CYS Investments, Inc. Announces Third Quarter 2013 Financial Results

CYS Investments, Inc. (NYSE: CYS) (“CYS” or the “Company”) today announced financial results for the quarter ended September 30, 2013.

Third Quarter 2013 Summary Results
  • September 30, 2013 net asset value per common share of $10.10 after declaring a $0.34 dividend per common share on September 9, 2013.
  • September 30, 2013 leverage ratio of 6.5 to 1.
  • GAAP net income available to common shares of $25.4 million, or $0.14 per diluted common share.
  • Core Earnings plus Drop Income of $61.2 million, or $0.36 per diluted common share ($0.23 Core Earnings and $0.13 Drop Income).
  • Operating expenses of 1.13% of average net assets.
  • Interest rate spread net of hedge including drop income of 1.66%.
  • Weighted average amortized cost of Agency RMBS of $102.57.
  • The Company repurchased 5.9 million shares under its share repurchase program, with a weighted average purchase price of $7.77, for approximately $46.1 million in the aggregate.

Leverage & Liquidity

The Company continued to reduce its leverage during the quarter to minimize the adverse impacts of expected volatility in interest rates, ending the third quarter of 2013 with a leverage ratio of 6.5 to 1, compared to 7.5 to 1 at June 30, 2013.

At September 30, 2013, the Company’s liquidity position, consisting of unpledged Agency RMBS, U.S. Treasuries and cash and cash equivalents, was approximately $1.3 billion, or 65.9% of net assets, compared to $1.3 billion, or 65.4% of net assets at June 30, 2013.

Portfolio

During the third quarter of 2013, the Company reduced its Agency RMBS portfolio from $17.2 billion at June 30, 2013 to $14.4 billion at September 30, 2013. The following table details the Company's portfolio at June 30, 2013 and September 30, 2013.
  September 30, 2013     June 30, 2013  
Fair Value (in billions)   % of Total Fair Value (in billions)   % of Total
15 Year Fixed Rate $ 6.2 43 % $ 5.8 34 %
20 Year Fixed Rate 0.1 1 % 1.0 6 %
30 Year Fixed Rate 6.0 42 % 7.8 45 %
Hybrid ARMs 2.1   14 % 2.6   15 %
Total $ 14.4   100 % $ 17.2   100 %
 

At September 30, 2013, the Company’s Agency RMBS portfolio was backed by fixed-rate mortgages and hybrid adjustable-rate mortgages (“Hybrid ARMs”) with 0 to 120 months to reset. The portfolio is comprised of 68.1% 2013 production; 19.1% 2012 production; 9.8% 2011 production; 2.8% 2010 production; and 0.2% 2009 production. Additional information about our Agency RMBS portfolio at September 30, 2013 is summarized below:
  Face Value   Fair Value   Weighted Average
Asset Type (in thousands) Cost/Face   Fair Value/Face   Yield (1)   Coupon   CPR (2)
15 Year Fixed Rate $ 5,995,535 $ 6,240,505 $ 102.43 $ 104.09 2.57 % 3.14 % 15.1 %
20 Year Fixed Rate 89,615 96,644 103.08 107.84 3.48 % 4.50 % 31.3 %
30 Year Fixed Rate 5,813,529 5,985,741 102.33 102.96 3.25 % 3.70 % 4.1 %
Hybrid ARMs (3) 2,088,601   2,126,417   103.59   101.81   1.65 % 2.57 % 19.1 %
Total/Weighted Average $ 13,987,280   $ 14,449,307   $ 102.57   $ 103.30   2.72 % 3.30 % 12.4 %

__________

(1) This is a forward yield and is calculated based on the cost basis of the security at September 30, 2013.

(2) CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the constant prepayment rate is an annualized version of the prior three month prepayment rate for those bonds held at September 30, 2013. Securities with no prepayment history are excluded from this calculation.

(3) The weighted average months to reset of our Hybrid ARM portfolio was 68.9 at September 30, 2013. Months to reset is the number of months remaining before the fixed rate on a Hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMs in the portfolio reset annually.

