Dynex Capital : Q1 2026 Presentation

Published: 2026-04-20 09:00:26 ET DX

Published on 04/20/2026 at 09:00 am EDT

April 20, 2026

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.

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 perspective of monetary and fiscal policies, assessing evolving scenarios to inform decisions

Advanced Investment Analysis - A multifaceted approach combining fundamentals, technicals, and psychology to evaluate returns and supply/demand dynamics

Proven Financing & Hedging Expertise - Decades of industry relationships, supported by rigorous sensitivity analyses of credit, interest rates, liquidity, and market values

Preparation for Decision Making - Disciplined processes creating resilient teams prepared to navigate volatile conditions and drive informed choices across all market environments

Disciplined Risk Management - Interest rate, credit, prepayment, and liquidity risks to safeguard consistent performance

Regulatory Savvy - A strategic grasp of rules, competition, and financing availability to optimize asset opportunities

A Differentiated Mortgage Investment Strategy Delivering Consistent, Monthly Dividends

What we do today

We generate dividend income and long-term total returns through the financing of real estate assets, and by doing so support the growth and revitalization of communities in the United States.

Approximately 95% of today's portfolio is in Agency RMBS.

PERFORMANCE AT A GLANCE

$24.8B

Portfolio Fair Value

$2.6B

Market Cap

56Stoc3k retu%rn

since IPO

(dividends reinvested)

16.0%

Annualized

Dividend Yield

Information as of March 31, 2026

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).

Agency MREITS (NLY, AGNC, ARR, ORC) on an equal weight basis

Hybrid MREITS (EFC, PMT, CIM, TWO, MFA, NYMT, RITM, MITT) on an equal weight basis

Source: Bloomberg. Assumes dividends are reinvested in the respective security. 6

Quarterly Performance Highlights

Q1 26 Q4 25

Average Earning Assets

(inclusive of Agency RMBS TBAs)

$22.2B

$16.2B

Book Value

(per common share)

$12.60

$13.45

Leverage (1)

8.6x

7.3x

Total Economic (Loss) Return (2)

(2.5)%

10.2%

Comprehensive (Loss) Income

(per common share)

$(0.42)

$1.22

Leverage equals the sum of (i) total liabilities plus (ii) amortized cost basis of TBA long positions divided by total shareholders' equity.

Equals sum of dividend declared per common share during the quarter plus the change in book value per common share during the quarter divided by beginning book value per common share.

Well-Positioned for Residential Mortgage Opportunity

(as of dates indicated)

March 31, 2026 December 31, 2025

We strategically grew our balance sheet with a focus on high quality, liquid, Agency MBS, offering compelling risk-adjusted returns. As pricing evolves, other segments of commercial and residential mortgage markets could become attractive.

Includes Agency RMBS TBA dollar roll positions at their implied market value, which are accounted for as "derivative assets (liabilities)" on our consolidated balance sheet.

(1)

Selected Components of Portfolio Returns (excluding mark-to-market)

(2)

(3)

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.

Interest income includes amounts earned from cash equivalents.

Amounts are subject to change as they represent estimates for amortization of deferred tax hedge gains as of March 31, 2026 that are expected to be distributable as REIT taxable income for the periods presented, but which were recognized in GAAP earnings in prior periods.

Economic net interest income, a non-GAAP measure, is reconciled to GAAP measures on slide 29.

Key Macroeconomic Themes

Dynex remains mindful of the evolving policy, economic and regulatory forces over the short-, medium- and longterm.

Our strategy is built on navigating uncertainty through scenario analysis, preparation and flexibility.

Government Policy

Policymakers are challenging historic norms more rapidly than at any time in modern history. Domestic policy shifts are focused on improving cost of living, where the federal government is focused on bringing down mortgage rates. We expect rapid shifts, some that could prove very effective and others that could have unintended consequences.

Global Power Rupture

Some global leaders have suggested a rupture, much more than a transition, in post-war, rules-based international order. Political rivalry and economic coercion could significantly alter international law and global trade. Policymakers appear likely to favor domestic reliance in the face of unknown global order and human conflict focused on differences in core values rather than similarities.

Fiscal Policy

$2T-plus deficits in the US seem likely with risks to the upside if tariff legal challenges succeed; tax receipt growth may start to slow, while spending continues.

