Cypress Sharpridge Investments, Inc. Announces Second Quarter 2009 Financial Results

NEW YORK--(Business Wire)--
Cypress Sharpridge Investments, Inc. (NYSE: CYS) ("CYS" or the "Company") today
announced financial results for the quarter ended June 30, 2009.

Second Quarter 2009 Highlights

* Raised approximately $105.8 million of net proceeds through its initial public
offering of common stock that closed on June 17, 2009
* GAAP net income of $20.6 million or $2.22 per diluted share, compared to $13.0
million or $1.71 per diluted share in the first quarter of 2009
* Core Earnings of $6.8 million or $0.74 per diluted share, compared to $4.3
million or $0.57 per diluted share in the first quarter of 2009
* Declared a $0.60 dividend per share on April 7, 2009; declared a $0.60
dividend per share on June 2, 2009
* Interest rate spread net of hedge of 3.88%, compared to 2.94% in the first
quarter of 2009
* Weighted-average amortized cost of Agency RMBS (defined below) of $101.3
compared to $101.6 in the first quarter of 2009

Initial Public Offering

On June 17, 2009, the Company successfully completed its initial public offering
of 10,465,000 shares of common stock, raising approximately $105.8 million of
net proceeds, bringing the total number of shares of common stock outstanding to
18,133,538 at June 30, 2009. The net proceeds are largely deployed. In June
2009, the Company settled approximately $10.1 million of Agency RMBS backed by
hybrid adjustable-rate mortgages ("ARMs") and $51.2 million Agency RMBS backed
by 15-year, 4.5% fixed-rate mortgages. Agency RMBS purchased during the three
months ended June 30, 2009 had a weighted-average purchase price of $100.94. In
addition, as of June 30, 2009 the Company had the following forward settling
purchases:

Forward Settling Purchases Settle Date Par
FNMA - 15 Year 4.5% Fixed 7/16/2009 $ 52,429,867
FNMA - 15 Year 4.5% Fixed 8/18/2009 60,000,000
FNMA - 15 Year 4.5% Fixed 9/17/2009 150,000,000
FNMA - 5X1 4.084% Hybrid ARM 7/22/2009 25,055,082
FNMA - 5X1 3.9% Hybrid ARM 9/23/2009 150,000,000
FNMA - 5X1 4.03% Hybrid ARM 9/23/2009 50,000,000
FNMA - 5X1 4.1% Hybrid ARM 9/23/2009 100,000,000
FNMA - 5X1 4.05% Hybrid ARM 9/24/2009 50,000,000
$ 637,484,949

Second Quarter 2009 Results

The Company had net income of $20.6 million or $2.22 per diluted share, compared
to $13.0 million or $1.71 per diluted share in the first quarter of 2009. During
the second quarter of 2009, the Company had Core Earnings of $6.8 million or
$0.74 per diluted share, compared to $4.3 million or $0.57 per diluted share in
the first quarter of 2009. Core Earnings represents a non-GAAP financial measure
and is defined as net income (loss) excluding (i) net realized gain (loss) on
investments and termination of swap contracts and (ii) net unrealized
appreciation (depreciation) on investments and swap contracts. The
quarter-over-quarter increase in Core Earnings was generally the result of
having a higher interest rate spread for the second quarter of 2009 as compared
to the first quarter of 2009.

The Company`s average Agency RMBS increased to $789.5 million in the second
quarter of 2009 from $698.8 million in the first quarter of 2009, and the
interest rate spread net of hedge increased to 3.88% for the second quarter of
2009 from 2.94% in the first quarter of 2009, largely due to a decrease in
short-term funding costs. The Company incurred $1.4 million of non-investment
expenses in the second quarter of 2009, compared to $1.6 million during the
first quarter of 2009. This decrease was due to a decrease in the related party
management compensation expense.

The Company`s net asset value per share on June 30, 2009 was $12.66, and the
March 31, 2009 net asset value per share was $14.64.

