EX-99.1 2 dex991.htm PRESENTATION SLIDES Presentation Slides
2009 Barclays Capital
Global Financial Services Conference
September 15, 2009
Kevin E. Grant, CFA
President & CEO
Exhibit 99.1

1
Forward Looking Statements
This presentation contains forward-looking statements, within the meaning of Section 27A of the Securities Act of 1933,
as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, that are based on management’s beliefs
and assumptions, current expectations, estimates and projections. Such statements, including information relating to the
Company’s expectations for future financial performance, are not considered historical facts and are considered forward-looking
information
under
the
federal
securities
laws.
This
information
may
contain
words
such
as
“believes,”
“plans,”
“expects,”
“intends,”
“estimates”
or similar expressions.
This information is not a guarantee of the Company’s future performance and is subject to risks, uncertainties and other
important factors that could cause the Company’s actual performance or achievements to differ materially from those expressed
or implied by this forward-looking information and include, without limitation, changes in the market value and yield of our assets,
changes in interest rates and the yield curve, net interest margin, return on equity, availability and terms of financing and hedging
and various other risks and uncertainties related to our business and the economy.  Given these uncertainties, you should not
rely on forward-looking information.  The Company undertakes no obligations to update any forward-looking information, whether
as a result of new information, future events or otherwise.

2
CYS Overview
Agency Residential Mortgage Backed Securities
Kevin Grant, CEO, President, Chairman
Bill Shean, MD of Investments
Pay dividends and achieve capital appreciation throughout changing interest rate
and credit cycles
Be the most efficient Agency REIT in the market
Currently financing lines with 24 lenders (5 lines added since IPO)
Swap agreements with 5 counterparties
Company
intends
to
distribute
all
or
substantially
all
of
its
REIT
taxable
income
Scaled Management Fee: 1.0% to 1.5%
No Incentive Fee
A Real Estate Investment Trust formed in January 2006
Target Assets
Objective
Senior Investment
Management
Focus on Cost
Efficiency
Ample Financing
Sources
Dividend Policy

3
Superior Investment Team
Kevin Grant
12-year
track
record
at
Fidelity
Investments
as
a
Senior
Portfolio
Manager
(1993
-
2005)
Top decile performance for entire period
Conceived and implemented new MBS strategy (1993)
Managed 19 Fidelity portfolios totaling over $25 billion
•
Bond funds:  Mortgage Securities, Spartan Bond, Strategic Income, Total Bond
•
Balanced (equity and debt): Balanced, Puritan
•
Aggregate bond team managed over $45 billion
Funds
achieved
and
by
Morningstar
Chief
Mortgage
Strategist,
Morgan
Stanley
(1991
-
1993)
Institutional Investor All-America Research Team
Bill Shean
25-year track record including State Street Research & Management (BlackRock), Citizens
Bank, Fidelity Investments, Shawmut Bank
Managed investments in all fixed income sectors and mortgage-only strategies
Portfolio size: $5 to $8+ billion
Began career in 1984

4
The Mortgage Supply Chain:
Survival of the Fittest
Residential mortgage origination going forward: two business models survive
Originate to keep
Originate to obtain GNMA/FNMA/FHLMC wrap & sell
MBS investors: one survivor (other than depositories)
Agency RMBS REITs
FNMA/FHLMC mandated to begin selling in 2010
The existing non-Agency securities:
Pre-2008 securities, defective underwriting environment
Vulture environment / un-analyzable risks
ARMs
Good relative value in
agency market
Prepayments very low
Little new supply
5/1 Hybrid ARMs
Secondary supply
Some new issuance
Efficient financing
creates attractive NIM
Attractive hedged yield
Fixed Rate
Deepest agency market
Highest yields
Premiums currently
reasonable in 15yr
CYS Target Investment Markets (Agency Only)