We believe that surging defense spending amid more nationalistic trends is likely in all but many of the smallest of countries. US Treasury policy could be increasingly targeted to control interest rate levels, targeting the US Dollar more than ever and opportunistically managing debt maturities.

Fed Policy

We expect Fed policy will be biased toward lower rates once new Chair Kevin Warsh is confirmed. Volatility in forward policy rate expectations could continue as markets decipher stubborn inflation readings, structurally slower labor markets and the political rhetoric. Rate policy transmission could shift toward repo-based rates, which would be supportive for mortgage repo funding and liquidity. Targeted intervention across the curve could suppress term premium.

System Liquidity

We expect liquidity to remain abundant. Lighter regulation could make it easier for liquidity to flow in dollar financing markets. New entrants could compete for funding, especially in areas related to data center financing. Meanwhile gated investors in private credit could slowly migrate to safer, more liquid asset classes.

Demographics & Tech

Persistent global demographic trends support the demand for income and our overall business model. Housing demand continues to be shaped by millennial and Gen Z household formation and affordability concerns. AI-powered applications are transforming the mortgage ecosystem as organizations prepare for rapid evolution of AI applications to cybersecurity.

Spread Regime Shifts

Private capital dominates

Growth in GSE retained portfolios

Fed Quantitative Easing

Return

Private capital return GSEs

Agency RMBS Market Dynamics and Strategy

Near-term policy directives appear likely to support Agency RMBS as long-term regulatory regime eases costs for private capital to own MBS.

Domestic policy uncertainty, especially related to housing, is slowly clearing, presenting opportunities for spread tightening.

Fundamentals:

Positively Sloped Yield Curve - Positive for mortgage carry, including dollar rolls

Focused Refis - Refi response likely high for concentrated segment of high-rate, easily refinanced loans; other segments offer low prepay risk

Slow Housing - We don't expect a material pickup in activity unless primary rates fall below 5.5% amid policy support.

Affordability - Remains stretched; rate relief more possible; supply constraints could slowly ease.

Innovation - Mortgage bankers consolidate and leverage technology to help borrowers extract equity and refi to lower rates as soon as available.

Credit Risk - Risk premium in non-agency MBS remains relatively less attractive but continues to improve. Weather-related insurance costs and risks remain a concern.

Psychology:

Fed Bias - The tension between higher prices and slower growth from oil supply shock has the Fed likely on hold until the Iran conflict endgame becomes clearer.

Fully Priced Credit - Broader credit markets (Corps, ABS) still price little margin for economic slowdown risks as some segments related to data centers inch wider amid supply.

Regulatory/Political Backdrop - Policy could still evolve quickly, but bias appears toward lowering mortgage costs and potentially lighter regulation, especially for commercial banks.

Technicals:

GSE Balance Sheets - The directive for the GSEs to buy

$200 billion of mortgages likely marked the return of a native balance sheet for mortgages and could provide a backstop against material widening in spreads.

Supply - 2026 net issuance will likely increase but still be dwarfed by demand.

Return of Banks - Bank portfolios can still find mortgages against swaps attractive uses of capital, especially with a backstop bid from the GSEs limiting potential widening.

Fund Flows - Money market, bond fund and annuity flows continue to support financing and MBS prices.

The Coupon Stack - Potential for lower mortgage rates increases importance of diversified coupon exposure; specified pools remain resilient amid renewed volatility.

Value:

Periodic Vol - Uncertainty will likely continue to cause asset price volatility as markets respond to early policy proposals in advance of any formal policy changes.

Relative Value - Opportunities continue to arise to adjust exposures across range of coupons and specified pools.

Security Selection - Select seasoned collateral and story pools are expected to offer compelling alpha relative to the mortgage index or current coupon, as mortgage spreads find a new equilibrium level, likely in the range seen before the financial crisis.

CMBS Market Dynamics and Strategy

Stable Agency CMBS offer potential for diversification.

Fundamentals:

Multifamily (MF) - Demographic demand for housing is strong, driving tight markets for MF. High prices and low affordability for single-family support demand for apartments.