Key Portfolio Statistics*

Three Months Ended
June 30, 2009 March 31, 2009
Average Agency RMBS (1) $ 789,520,805 $ 698,837,649
Average securities sold under agreement to repurchase 693,518,835 612,497,196
Average net assets 129,484,724 106,214,309
Average yield on Agency RMBS (2) 4.75 % 5.20 %
Average cost of funds & hedge (3) 0.87 % 2.26 %
Interest rate spread net of hedge (4) 3.88 % 2.94 %
Leverage ratio (at period end) (5) 5.9:1 7.0:1

(1) The Company`s average Agency RMBS for the period was calculated by averaging
the cost basis of the Company`s settled Agency RMBS during the period.

(2) The Company`s average yield on Agency RMBS for the period was calculated by
dividing the Company`s interest income from Agency RMBS by the Company`s average
Agency RMBS.

(3) The Company`s average cost of funds and hedge for the period was calculated
by dividing the Company`s total interest expense, including the Company`s net
swap interest income (expense), by the Company`s average securities sold under
agreement to repurchase.

(4) The Company`s interest rate spread net of hedge for the period was
calculated by subtracting the Company`s average cost of funds & hedge from the
Company`s average yield on Agency RMBS.

(5) The Company`s leverage ratio was calculated by dividing total liabilities by
net assets.

* All percentages are annualized.

Portfolio

At June 30, 2009, the Company`s $1.5 billion portfolio of Agency RMBS was backed
by: hybrid ARMs with 24 or fewer months to reset ("Short Reset ARMs") (12.4%),
hybrid ARMs with 25 to 60 months to reset (48.8%), fixed-rate mortgages (28.6%)
and monthly reset ARMs ("MTA") (10.2%). Additional information about our Agency
RMBS portfolio as of June 30, 2009 is summarized below:

Weighted Average
Asset Type Par Value Cost Price MTR1 Coupon CPR2
(in thousands)
MTA $ 151,750 $ 103.72 $ 102.37 1 3.8 % 2.3 %
Short Reset ARMs 182,910 101.59 102.87 6.7 4.5 19.4
Hybrid ARMs 717,016 101.03 103.18 49.2 4.8 15.1
Fixed Rate 423,390 100.75 102.40 NA 4.8 22.8
Total/Weighted-Average $ 1,475,066 $ 101.30 $ 102.83 34.9 4.7 % 14.8 %

(1) Months to reset.

(2) Constant prepayment rate or the annualized three month prepayment rate of
the June 30, 2009 portfolio with prepayment history.

Financing, Leverage & Liquidity

At June 30, 2009, the Company had financed its portfolio with approximately
$699.0 million of borrowings with securities sold under agreement to repurchase
("repurchase agreements") with a weighted-average interest rate of 0.51%. These
repurchase agreements had a weighted-average maturity of approximately 44.9
days. In addition, the Company had payable for securities purchased of $644.3
million. The Company`s leverage ratio at June 30, 2009 was 5.9 to 1. As of June
30, 2009, the Company`s liquidity position was approximately $157.3 million,
consisting of unpledged Agency RMBS, cash and cash equivalents.

Hedging

The Company utilizes interest rate swap contracts to hedge the interest rate
risk associated with the financed portion of its Agency RMBS portfolio. At June
30, 2009, the Company had entered into three interest rate swap contracts with
an aggregate notional amount of $640.0 million and an average fixed rate of
2.006% described below:

Interest Rate Swap Contracts at June 30, 2009

Counterparty Expiration Date Pay Rate Receive Rate Notional Amount Fair Value
Deutsche Bank Group April 2012 1.691 % 3-Month LIBOR $ 240,000,000 $ 2,059,581
Deutsche Bank Group June 2012 2.266 % 3-Month LIBOR 200,000,000 (741,401 )
The Royal Bank of Scotland plc July 2012 2.125 % 3-Month LIBOR 200,000,000 -
Total $ 640,000,000 $ 1,318,180

