Virginia (State or other jurisdiction of incorporation) | 1-9819 (Commission File Number) | 52-1549373 (IRS Employer Identification No.) | |
4991 Lake Brook Drive, Suite 100 Glen Allen, Virginia (Address of principal executive offices) | 23060-9245 (Zip Code) |
o | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |
o | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |
o | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
o | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Exhibit No. | Description | |
99.1 | Press Release dated April 29, 2015 |
DYNEX CAPITAL, INC. | |||
Date: | April 29, 2015 | By: | /s/ Stephen J. Benedetti |
Stephen J. Benedetti | |||
Executive Vice President, Chief Operating Officer and Chief Financial Officer |
FOR IMMEDIATE RELEASE | CONTACT: | Alison Griffin | |
(804) 217-5897 |
• | Comprehensive income of $11.3 million, or $0.21 per common share, comprised of net loss to common shareholders of $(11.8) million, or $(0.21) per common share, and other comprehensive income of $23.1 million, or $0.42 per common share |
• | Core net operating income of $12.4 million, or $0.23 per common share |
• | Book value per common share of $8.96 at March 31, 2015 versus $9.02 at December 31, 2014 |
• | Annualized economic return on beginning book value per common share of 7.98%, consisting of $0.24 in dividends declared and $0.06 decline in book value per common share during the quarter |
• | Overall leverage increased to 5.7x as a result of investment purchases of $583.1 million during the quarter (5.4x excluding forward settling purchases) |
($ in thousands, except per share amounts) | 1Q2015 | 4Q2014 | 1Q2014 | ||||||||
Net (loss) income per common share | $ | (0.21 | ) | $ | 0.03 | $ | (0.06 | ) | |||
Core net operating income per common share (1) | $ | 0.23 | $ | 0.23 | $ | 0.25 | |||||
Comprehensive income per common share | $ | 0.21 | $ | 0.11 | $ | 0.49 | |||||
Return on average common equity (annualized) | (9.5 | )% | 1.1 | % | (2.5 | )% | |||||
Adjusted return on average common equity (annualized) (1) | 9.9 | % | 10.1 | % | 11.3 | % | |||||
Dividends per common share | $ | 0.24 | $ | 0.25 | $ | 0.25 | |||||
Book value per common share, end of period | $ | 8.96 | $ | 9.02 | $ | 8.87 | |||||
Debt to shareholders' equity ratio, end of period | 5.7 | x | 5.1 | x | 5.9 | x | |||||
Average interest earning assets | $ | 3,577,644 | $ | 3,529,711 | $ | 4,002,555 | |||||
Average interest bearing liabilities | $ | 3,111,783 | $ | 3,054,355 | $ | 3,509,889 | |||||
Weighted average effective yield | 2.62 | % | 2.64 | % | 2.74 | % | |||||
Annualized cost of funds | 0.69 | % | 0.72 | % | 0.87 | % | |||||
Net interest spread | 1.93 | % | 1.92 | % | 1.87 | % | |||||
Adjusted net interest spread (1) | 1.96 | % | 1.97 | % | 1.88 | % |
(1) | Core net operating income per common share, adjusted return on average common equity, and adjusted net interest spread are non-GAAP financial measures and are reconciled in the supplement to this release. |
($ in thousands) | RMBS | CMBS | CMBS IO | Total | |||||||||||
Balance at December 31, 2014 | $ | 2,209,148 | $ | 543,235 | $ | 763,856 | $ | 3,516,239 | |||||||
Purchases | 58,442 | 457,217 | 67,474 | 583,133 | |||||||||||
Principal payments | (92,294 | ) | (11,111 | ) | — | (103,405 | ) | ||||||||
Sales | (60,666 | ) | — | (40,949 | ) | (101,615 | ) | ||||||||
Net premium amortization | (5,077 | ) | (1,216 | ) | (30,331 | ) | (36,624 | ) | |||||||
Change in net unrealized gain | 11,969 | 5,887 | 4,139 | 21,995 | |||||||||||
Balance at March 31, 2015 | $ | 2,121,522 | $ | 994,012 | $ | 764,189 | $ | 3,879,723 |
($ in thousands) | Par Balance (Notional for CMBS IO) (1) | Net Premium (Discount) | Amortized Cost | Fair Value | WAVG Coupon | |||||||||||||
