BV today is likely still north of $13 and CYS will be paying out 35 cents in dividends per quarter for the next 12-24 months. That's $2.80 in dividends over the next 2 years plus around $1 per share in appreciation potential (at which point the stock will still be selling at a discount to BV). $3.80 on a $11.86 stock is a heck of a nice return.
The company's primary focus on current coupon 15 year agency MBS and hybrid ARMs (both typically purchased in the forward market at a discounted price), is a much lower risk strategy relative to other MREITS that focus on longer duration, higher priced, and/or prepayment protected product. Thus a 12% dividend yield is attractive relative to the lower BV/price risk taken by CYS.
Adjusted for the upcoming dividend (ex-date is likely only 3 weeks away) CYS trades at a paltry 88% of today's estimated BV, which offers some downside protection for the shares.
CYS raised a lot of capital well north of $13 in the past year or so. Management should be buying in its shares aggressively below $12, which would be very accretive to BV. It's better than reinvesting at today's QE-induced lower spreads.