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CYS Investments, Inc. Announces Third Quarter 2012 Financial Results

Stocks in this article: CYS

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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