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1 Third Quarter 2026 Earnings Presentation Monday, October 19, 2026
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22 Cautionary Statement / Forward-Looking Statements 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. The words “believe,” “expect,” “forecast,” “anticipate,” “estimate,” “project,” “plan,” "may," "could," "will," "continue" and similar expressions identify forward-looking statements that are inherently subject to risks and uncertainties, some of which cannot be predicted or quantified. 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 ability to find suitable reinvestment opportunities; changes in domestic economic conditions; geopolitical events and instability, including the conflict in the Middle East, and the related impacts on macroeconomic conditions as a result of such related uncertainty; tariffs that the U.S. imposes on trading partners or tariffs imposed on the U.S. from trading partners, including the legality of any such tariff measures; global and domestic government policy changes and the ability or inability to react to rapidly changing economic policies; changes in interest rates and credit spreads, including the repricing of interest-earning assets and interest-bearing liabilities; Company’s investment portfolio performance particularly as it relates to cash flow, prepayment rates, and credit performance; the impact on markets and asset prices from changes in the Federal Reserve’s policies regarding the purchases of Agency residential mortgage- backed securities ("Agency RMBS"), Agency commercial mortgage-backed securities ("Agency CMBS"), and U.S. Treasuries; actual or anticipated changes in Federal Reserve monetary policy or the monetary policy of other central banks; adverse reactions in U.S. financial markets related to actions of foreign central banks or the economic performance of foreign economies, including in particular the People's Republic of China, Japan, the European Union, and the United Kingdom; the cost and availability of financing, including the future availability of financing due to changes to regulation of, and capital requirements imposed upon, financial institutions; cost and availability of new equity capital; changes in the Company’s leverage and use of leverage; changes to the Company’s investment strategy, operating policies, dividend policy, or asset allocations; quality of performance of third-party service providers, including the Company’s sole third-party service provider for our critical operations and trade functions; the loss, unavailability, or security of the Company’s third-party service providers’ service and technology that support critical functions of the Company’s business, including those related to the Company’s trading and borrowing activities due to outages, interruptions, or other failures; the level of defaults by borrowers on loans underlying MBS; changes in the Company’s industry; increased competition; changes in government regulations affecting the Company’s business; changes or volatility in the repurchase agreement financing markets and other credit markets; changes to the market for interest rate swaps and other derivative instruments, including changes to margin requirements on derivative instruments; uncertainty regarding continued government support of the U.S. financial system and U.S. housing and real estate markets, or to reform the U.S. housing finance system including the resolution of the conservatorship of Fannie Mae and Freddie Mac; the composition of the Board of Governors of the Federal Reserve; the political environment in the U.S.; systems failures or cybersecurity incidents; and exposure to current and future claims and litigation. 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, 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, 2025 and subsequent filings with the Securities and Exchange Commission, particularly those set forth under the caption “Risk Factors.” The Company assumes no obligation to update any forward- looking statements, which speak only as of the date of this presentation. This presentation includes certain adjusted financial measures defined as non-GAAP financial measures under Securities and Exchange Commission rules, which we believe provide useful information to investors as a supplement to our operating results presented in accordance with generally accepted accounting principles, or U.S. GAAP. The presentation of such information is not intended to be considered in isolation or as a substitute for, or superior to, the financial information prepared and presented in accordance with U.S. GAAP. Additional information relating to certain of our financial measures contained herein, including non-GAAP financial measures, is available in the "Supplemental Financials" section of this presentation and our most recent earnings release, available on our website at www.dynexcapital.com.
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3 What We Do Dynex generates dividend income and long-term total returns through the financing of real estate mortgage assets, and by doing so supports the growth and revitalization of communities in the United States. DYNEX BY THE NUMBERS 527% Total Shareholder Return Since Inception A Differentiated Mortgage Investment Strategy Delivering Consistent, Monthly Dividends Source: Bloomberg or Company data as of September 30, 2026. Market capitalization based upon common shares outstanding of 258,430,745 as of September 30, 2026. (1) Total Investment Portfolio based on fair value of portfolio inclusive of TBAs. $28.3B Total Investment Portfolio(1) $2B+ Dividends Since Inception 18.3% Annualized Common Stock Dividend Yield $2.9B Market Capitalization $0.17 Monthly Common Dividend Per Share
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4 Quarterly Performance Highlights Source: Company data as of September 30, 2026. (1) 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. (2) Leverage equals the sum of (i) total liabilities plus (ii) amortized cost basis of TBA long positions divided by total shareholders' equity. Q3’26 Earnings Summary Q3'26 Q2'26 Book Value per common share $10.91 $12.90 Total Economic Return(1) (11.5%) 6.4% Dividend per common share $0.51 $0.51 Comprehensive (Loss) Income per common share $(1.49) $0.80 Investments as of Period-End inclusive of Agency RMBS TBAs $28.3B $27.6B Total Shareholders’ Equity $3.1B $3.2B Leverage(2) 9.0x 8.1x Liquidity Cash and Unencumbered Assets $1.3B $1.6B $28.3B Q3’26 Investment Portfolio Agency RMBS Pools 86% Agency RMBS TBAs 9% Agency CMBS 5%
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5 6% 44% 25% 51% 3% 26% -21% -28% -6% 19% -10% -28% -9% 7% -20% -25% -40% -20% 0% 20% 40% 60% 1 Year 3 Year 5 Year This Decade Cumulative Total Shareholder Return (%) Dynex Agency mREIT Peers Hybrid mREIT Peers iShares Mortgage REIT ETF Track Record of Outperformance Over 50% total shareholder return this decade Note: Agency mREITs include: NLY, AGNC, ARR, IVR, ORC on an equal weight basis. Hybrid mREITs include EFC, PMT, CIM, MFA, ADAM, RITM, MITT on an equal weight basis. Figures represent averages. Source: Bloomberg data as of September 30, 2026. 'Cumulative Total Shareholder Returns' assumes dividends are reinvested in the respective security. “This Decade” refers to performance since January 2, 2020. Demonstrated Track Record of Outperformance
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6 $5.9 $7.4 $9.8 $19.4 $28.3 2022 2023 2024 2025 September 30, 2026 Portfolio Growth Market Capitalization Growth(1) ($s in billions) ($s in billions) ~5x GROW TH 5x Growth with Strategic Capital Management Disciplined capital deployment and favorable investment opportunities have fueled portfolio expansion and market capitalization growth Source: Company data as of September 30, 2026. For annual periods, data represents information as of year-end for the period presented. 1. September 30, 2026 market capitalization based upon DX common shares outstanding of 258,430,745 as of September 30, 2026. ~5x GROW TH $0.6 $0.7 $1.1 $2.4 $2.9 2022 2023 2024 2025 September 30, 2026
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7 The Dynex Value Creation Cycle A favorable investment backdrop, efficient capital raising, and Dynex's differentiated platform combine to drive long-term shareholder value Note: Views on this page represent management’s views and actual results may differ materially. ✓ Attractive Investment Opportunity Spread environment supports attractive returns on our high-quality, liquid asset portfolio Strong Valuation Trend Growth has been accompanied by higher valuations; disciplined capital issuance has supported increased efficiency and liquidity Dynex Advantage Cycle-tested leadership, risk discipline, integrity and shareholder alignment Long-Term Value Creation Platform Resilience • Greater Scale • Valuation Upside
