Dynex Capital, Inc. (NYSE:DX) Q1 2021 Earnings Conference Call April 28, 2021 10:00 PM ET Company Participants Alison Griffin - Vice President, Investor Relations Byron Boston - Chief Executive Officer and Co-Chief Investment Officer Smriti Popenoe - President and Co-Chief Investment Officer Stephen Benedetti - Executive Vice President, Chief Financial Officer, Chief Operating Officer Conference Call Participants Bose George - KBW Doug Harter - Credit Suisse Eric Hagen - BTIG Trevor Cranston - JMP Securitie ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM 10-K ☒ Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the fiscal year ended December 31, 2020 or ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 1-9819 DYNEX CAPITAL, INC. (Exact name of registrant as specified in its charter) Virginia 52-1549373 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer I ...

Dynex Capital, Inc. (NYSE:DX) Q4 2020 Earnings Conference Call February 4, 2021 10:00 AM ET Corporate Participants Alison Griffin - Vice President, Investor Relations Byron Boston - Chief Executive Officer and Co-Chief Investment Officer Smriti Popenoe - President and Co-Chief Investment Officer Stephen Benedetti - Executive Vice President, Chief Financial Officer, Chief Operating Officer Conference Call Participants Mike Brown - KBW Eric Hagen - BTIG Trevor Cranston - JMP Securities Jason Stewart - JonesTr ...

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 September 30, 2020 or ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 1-9819 DYNEX CAPITAL, INC. (Exact name of registrant as specified in its charter) Virginia 52-1549373 (State or other jurisdiction of incorporation or organization) (IRS Empl ...

Dynex Capital, Inc. (NYSE:DX) Q3 2020 Earnings Conference Call October 28, 2020 10:00 AM ET Company Participants Alison Griffin - Vice President, Investor Relations Byron Boston - President, Chief Executive Officer and Co-Chief Investment Officer Stephen Benedetti - Chief Financial Officer and Chief Operating Officer Smriti Popenoe - Co-Chief Investment Officer Conference Call Participants Douglas Harter - Credit Suisse Bose George - Keefe, Bruyette & Woods, Inc. Trevor Cranston - JMP Securities LLC Christo ...

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, 2020 or ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 1-9819 DYNEX CAPITAL, INC. (Exact name of registrant as specified in its charter) Virginia 52-1549373 (State or other jurisdiction of incorporation or organization) (IRS Employer ...

Financial Performance - Dynex Capital, Inc. reported a comprehensive loss to common shareholders of $(33.3) million for Q1 2020, resulting in a net loss of $(106.2) million or $(4.63) per common share, compared to net income of $51.8 million or $2.26 per common share in Q4 2019[128]. - Core net operating income to common shareholders declined to $11.6 million or $0.51 per common share in Q1 2020, down from $15.0 million or $0.66 per common share in Q4 2019[131]. - GAAP net income to common shareholders for the three months ended March 31, 2020, was a loss of $106,234,000 compared to a gain of $51,774,000 for the three months ended December 31, 2019[141]. - Non-GAAP adjusted net interest income decreased to $20,524,000 for the three months ended March 31, 2020, from $22,437,000 for the three months ended December 31, 2019, a decline of about 8.5%[141]. - The company reported a GAAP net interest income of $17,721,000 for the three months ended March 31, 2020, compared to $16,195,000 for the three months ended December 31, 2019, an increase of approximately 9.4%[141]. - The net interest income for the three months ended March 31, 2020, was $17,721,000, an increase from $13,681,000 for the same period in 2019, reflecting a net interest spread of 1.32%[165]. - Adjusted net interest income for the three months ended March 31, 2020, was $20,524,000, an increase of 5.9% from $19,376,000 in the same period of 2019[172]. - The total change in net interest income for the three months ended March 31, 2020, was an increase of $4,040,000 compared to the previous year[168]. Investment Portfolio - The investment portfolio as of March 31, 2020, consisted of $2.3 billion in Agency CMBS, $0.4 billion in Agency RMBS, and $0.5 billion in both Agency and non-Agency CMBS IO, compared to $2.6 billion in Agency RMBS and $2.0 billion in Agency CMBS as of December 31, 2019[143]. - The total par value of CMBS investments as of March 31, 2020, was $2.1 billion, with a weighted average coupon of 3.14%[151]. - The fair value of the total 30-year fixed-rate investments as of March 31, 2020, was $381,915,000, compared to $2,610,117,000 as of December 31, 2019[147]. - As of March 31, 2020, the total fair value of non-Agency CMBS IO investments was $176,109,000, with retail properties comprising 27.8% of the portfolio[155]. - Approximately 61% of CMBS IO investments are Agency-issued securities, which generally have a lower risk of default compared to non-Agency CMBS IO[156]. Leverage and Liquidity - As of April 30, 2020, the company had approximately $225 million in cash and unencumbered assets, with leverage at approximately 4 times total shareholders' equity[134]. - The company's leverage as of March 31, 2020, was 8.8 times shareholders' equity, which was reduced to approximately 4 times after settling $2.7 billion in Agency MBS sales[186]. - The company maintained liquidity of $155.4 million as of March 31, 2020, down from $224.0 million as of December 31, 2019, primarily due to margin calls on investments and derivative securities[186]. - The average balance of interest-earning assets for the three months ended March 31, 2020, was $4,899,132,000, compared to $4,368,240,000 for the same period in 2019[165]. Interest Rate Swaps and Derivatives - The company has reduced its interest rate swaps to mitigate the impact of the upcoming cessation of LIBOR as a benchmark rate by the end of 2021[135]. - The company reported a total loss on derivative instruments of $195,567,000 for the three months ended March 31, 2020, compared to a loss of $61,697,000 in the same period of 2019[177]. - The net periodic interest benefit from interest rate swaps decreased to $2,064,000 in Q1 2020 from $3,897,000 in Q1 2019, a decline of 47%[177]. - The company realized a loss of $183,773,000 on interest rate swaps for the three months ended March 31, 2020, compared to a loss of $6,794,000 in the same period of 2019[181]. - The average interest rate swap net receive rate decreased to 0.28% in Q1 2020 from 0.38% in Q1 2019[180]. Market Conditions and Economic Impact - The Federal Reserve's actions to support financial markets included a $500 billion increase in U.S. Treasuries and a $200 billion increase in Agency RMBS holdings[122]. - Initial jobless claims in the U.S. exceeded 33 million as of May 7, 2020, representing about 20% of the domestic workforce[123]. - The company is taking a balanced approach to future reinvestment, focusing on generating solid cash flows and preserving capital amid market uncertainty[134]. - The company anticipates changes in interest rates and spreads will affect the performance of its investment portfolio, particularly regarding cash flow and credit performance[210]. - The competitive environment is expected to evolve, with increased competition for investments and financing availability impacting future operations[212]. Compliance and Regulatory Matters - The company maintained compliance with its debt covenants as of March 31, 2020, despite market disruptions caused by COVID-19[192]. - The company is required to distribute at least 90% of its REIT taxable income to shareholders, funded primarily through cash flows from operations[197]. - The company monitors financial covenants that may impact its operating and financing flexibility, currently believing there are no material restrictions[192]. - The company has no material changes in contractual obligations since December 31, 2019, and does not foresee off-balance sheet arrangements affecting its financial condition[199].