Supply - New MF supply, especially in Sunbelt, continues to impact rent growth and occupancy levels. We expect this pressure to abate in the coming years as construction pipelines continue to shrink.

Structural Office Headwinds - Evolving as some cities see return to office trends while space risks obsolescence; vacancies elevated but stabilizing. Trophy assets still outperforming.

Inflation & Rates - Higher cap-rates and financing costs have negatively impacted property values and borrowers' ability to service and/or refinance existing debt. Inflation has resulted in higher property operating expenses.

Delinquencies & Special-Servicing - These balances continue to grow and could ultimately result in further downgrades and losses in certain older non-agency CMBS tranches.

Psychology:

Supportive fiscal and monetary policies - Have generally led to more participation and liquidity in commercial real estate.

Refi Fear - Growth in maturities in coming years is slightly less concerning given lenders' willingness to modify/extend loans.

Technicals:

Issuance - Non-agency CMBS issuance has rebounded due to increases in single asset / borrower transactions, 5-year conduit and CRE CLO deals. Agency CMBS issuance also increased amid lower rates and strong demand. Issuance will likely increase again in 2026.

Demand - Less bank demand in recent years resulted in increased participation from other investor types. Now banks have started to return to this sector, where they easily hedge duration with swaps. Money managers have comprised majority of non-agency CMBS demand.

Value:

Roll-down - CMBS offers potential for additional returns from roll-down.

Spreads - Agency CMBS spreads narrowed with GSE purchase announcements but have recently come under pressure due to geopolitical events.

Relative Value - Agency CMBS spreads lagged some of the macro-driven spread widening in RMBS and Investment Grade corporates, which resulted in elevated secondary sales from banks and asset managers.

More Predictable Cash Flow - Certain senior bonds are easier to hedge, and can help improve convexity profile of the overall portfolio.

Non-Agency Funding - Funding costs often 50+bps above Agency CMBS, requiring wider non-agency CMBS spreads to generate relatively attractive risk-return profiles.

Interest Only - Structured extensions and loan modifications can lead to better returns as underlying loans remain outstanding longer.

Hedging Dynamics and Strategy

Focus on generating returns from the yield spread premium mortgages offer.

Hedging interest rate risk with Treasury futures and interest rate swaps allows us to focus on earning spread income.

Interest rate options offer a compelling hedge for uncertainty.

Fundamentals:

Swap Yields - Lower than Treasury yields by 15-65bps, offering potential to earn more spread income on assets relative to hedges.

Swap vs. Futures - Swap hedge tenor shortens over time without need to roll quarterly, as with futures.

Uncertainty - Surprises remain likely in this global macroeconomic environment with volatility in both directions for interest rates, making it critical to hedge rate exposures carefully.

Options Hedges - Owning options on futures and swaps can adjust portfolio hedges as asset durations change.

Psychology:

Risk Premium - Models of "term premium" suggest trends tilt toward investors demanding higher yield premium on longer maturity bonds, especially UST.

Long-End Bearishness - Positioning has become more balanced in response to the recent rate market gyrations, but market sentiment remains biased toward a steeper curve-particularly here in the US.

De-Dollarization - Confidence in the Dollar as a store of value and the preferred medium of global trade could shift demand for US fixed-income.

Technicals:

Futures vs. Cash UST & Swaps - UST futures are some of the deepest, most liquid markets in the world, trading nearly 24 hours/day, nearly 6 days a week

Rate Trends - Bullish rate trend indicators have turned more neutral during the quarter as markets process the impacts on both inflation and growth of the current oil supply shock.

Swap Spread Trends - After peaking early in the quarter, swap spreads have tightened in response to the broad de-risking across asset classes we have seen during the quarter.

Value:

Yield Curve & Vol Surface - Shape of yield curve and implied volatility across the curve allow for opportunities to generate alpha across hedges.

Capturing Spread - Hedging rate exposures allows investors to capture spread premium of mortgages in a range of yield curve scenarios, including inversions.

Financing Hedge - Hedging rate exposures reduces future funding rate uncertainty.

Funding Market Dynamics and Strategy

Funding availability remains strong.

Fed remains focused on nuances of this market.

Lighter regulation could make it easier and less costly to facilitate financing between lenders and borrowers.

