CYS Investments 8-K Regulation FD Disclosure

Credit Suisse Financial Services Forum

February 9, 2012

Exhibit  99.1

Investment Outlook

February, 2012

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 the Company’s 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

the

Company’s

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.

1

2

CYS: Overview

Agency Residential Mortgage Backed Securities

Currently

financing

lines

with

33

lenders

Swap agreements with 14 counterparties

Self managed: highly scalable

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

Target Assets

Objective

Senior Management

Focus on Cost

Efficiency

Ample Financing

Sources

Dividend Policy

A Real Estate Investment Trust formed in January 2006

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) February 3, 2012

Mortgage Yields Currently Attractive

Par-Priced

7/1

hybrid

rates

now

1.84%

(1)

30

Year

fixed

rates

now

3.15%

(1)

15 Year fixed rates now 2.46%

(1)

Hedging rates historically low

February 3, 2012

5/1

Hybrid

Net

Interest

Margin:

1/2005

–

2/2012

5

Year

Swap

vs.

1

Month

LIBOR:

1/2005

–

2/2012

February 3, 2012

5.00

4.00

3.00

2.00

1.00

0.00

3.500

3.000

2.500

2.000

1.500

1.000

0.500

0.000

-0.500

-1.000

4

Attractive Investment Environment Remains

Source:

Note:     

15 Year Hedged

(i)

15 Year Unhedged

(ii)

Borrow Short

Invest Long

February 3, 2012

15

Year

Fixed

Hedged

with

Swaps:

1/1/2005

–

2/3/2012

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Bloomberg.

Spreads

calculated

as:

(i)

15

year

CC

Index

=

50%

4

year

swap,

and

(ii)

15

year

Current

Coupon

Index

5

10 Year Treasury Note Auctions

11/98 –

12/11

Treasury Auction Volume

2 Year Treasury Note Auctions

2/98 –

12/11

3 Year Treasury Note Auctions

10/98 –

12/11

Source: Bloomberg, US Treasury

5 Year Treasury Note Auctions

2/98 –

12/11

7 Year Treasury Note Auctions

2/00 –

12/11

30 Year Treasury Note Auctions

2/00–

12/11

6

Outstanding Mortgage Debt

Agency and GSE Backed Mortgage Pools: $1.16 trillion

Asset-Backed Securities Issuers: $1.88 trillion

Commercial Banks: $3.65 trillion

GSEs: $5.01 trillion

1

Other Holders includes finance companies, credit unions, life insurance companies, state and local government, federal government, household sector, real estate investment trusts,

nonfarm noncorporate business, nonfinancial corporate business, private pension funds, state and local government employee retirement funds, property-casualty insurance companies.

Source: U.S. Census Bureau

Other Holders: $2.10 trillion¹

Mortgage Debt Outstanding, 1960-2011

By Type

In millions

Mortgage Debt Outstanding, 1960-2011

By Holder

In millions

2010:

$13.8

trillion

$10,546,477

$2,312,539

$973,799

Home

Multifamily, Farm

Commercial

1960:

$208.3

billion

Home

$33,407

Multifamily, Farm

$33,624

$141,324

Commercial

0

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

14,000,000

7

Lacker

Duke

Lockhart

Pianalto

Yellen

Raskin

Bernanke

Governors

2012 Voters

Fed Voters Moving To Be Even More Dovish in 2012

Williams

2013 Voters

Dudley

Evans

Rosengren

Bullard

Obama

Nominees

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.

Dudley

George

Hawkish

Dovish

Neutral

Powell

Stein

Tarullo

8

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 has Reluctantly Restarted

Hawkish

Dovish

Neutral

Draghi

EU

Ignatiev

Russia

9

The Iowa Electronic Futures Market: Obama re-elected and

a Republican Congress

Democrat

Republican

Romney

Gingrich

Republican House/

Republican Senate

Republican House/

Democrat Senate

Democrat House/

Democrat Senate

Democrat House/

Republican Senate

Source: The Iowa Electronic Markets

As of February 3

Romney

Gingrich

Republican House/

Republican Senate

Republican House/

Democrat Senate

Democrat House/

Democrat Senate

Democrat House/

Republican Senate

2012 US Republican National Convention Market

2012 US Presidential Election Vote Share Market

2012 Congressional Control Winner-Takes-All Market

As of January 23

As of January 23

As of January 23

As of February 3

Democrat

Republican

As of February 3

10

Source: S&P, Fiserv, and Macromarkets LLC / Haver Analytics, BLS, Challenger, Gray & Christmas, US  Dept. of Energy, NYMEX

Economic Recovery Below Normal Pace

U.S. Retail Gasoline Price, Regular Grade

2006 –

Present

Capacity Utilization: Manufacturing

2006 –

Present

%

Civilian Unemployment Rate

1940 -

present

%

CPI-U All Items, Core

2006 –

Present

% Change -

Year to Year

Total

Nonfarm

Private

Payroll

Employment

2005-present

000’s

Challenger, Gray & Christmas, Inc.