Third Quarter 2013 Results

The Company had net income available to common shares of $25.4 million during the third quarter of 2013, or $0.14 per diluted common share, compared to net loss of $402.3 million, or $2.32 per diluted common share, in the second quarter of 2013. During the third quarter of 2013, the Company had Core Earnings plus Drop Income of $61.2 million, or $0.36 per diluted common share (Core Earnings of $39.1 million, or $0.23 per diluted common share, and Drop Income of $22.1 million, or $0.13 per diluted common share), compared to $63.4 million, or $0.37 per diluted common share (Core Earnings of $31.1 million, or $0.18 per diluted common share, and Drop Income of $32.3 million, or $0.19 per diluted common share), in the second quarter of 2013.

The Company’s interest rate spread net of hedge including drop income was 1.66% for the third quarter of 2013, compared to 1.36% for the second quarter of 2013.

The Company had a net gain from investments of $15.8 million, which included $407.7 million of net realized loss for the third quarter of 2013, compared to a net loss from investments of $656.3 million, which included $211.4 million of net realized loss, for the second quarter of 2013.

The Company’s net asset value per common share on September 30, 2013 was $10.10, after declaring a $0.34 dividend per common share on September 9, 2013, compared with $10.20 at June 30, 2013.

The Company’s operating expenses were $5.6 million, or 1.13% of average net assets, for the third quarter of 2013, compared to $5.7 million, or 0.98% of average net assets, for the second quarter of 2013. Operating expenses were stable during the quarter; however, the increase as a percentage of average net assets was a result of lower average net assets.
(dollars in thousands)   Three Months Ended
Key Balance Sheet Metrics September 30, 2013   June 30, 2013
Average settled Agency RMBS (1) $ 14,143,340 $ 15,974,500
Average total Agency RMBS (2) $ 16,135,672 $ 19,944,791
Average repurchase agreements (3) $ 12,180,713 $ 13,871,404
Average Agency RMBS liabilities (4) $ 14,173,045 $ 17,841,695
Average net assets (5) $ 1,977,424 $ 2,321,128
Average common shares outstanding (6) 170,351 174,145
Leverage ratio (at period end) (7) 6.5:1 7.5:1
 
Key Performance Metrics*
Average yield on settled Agency RMBS (8) 2.42 % 2.03 %
Average yield on total Agency RMBS including drop income (9) 2.67 % 2.27 %
Average cost of funds and hedge (10) 1.17 % 1.17 %
Adjusted average cost of funds and hedge (11) 1.01 % 0.91 %
Interest rate spread net of hedge (12) 1.25 % 0.86 %
Interest rate spread net of hedge including drop income (13) 1.66 % 1.36 %
Operating expense ratio (14) 1.13 % 0.98 %

__________

(1) The average settled Agency RMBS is calculated by averaging the month end cost basis of settled Agency RMBS during the period.

(2) The average total Agency RMBS is calculated by averaging the month end cost basis of total Agency RMBS during the period.

(3) The average repurchase agreements are calculated by averaging the month end repurchase agreements balance during the period.

(4) The average Agency RMBS liabilities are calculated by adding the average month end repurchase agreements balance plus average unsettled Agency RMBS during the period.

(5) The average net assets are calculated by averaging the month end net assets during the period.

(6) The average common shares outstanding are calculated by averaging the daily common shares outstanding during the period.

(7) The leverage ratio is calculated by dividing (i) the Company's repurchase agreements balance plus payable for securities purchased minus receivable for securities sold by (ii) net assets.

(8) The average yield on settled Agency RMBS for the period is calculated by dividing interest income from Agency RMBS by average settled Agency RMBS.

(9) The average yield on total Agency RMBS including drop income for the period is calculated by dividing interest income from Agency RMBS plus drop income by average total Agency RMBS.

(10) The average cost of funds and hedge for the period is calculated by dividing total interest expense, including net swap and cap interest income (expense), by average repurchase agreements.

