Dynex Capital, Inc. (NYSE:DX) reported its fourth quarter and
full year 2017 results today. As previously announced, the
Company's quarterly conference call to discuss these results is
today at 10:00 a.m. Eastern Time and may be accessed using
conference ID 7279346 via telephone in the U.S. at 1-866-393-4306
(internationally at 1-734-385-2616 or by live webcast which
includes a slide presentation, the link for which is provided under
“Investor Center” on the Company's website
(www.dynexcapital.com).
Fourth Quarter 2017
Highlights
- Comprehensive income to common
shareholders of $0.08 per common share and net income to common
shareholders of $0.36 per common share
- Core net operating income to common
shareholders, a non-GAAP measure, of $0.20 per common share
- Dividend declared of $0.18 per common
share
- Book value per common share of $7.34 at
December 31, 2017 compared to $7.46 at September 30, 2017
and $7.18 at December 31, 2016
- Continued rotation into 30-year
fixed-rate Agency RMBS
- Leverage including TBA dollar roll
positions of 6.4x shareholders’ equity at December 31,
2017
Full Year 2017
Highlights
- Comprehensive income to common
shareholders of $0.93 per common share and net income to common
shareholders of $0.46 per common share
- Core net operating income to common
shareholders of $0.73 per common share
- Dividends declared of $0.72 per
share
- Economic return on book value per
common share of 12.3%
Management's Remarks
Byron Boston, President and CEO commented, “We had a very strong
year for our shareholders as we posted a total economic return of
12.3% on common equity. We earned $0.93 in comprehensive income in
2017 and closed the year with a solid $0.20 in core earnings per
share for the fourth quarter as we benefited from the favorable
CMBS/RMBS mix in our portfolio and the capital reallocation and
hedging decisions we made earlier in the year.”
Mr. Boston continued, “As we enter 2018, markets are bearish on
interest rate sensitive stocks given current Federal Reserve
monetary policy, an improving global economy, and higher interest
rates. As has been the case over the last several years, we
believe that markets will continue to experience intermittent
periods of volatility in 2018. Longer-term, our view today is that
a rise in interest rates may be limited by macroeconomic headwinds,
such as the historically high and rapidly increasing amount of
global debt. We also believe the Federal Reserve will raise
the Federal Funds rate in an orderly and well telegraphed manner,
which should improve our ability to manage our net interest
spread. Regulatory reform may also evolve in 2018, potentially
providing new investment opportunities.”
Fourth Quarter 2017 Earnings
Summary
Comprehensive income to common shareholders for the fourth
quarter of 2017 was $4.5 million versus $13.6 million for the third
quarter. Net income to common shareholders was $19.1 million for
the fourth quarter compared to $7.5 million for the prior quarter.
Net income to common shareholders in the fourth quarter benefited
from:
- an increase in net interest income
primarily from a larger investment portfolio;
- an increase in gain on derivative
instruments, net from higher interest rates; and
- a decrease in losses realized on
investment sales.
Comprehensive income benefited from these items as well but
declined from the third quarter of 2017 due to a net decline in the
fair value of our available for sale investments of $(14.5)
million. Core net operating income to common shareholders, a
non-GAAP measure reconciled in the supplement to this release,
benefited from an increase in adjusted net interest income
primarily related to a larger investment portfolio, prepayment
compensation received on CMBS and CMBS IO, and lower net periodic
interest costs from interest rate swaps.
Book Value and Economic
Return
Book value per common share decreased $(0.12) to $7.34 at
December 31, 2017 from September 30, 2017 primarily due
to higher rates during the quarter. For the year, book value per
common share increased $0.16 primarily because of tightening credit
spreads on MBS which more than offset the impact of higher interest
rates. Economic return on book value was 0.8% for the fourth
quarter of 2017 and 12.3% for the full year 2017, including
declared dividends of 10.1% and an increase in book value per
common share of 2.2%. Economic return on book value is calculated
by dividing (i) the sum of dividends declared per common share and
the change in book value per common share by (ii) beginning book
value per common share for the respective period.
