Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Q1 2026 Earnings Presentation
30 slides from Dynex Capital's earnings presentation, Apr 20, 2026
Slide 1: First Quarter 2026 Earnings Presentation
First Quarter 2026 Earnings Presentation April 20, 2026 1
Slide 2: Safe Harbor Statement
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, b
Slide 3: Dynex Capital's strategy delivers attractive, consistent, monthly returns
Dynex Capital's strategy delivers attractive, consistent, monthly returns over the long term through disciplined risk management, strategic asset selection and active management of a portfolio of real estate mortgage assets. 3 3
Slide 4: Dynex's Strategy Delivers Strong Returns
Dynex’s Strategy Delivers Strong Returns We employ a global, top-down macroeconomic approach that informs our disciplined risk management – driving and protecting investor value across market cycles. This process involves: Macroeconomic Insight – A global view and Preparation for Decision Making – D
Slide 5: A Differentiated Mortgage Investment Strategy Delivering Consistent, Monthly Dividends
A Differentiated Mortgage Investment PERFORMANCE AT A GLANCE Strategy Delivering Consistent, Monthly $24.8B $2.6B Dividends Portfolio Fair Value Market Cap 563% 16.0% What we do today Stock return since IPO Annualized Dividend Yield (dividends reinvested) We generate dividend income and long-term to
Slide 6: Dynex Has Delivered Industry-Leading Returns
Dynex Has Delivered Industry-Leading Returns Cumulative Total Shareholder Returns The Company's high- performance culture has resulted in returns that have consistently outperformed the REM (iShares Mortgage RE ETF). (1) Agency MREITS (NLY, AGNC, ARR, ORC) on an equal weight basis (2) Hybrid MREITS
Slide 7: First Quarter 2026 Performance
First Quarter 2026 Performance 7
Slide 8: Quarterly Performance Highlights
Quarterly Performance Highlights Q1 26 Q4 25 Average Earning Assets $22.2B $16.2B (inclusive of Agency RMBS TBAs) Book Value $12.60 $13.45 (per common share) Leverage (1) 8.6x 7.3x Total Economic (Loss) Return (2) (2.5)% 10.2% Comprehensive (Loss) Income $(0.42) $1.22 (per common share) 1. Leverage
Slide 9: Well-Positioned for Residential Mortgage Opportunity
Well-Positioned for Residential Mortgage Opportunity (as of dates indicated) March 31, 2026 December 31, 2025 Dynex’s diversified portfolio remains constructed for flexibility. We strategically grew our balance sheet with a focus on high quality, liquid, Agency MBS, offering compelling risk-adjusted
Slide 10: Selected Components of Portfolio Returns (excluding mark-to-market)
Selected Components of Portfolio Returns (excluding mark-to-market) (1) (2) Interest income continues to increase as higher yielding assets have been added to the portfolio and financing costs (3) continue to trend down. Hedges continue to be supportive of portfolio returns. (1) Interest income incl
Slide 11: Key Macroeconomic Themes
Key Macroeconomic Themes Dynex remains 01 Government Policy 04 Fed Policy We expect Fed policy will be biased toward lower rates mindful of the Policymakers are challenging historic norms more rapidly than at any time in modern history. Domestic once new Chair Kevin Warsh is confirmed. Volatility in
Slide 12: Spread Regime Shifts
Spread Regime Shifts GSEs Private capital dominates Growth in GSE retained portfolios Fed Quantitative Easing Private capital return Return 12
Slide 13: Agency RMBS Market Dynamics and Strategy
Agency RMBS Market Dynamics and Strategy Near-term policy Fundamentals: Technicals: directives appear • Positively Sloped Yield Curve – Positive for mortgage carry, including dollar rolls • GSE Balance Sheets – The directive for the GSEs to buy $200 billion of mortgages likely marked the return of a
Slide 14: CMBS Market Dynamics and Strategy
CMBS Market Dynamics and Strategy Fundamentals: Technicals: Stable Agency • Multifamily (MF) – Demographic demand for • Issuance – Non-agency CMBS issuance has rebounded due to increases in single asset / borrower transactions, housing is strong, driving tight markets for MF. High CMBS offer prices
Slide 15: Hedging Dynamics and Strategy
Hedging Dynamics and Strategy Focus on Fundamentals: Technicals: generating • Swap Yields – Lower than Treasury yields by 15- 65bps, offering potential to earn more spread income on assets relative to hedges. • Futures vs. Cash UST & Swaps – UST futures are some of the deepest, most liquid markets i
Slide 16: Funding Market Dynamics and Strategy
