This Day On The Street
Continue to site right-arrow
ADVERTISEMENT
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
$1 buys you full access to ALL of TheStreet's Subscription Services! Learn More

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  

_______________

6 of 10

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 17,810.06 +91.06 0.51%
S&P 500 2,063.50 +10.75 0.52%
NASDAQ 4,712.97 +11.1030 0.24%

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