(11) The adjusted average cost of funds and hedge for the period is calculated by dividing total interest expense, including net swap and cap interest income (expense), by average Agency RMBS liabilities.

(12) The interest rate spread net of hedge for the period is calculated by subtracting average cost of funds and hedge from average yield on settled Agency RMBS.

(13) The interest rate spread net of hedge including drop income for the period is calculated by subtracting adjusted average cost of funds and hedge from average yield on total Agency RMBS including drop income.

(14) The operating expense ratio for the period is calculated by dividing operating expenses by average net assets.

* All percentages are annualized.

Financing

At September 30, 2013, the Company had financed its portfolio with approximately $11.7 billion of borrowings under repurchase agreements with a weighted average interest rate of 0.39% and a weighted average maturity of approximately 44.0 days. In addition, the Company had payable for securities purchased net of receivable for securities sold of $0.9 billion. This compared to $13.8 billion of borrowings under repurchase agreements and $1.5 billion of payable for securities purchased net of receivable for securities sold at June 30, 2013. During the third quarter of 2013, the Company did not experience material changes in the availability of repurchase agreement borrowings or to haircuts on the Agency RMBS that the Company uses as collateral for such borrowings. Below is a list of outstanding borrowings under repurchase agreements at September 30, 2013 (dollars in thousands):
Counterparty   Total Outstanding Borrowings   % of Total  

% of Net Assets At Risk (1)
  Weighted Average Maturity in Days
Bank of America Securities LLC $ 676,855 5.8 % 1.9 % 45
Bank of Nova Scotia 643,785 5.5 1.0 43
Barclays Capital, Inc. 735,545 6.3 1.8 15
BNP Paribas Securities Corp 747,085 6.4 2.0 48
Cantor Fitzgerald & Co. 69,089 0.6 0.2 18
Citigroup Global Markets, Inc. 523,714 4.5 1.5 80
Credit Suisse Securities (USA) LLC 547,806 4.8 1.8 10
Daiwa Securities America, Inc. 288,108 2.5 0.8 127
Goldman Sachs & Co. 621,630 5.3 1.7 12
Guggenheim Liquidity Services, LLC 376,034 3.2 1.1 70
Industrial and Commercial Bank of China Financial Services LLC 673,294 5.7 1.7 51
ING Financial Markets LLC 696,166 5.9 2.0 38
J.P. Morgan Securities LLC 321,363 2.7 0.9 65
KGS Alpha Capital Markets 115,188 1.0 0.4 24
LBBW Securities LLC 134,102 1.1 0.5 24
Mitsubishi UFJ Securities (USA), Inc. 578,966 4.9 1.6 61
Mizuho Securities USA, Inc. 528,996 4.5 1.5 15
Morgan Stanley & Co. Inc. 680,834 5.8 1.8 58
Nomura Securities International, Inc. 379,942 3.2 1.0 94
RBC Capital Markets, LLC 614,379 5.2 1.8 49
The Royal Bank of Scotland PLC 183,892 1.6 0.6 9
South Street Securities LLC 345,988 2.9 1.3 49
UBS Securities LLC 592,119 5.0 1.6 54
Wells Fargo Securities, LLC 660,191   5.6   1.9   9
$ 11,735,071   100.0 % 32.4 %

___

(1) Equal to the fair value of pledged securities plus accrued interest income, minus the sum of repurchase agreement liabilities and accrued interest expense divided by net assets.

