Dynex Capital : Q4 2022 Earnings Call Presentation

Fourth Quarter 2022 Earnings Presentation

January 30, 2023

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, 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 statements. Forward-looking statements in this presentation may include, but are not limited to, our views on longer-term returns, macroeconomic and industry trends, statements regarding our financial performance in future periods, future interest rates and their impact on our financial measures, our views on expected characteristics of future investment environments, inflation levels, mortgage spreads, the yield curve, prepayment rates and investment risks and trends, our future investment strategies, our future leverage levels and financing strategies and costs, and liquidity, the use of specific financing and hedging instruments and the future impacts of these strategies, the amount, timing or funding of future dividends, future actions by the Federal Reserve and other central banks and GSEs and the expected performance of our investments. The words "will," "believe," "expect," "forecast," "anticipate," "intend," "estimate," "assume," "project," "plan," "continue," "could," and similar expressions also identify forward-looking statements. These forward-looking statements reflect our current beliefs, assumptions and expectations based on information currently available to us, and are applicable only as of the date of this presentation. Forward-looking statements are inherently subject to risks, uncertainties, and other factors, some of which cannot be predicted or quantified and any of which could cause the Company's actual results and timing of certain events to differ materially from those projected in or contemplated by these forward-looking statements. Not all of these risks, uncertainties and other factors are known to us. New risks and uncertainties arise over time, and it is not possible to predict those risks or uncertainties or how they may affect us. The projections, assumptions, expectations or beliefs upon which the forward-looking statements are based can also change as a result of these risks and uncertainties or other factors. If such a risk, uncertainty, or other factor materializes in future periods, our business, financial condition, liquidity, prospects, and results of operations may differ materially from those expressed or implied in our forward-looking statements.

While it is not possible to identify all factors, some of the factors that may cause actual results to differ from historical results or from any results expressed or implied by our forward-looking statements, or that may cause our projections, assumptions, expectations or beliefs to change, include the risks and uncertainties referenced in our Annual Report on Form 10-K for the year ended December 31, 2021 and subsequent filings with the Securities and Exchange Commission, particularly those set forth under the caption "Risk Factors".

2

Market Snapshot

	Common Stock	Series C Preferred Stock
NYSE Ticker	DX	DXPrC
Shares Outstanding (as of 12/31/22)	53.6 million	4.5 million
Book Value per share (as of 12/31/22)	$14.73	-
4Q22 Dividends Declared per share	$0.39	$0.43
Annualized Dividend Yield (as of closing on 1/26/23)	10.51%	7.51%
Share Price (as of closing on 1/26/23)	$14.84	$22.98
Market Capitalization (as of 1/26/23)	$795.4 million	$103.4 million

Source: Bloomberg

3

Dynex Performance

Experience in managing assets through multiple economic cycles and scenario planning has allowed

us to outperform other Agency REITs during periods of high volatility as illustrated below

Cumulative Total Shareholder Returns

1.3%	3.0%

(15.4)%

(21.2)%

(26.7)%	(27.4)%
	(31.5)%	(33.1)%	(33.5)%
	(39.2)%

(76.6)%

(72.5)%

2022 Tot Ret (%)		3-Yr Tot Ret (%)	5-yr Tot Ret (%)
(12/31/21 - 12/31/22)		(12/31/19 - 12/31/22)
Dynex (DX)	Agency REITs (1)	Hybrid REITs (2)	iShares Mortgage RE ETF (REM)
(1) Select Agency MREITS on an equal weight basis
(2) Select Hybrid MREITS on an equal weight basis			Source: Bloomberg. Assumes dividends are reinvested in the respective security.
			4

Dynex Performance

Our experienced team manages with a disciplined approach that can outperform fixed income

indices during periods of high interest rates and spread volatility

Cumulative Total Economic Returns (TER)

6%

4%

4%

8%

0.2%

(5)%

2%

2%

(8)% (8)% (8)%

(9)%

1%1%

(9)%			(11)%	(11)%
(13)%	(12)%	(12)%
(16)%

3-mo TER (%)	2022 TER (%)	3-yr TER (%)
(9/30/22 - 12/31/22)	(12/31/21 - 12/31/22)	(12/31/19 - 12/31/22)

Broad Fixed Income Source: Bloomberg Index Services Limited ("BISL")

5