Investment Strategy - As of December 31, 2019, the majority of the company's investments in RMBS were Agency-issued pass-through securities collateralized primarily by pools of fixed-rate single-family mortgage loans[16]. - The company considers expanding its capital base and evaluates merger, acquisition, or divestiture opportunities that align with its investment strategy[24]. - The company’s operating policies limit investment in non-Agency MBS rated BBB+ or lower to $250 million in market value, with a maximum of $50 million at risk for shareholders[31]. - The company faces various risks in investing in mortgage-related securities, including interest rate risk and liquidity risk, which could affect its financial condition[39]. - The company competes with other mortgage REITs and financial entities that may have greater financial resources, potentially impacting its investment income[40]. - To qualify as a REIT, the company must derive at least 75% of its gross income from real estate-related sources and meet other income tests[45]. Financing and Leverage - The company utilizes leverage to enhance returns on invested capital, primarily through uncommitted repurchase agreements, with original terms to maturity ranging from overnight to six months[22]. - The company’s financing strategy is exposed to counterparty risk, which is mitigated by diversifying repurchase agreement lenders and limiting borrowings from lesser-capitalized counterparties[23]. - The availability and cost of financing are critical to the company’s business model, with recent declines in repurchase agreement lending by larger banks impacting operations[34]. - The Federal Reserve Bank of New York has been conducting repurchase agreement transactions to provide liquidity, which has not materially affected the company’s financing costs to date[37]. Interest Rate and Market Conditions - The company employs derivative instruments to hedge against adverse changes in interest rates, primarily using pay-fixed interest rate swaps[25]. - The company’s financial performance is influenced by factors such as interest rates, prepayment rates, and market conditions, which are beyond its control[33]. - LIBOR is scheduled to be phased out by the end of 2021, with Fannie Mae and Freddie Mac transitioning to ARMs benchmarked to a 30-day average of SOFR starting in the second half of 2020[38]. - The company must distribute at least 90% of its REIT taxable income to maintain its REIT status, which could be impacted by the reform of benchmark rates like LIBOR[42]. Corporate Governance and Ethics - The company has 20 employees as of December 31, 2019, with no collective bargaining agreements in place[53]. - The company has adopted a Code of Business Conduct and Ethics applicable to all employees, officers, and directors, which is available on its website[58]. - The company has expanded its Nominating and Corporate Governance Committee to include oversight of ESG policies and activities[55]. - The company is subject to reporting requirements under the Exchange Act, with materials available on the SEC's website[56]. Tax and Financial Losses - The company has approximately $89.8 million in net operating loss (NOL) carryforward as of December 31, 2019, with the majority generated in 2000 set to expire in 2020[42].

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 September 30, 2019 or ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 1-9819 DYNEX CAPITAL, INC. (Exact name of registrant as specified in its charter) Virginia 52-1549373 (State or other jurisdiction of incorporation or organization) (I.R.S. E ...

