Quarterly report pursuant to Section 13 or 15(d)

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (USD $)
In Thousands, except Share data, unless otherwise specified
 3 Months Ended 6 Months Ended
Jun. 30, 2013
Jun. 30, 2012
Jun. 30, 2013
Jun. 30, 2012
Interest income:        
Available-for-sale securities $ 134,651 $ 104,319 $ 264,943 $ 188,533
Trading securities 1,261 1,250 2,525 2,300
Mortgage loans held-for-sale 4,794 126 6,112 195
Mortgage loans held-for-investment in securitization trust 4,369 0 6,023 0
Cash and cash equivalents 250 209 557 377
Total interest income 145,325 105,904 280,160 191,405
Interest expense:        
Repurchase agreements 22,553 15,527 45,571 26,994
Collateralized borrowings in securitization trust 2,169 0 2,987 0
Total interest expense 24,722 15,527 48,558 26,994
Net interest income 120,603 90,377 231,602 164,411
Other-than-temporary impairments:        
Total other-than-temporary impairment losses (1,426) (4,476) (1,662) (8,751)
Non-credit portion of loss recognized in other comprehensive income (loss) 0 0 0 0
Net other-than-temporary credit impairment losses (1,426) (4,476) (1,662) (8,751)
Other income:        
Gain on investment securities 50,863 1,789 77,831 11,720
Gain (loss) on interest rate swap and swaption agreements 259,826 (61,014) 278,798 (77,207)
Gain (loss) on other derivative instruments 62,283 (7,577) 45,621 (16,480)
Gain (loss) on mortgage loans held-for-sale (35,142) 10 (20,819) (22)
Other income 1,810 0 8,099 0
Total other income (loss) 339,640 (66,792) 389,530 (81,989)
Expenses:        
Management fees 12,591 7,610 17,352 14,353
Securitization deal costs 0 0 2,028 0
Other operating expenses 9,486 3,919 16,047 7,470
Total expenses 22,077 11,529 35,427 21,823
Income from continuing operations before income taxes 436,740 7,580 584,043 51,848
Provision for (benefit from) income taxes 49,119 (16,605) 54,083 (24,183)
Net income from continuing operations 387,621 24,185 529,960 76,031
Income (loss) from discontinued operations 1,016 (181) 2,393 (227)
Net income attributable to common stockholders 388,637 24,004 532,353 75,804
Basic earnings per weighted average common share:        
Continuing operations $ 1.06 $ 0.11 $ 1.58 $ 0.38
Discontinued operations $ 0.00 $ 0.00 $ 0.01 $ 0.00
Net income $ 1.06 $ 0.11 $ 1.59 $ 0.38
Diluted earnings per weighted average common share:        
Continuing operations $ 1.06 $ 0.11 $ 1.57 $ 0.38
Discontinued operations $ 0.00 $ 0.00 $ 0.01 $ 0.00
Net income $ 1.06 $ 0.11 $ 1.58 $ 0.38
Dividends declared per common share $ 0.31 $ 0.40 $ 0.63 $ 0.80
Basic weighted average number of shares of common stock 365,589,300 214,810,579 335,603,697 200,833,084
Diluted weighted average number of shares of common stock 366,057,203 214,810,579 336,677,044 200,833,084
Comprehensive income (loss):        
Net income attributable to common stockholders 388,637 24,004 532,353 75,804
Other comprehensive income (loss):        
Unrealized gain (loss) on available-for-sale securities, net (534,713) 117,604 (430,461) 261,514
Other comprehensive income (loss) (534,713) 117,604 (430,461) 261,514
Comprehensive income (loss) $ (146,076) $ 141,608 $ 101,892 $ 337,318