[{"_1":2,"_3":-5,"_4":-5},"loaderData",{"_5":6,"_7":8},"actionData","errors","root",{"_102":103},"en-item",{"_9":10,"_10":11},"kind","item",{"_12":13,"_14":15,"_16":17,"_18":19,"_20":21,"_22":23,"_24":25,"_26":27,"_28":29,"_30":31,"_32":31,"_33":34,"_35":36,"_37":38,"_39":40,"_41":42,"_43":44,"_45":46,"_47":-5,"_48":49,"_50":-5,"_51":-5,"_52":53,"_54":55,"_56":57,"_58":42,"_59":42,"_60":61,"_62":42,"_63":64},"id","pab3u08f5pfk5msbdg3y5e86c","revision",2,"title","Dynex Capital提交2026年第三季度10-Q：普通股股东净亏损3.383亿美元，并获批最高3.5亿美元股票回购授权","originalTitle","DYNEX CAPITAL INC (0000826675) (Filer)","summary","Dynex Capital提交截至2026年9月30日季度的10-Q节选，披露第三季度普通股股东净亏损3.383亿美元，基本及摊薄每股亏损均为1.34美元；2025年同期普通股股东净利润为1.476亿美元。","reason","材料涵盖截至2026年9月30日的季度业绩、融资与风险披露，以及董事会批准的回购授权；回购授权不代表公司已实际回购。","source",{"_12":93,"_94":95,"_9":96,"_97":42,"_98":99,"_100":101},"links",{"_90":91,"_78":92},"publishedAt","2026-10-27T20:50:56.000Z","discoveredAt","2026-10-27T21:07:45.675Z","timelineAt","category","ai-products","tags",[84,85,86,87,88,89],"stockSymbols",[83],"score",61,"selected",true,"channel","news","story",{"_73":74,"_16":75},"x","readingMode","full","author","language","body",{"_64":77,"_78":-5,"_79":80,"_81":82},"outline",[],"relatedStories",[76],"indexable","markdownAvailable","group",{"_65":66,"_45":67,"_68":69,"_70":71,"_72":69},"hasTranslation","bodyLanguage","zh","factId","fuWi0NsjAQTw",{"_73":74,"_16":75},"reportCount",1,"additionalSourceCount",0,"developmentCount","publicId","0678c170-ff56-4bfb-8c7b-6adf1da056b9","Dynex Capital公布2026年第三季度业绩并提交10-Q",{"_73":74,"_16":75},"

美国

证券交易委员会

华盛顿特区 20549

表格 10-Q


☒	根据《1934年证券交易法》第13条或第15(d)条提交的季度报告

截至季度期间 2026年9月 30日

或


☐	根据《1934年证券交易法》第13条或第15(d)条提交的过渡报告

委员会档案编号： 001-09819

DYNEX CAPITAL, INC.

（注册人章程中列明的准确名称）


弗吉尼亚州		52-1549373
（注册成立所在州或其他司法管辖区或组织）		（美国国税局雇主识别号码）
140 Eastshore Drive，100室
格伦艾伦，	弗吉尼亚州		23059-5755
（主要行政办公室地址）		（邮政编码）
			(804)	217-5800
（注册人电话号码，包括区号）


根据该法第12(b)条登记的证券：
各类证券名称	交易代码	上市交易所名称
普通股，每股面值$0.01	DX	纽约证券交易所
6.900% C系列固定转浮动利率累积可赎回优先股，面值每股价值 $0.01	DXPRC	纽约证券交易所
9.375% D 系列固定利率累积可赎回优先股，面值 $0.01 每股	DXPRD	纽约证券交易所


请勾选，以说明注册人是否：(1) 已在过去 12 个月内（或注册人必须提交此类报告的较短期间内）提交了《1934 年证券交易法》第 13 条或第 15(d) 条要求提交的所有报告；以及 (2) 在过去 90 天内一直受此类提交要求约束。《1934 年证券交易法》第 13 条或第 15(d) 条要求提交的所有报告；以及 (2) 在过去 90 天内一直受此类提交要求约束。是否一直受此类提交要求约束。
是	☒	否	☐

请勾选，以说明注册人是否已在过去 12 个月内（或注册人必须提交此类文件的较短期间内）以电子方式提交了根据 S-T 条例第 405 条（本章 §232.405）要求提交的每个交互式数据文件。根据 S-T 条例第 405 条（本章 §232.405）要求提交的每个交互式数据文件（或注册人必须提交此类文件的较短期间内）。
是	☒	否	☐