Summary of Investments and Related
Financing
The Company continued to increase its investment in 30-year
fixed-rate Agency RMBS during the fourth quarter, including both
specified pools and net long positions in TBA securities ("dollar
roll positions"). The Company purchased approximately $517.8
million of fixed-rate Agency RMBS including dollar roll positions
during the fourth quarter of 2017 and $148.3 million in U.S.
Treasuries, which grew our investment portfolio to over $4.0
billion as of December 31, 2017. The Company also sold $215.5
million in Agency CMBS that were nearing their maturities, had
lower coupons, or had higher liquidity risk.
The following table provides details of our investment portfolio
and dollar roll positions as of December 31, 2017:
December 31, 2017 Type of Investment:
Par
AmortizedCost/ImpliedCost
Basis
FairValue/ImpliedMarket
Value
($ in thousands) 30-year fixed-rate RMBS: 3.0% coupon $ 244,374 $
246,155 $ 244,818 4.0% coupon 623,293 657,114 653,860 4.0% coupon
TBA dollar roll positions (1) (2) (3) 795,000 829,425
830,908 Total 30-year fixed-rate 1,662,667 1,732,694 1,729,586
Adjustable-rate RMBS: 3.1% coupon (4) 278,886 289,305
285,583 Agency CMBS 1,123,967
1,134,409
1,124,351 CMBS IO (5) n/a 683,833 692,522 Other non-Agency MBS
27,571 23,536 25,855 U.S. Treasuries 148,400 148,267 146,530
Total AFS portfolio and TBA dollar roll
positions $ 3,241,491 $ 4,012,044 $ 4,004,427
(1) Par, implied cost basis, and implied market value of TBA
dollar roll positions represents amounts for the underlying Agency
MBS as if settled.
(2) The net carrying value of TBA dollar roll positions, which
is the difference between their implied market value and implied
cost basis, was $1.5 million as of December 31, 2017 and is
included on the consolidated balance sheet within “derivative
assets”.
(3) Excludes net short positions of TBA contracts used as hedges
of interest rate risk exposure from fixed-rate Agency RMBS.
(4) Represents the weighted average coupon based on amortized
cost.
(5) Includes both Agency and non-Agency IO securities.
The average effective yield on investments increased 12 basis
points to 3.07% for the fourth quarter of 2017 compared to the
prior quarter primarily from the shift in the portfolio to
fixed-rate Agency RMBS which earned a higher yield than the hybrid
Agency ARMs that were sold during the year. The Company's cost of
funds increased 5 basis points to 1.53% for the fourth quarter of
2017 compared to the third quarter of 2017 primarily as a result of
the increase in short-term interest rates. Adjusted costs of funds,
a non-GAAP measure, decreased 7 basis points to 1.59% for the
fourth quarter of 2017 from 1.66% for the prior quarter because the
floating rate received on our pay-fixed receive-floating interest
rate swaps increased for the fourth quarter compared to the third
quarter offsetting the impact from higher short-term interest
rates.
The Company's net interest spread on its investments increased 7
basis points to 1.54% for the fourth quarter of 2017 from 1.47% for
the third quarter of 2017, and adjusted net interest spread
including drop income from TBA dollar roll positions was 1.52%, an
increase of 8 basis points from the prior quarter.
Hedging Summary
The Company primarily uses interest rate swaps to mitigate the
impact of higher interest rates on its earnings and book value.
During the fourth quarter of 2017, the average net notional balance
of current pay-fixed interest rate swaps outstanding was $3.0
billion at a weighted average net pay-fixed rate of 1.42%, which
was relatively consistent with the average amounts outstanding
during the prior quarter. As of December 31, 2017, the Company held
interest rate swaps with a net notional balance of $5.7 billion and
a weighted average remaining maturity of 3.1 years, which included
approximately $2.5 billion of forward starting interest rate swaps.