Our strategy emphasizes fostering deep relationships with our partners, managing liquidity for a multitude of scenarios.

Fundamentals:

Evolving Economic Data - Global markets waiting for resolution of conflict with Iran and what the impacts on both inflation and growth will be from the oil supply shock

Federal Reserve Support- Reserve management purchases include monthly acquisitions totaling

$40B, with a reduction expected in the second quarter. Alongside these efforts, standing repo operations are accessible to provide liquidity when markets face stress. These strategies strengthen the Fed's assurance in reserve adequacy and help maintain necessary liquidity across financial markets

Regulatory - Regulatory adjustments have enhanced the environment for banks, fostering stability in the repo market and potentially mitigating volatility

Psychology:

Fundamental and Technical Factors - Overall traders asses repo market environment as stable.This view has been reinforced by observable trading patterns and behaviors in the market

Reporting Periods - Month-end trades have been executed with only modest premiums. Both advance and actual quarter-end turn trades have occurred with minimal pressure, further demonstrating the tranquil sentiment prevailing in the market.

Technicals:

Money Market Funds - Money Markets held roughly

$8.2T in assets as of 3/31. We continue to expect abundant liquidity from these funds amid the broad inflow trend.

Standing Repo - Fed facility available daily during regular afternoon operations and opens selectively in NY mornings as Fed deems necessary to support liquidity; record usage at year-end suggests stigma might be declining.

GSE Cash - Remain a steady and predictable source of liquidity, arriving at regular intervals throughout the month, aiding liquidity and softening rates.

Seasonal Treasury Technicals- At quarter end, we saw the beginning of net negative bill issuance, which could reach approximately $400B through mid-May. This could result in a collateral shortage in repo leading to softer rates during the period.

Value:

Portfolio Financing - proactively monitored market's supply & demand technicals, adjusting our weighted-average maturities as needed, optimizing financing terms while maintaining flexibility.

Prepared for Stress - liquidity sensitivity analysis remains paramount to prepare for event-risk. Despite the current calmness in the market, it is important to avoid complacency and remain vigilant

Spreads to SOFR - Agency RMBS repo traded 13-15bps for most of the first quarter with spreads tightening modestly at the beginning of April.

Dynex Portfolio Positioned to Generate Returns

Income & New Regime

Mortgage spreads remain wide enough to swaps to generate leveraged ROEs, and against the backdrop of a return to a regime where GSEs backstop spread widening, there is potential for greater tightening.

Well Positioned

Existing portfolio can drive spread income and

realize gains from further tightening of spreads as the risk-reward of tactical positioning becomes even more compelling given the potential GSE support for MBS.

High Liquidity

We are operating with ample liquidity in order to protect our portfolio in volatile periods, with $1.3 billion of cash and unencumbered assets, or 46% of equity as of March 31, 2026.

Policy

Lighter regulation improves financing and allows for more investment in RMBS. Policymakers appear currently biased toward actions that improve housing affordability, mostly via lower mortgage rates. The Fed will likely remain biased toward less restrictive policy. GSE transition could see reduction in scope of their activities, limiting supply.

Experience

Seasoned team respectful of and prepared for

complex macro environment. Much of our team worked together during prior regimes where GSE portfolios dominated the supply-demand balance in agency mortgages. Human capital remains a focus and we have made several key decisions to build for future success.

Portfolio value generation through opportunistic investing, deep security selection, and disciplined hedging.

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 the market in a tighter long-term spread regime. Volatility is expected and creates opportunity for disciplined, permanent-capital investors.

02 Balance Sheet Strength

High liquidity enables holding risk through volatility and adding exposure at attractive valuations. High-quality assets support income durability and balance-sheet flexibility.

Larger equity base improves trading liquidity and investor access. Increased relevance to institutional and passive investors supports valuation. Greater capital-markets presence lowers cost of capital.

Inclusion in new indices could be a further tailwind.

04 Growth Valuation Cycle

Capital raising expands the investment platform. Portfolio returns combined with increased relevance and resilience reinforce valuation.

Stronger valuation enhances future capital formation and shareholder returns.

returns are driven by

durable portfolio performance and valuation benefits from increased market relevance and liquidity.

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 are unwavering in our commitment to deliver lasting value. Our focus on long-term performance underpins every decision, driving results for our stakeholders.

