 FBR 2011 Fall Investor Conference November 29, 2011 Investment Outlook November, 2011 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 distributions and market conditions, 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 Company’s distribution policy, changes in the Company’s ability to pay distributions, 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, some of which are described in our filings with the SEC. 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 Focus on Cost Efficiency Target Assets Agency Residential Mortgage Backed Securities A Real Estate Investment Trust formed in January 2006 Ample Financing Sources Currently financing lines with 32 lenders Swap agreements with 16 counterparties Dividend Policy Self managed: highly scalable Objective Senior Management Kevin Grant, CEO, President, Chairman Frances Spark, CFO Pay dividends and achieve capital appreciation throughout changing interest rate and credit cycles Be the most efficient Agency REIT in the market Company intends to distribute all or substantially all of its REIT taxable income |
 3 Attractive Environment Likely to Persist Steep Curve Creates significant positive carry Very low cost of financing Significant ROE Hedge flexibility very important Fed still fighting deflation Source: Bloomberg. (1) November 25, 2011 Mortgage Yields Currently Attractive Par-Priced 7/1 hybrid rates now 2.17% (1) 30 Year fixed rates now 3.42% (1) 15 Year fixed rates now 2.76% (1) Hedging rates historically low November 25, 2011 November 25, 2011 5 Year Swap vs. 1 Month LIBOR: 1/2005 – 11/2011 5/1 Hybrid Net Interest Margin: 1/2005 – 11/2011 |
 4 Attractive Investment Environment Remains Source: Bloomberg. Note: Spreads calculated as: (i) 15 year CC Index = 50% 4 year swap, and (ii) 15 year Current Coupon Index Borrow Short Invest Long 15 Year Hedged (i) 15 Year Unhedged (ii) 15 Year Fixed Hedged with Swaps: 1/1/2005 – 11/25/2011 |
 5 10 Year Treasury Note Auctions 11/98 – 10/11 2 Year Treasury Note Auctions 11/98 – 10/11 3 Year Treasury Note Auctions 11/98 – 10/11 Source: Bloomberg, US Treasury 5 Year Treasury Note Auctions 11/98 – 10/11 7 Year Treasury Note Auctions 11/98 – 10/11 30 Year Treasury Note Auctions 11/98 – 10/11 Treasury Auction Volume |
 6 Plosser Fisher Lacker Dudley Kocherlakota Lockhart Evans Pianalto 2011 Voters 2012 Voters Williams 2013 Voters Dudley Evans Rosengren Bullard Dudley George Governors Fed Voters Moving To Be More Dovish in 2012 Obama Nominees? Duke Bernanke Tarullo Powell Stein Yellen Raskin Hawkish Dovish Neutral Note: 2010 Voters were Hoenig, Pinalto, Rosengren, and Bullard. Sources: federalreserve.gov, Macroeconomic Advisers, LLC, Bank of America Merrill Lynch, Bloomberg, Wall Street Journal, Indiana University, Marketwatch, Thomson Reuters, Federal Reserve Bank of Atlanta, Federal Reserve Bank of Chicago, Federal Reserve Bank of Cleveland, Maryland Consumer Rights Coalition, Boston Globe, Businessweek, Newsweek, Washington Post, CNBC. |
 7 The Brief Hawkish Interlude Appears Over Xiaochuan China Bernanke USA Shirakawa Japan Canada Carney Australia Stevens New Zealand Bollard Draghi EU Tombini Brazil Subbarao India Global Accommodation is Reluctantly Restarting Hawkish Dovish Neutral Draghi EU |
 8 Source: S&P, Fiserv, and Macromarkets LLC / Haver Analytics, BLS, Challenger, Gray & Christmas, US Dept. of Energy, NYMEX Economic Recovery Below Normal Pace |
 9 Economics of Forward Purchase Source: Bloomberg 11/25/11 1 5 1/4 /32 represents a discount to the purchase price of the security of approximately $0.30 per month from trade date to settlement date. Economics of Forward Purchase Example: 15 yr. 3 ½% drop = ~4 3/4 /32 pt. per month 1 |
 10 CYS Dividends: 10/2009 – 10/2011 $0.35 $0.00 $0.10 $0.20 $0.30 $0.40 $0.50 $0.60 $0.70 Oct-09 $0.55 Jan-10 $0.55 Apr-10 $0.60 Jul-10 $0.60 Oct-10 $0.60 Dec-10 Portfolio Composition and Results CYS Agency RMBS Portfolio 1 Total Agency RMBS: $9,398 million $0.60 Apr-11 1 As of 9/30/11 $0.60 Jul-11 $0.55 Oct-11 15 Year Fixed Rate: 53% Hybrid ARMs: 34% 20 Year Fixed Rate: 7% 10 Year Fixed Rate: 3% 30 Year Fixed Rate: 3% |
 11 Portfolio Characteristics CYS Portfolio Characteristics* * As of 9/30/11 (1) "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. (2) CPR, or "Constant Prepayment Rate," 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. Securities with no prepayment history are excluded from this calculation. (3) Weighted average months to reset of our hybrid ARM portfolio. Fair Value 10 Year Fixed $ 288,426 303,416 $ 104.06 $ 105.20 N/A 3.50% 6.2% 15 Year Fixed 4,717,243 4,964,472 102.40 105.24 N/A 3.85% 9.9% 20 Year Fixed 608,028 644,471 102.33 105.99 N/A 4.14% 8.1% 30 Year Fixed 259,824 279,791 103.15 107.68 N/A 5.00% 15.7% Hybrid ARMs 3,070,004 3,205,883 102.25 104.43 66.0 3.32% 19.9% Total/Weighted Avg. $8,943,525 $9,398,033 $102.42 $105.08 66.0 (3) 3.71% 12.6% Coupon CPR (2) Fair Value/Par MTR (1) Par Value Weighted Average Asset Type (in thousands) Cost/Par |
 12 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 |
 13 Historical Financials (1) Core Earnings is defined as net income (loss) excluding net realized gain (loss) on investments, net unrealized appreciation (depreciation) on investments, net realized gain (loss) on termination of swap contracts and unrealized appreciation (depreciation) on swap and cap contracts. (2) Our average yield on Agency RMBS for the period was calculated by dividing our interest income from Agency RMBS by our average Agency RMBS. (3) Our average cost of funds and hedge for the period was calculated by dividing our total interest expense, including our net swap and cap interest income (expense), by our average repurchase agreements. (4) Our interest rate spread net of hedge for the period was calculated by subtracting our average cost of funds and hedge from our average yield on Agency RMBS. (5) Our operating expense ratio is calculated by dividing operating expenses by average net assets. (6) Our leverage ratio was calculated by dividing total liabilities by net assets. * All percentages are annualized. |
 14 Financial Highlights Steep yield curve and attractive spreads in target assets Tailwinds likely to continue Investment Company accounting provides transparency |
 FBR 2011 Fall Investor Conference November 29, 2011 Investment Outlook November, 2011 |