Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Q1 2025 Earnings Presentation
30 slides from Dynex Capital's earnings presentation, Apr 21, 2025
Slide 1: First Quarter 2025 Earnings Presentation
First Quarter 2025 Earnings Presentation April 21, 2025 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 delivers attractive, consistent, monthly returns
Dynex Capital 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 Leading Mortgage Investor Delivering Consistent, Monthly Dividends
A Leading Mortgage Investor Delivering PERFORMANCE AT A GLANCE Consistent, Monthly Dividends $11.1B Portfolio Fair Value $1.3B Market Cap 477.6% 15.7% What we do today Stock return since IPO Annualized Dividend Yield (dividends reinvested) We generate dividend income and long-term total returns thro
Slide 6: Dynex Delivering Industry-Leading Returns for Past Five Years
Dynex Delivering Industry-Leading Returns for Past Five Years Cumulative Total Shareholder Returns Owner-operated structure 137.4% and high-performance culture 119.4% have resulted in reliable returns that have consistently 82.9% outperformed the S&P 500 Financials and the REM (iShares Mortgage RE E
Slide 7: First Quarter 2025 Performance
First Quarter 2025 Performance 7
Slide 8: Quarterly Performance Highlights
Quarterly Performance Highlights Q1 25 Q4 24 Comprehensive Income $0.16 $0.15 (per common share) Book Value $12.56 $12.70 (per common share) Total Economic Return (1) 2.6% 1.0% Net (Loss) Income $(0.06) $0.61 (per common share) Leverage (2) 7.4x 7.9x Average Earning Assets $10.3B $9.6B (inclusive of
Slide 9: Well-Positioned for Residential Mortgage Rebound
Well-Positioned for Residential Mortgage Rebound (as of dates indicated) (1) March 31, 2025 December 31, 2024 Portfolio Fair Value $11.1 Billion Portfolio Fair Value $9.8 Billion Dynex’s diversified Agency RMBS TBA 73% Agency RMBS TBA 74% portfolio remains Agency RMBS Pools Agency RMBS Pools Agency
Slide 10: Selected Components of Portfolio Returns
Selected Components of Portfolio Returns (excluding mark-to-market) (1) (2) Interest Income Hedge Benefit-Tax Basis $100.0 $95.1 $100.0 $88.5 $83.5 $76.1 $71.5 Interest income $75.0 $75.0 ($s in millions) $s in millions) continues to $50.0 $50.0 increase as higher $25.0 $25.0 $25.7 $25.5 $26.7 $22.0
Slide 11: Key Macroeconomic Themes
Key Macroeconomic Themes Dynex remains 01 Global Power Shifts 04 Fed Policy vigilant and Power dynamics continue to shift globally creating rapid change. Global risks include structural changes Still biased towards less restrictive monetary policy, Fed policy could be less meaningful for longer mind
Slide 12: Spreads remain attractive for private capital
Spreads remain attractive for private capital Private capital Private capital dominates Growth in GSE retained portfolios Fed Quantitative Easing returning Source: Bloomberg data (Current Coupon “MTGEFNCL Index” vs. 5&10 Year Treasury yields weighted to average 7 years) 12
Slide 13: Hedge Selection Offers Potential for Higher Income
Hedge Selection Offers Potential for Higher Income 24 20 pril- A LIBOR to SOFR LIBOR Era Transition SOFR Era ( Jun '17 - '23) Source: Dynex calculations using US Treasury, St. Louis FRED, Bloomberg. ARCC SOFR-Libor spread of 26.2bps. 13
Slide 14: Agency RMBS Market Dynamics and Portfolio Strategy
Agency RMBS Market Dynamics and Portfolio Strategy Agency MBS Fundamentals: Technicals: offer compelling • • Steeper Curve - positive for mortgage carry, including dollar rolls Focused Refis – refi response likely very high for • Fed Balance Sheet - Fed MBS runoff continues ("quantitative tightening
Slide 15: CMBS Market Dynamics and Strategy
CMBS Market Dynamics and Strategy Stable cash flows Fundamentals: Technicals: in senior CMBS • Multifamily (MF) – demographic demand for housing is strong, driving tight markets for MF. High • Issuance - non-agency CMBS issuance has rebounded due to increases in single asset / borrower transactions
Slide 16: Hedging Dynamics