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8 Source: Bloomberg or Company data as of September 30, 2026 unless otherwise noted. $120mm refers to gross proceeds from the Series D Fixed-Rate Preferred Equity offering. Capital Structure Management We further strengthened our balance sheet with the closing of a $120 million preferred equity offering during the third quarter of 2026 $120mm 9.375% Series D Fixed-Rate Preferred Equity Issued Transaction Highlights ▪ Increased access to long-term capital ▪ Raised capital accretively for common shareholders ▪ Enhanced capital structure flexibility to capitalize on market opportunities ▪ Completed the largest preferred equity offering in Dynex history Dynex Capital Structure Evolution Series D Preferred Equity Offering In September 2026, we issued our first preferred equity offering since 2020 $633 $901 $2,462 $3,052 YE'20 YE'22 YE'25 9/30/2026 Common Equity Preferred Equity Our capital base has grown 5x since the last time we completed a preferred equity offering in 2020 $mm
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9 Market Takeaways and Agency MBS Positioning
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10 Agency MBS Offers Attractive Forward Return Profile Mortgage Convexity Profile is Attractive for Agency MBS Investors(1) -4.0 -3.0 -2.0 -1.0 0.0 1.0 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 2023 2025 Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Bloomberg as of September 30, 2026. (2) Source: Bloomberg as of June 30, 2026. Spreads remain wide relative to history and versus most other fixed-income alternatives, supporting prospective returns WIDE MORTGAGE SPREADS High mortgage rates keep refinancing low, offering an environment for more stable cash flows STRONG CONVEXITY PROFILE & STABLE CASH FLOWS Financing is liquid, efficient and supported by $8 trillion in money market funds, contributing to an attractive carry profile DEEP & EFFICIENT FUNDING MARKETS Limited new supply is met by demand from insurers, pensions and the GSEs, alongside ongoing positive flows into fixed income FAVORABLE SUPPLY & DEMAND Bond Fund Flows Remain a Positive Technical for Agency MBS(2) ($200) ($100) $0 $100 $200 $300 $400 Q1 '13 Q3 '13 Q1 '14 Q3 '14 Q1 '15 Q3 '15 Q1 '16 Q3 '16 Q1 '17 Q3 '17 Q1 '18 Q3 '18 Q1 '19 Q3 '19 Q1 '20 Q3 '20 Q1 '21 Q3 '21 Q1 '22 Q3 '22 Q1 '23 Q3 '23 Q1 '24 Q3 '24 Q1 '25 Q3 '25 Q1 '26 Bond Fund Flows ($bn) Annuity Flows ($bn) Today’s mortgage market combines wide spreads, more stable cash flows, deep funding markets and favorable supply-demand dynamics, reinforcing the opportunity at current valuations Mortgage convexity has turned positive, a condition seen only three times in the past 30 years Bond fund & annuity inflows remain robust, an important source of demand for mortgages 1 2 3 Period of positive convexity
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11 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Current Coupon vs 7Yr Swap Spreads History Periods of sustained structural demand for Agency MBS have historically coincided with tighter mortgage spread regimes Implication for Dynex Current mortgage spreads provide significant compensation at a time when the value of the borrower’s prepayment option is substantially lower ‘93- ‘02: GSE Portfolio Expansion Regime ‘09- ‘14: Fed Balance Sheet Expansion Historical periods of structural demand / sustained buyers of Agency MBS ‘20-‘22: Fed Agency MBS Purchase Program Mortgage Spreads Remain Historically Wide Following recent widening, mortgage spreads are attractive relative to historical periods with comparable spread levels, given today’s more supportive mortgage backdrop Note: Views on this page represent management’s views and actual results may differ materially. 1. Source: Bloomberg data as of September 30, 2026. Secondary mortgage market yield less interpolated 7-year swap adjusted for Libor/SOFR difference as of September 30, 2026. ‘26: $200B GSE Buy Program Launched Apr. 25: Tariff Tantrum Mar. 26: Iran Conflict 162bps Mortgage Spreads Over Time(1)