Conference Call

CYS will host a conference call at 11:00 AM Eastern Time on Friday, July 31,
2009, to discuss its financial results for the quarter ended June 30, 2009. To
participate in the event by telephone, please dial 800.299.7089 at least 10
minutes prior to the start time and reference the conference passcode 93552530.
International callers should dial 617.801.9714 and reference the same passcode.
The conference call will also be webcast live over the Internet and can be
accessed at the Company`s Web site at www.cysinv.com. To listen to the live
webcast, please visit 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 Friday, July 31, 2009 at approximately 3:00 PM
Eastern Time through Friday, August 7 at 11:00 AM Eastern Time. To access this
replay, please dial 888.286.8010 and enter the conference ID number 22402561.
International callers should dial 617.801.6888 and enter the same conference ID
number. A replay of the conference call will also be archived on the Company`s
website at www.cysinv.com.

About Cypress Sharpridge Investments, Inc.

Cypress Sharpridge Investments, Inc. is a specialty finance company that invests
on a leveraged basis in whole-pool 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. Cypress Sharpridge Investments has elected to be taxed as a real
estate investment trust for federal income tax purposes.

CYPRESS SHARPRIDGE INVESTMENTS, INC.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2009 December 31,
(Unaudited) 2008*
ASSETS:
Investments in securities, at fair value (cost, $1,535,005,062 and $723,814,995, respectively) $ 1,519,706,671 $ 690,509,973
Interest rate swap contracts, at fair value 2,059,581 -
Cash and cash equivalents 44,644,536 7,156,140
Receivable for securities sold 2,346,742 885,009
Interest receivable 5,695,555 3,828,586
Prepaid insurance 627,575 65,851

Total assets 1,575,080,660 702,445,559

LIABILITIES:
Securities sold under agreement to repurchase 699,004,746 587,485,241
Interest rate swap contracts, at fair value 741,401 12,503,520
Payable for securities purchased 644,304,456 -
Accrued interest payable (including accrued interest on securities sold under agreement to repurchase of $207,438 and $1,598,881, respectively) 547,365 2,327,208
Related party management fee payable 310,184 220,045
Accrued offering costs 332,687 510,569
Accrued expenses and other liabilities 281,392 598,127

Total liabilities 1,345,522,231 603,644,710

NET ASSETS $ 229,558,429 $ 98,800,849

Net Assets consist of:
Common Stock, $.01 par value, 500,000,000 shares authorized (18,133,538 and 7,662,706 shares issued and outstanding, respectively) $ 181,335 $ 76,627
Additional paid in capital 308,206,053 201,941,407
Accumulated net realized gain (loss) on investments (80,697,130 ) (68,887,694 )
Net unrealized appreciation (depreciation) on investments (13,980,211 ) (45,808,542 )
Undistributed net investment income 15,848,382 11,479,051

NET ASSETS $ 229,558,429 $ 98,800,849

NET ASSET VALUE PER SHARE $ 12.66 $ 12.89

* Derived from audited financial statements.

CYPRESS SHARPRIDGE INVESTMENTS, INC.

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

Three Months Ended June 30, Six Months Ended June 30,
2009 2008 2009 2008
INVESTMENT INCOME - Interest income $ 9,727,375 $ 11,720,492 $ 19,048,720 $ 32,345,751

EXPENSES:
Interest 1,111,059 3,891,473 2,500,567 14,820,206
Management fees 786,999 593,826 1,498,768 1,183,691
Related party management compensation 102,923 493,175 533,218 593,952
General, administrative and other 524,416 359,620 944,590 721,627

Total expenses 2,525,397 5,338,094 5,477,143 17,319,476

Net investment income 7,201,978 6,382,398 13,571,577 15,026,275

GAINS AND (LOSSES) FROM INVESTMENTS:
Net realized gain (loss) on investments (25,945 ) (11,539 ) 1,415,931 (4,217,155 )
Net unrealized appreciation (depreciation) on investments 12,469,386 (2,749,450 ) 18,006,631 (14,666,251 )

