Quarterly report pursuant to Section 13 or 15(d)

CONSOLIDATED STATEMENTS OF CASH FLOWS

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CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)
 3 Months Ended
Mar. 31, 2012
Mar. 31, 2011
Cash Flows From Operating Activities:    
Net income $ 51,800,000 $ 22,377,000
Adjustments to reconcile net income to net cash provided by (used in) operating activities:    
Amortization of premiums and discounts on RMBS, net (5,925,000) 2,467,000
Other-than-temporary impairment losses 4,275,000 0
Gain on investment securities, net (9,931,000) (1,539,000)
Loss (gain) on termination of interest rate swaps and swaptions 11,265,000 (1,253,000)
Unrealized loss (gain) on interest rate swaps and swaptions 212,000 (3,838,000)
Unrealized loss (gain) on other derivative instruments 8,026,000 (1,971,000)
Unrealized loss on mortgage loans (45,000) 0
Equity based compensation expense (60,070) (62,498)
Depreciation of real estate 1,000 0
Proceeds from repayment of mortgage loans held-for-sale (26,000) 0
Net change in:    
Increase in accrued interest receivable (7,364,000) (5,627,000)
Increase in deferred income taxes, net 638,000 482,000
Increase in current tax receivable (7,952,000) 0
Decrease in prepaid and fixed assets 38,000 204,000
Increase in accrued interest payable, net 2,858,000 520,000
Increase in escrow deposits (8,496,000) 0
(Decrease)/increase in income taxes payable (3,898,000) 275,000
Increase in accrued expenses 583,000 934,000
Net cash provided by operating activities 36,261,000 13,093,000
Cash Flows From Investing Activities:    
Purchases of available-for-sale securities (3,065,659,000) (1,636,366,000)
Proceeds from sales of available-for-sale securities 170,102,000 71,405,000
Principal payments on available-for-sale securities 130,002,000 44,659,000
Purchases of other derivative instruments (124,323,000) (70,302,000)
Proceeds from sales of other derivative instruments 14,354,000 11,342,000
Purchases of trading securities 0 (299,337,000)
Proceeds from sales of trading securities 0 199,500,000
Purchases of investments in real estate (6,108,000) 0
Increase in due to counterparties, net 349,370,000 97,269,000
Decrease (increase) in restricted cash 12,304,000 (16,443,000)
Net cash used in investing activities (2,519,958,000) (1,598,273,000)
Cash Flows From Financing Activities:    
Proceeds from repurchase agreements 10,564,948,000 3,131,249,000
Principal payments on repurchase agreements 8,531,340,000 1,685,022,000
Proceeds from issuance of common stock, net of offering costs 692,000,000 287,766,000
Dividends paid on common stock (56,239,000) (10,450,000)
Net cash provided by financing activities 2,669,369,000 1,723,543,000
Net increase in cash and cash equivalents 185,672,000 138,363,000
Cash and cash equivalents at beginning of period 360,016,000 163,900,000
Cash and cash equivalents at end of period 545,688,000 302,263,000
Supplemental Disclosure of Cash Flow Information:    
Cash paid for interest 8,609,000 1,980,000
Cash paid for taxes 3,635,000 1,000
Non-Cash Financing Activity:    
Dividends payable 85,683,000 16,200,000
Reconciliation of mortgage loans held-for-sale:    
Mortgage loans held-for-sale at beginning of period 5,782,000 0
Proceeds from repayment of mortgage loans held-for-sale (26,000) 0
Unrealized loss on mortgage loans (45,000) 0
Mortgage loans held-for-sale at end of period $ 5,711,000 $ 0