CYS Investments, Inc. (NYSE: CYS) ("CYS", "we", "our", or the
"Company") today announced financial results for the quarter ended
(the "Fourth Quarter") and the year ended December 31,
2017.
Fourth Quarter 2017 Highlights
- December 31, 2017 book value per
common share of $8.38, after declaring a $0.25 dividend per common
share on December 8, 2017.
- GAAP net income (loss) available to
common stockholders of $3.6 million, or $0.02 per diluted common
share.
- Core Earnings plus Drop Income of $33.6
million ($29.0 million Core Earnings and $4.6 million Drop Income),
or $0.22 per diluted common share ($0.19 Core Earnings and $0.03
Drop Income).
- Interest rate spread net of hedge,
including Drop Income, of 1.20%.
- December 31, 2017 leverage ratio
of 7.33:1.
- Operating expenses of $6.2 million, or
1.57% of average stockholders' equity. Operating expenses,
excluding non-recurring charges, of $5.9 million and 1.49%,
respectively.
- Weighted-average amortized cost of
agency residential mortgage-backed securities ("Agency RMBS") and
U.S. Treasuries (collectively, "Debt Securities") of $102.92.
- Constant Prepayment Rate ("CPR") of
9.3% for the quarter.
- The Company's duration gap decreased to
0.61 at December 31, 2017 from 0.79 at September 30, 2017
after adding $1 billion of notional to the hedge portfolio and
simultaneously extending the duration.
- Total stockholder return (loss) on
common equity of 0.35%.
Full Year 2017 Highlights
- Maintained consistent $0.25 per common
share quarterly dividend throughout 2017 for an annual total of
$1.00 per common share.
- December 31, 2017 book value per
common share up $0.05 per share to $8.38, after declaring $1.00 of
dividends per common share, a total stockholder return on common
equity of 12.6%.
- GAAP net income (loss) available to
common stockholders of $160.4 million, or $1.05 per diluted common
share.
- Core Earnings plus Drop Income of
$152.9 million ($123.0 million Core Earnings and $29.9 million Drop
Income), or $1.00 per diluted common share ($0.81 Core Earnings and
$0.19 Drop Income), consistent with the annual per share
dividends.
- Interest rate spread net of hedge,
including Drop Income, of 1.39%.
- Operating expenses of $23.0 million, or
1.47% of average stockholders' equity. $21.9 million and 1.40%,
respectively, excluding effects on non-recurring charges.
- Issued approximately 3 million shares
through at-the-market transactions under the Equity Distribution
Agreement at an average sales price of $8.76 per share raising
approximately $25.5 million of net proceeds, after deducting
placement fees and expenses.
Market Commentary
During the Fourth Quarter of 2017, markets broke out of their
narrow range that had characterized the first three quarters of the
year. Tax reform legislation became increasingly likely and was
signed before quarter end. Correspondingly, rates across the yield
curve moved higher during the quarter as expectations for growth
and inflation, as well as for three more rate hikes in 2018, rose.
Notably, short-term rates rose more than longer-term rates, and the
yield curve continued to flatten. The spread between 2-year and
10-year U.S. Treasuries compressed 32 basis points ("bps") in the
Fourth Quarter to end the quarter at 53 bps.
The yield on 5-year U.S. Treasuries climbed 27 bps during the
Fourth Quarter to end the year at 2.21%, while yields on 10-year
U.S. Treasuries rose only 8 bps for the same period to end the year
at 2.41%. Prices of Agency RMBS dropped in the Fourth Quarter as
rates moved higher. The price of generic 30-year 3.5% Agency RMBS
fell $0.32 during the Fourth Quarter, while the price of 15-year
3.0% Agency RMBS dropped $0.84 for the period. Our transition to a
higher weighting of 30-year Agency RMBS, which is priced off of the
longer-end of the yield curve, from 15-year securities, which are
priced off the front-end of the yield curve, during the year and in
the Fourth Quarter helped soften the effect of Fourth Quarter price
declines spurred by rising short-term rates and the flattening
yield curve.
During the Fourth Quarter, we took advantage of "special"
financing in the U.S. Treasury market in the form of negative
interest rates, and replaced some of our 15-year Agency RMBS
holdings with 3-year U.S. Treasuries as the market provided very
attractive, negative financing rates. This repositioning resulted
in lower price volatility in our overall investment portfolio,
while simultaneously lowering our average cost of funds for the
quarter. As financing levels became less "special" in the latter
half of the Fourth Quarter, we rebalanced out of some of our U.S.
Treasury positions back into 30-year Agency RMBS.
We took the opportunity to increase the size and duration of our
hedge portfolio during the Fourth Quarter in anticipation of a
rising rate environment. During the Fourth Quarter, we
incrementally added $1 billion in notional to our hedge portfolio
and extended the average duration to 3.3 years from 3.2 years in
the quarter ended September 30, 2017 (the "Prior Quarter").
In December, the Federal Open Market Committee ("FOMC") effected
its third rate hike of 2017. It was the first year in three in
which it met its own expectations. The target federal funds rate
(the "Federal Funds Rate") was in the 1.25% to 1.50% range at
December 31, 2017. The FOMC currently anticipates three interest
rate hikes in 2018, and the market is increasingly accepting this
estimate as reflected in the Fed funds futures markets. The equity
markets rallied despite the three interest rate hikes by the Fed in
2017. Bond markets took the moves in stride with a moderate yield
curve flattening and equity markets marched higher, closing the
year near all-time highs after solid appreciation through the year,
reflecting tax reform induced growth expectations.
The path of interest rates in 2018 will be, at least in part,
driven by the FOMC. Notably, the FOMC composition and Fed
leadership in 2018 is quite different from what it has been in
recent years. In 2018, the organization will be led by a new Chair,
Jerome ("Jay") Powell and, once named and confirmed, a new Vice
Chair. Additionally, only four voters (Brainard, Dudley, Powell and
Quarles) who voted in 2017 will be voting in 2018, and we could see
seven new voters on the committee during the year. Although it is
anticipated that the FOMC will continue to operate on the existing
set course, we have yet to see how the new leadership might react
to unexpected inflation, other shocks to the economy or concerns
about financial stability. U.S. fiscal policy and global central
bank actions could also influence changes in US interest rates.
