CYS Investments, Inc. Announces Third Quarter 2012 Financial Results

Hedging

The Company utilizes interest rate swap and cap contracts to hedge the interest rate risk associated with its Agency RMBS portfolio. As of September 30, 2012, the Company had entered into 20 interest rate swap contracts with an aggregate notional amount of $7.0 billion, a weighted average fixed rate of 1.298%, and a weighted average expiration of 2.7 years. At September 30, 2012, the Company had entered into ten interest rate cap contracts with a notional amount of $3.4 billion, a weighted average cap rate of 1.622%, and a weighted average expiration of 6.8 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			1.600	%			0.427	%			$	100,000				$	(822	)
The Royal Bank of Scotland plc			6/30/2013			1.378	%			0.362	%			300,000					(2,315		)
The Royal Bank of Scotland plc			7/15/2013			1.365	%			0.455	%			300,000					(2,425		)
Goldman Sachs			12/15/2013			1.309	%			0.389	%			400,000					(4,670		)
Goldman Sachs			12/16/2013			1.264	%			0.389	%			400,000					(4,452		)
The Royal Bank of Scotland plc			12/16/2013			1.281	%			0.389	%			500,000					(5,625		)
Deutsche Bank Group			12/17/2013			1.323	%			0.389	%			400,000					(4,717		)
The Royal Bank of Scotland plc			7/1/2014			1.720	%			0.461	%			100,000					(2,377		)
Nomura Global Financial Products, Inc.			7/16/2014			1.733	%			0.455	%			250,000					(6,137		)
Deutsche Bank Group			8/16/2014			1.353	%			0.437	%			200,000					(3,711		)
Goldman Sachs			9/23/2014			1.312	%			0.373	%			500,000					(9,342		)
Deutsche Bank Group			10/6/2014			1.173	%			0.460	%			240,000					(3,875		)
Goldman Sachs			2/14/2015			2.145	%			0.437	%			500,000					(20,823		)
Nomura Global Financial Products, Inc.			6/2/2016			1.940	%			0.418	%			300,000					(15,471		)
Morgan Stanley Capital Services, Inc. (2)			12/19/2016			1.426	%			0.376	%			250,000					(7,961		)
Credit Suisse International (3)			4/24/2017			1.310	%			0.361	%			500,000					(11,536		)
Credit Suisse International			7/13/2017			0.860	%			0.456	%			750,000					(4,835		)
BNP Paribas			9/6/2017			0.768	%			0.412	%			250,000					(124		)
Deutsche Bank Group			9/6/2017			0.775	%			0.412	%			500,000					(443		)
The Bank of Nova Scotia			9/6/2017			0.765	%			0.412	%			250,000					(64		)
Total														$	6,990,000				$	(111,725	)
Interest Rate Caps			Expiration											Notional					Fair
Counterparty			Date							Cap Rate				Amount					Value
The Royal Bank of Scotland plc			12/30/2014							2.073	%			$	200,000				$	64
The Royal Bank of Scotland plc			10/15/2015							1.428	%			300,000					489
The Royal Bank of Scotland plc			11/8/2015							1.360	%			200,000					374
Credit Suisse International			5/23/2019							2.000	%			300,000					7,007
Wells Fargo Bank, N.A.			6/1/2019							1.750	%			300,000					7,998
ING Capital Markets, LLC			6/29/2019							1.500	%			300,000					9,057
UBS AG			7/2/2019							1.500	%			300,000					9,389
The Royal Bank of Scotland plc			7/16/2019							1.250	%			500,000					17,770
Morgan Stanley Capital Services, Inc.			7/16/2022							1.750	%			500,000					36,610
Credit Suisse International			7/25/2022							1.750	%			500,000					36,573
Total														$	3,400,000				$	125,331

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