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CYS Investments, Inc. Announces Second Quarter 2012 Financial Results

Hedging

The Company utilizes interest rate swap and cap contracts to hedge the interest rate risk associated with the financed portion of its Agency RMBS portfolio. As of June 30, 2012, the Company had entered into 16 interest rate swap contracts with an aggregate notional amount of $5.2 billion, a weighted average fixed rate of 1.462% and a weighted average expiration of 2.3 years. At June 30, 2012, the Company had entered into seven interest rate cap contracts with a notional amount of $1.9 billion, a weighted average cap rate of 1.653% and a weighted average expiration of 5.5 years. These interest rate swap and cap contracts are described below (dollars in thousands):

 

Interest Rate Swaps

  Expiration   Fixed   Floating   Notional   Fair
Counterparty Date Pay Rate Receive Rate (1) Amount Value
The Royal Bank of Scotland plc 5/26/2013 1.6000 % 0.467 % $ 100,000 $(998 )
The Royal Bank of Scotland plc 6/30/2013 1.3775 0.461 300,000 (2,609 )
The Royal Bank of Scotland plc 7/15/2013 1.3650 0.467 300,000 (2,676 )
Goldman Sachs 12/15/2013 1.3088 0.468 400,000 (4,566 )
Goldman Sachs 12/16/2013 1.2640 0.468 400,000 (4,305 )
The Royal Bank of Scotland plc 12/16/2013 1.2813 0.468 500,000 (5,492 )
Deutsche Bank Group 12/17/2013 1.3225 0.468 400,000 (4,655 )
The Royal Bank of Scotland plc 7/1/2014 1.7200 0.461 100,000 (2,328 )
Nomura Global Financial Products, Inc. 7/16/2014 1.7325 0.467 250,000 (6,017 )
Deutsche Bank Group 8/16/2014 1.3530 0.466 200,000 (3,389 )
Goldman Sachs 9/23/2014 1.3120 0.468 500,000 (8,293 )
Deutsche Bank Group 10/6/2014 1.1725 0.469 240,000 (3,287 )
Goldman Sachs 2/14/2015 2.1450 0.467 500,000 (20,299 )
Nomura Global Financial Products, Inc. 6/2/2016 1.9400 0.467 300,000 (13,722 )
Morgan Stanley Capital Services, Inc. (2) 12/19/2016 1.4263 0.509 250,000 (5,117 )
Credit Suisse International (3) 4/24/2017 1.3100 0.537 500,000   (5,584 )
Total $ 5,240,000   $(93,337 )

Interest Rate Caps

Expiration Notional Fair
Counterparty Date Cap Rate Amount Value
The Royal Bank of Scotland plc 12/30/2014 2.0725 % $ 200,000 $ 147
The Royal Bank of Scotland plc 10/15/2015 1.4275 300,000 987
The Royal Bank of Scotland plc 11/8/2015 1.3600 200,000 750
Credit Suisse International 5/23/2019 2.0000 300,000 8,801
Wells Fargo Bank, N.A. 6/1/2019 1.7500 300,000 10,043
ING Capital Markets, LLC 6/29/2019 1.5000 300,000 11,441
UBS AG 7/2/2019 1.5000 300,000   11,702  
Total $ 1,900,000   $ 43,871  

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