RMBS: | ||||||||||||||||||
Agency | $ | 1,942,332 | $ | 104,352 | $ | 2,046,684 | $ | 2,044,880 | 3.08 | % | ||||||||
Non-Agency | 76,647 | (69 | ) | 76,578 | 76,642 | 3.57 | % | |||||||||||
2,018,979 | 104,283 | 2,123,262 | 2,121,522 | |||||||||||||||
CMBS: | ||||||||||||||||||
Agency | 740,363 | 17,321 | 757,684 | 777,747 | 3.68 | % | ||||||||||||
Non-Agency | 217,479 | (8,451 | ) | 209,028 | 216,265 | 4.23 | % | |||||||||||
957,842 | 8,870 | 966,712 | 994,012 | |||||||||||||||
CMBS IO: | ||||||||||||||||||
Agency | 10,415,002 | 410,948 | 410,948 | 424,193 | 0.87 | % | ||||||||||||
Non-Agency | 9,115,887 | 331,090 | 331,090 | 339,996 | 0.71 | % | ||||||||||||
19,530,889 | 742,038 | 742,038 | 764,189 | |||||||||||||||
$ | 2,976,821 | $ | 855,191 | $ | 3,832,012 | $ | 3,879,723 |
(1) | Total par balance excludes notional amounts of CMBS IO. |
1Q2015 | 4Q2014 | 3Q2014 | 2Q2014 | ||||||||
Agency RMBS | 12.4 | % | 12.5 | % | 15.3 | % | 14.1 | % | |||
Agency CMBS | 0.5 | % | 2.2 | % | 3.3 | % | 0.0 | % | |||
Total weighted average (1) | 9.2 | % | 11.2 | % | 13.9 | % | 12.4 | % |
(1) | CPRs for CMBS IO are not calculated and therefore are not included in the total weighted average. |
Fair Value | Weighted average % of total | |||||||||||||
($ in thousands) | RMBS | CMBS | CMBS IO | |||||||||||
AAA | $ | — | $ | 86,993 | $ | 318,480 | 64.1 | % | ||||||
AA | — | 60,383 | 18,640 | 12.5 | % | |||||||||
A | — | 31,108 | — | 4.9 | % | |||||||||
Below A or not rated | 76,642 | 37,781 | 2,876 | 18.5 | % | |||||||||
$ | 76,642 | $ | 216,265 | $ | 339,996 | 100.0 | % |
($ in thousands) | 1Q2015 | 4Q2014 | 1Q2014 | |||||
Weighted average effective yield by investment type (1): | ||||||||
RMBS | 1.88 | % | 1.87 | % | 1.87 | % | ||
CMBS | 3.70 | % | 4.09 | % | 4.61 | % | ||
CMBS IO | 3.83 | % | 3.94 | % | 4.21 | % | ||
Mortgage loans held for investment | 4.13 | % | 4.68 | % | 5.17 | % | ||
Total investments: | 2.62 | % | 2.64 | % | 2.74 | % | ||
Weighted average effective borrowing rate (2) | (0.66 | )% | (0.67 | )% | (0.86 | )% | ||
Adjusted net interest spread (2) | 1.96 | % | 1.97 | % | 1.88 | % |
(1) | Weighted average effective yield is based on the average balance of investments which is calculated using daily amortized cost basis. |
(2) | Weighted average effective borrowing rate and adjusted net interest spread are non-GAAP financial measures and are reconciled in the supplement to this release. |
March 31, 2015 | December 31, 2014 | ||||||||||||
($ in thousands) | Balance | Weighted Average Rate | Balance | Weighted Average Rate | |||||||||
Agency RMBS | $ | 1,901,144 | 0.40 | % | $ | 1,977,338 | 0.39 | % | |||||
Non-Agency RMBS | 59,396 | 1.54 | % | 17,594 | 1.57 | % | |||||||
Agency CMBS | 451,290 | 0.36 | % | 253,857 | 0.36 | % | |||||||
Non-Agency CMBS | 143,107 | 1.07 | % | 114,895 | 1.15 | % | |||||||
Agency CMBS IO | 346,527 | 0.93 | % | 372,609 | 0.92 | % | |||||||
Non-Agency CMBS IO | 275,257 | 1.05 | % | 266,983 | 1.04 | % | |||||||
Securitization financing bonds | 9,122 | 1.53 | % | 9,834 | 1.51 | % | |||||||
$ | 3,185,843 | 0.56 | % | $ | 3,013,110 | 0.61 | % |
Effective Period | Interest Rate Swaps - Payers Net of Receivers (1) | Weighted-Average Rate: Interest Rate Swaps - Payers Net of Receivers (1) | Eurodollar Futures (2) | Weighted-Average Rate: Eurodollar Futures (1) | Total Weighted Average Notional Outstanding (1) | Weighted Average Rate (1) | |||||||||||||||
($ in thousands) | |||||||||||||||||||||
Remainder of 2015 | $ | 784,873 | 1.52 | % | $ | 505,818 | 0.87 | % | $ | 1,290,691 | 1.27 | % | |||||||||
2016 | 980,628 | 1.53 | % | 1,292,691 | 1.67 | % | 2,273,319 | 1.61 | % | ||||||||||||
2017 | 873,178 | 1.61 | % | 1,113,767 | 2.99 | % | 1,986,945 | 2.38 | % | ||||||||||||
