This account is pending registration confirmation. Please click on the link within the confirmation email previously sent you to complete registration.
Need a new registration confirmation email? Click here
Stocks Under $10 with 50-100% upside potential - 14 days FREE!

CYS Investments, Inc. Announces Second Quarter 2012 Financial Results

Portfolio

At June 30, 2012, the Company’s $14.1 billion portfolio of Agency RMBS was backed by fixed-rate mortgages and hybrid adjustable-rate mortgages (“Hybrid ARMs”) with 0 to 84 months to reset. The Agency RMBS portfolio is made up of 1.1% 2009 production; 10.5% 2010 production; 42.1% 2011 production; and 46.3% 2012 production. Additional information about our Agency RMBS portfolio at June 30, 2012 is summarized below:

  Par Value   Fair Value   Weighted Average
Asset Type (in thousands) Cost/Par   Fair Value/Par   MTR(1) Coupon   CPR(2)
10 Year Fixed Rate $ 239,966 $ 253,746 $ 103.79 $ 105.74 N/A 3.50 % 15.7 %
15 Year Fixed Rate 8,130,084 8,575,298 103.34 105.48 N/A 3.38 % 14.4 %
20 Year Fixed Rate 138,700 149,688 103.14 107.92 N/A 4.50 % 21.1 %
30 Year Fixed Rate 1,832,303 1,937,542 105.43 105.74 N/A 3.87 % %

Hybrid ARMs

3,015,667   3,161,861   102.63   104.85   67.4   3.09 % 18.6 %

Total/Weighted Average

$ 13,356,720   $ 14,078,135   $ 103.47   $ 105.40   67.4   (3) 3.40 % 15.8 %

(1) MTR, or “Months to Reset” is the number of months remaining before the fixed rate on a hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMS in the portfolio reset annually.

(2) CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the constant prepayment rate is an annualized version of the prior three month prepayment rate for those bonds held at June 30, 2012. Securities with no prepayment history are excluded from this calculation.

(3) Weighted average months to reset of our hybrid ARM portfolio.

Financing, Leverage & Liquidity

At June 30, 2012, the Company had financed its portfolio with approximately $9.8 billion of borrowings under repurchase agreements with a weighted average interest rate of 0.39% and a weighted average maturity of approximately 27.3 days. In addition, the Company had payable for securities purchased of $3.1 billion. The Company’s leverage ratio at June 30, 2012 was 7.6 to 1. At June 30, 2012, the Company’s liquidity position was approximately $1,039.6 million, consisting of unpledged Agency RMBS, U.S. treasury bills and cash and cash equivalents. Below is a list of outstanding borrowings under repurchase agreements at June 30, 2012 (dollars in thousands):

Counterparty   Total Outstanding Borrowings   % of Total  

Amount At Risk (1)

  Weighted Average Maturity in Days
Bank of America Securities LLC $ 509,687 5.2 % $ 28,867 29
Bank of Nova Scotia 477,432 4.9 17,592 42
Barclays Capital, Inc. 455,563 4.7 24,499 28
BNP Paribas Securities Corp 321,138 3.3 18,030 17
Cantor Fitzgerald & Co. 206,794 2.1 12,098 11
Citigroup Global Markets, Inc. 507,343 5.2 30,171 19
Credit Suisse Securities (USA) LLC 623,242 6.4 30,245 16
Daiwa Securities America, Inc. 239,800 2.5 14,820 23
Deutsche Bank Securities, Inc. 481,491 4.9 29,094 51
Goldman Sachs & Co. 657,611 6.7 36,581 34
Guggenheim Liquidity Services, LLC 261,811 2.7 16,236 21
Industrial and Commercial Bank of China Financial Services LLC 640,825 6.6 33,614 42
ING Financial Markets LLC 314,466 3.2 17,643 11
Jefferies & Company, Inc. 89,842 0.9 5,049 46
LBBW Securities LLC 186,363 1.9 10,496 52
Mitsubishi UFJ Securities (USA), Inc. 518,833 5.3 28,475 31
Mizuho Securities USA, Inc. 333,394 3.4 19,852 25
Morgan Stanley & Co. Inc. 295,705 3.0 16,237 39
Nomura Securities International, Inc. 251,848 2.6 12,906 23
RBC Capital Markets, LLC 461,531 4.7 27,512 31
South Street Securities LLC 398,060 4.1 24,472 18
The Royal Bank of Scotland PLC 167,529 1.7 10,020 11
UBS Securities LLC 658,336 6.8 37,477 17
Wells Fargo Securities, LLC   704,669   7.2   24,467   18
  $ 9,763,313   100.0   % $ 526,453  

___

(1) Equal to the fair value of pledged securities plus accrued interest income, minus the sum of repurchase agreement liabilities and accrued interest expense.

5 of 9

Select the service that is right for you!

COMPARE ALL SERVICES
Action Alerts PLUS
Try it NOW

Jim Cramer and Stephanie Link actively manage a real portfolio and reveal their money management tactics while giving advanced notice before every trade.

Product Features:
  • $2.5+ million portfolio
  • Large-cap and dividend focus
  • Intraday trade alerts from Cramer
  • Weekly roundups
TheStreet Quant Ratings
Try it NOW
Only $49.95/yr

Access the tool that DOMINATES the Russell 2000 and the S&P 500.

Product Features:
  • Buy, hold, or sell recommendations for over 4,300 stocks
  • Unlimited research reports on your favorite stocks
  • A custom stock screener
  • Upgrade/downgrade alerts
Stocks Under $10
Try it NOW

David Peltier, uncovers low dollar stocks with extraordinary upside potential that are flying under Wall Street's radar.

Product Features:
  • Model portfolio
  • Stocks trading below $10
  • Intraday trade alerts
  • Weekly roundups
Dividend Stock Advisor
Try it NOW

Jim Cramer's protege, David Peltier, identifies the best of breed dividend stocks that will pay a reliable AND significant income stream.

Product Features:
  • Diversified model portfolio of dividend stocks
  • Alerts when market news affect the portfolio
  • Bi-weekly updates with exact steps to take - BUY, HOLD, SELL
Real Money Pro
Try it NOW

All of Real Money, plus 15 more of Wall Street's sharpest minds delivering actionable trading ideas, a comprehensive look at the market, and fundamental and technical analysis.

Product Features:
  • Real Money + Doug Kass Plus 15 more Wall Street Pros
  • Intraday commentary & news
  • Ultra-actionable trading ideas
Options Profits
Try it NOW

Our options trading pros provide daily market commentary and over 100 monthly option trading ideas and strategies to help you become a well-seasoned trader.

Product Features:
  • 100+ monthly options trading ideas
  • Actionable options commentary & news
  • Real-time trading community
  • Options TV
To begin commenting right away, you can log in below using your Disqus, Facebook, Twitter, OpenID or Yahoo login credentials. Alternatively, you can post a comment as a "guest" just by entering an email address. Your use of the commenting tool is subject to multiple terms of service/use and privacy policies - see here for more details.
Submit an article to us!
DOW 16,563.30 -317.06 -1.88%
S&P 500 1,930.67 -39.40 -2.00%
NASDAQ 4,369.7730 -93.1290 -2.09%

Brokerage Partners

Rates from Bankrate.com

  • Mortgage
  • Credit Cards
  • Auto

Free Newsletters from TheStreet

My Subscriptions:

After the Bell

Before the Bell

Booyah! Newsletter

Midday Bell

TheStreet Top 10 Stories

Winners & Losers

Register for Newsletters
Top Rated Stocks Top Rated Funds Top Rated ETFs