The following table provides details of the Company's interest rate
swaps as of December 31, 2017:
December 31, 2017 By Amount Expiring
By Amount Effective Net Notional
WeightedAverage Rate
WeightedAverageNotional
WeightedAverage Rate
($ in thousands) 2018 $ 2,410,000 1.32% $ 2,277,699 1.71%
2019 160,000 1.37% 2,199,027 1.95% 2020 550,000 1.74% 1,840,451
2.13% 2021 200,000 1.93% 1,890,479 2.20% 2022 1,210,000 2.00%
1,838,795 2.35% 2023 — —% 1,145,000 2.52% 2024 100,000 2.17%
1,071,503 2.54% 2025 375,000 2.83% 813,973 2.47% 2026 450,000 2.31%
585,616 2.43% 2027 100,000 2.35% 140,822 2.69% 2028 and thereafter
120,000 2.76% 44,948 2.72%
The Company will also periodically use Eurodollar futures and
short positions in TBA securities to hedge interest rate risk
exposure. During the fourth quarter of 2017, the Company entered
into $2.0 billion in Eurodollar futures with various maturities in
2018 as additional hedges of its exposure to increasing short-term
interest rates. As of December 31, 2018, the Company also held a
TBA short position with a notional of $150.0 million and a fair
value of $(0.3) million to partially hedge the impact of interest
rate risk on the fair value of its fixed-rate Agency RMBS.
Company Description
Dynex Capital, Inc. is an internally managed real estate
investment trust, or REIT, which invests in mortgage assets on a
leveraged basis. The Company invests in Agency and non-Agency
RMBS, CMBS, and CMBS IO. Additional information about Dynex
Capital, Inc. is available at www.dynexcapital.com.
Use of Non-GAAP Financial
Measures
In addition to the Company's operating results presented in
accordance with GAAP, this release includes certain non-GAAP
financial measures including core net operating income to common
shareholders (including per common share), adjusted interest
expense, adjusted net interest income and the related metrics
adjusted cost of funds and adjusted net interest spread. Because
these measures are used in the Company's internal analysis of
financial and operating performance, management believes that they
provide greater transparency to our investors of management's view
of our economic performance. Management also believes the
presentation of these measures, when analyzed in conjunction with
the Company's GAAP operating results, allows investors to more
effectively evaluate and compare the performance of the Company to
that of its peers, although the Company's presentation of its
non-GAAP measures may not be comparable to other similarly-titled
measures of other companies. Schedules reconciling core net
operating income to common shareholders, adjusted interest expense,
and adjusted net interest income to GAAP financial measures are
provided as a supplement to this release.
Management views core net operating income to common
shareholders as an estimate of the Company's financial performance
excluding changes in fair value of its investments and derivatives.
In addition to the non-GAAP reconciliation set forth in the
supplement to this release, which derives core net operating income
to common shareholders from GAAP net income to common shareholders
as the nearest GAAP equivalent measure, core net operating income
to common shareholders can also be determined by adjusting net
interest income to include interest rate swap periodic interest
costs, drop income on TBA dollar roll positions, general and
administrative expenses, and preferred dividends. Management
includes drop income, which is included in "gain (loss) on
derivatives instruments, net" on the Company's consolidated
statements of comprehensive income, in core net operating income
and in adjusted net interest income because TBA dollar roll
positions are viewed by management as economically equivalent to
holding and financing Agency RMBS using short-term repurchase
agreements. Management also includes periodic interest costs from
its interest rate swaps, which are also included in "gain (loss) on
derivatives instruments, net", in adjusted net interest expense,
and in adjusted net interest income because interest rate swaps are
used by the Company to economically hedge the impact of changing
interest rates on its borrowing costs from repurchase agreements,
and including periodic interest costs from interest rate swaps is a
helpful indicator of the Company’s total cost of financing in
addition to GAAP interest expense. However, these non-GAAP measures
do not provide a full perspective on our results of operations, and
therefore, their usefulness is limited. For example, these non-GAAP
measures do not include gains or losses from available-for-sale
investments, changes in fair value of and costs of terminating
interest rate swaps, as well as realized and unrealized gains or
losses from any instrument used by management to economically hedge
the impact of changing interest rates on its portfolio and book
value per common share, such as Eurodollar futures and TBA short
positions. As a result, these non-GAAP measures should be
considered as a supplement to, and not as a substitute for, the
Company's GAAP results as reported on its consolidated statements
of comprehensive income.