In September of 2017, the Fed announced its balance sheet
normalization plan, which it initiated in October of 2017 and which
will reach its maximum monthly run-off targets by October of 2018.
As balance sheet normalization takes full-effect and markets are
faced with significant net supply of U.S. Treasury securities and
Agency RMBS during the second half of 2018, these valuations could
become vulnerable. As always, we will continue to assess
opportunities in the Agency RMBS, U.S. Treasury and interest rate
markets to best position our asset and hedge portfolios, as well as
our financing position.
Fourth Quarter 2017 Results
Prior to October 1, 2017, "Interest rate hedge expense, net" was
referred to as "Swap and cap interest expense" in the Consolidated
Statement of Operations. This line item includes the following: (i)
net periodic payments made on interest rate swaps and interest rate
caps, (ii) the periodic amortization of premiums paid to enter into
interest rate caps, and (iii) the periodic amortization of premiums
paid to enter into swaptions, less, total payments received in
connection with (A) the receive leg of our interest rate swaps, and
(B) payments received in connection with interest rate caps. On
October 1, 2017, the name was changed to “Interest rate hedge
expense, net”, to better reflect the broad nature of items included
in this line items, all of which reflect the Company’s net cost of
hedging its exposure to interest rates. Prior period financial
statement line items have been renamed to conform to the current
period presentation.
The Company’s book value per common share on December 31,
2017 was $8.38, compared to $8.60 at September 30, 2017, after
declaring a $0.25 dividend per common share on December 8,
2017. The book value was impacted by an increase in interest rates
during the Fourth Quarter and a corresponding decline in the price
of Agency RMBS. The decrease in the value of the Company's Debt
Securities during the Fourth Quarter was partially offset by a net
realized and unrealized gain in the value of our derivative
instruments.
In the Fourth Quarter, the Company generated Core Earnings plus
Drop Income (defined below) of $33.6 million, or $0.22 per diluted
common share, comprised of Core Earnings of $29.0 million, or $0.19
per diluted common share, and Drop Income of $4.6 million, or $0.03
per diluted common share. This compares to Prior Quarter Core
Earnings plus Drop Income of $37.0 million, or $0.24 per diluted
common share, consisting of Core Earnings of $29.8 million, or
$0.19 per diluted common share, and Drop Income of $7.2 million, or
$0.05 per diluted common share. Drop Income decreased by $2.6
million in the Fourth Quarter as a result of a lower volume of
forward purchase settling transactions from which we derive Drop
Income, coupled with less specialness (i.e., implied favorable
financing) in the forward-settling trade ("TBA") market.
Core Earnings decreased by approximately $0.8 million in the
Fourth Quarter from the Prior Quarter primarily as a result of the
25 bps rate hike in December, resulting in a $3.3 million increase
in interest expense due to an increase in the average cost of funds
on repurchase agreements ("repo borrowings") and a $1.1 million
increase in total expenses, partially offset by a $2.5 million
increase in total interest income and a $1.1 million decrease in
interest rate hedge expense, net. The increase in interest expense
is a direct result of the 25 bps rate hike in December, resulting
in an increase in the average cost of funds to 1.36% in the Fourth
Quarter, from 1.30% in the Prior Quarter. An increase in the
average repo borrowings during the Fourth Quarter also contributed
to an increase in interest expense. The increase in total expenses
was due to a $1.1 million increase in incentive compensation
accrual during the Fourth Quarter as a result of the Company's
annual performance being better than anticipated. The increase in
total interest income largely resulted from a decrease in
prepayment speeds and the weighted-average cost of our Debt
Securities portfolio during the Fourth Quarter, resulting in a $0.7
million reduction in amortization expense compared to the Prior
Quarter. The $1.1 million net decrease in interest rate
hedge expense, net stems from an increase in the 3-month London
Interbank Offered Rate ("LIBOR") during the Fourth Quarter, the
index for the receive-leg of our swaps and caps, partially offset
by a $1.0 billion expansion of the hedge portfolio notional during
the quarter (as further described below).
In the Fourth Quarter, our total interest income increased to
$81.4 million from $79.0 million in the Prior Quarter due to an
increase in the average settled Debt Securities to $11.9
billion during the Fourth Quarter from $11.3
billion during the Prior Quarter. The average yield on our
settled Debt Securities decreased to 2.73% in the Fourth Quarter,
from 2.79% in the Prior Quarter. The decrease in the average yield
was largely due to an increase in lower yielding U.S. Treasury
holdings in the Fourth Quarter. The Fourth Quarter weighted-average
experienced CPR decreased to 9.3% from 9.5% in the Prior Quarter,
while amortization expense decreased $0.7 million to $13.7 million
from $14.4 million in the Prior Quarter. The weighted-average cost
basis of our Debt Securities portfolio decreased to $102.92 at
December 31, 2017 from $103.01 at September 30, 2017.
The Company's net interest income of $46.2 million in the Fourth
Quarter, down approximately $0.8 million from $47.0 million in the
Prior Quarter, is due to the increase in total interest expense,
partially offset by the increase in total interest income described
above.
Our Economic Net Interest Income, a non-GAAP measure, is
generated primarily from the net spread, or difference, between the
interest income we earn on our investment portfolio and the cost of
our borrowings and hedging activities. The amount of Economic Net
Interest Income we earn on our investments depends in part on our
ability to manage our financing costs, which represents a
significant portion of our total expenses. Economic Interest
Expense consists of interest expense, as computed in accordance
with GAAP, plus interest rate hedge expense, net used to hedge our
cost of funds, a component of net gain (loss) on derivative
instruments in the Company's Consolidated Statements of Operations.
We present the non-GAAP measures Economic Net Interest Income, and
Economic Interest Expense to provide an economic measure of our
interest income and expense net of borrowing and hedge expense,
which management uses to evaluate the Company's investment
portfolio. We believe providing users of our financial information
with such measures in addition to the related GAAP measures gives
users additional transparency into the information used by our
management in its financial and operational decision-making, which
is meaningful information to consider in addition to the related
GAAP measures as it reflects the economic cost of financing our
investment portfolio. The following table presents a reconciliation
of GAAP total net interest income and interest expense to Economic
Net Interest Income and Economic Net Interest Expense,
respectively, for each respective period.