请勾选，以说明注册人是大型加速申报公司、加速申报公司、非加速申报公司、小型报告公司还是新兴成长型公司。参见《交易法》第 12b-2 条中“大型加速申报公司” 、“加速申报公司”、“小型报告公司”和“新兴成长型公司”的定义。。

大型加速申报公司	☒	加速申报公司	☐
非加速申报公司	☐	小型报告公司	☐
		新兴成长型公司	☐

如果是新兴成长型公司，请勾选以说明注册人是否选择不使用延长的过渡期，以遵守根据《交易法》第 13(a) 条规定的任何新订或修订财务会计准则。《交易法》第 13(a) 条。 ☐

请勾选以说明注册人是否为空壳公司（定义见《交易法》规则12b-2）。

是 ☐ 否 ☒

截至2026年10月22日，注册人已发行普通股259,627,108股，面值为$0.01，该普通股

是注册人唯一类别的普通股。

DYNEX CAPITAL, INC.

10-Q表


			页码
第一部分：财务信息
	第1项	财务报表
		截至2026年9月30日（未经审计）和2025年12月31日的合并资产负债表	1
		截至三个月和九个月期间 2026年9月30日（未经审计）和2025年9月30日（未经审计）的综合收益（亏损）合并报表	2
		截至三个月和九个月 2026年9月30日（未经审计）和2025年9月30日（未经审计）的股东权益合并报表	3
		截至九个月 2026年9月30日（未经审计）和2025年9月30日（未经审计）的现金流量合并报表	5
		合并财务报表附注（未经审计）	7
	第2项	管理层对财务状况和经营成果的讨论与分析	25
	第3项	关于市场风险的定量和定性披露	45
	第4项	控制与程序	48

第二部分：其他信息
	第1项	法律诉讼	48
	第1A项	风险因素	48
	第2项	未注册证券销售及所得款项用途	48
	第3项	未履行优先证券义务	49
	第4项	矿山安全披露	49
	第5项	其他信息	49
	第6项	附件	49

签名	51

第一部分：财务信息

第1项：财务报表

DYNEX CAPITAL, INC.

合并资产负债表

（除每股数据外，金额均以千美元计）


	2026年9月30日 2026	2025年12月31日 2025
资产	（未经审计）
现金及现金等价物	$993,008	$531,043
向交易对手方缴存的现金抵押品	834,736	399,344
抵押贷款支持证券（包括已质押资产，金额分别为$25,239,341和 $14,593,470），按公允价值计量	25,912,607	16,306,988
应收交易对手方款项	61,439	17,425
衍生资产	—	10,498
应收应计利息	113,913	67,940
其他资产	9,503	8,940
资产总额	$27,925,206	$17,342,178

负债和股东权益
负债：
回购协议	$24,190,276	$13,904,231
应付交易对手方款项	389,511	811,656
衍生负债	89,336	4,830
交易对手方缴存的现金抵押品	—	8,373
应付应计利息	137,153	95,196
应付股息	50,580	37,171
其他负债	16,295	18,577
负债总额	24,873,151	14,880,034

股东权益：
优先股，每股面值 $0.01，授权发行 50,000,000 股；分别发行并流通 9,260,000 股和 4,460,000 股 ($231,500 和 $111,500 的总清算优先权，分别)	223,593	107,843
普通股，每股面值 $0.01，分别授权发行 720,000,000 股和 360,000,000 股；分别发行并流通 258,430,745 股和 174,814,912 股分别发行并流通	2,584	1,748
资本公积	4,025,147	2,921,551
累计其他综合亏损	(164,603)	(127,061)
累计赤字	(1,034,666)	(441,937)
股东权益总额	3,052,055	2,462,144
负债和股东权益总额	$27,925,206	$17,342,178

参见未经审计合并财务报表附注。

DYNEX CAPITAL, INC.

