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 August 6, 2015 |
DYNEX CAPITAL, INC. | |||
Date: | August 6, 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 | |
August 6, 2015 | (804) 217-5897 |
• | Comprehensive loss of $(0.21) per common share comprised of net income to common shareholders of $0.52 per common share and other comprehensive loss of $(0.73) per common share. |
• | Core net operating income, a non-GAAP measure, of $0.21 per common share |
• | Net interest spread of 1.97% and adjusted net interest spread, a non-GAAP measure, of 1.86% |
• | Book value per common share of $8.53 at June 30, 2015, a decline of 4.8% from $8.96 at March 31, 2015 |
• | Overall leverage of 6.2x at June 30, 2015 versus 5.7x at March 31, 2015 |
• | Repurchased 0.8 million shares of common stock at a weighted average repurchase price of $7.76 |
• | Constant prepayment rate on Agency RMBS of 16.7% during the second quarter of 2015 versus 12.4% during the first quarter |
• | Diversified financing through admission of wholly-owned subsidiary to membership in the Federal Home Loan Bank of Indianapolis |
($ in thousands) | RMBS | CMBS | CMBS IO | Total | |||||||||||
Balance at March 31, 2015 | $ | 2,121,522 | $ | 994,012 | $ | 764,189 | $ | 3,879,723 | |||||||
Purchases | 9,251 | 323,059 | 83,775 | 416,085 | |||||||||||
Principal payments | (122,271 | ) | (14,085 | ) | — | (136,356 | ) | ||||||||
Sales | (97,900 | ) | (99,709 | ) | (30,766 | ) | (228,375 | ) | |||||||
Net premium amortization | (6,268 | ) | (1,487 | ) | (29,903 | ) | (37,658 | ) | |||||||
Change in net unrealized gain | (7,180 | ) | (22,952 | ) | (10,404 | ) | (40,536 | ) | |||||||
Balance at June 30, 2015 | $ | 1,897,154 | $ | 1,178,838 | $ | 776,891 | $ | 3,852,883 |
As of June 30, 2015 | 2Q2015 | ||||||||||||||||||||
($ in thousands) | Par Balance (Notional for CMBS IO) (1) | Net Premium (Discount) | Amortized Cost | Fair Value | WAVG Coupon | Effective Yield (2) | |||||||||||||||
RMBS: | |||||||||||||||||||||
Agency | $ | 1,741,996 | $ | 90,244 | $ | 1,832,240 | $ | 1,823,272 | 3.05 | % | 1.75 | % | |||||||||
Non-Agency | 73,896 | (62 | ) | 73,834 | 73,882 | 3.55 | % | 3.63 | % | ||||||||||||
1,815,892 | 90,182 | 1,906,074 | 1,897,154 | 3.07 | % | 1.82 | % | ||||||||||||||
CMBS: | |||||||||||||||||||||
Agency | 952,322 | 16,331 | 968,653 | 966,903 | 3.45 | % | 3.07 | % | |||||||||||||
Non-Agency | 214,220 | (8,384 | ) | 205,836 | 211,935 | 4.22 | % | 4.46 | % | ||||||||||||
1,166,542 | 7,947 | 1,174,489 | 1,178,838 | 3.59 | % | 3.38 | % | ||||||||||||||
CMBS IO: | |||||||||||||||||||||
Agency | 11,198,955 | 426,897 | 426,897 | 435,661 | 0.72 | % | 3.83 | % | |||||||||||||
Non-Agency | 9,572,727 | 338,247 | 338,247 | 341,230 | 0.61 | % | 3.89 | % | |||||||||||||
20,771,682 | 765,144 | 765,144 | 776,891 | 0.67 | % | 3.86 | % | ||||||||||||||
$ | 2,982,434 | $ | 863,273 | $ | 3,845,707 | $ | 3,852,883 | 2.62 | % |
(1) | Total par balance excludes notional amounts of CMBS IO. |
June 30, 2015 | March 31, 2015 | ||||||||||||
($ in thousands) | Balance | Weighted Average Rate | Balance | Weighted Average Rate | |||||||||
Agency RMBS | $ | 1,786,642 | 0.40 | % | $ | 1,901,144 | 0.40 | % | |||||
Non-Agency RMBS | 57,775 | 1.61 | % | 59,396 | 1.54 | % | |||||||
Agency CMBS | 740,454 | 0.36 | % | 451,290 | 0.36 | % | |||||||
Non-Agency CMBS | 168,920 | 1.04 | % | 143,107 | 1.07 | % | |||||||
Agency CMBS IO | 360,837 | 0.94 | % | 346,527 | 0.93 | % | |||||||
Non-Agency CMBS IO | 280,125 | 1.06 | % | 275,257 | 1.05 | % | |||||||
Securitization financing bonds | 8,211 | 1.54 | % | 9,122 | 1.53 | % | |||||||
$ | 3,402,964 | 0.56 | % | $ | 3,185,843 | 0.56 | % |
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 | $ | 965,272 | 1.58 | % | $ | — | — | % | $ | 965,272 | 1.58 | % | |||||||||
2016 | 1,160,628 | 1.58 | % | 1,026,298 | 1.83 | % | 2,186,926 | 1.69 | % | ||||||||||||
2017 | 1,053,178 | 1.64 | % | 1,113,767 | 2.99 | % | 2,166,945 | 2.34 | % | ||||||||||||
2018 | 980,000 | 1.70 | % | 681,027 | 3.74 | % | 1,661,027 | 2.53 | % | ||||||||||||
2019 | 914,164 | 1.76 | % | 487,055 | 4.00 | % | 1,401,219 | 2.54 | % | ||||||||||||
2020 | 718,975 | 2.19 | % | 194,604 | 4.56 | % | 913,579 | 2.70 | % | ||||||||||||
2021 | 660,000 | 2.44 | % | — | — | % | 660,000 | 2.44 | % | ||||||||||||
2022 | 588,082 | 2.52 | % | — | — | % | 588,082 | 2.52 | % | ||||||||||||
2023 | 467,534 | 2.62 | % | — | — | % | 467,534 | 2.62 | % | ||||||||||||
2024 | 467,104 | 2.63 | % | — | — | % | 467,104 | 2.63 | % | ||||||||||||
2025 | 137,671 | 2.80 | % | — | — | % | 137,671 | 2.80 | % |
($ in thousands) | Realized Gains (Losses) | Change in Fair Value of Derivative Instruments | Periodic Interest Costs (1) | Gain (Loss) on Derivative Instruments, Net | |||||||||||
Receive-fixed interest rate swaps | $ | — | $ | (2,922 | ) | $ | 1,176 | $ | (1,746 | ) | |||||
Pay-fixed interest rate swaps | 917 | 18,315 | (2,969 | ) | 16,263 | ||||||||||
Eurodollar futures | (288 | ) | 2,861 | — | 2,573 | ||||||||||
Total | $ | 629 | $ | 18,254 | $ | (1,793 | ) | $ | 17,090 |
(1) | Amounts represent interest earned or incurred related to interest rate swaps effective during the quarter. |
# | # | # |
June 30, 2015 | December 31, 2014 | ||||||
ASSETS | (unaudited) | ||||||
Mortgage-backed securities | $ | 3,852,883 | $ | 3,516,239 | |||
Mortgage loans held for investment, net | 29,858 | 39,700 | |||||
Investment in limited partnership | 10,733 | 4,000 | |||||
Cash and cash equivalents | 56,463 | 43,944 | |||||
Restricted cash | 57,880 | 42,263 | |||||
Derivative assets | 20,804 | 5,727 | |||||
Receivable for securities sold | 96,168 | — | |||||
Principal receivable on investments | 10,584 | 7,420 | |||||
Accrued interest receivable | 21,315 | 21,157 | |||||
Other assets, net | 12,354 | 7,861 | |||||
Total assets | $ | 4,169,042 | $ | 3,688,311 | |||
LIABILITIES AND SHAREHOLDERS’ EQUITY | |||||||
Liabilities: | |||||||
Repurchase agreements | $ | 3,402,964 | $ | 3,013,110 | |||
FHLB advances | 108,076 | — | |||||
Payable for unsettled mortgage-backed securities | 4,014 | — | |||||
Non-recourse collateralized financing | 8,788 | 10,786 | |||||
Derivative liabilities | 48,240 | 35,898 | |||||
Accrued interest payable | 2,067 | 1,947 | |||||
Accrued dividends payable | 14,878 | 15,622 | |||||
Other liabilities | 4,762 | 3,646 | |||||
Total liabilities | 3,593,789 | 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; 54,084,611 and 54,739,111 shares issued and outstanding, respectively | 541 | 547 | |||||
Additional paid-in capital | 758,230 | 763,935 | |||||
Accumulated other comprehensive income | 4,691 | 21,316 | |||||
Accumulated deficit | (297,867 | ) | (288,154 | ) | |||
Total shareholders' equity | 575,253 | 607,302 | |||||
Total liabilities and shareholders’ equity | $ | 4,169,042 | $ | 3,688,311 | |||
Book value per common share | $ | 8.53 | $ | 9.02 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Interest income: | |||||||||||||||
Mortgage-backed securities | $ | 24,196 | $ | 26,995 | $ | 47,923 | $ | 53,897 | |||||||
Mortgage loans held for investment, net | 331 | 723 | 703 | 1,462 | |||||||||||
24,527 | 27,718 | 48,626 | 55,359 | ||||||||||||
Interest expense: | |||||||||||||||
Repurchase agreements and FHLB advances | 5,506 | 6,548 | 10,852 | 14,159 | |||||||||||
Non-recourse collateralized financing | 36 | 24 | 61 | 46 | |||||||||||
5,542 | 6,572 | 10,913 | 14,205 | ||||||||||||
Net interest income | 18,985 | 21,146 | 37,713 | 41,154 | |||||||||||
Gain (loss) on derivative instruments, net | 17,090 | (23,074 | ) | (8,233 | ) | (36,496 | ) | ||||||||
Loss on sale of investments, net | (1,491 | ) | (477 | ) | (183 | ) | (3,784 | ) | |||||||
Fair value adjustments, net | 20 | 88 | 59 | 119 | |||||||||||
Equity in income of limited partnership | 711 | — | 733 | — | |||||||||||
Other (expense) income, net | (99 | ) | 137 | (88 | ) | 212 | |||||||||
General and administrative expenses: | |||||||||||||||
Compensation and benefits | (2,351 | ) | (2,329 | ) | (4,467 | ) | (4,881 | ) | |||||||
Other general and administrative | (2,403 | ) | (1,490 | ) | (4,544 | ) | (3,057 | ) | |||||||
Net income (loss) | 30,462 | (5,999 | ) | 20,990 | (6,733 | ) | |||||||||
Preferred stock dividends | (2,294 | ) | (2,294 | ) | (4,588 | ) | (4,588 | ) | |||||||
Net income (loss) to common shareholders | $ | 28,168 | $ | (8,293 | ) | $ | 16,402 | $ | (11,321 | ) | |||||
Other comprehensive income: | |||||||||||||||
Change in unrealized (loss) gain on available-for-sale investments | $ | (42,027 | ) | $ | 33,114 | $ | (18,722 | ) | $ | 57,080 | |||||
Reclassification adjustment for loss on sale of investments, net | 1,491 | 477 | 183 | 3,784 | |||||||||||
Reclassification adjustment for de-designated cash flow hedges | 857 | 1,608 | 1,914 | 3,896 | |||||||||||
Total other comprehensive (loss) income | (39,679 | ) | 35,199 | (16,625 | ) | 64,760 | |||||||||
Comprehensive (loss) income to common shareholders | $ | (11,511 | ) | $ | 26,906 | $ | (223 | ) | $ | 53,439 | |||||
Weighted average common shares | $ | 54,574 | $ | 54,711 | $ | 54,687 | $ | 54,669 | |||||||
Net income (loss) per common share-basic and diluted | $ | 0.52 | $ | (0.15 | ) | $ | 0.30 | $ | (0.21 | ) |
2Q2015 | 1Q2015 | 4Q2014 | 3Q2014 | 2Q2014 | |||||||||||||||
Net income (loss) per common share | $ | 0.52 | $ | (0.21 | ) | $ | 0.03 | $ | 0.52 | $ | (0.15 | ) | |||||||
Core net operating income per common share (1) | $ | 0.21 | $ | 0.23 | $ | 0.23 | $ | 0.25 | $ | 0.26 | |||||||||
Comprehensive (loss) income per common share | $ | (0.21 | ) | $ | 0.21 | $ | 0.11 | $ | 0.26 | $ | 0.49 | ||||||||
ROAE (annualized) | 23.3 | % | (9.5 | )% | 1.1 | % | 22.7 | % | (6.7 | )% | |||||||||
Adjusted ROAE (annualized) (1) | 9.6 | % | 9.9 | % | 10.1 | % | 11.0 | % | 11.3 | % | |||||||||
Dividends per common share | $ | 0.24 | $ | 0.24 | $ | 0.25 | $ | 0.25 | $ | 0.25 | |||||||||
Book value per common share, end of period | $ | 8.53 | $ | 8.96 | $ | 9.02 | $ | 9.14 | $ | 9.12 | |||||||||
Debt to shareholders' equity ratio, end of period | 6.2 | x | 5.7 | x | 5.1 | x | 5.2 | x | 5.7 | x | |||||||||
Average interest earning assets | $ | 3,748,536 | $ | 3,577,644 | $ | 3,529,711 | $ | 3,820,898 | $ | 3,944,154 | |||||||||
Average interest bearing liabilities | $ | 3,320,760 | $ | 3,111,783 | $ | 3,054,355 | $ | 3,364,225 | $ | 3,466,651 | |||||||||
Net interest income | $ | 18,985 | $ | 18,728 | $ | 18,634 | $ | 19,942 | $ | 21,146 | |||||||||
Adjusted net interest income (1) | $ | 18,049 | $ | 18,923 | $ | 19,019 | $ | 19,113 | $ | 20,082 | |||||||||
Effective yield by investment type (2): | |||||||||||||||||||
RMBS | 1.82 | % | 1.88 | % | 1.87 | % | 1.82 | % | 1.85 | % | |||||||||
CMBS | 3.38 | % | 3.70 | % | 4.09 | % | 4.45 | % | 4.66 | % | |||||||||
CMBS IO | 3.86 | % | 3.83 | % | 3.94 | % | 4.14 | % | 4.21 | % | |||||||||
Mortgage loans held for investment | 4.24 | % | 4.13 | % | 4.68 | % | 5.16 | % | 5.17 | % | |||||||||
Effective yield-total portfolio | 2.63 | % | 2.62 | % | 2.64 | % | 2.73 | % | 2.79 | % | |||||||||
Annualized cost of funds | 0.66 | % | 0.69 | % | 0.72 | % | 0.70 | % | 0.75 | % | |||||||||
Net interest spread | 1.97 | % | 1.93 | % | 1.92 | % | 2.03 | % | 2.04 | % | |||||||||
Effective borrowing rate (1) | 0.77 | % | 0.66 | % | 0.67 | % | 0.80 | % | 0.87 | % | |||||||||
Adjusted net interest spread (1) | 1.86 | % | 1.96 | % | 1.97 | % | 1.93 | % | 1.92 | % |
(1) | Non-GAAP financial measures are reconciled in the supplement to this release. |
(2) | Effective yield is weighted by the average balance of investments which is calculated using daily amortized cost basis. |
Three Months Ended | |||||||||||||||||||
June 30, 2015 | March 31, 2015 | December 31, 2014 | September 30, 2014 | June 30, 2014 | |||||||||||||||
GAAP net income (loss) to common shareholders | $ | 28,168 | $ | (11,766 | ) | $ | 1,379 | $ | 28,572 | $ | (8,293 | ) | |||||||
Amortization of de-designated cash flow hedges (1) | 857 | 1,057 | 1,449 | 1,442 | 1,608 | ||||||||||||||
Change in fair value of derivative instruments, net (2) | (18,883 | ) | 24,461 | 20,675 | (7,113 | ) | 20,402 | ||||||||||||