Quarter Ended Year
Ended (dollars in thousands)
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2017
December 31,2016
Net interest income $ 46,179 $ 46,990 $ 50,906 $ 52,092 $ 196,167 $
220,258 Interest rate hedge expense, net 5,841 6,948
8,434 8,327 29,550 55,798 Economic net
interest income $ 40,338 $ 40,042 $ 42,472 $
43,765 $ 166,617 $ 164,460 Total interest
expense $ 35,242 $ 31,971 $ 26,182 $ 21,221 $ 114,616 $ 74,279
Interest rate hedge expense, net 5,841 6,948 8,434
8,327 29,550 55,798 Economic interest expense
$ 41,083 $ 38,919 $ 34,616 $ 29,548 $
144,166 $ 130,077
The Company's Economic Net Interest Income, which reflects
interest rate hedge expense, net as well as interest expense on
repo borrowings, was $40.3 million in the Fourth Quarter, an
increase of approximately $0.3 million from $40.0 million in the
Prior Quarter. The increase in Economic Net Interest Income was
primarily due to an increase in total interest income and a
decrease in interest rate hedge expense, net, partially offset by
an increase in total interest expense, all of which is described in
detail above.
In the Fourth Quarter, Economic Interest Expense totaled $41.1
million, compared to $38.9 million in the Prior Quarter. Interest
expense on repo borrowings increased to $35.2 million in the Fourth
Quarter from $32.0 million in the Prior Quarter due to a 6 bps
increase in the average cost of funds and a $0.5 billion increase
in average repurchase agreements, while interest rate hedge
expense, net decreased by $1.1 million during the Fourth Quarter as
a direct result of an increase in 3-month LIBOR, partially offset
by the hedge portfolio expansion. During the Fourth Quarter, we
terminated a swap with a $0.5 billion notional and a
weighted-average pay rate of 1.02% and replaced it with swaps with
a combined notional of $1.5 billion and a weighted-average pay rate
and maturity of 2.17% and 4.3 years, respectively.
The $32.9 million increase in realized and unrealized gains on
derivative instruments during the Fourth Quarter results from an
increase in swap rates, coupled with the expansion of the hedge
portfolio. During the Fourth Quarter, 5-year and 7-year swap rates
increased by 24 bps and 17 bps, respectively, whereas they
increased by 4 bps and 3 bps, respectively, during the Prior
Quarter. Overall, the adjusted average cost of funds and hedge
increased to 1.43% during the Fourth Quarter, from 1.39%
during the Prior Quarter. The Company’s interest rate spread net of
hedge including Drop Income decreased to 1.20% in the Fourth
Quarter from 1.32% in the Prior Quarter as a result of the increase
in interest expense and decrease in Drop Income, partially offset
by the increase in total interest income and decrease in interest
rate hedge expense, net during the Fourth Quarter as further
described above.
The Company recognized an aggregate net realized and unrealized
gain (loss) from investments of $(80.3) million in the Fourth
Quarter, compared to $31.1 million in the Prior Quarter. The net
loss on investments during the Fourth Quarter emanates from an
increase in interest rates during the Fourth Quarter resulting in a
decrease in the prices of our Agency RMBS as previously
described.
The Company recognized a net realized and unrealized gain (loss)
on derivative instruments of $55.0 million in the Fourth Quarter
(comprised of $57.3 million of net realized and unrealized gain on
swap and cap contracts, and $(2.3) million of net realized and
unrealized loss on TBA dollar roll transactions whereby the Company
is not contractually obligated to accept delivery on the settlement
date (the "TBA Derivatives")), compared to a net realized and
unrealized gain on derivative instruments of $22.1 million in the
Prior Quarter (comprised of $16.2 million of net realized
and unrealized gain on swap and cap contracts, and $5.9
million of net realized and unrealized gain on TBA
Derivatives). The net increase in the value of our hedge portfolio
during the Fourth Quarter was due primarily to an expansion of the
hedge portfolio and the increase in swap rates during the Fourth
Quarter.
The Company’s operating expense ratio as a percentage of average
stockholders' equity was 1.57% in the Fourth Quarter, or 1.49%
excluding the effect of non-recurring charges, compared to 1.31% in
the Prior Quarter. The increase in the operating expense ratio
during the Fourth Quarter is largely due to a $1.1 million increase
in the incentive compensation accrual as a direct result of the
Company's annual performance being better than anticipated.
