Financial Data and Key Metrics Changes - The company reported an economic return of 11.8% for Q4 2023 and 1% for the entire year, with a total shareholder return of 12% for 2023 [29][27] - Book value increased over 20% from the lows discussed in the previous quarterly earnings call [31] - The company started the year with leverage of 6.1 turns and assets of $5.9 billion, which increased to $7.4 billion by year-end [10][30] Business Line Data and Key Metrics Changes - The company rotated its portfolio from approximately 50% pools and 50% TBAs to 80% pools and 20% TBAs, improving its convexity profile and locking in attractive yields [11] - The company maintained its hedge portfolio and positioned for a steeper yield curve environment, which is expected to benefit future financing costs [12][40] Market Data and Key Metrics Changes - The company noted that the investment opportunity in Agency RMBS is historic, with a significant shift in the market dynamics due to the Fed and GSEs stepping back [8][18] - The company observed that spreads widened dramatically throughout the year due to various crises, but it opportunistically added to its portfolio during these times [30][55] Company Strategy and Development Direction - The company aims to grow its business and offer its value proposition to more shareholders, focusing on ethical management and long-term returns [9][18] - The management emphasized the importance of navigating through macroeconomic conditions and government policies, especially with upcoming elections [8][16] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in navigating the current dynamic macroeconomic conditions and highlighted the potential for lower financing costs as inflation approaches the Fed's target [15][40] - The geopolitical landscape is viewed as a significant factor affecting economic conditions, with rising nationalism and protectionism contributing to increased volatility [16][35] Other Important Information - The company reduced its general and administrative expenses by actively managing costs [32] - The loss of board member Dave Stevens was acknowledged, highlighting his contributions to the company [17][26] Q&A Session All Questions and Answers Question: Update on rate positioning and view on up-rate vs down-rate risk - Management indicated that they are positioned to benefit from a steepening yield curve and expect lower financing costs to positively impact returns [39][40] Question: Attractiveness of agency market and capital raising - Management confirmed that they see a historic opportunity in the agency market and are open to raising additional capital to take advantage of it [44][46] Question: Hedging strategy with rotation into pools - Management stated that the capital cost of using interest rate swaps is high, and their macro view drives the selection of hedges [48] Question: Benefit of rates going down to spread - Management explained that a decline in financing costs would improve total economic return, with specific figures provided for expected improvements [49][56] Question: Liquidity in funding market for longer-dated repo - Management confirmed that availability of financing is not an issue and they continue to have counterparties offering financing [88][95]

1 Safe Harbor Statement 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, beliefs, projections, estimates, future plans, strategies, and events, developments that we expect or anticipate will occur in the future, and future operating results or financial condition are forward-looking statem ...

