Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Investor Presentation (December 2011)
23 slides from Dynex Capital's investor presentation, Dec 13, 2011
Slide 1: Dynex Capital, Inc. Investor Presentation
Exhibit 99.1 Dynex Capital, Inc. Investor Presentation December 13, 2011
Slide 2: Safe Harbor Statement
Safe Harbor Statement NOTE: This presentation contains “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995, including statements about projected future investment strategies and leverage ratios, financial performance, the projected impact of NOL ca
Slide 3: DX Snapshot
DX Snapshot Company Highlights Internally managed REIT commenced operations in 1988 Significant insider ownership and experienced management team Diversified investment strategy in residential and commercial mortgage assets Large NOL carryfoward for unique total return opportunity Market Highlights
Slide 4: Third Quarter 2011 Highlights
Third Quarter 2011 Highlights • Reporteddiluted earningsper commonshareof $0.32Ex-Items(1) • Reported book value per common share of $9.15 • Generated a net interest spread of 2.43% • Declared a dividend of $0.27 per share, representing a 13.4% yield on an annualized basis (2) • Generated an annuali
Slide 5: Summary of Results
Summary of Results Dividends and Earnings Per Share* $10.00 Book Value Per Share $9.80 $0.40 $0.40 $9.60 $0.32 * $0.34 $0.35 $0.33 $0.31 $9.40 $0.30 $9.20 $9.00 $9.80 $0.25 $9.64 $8.80 $9.59 $9.51 $0.20 $8.60 $0.15 $8.40 $9.15 $0.25 $0.27 $0.27 $0.27 $0.27 $0.28 $0.10 $8.20 $0.05 $8.00 Q3-2010 Q4-20
Slide 6: Portfolio Review
Portfolio Review • Our portfolio continues to perform well despite volatile markets. • Our portfolio is constructed to minimize prepayment risk, credit risk, and extension risk. • Despite a high average portfolio dollar price, we have built in loan level characteristics that work to offset trends to
Slide 7: Portfolio Composition
Portfolio Composition (as of September 30, 2011) Agency/Non-Agency Breakdown Residential/Commercial Breakdown Agency CMBS Agency RMBS 14% 66% Non-Agency RMBS RMBS/Loans CMBS 68% 2% 32% Non-Agency CMBS/Loans 18 % 7
Slide 8: MBA Refi Index
MBA Refi Index Source: Bloomberg 8
Slide 9: Prepayment Performance
Prepayment Performance (through September 30, 2011) 30% 28% 28% 28% 28% 28% 26% Agency MBS 22.7% 24% CPR 21.3% 20.8% 22% Total portfolio 18.5% 18.4% 20% Future modeled Agency 17.3% 17.0% 18% MBS 15.1% 16% 14% 1 year 6 mo 3 mo 1 mo • Consistent prepayment performance over the past year with minimum p
Slide 10: Prepayment Exposure
Prepayment Exposure (as of September 30, 2011) By Market Value By Dollar Premium Explicit Selected prepayment Explicit Selected specified protection prepayment specified pools 30% protection pools 41% 54% 51% Post/near reset* Post/near 16% reset* 8% • Significant explicit prepayment protection • Met
Slide 11: Key Prepayment Metrics
Key Prepayment Metrics for Selected Specified Pools (as of September 30, 2011) ($ in thousands) Average Loan Size Third Party Originated $300.0 65.0% 55.0% $275.0 $297.0 $292.0 61.0% 45.0% 58.0% $250.0 $269.0 35.0% 41.0% $225.0 DX All ARMs 5/1 ARMs 25.0% DX All ARMs 5/1 ARMs Investor Property Intere
Slide 12: Portfolio Ratings
Portfolio Ratings As of September 30, 2011 As of June 30, 2011 AAA AAA 94% 90% AA 4% AA A 1% 3% A 3% Below A Below A 3% 2% *Agency securities are considered AAA rated as of the dates presented 12