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12 $113 $464 YTD'25 YTD'26 $bn IG LevFin Securitized Conv Debt ▪ Geopolitical conflict and heightened focus on national security and domestic resilience continued to reshape global trade, capital flows and supply chains ▪ Energy security remained a significant source of market uncertainty, with Middle East conflict and disruptions to global oil and gas flows keeping energy prices elevated and increasing concerns around inflation Key Macroeconomic Themes Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Morgan Stanley Research through September 30, 2026. (2) Source: Bloomberg as of September 30, 2026. Today’s market environment reinforces the value of liquidity, active portfolio construction and the flexibility to capture opportunities as they emerge Global Power Dynamics Technology Demographics ▪ AI-related capital investment remains a major source of economic resilience and financing demand ▪ The scale of the buildout is creating supply constraints and inflation pressure across technology, power and infrastructure ▪ Growing debt financing needs are adding significant supply to capital markets and contributing to upward pressure on long-term rates ▪ Aging populations continue to support long-term demand for income ▪ Housing affordability remains constrained as interest and mortgage rates move higher, limiting transaction and refinancing activity despite ongoing household formation ▪ Baby boomer retirements are tightening labor supply while accumulated wealth supports continued consumption, contributing to persistent inflationary pressures Fed Policy Regulatory Policy ▪ The FOMC raised rates 25 basis points in September, with elevated inflation driving expectations for additional tightening in 2026 and a higher-for-longer rate environment ▪ Reduced forward guidance increased the importance of positioning for a wider range of outcomes ▪ Markets await further clarity from the Fed’s policy task forces on potential changes to its policy framework and balance-sheet approach AI Debt Issuance Has Been Surging(1) Treasury Yields in Q3 Neared Their Highest Levels Since Early 2000s ▪ Near-term policy uncertainty remains elevated heading into the 2026 midterm elections ▪ Proposed Basel III revisions and potential hedge- accounting changes could improve bank balance- sheet capacity for securities and derivatives over time ▪ Treasury and repo central clearing could improve market efficiency and reduce counterparty risk Fiscal Policy ▪ Persistent U.S. deficits, heavy Treasury issuance and AI- related capital demand contributed to higher long-term yields and term premium ▪ Treasury took a more active approach to debt management during the quarter, increasing long-end buybacks as longer-term yields moved higher ▪ Fiscal capacity remains an important constraint on the policy response to future economic weakness AI debt is up 4x+ YoY YTD’26 0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 10-Year Treasury Yield (%) 5.28%
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13 Investment Portfolio Summary and Activity
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14 83% 83% 92% 90% 91% 17% 17% 8% 10% 9% Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 Specified Pools TBAs Q3’26 Agency RMBS Strategy & Overview Agency RMBS portfolio construction balanced attractive carry, improved convexity and liquidity through the quarter’s repricing Source: Company data as of September 30, 2026 unless otherwise noted. (1) Additions during the quarter are based on amortized cost values. Specified Pools / TBA Composition Agency Coupon Composition Q3’26 Activity Q2’26 Q3’26 4.93% Weighted Average Coupon 5%2% 5% 9% 32% 38% 9% ▪ Added $3.1bn of Agency RMBS specified pools at attractive spreads, with targeted