We Build Trust

We earn trust by acting with integrity, fostering a stewardship mindset and demonstrating transparency. We extend it by empowering each other to succeed. We trust in our team's capabilities and principles, knowing that trustworthiness is both our strength and responsibility.

We Are Curious

We continuously challenge the status quo and explore the unknown, embracing the idea of preparing, not predicting. Our comfort with uncertainty spurs open-mindedness, which strengthens our team. By embracing feedback and remaining adaptable, we position ourselves to thrive in a dynamic financial landscape.

We Are Kind

We have genuine regard for others' well-being, expressed through empathy, patience, and respect. By honoring the inherent worth of all, we build a culture rooted in mutual regard and shared purpose. We embrace kindness even in challenging situations to create a culture where collaboration and excellence can thrive.

Capital Structure

Common Stock

Series C Preferred Stock

NYSE Ticker

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 Capitalization

$2.6 billion

Liquidation Value

$111.5 million

Information as of March 31, 2026

RMBS Portfolio Details (as of March 31, 2026)

($ in thousands)

Par/Notional Value

Amortized

Cost (%) (3) Fair Value

Fair Value (%)

% of Total Portfolio

WAVG Pay

up to TBA (3)

Unamortized Premium Balance (3)

Market Yield (4)

3-month WAVG(3)Yield

3-month CPR (3) (5)

Agency RMBS Pools:

2.0% coupon

$ 1,275,957

91.3 % $ 1,041,759

81.6 %

4.2 %

1.17

$ (110,991)

4.75%

2.74%

2.2 %

2.5% coupon

648,281

99.7 % 554,603

85.5 %

2.2 %

1.41

(1,815)

4.76%

2.21%

4.6 %

4.0% coupon

286,550

100.1 % 272,829

95.2 %

1.1 %

0.93

326

4.81%

3.94%

6.4 %

4.5% coupon (1)

1,685,062

97.1 % 1,636,567

97.1 %

6.6 %

0.63

(48,155)

4.96%

4.98%

6.7 %

5.0% coupon

7,479,116

99.4 % 7,420,134

99.2 %

30.0 %

0.63

(45,105)

5.11%

5.16%

3.9 %

5.5% coupon

9,038,565

101.2 % 9,152,542

101.3 %

37.0 %

0.84

106,626

5.28%

5.35%

8.4 %

6.0% coupon

1,494,282

102.9 % 1,538,780

103.0 %

6.2 %

1.08

42,969

5.40%

5.30%

14.8 %

Total Agency RMBS Pools:

$ 21,907,813

99.7 % $ 21,617,214

98.7 %

87.3 %

0.80

$ (56,145)

5.15 %

5.00 %

6.8 %

Agency RMBS TBA:

4.5% coupon (2)

$ 1,257,000

- $ 1,227,574

97.7 %

5.0 %

4.90 %

5.0% coupon

603,000

- 594,473

98.6 %

2.4 %

5.20 %

Total Agency RMBS TBA:

$ 1,860,000

- $ 1,822,047

98.0 %

7.4 %

5.00 %

Total Agency RMBS:

$ 23,767,813

$ 23,439,261

98.6 %

94.7 %

5.15 %

Includes $9 million par value of 4.5% 15-year Agency RMBS.

Includes $540 million notional value of 4.5% 15-year TBA securities.

Not applicable to TBA securities.

Market yield represents the projected yield calculated using cash flows generated off the forward curve based on market prices as of the end of the period and assuming zero volatility.

3-month CPRs exclude recent purchases of securities which do not have a prepayment history.

CMBS and CMBS IO Portfolio Details (as of March 31, 2026)

($ in thousands)

Amortized

Cost Fair Value

% of Total Portfolio

Portfolio Characteristics

Financing Details

WAVG Life Remaining (1)

3-month WAVG

Yield

WAVG

Market Yield (2)

Repo Outstanding

Equity Invested

Agency CMBS

$ 1,246,548 $ 1,244,801

5.0 %

5.5

4.26 %

4.37 % $

1,125,561 $

119,240

CMBS IO

81,484 81,242

0.3 %

4.6

8.23 %

7.21 %

74,607

6,635

Total

$ 1,328,032 $ 1,326,043

5.3 %

5.4

4.52 %

4.53 % $

1,200,168 $

125,875

Represents the weighted average life remaining in years based on contractual cash flows as of the dates indicated.