Set forth below are summary financial data for the four quarters
in 2017, and the years ended December 31, 2017 and 2016:
(in thousands)
Quarters Ended
* Year Ended
Key Balance Sheet
Metrics
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2017
December 31,2016
Average settled Debt Securities (1) $ 11,910,563 $ 11,335,599 $
10,796,064 $ 10,819,433 $ 11,233,526 $ 11,781,920 Average total
Debt Securities (2) $ 13,068,179 $ 12,722,188 $ 12,479,401 $
12,485,920 $ 12,701,093 $ 13,212,278 Average repurchase agreements
and FHLBC Advances (3) $ 10,346,783 $ 9,820,318 $ 9,276,572 $
9,264,522 $ 9,697,163 $ 10,290,967 Average Debt Securities
liabilities (4) $ 11,504,399 $ 11,206,907 $ 10,959,909 $ 10,931,009
$ 11,164,730 $ 11,721,325 Average stockholders' equity (5) $
1,581,986 $ 1,570,974 $ 1,550,906 $ 1,539,245 $ 1,561,583 $
1,704,701 Average common shares outstanding (6) 155,009 152,487
151,729 151,572 152,700 151,522 Leverage ratio (at period end) (7)
7.33:1 7.02:1 7.20:1 7.15:1 7.33:1 7.06:1 Liquidity as % of
stockholders' equity (8) 65 % 68 % 69 % 69 % 65 % 61 % Hedge Ratio
(9) 99 % 86 % 97 % 99 % 99 % 92 % Book value per common share (at
period end) (10) $ 8.38 $ 8.60 $ 8.31 $ 8.26 $ 8.38 $ 8.33
Weighted-average amortized cost of Agency RMBS and U.S. Treasuries
(11) $ 102.92 $ 103.01 $ 103.31 $ 103.26 $ 102.92 $ 103.78
Key Performance
Metrics
Average yield on settled Debt Securities (12) 2.73 % 2.79 % 2.86 %
2.71 % 2.77 % 2.50 % Average yield on total Debt Securities
including Drop Income (13) 2.63 % 2.71 % 2.75 % 2.65 % 2.68 % 2.48
% Average cost of funds (14) 1.36 % 1.30 % 1.13 % 0.92 % 1.18 %
0.72 % Average cost of funds and hedge (15) 1.59 % 1.59 % 1.49 %
1.28 % 1.49 % 1.26 % Adjusted average cost of funds and hedge (16)
1.43 % 1.39 % 1.26 % 1.08 % 1.29 % 1.11 % Interest rate spread net
of hedge (17) 1.14 % 1.20 % 1.37 % 1.43 % 1.28 % 1.24 % Interest
rate spread net of hedge including Drop Income (18) 1.20 % 1.32 %
1.49 % 1.57 % 1.39 % 1.37 % Operating expense ratio (19) 1.57 %
1.31 % 1.40 % 1.61 % 1.47 % 1.39 % Total stockholder return on
common equity (20) 0.35 % 6.50 % 3.63 % 2.16 % 12.61 % (0.21 %)
Constant prepayment rate (weighted-average experienced 1-month)
(21) 9.3 % 9.5 % 7.5 % 8.1 % 8.6 % 12.1 %
__________
(1) The average settled Debt Securities is calculated by
averaging the month-end cost basis of
settled Debt Securities during the period.(2) The average total
Debt Securities is calculated by averaging the month-end cost basis of total Debt
Securities and unsettled Debt Securities (inclusive of TBA
Derivatives) during the period.(3) The average repurchase
agreements and FHLBC Advances are calculated by averaging the month-end repurchase agreements and
FHLBC Advances balances during the period.(4) The average Debt
Securities liabilities are calculated by adding the average month-end repurchase agreements
and FHLBC Advances balances plus
average unsettled Debt Securities (inclusive of TBA Derivatives)
during the period.(5) The average stockholders' equity is
calculated by averaging the month-end
stockholders' equity during the period.(6) The average common
shares outstanding is 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 balances plus payable for
securities purchased minus receivable
for securities sold, plus or
minus net TBA Derivative positions by
(ii) stockholders' equity.(8) Liquidity as % of stockholders'
equity is calculated by dividing
unencumbered liquid assets by stockholders' equity.(9) The Hedge
ratio for the period is calculated by dividing the combined total Interest Rate Swaps
and Interest Rate Caps notional amount by total repurchase
agreements and FHLBC Advances balances.(10) Book value per common
share is calculated by dividing total
stockholders' equity less the
liquidation value of preferred stock at period end by common shares
outstanding at period end.(11) The weighted-average amortized cost
of Agency RMBS and U.S. Treasuries is calculated using a
weighted-average cost by security divided by the current face at period end.(12) The
average yield on settled Debt Securities for the period is
calculated by dividing total interest
income by average settled Debt Securities.(13) The average yield on
total Debt Securities including Drop Income for the period is
calculated by dividing total interest
income plus Drop Income by average
total Debt Securities. Drop Income is a component of our net
realized and unrealized gain (loss) on investments and derivative
instruments in the consolidated statements of operations. Drop
Income is the difference between the spot price and the
forward-settlement price for the same security on the trade
date.(14) The average cost of funds for the period is calculated by
dividing repurchase agreement and
FHLBC Advances interest expense by average repurchase agreements
and FHLBC Advances for the period.(15) The average cost of funds
and hedge for the period is calculated by dividing repurchase agreement and FHLBC Advances
interest expense and interest rate hedge expense, net by average
repurchase agreements and FHLBC Advances.(16) The adjusted average
cost of funds and hedge for the period is calculated by
dividing repurchase agreement and
FHLBC Advances interest expense and interest rate hedge expense,
net by average Debt Securities liabilities.(17) 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 Debt Securities.(18) 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 Debt
Securities including Drop Income.(19) The operating expense ratio
for the period is calculated by dividing operating expenses by average
stockholders' equity.(20) The total stockholder return on common
equity is calculated as the change in book value plus dividend distributions on common stock
divided by book value at the beginning
of the period.(21) CPR represents the weighted-average 1-month CPR
of the Company's Agency RMBS during the period.* All percentages
are annualized except total stockholder return on common
equity.
Portfolio
The Company's Debt Securities portfolio, including net TBA
Derivatives, at fair value, increased to approximately $13.1
billion at December 31, 2017 from $12.9 billion at
September 30, 2017. During the Prior Quarter, we replaced some
of our 15-year Agency RMBS holdings with 3-year U.S. Treasuries,
resulting in higher net interest income as a result of special
financing on 3-year U.S. Treasuries when the trades were executed,
coupled with lower price volatility than 15-year Agency RMBS.
During the Fourth Quarter we continued to recycle out of 15-year
Agency RMBS with a higher cost basis and prepayment characteristics
and replaced them with 30-year Agency RMBS with a lower cost basis
and a more favorable prepayment profile. As a result of the
aforementioned repositioning and the increase in interest rates, we
experienced a decrease in weighted-average 1-month prepayment
speeds during the Fourth Quarter to 9.3% from 9.5% in the Prior
Quarter. The 6 bps decline in the portfolio yield is primarily
attributable to holding U.S. Treasuries for a full quarter.