Forward Looking
Statements
This release contains “forward-looking statements” within the
meaning of the Private Securities Litigation Reform Act of 1995.
The words “believe,” “expect,” “forecast,” “anticipate,”
“estimate,” “project,” “plan,” and similar expressions identify
forward-looking statements that are inherently subject to risks and
uncertainties, some of which cannot be predicted or quantified.
Forward-looking statements in this release may include, without
limitation, statements regarding future interest rates, future
market credit spreads, our views on expected characteristics of
future investment environments, prepayment rates and investment
risks, future investment strategies, our future leverage levels and
financing strategies, the use of specific financing and hedging
instruments and the future impacts of these strategies, future
actions by the Federal Reserve, and the expected performance of our
investments. The Company's actual results and timing of certain
events could differ materially from those projected in or
contemplated by the forward-looking statements as a result of
unforeseen external factors. These factors may include, but are not
limited to, changes in general economic and market conditions,
including volatility in the credit markets which impacts asset
prices and the cost and availability of financing, changes in
monetary policy and in particular the impact of changes in balance
sheet reinvestment policy of the Federal Reserve, defaults by
borrowers, availability of suitable reinvestment opportunities,
variability in investment portfolio cash flows, fluctuations in
interest rates, fluctuations in property capitalization rates and
values of commercial real estate, defaults by third-party
servicers, prepayments of investment portfolio assets, other
general competitive factors, uncertainty around the impact of
government regulatory changes, including the Dodd-Frank Wall Street
Reform and Consumer Protection Act of 2010 and ongoing financial
institution regulatory reform efforts, the full impacts of which
are unknown at this time, and another ownership change under
Section 382 that further impacts the use of our tax net operating
loss carryforward. For additional information on risk factors that
could affect the Company's forward-looking statements, see the
Company's Annual Report on Form 10-K for the year ended December
31, 2016, and other reports filed with and furnished to the
Securities and Exchange Commission.
DYNEX CAPITAL, INC.
CONSOLIDATED BALANCE SHEETS
($ in thousands except per share data)
December 31,2017
September 30,2017
December 31,2016
ASSETS (unaudited) (unaudited) Mortgage-backed securities $
3,026,989 $ 2,921,444 $ 3,212,084 U.S. Treasuries 146,530 — —
Mortgage loans held for investment, net 15,738 16,523 19,036 Cash
and cash equivalents 40,867 117,702 74,120 Restricted cash 46,333
43,987 24,769 Derivative assets 2,940 368 28,534 Receivable for
securities sold — 13,435 — Principal receivable on investments 165
3,359 11,978 Accrued interest receivable 19,819 19,267 20,396 Other
assets, net 6,397 7,193 6,814 Total assets $
3,305,778 $ 3,143,278 $ 3,397,731
LIABILITIES AND SHAREHOLDERS’ EQUITY Liabilities:
Repurchase agreements $ 2,565,902 $ 2,519,230 $ 2,898,952 Payable
for unsettled securities 156,899 77,357 — Non-recourse
collateralized financing 5,520 5,706 6,440 Derivative liabilities
269 133 6,922 Accrued interest payable 3,734 2,720 3,156 Accrued
dividends payable 12,526 11,620 12,268 Other liabilities 3,870
2,413 2,809 Total liabilities 2,748,720
2,619,179 2,930,547
Shareholders’ equity:
Preferred stock - aggregate liquidation
preference of$147,217; $141,628; and $114,298, respectively
$ 141,294 $ 135,828 $ 110,005
Common stock, par value $.01 per share:
55,831,549;51,262,350; and 49,153,463 shares issued andoutstanding,
respectively
558 513 492 Additional paid-in capital 775,873 742,845 727,369
Accumulated other comprehensive (loss) income (8,697 ) 5,886
(32,609 ) Accumulated deficit (351,970 ) (360,973 ) (338,073 )
Total shareholders' equity
557,058 524,099 467,184 Total liabilities and
shareholders’ equity $ 3,305,778 $ 3,143,278 $
3,397,731 Book value per common share $ 7.34 $ 7.46 $
7.18
DYNEX CAPITAL, INC.
CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME
(UNAUDITED)
(amounts in thousands except per share
data)
Three Months Ended Year Ended
December 31,2017
September 30,2017
June 30,2017
March 31,2017
December 31,2017
Interest income $ 24,124 $ 23,103 $ 24,856 $ 22,419 $ 94,502
Interest expense 10,056 9,889 8,714 7,519
36,178 Net interest income 14,068 13,214 16,142
14,900 58,324 Gain (loss) on derivative instruments, net
12,678 5,993 (15,802 ) 175 3,044 Loss on sale of investments, net
(902 ) (5,211 ) (3,709 ) (1,708 ) (11,530 ) Fair value adjustments,
net 12 23 30 10 75 Other (loss) income, net (50 ) (109 ) 4 (46 )
(201 ) General and administrative expenses: Compensation and
benefits (2,153 ) (2,070 ) (2,041 ) (2,245 ) (8,509 ) Other general
and administrative (1,690 ) (1,529 ) (2,056 ) (2,035 ) (7,310 )
Net income (loss) 21,963 10,311 (7,432 ) 9,051 33,893
Preferred stock dividends (2,910 ) (2,808 ) (2,641 ) (2,435 )
(10,794 )
Net income (loss) to common shareholders $ 19,053
$ 7,503 $ (10,073 ) $ 6,616 $ 23,099
Other comprehensive income: Unrealized (loss) gain on
available-for-sale investments, net $ (15,438 ) $ 981 $ 8,739 $
18,368 $ 12,650 Reclassification adjustment for loss on sale of
investments, net 902 5,211 3,709 1,708 11,530 Reclassification
adjustment for de-designated cash flow hedges (48 ) (48 ) (73 ) (99
) (268 )
Total other comprehensive (loss) income (14,584 )
6,144 12,375 19,977 23,912
Comprehensive income to common shareholders $ 4,469 $
13,647 $ 2,302 $ 26,593 $ 47,011
Net income (loss) per common share-basic and diluted $ 0.36
$ 0.15 $ (0.20 ) $ 0.13 $ 0.46
Weighted average common
shares 53,399 49,832 49,218 49,176 50,417
DYNEX CAPITAL, INC.
KEY STATISTICS
(UNAUDITED)
($ in thousands except per share
data)
As Of
December 31,2017
September 30,2017
June 30, 2017
March 31,2017
December 31,2016
Portfolio and Other Balance Sheet Statistics: Total MBS fair
value $ 3,026,989 $ 2,921,444 $ 2,864,026 $ 3,186,749 $ 3,212,084
Agency CMBS, amortized cost $ 1,134,409 $ 1,314,925 $ 1,330,084 $
1,257,330 $ 1,166,454 Agency CMBS, par $ 1,123,967 $ 1,302,237 $
1,315,974 $ 1,243,516 $ 1,152,586 Agency RMBS-fixed rate, amortized
cost $ 903,269 $ 541,262 $ — $ — $ — Agency RMBS-fixed rate, par $
867,667 $ 522,099 $ — $ — $ — Agency RMBS-variable rate, amortized
cost $ 289,305 $ 305,265 $ 744,089 $ 1,082,108 $ 1,214,324 Agency
RMBS-variable rate, par $ 278,886 $ 294,254 $ 715,015 $ 1,033,735 $
1,157,258 CMBS IO, amortized cost(1) $ 683,833 $ 717,115 $ 752,861
$ 761,083 $ 757,892 Other non-Agency MBS, amortized cost $ 23,536 $
37,441 $ 37,443 $ 99,080 $ 106,297 TBA dollar roll positions, fair
value (if settled) $ 830,908 $ 683,680 $ 414,644 $ — $ — TBA dollar
roll positions, amortized cost (if settled) $ 829,425 $ 683,813 $
416,312 $ — $ — TBA dollar roll positions, carrying value $ 1,483 $
(133 ) $ (1,668 ) $ — $ — U.S. Treasuries $ 146,530 $ — $ — $ — $ —
Book value per common share, end of period $ 7.34 $ 7.46 $ 7.38 $
7.52 $ 7.18
Leverage including TBA dollar roll
positionsat cost as if settled at period end (2)
6.4 x 6.3 x 6.0 x 5.8 x 6.3 x
Three Months Ended
December 31,2017
September 30,2017
June 30, 2017