Represents the weighted average market yield projected using cash flows generated off the forward curve based on market prices as of the dates indicated and assuming zero volatility.

Risk Position - Interest Rate and Spread Sensitivity

Curve Shift

Percentage Change in Common Shareholders' Equity

2 year Treasury (bps)

10 year

Treasury (bps)

As of March 31, 2026

As of December 31, 2025

Bear Steepener

+25

+50

+100

(3.7)%

(10.1)%

(1.4)%

(5.3)%

Bear Flattener

+50

+100

+25

+50

(2.8)%

(6.4)%

(1.4)%

(3.4)%

Bull Steepener

-50

-100

-25

-50

1.4%

1.2%

-% (1.7)%

Bull Flatterer

-25

-50

-100

(0.7)%

(7.1)%

(2.8)%

(10.6)%

Interest Rate Sensitivity to Instantaneous Shocks

Parallel Curve Shift (bps)

Percentage Change in Common Shareholders' Equity

As of

March 31, 2026

As of

December 31, 2025

+100

(11.5)%

(6.5)%

+50

(4.6)%

(2.1)%

-50

0.1%

(2.2)%

-100

(5.7)%

(9.6)%

Spread Sensitivity to Instantaneous Shocks

Percentage Change in Common Shareholders' Equity

Change in Spreads (bps)

As of March 31, 2026

As of

December 31,

2025

'+20/+50

(1)

(10.1)%

(8.4)%

+10

(5.0)%

(4.2)%

-10

5.0%

4.2%

-20/-50

(1)

10.1%

8.4%

Incorporates a 20-basis point shift in option-adjusted spread of Agency RMBS/CMBS and a 50-basis point shift in CMBS IO.

The estimated changes in the Interest Rate Sensitivity tables incorporate duration and convexity inherent in our investment portfolio as it existed as of the dates indicated.

Percentage changes assume no change in market credit spreads.

Source: Company models based on modeled option adjusted duration. Includes changes in market value of our investments, including TBA securities, and derivative instruments used to hedge interest rate risk.

($ in thousands)

March 31, 2026

December 31, 2025

Notional Amount

WAVG Fixed Pay Rate

Notional Amount

WAVG Fixed Pay Rate

5-year U.S. Treasury futures

$ -

n/a

$ (30,000)

n/a

10-year U.S. Treasury futures

(1,917,500)

n/a

(1,475,000)

n/a

30-year U.S. Treasury futures

(1,231,600)

n/a

(1,153,500)

n/a

3-5 year interest rate swaps

4,400,000

3.43%

2,450,000

3.42%

5-7 year interest rate swaps

4,060,000

3.65%

4,070,000

3.66%

7-10 year interest rate swaps

4,120,000

3.85%

3,090,000

3.87%

10-15 year interest rate swaps

75,000

3.77%

Hedge Position Changes

Our hedge strategy is constructed to protect and optimize portfolio performance under various rate scenarios.

March 31, 2026

December 31, 2025

($s in thousands)

Notional Amount

Average Fixed Receive Rate

Instrument Type

Notional Amount

Average Fixed Receive Rate

Instrument Type

1-2 year interest rate swaption

$ 750,000

3.25%

5 year SOFR-

$ 750,000

3.25%

5 year SOFR-based swap

based swap

3-month options on U.S. Treasury futures

n/a

10-year U.S. Treasury future

500,000

n/a

10-year U.S. Treasury future

Funding Strategy (as of March 31, 2026)

Collateral Type

Balance

($s in thousands)

Weighted Average Rate

Fair Value of MBS Pledged as Collateral ($s in thousands)

Agency RMBS

$19,845,289

3.80 %

$20,871,318

Agency CMBS

1,125,561

3.81 %

1,170,554

Agency CMBS IO

72,929

4.15 %

76,577

Non-Agency CMBS IO

1,678

4.57 %

1,883

Total

$21,045,457

3.80 %

$22,120,332

Balancing and Diversifying Risk

Remaining Term to Maturity

Balance ($s in thousands)

Percentage

Weighted Average Original Term to Maturity

< 30 days

$8,026,127

38%

30 to 90 days

12,451,246

59%

91 to 180 days

568,084

173

Total

$21,045,457

100%

During the quarter, we were active with over 25 counterparties with maximum equity at risk no greater than 10% with any one counterparty. We continuously monitor FOMC meetings closely to optimize our funding.

