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(a)	See Note 2 and Note 3 in Notes to Consolidated Financial Statements.

(b)	At June 30, 2013, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 97.77%, 37.76%, and 12.09% of equity, respectively.

(c)	In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.

(d)	At June 30, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 80.46% and 7.62% of equity, respectively.

(e)	For long credit default swaps on asset-backed indices, the Company sold protection.

(f)	For long credit default swaps on corporate bond indices, the Company sold protection.

(g)	For short credit default swaps on asset-backed securities, the Company purchased protection.

(h)	For short credit default swaps on asset-backed indices, the Company purchased protection.

(i)	For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.

(j)	For short credit default swaps on corporate bond indices, the Company purchased protection.

(k)	Notional value represents number of underlying shares or par value times the closing price of the underlying security.

(l)	Every $1,000,000 in notional value represents one contract.

(m)	Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013 67 contracts were held.

(n)	Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013 229 contracts were held.

(o)	Includes a loan with a fair value in the amount of $5.0 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan.

(p)

The table below shows the ratings on the Company's long investments, excluding common stock, from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."

(q)	Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.

(r)	Classification percentages are based on Total Equity.

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(a)	See Note 2 and Note 3 in Notes to Consolidated Financial Statements.

(b)	At December 31, 2012, the Company’s long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 119.78%, 40.49%, and 1.25% of equity, respectively.

(c)	In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.

(d)	At December 31, 2012, the Company’s short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 105.27% and 14.95% of equity, respectively.

(e)	For long credit default swaps on asset-backed indices, the Company sold protection.

(f)	For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received.

(g)	For short credit default swaps on asset-backed securities, the Company purchased protection.

(h)	For short credit default swaps on asset-backed indices, the Company purchased protection.

(i)	For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.

(j)	For short credit default swaps on corporate bond indices, the Company purchased protection.

(k)	Notional value represents number of underlying shares or par value times the closing price of the underlying security.

(l)	Every $1,000,000 in notional value represents one contract.

(m)	Includes a loan with a fair value in the amount of $4.9 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan.

(n)

The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."

(o)	Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.

(p)	Classification percentages are based on Total Equity.

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(1)	For the six month periods ended June 30, 2013 and 2012, dividends totaling $2.29 and $1.10, respectively, per common share and convertible unit outstanding were declared and paid.

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•	Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets,

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•	Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and

•	Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement.

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(1)	Includes securitized debt with a fair value of $1.2 million as of June 30, 2013.

(2)	Shown in basis points.

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(1)	Includes securitized debt with a fair value of $1.3 million as of December 31, 2012.

(2)	Shown in basis points.

(3)	For simplicity of presentation, net negative amortization is disregarded.

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(1)	Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.

(2)

The notional value is the maximum amount that a seller of credit indices would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under an credit index contract may be offset against amounts due or owed on another credit index contract with the same ISDA counterparty.

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(1)	The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings.

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(1)	In the Company’s Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis.

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(2)

Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase and reverse repurchase agreements. For the purposes of the table above, total financial instruments and cash collateral (received) pledged can not exceed the gross amount of assets and (liabilities) as presented above. Therefore we have reduced the amount of financial instruments related to our repurchase and reverse repurchase agreements in the table above. Total financial instruments for June 30, 2013 and December 31, 2012 were $1.48 billion and $1.05 billion, respectively.

(3)	As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty.

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(1)	Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 9).

(2)	Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP unit holders.

(3)	If all LTIP units and OP units (if applicable) previously issued were vested and exchanged for common shares as of June 30, 2013 and 2012, shareholders' equity per share would be $24.51 and $23.47, respectively.

(1)	Total return is calculated for all shareholders' equity accounts taken as a whole for each period. Total return is calculated assuming reinvestment of all distributions at shareholders' equity per share during the period.

(1)	Total return is calculated assuming all LTIP and OP units had been converted into common shares at June 30, 2013. Total return represents all shareholders' equity accounts outstanding for the entire period. LTIP and OP units outstanding at June 30, 2013 totaled 609,096 and represent 2.34% of total common shares and LTIP and OP units outstanding as of that date.

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(1)	Average equity is calculated using month end values.

(2)	Includes incentive fee in calculation which can vary substantially over periods.

(1)	Average equity is calculated using month end values.

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•

Federal Reserve and Monetary Policy—On June 19, 2013, the U.S. Federal Reserve, or the "Federal Reserve," reiterated its intention to continue its accommodative monetary policies, although its assessment of the state of the U.S. economy was more optimistic in tone than previous statements, and there has been increased speculation that the Federal Reserve's bond purchase programs will end sooner than previously expected;

•	Housing and Mortgage Market Statistics—In the first quarter of 2013, mortgage delinquency rose while foreclosure rates continued to fall, and through the first half of 2013, home prices continued to trend higher and the general consensus remains that the U.S. housing market is in the midst of a sustained recovery;

•	Mortgage Rates—During the second quarter of 2013, U.S. mortgage rates reached their highest points in the last two years, causing a sharp decline in mortgage refinance applications;

•

Government Sponsored Enterprise, or "GSE," Developments—Recent developments include proposed legislation introduced into the U.S. Senate that, if enacted, would over time replace Fannie Mae and Freddie Mac in favor of a government sponsored reinsurer of MBS that would act as a backstop to private capital in a crisis; the sale of non-Agency MBS from the GSEs' held portfolios; and as part of the Federal Housing Finance Agency, or the "FHFA's,"

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•	Government Homeowner Assistance Programs—In April 2013, the FHFA announced a two year extension to the expiration of the Home Affordable Refinance Program, or "HARP," from December 2013 to December 2015; a similar extension was announced for the Home Affordable Modification Program, or "HAMP"; and

•	Liquidity and Valuations—Non-Agency and Agency MBS experienced meaningful price declines during the second quarter as a result of increasing market speculation that the Federal Reserve will soon wind down its asset purchase program and other accommodative monetary policies.

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(1)	Source: Based on Mortgage Bankers Association, National Delinquency Survey press releases issued May 9, 2013 and February 21, 2013.

(2)	Includes loans that are at least one payment past due but does not include loans in foreclosure, seasonally adjusted.

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(1)	Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.

(2)	Excludes Interest Only, Principal Only, and Other Private Label securities.

(3)	Excludes equity tranches and similar securities.

(4)	Excludes Interest Only securities and TBAs.

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(1)	Long mortgage-related derivatives represent transactions where we sold credit protection to a counterparty.

(2)	Short mortgage-related derivatives represent transactions where we purchased credit protection from a counterparty.

(3)	For long interest rate swaps, a floating rate is being paid and a fixed rate is being received.

(4)	For short interest rate swaps, a fixed rate is being paid and a floating rate is being received.

(5)	Notional value represents number of underlying shares or par value times the closing price of the underlying security.

(6)	Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013, a total of 296 contracts were held.

(7)	Every $1,000,000 in notional value represents one contract.

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*	Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

**	Users of this data are advised pursuant to Rule 406T of Regulation S-T that this interactive data file is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections.

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*	Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

**	Users of this data are advised pursuant to Rule 406T of Regulation S-T that this interactive data file is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections.