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 27, 2017 |
DYNEX CAPITAL, INC. | |||
Date: | April 27, 2017 | By: | /s/ Stephen J. Benedetti |
Stephen J. Benedetti | |||
Executive Vice President, Chief Financial Officer and Chief Operating Officer |
FOR IMMEDIATE RELEASE | CONTACT: | Alison Griffin | |
April 27, 2017 | (804) 217-5897 |
• | Comprehensive income to common shareholders of $0.54 per common share and net income to common shareholders of $0.13 per common share |
• | Core net operating income, a non-GAAP measure, of $0.15 per common share |
• | Net interest spread of 1.73% and adjusted net interest spread, a non-GAAP measure, of 1.63% |
• | Book value per common share of $7.52 at March 31, 2017 compared to $7.18 at December 31, 2016 |
• | Leverage of 5.8x shareholders’ equity at March 31, 2017 versus 6.3x shareholders’ equity at December 31, 2016 |
• | Dividend declared of $0.18 per common share |
• | a decrease in net interest income of $(1.2) million, |
• | a decrease in gain on derivative instruments, net of $(56.4) million, and |
• | a net loss on sale of investments of $(1.7) million |
($ in thousands) | RMBS | CMBS | CMBS IO | Total | |||||||||||
Fair value at December 31, 2016 | $ | 1,234,767 | $ | 1,222,771 | $ | 754,546 | $ | 3,212,084 | |||||||
Purchases | — | 103,139 | 38,297 | 141,436 | |||||||||||
Principal payments | (76,364 | ) | (11,762 | ) | — | (88,126 | ) | ||||||||
Sales | (58,872 | ) | — | — | (58,872 | ) | |||||||||
Net premium amortization | (4,096 | ) | (648 | ) | (35,105 | ) | (39,849 | ) | |||||||
Net unrealized gain | 5,734 | 2,681 | 11,661 | 20,076 | |||||||||||
Fair value at March 31, 2017 | $ | 1,101,169 | $ | 1,316,181 | $ | 769,399 | $ | 3,186,749 |
Three Months Ended | |||||||||||||
March 31, 2017 | December 31, 2016 | ||||||||||||
($ in thousands) | Average Balance | Effective Yield | Average Balance | Effective Yield | |||||||||
RMBS | $ | 1,188,616 | 1.83 | % | $ | 1,289,139 | 1.84 | % | |||||
CMBS | 1,240,857 | 2.97 | % | 1,115,835 | 3.08 | % | |||||||
CMBS IO | 757,635 | 3.96 | % | 741,577 | 3.92 | % | |||||||
Total MBS: | $ | 3,187,108 | 2.78 | % | $ | 3,146,551 | 2.77 | % | |||||
Other investments | 18,918 | 3.81 | % | 20,047 | 3.78 | % | |||||||
Total investments: | $ | 3,206,026 | 2.79 | % | $ | 3,166,598 | 2.78 | % |
Three Months Ended March 31, 2017 | Three Months Ended December 31, 2016 | ||||||||||||
Collateral Type | Average Balance | Weighted Average Rate | Average Balance | Weighted Average Rate | |||||||||
($ in thousands) | |||||||||||||
Agency RMBS | $ | 1,074,512 | 0.86 | % | $ | 1,156,147 | 0.78 | % | |||||
Non-Agency RMBS | 24,837 | 2.13 | % | 29,653 | 1.90 | % | |||||||
Agency CMBS | 1,031,264 | 0.84 | % | 884,786 | 0.75 | % | |||||||
Non-Agency CMBS | 65,749 | 1.70 | % | 68,257 | 1.53 | % | |||||||
Agency CMBS IO | 346,643 | 1.63 | % | 335,630 | 1.41 | % | |||||||
Non-Agency CMBS IO | 296,179 | 1.71 | % | 289,266 | 1.49 | % | |||||||