2018 | 800,000 | 1.67 | % | 681,027 | 3.74 | % | 1,481,027 | 2.62 | % | ||||||||||||
2019 | 667,178 | 1.77 | % | 487,055 | 4.00 | % | 1,154,233 | 2.71 | % | ||||||||||||
2020 | 421,079 | 1.89 | % | 194,604 | 4.56 | % | 615,683 | 2.73 | % | ||||||||||||
2021 | 355,000 | 1.90 | % | — | — | % | 355,000 | 1.90 | % | ||||||||||||
2022 | 283,082 | 1.93 | % | — | — | % | 283,082 | 1.93 | % | ||||||||||||
2023 | 162,534 | 1.80 | % | — | — | % | 162,534 | 1.80 | % | ||||||||||||
2024 | 162,104 | 1.82 | % | — | — | % | 162,104 | 1.82 | % | ||||||||||||
2025 | 9,315 | 1.93 | % | — | — | % | 9,315 | 1.93 | % |
($ in thousands) | Change in Fair Value of Derivative Instruments, Net | Periodic Interest Costs (1) | Gain (Loss) on Derivative Instruments, Net | ||||||||
Interest rate swaps-receivers | $ | 3,332 | $ | 1,196 | $ | 4,528 | |||||
Interest rate swaps-payers | (11,305 | ) | (2,058 | ) | (13,363 | ) | |||||
Eurodollar futures | (16,488 | ) | — | (16,488 | ) | ||||||
Total | $ | (24,461 | ) | $ | (862 | ) | $ | (25,323 | ) |
(1) | Periodic interest costs represent interest receipts and payments (including accrued amounts) related to interest rate swaps effective during the quarter. |
# | # | # |
March 31, 2015 | December 31, 2014 | ||||||
ASSETS | (unaudited) | ||||||
Mortgage-backed securities | $ | 3,879,723 | $ | 3,516,239 | |||
Mortgage loans held for investment, net | 32,775 | 39,700 | |||||
Investment in limited partnership | 10,022 | 4,000 | |||||
Cash and cash equivalents | 38,504 | 43,944 | |||||
Restricted cash | 66,967 | 42,263 | |||||
Derivative assets | 8,079 | 5,727 | |||||
Principal receivable on investments | 8,792 | 7,420 | |||||
Accrued interest receivable | 22,856 | 21,157 | |||||
Other assets, net | 7,793 | 7,861 | |||||
Total assets | $ | 4,075,511 | $ | 3,688,311 | |||
LIABILITIES AND SHAREHOLDERS’ EQUITY | |||||||
Liabilities: | |||||||
Repurchase agreements | $ | 3,185,843 | $ | 3,013,110 | |||
Payable for unsettled mortgage-backed securities | 196,473 | — | |||||
Non-recourse collateralized financing | 10,196 | 10,786 | |||||
Derivative liabilities | 57,168 | 35,898 | |||||
Accrued interest payable | 2,260 | 1,947 | |||||
Accrued dividends payable | 15,112 | 15,622 | |||||
Other liabilities | 2,998 | 3,646 | |||||
Total liabilities | 3,470,050 | 3,081,009 | |||||
Shareholders’ equity: | |||||||
Preferred stock, par value $.01 per share, 8.5% Series A Cumulative Redeemable; 8,000,000 shares authorized; 2,300,000 shares issued and outstanding ($57,500 aggregate liquidation preference) | $ | 55,407 | $ | 55,407 | |||
Preferred stock, par value $.01 per share, 7.625% Series B Cumulative Redeemable; 7,000,000 shares authorized; 2,250,000 shares issued and outstanding($56,250 aggregate liquidation preference) | 54,251 | 54,251 | |||||
Common stock, par value $.01 per share, 200,000,000 shares authorized; 54,893,076 and 54,739,111 shares issued and outstanding, respectively | 549 | 547 | |||||
Additional paid-in capital | 763,979 | 763,935 | |||||
Accumulated other comprehensive income | 44,369 | 21,316 | |||||
Accumulated deficit | (313,094 | ) | (288,154 | ) | |||
Total shareholders' equity | 605,461 | 607,302 | |||||
Total liabilities and shareholders’ equity | $ | 4,075,511 | $ | 3,688,311 | |||
Book value per common share | $ | 8.96 | $ | 9.02 |
Three Months Ended | |||||||
March 31, | |||||||
2015 | 2014 | ||||||
Interest income: | |||||||
Mortgage-backed securities | $ | 23,727 | $ | 26,902 | |||
Mortgage loans held for investment, net | 372 | 738 | |||||
24,099 | 27,640 | ||||||
Interest expense: | |||||||
Repurchase agreements | 5,346 | 7,611 | |||||
Non-recourse collateralized financing | 25 | 22 | |||||
5,371 | 7,633 | ||||||