The following tables detail the Company's Debt Securities
portfolio, inclusive of $0.5 billion, $(0.2) billion, and $(0.3)
billion of net TBA Derivative positions at December 31, 2017,
September 30, 2017, and December 31, 2016, respectively
(dollars in thousands):
December 31,
2017 September 30, 2017 December 31, 2016
Asset Type Fair Value
% ofTotal
Fair Value
% ofTotal
Fair Value
% ofTotal
15-Year Fixed Rate $ 3,037,625 23 % $ 3,221,097 25 % $ 4,443,735 36
% 20-Year Fixed Rate 32,748 — % 35,930 — % 42,348 — % 30-Year Fixed
Rate 8,479,862 65 % 8,118,117 63 % 7,418,624 60 % Hybrid ARMs
498,630 4 % 518,786 4 % 385,502 3 % U.S. Treasuries 1,046,934
8 % 1,017,964 8 % 49,686 1 % Total $
13,095,799 100 % $ 12,911,894 100 % $ 12,339,895
100 %
Key metrics related to the Company’s Debt Securities portfolio,
inclusive of $0.5 billion net TBA Derivatives positions, as of
December 31, 2017 are summarized below:
Face Value Fair
Value Weighted-Average Asset Type (in
thousands) Cost/Face
FairValue/Face
Yield(1) Coupon
CPR(2) 15-Year Fixed Rate $ 2,975,397 $
3,037,625 $ 102.26 $ 102.09 2.42 % 3.07 % 9.7 % 20-Year Fixed Rate
30,692 32,748 102.53 106.70 2.55 % 4.50 % 23.8 % 30-Year Fixed Rate
8,180,601 8,479,862 103.59 103.66 2.93 % 3.70 % 8.7 % Hybrid ARMs
(3) 488,665 498,630 102.43 102.04 2.51
% 3.06 % 10.3 % Total Agency RMBS 11,675,355 12,048,865
103.20 103.20 2.78 % 3.52 % 9.2 % U.S.
Treasuries 1,050,000 1,046,934 99.81 99.71
1.96 % 1.85 % n/a Total $ 12,725,355 $ 13,095,799
$ 102.92 $ 102.91 2.71 % 3.38 % 9.2 %
__________
(1) Represents a forward yield and is calculated based on the
cost basis of the security at December 31, 2017. Because the
forward yield is based on a projected constant prepayment rate
("CPR") and assumes no turnover in the securities on the Company’s
portfolio, the Company expects the yield it realizes after
December 31, 2017 will vary from those in the table above. The
projected CPR is calculated utilizing Yieldbook® software and may
reflect adjustments based on our judgment.
(2) Represents the actual experienced CPR for those bonds held
at December 31, 2017. CPR is a method of expressing the
prepayment rate for a mortgage pool that assumes a constant
fraction of the remaining principal is prepaid each month.
Specifically, the CPR reflects the annualized version of the
experienced prior three-month prepayment rate for the securities in
the portfolio at December 31, 2017. Securities with no
prepayment history are excluded from this calculation.
(3) The weighted-average months to reset of the Company's Hybrid
ARM portfolio was 86.1 at December 31, 2017. 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 Hybrid ARM and will reset thereafter
annually.
Leverage & Liquidity
Our leverage was 7.33:1 at December 31, 2017, compared to
7.02:1 at the end of the Prior Quarter. As of December 31,
2017 and September 30, 2017, the Company had financed its
portfolio with approximately $10.1 billion and $10.4 billion of
Total Outstanding Borrowings, respectively, and recognized a
payable for securities purchased net of receivable for securities
sold of $1.0 billion and $1.1 billion, respectively.
At December 31, 2017, the Company’s liquidity position,
consisting of unpledged Agency RMBS, U.S. Treasuries and cash and
cash equivalents was approximately $1.0 billion, or 64.6% of
stockholders' equity, compared to $1.1 billion, or 68.2% of
stockholders' equity, at September 30, 2017.
Financing
During the Fourth Quarter, the Company financed its portfolio
with average repo borrowings of $10.3 billion, with an average cost
of funds of 1.36%, compared to $9.8 billion and 1.30%,
respectively, during the Prior Quarter.
During the Fourth Quarter, the Company did not experience a
decline in the availability of repo borrowings. At
December 31, 2017, repo borrowings with any individual
counterparty were less than 7.4% of our total repo borrowings. As
of December 31, 2017, we had access to a total of 53
counterparties and outstanding borrowings from 37 counterparties.
Below is a summary, by region, of our repo borrowings at
December 31, 2017 (dollars in thousands):
Counterparty
Region Number of Counterparties Repo Borrowings
% of Total North America 23 $5,929,242 58.8% Europe 8
2,030,794 20.1% Asia 6 2,129,881 21.1% Total 37 $10,089,917 100.0%
Hedging
The Company utilizes interest rate swap (cancellable and
non-cancellable), swaption and cap contracts (a "swap", a
"swaption" or "cap", respectively) to manage interest rate risk
associated with the financing of its Debt Securities portfolio.
As of December 31, 2017, the Company held swaps with an
aggregate notional amount of $7.5 billion, a weighted-average fixed
pay rate of 1.59%, a weighted-average receive rate of 1.45%, a
weighted-average net pay rate of 0.14% and a weighted-average
remaining maturity of 3.7 years. The receive rate on the Company's
swaps is the three-month LIBOR, which resets quarterly and stood at
1.45% at December 31, 2017, up from 1.31% at
September 30, 2017. At December 31, 2017, the Company
held caps with a notional amount of $2.5 billion, a
weighted-average cap rate of 1.28%, and a weighted-average
remaining maturity of 2.0 years. After expanding the hedge
portfolio and extending the duration, we experienced a 3 bps
decrease in the net swap and cap pay rate during the Fourth Quarter
to 8 bps from 11 bps in the Prior Quarter.
As of September 30, 2017, the Company held swaps with an
aggregate notional amount of $6.5 billion, a weighted-average fixed
pay rate of 1.41%, a weighted-average receive rate of 1.31%, a
weighted-average net pay rate of 0.10% and a weighted-average
remaining maturity of 3.5 years. At September 30, 2017, the
Company held caps with a notional amount of $2.5 billion, a
weighted-average cap rate of 1.28%, a weighted-average receive rate
of 1.16% and a weighted-average remaining maturity of 2.3
years.