Securitization financing bond | 4,551 | 2.14 | % | 5,030 | 1.91 | % | |||||||
Total repurchase agreement financing | 2,843,735 | 1.07 | % | 2,768,769 | 0.95 | % | |||||||
Other financing (1) | 6,359 | 1.35 | % | 64,101 | 0.59 | % | |||||||
Total average liabilities and cost of funds | $ | 2,850,094 | 1.06 | % | $ | 2,832,870 | 0.94 | % |
($ in thousands) | Notional Receive-Fixed Interest Rate Swaps | Notional Pay-Fixed Interest Rate Swaps | Total Notional | WAVG Net Pay-Fixed Rate | ||||||||||
As of December 31, 2016 | $ | 425,000 | $ | 3,455,000 | $ | 3,880,000 | 1.58 | % | ||||||
Additions: | ||||||||||||||
1-year pay-fixed interest rate swap | — | 1,300,000 | 1,300,000 | 1.27 | % | |||||||||
10-year pay-fixed interest rate swap | — | 100,000 | 100,000 | 2.35 | % | |||||||||
Terminations (1) | (300,000 | ) | (435,000 | ) | (735,000 | ) | 0.35 | % | ||||||
As of March 31, 2017 | $ | 125,000 | $ | 4,420,000 | $ | 4,545,000 | 1.70 | % |
(1) | Interest rate swaps had a net termination value of $2.4 million. |
March 31, 2017 | December 31, 2016 | ||||||||||||
Effective Period | Weighted Average Notional Outstanding for the Period (1) | Weighted Average Net Pay-Fixed Rate (1) | Weighted Average Notional Outstanding for the Period (1) | Weighted Average Net Pay-Fixed Rate (1) | |||||||||
($ in thousands) | |||||||||||||
2017 | $ | 1,527,582 | 1.30 | % | $ | 198,110 | 0.52 | % | |||||
2018 | 1,859,384 | 1.84 | % | 1,712,466 | 1.79 | % | |||||||
2019 | 1,644,027 | 1.91 | % | 1,654,164 | 1.83 | % | |||||||
2020 | 1,398,702 | 2.16 | % | 1,377,391 | 2.11 | % | |||||||
2021 | 1,605,616 | 2.26 | % | 1,509,726 | 2.26 | % | |||||||
2022 | 1,253,425 | 2.48 | % | 1,253,425 | 2.52 | % | |||||||
2023 | 1,250,000 | 2.48 | % | 1,250,000 | 2.52 | % | |||||||
2024 | 1,257,104 | 2.48 | % | 1,257,104 | 2.52 | % | |||||||
2025 | 845,342 | 2.42 | % | 845,342 | 2.47 | % | |||||||
2026 | 495,479 | 2.34 | % | 491,370 | 2.43 | % |
(1) | Includes pay-fixed interest rate swaps, net of receive-fixed interest rate swaps. |
($ in thousands) | Change in Fair Value of Derivative Instruments | Periodic Interest Costs | Gain (Loss) on Derivative Instruments, Net | ||||||||
Receive-fixed interest rate swaps | $ | (831 | ) | $ | 697 | $ | (134 | ) | |||
Pay-fixed interest rate swaps | 1,621 | (1,312 | ) | 309 | |||||||
Total | $ | 790 | $ | (615 | ) | $ | 175 |
# | # | # |
March 31, 2017 | December 31, 2016 | ||||||
ASSETS | (unaudited) | ||||||
Mortgage-backed securities | $ | 3,186,749 | $ | 3,212,084 | |||
Mortgage loans held for investment, net | 18,183 | 19,036 | |||||
Cash and cash equivalents | 65,943 | 74,120 | |||||
Restricted cash | 34,822 | 24,769 | |||||
Derivative assets | 272 | 28,534 | |||||
Principal receivable on investments | 4,558 | 11,978 | |||||
Accrued interest receivable | 22,849 | 20,396 | |||||
Other assets, net | 6,498 | 6,814 | |||||
Total assets | $ | 3,339,874 | $ | 3,397,731 | |||