geography, coupon, and size characteristics(1) ▪ Favored specified pools over TBAs for better convexity, lower hedging costs, and monthly principal and interest payments ▪ Portfolio combines seasoned, lower-coupon assets for stability and reduced extension risk with higher coupons for attractive income and carry ▪ Seasoned discount assets offer additional upside as housing activity improves, while limited refinancing incentives support the stability of their current cash-flow profile ▪ Liquidity remained central to portfolio construction, allowing us to maintain positions through the repricing and preserve the return potential of the portfolio 2.00% 2.50% 4.00% 4.50% 5.00% 5.50% 6.00% 4.87% Weighted Average Coupon 5% 2% 4% 12% 34% 37% 6%
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15 Q3’26 Hedging Strategy and Overview We adjusted our hedge position during the quarter to reduce exposure to the direction of rates while deliberately retaining mortgage spread exposure Note: Figures may not sum due to rounding. Source: Company data as of September 30, 2026 unless otherwise noted. Q3’26 Activity Composition of Treasury Futures Hedge Portfolio 5-year U.S. Treasury futures 18% 10-year U.S. Treasury futures 59% 30-year U.S. Treasury futures 23% 5-year U.S. Treasury futures 10% 10-year U.S. Treasury futures 43% 30-year U.S. Treasury futures 47% Q2’26 Q3’26 $4.3B $6.7B ▪ We more fully hedged interest-rate risk as rates rose while deliberately retaining mortgage spread exposure, positioning the portfolio to benefit from the wider spread environment ▪ Total hedge notional increased to $24.3 billion, maintaining disciplined hedging as the portfolio grew and mortgage duration extended across the curve as rates increased ▪ The hedge mix shifted modestly towards Treasury futures relative to swaps, reflecting strong market liquidity and greater capital efficiency, particularly in longer tenors ▪ Increased 30-year Treasury futures hedges to $3.1 billion, adding duration protection as mortgages extended further out the curve, with potential convexity benefits as futures contracts lengthen with shifting deliverables at higher yields Figures $bn $14.1 $17.6 $4.3 $6.7$18.3 $24.3 6/30/2026 9/30/2026 Interest Rate Swaps Treasury Futures
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16 3.79% 3.91% Q2'26 Q3'26 96 Days 87 Days Q2'26 Q3'26 $24.2B Q3’26 Financing Strategy and Overview Term management, liquid collateral and broad counterparty diversification support reliable and cost-effective access to financing Source: Company data as of September 30, 2026 unless otherwise noted. WA Rate WA Maturity Term Structure Q3’26 Activity ▪ Repo markets functioned efficiently throughout the quarter, supporting our ability to finance portfolio growth in line with our investment strategy ▪ In particular, quarter-end funding remained orderly despite elevated market volatility ▪ Weighted average repo rate increased 12bps to 3.91% as repo rates moved higher following September’s FOMC announcement ▪ We were active with more than 25 repo counterparties during the quarter <30 Days 44% 30 to 90 Days 52% 91 to 180 Days 4%
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17 Supplemental Financials
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18 Supplemental Financials Table of Contents SUPPLEMENTAL FINANCIALS PAGE Selected Components of Portfolio Returns (excluding mark-to-market) Selected Components of Portfolio Returns (excluding mark-to-market) 19 19 Capital Structure Summary Capital Structure Summary 20 20 RMBS Portfolio Details RMBS Portfolio Details 21 21 CMBS and CMBS IO Portfolio Details CMBS and CMBS IO Portfolio Details 22 22 Interest Rate and Spread Sensitivity Interest Rate and Spread Sensitivity 23 23 Hedge Summary Hedge Summary 24 24 Funding Summary Funding Summary 25 25 Comprehensive Income Comprehensive Income 26 26 Book Value Rollforward Book Value Rollforward 27 27 Reconciliations of Non-GAAP Measures to GAAP Measures Reconciliations of Non-GAAP Measures to GAAP Measures 28 28