Slide 13: Non-Agency CMBS Vintage Portfolio
Non-Agency CMBS Vintage Portfolio (as of September 30, 2011) By Year of Origination By Property Type ($ in thousands) $250,000 Retail, 14% $200,000 $150,000 Multi-family, 55% Office, 17% $100,000 $50,000 Hotel, 3% $0 Industrial, 4% prior to 2000 2000-2005 2006-2008 2009 or Healthcare, 3% newer Other
Slide 14: Extension Risk
Extension Risk (as of September 30, 2011) 16 14 15 CPR/CPB 12 Average 2 CPR/CPB Life 10 (years) 8 6 4 2 0 FN 30 year FNCI 15 year 5/1 ARM Price Coupon WAC Speed Average Life Average Life Extension FN 30yr $103-10 4.00% 4.43% 15 CPR 5.41 years ~9 years 2 CPR 14.78 years FNCI 15yr $103-10 3.50% 3.80%
Slide 15: Portfolio Maturity/Reset Distribution
Portfolio Maturity/Reset Distribution (as of September 30, 2011) 35% 32% 30% 25% 22% 20% 17% 14% 15% 12% 10% 5% 2% 0% 0% <15 16-40 41-60 61-84 85-120 120-125 125-360 Months to Maturity or Reset 15
Slide 16: Potential Return Profile for Current Focus Investments
Potential Return Profile for Current Focus Investments (as of October 31, 2011) Range of net Range of Range of spread to Range of Investment Prices yields funding ROEs Agency RMBS 103-108 2.3%-2.8% 1.8%-2.3% 16%-23% Agency CMBS 103-111 3.1%-3.5% 1.3%-2.0% 15%-20% Non-Agency ‘A’ –’AAA’ RMBS 85-103 3.
Slide 17: Portfolio Summary
Portfolio Summary • Our portfolio has performed well since 2008 and the earnings power today remains relatively intact. • Prepayment risk is mitigated by superior portfolio construction and HARP 2.0 should have less impact on Hybrid ARMs. • Credit risk is mitigated by highly-rated securities, superi
Slide 18: Recourse Financing
Recourse Financing (as of September 30, 2011) ($ in thousands) Financing Balance WAVG Rate Agency $1,768,449 0.30% Non- Agency 285,237 1.21% $2,053,686 0.43% Repurchase Agreements SWAPS Original Total Maturity Financing WAVG Maturity Notional WAVG (Days) Balance Rate (mos.) Balance Rate 0-30 $1,177,
Slide 19: Why Dynex
Why Dynex Excellent long term performance record Solid balance sheet positioned to perform through multiple market environments Experienced management with a track record of disciplined capital deployment through multiple economic cycles Alignment of interests with shareholders due to owner-operator
Slide 20: APPENDIX
DYNEX APPENDIX
Slide 21: Management Team
Management Team Experienced team of professionals with a combined 80 years of experience managing mortgage REITs and mortgage portfolios •ThomasB.Akin– ChairmanandChiefExecutive Officer – 33 years of experience in the industry and 8 years at Dynex – Chairman since 2003 and CEO since 2008 – Managing
Slide 22: Capital Allocation
Capital Allocation (as of September 30, 2011) Associated (1) Financing / Allocated Asset Carrying Liability Shareholders' Leverage ($ in millions) Basis Carrying Basis Equity Target Notes • $1,337.3 mm in Hybrid Agency ARMs - Weighted average months-to-reset of 40 months Agency RMBS $1,716.2 ($1,542
Slide 23: Selected Financial Highlights
Selected Financial Highlights (as of and for the quarter ended) Financial Highlights: ($000 except per share amounts) Sept 30, 2011 Jun 30, 2011 Mar 31, 2011 Dec 31, 2010 Sept 30, 2010 Total Investments $ 2,595,574 $ 2,591,097 $ 2,279,610 $ 1,614,126 $ 1,064,546 Total Assets 2,633,686 2,656,703 2,35
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