18. SUMMARIZED QUARTERLY RESULTS (UNAUDITED)

The following is a presentation of the quarterly results of operations for the year ended December 31, 2011.

	March 31, 2011			June 30, 2011			September 30, 2011			December 31, 2011
	(dollars in thousands, expect per share amounts)
Interest income:
Investments	$	837,880		$	948,703		$	926,558		$	844,874
U.S. Treasury Securities		4,825			6,497			2,302			1,082
Securities loaned		1,343			1,868			1,942			1,744
Total interest income		844,048			957,068			930,802			847,700

Interest expense:
Repurchase agreements		102,602			100,164			109,014			114,989
Convertible Senior Notes		6,767			6,900			8,798			12,552
U.S. Treasury Securities sold, not yet purchased		4,986			4,772			2,109			1,214
Securities borrowed		1,101			1,484			1,496			1,378
Total interest expense		115,456			113,320			121,417			130,133

Net interest income		728,592			843,748			809,385			717,567
Other income (loss):
Investment advisory and other fee income		17,207			20,710			20,828			20,460
Net gains (losses) on sales of Agency mortgage-backed securities and debentures		27,185			7,336			91,668			80,657
Dividend income from affiliates		6,297			8,230			8,706			8,283
Net gains (losses) on trading assets		18,812			(5,712	)		1,942			6,356
Net unrealized gains (losses) on Agency interest-only mortgage-backed securities		-			276			(39,321	)		(67,612	)
Income (expense) from underwriting		2,904			(77	)		2,772			19
Subtotal		72,405			30,763			86,595			48,163
Realized gains (losses) on interest rate swaps(1)		(206,148	)		(216,760	)		(231,849	)		(227,638	)
Unrealized gains (losses) on interest rate swaps		169,308			(466,943	)		(1,505,333	)		(12,139	)
Subtotal		(36,840	)		(683,703	)		(1,737,182	)		(239,777	)
Total other income (loss)		35,565			(652,940	)		(1,650,587	)		(191,614	)
Expenses:
Compensation expense		44,530			49,752			57,629			54,340
Other general and administrative expenses		7,297			7,477			7,565			8,754
Total General and administrative expenses		51,827			57,229			65,194			63,094

Income (loss) before income taxes and income from equity method investment in affiliate		712,330			133,579			(906,396	)		462,859

Income taxes		(13,575	)		(12,762	)		(15,417	)		(17,297	)
Income from equity method investment in affiliate		1,140			-			-			-

Net income (loss)		699,895			120,817			(921,813	)		445,562

Dividends on preferred stock		4,267			4,267			4,172			4,148

Net income (loss) available (related) to common shareholders	$	695,628		$	116,550		$	(925,985	)	$	441,414

Net income (loss) available (related) per share to common shareholders:
Basic	$	0.92		$	0.14		$	(0.98	)	$	0.46
Diluted	$	0.89		$	0.14		$	(0.98	)	$	0.44

Weighted average number of common shares outstanding:
Basic		752,413,605			822,623,370			948,545,975			970,056,491
Diluted		790,993,841			827,754,731			948,545,975			1,011,495,682
Net income (loss)	$	699,895		$	120,817		$	(921,813	)		445,562
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		(142,227	)		1,047,639			1,115,325			16,157
Unrealized losses on interest rate swaps		14,298			-			-			-
Reclassification adjustment for net (gains) losses included in net income (loss)		(27,185	)		(7,336	)		(91,668	)		(80,657	)
Other comprehensive income (loss)		(155,114	)		1,040,303			1,023,657			(64,500	)
Comprehensive income (loss)	$	544,781		$	1,161,120		$	101,844		$	381,062

(1)	Interest expense related to the Company’s interest rate swaps is recorded in Realized losses on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss).

The following is a presentation of the quarterly results of operations for the year ended December 31, 2010.

	March 31,			June 30,			September 30,			December 31,
	2010			2010			2010			2010
	(dollars in thousands, expect per share amounts)

Interest income:
Investments	$	653,935		$	642,782		$	700,964		$	678,626
U.S. Treasury Securities		-			40			751			2,039
Securities loaned		454			860			1,261			1,422
Total interest income		654,389			643,682			702,976			682,087

Interest expense:
Repurchase agreements		92,089			96,975			105,393			103,514
Convertible Senior Notes		3,195			6,966			7,033			7,034
U.S. Treasury Securities sold, not yet purchased		-			24			459			2,166
Securities borrowed		387			742			1047			1,201
Total interest expense		95,671			104,707			113,932			113,915

Net interest income		558,718			538,975			589,044			568,172
Other income (loss):
Investment advisory and service fees		12,546			13,863			15,343			16,321
Net gains (losses) on sales of Agency mortgage backed security and debentures		46,962			39,041			61,986			33,802
Dividend income		7,964			7,330.			8,097			7,647
Net gains (losses) on trading assets		-			77			1,082			(3,510	)
Income from underwriting		-			500			915			680
Subtotal		67,472			60,811			87,423			54,940
Realized gains (losses) on interest rate swaps(1)		(180,838	)		(175,535	)		(188,636	)		(190,098	)
Unrealized gains (losses) on interest rate swaps		(116,732	)		(593,038	)		(448,253	)		839,191
Subtotal		(297,570	)		(768,573	)		(636,889	)		649,093
Total other (loss) income		(230,098	)		(707,762	)		(549,466	)		704,033
Expenses:
Distribution fees		360			-			-			-
Compensation expense		34,267			35,080			37,419			40,193
General and administrative expenses		5,754			6,460			6,011			6,303
Total expenses		40,381			41,540			43,430			46,496

Income (loss) before income taxes and income from equity method investment in affiliate		288,239			(210,327	)		(3,852	)		1,225,709

Income taxes		(7,314	)		(8,837	)		(11,076	)		(8,207	)
Income (loss) from equity method investment in affiliate		140			935			868			1,002

Net income (loss)		281,065			(218,229	)		(14,060	)		1,218,504

Dividends on preferred stock		4,625			4,625			4,515			4,268
Net income (loss) available (related) to common shareholders	$	276,440		$	(222,854	)	$	(18,575	)	$	1,214,236
Net income (loss) available (related) per share to common shareholders:
Basic	$	0.50		$	(0.40	)	$	(0.03	)	$	1.94
Diluted	$	0.49		$	(0.40	)	$	(0.03	)	$	1.84
Weighted average number of common shares outstanding:
Basic		554,995,092			559,700,836			611,904,518			625,138,510
Diluted		575,859,564			559,700,836			611,904,518			662,476,638
Net income (loss)	$	281,065		$	(218,229	)	$	(14,060	)	$	1,218,504
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		7,416			664,544			(619,080	)		(692,663	)
Unrealized losses on interest rate swaps		36,081			26,846			18,402			13,570
Reclassification adjustment for net (gains) losses included in net income (loss)		(46,962	)		(39,041	)		(61,986	)		(33,802	)
Other comprehensive income (loss)		(3,465	)		652,349			(662,664	)		(712,895	)
Comprehensive income (loss)	$	277,600		$	434,120		$	(676,724	)	$	505,609

(1)	Interest expense related to the Company’s interest rate swaps is recorded in Realized losses on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss).