Dynex Capital, Inc. · NYSE:DX
Dynex Capital — Q4 2024 Earnings Presentation
29 slides from Dynex Capital's earnings presentation, Jan 27, 2025
Slide 1: Fourth Quarter and Full Year 2024 Earnings Presentation
Fourth Quarter and Full Year 2024 Earnings Presentation January 27, 2025
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: Consistent monthly dividends through active, disciplined portfolio management
Dynex Capital provides investors with consistent monthly dividends through the active, disciplined management of a portfolio of real estate mortgage assets. 3 3
Slide 4: Dynex's Guiding Principles Deliver Sustainable Value
Dynex’s Guiding Principles Deliver Sustainable Value Listed on NYSE in 1989, DX is the longest tenured mREIT. Our strategy centers on: Long-term vision Internal management ensures Commitment to ethical and forward-looking full transparency, the stewardship underscores our strategy that delivers oppo
Slide 5: A Leading Mortgage Investor Delivering Consistent Dividends
A Leading Mortgage Investor Delivering Consistent Dividends PORTFOLIO FAIR VALUE OF $9.8 BILLION 436% STOCK 14.2% $1.1 billion RETURN SINCE ANNUALIZED MARKET CAP IPO DIVIDEND YIELD (as of December 31, 2024) WHAT WE DO TODAY (dividends reinvested) (as of December 31, 2024) DECEMBER 31, 2023 We manage
Slide 6: Industry Leading Returns For The Last 1, 3, and 5 Years
Industry Leading Returns For The Last 1, 3, and 5 Years Experience in managing assets through multiple economic cycles and a disciplined investment process results in Dynex long-term outperformance during periods of high volatility Cumulative Total Shareholder Returns 29.0% 13.7% 10.0% 7.8% 1.9% (0.
Slide 7: Fourth Quarter 2024 Performance
Fourth Quarter 2024 Performance 7
Slide 8: Quarterly Performance Highlights
Quarterly Performance Highlights Q4 24 Q3 24 Comprehensive Income $0.15 $0.93 (per common share) Book Value $12.70 $13.00 (per common share) Total Economic Return (1) 1.0% 7.1% Net Income $0.61 $0.38 (per common share) Leverage (2) 7.9x 7.6x Average Earning Assets $9.6B $9.3B (inclusive of Agency RM
Slide 9: Investment Portfolio
Investment Portfolio (as of dates indicated) (1) December 31, 2024 September 30, 2024 Portfolio Fair Value $9.8 Billion Portfolio Fair Value $9.3 Billion Dynex’s diversified Agency RMBS TBA 74% Agency RMBS TBA portfolio remains 76% Agency RMBS Pools Agency RMBS Pools Agency CMBS/CMBS IO 2% Agency CM
Slide 10: Selected Components of Portfolio Returns (excluding mark-to-market)
Selected Components of Portfolio Returns (excluding mark-to-market) (1) (2) Interest Income Hedge Benefit-Tax Basis $100.0 $30.0 $88.5 $25.7 $26.7 $83.5 $25.5 $76.1 $23.7 $71.2 $71.5 $22.0 $75.0 ($s in millions) $s in millions) $20.0 Interest income $50.0 continues to $25.0 $10.0 increase as higher
Slide 11: Key Macroeconomic Themes
Key Macroeconomic Themes Dynex remains 01 Government Policy 04 System Liquidity vigilant and Political regime change is happening in wide swaths of developed world, likely impacting asset prices Lighter regulation or even just easing upward pressure on capital requirements could see improved liquidi
Slide 12: Equilibrium Spread Tighter Still
Equilibrium Spread Tighter Still Less restrictive Fed, steeper yield curve, bank buying offer potential for strong double digit levered returns Private capital Private capital dominates Growth in GSE retained portfolios Fed Quantitative Easing returning Source: Bloomberg data (Current Coupon “MTGEFN
Slide 13: Hedge Selection Offers Potential for Alpha Generation
Hedge Selection Offers Potential for Alpha Generation 24 -20 Dec Transition following SOFR Era (LIBOR June '17 Vote for ceased Jun '23). LIBOR Era SOFR to replace After 4+ quarters, LIBOR. Treasury swaps are futures were better becoming more hedge than swaps. attractive hedges. Source: Dynex calcula
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 has been high for a • Fed Balance Sheet - MBS portfolio runoff will likely continue even afte