March 31,2017
December 31,2016
Performance Statistics: Net income (loss) per common share $
0.36 $ 0.15 $ (0.20 ) $ 0.13 $ 1.36 Core net operating income per
common share (3) $ 0.20 $ 0.19 $ 0.19 $ 0.15 $ 0.20 Comprehensive
income (loss) per common share $ 0.08 $ 0.27 $ 0.05 $ 0.54 $ (0.37
) Dividends per common share $ 0.18 $ 0.18 $ 0.18 $ 0.18 $ 0.21
Average interest earning assets (4) $ 2,939,786 $ 2,960,595 $
3,107,014 $ 3,206,026 $ 3,166,598 Average TBA dollar roll position
$ 944,103 $ 797,484 $ 259,842 $ — $ — Average interest bearing
liabilities $ 2,563,206 $ 2,622,067 $ 2,759,022 $ 2,850,092 $
2,832,870 Effective yield on investments 3.07 % 2.95 % 2.90 % 2.79
% 2.78 % Cost of funds (5) 1.53 % 1.48 % 1.25 % 1.06 % 0.94 % Net
interest spread 1.54 % 1.47 % 1.65 % 1.73 % 1.84 % Adjusted cost of
funds (6) 1.59 % 1.66 % 1.46 % 1.16 % 0.97 % Adjusted net interest
spread (7) 1.52 % 1.44 % 1.50 % 1.63 % 1.81 % CPR for
adjustable-rate Agency RMBS (8) 16.0 % 17.1 % 16.8 % 16.3 % 19.3 %
CPR for fixed-rate Agency RMBS (8) 4.3 % 1.3 % — % — % — %
(1)
CMBS IO includes Agency and non-Agency
issued securities.
(2)
Leverage equals the sum of (i) total
liabilities and (ii) amortized cost basis of TBA dollar roll
positions (if settled) divided by total shareholders' equity.
(3)
Non-GAAP financial measures are reconciled
in the supplement to this release.
(4)
Excludes TBA dollar roll positions.
(5)
Percentages shown are equal to annualized
interest expense divided by average interest bearing
liabilities.
(6)
Adjusted cost of funds is equal to
annualized adjusted interest expense (a non-GAAP measure) divided
by average interest bearing liabilities.
(7)
Adjusted net interest spread includes the
impact of drop income from TBA dollar roll positions after
deducting adjusted cost of funds from effective yield.
(8)
Represents the average constant prepayment
rate ("CPR") experienced during the quarter.
DYNEX CAPITAL, INC.
SUPPLEMENTAL INFORMATION
(UNAUDITED)
($ in thousands)
Computations of Non-GAAP Measures:
December 31,2017
September 30,2017
June 30, 2017
March 31,2017
December 31,2016
Net interest income $ 14,068 $ 13,214 $ 16,142 $ 14,900 $ 16,105
Add: TBA drop income (1) 3,925 3,902 1,351 — — Add: net periodic
interest costs (2) (319 ) (1,131 ) (1,352 ) (615 ) (140 ) Less:
de-designated hedge accretion (3) (48 ) (48 ) (73 ) (99 ) (99 )
Adjusted net interest income 17,626 15,937 16,068 14,186 15,866
Other (loss) income (50 ) (109 ) 4 (46 ) (18 ) General and
administrative expenses (3,843 ) (3,599 ) (4,097 ) (4,280 ) (3,589
) Preferred stock dividends (2,910 ) (2,808 ) (2,641 ) (2,435 )
(2,303 ) Core net operating income to common shareholders $ 10,823
$ 9,421 $ 9,334 $ 7,425 $ 9,956
(1)
TBA drop income is calculated by
multiplying the notional amount of the TBA dollar roll positions by
the difference in price betweentwo TBA securities with the same
terms but different settlement dates.
(2)
Amount represents net periodic interest
costs on effective interest rate swaps outstanding during the
period and excludes unrealized gains and losses from changes in
fair value of derivatives and realized gains and losses on
terminated derivatives.