Comprehensive Income

For the Quarter Ended

($ in thousands, except per share amounts)

March 31, 2026

December 31, 2025

Income Per Common (Expense) Share*

Interest income

$ 257,390 $

1.29 $

177,036 $

1.13

Interest expense

(178,136)

(0.89)

(133,552)

(0.86)

Net interest Income

79,254

0.40

43,484

0.27

Realized gain on sales of investments, net

8,721

0.04

Unrealized (loss) gain on investments, net

(251,811)

(1.26)

84,732

0.54

Gain on derivative instruments, net

104,727

0.52

73,781

0.47

Other (losses) gains, net

(138,363)

(0.70)

158,513

1.01

General and administrative expenses

(20,478)

(0.10)

(16,367)

(0.10)

Other operating expenses

(775)

(272)

Net (loss) income

(80,362)

(0.40)

185,358

1.18

Preferred stock dividends

(2,658)

(0.01)

(2,760)

(0.02)

Net (loss) income to common shareholders

(83,020)

(0.41)

182,598

1.17

Net unrealized (loss) gain on AFS investments

(148)

7,008

0.04

Comprehensive (loss) income to common shareholders

$ (83,168)

$ (0.42) $

189,606

$ 1.22

*Amounts may not foot due to rounding of $s presented in '000s.

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 value:

MBS and loans

$ (243,238)

TBAs

(13,879)

U.S. Treasury futures

35,308

Options on U.S. Treasury futures

(2,656)

Interest rate swaps

84,591

Interest rate swaptions

(335)

Total net change in fair value

(140,209)

Comprehensive loss to common shareholders (83,168)

Capital transactions:

Net proceeds from stock issuance (2)

446,903

Common dividends declared (104,609)

Common equity, end of period (1)

$ 2,609,770

Amounts represent total shareholders' equity less the aggregate liquidation preference of the Company's preferred stock of $111,500.

Net proceeds from common stock issuances include $442 million from ATM issuances and $5 million from amortization of share-based compensation, net of grants.

‌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)

Change in fair value of derivatives instruments, net (3)

243,238

(98,266)

(91,740)

(63,467)

(157,435)

28,507

(37,716)

75,200

(129,387)

133,724

EAD to common shareholders

$ 61,804 $

34,399 $

33,599

$ 25,262 $

18,728

EAD per common share

$ 0.31 $

0.22 $

0.25

$ 0.22 $

0.21

($ in thousands)

1Q26

4Q25

3Q25

2Q25

1Q25

Net interest income

$ 79,254

$ 43,484

$ 30,611

$ 23,128

$ 17,133

Net periodic interest from interest rate swaps

1,698

7,598

14,265

12,349

10,851

Economic net interest income

$ 80,952

$ 51,082

$ 44,876

$ 35,477

$ 27,984

Agency RMBS TBA drop income

4,763

2,716

3,548

4,758

4,785

Operating expenses, net

(21,253)

(16,639)

(11,998)

(12,293)

(12,118)

Preferred stock dividends

(2,658)

(2,760)

(2,827)

(2,680)

(1,923)

EAD to common shareholders

$ 61,804

$ 34,399

$ 33,599

$ 25,262

$ 18,728

Please refer to "Non-GAAP Financial Measures" in our most recent Annual Report on Form 10-K, Quarterly Report on Form 10-Q, or earnings release for a discussion of management's use of these measures.

Amount represents realized and unrealized gains and losses on the Company's MBS.

Amount represents realized and unrealized gains and losses on derivatives including TBAs except for TBA drop income/loss and net periodic interest earned from interest rate swaps.

140 East Shore Drive, Suite 100 Glen Allen, Virginia 23059

804-217-5800

dynexcapital.com

Disclaimer

Dynex Capital Inc. published this content on April 20, 2026, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on April 20, 2026 at 12:59 UTC.