综合收益（亏损）合并报表

（未经审计）

（金额以千计，每股数据除外）


	截至三个月	截至九个月
	9月30日，	9月30日，
	2026	2025	2026	2025
利息收入
利息收入	$332,497	$149,679	$892,637	$356,484
利息费用	(230,935)	(119,068)	(618,039)	(285,612)
净利息收入	101,562	30,611	274,598	70,872

收益（亏损）
投资出售已实现净（亏损）收益	(544)	—	8,177	—
投资未实现净（亏损）收益	(1,465,047)	142,469	(1,742,480)	286,118
衍生工具净收益（亏损）	1,041,087	(10,694)	1,274,659	(186,875)
净（亏损）收益总额	(424,504)	131,775	(459,644)	99,243

费用
薪酬和福利	(4,742)	(7,325)	(29,659)	(23,256)
其他一般及行政费用	(6,320)	(4,139)	(17,086)	(11,884)
其他运营费用	(1,532)	(534)	(3,315)	(1,268)
运营费用总额	(12,594)	(11,998)	(50,060)	(36,408)

净（亏损）收益	$(335,536)	$150,388	$(235,106)	$133,707
优先股股息	(2,769)	(2,827)	(8,076)	(7,431)
归属于普通股股东的净（亏损）收益	$(338,305)	$147,561	$(243,182)	$126,276

其他综合收益：
可供出售证券未实现（亏损）收益投资	$(36,529)	$14,966	$(37,542)	$38,420
其他综合（亏损）收益总额	(36,529)	14,966	(37,542)	38,420
归属于普通股股东的综合（亏损）收益股东	$(374,834)	$162,527	$(280,724)	$164,696

加权平均普通股股数—基本	251,842,414	135,952,339	224,905,226	113,373,853
加权平均普通股股数—稀释	251,842,414	136,927,985	224,905,226	114,202,402
每股普通股净（亏损）收益—基本	$(1.34)	$1.09	$(1.08)	$1.11
每股普通股净（亏损）收益—稀释	$(1.34)	$1.08	$(1.08)	$1.11

请参阅未经审计的合并财务报表附注。

DYNEX CAPITAL, INC.

股东权益合并报表

（未经审计）

（$s，单位：千）


	截至的三个月和九个月 2026年9月30日
	优先股		普通股		额外实缴资本	累计其他综合亏损	累计赤字	总计股东权益
	股数	金额	股数	金额
截至以下日期的余额 2026年6月30日	4,460,000	$107,843		237,414,259	$2,374	$3,760,123	$(128,074)	$(567,199)	$3,175,067
股票发行	4,800,000	115,750		20,969,455	210	267,835	—	—	383,795
基于股份的薪酬，扣除摊销	—	—		83,576	1	(2,186)	—	—	(2,185)
税款预扣调整关于股份的预扣税款- 基于股票的薪酬	—	—		(36,545)	(1)	(471)	—	—	(472)
股票发行成本	—	—		—	—	(154)	—	—	(154)
净亏损	—	—		—	—	—	—	(335,536)	(335,536)
优先股股息优先股	—	—		—	—	—	—	(2,769)	(2,769)
普通股股息股票	—	—		—	—	—	—	(129,162)	(129,162)
其他综合亏损	—	—		—	—	—	(36,529)	—	(36,529)
截至 2026年9月30日	9,260,000	$223,593		258,430,745	$2,584	$4,025,147	$(164,603)	$(1,034,666)	$3,052,055

截至 2025年12月31日	4,460,000	$107,843		174,814,912	$1,748	$2,921,551	$(127,061)	$(441,937)	$2,462,144
股票发行	4,800,000	115,750		83,119,388	831	1,100,220	—	—	1,216,801
基于股票的薪酬，扣除摊销	—	—		838,431	8	8,299	—	—	8,307
因税款调整股票薪酬的预扣基于股票的薪酬	—	—		(341,986)	(3)	(4,612)	—	—	(4,615)
股票发行成本	—	—		—	—	(311)	—	—	(311)
净亏损	—	—		—	—	—	—	(235,106)	(235,106)
优先股股息优先股	—	—		—	—	—	—	(8,076)	(8,076)
普通股股息股票	—	—		—	—	—	—	(349,547)	(349,547)
其他综合亏损	—	—		—	—	—	(37,542)	—	(37,542)
截至 2026年9月30日	9,260,000	$223,593		258,430,745	$2,584	$4,025,147	$(164,603)	$(1,034,666)	$3,052,055