Net gain (loss) from investments 12,443,441 (2,760,989 ) 19,422,562 (18,883,406 )

GAINS AND (LOSSES) FROM SWAP CONTRACTS:
Net swap interest income (expense) (392,098 ) (1,992,202 ) (2,421,244 ) (3,322,503 )
Net gain (loss) on termination of swap contracts (10,804,123 ) - (10,804,123 ) (29,927,526 )
Net unrealized appreciation (depreciation) on swap contracts 12,127,098 11,275,723 13,821,700 15,566,272

Net gain (loss) from swap contracts 930,877 9,283,521 596,333 (17,683,757 )

NET INCOME (LOSS) $ 20,576,296 $ 12,904,930 $ 33,590,472 $ (21,540,888 )

NET INCOME (LOSS) PER COMMON SHARE:

Basic $ 2.23 $ 1.85 $ 3.99 $ (3.19 )

Diluted $ 2.22 $ 1.84 $ 3.98 $ (3.19 )

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING:
Basic 9,228,703 6,983,954 8,417,133 6,762,966

Diluted 9,252,934 6,996,869 8,442,266 6,762,966

Core Earnings:

Core Earnings represents a non-GAAP financial measure and 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
contracts. In order to evaluate the effective yield of the portfolio, management
uses Core Earnings to reflect the net investment income of our portfolio as
adjusted to reflect the net swap interest income (expense). Core Earnings allows
management to isolate the interest income (expense) associated with our swaps in
order to monitor and project our borrowing costs and interest rate spread. In
addition, management utilizes Core Earnings as a key metric in conjunction with
other portfolio and market factors to determine the appropriate leverage and
hedging ratios, as well as the overall structure of the portfolio.

The Company adopted SOP 07-1, Clarification of the Scope of Audit and Accounting
Guide Investment Companies, prior to its deferral in February 2008, while most,
if not all, other public companies that invest only in Agency RMBS have not
adopted SOP 07-1. Under SOP 07-1, the Company uses financial reporting for
investment companies, and accordingly, its investments are carried at fair value
with changes in fair value included in earnings. Most other public companies
that invest only in Agency RMBS include most changes in the fair value of their
investments within shareholders` equity, not in earnings. As a result, investors
are not able to readily compare the Company`s results of operations to those of
most of its competitors. The Company believes that the presentation of its Core
Earnings is useful to investors because it provides a means of comparing its
Core Earnings to those of its competitors. In addition, because Core Earnings
isolates the net swap interest income (expense) it provides investors with an
additional metric to identify trends in the Company`s portfolio as they relate
to the interest rate environment.

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 gain (loss) from investments. In addition, the Company`s
presentation of Core Earnings may not be comparable to similarly-titled measures
of other companies, who may use different calculations. As a result, Core
Earnings should not be considered as a substitute for the Company`s GAAP net
income (loss) as a measure of our financial performance or any measure of our
liquidity under GAAP.

Three Months Ended June 30, Six Months Ended June 30,
Non-GAAP Reconciliation: 2009 2008 2009 2008
NET INCOME (LOSS) $ 20,576,296 $ 12,904,930 $ 33,590,472 $ (21,540,888 )
Net (gain) loss from investments (12,443,441 ) 2,760,989 (19,422,562 ) 18,883,406
Net (gain) loss on termination of swap contracts 10,804,123 - 10,804,123 29,927,526
Net unrealized (appreciation) depreciation on swap contracts (12,127,098 ) (11,275,723 ) (13,821,700 ) (15,566,272 )
Core Earnings $ 6,809,880 $ 4,390,196 $ 11,150,333 $ 11,703,772

Cypress Sharpridge Investments, Inc.
Richard E. Cleary, 212-705-0160
Chief Operating Officer

Copyright Business Wire 2009

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