Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Investor Presentation (June 2012)
22 slides from Dynex Capital's investor presentation, Jun 11, 2012
Slide 1: Investor Presentation June 11, 2012
Investor Presentation June 11, 2012
Slide 2: Safe Harbor Statement
2 Safe Harbor Statement NOTE: This presentation contains certain statements that are not historical facts and that constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Statements in this presentation addressing expectations, assumptions,
Slide 3: DX Snapshot
3 DX Snapshot Internally managed REIT commenced operations in 1988 Diversified investment strategy Large tax NOL carryforward Significant inside ownership Market Highlights: (as of 6/6/12 unless indicated) NYSE Stock Ticker: DX Shares Outstanding: 54,365,834 Q1 2012 Dividend: $0.28 Share Price/Divid
Slide 4: Recent Highlights
4 Recent Highlights ROE of 14.7% for Q1 2012 Raised market capitalization above $500 million Annualized dividend rate of $1.12 per share up from $1.09 per share declared in 2011 Book Value increased $0.42 in Q1 2012 to $9.62 from $9.20 at the end of 2011 Byron Boston promoted to President and electe
Slide 5: Our Track Record
Our Track Record $0.71 $0.92 $0.98 $1.09 $1.12 $0.91 $1.02 $1.41 $1.03 $1.32 $0.00 $0.20 $0.40 $0.60 $0.80 $1.00 $1.20 $1.40 $1.60 2008 2009 2010 2011 Q1-2012 annualized Dividend per Share EPS $8.07 $9.08 $9.64 $9.20 $9.62 $7.00 $7.50 $8.00 $8.50 $9.00 $9.50 $10.00 2008 2009 2010 2011 Q1-2012 1.51%
Slide 6: The Dynex Difference
6 The Dynex Difference •Short duration, high quality investments, and modest leverage has produced stable returns and increasing dividends •Opportunistic asset allocation has avoided investment “landmines” and resulted in attractive relative value opportunities Consistent Core Investment Strategy •
Slide 7: Disciplined Top-Down Investment Philosophy
Disciplined Top-Down Investment Philosophy Macroeconomic Analysis Sector Analysis Security Selection and Funding Performance and Risk Management 7
Slide 8: DX Portfolio Detail
8 DX Portfolio Detail (as of March 31, 2012) Agency RMBS 65% Agency CMBS 18% Non- Agency RMBS 2% Non- Agency CMBS 15% RMBS, 67% CMBS, 33% Agency/Non-Agency Residential/Commercial Months to Maturity/Reset Maturity/Reset Distribution
Slide 9: DX Portfolio Detail
Explicit prepayment protection 76% Post/near reset 5% *Selected specified pools 19% DX Portfolio Detail (as of March 31, 2012) 9 AAA* 91% AA 4% A 4% Below A 1% Credit Quality *Agency MBS are considered AAA rated as of the date presented Dollar Prepayment Premium Exposure *See appendix for details on
Slide 10: CMBS Portfolio
CMBS Portfolio (as of March 31, 2012) 10 AAA 81% AA 6% A 12% Below A 1% Other 33% Multifamily 67% $0 $50,000 $100,000 $150,000 $200,000 $250,000 prior to 2000 2000-2005 2006-2008 2009 or newer Agency CMBS $319.8 Agency CMBS IO $255.0 Non- Agency CMBS $383.0 Non- Agency CMBS IO $69.0 Credit Quality C
Slide 11: Agency CMBS IO Default Sensitivity
Agency CMBS IO Default Sensitivity 11 2.00 2.50 3.00 3.50 4.00 4.50 5.00 5.50 6.00 0% 0.30% 0.60% 1.00% 2.00% 3.00% Asset Yield (%) Expectation Annual Rate of Default *Assumes 20% loss severity
Slide 12: Agency CMBS Historical Credit Performance
Agency CMBS Historical Credit Performance 12 0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35% 0.40% 0.45% % 60+ D a y s Agency Serious Delinquency Rate Source: Freddie Mac
Slide 13: Portfolio Performance
Portfolio Performance *As presented on this slide, Q3-2011 return on average equity is calculated based on a measure that excludes the impact of certain items on earnings per share (EPS Ex-Items). EPS Ex-Items for Q3-2011 was $0.32 and excludes from GAAP earnings per share the impact of litigation s
Slide 14: Potential Investment Returns
14 Potential Investment Returns (as of June 7, 2012) Investment Range of Prices Range of Yields Range of Net Spread to Funding Range of ROEs Agency RMBS 102-109 1.2%- 2.3% .9%-1.8% 8%-16% Agency CMBS 106-113 2.5%-3.0% 1.0%-1.3% 10%-14% Non-Agency ‘A’ - ’AAA’ RMBS 85-104 3.0%-8.5% 1.5%-4.0% 12%-20% N
Slide 15: Extension Risk
15 Extension Risk (as of June 7, 2012) 0 2 4 6 8 10 12 14 16 FN 30 year FNCI 15 year FN 5/1 ARM 15 CPR/CPB 2 CPR/CPB Average Life (years) Price Coupon WAC Speed Average Life Average Life Extension FN 30yr $104-31 3.50% 4.01% 15 CPR 2 CPR 5.38 years 14.54 years ~9 years FNCI 15yr $104-22 3.00% 3.44%
Slide 16: Financing
Financing (as of March 31, 2012) Repurchase Agreements Financing Balance WAVG Rate By collateral pledged: Agency $ 2,257,138 0.43% Non-Agency 357,459 1.49% Other 71,601 1.25% Total $ 2,686,198 0.59% By original maturity: (days) 0-30 $ 367,580 0.94% 31-60 1,627,179 0.61% 61-90 373,636 0.34% >90 272,8
Slide 17: Portfolio Summary
17 Portfolio Summary Our portfolio has performed well since 2008 and the earnings power today remains relatively intact Prepayment risk is mitigated by superior portfolio construction and HARP 2.0 should have less impact on Hybrid ARMs. Credit risk is mitigated by highly-rated securities, superior l
Slide 18: Dynex Value Proposition
18 Dynex Value Proposition Source: SNL High insider ownership aligns interests and reduces incentives to raise dilutive capital High quality, short duration strategy reduces volatility of results Diversified strategy offers superior capital allocation opportunities Our success since 2008 illustrates
Slide 19: Appendix
19 APPENDIX
Slide 20: Capital Allocation
20 Capital Allocation (as of March 31, 2012) (1) At March 31, 2012, associated financing for investments includes repurchase agreements, and securitization financing issued to third parties (the latter of which are presented on the Company’s balance sheet as “non-recourse collateralized financing”).
Slide 21: Selected Financial Highlights
21 Selected Financial Highlights (as of and for the quarter ended) Financial Highlights: ($000 except per share amounts) Mar 31, 2012 Dec 31, 2011 Sept 30, 2011 Jun 30, 2011 Mar 31, 2011 Total Investments 3,276,170$ 2,500,976$ 2,595,574$ 2,591,097$ 2,279,610$ Total Assets 3,349,056 2,582,193 2,633,6
Slide 22: RMBS Specified Pools
22 RMBS Specified Pools $281.0 $287.0 $283.0 $225.0 $250.0 $275.0 $300.0 DX All ARMs 5/1 ARMs Average Loan Size 37.9% 55.8% 59.5% 25.0% 35.0% 45.0% 55.0% 65.0% DX All ARMs 5/1 ARMs Third Party Originated 17.1% 15.1% 14.3% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% DX All ARMs 5/1 ARMs 65.0% 42.4% 40.1% 0% 10