Dynex Capital (DX) investor relations material

Executive summary

• Total economic return was -11.5%; book value per common share fell 15.4% to $10.91 from $12.90, as wider Agency MBS spreads outweighed partial hedge gains.

• Portfolio assets grew to $28.3B after $3.2B of Agency MBS purchases; quarter-end cash and unencumbered securities totaled $1.3B.

• Management maintained portfolio positions and leverage, citing attractive forward opportunities in repriced mortgages and preserving capacity to invest at wider spreads.

Financial highlights

• Comprehensive loss to common shareholders was $374.8M, or $1.49 per share, versus comprehensive income of $0.80 per share in Q2.

• Net interest income rose to $101.6M from $93.8M in Q2; adjusted EAD was $94.7M, or $0.38 per share, versus $80.7M, or $0.36, in Q2.

• Common dividend declared was $0.51 per share; annualized dividend yield was 18.3% as of September 30, 2026.

• G&A was 2% of total equity annualized and ~40% lower YoY; operating expenses declined $4M QoQ to $12.6M.

Outlook and guidance

• Static modeled ROEs on new hedged investments were ~20% for lower coupons and ~25% for current coupons, using 10x leverage; management cited low- to mid-20s forward ROEs.

• Management described Agency MBS spreads as historically wide, with lower refinancing incentives, stable cash flows and financing, and favorable supply-demand dynamics supporting prospective returns.

• A 20 bps spread tightening, retracing Q3 widening, modeled to add ~11.5% to book value, all else equal.

• Preferred equity may rise from ~7% of the capital stack; further issuance depends on accretion, deployment opportunities and cost of capital.