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19 Selected Components of Portfolio Returns (excluding mark-to-market) Source: Company data as of and for the periods indicated. (1) Interest income includes amounts earned from cash equivalents. (2) Amounts are subject to change as they represent estimates for amortization of deferred tax hedge gains as of September 30, 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. (3) Economic net interest income, a non-GAAP measure, is reconciled to GAAP measures on page 28. Interest Income(1) Amortization of Deferred Tax Hedge Gains(2) Interest Expense Economic Net Interest Income(3)
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20 Capital Structure Summary Note: Data as of September 30, 2026. (1) Annualized dividend yields are calculated based on closing price on September 30, 2026. (2) The Series D priced on September 22, 2026 and closed on September 29, 2026. As a result of the timing of this issuance, there was no third quarter 2026 dividend. Common Stock Series C Preferred Stock Series D Preferred Stock NYSE Ticker DX DX PRC DX PRD Shares Outstanding 258.4 million 4.5 million 4.8 million Book Value per common share $10.91 — — Third Quarter 2026 Dividends Declared per common share $0.51 $0.61 $—(2) Annualized Dividend Yield(1) 18.3% 9.3% 9.5% Share Price $11.14 $26.19 $24.70 Market Capitalization $2.9 billion — — Par Value of Preferred — $111.5 million $120.0 million
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21 RMBS Portfolio Details Data as of September 30, 2026 (1) Includes $8.6 million par value of 4.5% 15-year Agency RMBS. (2) Not applicable to TBA securities. (3) Market yield represents the projected yield calculated using cash flows generated off the forward curve based on market prices as of the end of the period and assuming zero volatility. (4) 3-month CPRs exclude recent purchases of securities which do not have a prepayment history. ($ in thousands) Par/Notional Value Amortized Cost (%) (2) Fair Value Fair Value (%) % of Total Portfolio WAVG Pay up to TBA (2) Unamortized Premium Balance (2) Market Yield (3) 3-month WAVG Yield (2) 3-month CPR (2) (4) Agency RMBS Pools: 2.0% coupon $ 1,622,450 88.7 % $ 1,226,468 75.6 % 4.3 % 1.31 $ (182,919) 5.84% 3.66% 4.9 % 2.5% coupon 837,916 95.6 % 664,386 79.3 % 2.3 % 1.55 (36,785) 5.86% 3.02% 6.5 % 4.0% coupon 1,580,885 93.9 % 1,391,677 88.0 % 4.9 % 0.97 (96,931) 5.93% 4.87% 7.9 % 4.5% coupon (1) 2,508,989 96.7 % 2,273,108 90.6 % 8.0 % 0.89 (82,825) 6.03% 5.04% 8.1 % 5.0% coupon 8,021,402 99.4 % 7,468,785 93.1 % 26.4 % 0.62 (47,834) 6.08% 5.10% 6.1 % 5.5% coupon 10,057,691 101.0 % 9,647,047 95.9 % 34.1 % 0.64 105,054 6.16% 5.30% 6.8 % 6.0% coupon 1,769,036 102.5 % 1,743,004 98.5 % 6.2 % 0.57 43,420 6.25% 5.42% 8.9 % Total Agency RMBS Pools: $ 26,398,369 98.9 % $ 24,414,475 92.5 % 86.2 % 0.74 $ (298,820) 6.09 % 5.03 % 6.8 % Agency RMBS TBA: 4.0% coupon 6,000 - 5,224 87.1 % — % - - 5.83 % - - 4.5% coupon 241,000 - 216,166 89.7 % 0.8 % - - 5.93 % - - 5.0% coupon 1,073,000 - 992,031 92.5 % 3.5 % - - 6.08 % - - 5.5% coupon 515,000 - 490,698 95.3 % 1.7 % - - 6.22 % - - 6.0% coupon 728,000 - 713,156 98.0 % 2.5 % - - 6.34 % - - Total Agency RMBS TBA: $ 2,563,000 - $ 2,417,275 94.3 % 8.5 % - - 6.17 % - - Total Agency RMBS: $ 28,961,369 $ 26,831,750 92.6 % 94.7 % 6.09 %
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22 CMBS and CMBS IO Portfolio Details Data as of September 30, 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 $ 1,506,774 $ 1,429,033 5.0 % 5.9 4.31 % 5.54 % $ 1,370,224 $ 58,809 CMBS IO 70,771 69,098 0.2 % 4.3 9.13 % 7.11 % 63,683 5,415 Total $ 1,577,545 $ 1,498,131 5.2 % 5.9 4.55 % 5.71 % $ 1,433,907 $ 64,224 (1) Represents the weighted average life remaining in years based on contractual cash flows as of the dates indicated. (2) 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.
