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 October 28, 2015 |
DYNEX CAPITAL, INC. | |||
Date: | October 28, 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 | |
October 28, 2015 | (804) 217-5897 |
• | Comprehensive loss of $(0.22) per common share comprised of net loss to common shareholders of $(0.74) per common share and other comprehensive income of $0.52 per common share |
• | Core net operating income, a non-GAAP measure, of $0.24 per common share |
• | Net interest spread of 2.02% and adjusted net interest spread, a non-GAAP measure, of 1.91% |
• | Book value per common share of $8.19 at September 30, 2015, a decline of (4.0)% from $8.53 at June 30, 2015 |
• | Overall leverage of 6.4x at September 30, 2015 versus 6.2x at June 30, 2015 |
• | Repurchased 3.5 million shares of common stock at a weighted average repurchase price of $6.92 per share |
• | Constant prepayment rate on Agency RMBS of 18.8% during the third quarter of 2015 versus 16.7% during the second quarter |
($ in thousands) | RMBS | CMBS | CMBS IO | Total | |||||||||||
Balance at June 30, 2015 | $ | 1,897,154 | $ | 1,178,838 | $ | 776,891 | $ | 3,852,883 | |||||||
Purchases | 4,995 | — | 50,772 | 55,767 | |||||||||||
Principal payments | (120,600 | ) | (27,408 | ) | — | (148,008 | ) | ||||||||
Sales | 2,633 | — | (12,448 | ) | (9,815 | ) | |||||||||
Net premium amortization | (6,881 | ) | (1,274 | ) | (31,504 | ) | (39,659 | ) | |||||||
Change in net unrealized gain | 4,214 | 19,286 | 3,061 | 26,561 | |||||||||||
Balance at September 30, 2015 | $ | 1,781,515 | $ | 1,169,442 | $ | 786,772 | $ | 3,737,729 |
Three Months Ended | |||||||||||||
September 30, 2015 | June 30, 2015 | ||||||||||||
($ in thousands) | Average Balance | Effective Yield (1) | Average Balance | Effective Yield (1) | |||||||||
RMBS: | |||||||||||||
Agency | $ | 1,782,348 | 1.68 | % | $ | 1,978,302 | 1.75 | % | |||||
Non-Agency | 73,234 | 3.63 | % | 75,436 | 3.63 | % | |||||||
1,855,582 | 1.76 | % | 2,053,738 | 1.82 | % | ||||||||
CMBS: | |||||||||||||
Agency | 963,236 | 2.91 | % | 705,410 | 3.07 | % | |||||||
Non-Agency | 200,827 | 5.53 | % | 207,530 | 4.46 | % | |||||||
1,164,063 | 3.36 | % | 912,940 | 3.38 | % | ||||||||
CMBS IO: | |||||||||||||
Agency | 419,573 | 3.80 | % | 418,476 | 3.83 | % | |||||||
Non-Agency | 350,383 | 3.91 | % | 331,801 | 3.89 | % | |||||||
769,956 | 3.85 | % | 750,277 | 3.86 | % | ||||||||
Total MBS Investments: | $ | 3,789,601 | 2.68 | % | $ | 3,716,955 | 2.62 | % |
September 30, 2015 | June 30, 2015 | ||||||||||||
($ in thousands) | Balance | Weighted Average Rate | Balance | Weighted Average Rate | |||||||||
Agency RMBS | $ | 1,570,894 | 0.45 | % | $ | 1,786,642 | 0.40 | % | |||||
Non-Agency RMBS | 56,993 | 1.59 | % | 57,775 | 1.61 | % | |||||||
Agency CMBS | 596,612 | 0.42 | % | 740,454 | 0.36 | % | |||||||
Non-Agency CMBS | 162,501 | 1.08 | % | 168,920 | 1.04 | % | |||||||
Agency CMBS IO | 353,012 | 1.01 | % | 360,837 | 0.94 | % | |||||||
Non-Agency CMBS IO | 307,655 | 1.11 | % | 280,125 | 1.06 | % | |||||||
Securitization financing bonds | 7,402 | 1.55 | % | 8,211 | 1.54 | % | |||||||
$ | 3,055,069 | 0.63 | % | $ | 3,402,964 | 0.56 | % |
($ 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 | $ | — | $ | 5,638 | $ | 1,337 | $ | 6,975 | |||||||
Pay-fixed interest rate swaps | (2,496 | ) | (43,112 | ) | (3,089 | ) | (48,697 | ) | |||||||
