Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Q2 2026 Earnings Presentation
31 slides from Dynex Capital's earnings presentation, Jul 20, 2026
Slide 1: Second Quarter 2026 Earnings Presentation
Second Quarter 2026 Earnings Presentation Monday, July 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: $3.1B Market Capitalization
$3.1B Market Capitalization ~16% Annualized Common Stock Dividend Yield Source: Bloomberg or Company data as of June 30, 2026 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 Strategy DYNEX BY THE NUMBERS Delivering Consistent, Monthly Dividends 608% Total Shareholder Return $27.6B Total Investment Portfolio Since Inception What We Do Dynex generates dividend income and long-term total returns through the financing of real estate mort
Slide 6: 5-Year Track Record of Industry Leading Returns
5-Year Track Record of Industry Leading Returns Returns have consistently outperformed the REM (iShares Mortgage Real Estate ETF) Cumulative Total Shareholder Returns Source: Bloomberg data as of June 30, 2026. 'Cumulative Total Shareholder Returns' assumes dividends are reinvested in the respective
Slide 7: 5x Growth with Strategic Capital Management
5x Growth with Strategic Capital Management Disciplined capital deployment and favorable market opportunities have fueled portfolio expansion and market capitalization growth Portfolio Growth Market Capitalization Growth(1) ($s in billions) ($s in billions) ~5x ~5x G RO W TH G RO W TH Source: Compan
Slide 8: The Dynex Value Creation Cycle
The Dynex Value Creation Cycle A favorable investment backdrop, efficient capital raising, and Dynex's differentiated platform combine to drive long- term shareholder value Note: Views on this page represent management’s views and actual results may differ materially. 8
Slide 9: Second Quarter 2026 Performance
Second Quarter 2026 Performance 9
Slide 10: Quarterly Performance Highlights
Quarterly Performance Highlights Q2’26 Earnings Summary Q2'26 Q1'26 Book Value per common share $12.90 $12.60 Total Economic Return (Loss)(1) 6.4% (2.5)% Dividend per common share $0.51 $0.51 $27.6B Investments as of Period-End inclusive of Agency RMBS TBAs $27.6B $24.8B Leverage(2) 8.1x 8.6x Compre
Slide 11: Selected Components of Portfolio Returns (excluding mark-to-market)
Selected Components of Portfolio Returns (excluding mark-to-market) Interest income continues to increase as higher yielding assets have been added to the portfolio and financing costs continue to trend down. Hedges continue to be supportive of portfolio returns Amortization of Interest Income(1) De
Slide 12: Portfolio Resilience and Construction
Portfolio Resilience and Construction Agency Coupon Composition • 99% agency MBS, the portfolio is intentionally built for durable income, prepayment resilience, and flexibility to deploy capital when volatility creates attractive mortgage spread Q1’26 Q2’26 opportunities • Broad coupon exposure cre
Slide 13: Macro Dynamics, Positioning & Strategy
Macro Dynamics, Positioning & Strategy 13
Slide 14: Key Macroeconomic Themes
Key Macroeconomic Themes Policy decisions are increasingly shaping the investment landscape across each of these macroeconomic themes Global Power Dynamics Technology Developed Economies are Aging Rapidly(1) • Shifting geopolitical and economic priorities which • The magnitude, speed and pervasivene
Slide 15: Mortgage Spreads: Persistent Opportunity
Mortgage Spreads: Persistent Opportunity Structural demand has historically supported tighter mortgage spreads; today's market is increasingly supported by private capital and renewed GSE demand History Implication for Dynex Periods supported by durable sources of agency MBS demand Current spread le
Slide 16: Agency RMBS: Solid Fundamentals, Strong Technicals
Agency RMBS: Solid Fundamentals, Strong Technicals Near-term policy directives appear likely to support Agency RMBS as long-term regulatory regime eases costs for private capital to own MBS Fundamentals Technicals Psychology Policy • Slow Housing – We do not expect a material pickup • Low Supply – 2