Hedging

The Company utilizes interest rate swap and cap contracts to hedge the interest rate risk associated with the financing of its Agency RMBS portfolio. As of September 30, 2013, the Company had entered into interest rate swap contracts with an aggregate notional amount of $7.1 billion, a weighted average fixed rate of 1.22%, and a weighted average expiration of 3.28 years. At September 30, 2013, the Company had entered into interest rate cap contracts with a notional amount of $3.9 billion, a weighted average cap rate of 1.40%, and a weighted average expiration of 5.61 years. In conjunction with reducing the leverage during the third quarter of 2013, the Company reduced the notional hedge balance outstanding at September 30, 2013 by $2.0 billion compared to June 30, 2013. All of the hedges terminated during the third quarter had a maturity of less than one year. The Company's interest rate swap and cap contracts outstanding at September 30, 2013 are described below (dollars in thousands):
Interest Rate Swaps   Weighted Average   Notional   Fair
Expiration Year Fixed Pay Rate Amount Value
2014 1.41 % $ 1,290,000 $ (12,720 )
2015 2.15 % 500,000 (12,309 )
2016 1.71 % 550,000 (14,969 )
2017 0.91 % 2,750,000 21,409
2018 1.16 % 2,000,000   20,469  
Total 1.22 % $ 7,090,000   $ 1,880  
 
Interest Rate Caps Weighted Average Notional Fair
Expiration Year Cap Rate Amount Value
2015 1.40 % $ 500,000 $ 561
2019 1.56 % 1,700,000 85,124
2020 1.25 % 1,700,000   130,307  
Total 1.40 % $ 3,900,000   $ 215,992  
 

Drop Income

Drop income is a component of our net gain (loss) from investments on our statement of operations, and is therefore excluded from Core Earnings. Drop income is the difference between the spot price and the forward settlement price for the same security on trade date. This difference is also the economic equivalent of the assumed net interest margin (yield minus financing costs) of the bond from trade date to settlement date. The Company derives drop income through utilization of forward settling transactions.

The Company had drop income of $22.1 million, or $0.13 per diluted common share during the third quarter of 2013, compared to $32.3 million, or $0.19 per diluted common share, in the second quarter of 2013. The decrease in drop income reflects the overall reduction in the portfolio and the shift to more settled bonds relative to forward settling transactions.

During the third quarter of 2013, the Federal Reserve ("the Fed"), under its quantitative easing program, purchased approximately $201.0 billion of Agency RMBS, creating a shortage of physical securities, and leading to higher current month Agency RMBS prices. Higher current month prices relative to forward month prices will increase drop income, or net interest margin available for forward settling transactions. For example, as of October 4, 2013, this shortage increased the net interest margin on forward transactions by approximately 41 basis points (annualized) on Agency RMBS backed by 30 year Fannie Mae 3.5% mortgages when compared to settling the same security in the current month.

Prepayments

The portfolio recorded $489.9 million in scheduled and unscheduled principal repayments and prepayments, which equated to a constant prepayment rate (“CPR”) of approximately 9.8% and net amortization of premium of $22.6 million for the third quarter of 2013. This compared to $689.8 million in scheduled and unscheduled principal repayments and prepayments, which equated to a CPR of approximately 12.2% and net amortization of premium of $35.7 million for the second quarter of 2013.

The CPR of the Company’s Agency RMBS portfolio was approximately 5.5% for the month of October 2013.

Dividend

The Company declared a common dividend of $0.34 per share with respect to the third quarter of 2013, unchanged from the second quarter of 2013. Using the closing share price of $8.13 on September 30, 2013, the third quarter dividend equates to an annualized dividend yield of 16.7%.

Share Repurchase Program

In November 2012, the Company's board of directors authorized the repurchase of shares of common stock having an aggregate value of up to $250 million. During the third quarter of 2013, the Company repurchased 5.9 million shares with a weighted average purchase price of $7.77, or approximately $46.1 million in the aggregate. For the nine months ended September 30, 2013, the Company repurchased 8.4 million shares with a weighted average purchase price of $8.62, or approximately $72.4 million in the aggregate. These purchases were accretive to the Company's net asset value at the time the shares were repurchased.