Net interest income | 18,728 | 20,007 | |||||
Loss on derivative instruments, net | (25,323 | ) | (13,422 | ) | |||
Gain (loss) on sale of investments, net | 1,308 | (3,307 | ) | ||||
Fair value adjustments, net | 39 | 32 | |||||
Income from investment in limited partnership | 22 | — | |||||
Other income, net | 12 | 75 | |||||
General and administrative expenses: | |||||||
Compensation and benefits | (2,117 | ) | (2,552 | ) | |||
Other general and administrative | (2,141 | ) | (1,567 | ) | |||
Net loss | (9,472 | ) | (734 | ) | |||
Preferred stock dividends | (2,294 | ) | (2,294 | ) | |||
Net loss to common shareholders | $ | (11,766 | ) | $ | (3,028 | ) | |
Other comprehensive income: | |||||||
Change in fair value of available-for-sale investments | $ | 23,304 | $ | 23,965 | |||
Reclassification adjustment for (gain) loss on sale of investments, net | (1,308 | ) | 3,307 | ||||
Reclassification adjustment for de-designated cash flow hedges | 1,057 | 2,288 | |||||
Total other comprehensive income | 23,053 | 29,560 | |||||
Comprehensive income to common shareholders | $ | 11,287 | $ | 26,532 | |||
Weighted average common shares | $ | 54,800 | $ | 54,626 | |||
Net loss per common share-basic and diluted | $ | (0.21 | ) | $ | (0.06 | ) |
Three Months Ended | |||||||||||
March 31, 2015 | December 31, 2014 | March 31, 2014 | |||||||||
GAAP net (loss) income to common shareholders | $ | (11,766 | ) | $ | 1,379 | $ | (3,028 | ) | |||
Amortization of de-designated cash flow hedges (1) | 1,057 | 1,449 | 2,288 | ||||||||
Change in fair value of derivative instruments, net | 24,461 | 20,675 | 11,211 | ||||||||
(Gain) loss on sale of investments, net | (1,308 | ) | (10,950 | ) | 3,307 | ||||||
Fair value adjustments, net | (39 | ) | (45 | ) | (32 | ) | |||||
Core net operating income to common shareholders | $ | 12,405 | $ | 12,508 | $ | 13,746 | |||||
Core net operating income per common share | $ | 0.23 | $ | 0.23 | $ | 0.25 | |||||
Average common equity during the period | $ | 497,626 | $ | 501,553 | $ | 485,044 | |||||
ROAE, calculated using annualized GAAP net (loss) income | (9.5 | )% | 1.1 | % | (2.5 | )% | |||||
Adjusted ROAE, calculated using annualized core net operating income | 9.9 | % | 10.1 | % | 11.3 | % |
Three Months Ended | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | March 31, 2014 | ||||||||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | Amount | Yield/Rate | |||||||||||||||
GAAP interest income | $ | 24,099 | 2.62 | % | $ | 24,286 | 2.64 | % | $ | 27,640 | 2.74 | % | ||||||||
GAAP interest expense/annualized cost of funds (1) | 5,371 | 0.69 | % | 5,652 | 0.72 | % | 7,633 | 0.87 | % | |||||||||||
Net interest income/spread | 18,728 | 1.93 | % | 18,634 | 1.92 | % | 20,007 | 1.87 | % | |||||||||||
GAAP interest expense/annualized cost of funds (1) | $ | 5,371 | 0.69 | % | $ | 5,652 | 0.72 | % | $ | 7,633 | 0.87 | % | ||||||||
Amortization of de-designated cash flow hedges (1) | (1,057 | ) | (0.14 | )% | (1,449 | ) | (0.19 | )% | (2,288 | ) | (0.26 | )% | ||||||||
Net periodic interest costs of derivative instruments | 862 | 0.11 | % | 1,064 | 0.14 | % | 2,211 | 0.25 | % | |||||||||||
Effective borrowing cost/rate | 5,176 | 0.66 | % | 5,267 | 0.67 | % | 7,556 | 0.86 | % | |||||||||||
Adjusted net interest income/spread | $ | 18,923 | 1.96 | % | $ | 19,019 | 1.97 | % | $ | 20,084 | 1.88 | % |
(1) | Rates shown are based on annualized interest expense amounts divided by average interest bearing liabilities. |
(2) | Amount recorded as a portion of "interest expense" in accordance with GAAP related to the amortization of the balance remaining in accumulated other comprehensive loss as of June 30, 2013 as a result of the Company's discontinuation of hedge accounting. |