Rebound in book value for CYS

Core EPS plus drop income totals $0.35, beating estimates by a penny and compares to dividend of $0.32.

As expected with the big gain in fixed income in Q1, book value per share of $9.68 bounced from $9.24 three months previous. The rebound is larger when considering the $0.32 dividend. The current price is a 9.8% discount to book.

Interest rate spread of 1.89% is unchanged from Q4. CPR of 5.6% vs. 5.7% in Q4.

Company cut agency portfolio size to $11.8B from $13.9B, and added $1.5B of Treasurys. Adjustment made to "reduce duration gap ... be in better position to take advantage of a possible cheapening of the Agency RMBS market." Leverage ratio of 6.32:1 compares to 6.97:1 in Q4.

No shares repurchased during quarter vs. 5.2M bought during Q4.

CYS +1.4% AH

CC tomorrow at 9 ET

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