Investment Strategy and Portfolio Composition - Dynex Capital, Inc. primarily invests in residential and commercial mortgage-backed securities (MBS) on a leveraged basis, aiming to provide attractive risk-adjusted returns to shareholders [129]. - The investment portfolio consists mainly of Agency MBS, including residential MBS (RMBS) and commercial MBS (CMBS), with a focus on capital preservation [131]. - As of June 30, 2019, approximately 59% of the investment portfolio consisted of 30-year Agency RMBS, down from 65% as of December 31, 2018 [172]. - The investment portfolio included approximately 33% Agency CMBS as of June 30, 2019, up from 23% as of December 31, 2018 [172]. - The total investment portfolio, including TBA dollar roll positions, was valued at $6,088,477,000 as of June 30, 2019, compared to $4,646,499,000 as of December 31, 2018, reflecting a significant increase [173]. - The company purchased $854,368,000 in Agency 30-Year RMBS during the six months ended June 30, 2019 [175]. - The total balance of the investment portfolio as of June 30, 2019, was $6,088,477,000 [175]. - Agency RMBS, fixed-rate investments amounted to $3,580,328,000 as of June 30, 2019, up from $3,013,279,000 at the end of 2018, indicating a growth of approximately 18.7% [175]. - The fair value of the total investment portfolio increased to $6,095,942,000 in June 2019 from $4,646,499,000 in December 2018, representing a rise of about 31.2% [173]. Financial Performance and Income - The financial performance is driven by net interest income, net interest spread, comprehensive income, and total economic return, which includes dividends declared and changes in book value [141]. - Comprehensive loss to common shareholders for Q2 2019 was $(11.1) million, compared to comprehensive income of $31.2 million in Q1 2019 [151]. - Net loss to common shareholders for Q2 2019 was $(122.2) million, an increase from $(55.3) million in Q1 2019 [151]. - Core net operating income to common shareholders decreased to $10.6 million in Q2 2019 from $12.1 million in Q1 2019 [154]. - Adjusted net interest income for Q2 2019 was $17.77 million, down from $19.38 million in Q1 2019, reflecting a decrease in the adjusted net interest spread from 1.19% to 1.03% [165]. - Interest income for the second quarter of 2019 was $43.7 million, up from $25.9 million in the same period in 2018, primarily due to higher yielding fixed-rate Agency RMBS and Agency CMBS [205]. - Net interest income for the three months ended June 30, 2019 increased by $1.2 million compared to the same period in 2018, driven by a larger and higher yielding portfolio [199]. - Interest income increased by $32,594 thousand for the six months ended June 30, 2019, compared to the same period in 2018, primarily due to higher yielding fixed-rate Agency RMBS and Agency CMBS [218]. Interest Rate and Market Conditions - Market conditions indicate a shift towards a lower interest rate environment, with expectations of multiple reductions in the U.S. Federal Funds Rate due to slowing global economic growth [146]. - Management anticipates the 10-year U.S. Treasury yield will range between 1.5%-2.5% in the near term [157]. - The company believes the current environment is characterized by lower returns and elevated funding costs due to an inverted yield curve [158]. - The downward trend in net interest spread continues due to higher funding costs and a flattening yield curve [152]. - The company identified challenges to returns including elevated short-term funding costs and expected elevated prepayment speeds due to seasonal factors and lower mortgage rates [158]. Leverage and Risk Management - The company utilizes leverage through repurchase agreements, with terms generally ranging from overnight to six months, to enhance returns on invested capital [138]. - The company’s investments are subject to various risks, including interest rate risk, credit risk, and liquidity risk, which could impact financial performance [145]. - The average interest rate swap net receive rate increased to 2.60% for the six months ended June 30, 2019, compared to 2.15% for the same period in 2018 [237]. - The company recorded a net loss on interest rate swaps of $(127.8) million due to declines in swap rates for three consecutive quarters [151]. - The company recorded a principal payment of $(139,910,000) on Agency 30-Year RMBS during the six months ended June 30, 2019 [175]. Stock and Capital Management - The company is open to expanding its capital base and exploring merger, acquisition, or divestiture opportunities to maximize shareholder value [144]. - The company executed a 1-for-3 reverse stock split on June 20, 2019, reducing the number of common shares from 62,817,218 to 24,646,964 [193]. - The company issued $76.9 million in common and preferred stock during the first half of 2019, using proceeds to purchase additional interest-earning assets [192]. - Approximately 83% of the common stock dividends declared during the six months ended June 30, 2019, will represent a return of capital to shareholders [262]. Regulatory and Economic Environment - Regulatory impacts on financial institutions pose potential threats to overall liquidity in capital markets, affecting the company's operations [143]. - The liquidity of the company as of June 30, 2019 was $198.2 million, a decrease from $210.8 million as of December 31, 2018 [244]. - The company had cash of $61.4 million posted as collateral under derivative agreements as of June 30, 2019 [257]. - The total contractual obligations as of June 30, 2019, amounted to $4,825.5 million, with $4,822.2 million due within one year [263].