Key provisions of the Company's outstanding swaps and caps at
December 31, 2017 are summarized below (dollars in
thousands):
Interest Rate
Swaps Weighted-Average
Expiration Year Notional Amount Fair Value
Fixed Pay Rate Receive Rate
Net Pay (Receive)Rate
2018 $ 1,000,000 $ 1,339 0.99 % 1.41 % (0.42 )% 2020 2,250,000
33,651 1.60 % 1.41 % 0.19 % 2021 1,700,000 53,368 1.21 % 1.40 %
(0.19 )% 2022 1,500,000 8,225 2.12 % 1.54 % 0.58 % 2024 625,000
16,567 1.88 % 1.50 % 0.38 % 2027 400,000 7,004 2.21 %
1.60 % 0.61 % Total $ 7,475,000 $ 120,154 1.59 % 1.45
% 0.14 %
Interest Rate Caps
Weighted-Average Expiration Year Notional
Amount Fair Value Cap Rate Receive Rate
Net Cap Rate 2019 $ 800,000 $ 7,681 1.34 % 0.85 % 0.49 %
2020 1,700,000 31,785 1.25 % 1.61 % (0.36 )% Total $
2,500,000 $ 39,466 1.28 % 1.37 % (0.09 )%
Duration Gap
Our net duration gap decreased to 0.61 at December 31, 2017
from 0.79 at September 30, 2017 as a direct result of the
hedge portfolio expansion, asset portfolio repositioning and
increase in interest rates during the Fourth Quarter.
Drop Income
"Drop Income" is a component of our net realized and unrealized
gain (loss) on investments and net realized and unrealized gain
(loss) on derivative instruments in the Company's Consolidated
Statements 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 Agency RMBS on the trade
date. This difference is also the economic equivalent of the
assumed net interest spread (yield less financing costs) of the
Agency RMBS from trade date to settlement date. The Company derives
Drop Income through utilization of forward settling transactions of
Agency RMBS. The Company's Drop Income and average market value of
all TBAs outstanding during the Fourth Quarter and Prior Quarter
follow:
Quarter Ended Year
Ended (dollars in thousands)
December 31, 2017
September 30, 2017 December 31, 2017
December 31, 2016 Drop Income $ 4,641 $ 7,212 $
29,912 $ 32,896 Average TBAs market value 1,034,786 1,224,175
1,363,012 1,404,095
Prepayments
We received $349.9 million in principal repayments and
prepayments, experienced a weighted-average CPR of approximately
9.3% and net amortization expense of $13.7 million during the
Fourth Quarter. This compared to $373.5 million in principal
repayments and prepayments, a weighted-average CPR of approximately
9.5%, and net amortization expense of $14.4 million in the Prior
Quarter. We believe the decrease in CPR was due principally to an
increase in interest rates, coupled with the asset repositioning
described above.
Dividend
The Company declared a common dividend of $0.25 per share for
the Fourth Quarter, unchanged from the Prior Quarter. Using the
closing share price of $8.03 on December 31, 2017, the Fourth
Quarter dividend equates to an annualized dividend yield of
12.5%.
Results for the Year Ended December 31, 2017
The Company generated net income (loss) available to common
stockholders of $160.4 million for the year ended December 31,
2017, or $1.05 per diluted common share, compared to $(4.4)
million, or $(0.04) per diluted common share in 2016. Book value
per common share increased to $8.38 at December 31, 2017 from
$8.33 at December 31, 2016, after declaring $1.00 per share in
dividends during 2017. The year-over-year increase in book value
per common share and net income was due primarily to Core Earnings
of $123.0 million and $57.8 million of net realized and unrealized
gains on derivative instruments, largely offset by $153.4 million
of dividend distributions on common stock and a $20.3 million net
realized and unrealized loss on investments.
During the year ended December 31, 2017, the Company
generated Core Earnings plus Drop Income of $152.9 million, or
$1.00 per diluted common share ($0.81 Core Earnings and $0.19 Drop
Income), compared to $154.3 million, or $1.02 per diluted common
share ($0.81 Core Earnings and $0.21 Drop Income), in 2016.
Core Earnings increased by approximately $1.6 million for the
year ended December 31, 2017 from 2016 primarily as a result
of a $26.2 million decrease in interest rate hedge expense,
net, a $16.2 million increase in total interest income and a $0.6
million decrease in operating expenses, partially offset by a $40.3
million increase in interest expense due to an increase in the
average cost of funds on repurchase agreements and a $1.2 million
decrease in other income. The decrease in interest rate hedge
expense, net primarily results from an increase in 3-month LIBOR,
partially offset by an expansion of the hedge portfolio. The
increase in total interest income largely resulted from a decrease
in prepayment speeds, combined with a decrease in the
weighted-average cost of our Debt Securities portfolio during 2017
that results from the asset portfolio repositioning previously
described. The decrease in prepayment speeds and weighted-average
cost of our Debt Securities portfolio during 2017 resulted in a
$28.9 million reduction in amortization expense compared 2016 and
was partially offset by a $0.5 billion decrease in the average
total Debt Securities. The increase in interest expense is a direct
result of three separate 25 bps rate hikes during 2017, resulting
in an increase in the average cost of funds to 1.18% in 2017, from
0.72% in 2016, partially offset by a $0.6 billion decrease in
average repurchase agreements and FHLBC Advances.
Drop Income decreased by $3.0 million in the year ended
December 31, 2017 as a result of a decline in the volume of
forward purchase settling transactions from which we derive Drop
Income and due to slightly less special financing available in TBA
market during 2017 compared to 2016.
The Company recognized a net realized and unrealized gain (loss)
on derivative instruments of $57.8 million for the year ended
December 31, 2017, comprised of $52.4 million of net realized
and unrealized gain on swap and cap contracts, and $5.4 million of
net realized and unrealized gain on TBA Derivatives. During 2016,
the company recognized a net realized and unrealized gain (loss) on
derivative instruments of $(11.5) million, comprised of $(20.6)
million of net realized and unrealized loss on TBA Derivatives, and
$9.1 million of net realized and unrealized gain on swap and cap
contracts. The decrease in net realized and unrealized gain (loss)
on derivative instruments during 2017 was primarily due to an
expansion of the hedge portfolio, combined with an increase in swap
rates during 2017. For illustrative purposes, 5-year swap rates
increased by 26 bps and decreased by 24 bps during 2017 and 2016,
respectively.
Operating expenses approximated $23.0 million and $23.6 million
for the years ended December 31, 2017 and 2016, respectively,
representing an expense ratio of 1.47% for 2017, compared to 1.39%
for 2016. The increase in expense ratio is primarily attributable
to a decrease in average stockholders' equity to $1.56 billion for
the year ended December 31, 2017 compared to $1.70 billion during
2016, partially offset by a decrease in operating expenses. The
decrease in operating expenses during 2017 was due primarily to a
$1.7 million decrease in tax expense, partially offset by an
increase of $0.7 million in employee incentive compensation and
$0.5 million of accelerated vesting of our prior Chief Financial
Officer's restricted stock upon retirement in March 2017. Excluding
non-recurring costs of $1.1 million and $2.6 million in 2017 and
2016, the operating expense ratio was 1.40% and 1.23%,
respectively.