Hedging Dynamics Focus on Fundamentals: Technicals: generating • Swap Yields – lower than Treasury yields by 20-100bps, offering potential to earn more spread • Futures vs. Cash UST & Swaps - UST futures are some of the deepest, most liquid markets in world, income on assets relative to hedges. trad
Slide 17: Funding Market Dynamics and Strategy
Funding Market Dynamics and Strategy Funding Fundamentals: Technicals: • Evolving Economic Data – expect to take • Money Market Funds - $7T in assets, up ~150B in availability advantage of fluctuations in pricing of Fed rate moves amid periodic volatility in economic data. 2025, underscoring continu
Slide 18: Dynex Positioned to Generate Income and Drive Value
Dynex Positioned to Generate Income and Drive Value 01 Income Opportunity 04 Policy We expect to create Mortgage spreads widened early in 2Q, near generational wides again, and offering Lighter regulation improves financing and allows for more investment in RMBS. The Fed will likely value through op
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 102.2 million 4.5 million Book Value per share Outstanding $12.56 — First Quarter 2025 Dividends Declared per share $0.47 $0.43 Annualized Dividend Yield 15.7% 6.7% Share Price $13.02 $25.62 Market Capit
Slide 22: RMBS Portfolio Details (as of March 31, 2025)
RMBS Portfolio Details (as of March 31, 2025) Unamortized Par/Notional Amortized Fair Value % of Total WAVG Pay Premium 3-month 3-month ($ in thousands) Value Cost (%) (1) Fair Value (%) Portfolio up to TBA Balance (1) Market Yield (2) WAVG Yield (1) CPR (1) (3) Agency RMBS Pools: 2.0% coupon $ 643,
Slide 23: CMBS and CMBS IO Portfolio Details (as of March 31, 2025)
CMBS and CMBS IO Portfolio Details (as of March 31, 2025) 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 $ 109,578 $ 106,429 1.0
Slide 24: Risk Position - Interest Rate and Spread Sensitivity
Risk Position - Interest Rate and Spread Sensitivity Interest Rate Sensitivity Percentage Change in Percentage Change in Common Shareholders’ Equity Curve Shift Common Shareholders’ Equity Parallel Curve Shift As of As of (bps) March 31, 2025 December 31, 2024 2 year 10 year Treasury Treasury As of
Slide 25: Hedge Position Changes
Hedge Position Changes March 31, 2025 December 31, 2024 Notional Notional Amount / WAVG Fixed Amount / WAVG Fixed Our hedge strategy is ($ in thousands) Long (Short) Pay Rate Long (Short) Pay Rate constructed to 30-year U.S. Treasury futures $ (766,500) n/a $ (516,500) n/a protect and optimize 10-ye
Slide 26: Funding Strategy (as of March 31, 2025)
Funding Strategy (as of March 31, 2025) Fair Value of MBS Balance Weighted Pledged as Collateral Collateral Type ($s in thousands) Average Rate ($s in thousands) Agency RMBS $7,076,257 4.45 % $7,454,039 Balancing and Agency CMBS 64,065 4.45 % 63,351 Diversifying Risk Agency CMBS IO 88,686 4.78 % 97,
Slide 27: Financial Performance
Financial Performance 1Q25 4Q24 Income Per Common Income Per Common ($ in thousands, except per share amounts) (Expense) Share* (Expense) Share* Interest income $ 95,059 $ 1.05 $ 88,496 $ 1.09 Interest expense (77,926) (0.86) (81,609) (1.01) GAAP net interest Income 17,133 0.19 6,887 0.08 Net period
Slide 28: Book Value Rollforward - Quarter Ended March 31, 2025
Book Value Rollforward - Quarter Ended March 31, 2025 Common Equity Common equity, beginning of period (1) $ 1,073,436 Net interest income $ 17,133 Net periodic interest from interest rate swaps 10,851 Operating expenses (12,118) Preferred stock dividends (1,923) Changes in fair value: MBS and loans
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) 1Q25 4Q24 3Q24 2Q24 1Q24 Comprehensive income (loss) to common shareholders $ 14,391 $ 12,562 $ 70,741 $ (12,013) $ 20,927 Adjustments: Change in fair value of investments (2) (129,387) 259,826 (234,54
Slide 30: Dynex Capital contact details
4991 Lake Brook Drive, Suite 100 Glen Allen, Virginia 23060 804-217-5800 dynexcapital.com 30