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: Funding Market Dynamics and Strategy
Funding Market Dynamics and Strategy Funding Fundamentals: Technicals: • Money Market Funds - continue to support liquidity with availability • Evolving Economic Data – expect to take advantage of fluctuations in pricing of Fed rate • ~$32B base, about 1/3rd invested in the repo market. Fed Reverse
Slide 17: Dynex Positioned to Capture Growth and Drive Value
Dynex Positioned to Capture Growth and Drive Value 01 Historic Opportunity 04 Policy We expect to create Mortgage spreads remain near generational wides and offer opportunity to earn positive Lighter regulation improves financing and allows for more investment in RMBS. The Fed will likely value thro
Slide 18: Doing Good Helps Dynex Do Well
Doing Good Helps Dynex Do Well Our Core Values Underpin Every Decision We Make to Sustain Our High-Performance Culture and Consistently Generate Attractive, Long-Term Returns Kindness Stewardship We can accomplish more together and build a culture like We are thoughtful, ethical, and responsible fid
Slide 19: Supplemental Financials
\ 4 > Ct varts Supplemental Financials
Slide 20: Capital Structure
Capital Structure Common Stock Series C Preferred Stock NYSE Ticker DX DX PRC Shares Outstanding 84.5 million 4.5 million Book Value per share Outstanding $12.70 — December 2024 Common / Fourth Quarter 2024 Preferred $0.15 $0.43 Dividends Declared per share Annualized Dividend Yield 14.23% 6.74% Sha
Slide 21: RMBS Portfolio Details (as of December 31, 2024)
RMBS Portfolio Details (as of December 31, 2024) Unamortized Par/Notional Amortized Fair Value % of Total WAVG Pay Premium 3-month 3-month ($ 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 $ 6
Slide 22: CMBS and CMBS IO Portfolio Details (as of December 31, 2024)
CMBS and CMBS IO Portfolio Details (as of December 31, 2024) 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 $ 99,848 $ 95,463 1.0
Slide 23: 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 As of As of (bps) December 31, 2024 September 30, 2024 2 year 10 year Treasury
Slide 24: Hedge Position Changes
Hedge Position Changes Our hedge strategy is constructed to protect and optimize portfolio performance December 31, 2024 September 30, 2024 under various rate Notional Notional Amount / Long WAVG Fixed Amount / WAVG Fixed scenarios. ($ in thousands) (Short) Pay Rate Long (Short) Pay Rate We continue
Slide 25: Funding Strategy (as of December 31, 2024)
Funding Strategy (as of December 31, 2024) Fair Value of MBS Balance Weighted Pledged as Collateral Collateral Type ($s in thousands) Average Rate ($s in thousands) Agency RMBS $6,368,457 4.79 % $6,689,336 Balancing and Agency CMBS 90,717 4.78 % 95,071 Diversifying Risk Agency CMBS IO 96,146 5.18 %
Slide 26: Financial Performance
Financial Performance 4Q24 3Q24 YTD 2024 Income Per Common Income Per Common Income Per Common ($ in thousands, except per share amounts) (Expense) Share* (Expense) Share* (Expense) Share* Interest income $ 88,496 $ 1.09 $ 83,458 $ 1.10 $ 319,534 $ 4.52 Interest expense (81,609) (1.01) (82,564) (1.0
Slide 27: Book Value Rollforward
Book Value Rollforward Quarter Ended December 31, 2024 Per ($s in thousands except amounts per share) Common Equity Common Share Common equity, beginning of period (1) $ 1,031,059 $ 13.00 Earnings available for distribution (2) 8,103 Change in fair value of investments, including TBAs (332,828) Chan
Slide 28: Reconciliation of GAAP Measures to Non-GAAP Measures
Reconciliation of GAAP Measures to Non-GAAP Measures (1) ($ in thousands except per share amounts) 4Q24 3Q24 2Q24 1Q24 4Q23 Comprehensive income (loss) to common shareholders $ 12,562 $ 70,741 $ (12,013) $ 20,927 $ 81,648 Adjustments: Change in fair value of investments (2) 259,826 (234,541) 45,269
Slide 29: Sound Strategy. Unique Advantages.
SOUND STRATEGY. UNIQUE ADVANTAGES. 4991 Lake Brook Drive, Suite 100 Glen Allen, Virginia 23060 804-217-5800 dynexcapital.com 29