5
FNMA
and
Freddie
Mac
mandated
to
sell
down
portfolios
commencing
in
2010
FNMA  Portfolio = $779bn
FreddieMac Portfolio = $799bn
GNMA outstanding expected to be near $1 Trillion
GNMA now 40% of origination
The Fed’s Agency MBS portfolio now $818bn
Purchases of FNMA/Freddie Mac running at $25.6bn per Week
Exit Strategy yet to be defined
Global Financial System still delevering
$11 Trillion Market
Massive Redistribution Coming
Sellers
FNMA
+ FreddieMac
+ GNMA
+ The Fed
+ Global Banks
New Origination
Conforming Refi
Nonconforming into
Conforming
New Purchases
CYS Investment Opportunity Set:
+
=
Our Market: Agency MBS
Source: Federal Reserve Bank of New York, JP Morgan

6
Rigorous Investment Criteria
Target: Best Risk Adjusted ROE
Adjusted for hedging costs
Adjusted for prepayments
Adjusted for volatility
Size of Company is Entering the Optimal Range
Able to be selective and nimble in asset selection
Beginning to achieve economies of scale in expenses
Attractive as a counterparty to lenders

7
Attractive Yield Curve Environment Creates
Investment Opportunities
Mortgage Yields Currently Attractive
Par-Priced
5/1
hybrid
rates
now
3.80%
(1)
30
Year
fixed
rates
now
4.30%
(1)
15 Year fixed rates now 3.90%
(1)
Hedging
costs
remain
minimal
Low home equity levels reduce prepayment risks
Steep Curve
Creates significant positive carry
Significant ROE
Hedge flexibility very important
No signs of inflation
Source:   Bloomberg.
(1) As of September 9, 2009.
5/1
Hybrid
Net
Interest
Margin:
1/05
–
9/09
5
Year
Swap
vs
1
Month
LIBOR:
1/05
–
9/09
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
09/04/09
0.00
1.00
2.00
3.00
4.00
5.00
09/03/09

8
0.000
0.500
1.000
1.500
2.000
2.500
3.000
3.500
4.000
4.500
5.000
Wide Spreads Create Attractive Entry Point
Source:   Bloomberg.
Note:       Spreads
calculated
as:
(i)
5/1
Hybrids
Index
–
50/50
3-Year
Swaps/LIBOR,
and
(ii)
5/1
Hybrids
Index
–
1-Month
LIBOR
Index.
5/1
Hybrids
Hedged
with
Swaps:
1/05
–
9/09
CYS
Investment Strategy
Simple “Carry
Trade”
Borrow Short/
Lend Long
Hedged Hybrids
(i)
Unhedged Hybrids
(ii)
09/04/09

9
Forward Purchases help drive NAV
Forward Prices lower due to Backwardation
CYS can specify Pool Characteristics
Reduces Prepayment Vulnerability
ROE commences on Trade Date
Price appreciation comes through NAV
Ordinary Income is temporarily lower
Forward Markets are easy to monitor
Bloomberg: TBA5 <go>

10
Economics of Forward Purchase
Example: 15 yr 4 ½% drop =          pt per month
Source : Bloomberg as of 9/10/09
11
32
11
32

11
Agency MBS Supply Dynamics
Source: Freddie Mac, Barclays Capital
I/O Market Share Falling in Hybrids
4Q05 –
2Q09
(%)
Gross Supply of 15 and 30 Year Conventional, 30 Year GNMA
1/05 –
8/09
($bn)
Note: * Full-doc, no piggyback, less than 80% original CLTV, 680+ FICO.
0
50
100
150
200
250
Conventional 15yr
GNMA 30yr gross
Conventional 30yr

12
The Changing Composition of Supply
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Jan-06
Jul-06
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Source: Barclays
GNMA Share of 30 Year Issuance
1/06 –
8/09
(%)
Gross GNMA ARM as % of Total ARM Production
1/06 –
8/09
(%)

13
The Next 12 Months
Source: Barclays, JP Morgan
Total Agency Securitized = $5.666
0
5
10
15
20
25
30
35
40
45
Jan-06
Jul-06
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
GNMA Gross Supply
($bn)
GNMA
FHLMC
FNMA
Projected December 2010 Fixed
and Floating Agency Outstanding
($ in Trillions)
1.793
2.886
0.987

