Annual report pursuant to Section 13 and 15(d)

CONSOLIDATED BALANCE SHEETS

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CONSOLIDATED BALANCE SHEETS (USD $)
In Thousands, unless otherwise specified
Dec. 31, 2011
Dec. 31, 2010
ASSETS    
Available-for-sale securities, at fair value $ 6,249,252 $ 1,354,405
Trading securities, at fair value 1,003,301 199,523
Mortgage loans held for sale 5,782 0
Cash and cash equivalents 360,016 163,900
Total earning assets 7,618,351 1,717,828
Restricted cash 166,587 22,548
Accrued interest receivable 23,437 5,383
Due from counterparties 32,587 12,304
Derivative assets, at fair value 251,856 38,109
Other assets 7,566 1,260
Total Assets 8,100,384 1,797,432
Liabilities    
Repurchase agreements 6,660,148 1,169,803
Derivative liabilities, at fair value 49,080 158
Accrued interest payable 6,456 785
Due to counterparties 45,565 231,724
Accrued expenses and other liabilities 8,912 2,063
Dividends payable 56,239 10,450
Income taxes payable 3,898 1
Total liabilities 6,830,298 1,414,984
Stockholders' Equity    
Preferred stock, par value $0.01per share; 50,000,000 shares authorized; no shares issued and outstanding 0 0
Common stock, par value $0.01per share; 450,000,000 shares authorized and 92,277,991 and 40,501,212 shares issued and outstanding, respectively 1,406 405
Additional paid-in capital 1,373,099 366,974
Accumulated other comprehensive income (58,716) 22,619
Cumulative earnings 157,452 30,020
Cumulative distributions to stockholders (203,155) (37,570)
Total stockholders’ equity 1,270,086 382,448
Total Liabilities and Stockholders’ Equity $ 8,100,384 $ 1,797,432