LIABILITIES AND SHAREHOLDERS’ EQUITY | |||||||
Liabilities: | |||||||
Repurchase agreements | $ | 2,825,945 | $ | 2,898,952 | |||
Non-recourse collateralized financing | 6,075 | 6,440 | |||||
Derivative liabilities | 58 | 6,922 | |||||
Accrued interest payable | 2,628 | 3,156 | |||||
Accrued dividends payable | 10,934 | 12,268 | |||||
Other liabilities | 1,712 | 2,809 | |||||
Total liabilities | 2,847,352 | 2,930,547 | |||||
Shareholders’ equity: | |||||||
Preferred stock, par value $.01 per share; 50,000,000 shares authorized; 4,897,138 and 4,571,937 shares issued and outstanding, respectively ($122,428 and $114,298 aggregate liquidation preference, respectively) | $ | 117,473 | $ | 110,005 | |||
Common stock, par value $.01 per share, 200,000,000 shares authorized; 49,203,022 and 49,153,463 shares issued and outstanding, respectively | 492 | 492 | |||||
Additional paid-in capital | 727,503 | 727,369 | |||||
Accumulated other comprehensive loss | (12,632 | ) | (32,609 | ) | |||
Accumulated deficit | (340,314 | ) | (338,073 | ) | |||
Total shareholders' equity | 492,522 | 467,184 | |||||
Total liabilities and shareholders’ equity | $ | 3,339,874 | $ | 3,397,731 | |||
Book value per common share | $ | 7.52 | $ | 7.18 |
Three Months Ended | |||||||
March 31, | |||||||
2017 | 2016 | ||||||
Interest income | $ | 22,419 | $ | 25,089 | |||
Interest expense | 7,519 | 6,310 | |||||
Net interest income | 14,900 | 18,779 | |||||
Gain (loss) on derivative instruments, net | 175 | (48,264 | ) | ||||
Loss on sale of investments, net | (1,708 | ) | (3,941 | ) | |||
Fair value adjustments, net | 10 | 24 | |||||
Other (expense) income, net | (46 | ) | 63 | ||||
General and administrative expenses: | |||||||
Compensation and benefits | (2,245 | ) | (2,219 | ) | |||
Other general and administrative | (2,035 | ) | (1,873 | ) | |||
Net income (loss) | 9,051 | (37,431 | ) | ||||
Preferred stock dividends | (2,435 | ) | (2,294 | ) | |||
Net income (loss) to common shareholders | $ | 6,616 | $ | (39,725 | ) | ||
Other comprehensive income: | |||||||
Change in net unrealized gain on available-for-sale investments | $ | 18,368 | $ | 37,760 | |||
Reclassification adjustment for loss on sale of investments, net | 1,708 | 3,941 | |||||
Reclassification adjustment for de-designated cash flow hedges | (99 | ) | 27 | ||||
Total other comprehensive income | 19,977 | 41,728 | |||||
Comprehensive income to common shareholders | $ | 26,593 | $ | 2,003 | |||
Net income (loss) per common share-basic and diluted | $ | 0.13 | $ | (0.81 | ) | ||
Weighted average common shares | 49,176 | 49,041 |
1Q2017 | 4Q2016 | 3Q2016 | 2Q2016 | 1Q2016 | |||||||||||||||
Net income (loss) per common share | $ | 0.13 | $ | 1.36 | $ | 0.25 | $ | (0.11 | ) | $ | (0.81 | ) | |||||||
Core net operating income per common share (1) | $ | 0.15 | $ | 0.20 | $ | 0.20 | $ | 0.21 | $ | 0.22 | |||||||||
Comprehensive (loss) income per common share | $ | 0.54 | $ | (0.37 | ) | $ | 0.27 | $ | 0.35 | $ | 0.04 | ||||||||