14
Portfolio Characteristics
Source: Company data as of June 30, 2009; Bloomberg
(1)
Months to reset
(2)
Q2 2009
(3)
Interest Only loans
CYS Portfolio Characteristics
(Face Value in 000’s)
$
Asset Type
Face Value
Cost
Price
MTR
1
Coupon
CPR
2
MTA
151,750
$  
$103.72
$102.37
1
3.80
%
2.3
%
100
%
Short Reset ARMs
182,910
101.59
102.87
6.7
4.50
19.4
31.0
Hybrid ARMs
717,016
101.03
103.18
49.2
4.80
15.1
46.0
Fixed Rate
423,390
100.75
102.40
NA
4.80
22.8
4.0
Total/Weighted-Average
1,475,066
$
$101.30
$102.83
34.9
4.70
%
14.8
%
37.0
%
Interest Rate Swaps
640mm
3 Year
2.01%
% IO
Loans
3

15
Prepayment Risk: The Reality
Risk: government created non-economic prepayments
$5.6 trillion Agency RMBS vs. $75 billion allocated TARP money
Impact: less than 2% CPR
Risk: very low mortgage rates
Closing / application ratio running very low
“Floor”
mortgage rate seems to be 4.50 –
5.00%
Homeowners are equity constrained
Rising unemployment = low housing turnover

16
Attractive Repo Market Dynamics
Money Market Funds Awash in Cash
Assets remain very high
Flight to quality on asset mix
Agency RMBS a major beneficiary
Source:   Bloomberg.  Market data as of September 9, 2009.
LIBOR vs Fed Funds: 10/07 –
9/09
Money
Market
Fund
Assets:
1/01
-
9/09
($ in billions)
Lower Spreads Reduce Funding Costs and
Improved Availability
TARP
TSLF and TALF
Fed funds target rate: 0 to 0.25%
-1.000
-0.500
0.000
0.500
1.000
1.500
2.000
2.500
3.000
3.500
09/09/09
1,500
2,000
2,500
3,000
3,500
4,000
4,500
09/02/09

17
Poised to Realize Upside on
Non-Agency Legacy Assets
CLOs and RESIX securities marked at minimal values
Approximately 16 cents of Book Value
Equal to approximately 3 weeks of investment income
Source:   Company data as of June 30, 2009.
CYS’
CLO & RESIX Securities
Market
Value
NAV at
Market
(per share)
NAV
at Face Value
(per share)
Remaining
Life
CLO
$2.52 MM
$0.14
$1.81
8.9 years
RESIX
$0.34 MM
$0.02
$0.69
27.3 years
Total
$2.86 MM
$0.16
$2.50

18
Fully Built Out Management Team
CYS Management Team
Foley & Lardner
Epstein Becker & Green
Thomson Financial
Schooner Capital
Donaldson, Lufkin & Jenrette 
Citizens Bank (Portfolio Manager)
State Street Research (Portfolio Manager)
Fidelity Investments
Fidelity Investments (Portfolio Manager)
Morgan Stanley
Aetna Bond Investors
Kevin Grant, CFA
Chief Executive Officer
Frances Spark, ACA
Chief Financial Officer
Bill Shean, CFA
Managing Director of Investments
Rick Cleary
Chief Operating Officer
Thomas Rosenbloom
General Counsel
MVC Capital (Chief Financial Officer)
Hyperion Capital (Chief Financial Officer)
KPMG
Years of
Experience
Career History
Name/Position
24
25
21
21
28

19
History of Transparent and
Consistent Financial Reporting
CYS uses Financial Reporting for Investment Companies
CYS
financial
reporting
–
Best
in
Class
Schedule of investments
NAVs
have reflected mark-to-market accounting since inception
No OCI account on balance sheet
Realized and unrealized losses taken through income statement
Losses expensed in period incurred
Competitors likely to move closer to CYS’
financial reporting standards
when FASB declares SOP 07-1 effective
Potential to create meaningful adjustments for the other companies

