Increase in restricted cash (141,728) (18,814)
Net cash used in investing activities (6,916,461) (603,817)
Cash Flows From Financing Activities:    
Proceeds from repurchase agreements 19,621,767 3,043,458
Principal payments on repurchase agreements (13,490,957) (2,512,357)
Proceeds from issuance of common stock, net of offering costs 1,006,755 106,826
Dividends paid on common stock (63,561) (16,930)
Net cash provided by financing activities 7,074,004 620,997
Net increase in cash and cash equivalents 246,047 40,094
Cash and cash equivalents at beginning of period 163,900 26,105
Cash and cash equivalents at end of period 409,947 66,199
Supplemental Disclosure of Cash Flow Information:    
Cash paid for interest 8,923 2,251
Cash paid for taxes 1 (497)
Non-Cash Financing Activity:    
Dividends Payable, Amount $ 56,235 $ 10,189