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CYS Investments, Inc. Announces Second Quarter 2012 Financial Results

(1) Resets quarterly to 3-Month LIBOR

(2) The interest rate swap effective date is December 19, 2012 and does not accrue any income or expense until that date.

(3) The interest rate swap effective date is April 24, 2013 and does not accrue any income or expense until that date.

Conference Call

The Company will host a conference call at 9:00 AM Eastern Time on Thursday, July 19, 2012, to discuss its financial results for the quarter ended June 30, 2012. To participate in the event by telephone, please dial 866.713.8563 at least 10 minutes prior to the start time and reference the conference passcode 30403304. International callers should dial 617.597.5311 and reference the same passcode. The conference call will also be webcast live over the Internet and can be accessed at the Company’s web site at To listen to the live webcast, please visit at least 15 minutes prior to the start of the call to register, download, and install necessary audio software. A dial-in replay will be available on Thursday, July 19, 2012, at approximately 12:00 PM Eastern Time through Thursday, August 2, 2012, at approximately 11:00 AM Eastern Time. To access this replay, please dial 888.286.8010 and enter the conference ID number 57013594. International callers should dial 617.801.6888 and enter the same conference ID number. A replay of the conference call will also be archived on the Company’s website at

About CYS Investments, Inc.

CYS Investments, Inc. is a specialty finance company that invests on a leveraged basis in residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. The Company refers to these securities as Agency RMBS. CYS Investments, Inc. has elected to be taxed as a real estate investment trust for federal income tax purposes.


(In thousands, except per share numbers) June 30, 2012 March 31, 2012 December 31, 2011*

Investments in securities, at fair value (including pledged  assets of $10,066,807, $8,806,898 and $8,412,295,  respectively)
$ 14,162,935 $ 13,388,839 $ 9,466,128
Interest rate cap contracts, at fair value 43,871 4,548 5,966
Cash and cash equivalents 13,846 10,643 11,508

Receivable for securities sold and principal repayments(including pledged assets of $354,838, $0 and $0,respectively)
365,583 116,918 5,550
Interest receivable 35,472 34,152 27,815
Other assets 1,421   805   1,090
Total assets 14,623,128   13,555,905   9,518,057
Repurchase agreements 9,763,313 8,234,669 7,880,814
Interest rate swap contracts, at fair value 93,337 84,941 79,476
Payable for securities purchased 3,058,300 3,634,983 463,302
Distribution payable 59,465 58,069 -

Accrued interest payable (including accrued interest onrepurchase agreements of $3,920, $2,425 and $3,747,respectively
15,696 15,564 15,617
Accrued expenses and other liabilities 3,163   1,887   1,390
Total liabilities 12,993,274   12,030,113   8,440,599
NET ASSETS $ 1,629,854   $ 1,525,792   $ 1,077,458
Net assets consist of:

Common Stock, $0.01 par value, 500,000 shares authorized(120,595, 116,139 and 82,753 shares issued and outstanding,respectively)
$ 1,206 $ 1,161 $ 828
Additional paid in capital 1,496,613 1,434,836 997,884
Retained earnings 132,035   89,795   78,746
NET ASSETS $ 1,629,854   $ 1,525,792   $ 1,077,458
NET ASSET VALUE PER SHARE $ 13.52   $ 13.14   $ 13.02
* Derived from audited financial statements.


Three Months Ended Six Months Ended
(In thousands, except per share numbers) June 30, 2012   March 31, 2012 June 30, 2012
Interest income from Agency RMBS $ 70,352 $ 64,147 $ 134,499
Other income 1,395   1,222   2,617  
Total investment income 71,747   65,369   137,116  
Interest 8,993 6,853 15,846
Compensation and benefits 3,346 3,164 6,510
General, administrative and other 1,933   1,955   3,888  
Total expenses 14,272   11,972   26,244  
Net investment income 57,475   53,397   110,872  
Net realized gain (loss) on investments 61,113 5,173 66,286
Net unrealized appreciation (depreciation) on investments 7,473   27,977   35,450  
Net gain (loss) from investments 68,586   33,150   101,736  
Net swap and cap interest income (expense) (12,687 ) (11,506 ) (24,193 )
Net gain (loss) on termination of swap contracts
Net unrealized appreciation (depreciation) on swap and cap contracts (11,669 ) (5,923 ) (17,592 )
Net gain (loss) from swap and cap contracts (24,356 ) (17,429 ) (41,785 )
NET INCOME $ 101,705   $ 69,118   $ 170,823  
NET INCOME PER COMMON SHARE - DILUTED $ 0.87   $ 0.66   $ 1.54  

Core Earnings:

Core Earnings represents a non-GAAP financial measure and is defined as net income (loss) excluding net gain (loss) from investments, net gain (loss) on termination of swap contracts and net unrealized appreciation (depreciation) on swap and cap contracts. In order to evaluate the effective yield of the portfolio, management uses Core Earnings to reflect the net investment income of our portfolio as adjusted to include the net swap and cap interest income (expense). Core Earnings allows management to isolate the interest income (expense) associated with our swaps and caps in order to monitor and project our borrowing costs and interest rate spread. In addition, management utilizes Core Earnings as a key metric in conjunction with other portfolio and market factors to determine the appropriate leverage and hedging ratios, as well as the overall structure of the portfolio.

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