20
6/30/2009
6/30/2008
Income Statement Data
Investment Income – Interest Income (1)
$9,727.4
$11,720.5
Total expenses
$2,525.4
$5,338.1
Net Investment Income
$7,202.0
$6,382.4
Net gain (loss) from investments (2)
$13,374.3
$6,522.5
Net Income (Loss)
$20,576.3
$12,904.9
Net Income (Loss) Per Common Share (diluted)
$2.22
$1.84
Distributions per Common Share
$1.20
$0.66
Non-GAAP Measure
Core Earnings (3)
$6,809.9
$4,390.2
Balance Sheet Data
Cash and Cash Equivalents
$44,644.5
$6,047.0
Total Assets
$1,575,080.7
$1,022,137.7
Securities sold under agreement to repurchase
$699,004.7
$701,509.0
Net assets
$229,588.4
$120,809.4
Net assets per common share
$12.66
$15.78
Key Portfolio Statistics
Average Yield on Agency RMBS (4)
4.75%
5.60%
Average Cost of Funds & Hedge (5)
0.87%
3.72%
Interest Rate Spread Net of Hedge (6)
3.88%
1.88%
Leverage Ratio (at period end) (7)
5.9:1
7.5:1
Quarter Ended
Historical Financials
(1)
Includes interest income on Agency RMBS and non-Agency securities.
(2)
Includes net swap interest income (expense), net realized gain (loss) on investments and swap contracts and unrealized appreciation (depreciation) on investments and swap contracts.
(3)
Net
income
excluding
net
realized
gain
(loss)
on
investments
and
swap
contracts
and
net
unrealized
appreciation
(depreciation)
on
investments
and
swap
contracts.
(4)
Calculated
by
dividing
total
interest
income
from
Agency
RMBS
by
average
Agency
RMBS.
(5)
Calculated by dividing total interest expense, including net swap interest income (expense) by average securities sold under agreement to repurchase.
(6)
Calculated by subtracting average cost of funds & hedge from average yield on Agency RMBS.
(7)
Calculated by dividing total liabilities by net assets.

21
Financial Highlights
Steep yield curve and attractive spreads in target assets
Core earnings consistently in mid-teens as percent of net assets
Non-Agency assets written down to near zero
Opportunistic hedging with swaps going forward
Investment Company accounting understates net income relative to
peers in declining mark-to-market environment
Approximately $38 million of swap losses can be utilized to reduce
taxable income in current and future years for all shareholders

22
Agency
LIBOR/CMT
ARMs
Blended
Total
Agency
ARM
Hybrid
Legacy
Assets
Agency
Fixed Rate
Illustrative
Asset Allocation
(1)
Sample Portfolio Asset Allocation
35.0%
40.0%
24.0%
1.0%
100.0%
Assumed Yield
(2)
3.90%
3.80%
3.50%
0.00%
Assumed Cost of Funds
(3)
0.50%
0.50%
0.50%
NA
Assumed Hedging Costs
(4)
-0.80%
-0.70%
--
--
Illustrative Net Interest Margin
2.60%
2.60%
3.00%
0.00%
Assumed Leverage
7.0
7.0
7.0
0.0x
Illustrative Gross ROE
22.10%
22.00%
24.50%
0.00%
22.4%
G&A Expense
1.25%
Management Fee
1.50%
Illustrative Net ROE:
19.67%
(1)
Disclaimer: The numbers contained in the example above are for illustrative purposes only and do not reflect CYS’ projections or forecasts. CYS may not allocate assets as indicated above. Any
assumptions and estimates used may not be accurate and cannot be relied upon. CYS’ actual return on equity for any given period may differ materially from this example. The foregoing is not an example
of, and does not represent, expected returns from an investment in CYS’ common stock.
(2)
Assumes Agency RMBS yields as of September 9, 2009. Data Source: Bloomberg.
(3)
Assumes mortgage financing average of 50 bps for 2009. Data Source: Bloomberg.
(4)
Assumes LIBOR and Swap curves as of September 9, 2009.  Data Source: Bloomberg.  

2009 Barclays Capital
Global Financial Services Conference
September 15, 2009
Kevin E. Grant, CFA
President & CEO