Conference Call

The Company will host a conference call at 9:00 AM Eastern Time on Thursday, October 17, 2013, to discuss its financial results for the quarter ended September 30, 2013. To participate in the call by telephone, please dial 888.895.5271 at least 10 minutes prior to the start time and reference the conference passcode 35845088. International callers should dial 847.619.6547 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 http://www.cysinv.com. To listen to the live webcast, please visit http://www.cysinv.com 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, October 17, 2013, at approximately 12:00 PM Eastern Time. To access this replay, please dial 888.843.7419 and enter the conference ID number 35845088#. International callers should dial 630.652.3042 and enter the same conference ID number. A replay of the conference call will also be archived on the Company’s website at http://www.cysinv.com.

About CYS Investments, Inc.

CYS Investments, Inc. is a specialty finance company that primarily 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.

Forward-Looking Statements Disclaimer

This Current Report on Form 8-K contains “forward-looking statements” made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995, including those relating to interest rate volatility, forward settling transactions, forward yield, and the effect of actions of the U.S. government, including the Fed, on our results. Forward-looking statements typically are identified by use of the terms such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may” or similar expressions. Forward-looking statements are based on the Company's beliefs, assumptions and expectations of the Company's future performance, taking into account all information currently available to the Company. The Company cannot assure you that actual results will not vary from the expectations contained in the forward-looking statements. All of the forward-looking statements are subject to numerous possible events, factors and conditions, many of which are beyond the control of the Company and not all of which are known to the Company, including, without limitation, market conditions and those described in the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2012 and Quarterly Report on Form 10-Q for the quarter ended June 30, 2013, which has been filed with the Securities and Exchange Commission. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect us. Except as required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.
 

CYS INVESTMENTS, INC.

STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
 
(In thousands, except per share numbers)  

September 30, 2013
 

June 30, 2013
 

March 31, 2013
 

December 31, 2012*
ASSETS:  
Investments in securities, at fair value (including pledged assets of $12,407,463, $14,696,745, $14,587,741 and $14,831,648, respectively) $ 14,456,252 $ 17,218,204 $ 20,301,944 $ 20,861,718
Derivative assets, at fair value 267,409 365,067 135,427 124,169
Cash and cash equivalents 10,597 11,302 13,463 13,882
Receivable for securities sold and principal repayments 744,491 4,583,565 414,936 10,343
Interest receivable 38,773 44,212 44,817 46,558
Other assets 892   1,175     542   826
Total assets 15,518,414   22,223,525     20,911,129   21,057,496
LIABILITIES:
Repurchase agreements 11,735,071 13,809,319 13,760,475 13,981,307
Derivative liabilities, at fair value 49,537 54,242 58,464 98,575
Payable for securities purchased 1,656,724 6,126,222 4,657,501 4,515,501
Payable for cash received as collateral 35,488 106,742 32,471 28,910
Distribution payable 61,149 62,530 57,115 1,243
Accrued interest payable (including accrued interest on repurchase agreements of $2,865, $3,293, $4,164 and $11,717, respectively) 15,139 24,810 21,584 28,863
Accrued expenses and other liabilities 5,219   3,007     1,443   435
Total liabilities 13,558,327   20,186,872     18,589,053   18,654,834
NET ASSETS $ 1,960,087   $ 2,036,653     $ 2,322,076   $ 2,402,662
Net assets consist of:
Preferred Stock, $25.00 par value, 50,000 shares authorized:
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000, 3,000, 3,000 and 3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference) $ 72,369 $ 72,369 $ 72,369 $ 72,369
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000, 8,000, 0 and 0 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) 193,550 193,550
Common Stock, $0.01 par value, 500,000 shares authorized (166,880, 172,781, 174,600 and 174,924 shares issued and outstanding, respectively) 1,669 1,728 1,746 1,749
Additional paid in capital 2,167,393 2,212,529 2,230,457 2,237,512
Retained earnings (accumulated deficit) (474,894 ) (443,523 )   17,504   91,032
NET ASSETS $ 1,960,087   $ 2,036,653     $ 2,322,076   $ 2,402,662
NET ASSET VALUE PER COMMON SHARE $ 10.10   $ 10.20     $ 12.87   $ 13.31
________
* Derived from audited financial statements.
 
 

CYS INVESTMENTS, INC.