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23 Source: Company estimates are 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. Based on models and assumptions and actual results may vary. 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. Interest Rate and Spread Sensitivity Interest Rate Sensitivity to Instantaneous Shocks Spread Sensitivity to Instantaneous Shocks Percentage Change in Common Shareholders’ Equity Change in Spreads (bps) As of September 30, 2026 As of June 30, 2026 +20 (11.5)% (9.2)% +10 (5.7)% (4.6)% -10 5.7% 4.6% -20 11.5% 9.2% Parallel Curve Shift (bps) Percentage Change in Common Shareholders’ Equity As of September 30, 2026 As of June 30, 2026 +100 (1.7)% (9.4)% +50 (0.5)% (3.5)% -50 (0.4)% (0.8)% -100 (3.2)% (6.9)% Curve Shift Percentage Change in Common Shareholders’ Equity 2-Year Treasury (bps) 10-Year Treasury (bps) As of September 30, 2026 As of June 30, 2026 Bear Steepener +25 +50 (0.2)% (2.8)% +50 +100 (1.3)% (8.1)% Bear Flattener +50 +25 (0.6)% (2.2)% +100 +50 (1.2)% (5.1)% Bull Steepener -50 -25 0.4% 0.9% -100 -50 0.5% 0.2% Bull Flattener -25 -50 (0.8)% (1.5)% -50 -100 (4.5)% (8.2)%
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24 Hedge Summary Data as of September 30, 2026 September 30, 2026 June 30, 2026 Derivative Type - Short Positions Notional Amount WAVG Fixed Pay Rate Notional Amount WAVG Fixed Pay Rate 1-3 year pay-fixed interest rate swaps $ 1,925,000 3.63% $ — —% 3-5 year pay-fixed interest rate swaps 4,080,000 3.63% 4,375,000 3.45% 5-7 year pay-fixed interest rate swaps 4,820,000 3.85% 4,060,000 3.65% 7-10 year pay-fixed interest rate swaps 5,845,000 3.93% 5,065,000 3.86% 10-15 year pay-fixed interest rate swaps 142,000 4.79% — —% 15-20 year pay-fixed interest rate swaps 785,000 4.39% 590,000 4.40% 5-year U.S. Treasury futures (650,000) n/a (750,000) n/a 10-year U.S. Treasury futures (2,893,700) n/a (2,516,500) n/a 30-year U.S. Treasury futures (3,132,800) n/a (991,800) n/a September 30, 2026 June 30, 2026 Derivative Type - Long Positions Notional Amount Average Fixed Receive Rate Instrument Type Notional Amount Average Fixed Receive Rate Instrument Type <1 year interest rate swaptions $ 750,000 3.25% 5 year SOFR-based swap $ 750,000 3.25% 5 year SOFR-based swap
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25 Funding Summary Data as of September 30, 2026 Collateral Type Balance ($s in thousands) Weighted Average Rate Fair Value of MBS Pledged as Collateral ($s in thousands) Agency RMBS $22,756,369 3.91 % $23,782,830 Agency CMBS 1,370,224 3.92 % 1,390,727 Agency CMBS IO 63,683 4.24 % 65,784 Total $24,190,276 3.91 % $25,239,341 Remaining Term to Maturity Balance ($s in thousands) Percentage Weighted Average Original Term to Maturity < 30 days $10,662,438 44% 79 30 to 90 days 12,563,547 52% 88 91 to 180 days 964,291 4% 179 Total $24,190,276 100% 87
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26 Comprehensive Income *Amounts may not foot due to rounding of $s presented in ‘000s. For the Quarter Ended For the Nine Months Ended September 30, 2026 June 30, 2026 September 30, 2026 ($ in thousands, except per share amounts) Income (Expense) Per Common Share* Income (Expense) Per Common Share* Income (Expense) Per Common Share* Interest income $ 332,497 $ 1.32 $ 302,751 $ 1.36 $ 892,637 $ 3.97 Interest expense (230,935) (0.92) (208,968) (0.94) (618,039) (2.75) Net interest Income 101,562 0.40 93,783 0.42 274,598 1.22 Realized (loss) gain on sales of investments, net (544) — — — 8,177 0.04 Unrealized loss on investments, net (1,465,047) (5.82) (25,622) (0.12) (1,742,480) (7.75) Gain on derivative instruments, net 1,041,087 4.13 128,845 0.58 1,274,659 5.67 Total (losses) gains, net (424,504) (1.69) 103,223 0.46 (459,644) (2.04) General and administrative expenses (11,062) (0.04) (15,206) (0.07) (46,745) (0.21) Other operating expenses (1,532) (0.01) (1,007) — (3,315) (0.01) Net (loss) income (335,536) (1.34) 180,793 0.81 (235,106) (1.04) Preferred stock dividends (2,769) (0.01) (2,650) (0.01) (8,076) (0.04) Net (loss) income to common shareholders (338,305) (1.34) 178,143 0.80 (243,182) (1.08) Net unrealized loss on AFS investments (36,529) (0.15) (865) — (37,542) (0.17) Comprehensive (loss) income to common shareholders $ (374,834) $ (1.49) $ 177,278 $ 0.80 $ (280,724) $ (1.25) Weighted average common shares outstanding 251,842 222,220 224,905