(3)
Amount recorded as a portion of "interest
expense" in accordance with GAAP related to the amortization
(accretion) of the balance remainingin accumulated other
comprehensive loss as a result of the Company's discontinuation of
cash flow hedge accounting effective June 30, 2013.
As of and For the Quarter Ended December 31,
2017 Repurchase Agreements by Collateral Type:
Balance as ofPeriod End
Average BalanceFor the
Period
Fixed-rate Agency RMBS $ 604,804 $ 558,931 Adjustable-rate Agency
RMBS 231,477 243,739 Agency CMBS 1,003,146 1,036,424 CMBS IO
587,857 603,244 Non-Agency CMBS 15,508 15,587 U.S. Treasuries
123,110 97,402 Securitization financing bond — 2,246 Total
repurchase agreements $ 2,565,902 $ 2,557,573
DYNEX CAPITAL, INC.
RECONCILIATIONS OF GAAP MEASURES TO
NON-GAAP MEASURES
(UNAUDITED)
($ in thousands)
Three Months Ended
December 31,2017
September 30,2017
June 30, 2017
March 31,2017
December 31,2016
GAAP net income (loss) to common shareholders $ 19,053 $ 7,503 $
(10,073 ) $ 6,616 $ 66,758 Less: Accretion of de-designated cash
flow hedges (1) (48 ) (48 ) (73 ) (99 ) (99 ) Change in fair value
of derivative instruments, net (2) (9,072 ) (3,222 ) 15,801 (790 )
(56,686 ) Loss on sale of investments, net 902 5,211 3,709 1,708 —
Fair value adjustments, net (12 ) (23 ) (30 ) (10 ) (17 ) Core net
operating income to common shareholders $ 10,823 $ 9,421
$ 9,334 $ 7,425 $ 9,956 Weighted
average common shares 53,399 49,832 49,218 49,176 49,151 Core net
operating income per common share $ 0.20 $ 0.19 $ 0.19 $ 0.15 $
0.20
(1)
Amount recorded as a portion of "interest
expense" in accordance with GAAP related to the amortization
(accretion) of the balance remainingin accumulated other
comprehensive loss as a result of the Company's discontinuation of
cash flow hedge accounting effective June 30, 2013.
(2)
Amount includes unrealized gains and
losses from changes in fair value of derivatives and realized gains
and losses on terminated derivativesand excludes net periodic
interest costs incurred on effective interest rate swaps
outstanding during the period.
Three Months Ended
December 31,2017
September 30,2017
June 30, 2017
March 31,2017
December 31,2016
GAAP net interest income $ 14,068 $ 13,214 $ 16,142 $ 14,900 $
16,105 Add: TBA drop income 3,925 3,902 1,351 — — Add: net periodic
interest costs (1) (319 ) (1,131 ) (1,352 ) (615 ) (140 ) Less:
de-designated hedge accretion (2) (48 ) (48 ) (73 )
(99 ) (99 ) Non-GAAP adjusted net interest income $
17,626 $ 15,937 $ 16,068 $ 14,186 $
15,866
GAAP interest expense $ 10,056 $ 9,889
$ 8,714 $ 7,519 $ 6,753 Add: net periodic interest costs (1) 319
1,131 1,352 615 140 Less: de-designated hedge accretion (2) 48
48 73 99 99 Non-GAAP adjusted
interest expense $ 10,423 $ 11,068 $ 10,139 $
8,233 $ 6,992
(1)
Amount represents net periodic interest
costs on effective interest rate swaps outstanding during the
period and excludes unrealized gainsand losses from changes in fair
value of derivatives and realized gains and losses on terminated
derivatives.
(2)
Amount recorded as a portion of "interest
expense" in accordance with GAAP related to the amortization
(accretion) of the balance remainingin accumulated other
comprehensive loss as a result of the Company's discontinuation of
cash flow hedge accounting effective June 30, 2013.
View source
version on businesswire.com: http://www.businesswire.com/news/home/20180221005663/en/
Dynex Capital, Inc.Alison Griffin,
804-217-5897
Dynex Capital (NYSE:DX)
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