Slide 17: CMBS: Diversification and Durable Income
CMBS: Diversification and Durable Income Hedging with swaps adds to stable returns Fundamentals Technicals Psychology Policy • Demand for Multifamily (MF) – High prices • Higher Issuance – 2026 issuance is running • Supportive Fiscal and Monetary Policies have • GSE MBS Purchases have helped push an
Slide 18: Hedging: Managing Risk Across Market Environments
Hedging: Managing Risk Across Market Environments Hedging with Treasury futures and interest rate swaps allows us to mitigate interest rate risk Fundamentals Technicals Psychology Policy • Interest rate movements across the curve • Deep Liquidity – UST futures market is • Bearish Sentiment has perva
Slide 19: Funding: Stable Liquidity & Favorable Funding Conditions
Funding: Stable Liquidity & Favorable Funding Conditions Funding availability remains strong Fundamentals Technicals Psychology Policy • Evolving Economic Data – Global markets • Growing Money Market Funds – Over the • Fundamental and Technical Factors - • Federal Reserve Support – The Fed are waiti
Slide 20: 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, foste
Slide 21: Supplemental Financials
wy DYNEX 7 XN CAPITAL INC. Supplemental Financials
Slide 22: Capital Structure
Capital Structure Common Stock Series C Preferred Stock NYSE Ticker DX DX PRC Shares Outstanding 237.4 million 4.5 million Book Value $12.90 — per common share Second Quarter 2026 Dividends Declared $0.51 $0.59 per common share Annualized Dividend Yield 15.6% 9.2% Share Price $13.11 $25.86 Market Ca
Slide 23: RMBS Portfolio Details (as of June 30, 2026)
RMBS Portfolio Details (as of June 30, 2026) Unamortized Premium 3-month Par/Notional Amortized Fair Value % of Total WAVG Pay WAVG Yield 3-month ($ 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 $ 1
Slide 24: CMBS and CMBS IO Portfolio Details (as of June 30, 2026)
CMBS and CMBS IO Portfolio Details (as of June 30, 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 $ 1,387,141 $ 1,377,163 5
Slide 25: 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) June 30, 2026 March 31, 2026 2 year 10 year Trea
Slide 26: Hedge Position Changes
Hedge Position Changes June 30, 2026 March 31, 2026 Our hedge strategy ($ in thousands) Notional Amount WAVG Fixed Pay Rate Notional Amount WAVG Fixed Pay Rate is constructed to 5-year U.S. Treasury futures $ (750,000) n/a $ — n/a protect and 10-year U.S. Treasury futures (2,516,500) n/a (1,917,500)
Slide 27: Funding Strategy (as of June 30, 2026)
Funding Strategy (as of June 30, 2026) Fair Value of MBS Balance Weighted Pledged as Collateral Collateral Type ($s in thousands) Average Rate ($s in thousands) Balancing and Agency RMBS $21,361,037 3.78 % $22,331,019 Diversifying Risk Agency CMBS 1,215,694 3.79 % 1,267,413 Agency CMBS IO 68,011 4.1
Slide 28: Comprehensive Income
Comprehensive Income For the Quarter Ended For the Year Ended June 30, 2026 March 31, 2026 June 30, 2026 Income Per Common Income Per Common Income Per Common ($ in thousands, except per share amounts) (Expense) Share* (Expense) Share* (Expense) Share* Interest income $ 302,751 $ 1.36 $ 257,390 $ 1.
Slide 29: Book Value Rollforward - Quarter Ended June 30, 2026
Book Value Rollforward - Quarter Ended June 30, 2026 ($ in thousands) Common Equity Common equity, beginning of period (1) $ 2,609,770 Net interest income $ 93,783 Net periodic interest from interest rate swaps 542 Operating expenses (16,213) Preferred stock dividends (2,650) Changes in fair value:
Slide 30: Reconciliation of GAAP Measures to Non-GAAP Measures
Reconciliation of GAAP Measures to Non-GAAP Measures(1) ($ in thousands except per share amounts) 2Q'26 1Q'26 4Q'25 3Q'25 2Q'25 Comprehensive income (loss) to common shareholders $ 177,278 $ (83,168) $ 189,606 $ 162,527 $ (12,222) Adjustments: Change in fair value of investments (2) 26,487 243,238 (
Slide 31: 140 Eastshore Drive, Suite 100 Glen Allen, Virginia 23059 dynexcapital.com
140 Eastshore Drive, Suite 100 Glen Allen, Virginia 23059 804-217-5800 dynexcapital.com 31