Equity Placement Program ("EPP")
On August 4, 2017, the Company entered into an equity
distribution agreement (the "Equity Distribution Agreement") with
JMP Securities LLC, whereby the Company may, from time to time,
publicly offer and sell up to 20,000,000 shares of the Company’s
common stock through at-the-market transactions and/or privately
negotiated transactions. During the year ended December 31,
2017, the Company issued 2,951,491 shares under the Equity
Distribution Agreement at an average sales price of $8.76 per
share, raising approximately $25.5 million of net proceeds after
deducting placement fees and expenses. As of December 31,
2017, 17,048,509 shares of common stock remained available for
issuance to be sold under the Equity Distribution Agreement.
Dividend Reinvestment and Direct Stock Purchase Plan
("DRSPP")
On September 15, 2017, the Company renewed its Dividend
Reinvestment and Direct Stock Purchase Plan ("DRSPP"), whereby
stockholders may reinvest cash dividends and purchase up to
10,000,000 shares of our common stock. Stockholders may also make
optional cash purchases of shares of common stock subject to
certain limitations detailed in the respective plan prospectus. For
the year ended December 31, 2017, the Company issued 294,650
shares at an average sales price of $8.77 per share, raising
approximately $2.6 million, after deducting placement fees and
expenses.
Share Repurchase Program
The Company did not repurchase any shares for the year ended
December 31, 2017. As of December 31, 2017, the Company
had approximately $155.5 million available under the share
repurchase program to repurchase shares of its common stock.
Conference Call
The Company will host a conference call at 9:00 AM Eastern Time
on Thursday, February 15, 2018, to discuss its financial
results for the quarter and year ended December 31, 2017. To
participate in the call by telephone, please dial (888) 647-8086 at
least 10 minutes prior to the start time and reference the
conference passcode 3680829. International callers should dial
(484) 821-5013 and reference the same passcode. The conference call
will 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,
February 15, 2018, at approximately 12:00 PM Eastern Time
through Thursday, March 1, 2018, at approximately 11:00 AM Eastern
Time. To access this replay, please dial (855) 859-2056 and enter
the conference ID number 3680829. International callers should dial
(404) 537-3406 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.
Additional Information
The Company will make available a supplemental presentation on
the Company's website, contemporaneously with the filing of this
Form 8-K. The supplemental presentation will be available on the
Webcasts/Presentations section of the Company's website.
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. The Company
has elected to be treated as a real estate investment trust for
federal income tax purposes.
Forward-Looking Statements Disclaimer
This release contains "forward-looking statements" made pursuant
to the safe harbor provisions of the Private Securities Litigation
Reform Act of 1995, including those relating to the Company's
performance, interest rate volatility, the prices and supply and
demand of Agency RMBS and U.S. Treasury securities, earnings,
equity returns, yields, investment environment, economic growth,
inflation, interest rates, hedges, prepayments, the U.S. and global
economies, and the effect of actions of the U.S. government,
including the Fed, and the FOMC on the Company's 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, 2016 and
Quarterly Reports on Form 10-Q for the quarters ended March 31,
2017, June 30, 2017 and September 30, 2017, which have 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.
CONSOLIDATED BALANCE SHEETS
(dollars in thousands, except per share
data)
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2016
(1)
(unaudited) (unaudited) (unaudited)
(unaudited) Assets: Cash and cash equivalents $ 4,132
$ 804 $ 1,264 $ 584 $ 1,260 Investments in securities, at fair
value: Agency mortgage-backed securities (including pledged assets
of $9,287,317, $10,291,015, $9,834,904, $9,482,227 and $10,233,165,
respectively) 11,587,720 12,092,527 11,705,696 11,011,163
12,599,045 U.S. Treasury securities (including pledged assets of
$1,046,934, $620,730, $24,841, $26,334 and $44,469, respectively)
1,046,934 1,017,964 24,841 49,688 49,686 Receivable for securities
sold and principal repayments 301,398 157,730 689 573 409,849
Receivable for cash pledged as collateral — — — — 600 Interest
receivable 32,890 33,385 32,340 31,401 31,825 Derivative assets, at
fair value 159,629 107,588 92,520 136,552 142,556 Other investments
9,765 8,028 8,028 8,028 8,028 Other assets 3,114 3,511
4,038 2,929 2,419 Total assets $
13,145,582 $ 13,421,537 $ 11,869,416 $
11,240,918 $ 13,245,268
Liabilities and
stockholders' equity: Liabilities: Repurchase agreements
$ 10,089,917 $ 10,383,226 $ 9,370,845 $ 9,015,594 $ 9,691,544
Payable for securities purchased 1,290,805 1,264,639 817,597
524,482 1,881,963 Payable for cash received as collateral 139,614
77,326 64,402 101,819 91,503 Accrued interest payable 41,468 34,007
28,810 25,457 27,908 Accrued expenses and other liabilities 4,969
4,058 3,045 3,559 6,170 Dividends payable 4,410 43,158 42,342
42,337 4,410 Derivative liabilities, at fair value 152 6,586
6,725 — 6,051
Total liabilities
$ 11,571,335 $ 11,813,000 $ 10,333,766 $
9,713,248 $ 11,709,549
Stockholders' equity:
Preferred Stock, $0.01 par value, 50,000 shares authorized: 7.75%
Series A Cumulative Redeemable Preferred Stock, (3,000 shares
issued and outstanding, respectively, $75,000 in aggregate
liquidation preference) $ 72,369 $ 72,369 $ 72,369 $ 72,369 $
72,369 7.50% Series B Cumulative Redeemable Preferred Stock, (8,000
shares issued and outstanding, respectively, $200,000 in aggregate
liquidation preference) 193,531 193,531 193,531 193,531 193,531
Common Stock, $0.01 par value, 500,000 shares authorized (155,010,
154,990, 151,731, 151,708 and 151,435 shares issued and
outstanding, respectively) 1,550 1,550 1,517 1,517 1,514 Additional
paid in capital 1,976,310 1,975,476 1,946,856 1,945,966 1,944,908
Retained earnings (accumulated deficit) (669,513 ) (634,389 )
(678,623 ) (685,713 ) (676,603 ) Total stockholders' equity $
1,574,247 $ 1,608,537 $ 1,535,650 $ 1,527,670
$ 1,535,719
Total liabilities and stockholders'
equity $ 13,145,582 $ 13,421,537 $ 11,869,416
$ 11,240,918 $ 13,245,268
Book value per
common share $ 8.38 $ 8.60 $ 8.31 $ 8.26
$ 8.33
__________
(1) Derived from audited consolidated financial statements.