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27 Book Value Rollforward For the quarter ended September 30, 2026 (1) Amount represents total shareholders' equity less the aggregate liquidation preference of the Company's Series C preferred stock of $111.5 million as of June 30, 2026. (2) Amount includes net proceeds of approximately $268 million from common stock issuances through the Company's at-the-market ("ATM") program, $(4) million of stock issuance costs related to the Company's Series D preferred stock offering, and $(3) million from reversal of previously accrued share-based compensation expenses and forfeitures. (3) Amount represents total shareholders' equity less the aggregate liquidation preference of the Company's Series C and Series D preferred stocks of $231.5 million as of September 30, 2026. ($ in thousands) Common Equity Common equity, beginning of period (1) $ 3,063,567 Net interest income $ 101,562 Net periodic interest from interest rate swaps 82 Operating expenses (12,594) Preferred stock dividends (2,769) Changes in fair value: MBS and loans $ (1,502,120) TBAs (124,902) U.S. Treasury futures 377,310 Options on U.S. Treasury futures 743 Interest rate swaps 790,435 Interest rate swaptions (2,581) Total net change in fair value (461,115) Comprehensive loss to common shareholders (374,834) Capital transactions: Net proceeds from stock issuance (2) 260,984 Common dividends declared (129,162) Common equity, end of period (3) $ 2,820,555
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28 Reconciliations of Non-GAAP Measures to GAAP Measures(1) (1) 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. (2) Amount represents realized and unrealized gains and losses on the Company's MBS. (3) Amount represents realized and unrealized gains and losses on derivatives including TBAs except for TBA drop income/loss and net periodic interest from interest rate swaps. ($ in thousands except per share amounts) Q3'26 Q2'26 Q1'26 Q4'25 Q3'25 Comprehensive (loss) income to common shareholders $ (374,834) $ 177,278 $ (83,168) $ 189,606 $ 162,527 Adjustments: Change in fair value of investments (2) 1,502,120 26,487 243,238 (91,740) (157,435) Change in fair value of derivative instruments, net (3) (1,032,611) (123,082) (98,266) (63,467) 28,507 EAD to common shareholders $ 94,675 $ 80,683 $ 61,804 $ 34,399 $ 33,599 EAD per common share $ 0.38 $ 0.36 $ 0.31 $ 0.22 $ 0.25 ($ in thousands) Q3'26 Q2'26 Q1'26 Q4'25 Q3'25 Net interest income $ 101,562 $ 93,783 $ 79,254 $ 43,484 $ 30,611 Net periodic interest from interest rate swaps 82 542 1,698 7,598 14,265 Economic net interest income $ 101,644 $ 94,325 $ 80,952 $ 51,082 $ 44,876 Agency RMBS TBA drop income 8,394 5,221 4,763 2,716 3,548 Operating expenses, net (12,594) (16,213) (21,253) (16,639) (11,998) Preferred stock dividends (2,769) (2,650) (2,658) (2,760) (2,827) EAD to common shareholders $ 94,675 $ 80,683 $ 61,804 $ 34,399 $ 33,599
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29 About Dynex
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31 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: Dynex’s Strategy Delivers Strong Returns 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 31
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32 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. Our Core Values Guide Us 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 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 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. These values keep us grounded and allow us to sustain our high-performance culture while consistently generating attractive, long-term returns
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33 140 Eastshore Drive, Suite 100 Glen Allen, Virginia 23059 804-217-5800 dynexcapital.com