PART I. FINANCIAL INFORMATION [Item 1. Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) Unaudited consolidated financial statements for Q3 2023 and FY2022, including balance sheets, income, equity, cash flows, and accounting notes [Consolidated Balance Sheets](index=4&type=section&id=Consolidated%20Balance%20Sheets) Consolidated Balance Sheet Highlights (September 30, 2023 vs. December 31, 2022) | Metric | Sep 30, 2023 ($ thousands) | Dec 31, 2022 ($ thousands) | Change ($ thousands) | Change (%) | | :-------------------------------- | :------------------------- | :------------------------- | :------------------- | :--------- | | Total Assets | 6,040,782 | 3,605,234 | 2,435,548 | 67.56% | | Total Liabilities | 5,236,436 | 2,703,906 | 2,532,530 | 93.66% | | Total Shareholders' Equity | 804,346 | 901,328 | (96,982) | -10.76% | | Mortgage-backed securities (fair value) | 5,583,758 | 3,112,705 | 2,471,053 | 79.39% | | Repurchase agreements | 5,002,230 | 2,644,405 | 2,357,825 | 89.16% | [Consolidated Statements of Comprehensive Income (Loss)](index=5&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income%20(Loss)) Consolidated Statements of Comprehensive Income (Loss) Highlights | Metric (in $ thousands) | 3 Months Ended Sep 30, 2023 | 3 Months Ended Sep 30, 2022 | 9 Months Ended Sep 30, 2023 | 9 Months Ended Sep 30, 2022 | | :------------------------ | :-------------------------- | :-------------------------- | :-------------------------- | :-------------------------- | | Net interest (expense) income | (2,262) | 7,122 | (5,654) | 36,875 | | Total other (losses) gains, net | (32,147) | (43,217) | (709) | 88,502 | | Total operating expenses | (8,642) | (10,579) | (24,072) | (25,505) | | Net (loss) income | (43,051) | (46,674) | (30,435) | 99,872 | | Net (loss) income to common shareholders | (44,974) | (48,597) | (36,205) | 94,102 | | Comprehensive loss to common shareholders | (86,748) | (99,705) | (72,629) | (109,256) | | Net (loss) income per common share-basic | (0.82) | (1.07) | (0.67) | 2.33 | | Dividends declared per common share | 0.39 | 0.39 | 1.17 | 1.17 | [Consolidated Statements of Shareholders' Equity](index=6&type=section&id=Consolidated%20Statements%20of%20Shareholders%27%20Equity) Shareholders' Equity Changes (Nine Months Ended September 30, 2023) | Metric (in $ thousands) | Balance as of Dec 31, 2022 | Stock Issuance | Share-based Compensation | Net Loss | Dividends | Other Comprehensive Loss | Balance as of Sep 30, 2023 | | :------------------------ | :------------------------- | :------------- | :----------------------- | :------- | :-------- | :----------------------- | :------------------------- | | Preferred Stock | 107,843 | — | — | — | — | — | 107,843 | | Common Stock | 536 | 28 | 2 | — | — | — | 566 | | Additional Paid-in Capital | 1,357,514 | 36,648 | 3,153 | — | — | — | 1,397,268 | | Accumulated Other Comprehensive Loss | (181,346) | — | — | — | — | (36,424) | (217,770) | | Accumulated Deficit | (383,219) | — | — | (30,435) | (69,907) | — | (483,561) | | Total Shareholders' Equity | 901,328 | 36,676 | 3,155 | (30,435) | (69,907) | (36,424) | 804,346 | [Consolidated Statements of Cash Flows](index=10&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Consolidated Statements of Cash Flows Highlights (Nine Months Ended September 30) | Metric (in $ thousands) | 2023 | 2022 | | :------------------------ | :-------- | :-------- | | Net cash provided by operating activities | 45,629 | 96,278 | | Net cash used in investing activities | (2,404,087) | (271,471) | | Net cash provided by financing activities | 2,325,017 | 260,439 | | Net (decrease) increase in cash including cash posted to counterparties | (33,441) | 85,246 | | Cash including cash posted to counterparties at end of period | 416,436 | 506,553 | [Notes to the Consolidated Financial Statements](index=11&type=section&id=Notes%20to%20the%20Consolidated%20Financial%20Statements) [NOTE 1 – ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES](index=11&type=section&id=NOTE%201%20%E2%80%93%20ORGANIZATION%20AND%20SUMMARY%20OF%20SIGNIFICANT%20ACCOUNTING%20POLICIES) Dynex Capital is a mortgage REIT investing in leveraged Agency MBS and TBA securities, preparing GAAP financials with estimates, and maintaining REIT tax status - Dynex Capital, Inc. is an internally managed mortgage REIT, primarily investing in Agency MBS and TBA securities on a leveraged basis[20](index=20&type=chunk) - The company's financial statements are prepared in accordance with U.S. GAAP for interim financial information, requiring management to make estimates and assumptions, particularly for amortization of premiums/discounts and fair value measurements[21](index=21&type=chunk)[22](index=22&type=chunk) - Dynex has elected to be taxed as a REIT, necessitating the distribution of at least **90%** of its annual REIT taxable income to shareholders[26](index=26&type=chunk) [NOTE 2 – NET INCOME (LOSS) PER COMMON SHARE](index=15&type=section&id=NOTE%202%20%E2%80%93%20NET%20INCOME%20(LOSS)%20PER%20COMMON%20SHARE) Details basic and diluted net income (loss) per common share, excluding anti-dilutive unvested RSUs and PSUs for Q3 and nine months ended September 30, 2023 Net (Loss) Income Per Common Share | Metric | 3 Months Ended Sep 30, 2023 | 3 Months Ended Sep 30, 2022 | 9 Months Ended Sep 30, 2023 | 9 Months Ended Sep 30, 2022 | | :------------------------------------ | :-------------------------- | :-------------------------- | :-------------------------- | :-------------------------- | | Weighted average common shares-basic | 54,556,853 | 45,347,852 | 54,175,367 | 40,452,740 | | Weighted average common shares-diluted | 54,556,853 | 45,347,852 | 54,175,367 | 40,740,690 | | Net (loss) income to common shareholders | $(44,974) | $(48,597) | $(36,205) | $94,102 | | Net (loss) income per common share-basic | $(0.82) | $(1.07) | $(0.67) | $2.33 | | Net (loss) income per common share-diluted | $(0.82) | $(1.07) | $(0.67) | $2.31 | - Unvested RSUs and PSUs were excluded from the diluted net loss per common share calculation for the three and nine months ended September 30, 2023, and the three months ended September 30, 2022, because their inclusion would have been anti-dilutive[55](index=55&type=chunk) [NOTE 3 – MORTGAGE-BACKED SECURITIES](index=16&type=section&id=NOTE%203%20%E2%80%93%20MORTGAGE-BACKED%20SECURITIES) MBS portfolio fair value increased from **$3.1 billion** to **$5.6 billion**, primarily Agency RMBS, with unrealized losses of **$(179.1) million** (Q3) and **$(121.5) million** (9 months) due to rising rates MBS Portfolio Fair Value by Type | Investment Type | Sep 30, 2023 Fair Value ($ thousands) | Dec 31, 2022 Fair Value ($ thousands) | | :---------------- | :------------------------------------ | :------------------------------------ | | Agency RMBS | 5,298,271 | 2,762,878 | | Agency CMBS | 112,396 | 124,690 | | CMBS IO | 172,987 | 224,985 | | Non-Agency other | 103 | 152 | | Total | 5,583,757 | 3,112,705 | Unrealized Loss on Investments (Fair Value through Net Income) | Metric (in $ thousands) | 3 Months Ended Sep 30, 2023 | 3 Months Ended Sep 30, 2022 | 9 Months Ended Sep 30, 2023 | 9 Months Ended Sep 30, 2022 | | :------------------------ | :-------------------------- | :-------------------------- | :-------------------------- | :-------------------------- | | Total unrealized loss on investments, net | (179,100) | (69,197) | (121,491) | (245,551)