Funding Market Dynamics and Strategy Fundamentals: Technicals: Funding • Evolving Economic Data – Global markets waiting • Money Market Funds – Money Markets held roughly availability for resolution of conflict with Iran and what the $8.2T in assets as of 3/31. We continue to expect impacts on both
Slide 17: Dynex Portfolio Positioned to Generate Returns
Dynex Portfolio Positioned to Generate Returns 01 Income & New Regime 04 Policy Portfolio value Mortgage spreads remain wide enough to swaps to generate leveraged ROEs, and against the backdrop of a return to a regime Lighter regulation improves financing and allows for more investment in RMBS. Poli
Slide 18: Dynex Positioned to Deliver Total Shareholder Returns
Dynex Positioned to Deliver Total Shareholder Returns 01 Portfolio Returns 03 Valuation Benefits Total shareholder Agency mortgages generate income through spread, carry, and security selection. Government policy and GSE support anchor Larger equity base improves trading liquidity and investor acces
Slide 19: Our Core Values Guide Us
Our Core Values Guide Us These values keep us grounded – and allow us to sustain our high-performance culture while consistently generating attractive, long-term returns. We Deliver Value We Build Trust We are unwavering in our commitment to deliver lasting We earn trust by acting with integrity, fo
Slide 20: Supplemental Financials
wy DYNEX mM CAPITAL INC. Supplemental Financials
Slide 21: Capital Structure
Capital Structure Common Stock Series C Preferred Stock NYSE Ticker DX DX PRC Shares Outstanding 207.2 million 4.5 million Book Value per share Outstanding $12.60 — First Quarter 2026 Dividends Declared per share $0.51 $0.59 Annualized Dividend Yield 16.0% 9.1% Share Price $12.76 $25.68 Market Capit
Slide 22: RMBS Portfolio Details (as of March 31, 2026)
RMBS Portfolio Details (as of March 31, 2026) Unamortized Premium 3-month Par/Notional Amortized Fair Value % of Total WAVG Pay WAVG Yield 3-month ($ in thousands) Value Cost (%) (3) Fair Value (%) Portfolio up to TBA (3) Balance (3) Market Yield (4) (3) CPR (3) (5) Agency RMBS Pools: 2.0% coupon $
Slide 23: CMBS and CMBS IO Portfolio Details (as of March 31, 2026)
CMBS and CMBS IO Portfolio Details (as of March 31, 2026) Portfolio Characteristics Financing Details 3-month Amortized % of Total WAVG Life WAVG WAVG Repo Equity ($ in thousands) Cost Fair Value Portfolio Remaining (1) Yield Market Yield (2) Outstanding Invested Agency CMBS $ 1,246,548 $ 1,244,801
Slide 24: Risk Position - Interest Rate and Spread Sensitivity
Risk Position - Interest Rate and Spread Sensitivity Interest Rate Sensitivity to Instantaneous Shocks Percentage Change in Percentage Change in Common Shareholders’ Equity Curve Shift Common Shareholders’ Equity Parallel Curve Shift As of As of (bps) March 31, 2026 December 31, 2025 2 year 10 year
Slide 25: Hedge Position Changes
Hedge Position Changes March 31, 2026 December 31, 2025 Our hedge strategy is ($ in thousands) Notional Amount WAVG Fixed Pay Rate Notional Amount WAVG Fixed Pay Rate constructed to protect 5-year U.S. Treasury futures $ — n/a $ (30,000) n/a and optimize portfolio 10-year U.S. Treasury futures (1,91
Slide 26: Funding Strategy (as of March 31, 2026)
Funding Strategy (as of March 31, 2026) Fair Value of MBS Balance Weighted Pledged as Collateral Collateral Type ($s in thousands) Average Rate ($s in thousands) Agency RMBS $19,845,289 3.80 % $20,871,318 Balancing and Agency CMBS 1,125,561 3.81 % 1,170,554 Diversifying Risk Agency CMBS IO 72,929 4.
Slide 27: Comprehensive Income
Comprehensive Income For the Quarter Ended March 31, 2026 December 31, 2025 Income Per Common Income Per Common ($ in thousands, except per share amounts) (Expense) Share* (Expense) Share* Interest income $ 257,390 $ 1.29 $ 177,036 $ 1.13 Interest expense (178,136) (0.89) (133,552) (0.86) Net intere
Slide 28: Book Value Rollforward - Quarter Ended March 31, 2026
Book Value Rollforward - Quarter Ended March 31, 2026 ($ in thousands) Common Equity Common equity, beginning of period (1) $ 2,350,644 Net interest income $ 79,254 Net periodic interest from interest rate swaps 1,698 Operating expenses (21,253) Preferred stock dividends (2,658) Changes in fair valu
Slide 29: Reconciliation of GAAP Measures to Non-GAAP Measures
Reconciliation of GAAP Measures to Non-GAAP Measures (1) ($ in thousands except per share amounts) 1Q26 4Q25 3Q25 2Q25 1Q25 Comprehensive income (loss) to common shareholders $ (83,168) $ 189,606 $ 162,527 $ (12,222) $ 14,391 Adjustments: Change in fair value of investments (2) 243,238 (91,740) (157
Slide 30: 140 East Shore Drive, Suite 100 Glen Allen, Virginia 23059
140 East Shore Drive, Suite 100 Glen Allen, Virginia 23059 804-217-5800 dynexcapital.com 30