Annual report pursuant to Section 13 and 15(d)

CONSOLIDATED STATEMENTS OF CASH FLOWS

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CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)
 12 Months Ended
Dec. 31, 2011
Dec. 31, 2010
Dec. 31, 2009
Cash Flows From Operating Activities:      
Net income (loss) $ 127,432,000 $ 35,755,000 $ (8,744,000)
Adjustments to reconcile net income to net cash provided by operating activities:      
Amortization of premiums and discounts on RMBS, net (235,000) 2,455,000 528,000
Other-than-temporary impairment loss 5,102,000 0 0
Gain on investment securities, net (36,520,000) (6,127,000) (336,000)
Loss on termination of interest rate swaps and swaptions 16,970,000 4,446,000 0
Unrealized gain on interest rate swaps and swaptions 44,916,000 (1,425,000) (364,000)
Unrealized gain on other derivative instruments 7,424,000 (784,000) 0
Equity based compensation expense (278,784) (213,545) (21,644)
Net change in:      
Increase in accrued interest receivable (18,054,000) (2,803,000) (2,580,000)
Increase in deferred income taxes, net (5,837,000) (678,000) 124,000
Decrease/(increase) in prepaid tax asset 0 490,000 (442,000)
Increase in prepaid tax asset (157,000) 0 0
Decrease in prepaid and fixed assets (312,000) (134,000) (521,000)
Increase in accrued interest payable, net 5,671,000 671,000 114,000
Increase in income taxes payable, net 3,897,000 1,000 0
Increase in accrued expenses and other liabilities 6,849,000 1,033,000 837,000
Net cash provided by operating activities 151,643,000 33,114,000 (11,362,000)
Cash Flows From Investing Activities:      
Purchases of available-for-sale securities (6,321,303,000) (1,363,078,000) (503,064,000)
Proceeds from sales of available-for-sale securities 1,046,628,000 415,824,000 2,464,000
Principal payments on available-for-sale securities 323,294,000 114,704,000 4,993,000
Purchases of other derivative instruments (285,350,000) (56,461,000) 0
Proceeds from sales of other derivative instruments 51,214,000 16,638,000 0
Purchases of trading securities (2,019,884,000) (258,189,000) 0
Proceeds from sales of trading securities 1,222,959,000 58,516,000 0
Decrease in due to/from counterparties, net (206,442,000) 224,297,000 (4,878,000)
Increase in restricted cash (144,039,000) (13,635,000) 250,219,000
Decrease in cash held in trust account, interest and dividend income available for working capital and taxes 0 0 86,000
Net cash used in investing activities (6,332,923,000) (861,384,000) (250,180,000)
Cash Flows From Financing Activities:      
Proceeds from repurchase agreements 29,792,780,000 4,893,467,000 411,893,000
Common stock converted to cash at business combination 0 0 (67,858,000)
Common stock repurchases through forward sales agreements 0 0 (59,167,000)
Principal payments on repurchase agreements 24,302,435,000 4,135,557,000 0
Proceeds from issuance of common stock, net of offering costs 1,006,847,000 235,275,000 1,000
Dividends paid on common stock (119,796,000) (27,120,000) 0
Net cash provided by financing activities 6,377,396,000 966,065,000 284,869,000
Net increase in cash and cash equivalents 196,116,000 137,795,000 23,327,000
Cash and cash equivalents at beginning of period 163,900,000    
Cash and cash equivalents at end of period 360,016,000 163,900,000  
Supplemental Disclosure of Cash Flow Information:      
Cash paid for interest 17,039,000 3,750,000 18,000
Cash paid (received) for taxes 991,000 (497,000) 0
Non-Cash Financing Activity:      
Dividends Payable, Amount 56,239,000 10,450,000  
Accretion of trust account income relating to common stock subject to conversion 0 0 (92,872)
Reconciliation of mortgage loans held-for-sale      
Mortgage loans held-for-sale at beginning of year 0    
Purchases of mortgage loans (5,782,000) 0 0
Mortgage loans held-for-sale at end of year $ 5,782,000 $ 0