CYS INVESTMENTS, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS
(UNAUDITED)
Quarters Ended Year Ended (In thousands,
except per share data)
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2017
December 31,2016
(1)
Interest income: Agency RMBS $ 75,358 $ 78,809 $ 77,027 $ 73,227 $
304,421 $ 291,097 Other 6,063 152 61 86
6,362 3,440 Total interest income $ 81,421 $
78,961 $ 77,088 $ 73,313 $ 310,783 $
294,537 Interest expense: Repurchase agreements $ 35,242 $
31,971 $ 26,182 $ 21,221 $ 114,616 $ 70,230 FHLBC Advances —
— — — — 4,049 Total interest
expense 35,242 31,971 26,182 21,221
114,616 74,279 Net interest income $ 46,179 $
46,990 $ 50,906 $ 52,092 $ 196,167 $
220,258 Other income (loss): Net realized gain (loss) on
investments $ (23,647 ) $ (5,215 ) $ (19,831 ) $ (66,044 ) $
(114,737 ) $ 19,463 Net unrealized gain (loss) on investments
(56,651 ) 36,337 51,299 63,478 94,463 (132,500 ) Net unrealized
gain (loss) on FHLBC Advances — — — — — (1,299 ) Other income 39
38 39 47 163 1,361 Net
realized and unrealized gain (loss) on investments, FHLBC Advances
and other income (80,259 ) 31,160 31,507 (2,519 )
(20,111 ) (112,975 ) Interest rate hedge expense, net (5,841 )
(6,948 ) (8,434 ) (8,327 ) (29,550 ) (55,798 ) Net realized and
unrealized gain (loss) on derivative instruments 54,969
22,117 (18,324 ) (1,012 ) 57,750 (11,483 ) Net gain
(loss) on derivative instruments 49,128 15,169
(26,758 ) (9,339 ) 28,200 (67,281 ) Total other income
(loss) $ (31,131 ) $ 46,329 $ 4,749 $ (11,858 ) $
8,089 $ (180,256 ) Expenses: Compensation and benefits $
3,985 $ 2,994 $ 3,004 $ 3,776 $ 13,759 $ 12,934 General,
administrative and other 2,232 2,140 2,426
2,438 9,236 10,677 Total expenses 6,217
5,134 5,430 6,214 22,995 23,611
Net income (loss) $ 8,831 $ 88,185 $ 50,225 $
34,020 $ 181,261 $ 16,391 Dividends on
preferred stock (5,203 ) (5,203 ) (5,203 ) (5,203 ) (20,812 )
(20,812 ) Net income (loss) available to common stockholders $
3,628 $ 82,982 $ 45,022 $ 28,817 $
160,449 $ (4,421 ) Net income (loss) per common share basic
& diluted $ 0.02 $ 0.54 $ 0.30 $ 0.19
$ 1.05 $ (0.04 )
__________
(1) Derived from audited consolidated financial statements.
Core Earnings
"Core Earnings" represents a non-GAAP financial measure and is
defined as net income (loss) available to common stockholders
excluding net realized and unrealized gain (loss) on investments
and derivative instruments, and net unrealized gain (loss) on FHLBC
Advances. Management uses Core Earnings to evaluate the effective
yield of the portfolio after operating expenses. The Company
believes that providing users of the Company's financial
information with such measures, in addition to the related GAAP
measures, gives investors greater transparency and insight into the
information used by the Company's management in its financial and
operational decision-making.
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 and unrealized gain
(loss) on investments and derivative instruments, and net
unrealized gain (loss) on FHLBC Advances. 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 a substitute for the Company's GAAP net income (loss), a
measure of our financial performance or any measure of our
liquidity under GAAP.
The following table reconciles Net income to Core Earnings, a
non-GAAP measure, and summarizes Core Earnings, plus Drop Income
for the periods presented.
Quarters Ended Year
Ended (dollars in thousands, except per share data)
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2017
December 31,2016
Net income (loss) available to common stockholders $ 3,628 $ 82,982
$ 45,022 $ 28,817 $ 160,449 $ (4,421 ) Net realized (gain) loss on
investments 23,647 5,215 19,831 66,044 114,737 (19,463 ) Net
unrealized (gain) loss on investments 56,651 (36,337 ) (51,299 )
(63,478 ) (94,463 ) 132,500 Net realized and unrealized (gain) loss
on derivative instruments (54,969 ) (22,117 ) 18,324 1,012 (57,750
) 11,483 Net unrealized (gain) loss on FHLBC Advances — —
— — — 1,299 Core Earnings $
28,957 $ 29,743 $ 31,878 $ 32,395 $
122,973 $ 121,398 Core Earnings per average share $
0.19 $ 0.19 $ 0.21 $ 0.21 $ 0.81
$ 0.81 Drop Income $ 4,641 $ 7,212 $ 8,678
$ 9,382 $ 29,912 $ 32,896 Drop Income
per average share $ 0.03 $ 0.05 $ 0.06 $ 0.07
$ 0.19 $ 0.21 Core Earnings plus Drop Income $
33,598 $ 36,955 $ 40,556 $ 41,777 $
152,885 $ 154,294 Core Earnings plus Drop Income per
average share $ 0.22 $ 0.24 $ 0.27 $ 0.28
$ 1.00 $ 1.02
View source
version on businesswire.com: http://www.businesswire.com/news/home/20180214006189/en/
CYS Investments, Inc.Richard E. Cleary, 617-639-0440Chief
Operating Officer
Cys Investments, Inc. (NYSE:CYS)
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