Dividends per common share | $ | 0.18 | $ | 0.21 | $ | 0.21 | $ | 0.21 | $ | 0.21 | |||||||||
Book value per common share, end of period | $ | 7.52 | $ | 7.18 | $ | 7.76 | $ | 7.69 | $ | 7.54 | |||||||||
Leverage at period end (2) | 5.8 | x | 6.3 | x | 5.8 | x | 6.1 | x | 6.4 | x | |||||||||
Average interest earning assets | $ | 3,206,026 | $ | 3,166,598 | $ | 3,110,884 | $ | 3,242,413 | $ | 3,429,875 | |||||||||
Average interest bearing liabilities | $ | 2,850,092 | $ | 2,832,870 | $ | 2,806,948 | $ | 2,916,432 | $ | 3,095,490 | |||||||||
Amortized cost to par: | |||||||||||||||||||
RMBS | 104.6 | % | 104.8 | % | 104.8 | % | 104.7 | % | 104.7 | % | |||||||||
CMBS | 100.6 | % | 100.6 | % | 100.4 | % | 100.3 | % | 100.4 | % | |||||||||
Agency MBS, end of period | $ | 2,725,598 | $ | 2,757,658 | $ | 2,637,348 | $ | 2,690,986 | $ | 2,796,605 | |||||||||
Non-Agency MBS, end of period | $ | 461,151 | $ | 454,426 | $ | 473,119 | $ | 517,749 | $ | 532,147 | |||||||||
Net interest income | $ | 14,900 | $ | 16,105 | $ | 15,067 | $ | 16,716 | $ | 18,779 | |||||||||
Adjusted net interest income (1) | $ | 14,186 | $ | 15,866 | $ | 14,813 | $ | 16,150 | $ | 17,126 | |||||||||
Effective yield by investment type: | |||||||||||||||||||
RMBS | 1.83 | % | 1.84 | % | 1.85 | % | 1.90 | % | 1.91 | % | |||||||||
CMBS | 2.97 | % | 3.08 | % | 3.17 | % | 3.28 | % | 3.33 | % | |||||||||
CMBS IO | 3.96 | % | 3.92 | % | 3.88 | % | 3.83 | % | 3.85 | % | |||||||||
Mortgage loans held for investment | 3.81 | % | 3.78 | % | 3.84 | % | 3.80 | % | 3.82 | % | |||||||||
Effective yield-all investments | 2.79 | % | 2.78 | % | 2.75 | % | 2.77 | % | 2.78 | % | |||||||||
Cost of funds (3) | 1.06 | % | 0.94 | % | 0.85 | % | 0.83 | % | 0.81 | % | |||||||||
Net interest spread | 1.73 | % | 1.84 | % | 1.90 | % | 1.94 | % | 1.97 | % | |||||||||
Adjusted cost of funds (1) | 1.16 | % | 0.97 | % | 0.88 | % | 0.90 | % | 1.02 | % | |||||||||
Adjusted net interest spread (1) | 1.63 | % | 1.81 | % | 1.87 | % | 1.87 | % | 1.76 | % | |||||||||
CPR for Agency RMBS (4) | 16.3 | % | 19.3 | % | 18.9 | % | 17.4 | % | 13.2 | % |
(1) | Non-GAAP financial measures are reconciled in the supplement to this release. |
(2) | Leverage is calculated by dividing total liabilities by total shareholders' equity. |
(3) | Percentages shown are based on annualized interest expense amounts divided by average interest bearing liabilities. |
(4) | Represents the 3-month average constant prepayment rate ("CPR"). |
Three Months Ended | |||||||||||||||||||
March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | |||||||||||||||
GAAP net income (loss) to common shareholders | $ | 6,616 | $ | 66,758 | $ | 12,406 | $ | (5,525 | ) | $ | (39,725 | ) | |||||||
Less: | |||||||||||||||||||
(Accretion) amortization of de-designated cash flow hedges (1) | (99 | ) | (99 | ) | (99 | ) | (80 | ) | 27 | ||||||||||