Loss (gain) on sale of investments, net | 1,491 | (1,308 | ) | (10,950 | ) | (9,057 | ) | 477 | |||||||||||
Fair value adjustments, net | (20 | ) | (39 | ) | (45 | ) | (42 | ) | (88 | ) | |||||||||
Core net operating income to common shareholders | $ | 11,613 | $ | 12,405 | $ | 12,508 | $ | 13,802 | $ | 14,106 | |||||||||
Core net operating income per common share | $ | 0.21 | $ | 0.23 | $ | 0.23 | $ | 0.25 | $ | 0.26 | |||||||||
Average common equity during the period | $ | 483,546 | $ | 497,626 | $ | 501,553 | $ | 503,861 | $ | 497,864 | |||||||||
ROAE, calculated using annualized GAAP net (loss) income | 23.3 | % | (9.5 | )% | 1.1 | % | 22.7 | % | (6.7 | )% | |||||||||
Adjusted ROAE, calculated using annualized core net operating income | 9.6 | % | 9.9 | % | 10.1 | % | 11.0 | % | 11.3 | % |
(2) | Amount is net of any realized gains (losses) recognized during the period presented. |
Three Months Ended | ||||||||||||||||||||
June 30, 2015 | March 31, 2015 | December 31, 2014 | ||||||||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | Amount | Yield/Rate | |||||||||||||||
GAAP interest income | $ | 24,527 | 2.63 | % | $ | 24,099 | 2.62 | % | $ | 24,286 | 2.64 | % | ||||||||
GAAP interest expense/annualized cost of funds (1) | 5,542 | 0.66 | % | 5,371 | 0.69 | % | 5,652 | 0.72 | % | |||||||||||
Net interest income/spread | 18,985 | 1.97 | % | 18,728 | 1.93 | % | 18,634 | 1.92 | % | |||||||||||
GAAP interest expense/annualized cost of funds (1) | $ | 5,542 | 0.66 | % | $ | 5,371 | 0.69 | % | $ | 5,652 | 0.72 | % | ||||||||
Amortization of de-designated cash flow hedges (2) | (857 | ) | (0.10 | )% | (1,057 | ) | (0.14 | )% | (1,449 | ) | (0.19 | )% | ||||||||
Net periodic interest costs of derivative instruments | 1,793 | 0.21 | % | 862 | 0.11 | % | 1,064 | 0.14 | % | |||||||||||
Effective borrowing cost/rate | 6,478 | 0.77 | % | 5,176 | 0.66 | % | 5,267 | 0.67 | % | |||||||||||
Adjusted net interest income/spread | $ | 18,049 | 1.86 | % | $ | 18,923 | 1.96 | % | $ | 19,019 | 1.97 | % |
(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. |
Three Months Ended | |||||||||||||
September 30, 2014 | June 30, 2014 | ||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | ||||||||||
GAAP interest income | $ | 26,000 | 2.73 | % | $ | 27,718 | 2.79 | % | |||||
GAAP interest expense/annualized cost of funds (1) | 6,058 | 0.70 | % | 6,572 | 0.75 | % | |||||||
Net interest income/spread | 19,942 | 2.03 | % | 21,146 | 2.04 | % | |||||||
GAAP interest expense/annualized cost of funds (1) | $ | 6,058 | 0.70 | % | $ | 6,572 | 0.75 | % | |||||
Amortization of de-designated cash flow hedges (2) | (1,442 | ) | (0.17 | )% | (1,608 | ) | (0.18 | )% | |||||
Net periodic interest costs of derivative instruments | 2,271 | 0.27 | % | 2,672 | 0.30 | % | |||||||
Effective borrowing cost/rate | 6,887 | 0.80 | % | 7,636 | 0.87 | % | |||||||
Adjusted net interest income/spread | $ | 19,113 | 1.93 | % | $ | 20,082 | 1.92 | % |
(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. |