STATEMENTS OF OPERATIONS (UNAUDITED)
 
  Three Months Ended
(In thousands, except per share numbers) September 30, 2013   June 30, 2013   March 31, 2013
INVESTMENT INCOME
Interest income from Agency RMBS $ 85,599 $ 80,991 $ 72,101
Other income 37   560   1,000  
Total investment income 85,636   81,551   73,101  
EXPENSES:
Interest 11,969 14,047 15,031
Compensation and benefits 3,453 3,425 3,320
General, administrative and other 2,144   2,246   2,233  
Total expenses 17,566   19,718   20,584  
Net investment income 68,070   61,833   52,517  
GAINS AND (LOSSES) FROM INVESTMENTS:
Net realized gain (loss) on investments (407,728 ) (211,418 ) 46,680
Net unrealized appreciation (depreciation) on investments 423,509   (444,877 ) (125,491 )
Net gain (loss) from investments 15,781   (656,295 ) (78,811 )
GAINS AND (LOSSES) FROM SWAP AND CAP CONTRACTS:
Net swap and cap interest income (expense) (23,744 ) (26,699 ) (21,956 )
Net gain (loss) on termination of swap and cap contracts 25,707 7,329 8,630
Net unrealized appreciation (depreciation) on swap and cap contracts (55,243 ) 215,546   23,417  
Net gain (loss) from swap and cap contracts (53,280 ) 196,176   10,091  
NET INCOME (LOSS) $ 30,571   $ (398,286 ) $ (16,203 )
DIVIDENDS ON PREFERRED STOCK (5,203 ) (3,995 ) (1,453 )
NET INCOME (LOSS) AVAILABLE TO COMMON SHARES $ 25,368   $ (402,281 ) $ (17,656 )
NET INCOME (LOSS) PER COMMON SHARE - BASIC & DILUTED $ 0.14   $ (2.32 ) $ (0.10 )
 

Core Earnings:

Core Earnings represents a non-GAAP financial measure and is defined as net income (loss) available to common shares excluding net gain (loss) from investments, net gain (loss) on termination of swap and cap 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.

The Company adopted Accounting Standards Codification (“ASC”) 946, Clarification of the Scope of Audit and Accounting Guide Investment Companies (“ASC 946”), prior to its deferral in February 2008, while most, if not all, other public companies that invest only in Agency RMBS have not adopted ASC 946. Under ASC 946, the Company uses financial reporting specified for investment companies, and accordingly, its investments are carried at fair value with changes in fair value included in earnings. Most other public companies that invest only in Agency RMBS include most changes in the fair value of their investments within other comprehensive income not in earnings. As a result, investors are not able to readily compare the Company’s results of operations to those of most of its competitors. The Company believes that the presentation of its Core Earnings is useful to investors because it provides a means to compare its Core Earnings to those of its peers. In addition, because Core Earnings isolates the net swap and cap interest income (expense) it provides investors with an additional metric to identify trends in the Company’s portfolio as they relate to the interest rate environment.

The primary limitation associated with Core Earnings as a measure of the Company’s financial performance over any period is that it excludes the effects of net realized gain (loss) from investments. In addition, the Company’s presentation of Core Earnings may not be comparable to similarly-titled measures of other companies, which may use different calculations. As a result, Core Earnings should not be considered as a substitute for the Company’s GAAP net income (loss) as a measure of our financial performance or any measure of our liquidity under GAAP.
 
Three Months Ended
(In thousands) September 30, 2013   June 30, 2013   March 31, 2013
NET INCOME (LOSS) AVAILABLE TO COMMON SHARES $ 25,368 $ (402,281 ) $ (17,656 )
Net (gain) loss from investments (15,781 ) 656,295 78,811
Net (gain) loss on termination of swap and cap contracts (25,707 ) (7,329 ) (8,630 )
Net unrealized (appreciation) depreciation on swap and cap contracts 55,243   (215,546 ) (23,417 )
Core Earnings $ 39,123   $ 31,139   $ 29,108  

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