Dynex Capital, Inc. (NYSE:DX) Q3 2023 Earnings Conference Call October 23, 2023 10:00 AM ET Company Participants Alison Griffin - Vice President, Investor Relations Byron Boston - Chief Executive Officer and Co-Chief Investment Officer Rob Colligan - Executive Vice President, Chief Financial Officer Smriti Popenoe - President and Co-Chief Investment Officer Conference Call Participants Bose George - KBW Trevor Cranston - JMP Securities Matthew Erdner - Jones Trading Eric Hagen - BTIG Operator Good morning. ...

• We believe the coming quarters will provide ample investment opportunity at attractive levels. 3.0 Great Financial Crisis Beneficial Periods For Investing Resulting In Savings & Loan Crisis Above Average Long Term Returns 2.5 Long-term Capital & Dot Com Period FED Tightening Pandemic 2.0 + Book Value "BV" "BV" "BV" "BVª 1.0 0.5 Private Capital Dominates Marginal Investing Quantitative Easing "QE" Growth in GSE Retained Portfolios Quantitative Tightening "QT" 11 12 September 30, 2023 Percentage Change in C ...

| UNITED STATES | | | --- | --- | | SECURITIES AND EXCHANGE COMMISSION | | | Washington, DC 20549 | | | FORM 10-Q | | | ☒ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 | | | For the quarterly period ended June 30, 2023 | | | or | | | ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 | | | Commission File Number: 001-09819 | | | DYNEX CAPITAL, INC. | | | (Exact name of registrant as specified in its charter) | | | Virginia | 5 ...

Financial Data and Key Metrics Changes - The company reported a book value of $14.20 and comprehensive income of $0.79 for the second quarter, resulting in an economic return of 5.7% for the quarter [16][32] - Despite an increase in the investment portfolio size, leverage decreased slightly to 7.7 turns due to book value appreciation [17][34] - Year-to-date, the total economic return is 1.7%, indicating a stable performance amidst market volatility [32] Business Line Data and Key Metrics Changes - The company added over $2 billion of specified pools during the quarter, capitalizing on wider spreads, while reducing TBAs by $1.5 billion [34][39] - Hedge gains amounted to $170 million for the quarter, with unamortized net hedge gains of $650 million at quarter end, which helped offset increased financing costs [17][35] Market Data and Key Metrics Changes - Interest rates have fluctuated significantly, with two-year treasury yields peaking at 5% and 10-year treasuries around 4% [19] - Agency RMBS spreads have stabilized around 150 basis points over the seven-year treasury, with occasional spikes to 190 basis points during high volatility [20][72] Company Strategy and Development Direction - The company is focused on navigating a complex global environment, emphasizing liquidity and disciplined capital allocation to capitalize on investment opportunities in housing [14][32] - The management believes that the current market presents a generational opportunity for private capital due to reduced footprints from the federal reserve and banks in the housing sector [14][24] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the long-term attractiveness of Agency RMBS, anticipating significant upside as riskier assets adjust to higher financing costs [38][63] - The company is prepared for various scenarios, maintaining a flexible approach to leverage based on the evolving risk environment [42][50] Other Important Information - The company has a substantial unrealized gain on its hedges, which is expected to support dividend payments [18][66] - The management highlighted the importance of ethical practices and transparency in capital management, ensuring alignment with shareholder interests [25][68] Q&A Session Summary Question: Impact of failed bank portfolios on spread volatility - Management indicated that the clearance of these portfolios could positively impact mortgage spreads, and they are well-positioned for this environment [27][49] Question: Approach to leverage as asset sales conclude - The management noted that they are cautious about increasing leverage due to global uncertainties but see potential for adding 2 to 3 more turns if conditions stabilize [78] Question: Reference to the seven-year treasury - The management explained that the average market value of their assets is around $95, making the seven-year treasury a relevant benchmark for assessing cash flows [79] Question: Managing hedge gains for tax purposes - Management clarified that while hedge gains are significant, the portfolio is not managed solely for tax results, emphasizing the importance of transparency in their financial practices [86][96]