Change in fair value of derivative instruments, net (2) | (790 | ) | (56,686 | ) | (2,564 | ) | 15,811 | 46,584 | |||||||||||
Loss on sale of investments, net | 1,708 | — | — | 297 | 3,941 | ||||||||||||||
Fair value adjustments, net | (10 | ) | (17 | ) | (34 | ) | (28 | ) | (24 | ) | |||||||||
Core net operating income to common shareholders | $ | 7,425 | $ | 9,956 | $ | 9,709 | $ | 10,475 | $ | 10,803 | |||||||||
Weighted average common shares | 49,176 | 49,151 | 49,147 | 49,119 | 49,041 | ||||||||||||||
Core net operating income per common share | $ | 0.15 | $ | 0.20 | $ | 0.20 | $ | 0.21 | $ | 0.22 |
(2) | Represents net realized and unrealized gains and losses on derivatives and excludes net periodic interest costs related to these instruments. |
Three Months Ended | ||||||||||||||||||||
March 31, 2017 | December 31, 2016 | September 30, 2016 | ||||||||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | Amount | Yield/Rate | |||||||||||||||
GAAP interest income | $ | 22,419 | 2.79 | % | $ | 22,858 | 2.78 | % | $ | 21,135 | 2.75 | % | ||||||||
GAAP interest expense/cost of funds | 7,519 | 1.06 | % | 6,753 | 0.94 | % | 6,068 | 0.85 | % | |||||||||||
Net interest income/spread | 14,900 | 1.73 | % | 16,105 | 1.84 | % | 15,067 | 1.90 | % | |||||||||||
GAAP interest expense/cost of funds | $ | 7,519 | 1.06 | % | $ | 6,753 | 0.94 | % | $ | 6,068 | 0.85 | % | ||||||||
Less: accretion of de-designated cash flow hedges (1) | 99 | 0.01 | % | 99 | 0.01 | % | 99 | 0.01 | % | |||||||||||
Add: net periodic interest costs of derivative instruments | 615 | 0.09 | % | 140 | 0.02 | % | 155 | 0.02 | % | |||||||||||
Adjusted interest expense/adjusted cost of funds | 8,233 | 1.16 | % | 6,992 | 0.97 | % | 6,322 | 0.88 | % | |||||||||||
Adjusted net interest income/spread | $ | 14,186 | 1.63 | % | $ | 15,866 | 1.81 | % | $ | 14,813 | 1.87 | % | ||||||||
Three Months Ended | ||||||||||||||||||||
June 30, 2016 | March 31, 2016 | |||||||||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | |||||||||||||||||
GAAP interest income | $ | 22,816 | 2.77 | % | $ | 25,089 | 2.78 | % | ||||||||||||
GAAP interest expense/cost of funds | 6,100 | 0.83 | % | 6,310 | 0.81 | % | ||||||||||||||
Net interest income/spread | 16,716 | 1.94 | % | 18,779 | 1.97 | % | ||||||||||||||
GAAP interest expense/cost of funds | $ | 6,100 | 0.83 | % | $ | 6,310 | 0.81 | % | ||||||||||||
Less: accretion (amortization) of de-designated cash flow hedges (1) | 80 | — | % | (27 | ) | — | % | |||||||||||||
Add: net periodic interest costs of derivative instruments | 486 | 0.07 | % | 1,680 | 0.21 | % | ||||||||||||||
Adjusted interest expense/ adjusted cost of funds | 6,666 | 0.90 | % | 7,963 | 1.02 | % | ||||||||||||||
Adjusted net interest income/spread | $ | 16,150 | 1.87 | % | $ | 17,126 | 1.76 | % | ||||||||||||
(1) | Amount recorded as a portion of "interest expense" in accordance with GAAP related to the accretion (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. |