Eurodollar futures | (1,031 | ) | (9,996 | ) | — | (11,027 | ) | ||||||||
Total | $ | (3,527 | ) | $ | (47,470 | ) | $ | (1,752 | ) | $ | (52,749 | ) |
(1) | Amounts represent interest earned or incurred related to interest rate swaps effective during the quarter. |
# | # | # |
September 30, 2015 | December 31, 2014 | ||||||
ASSETS | (unaudited) | ||||||
Mortgage-backed securities | $ | 3,737,729 | $ | 3,516,239 | |||
Mortgage loans held for investment, net | 27,439 | 39,700 | |||||
Investment in limited partnership | 10,731 | 4,000 | |||||
Investment in FHLB stock | 11,475 | — | |||||
Cash and cash equivalents | 12,636 | 43,944 | |||||
Restricted cash | 78,179 | 42,263 | |||||
Derivative assets | 10,057 | 5,727 | |||||
Principal receivable on investments | 11,128 | 7,420 | |||||
Accrued interest receivable | 20,916 | 21,157 | |||||
Other assets, net | 7,911 | 7,861 | |||||
Total assets | $ | 3,928,201 | $ | 3,688,311 | |||
LIABILITIES AND SHAREHOLDERS’ EQUITY | |||||||
Liabilities: | |||||||
Repurchase agreements | $ | 3,055,069 | $ | 3,013,110 | |||
FHLB advances | 255,000 | — | |||||
Non-recourse collateralized financing | 8,581 | 10,786 | |||||
Derivative liabilities | 63,708 | 35,898 | |||||
Accrued interest payable | 1,538 | 1,947 | |||||
Accrued dividends payable | 14,002 | 15,622 | |||||
Other liabilities | 2,543 | 3,646 | |||||
Total liabilities | 3,400,441 | 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; 50,568,790 and 54,739,111 shares issued and outstanding, respectively | 506 | 547 | |||||
Additional paid-in capital | 734,689 | 763,935 | |||||
Accumulated other comprehensive income | 32,109 | 21,316 | |||||
Accumulated deficit | (349,202 | ) | (288,154 | ) | |||
Total shareholders' equity | 527,760 | 607,302 | |||||
Total liabilities and shareholders’ equity | $ | 3,928,201 | $ | 3,688,311 | |||
Book value per common share | $ | 8.19 | $ | 9.02 |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Interest income: | |||||||||||||||
Mortgage-backed securities | $ | 25,765 | $ | 25,207 | $ | 73,688 | $ | 79,104 | |||||||
Mortgage loans held for investment, net | 331 | 793 | 1,034 | 2,255 | |||||||||||
26,096 | 26,000 | 74,722 | 81,359 | ||||||||||||
Interest expense: | |||||||||||||||
Repurchase agreements and FHLB advances | 5,841 | 6,028 | 16,693 | 20,187 | |||||||||||
Non-recourse collateralized financing | 18 | 30 | 79 | 76 | |||||||||||
5,859 | 6,058 | 16,772 | 20,263 | ||||||||||||
Net interest income | 20,237 | 19,942 | 57,950 | 61,096 | |||||||||||
(Loss) gain on derivative instruments, net | (52,749 | ) | 4,842 | (60,982 | ) | (31,654 | ) | ||||||||
Gain (loss) on sale of investments, net | 113 | 9,057 | (70 | ) | 5,273 | ||||||||||
Fair value adjustments, net | 16 | 42 | 75 | 162 | |||||||||||
Equity in (loss) income of limited partnership | (2 | ) | — | 731 | — | ||||||||||
Other (expense) income, net | (213 | ) | 897 | (301 | ) | 1,108 | |||||||||
General and administrative expenses: | |||||||||||||||
Compensation and benefits | (2,327 | ) | (2,351 | ) | (6,794 | ) | (7,232 | ) | |||||||
Other general and administrative | (2,052 | ) | (1,563 | ) | (6,596 | ) | (4,620 | ) | |||||||
Net (loss) income | (36,977 | ) | 30,866 | (15,987 | ) | 24,133 | |||||||||
Preferred stock dividends | (2,294 | ) | (2,294 | ) | (6,882 | ) | (6,882 | ) | |||||||
Net (loss) income to common shareholders | $ | (39,271 | ) | $ | 28,572 | $ | (22,869 | ) | $ | 17,251 | |||||
Other comprehensive income: | |||||||||||||||
Change in net unrealized gain on available-for-sale investments | $ | 26,674 | $ | (6,867 | ) | $ | 7,951 | $ | 50,212 | ||||||
Reclassification adjustment for (gain) loss on sale of investments, net | (113 | ) | (9,057 | ) | 70 | (5,273 | ) | ||||||||
Reclassification adjustment for de-designated cash flow hedges | 857 | 1,442 | 2,772 | 5,339 | |||||||||||
Total other comprehensive income (loss) | 27,418 | (14,482 | ) | 10,793 | 50,278 | ||||||||||
Comprehensive (loss) income to common shareholders | $ | (11,853 | ) | $ | 14,090 | $ | (12,076 | ) | $ | 67,529 | |||||
Weighted average common shares | $ | 52,777 | $ | 54,731 | $ | 54,043 | $ | 54,690 | |||||||
Net (loss) income per common share-basic and diluted | $ | (0.74 | ) | $ | 0.52 | $ | (0.42 | ) | $ | 0.32 |
3Q2015 | 2Q2015 | 1Q2015 | 4Q2014 | 3Q2014 | |||||||||||||||
Net (loss) income per common share | $ | (0.74 | ) | $ | 0.52 | $ | (0.21 | ) | $ | 0.03 | $ | 0.52 | |||||||
Core net operating income per common share (1) | $ | 0.24 | $ | 0.21 | $ | 0.23 | $ | 0.23 | $ | 0.25 | |||||||||
Comprehensive (loss) income per common share | $ | (0.22 | ) | $ | (0.21 | ) | $ | 0.21 | $ | 0.11 | $ | 0.26 | |||||||
ROAE (annualized) | (35.5 | )% | 23.3 | % | (9.5 | )% | 1.1 | % | 22.7 | % | |||||||||
Adjusted ROAE (annualized) (1) | 11.3 | % | 9.6 | % | 9.9 | % | 10.1 | % | 11.0 | % | |||||||||
Dividends per common share | $ | 0.24 | $ | 0.24 | $ | 0.24 | $ | 0.25 | $ | 0.25 | |||||||||
Book value per common share, end of period | $ | 8.19 | $ | 8.53 | $ | 8.96 | $ | 9.02 | $ | 9.14 | |||||||||
Debt to shareholders' equity ratio, end of period | 6.4 | x | 6.2 | x | 5.7 | x | 5.1 | x | 5.2 | x | |||||||||
Average interest earning assets | $ | 3,818,140 | $ | 3,748,536 | $ | 3,577,644 | $ | 3,529,711 | $ | 3,820,898 | |||||||||
Average interest bearing liabilities | $ | 3,405,850 | $ | 3,320,760 | $ | 3,111,783 | $ | 3,054,355 | $ | 3,364,225 | |||||||||
Net interest income | $ | 20,237 | $ | 18,985 | $ | 18,728 | $ | 18,634 | $ | 19,942 | |||||||||
Adjusted net interest income (1) | $ | 19,342 | $ | 18,049 | $ | 18,923 | $ | 19,019 | $ | 19,113 | |||||||||
Effective yield by investment type (2): | |||||||||||||||||||
RMBS | 1.76 | % | 1.82 | % | 1.88 | % | 1.87 | % | 1.82 | % | |||||||||
CMBS | 3.36 | % | 3.38 | % | 3.70 | % | 4.09 | % | 4.45 | % | |||||||||
CMBS IO | 3.85 | % | 3.86 | % | 3.83 | % | 3.94 | % | 4.14 | % | |||||||||
Mortgage loans held for investment | 4.37 | % | 4.24 | % | 4.13 | % | 4.68 | % | 5.16 | % | |||||||||
Effective yield-total portfolio | 2.69 | % | 2.63 | % | 2.62 | % | 2.64 | % | 2.73 | % | |||||||||
Annualized cost of funds | 0.67 | % | 0.66 | % | 0.69 | % | 0.72 | % | 0.70 | % | |||||||||
Net interest spread | 2.02 | % | 1.97 | % | 1.93 | % | 1.92 | % | 2.03 | % | |||||||||
Effective borrowing rate (1) | 0.78 | % | 0.77 | % | 0.66 | % | 0.67 | % | 0.80 | % | |||||||||
Adjusted net interest spread (1) | 1.91 | % | 1.86 | % | 1.96 | % | 1.97 | % | 1.93 | % |
(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 | |||||||||||||||||||
September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | September 30, 2014 | |||||||||||||||
GAAP net (loss) income to common shareholders | $ | (39,271 | ) | $ | 28,168 | $ | (11,766 | ) | $ | 1,379 | $ | 28,572 | |||||||
Amortization of de-designated cash flow hedges (1) | 857 | 857 | 1,057 | 1,449 | 1,442 | ||||||||||||||
Change in fair value of derivative instruments, net (2) | 50,997 | (18,883 | ) | 24,461 | 20,675 | (7,113 | ) | ||||||||||||
(Gain) loss on sale of investments, net | (113 | ) | 1,491 | (1,308 | ) | (10,950 | ) | (9,057 | ) | ||||||||||
Fair value adjustments, net | (16 | ) | (20 | ) | (39 | ) | (45 | ) | (42 | ) | |||||||||
Core net operating income to common shareholders | $ | 12,454 | $ | 11,613 | $ | 12,405 | $ | 12,508 | $ | 13,802 | |||||||||
Core net operating income per common share | $ | 0.24 | $ | 0.21 | $ | 0.23 | $ | 0.23 | $ | 0.25 | |||||||||
Average common equity during the period | $ | 442,936 | $ | 483,546 | $ | 497,626 | $ | 501,553 | $ | 503,861 | |||||||||
ROAE, calculated using annualized GAAP net (loss) income | (35.5 | )% | 23.3 | % | (9.5 | )% | 1.1 | % | 22.7 | % | |||||||||
Adjusted ROAE, calculated using annualized core net operating income | 11.3 | % | 9.6 | % | 9.9 | % | 10.1 | % | 11.0 | % |
(2) | Amount is net of any realized gains (losses) recognized during the period presented. |
Three Months Ended | ||||||||||||||||||||
September 30, 2015 | June 30, 2015 | March 31, 2015 | ||||||||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | Amount | Yield/Rate | |||||||||||||||
GAAP interest income | $ | 26,096 | 2.69 | % | $ | 24,527 | 2.63 | % | $ | 24,099 | 2.62 | % | ||||||||
GAAP interest expense/annualized cost of funds (1) | 5,859 | 0.67 | % | 5,542 | 0.66 | % | 5,371 | 0.69 | % | |||||||||||
Net interest income/spread | 20,237 | 2.02 | % | 18,985 | 1.97 | % | 18,728 | 1.93 | % | |||||||||||
GAAP interest expense/annualized cost of funds (1) | $ | 5,859 | 0.67 | % | $ | 5,542 | 0.66 | % | $ | 5,371 | 0.69 | % | ||||||||
Amortization of de-designated cash flow hedges (2) | (857 | ) | (0.10 | )% | (857 | ) | (0.10 | )% | (1,057 | ) | (0.14 | )% | ||||||||
Net periodic interest costs of derivative instruments | 1,752 | 0.21 | % | 1,793 | 0.21 | % | 862 | 0.11 | % | |||||||||||
Effective borrowing cost/rate | 6,754 | 0.78 | % | 6,478 | 0.77 | % | 5,176 | 0.66 | % | |||||||||||
Adjusted net interest income/spread | $ | 19,342 | 1.91 | % | $ | 18,049 | 1.86 | % | $ | 18,923 | 1.96 | % |
(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 | |||||||||||||
December 31, 2014 | September 30, 2014 | ||||||||||||
Amount | Yield/Rate | Amount | Yield/Rate | ||||||||||
GAAP interest income | $ | 24,286 | 2.64 | % | $ | 26,000 | 2.73 | % | |||||
GAAP interest expense/annualized cost of funds (1) | 5,652 | 0.72 | % | 6,058 | 0.70 | % | |||||||
Net interest income/spread | 18,634 | 1.92 | % | 19,942 | 2.03 | % | |||||||
GAAP interest expense/annualized cost of funds (1) | $ | 5,652 | 0.72 | % | $ | 6,058 | 0.70 | % | |||||
Amortization of de-designated cash flow hedges (2) | (1,449 | ) | (0.19 | )% | (1,442 | ) | (0.17 | )% | |||||
Net periodic interest costs of derivative instruments | 1,064 | 0.14 | % | 2,271 | 0.27 | % | |||||||
Effective borrowing cost/rate | 5,267 | 0.67 | % | 6,887 | 0.80 | % | |||||||
Adjusted net interest income/spread | $ | 19,019 | 1.97 | % | $ | 19,113 | 1.93 | % |
(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. |