Financial Performance - The company reported a comprehensive income to common shareholders of $42971000 or $0.79 per share for Q2 2023[11], compared to a loss of $28852000 or $(0.54) per share in Q1 2023[150] - The company's book value per share as of June 30, 2023, was $14.20[119] - The company declared dividends of $0.39 per share for Q2 2023[119] - The annualized dividend yield as of July 20, 2023, was 12.42%[119] Portfolio Composition and Strategy - As of June 30, 2023, over 95% of the company's investments were comprised of Agency RMBS[122] - The company's RMBS portfolio totaled $7236491000, with $5060491000 in Agency RMBS and $2176000000 in TBA[17] - The company's CMBS and CMBS IO portfolio totaled $325003000, representing 4.3% of the total portfolio[139] - The weighted average repo borrowing rate for Q2 2023 was 5.18%, increasing by 57 basis points from Q1 2023[147] Market Dynamics and Outlook - The company believes agency RMBS offers generationally attractive returns due to the Fed's exit and bank portfolio sales[121] - The company anticipates agency MBS spreads to trade in a range at wider levels, with further widening during periods of volatility[89] - The company is positioned for a general rise in macroeconomic and market volatility with high levels of liquidity and a flexible position[86]

| UNITED STATES | | | --- | --- | | SECURITIES AND EXCHANGE COMMISSION | | | Washington, DC 20549 | | | FORM 10-Q | | | ☒ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 | | | For the quarterly period ended March 31, 2023 | | | or | | | ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 | | | Commission File Number: 001-09819 | | | DYNEX CAPITAL, INC. | | | (Exact name of registrant as specified in its charter) | | | Virginia | ...

Financial Data and Key Metrics Changes - The company reported a book value of $13.80 per share and a comprehensive loss of $0.54 per share for the quarter, resulting in an economic loss of 3.7% when accounting for dividends [3][4] - Hedge gains for the quarter amounted to $89 million, contributing to an unamortized hedge gain of $766 million at the end of the quarter, which has protected book value from rising rates [4][66] Business Line Data and Key Metrics Changes - The portfolio was positioned for spread tightening, which occurred in the first half of the quarter, leading to a mid-quarter book value of approximately $15.30 [3] - The company added over $1.1 billion in assets during the quarter at wider spreads, increasing leverage to 1.4x from year-end levels [71] Market Data and Key Metrics Changes - The company noted that mortgage spreads have widened significantly since late 2021, reflecting a tripling from previous lows, and expects this trend to continue until the bulk of FDIC sales are complete [57][97] - The total amount of securities to be sold by the FDIC is $98 billion, with expectations of sales ramping up to $1.5 billion to $2 billion per week [72] Company Strategy and Development Direction - The company views the current environment as a generational opportunity to invest in agency residential mortgage-backed securities, emphasizing the importance of liquidity and flexibility in capital deployment [49][75] - The management team is focused on maintaining a disciplined approach to capital management, preparing for potential market volatility while seeking attractive investment opportunities [50][62] Management's Comments on Operating Environment and Future Outlook - Management expressed excitement about the investment opportunities in agency RMBS, tempered by respect for the complexities of the global macroeconomic environment [6][10] - The company anticipates that the current period of wider spreads will provide significant investment opportunities, with expectations of tighter spreads in the medium to long term [63][97] Other Important Information - The company has preserved a significant portion of its book value through the transition to wider spreads, with book value previously at $17 in August of last year [98] - The management team highlighted the importance of transparency in investments, using mark-to-market valuations to calculate book value daily [103] Q&A Session Summary Question: Can you discuss the marginal buyer of MBS and the potential for additional spread widening? - Management indicated that lower coupon securities are becoming attractive relative to corporates, which could drive demand from money managers, but they expect periodic bouts of widening [107] Question: How does the repo market influence leverage decisions? - Management noted that the repo market is currently flush with cash, allowing for flexibility in financing, and indicated a willingness to increase leverage to low double digits if conditions are favorable [85][87] Question: What is the impact of the slow prepayment environment on leverage? - Management stated that while they carry sufficient liquidity to manage cash flows, the slow prepayment environment does not significantly affect their willingness to adjust leverage [116]