Job Cut Announcement Report

2007 –

2011, by Month

11

Economics of Forward Purchase

Source: Bloomberg 02/03/12

1

5

3/8

/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

=

~5

3/8

/32

pt.

per

month

1

12

$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

Total Agency RMBS: $9,372.4 million

$0.60

Apr-11

1

As of  12/31/11

$0.60

Jul-11

$0.55

Oct-11

Dec-11

$0.50

15 Year Fixed

Rate: 53.5%

Hybrid ARMs:

34.5%

20 Year Fixed

Rate: 6.2%

30 Year Fixed

Rate: 2.8%

10 Year Fixed

Rate: 3.0%

CYS Agency RMBS Portfolio

1

CYS

Dividends:

10/2009

–

12/2011

13

Portfolio Characteristics

* As of 12/31/11

(1)

MTR,

or

“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, the interest rates on

100% of our hybrid ARMs 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 CPR 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.

Par Value

Fair Value

Asset Type

Cost/Par

Fair

Value/Par

MTR

(1)

Coupon

CPR

(2)

10 Year Fixed Rate

$272,115

$284,948

$103.96

$104.72

N/A

3.50%

13.6%

15 Year Fixed Rate

4,763,965

5,010,121

102.53

105.17

N/A

3.79%

17.8%

20 Year Fixed Rate

551,766

585,103

102.32

106.04

N/A

4.14%

28.1%

30 Year Fixed Rate

239,747

259,123

103.09

108.08

N/A

5.00%

26.3%

Hybrid ARMs

3,098,024

3,233,159

102.31

104.36

64.0

(3)

3.29%

20.3%

Total/Weighted Average 

$8,925,617

$9,372,454

$102.50

$105.01

64.0

3.66%

19.5%

Weighted Average

(in thousands)

CYS Agency RMBS Portfolio Characteristics*

14

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

15

Historical Financials

12/31/2011

9/30/2011

Income Statement Data

(in 000's)

Investment

Income

–

Interest

Income

$61,631

$64,566

Total expenses

10,510

14,610

Net Investment Income

$51,121

$49,956

Net gain (loss) from investments

(8,587)

120,959

Net gain (loss) from swap and cap contracts

1,559

(74,594)

Net Income

$44,093

$96,321

Net Income Per Common Share (diluted)

$0.53

$1.16

Distributions per Common Share

$0.50

$0.55

Non-GAAP Measure

(in 000's)

Core Earnings

(1)

$37,836

$34,487

Non-GAAP Reconciliation

NET INCOME

$44,093

$96,321

Net (gain) loss from investments

8,587

(120,959)

Net (gain) loss on termination of swap contracts

1,411

-

Net unrealized (appreciation) depreciation on swap

and cap contracts

(16,255)

59,125

Core Earnings

$37,836

$34,487

Key Portfolio Statistics*

Average

yield

on

Agency

RMBS

(2)

2.81%

3.02%

Average

cost

of

funds

and

hedge

(3)

1.01%

1.07%

Interest

rate

spread

net

of

hedge

(4)

1.80%

1.95%

Operating

expense

ratio

(5)

1.53%

2.33%

Leverage

ratio

(at

period

end)

(6)

7.7:1

7.7:1

Three Months Ended

Balance Sheet Data

(in 000's)

12/31/2011

9/30/2011

Cash and Cash Equivalents

$11,508

$7,180

Total Assets

$9,518,057

$9,540,317

Repurchase Agreements

$7,880,814

$7,540,669

Net assets

$1,077,458

$1,074,207

Net assets per common share

$13.02

$12.98

As of

(in 000's)

(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 (i) the Company’s repurchase agreements balance plus payable for securities purchased minus receivable for securities sold (ii) by net assets.

* All percentages are annualized.

16

Financial Highlights

Steep yield curve and attractive spreads in target assets

Tailwinds likely to continue

Fed’s Transparency very helpful

Investment Company accounting provides transparency

Credit Suisse Financial Services Forum

February 9, 2012

Investment Outlook

February, 2012