	截至三个月及九个月 2025年9月30日
	优先股		普通股		额外实缴资本	累计其他综合亏损	累计赤字	股东股东权益
	股数	金额	股数	金额
截至 2025年6月30日	4,460,000	$107,843		125,358,375	$1,253	$2,268,143	$(149,035)	$(618,211)	$1,609,993
股票发行	—	—		20,312,637	203	253,936	—	—	254,139
基于股票的薪酬，扣除摊销	—	—		77,284	1	2,800	—	—	2,801
因税款调整股票薪酬的预扣基于股票的薪酬	—	—		(34,160)	—	(441)	—	—	(441)
股票发行成本	—	—		—	—	(152)	—	—	(152)
净利润	—	—		—	—	—	—	150,388	150,388
优先股股息优先股	—	—		—	—	—	—	(2,827)	(2,827)
普通股股息股票	—	—		—	—	—	—	(71,319)	(71,319)
其他综合收益	—	—		—	—	—	14,966	—	14,966
截至 2025年9月30日	4,460,000	$107,843		145,714,136	$1,457	$2,524,286	$(134,069)	$(541,969)	$1,957,548

截至 2024年12月31日	4,460,000	$107,843		84,491,800	$845	$1,742,471	$(172,489)	$(493,734)	$1,184,936
股票发行	—	—		61,025,405	610	775,336	—	—	775,946
基于股票的薪酬，扣除摊销	—	—		290,237	3	8,313	—	—	8,316
因税款调整股票薪酬的预扣基于股票的薪酬	—	—		(93,306)	(1)	(1,621)	—	—	(1,622)
股票发行成本	—	—		—	—	(213)	—	—	(213)
净利润	—	—		—	—	—	—	133,707	133,707
优先股股息优先股	—	—		—	—	—	—	(7,431)	(7,431)
普通股股息股票	—	—		—	—	—	—	(174,511)	(174,511)
其他综合收益	—	—		—	—	—	38,420	—	38,420
截至 2025年9月30日	4,460,000	$107,843		145,714,136	$1,457	$2,524,286	$(134,069)	$(541,969)	$1,957,548

请参阅未经审计合并财务报表附注。

DYNEX CAPITAL, INC.

合并现金流量表

（未经审计）

（金额单位：千美元）


	九个月截至
	9月30日，
	2026	2025
经营活动：
净（亏损）利润	$(235,106)	$133,707
将净利润（亏损）调节为经营活动提供现金的项目：
出售投资的已实现净收益	(8,177)	—
投资未实现净亏损（收益）	1,742,480	(286,118)
衍生工具净（收益）亏损	(1,274,659)	186,875
投资溢价摊销净额	8,734	20,371
其他摊销和折旧	1,587	1,556
基于股票的薪酬费用	8,307	8,316
应计应收利息增加	(45,973)	(23,090)
应计应付利息增加	41,957	65,845
其他资产和负债变动净额	(3,727)	(945)
经营活动提供的现金净额	235,423	106,517
投资活动：
购买抵押贷款支持证券	(14,383,146)	(6,130,208)
收到的抵押贷款支持证券本金偿付，公允价值选择权	1,603,717	540,184
收到的抵押贷款支持证券本金偿付，可供出售	55,144	103,999
出售抵押贷款支持证券所得款项	910,594	—
收到的持有待投资抵押贷款本金偿付	85	216
衍生工具净收款（付款）	1,330,151	(233,678)
交易对手方缴存的现金抵押品（减少）增加	(8,373)	18,424
投资活动所用净现金	(10,491,828)	(5,701,063)
融资活动：
回购协议项下借款	202,745,025	97,331,308
偿还回购协议借款	(192,458,980)	(92,140,906)
发行优先股所得款项	115,750	—
发行普通股所得款项	1,101,051	775,946
支付的股票发行费用	(255)	(157)
与股权激励薪酬预扣税款相关的付款	(4,615)	(1,622)
支付的股息	(344,214)	(167,755)
融资活动提供的净现金	11,153,762	5,796,814

现金净增加额，包括向交易对手方缴存的现金	897,357	202,268
期初现金（包括向交易对手方缴存的现金抵押品）	930,387	621,539
期末现金（包括向交易对手方缴存的现金抵押品）	$1,827,744	$823,807

现金活动补充披露：
支付的回购协议利息	$576,082	$219,768


非现金投资活动：
待结算投资应付款	$382,711	$263,179

请参阅未经审计合并财务报表附注。

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

附注 1 – 组织及重大会计政策概要

组织

Dynex Capital, Inc.（“Dynex”或“公司”）是一家房地产投资信托基金（“REIT”），其架构旨在

向股东派发股息，资金来源为投资于抵押资产所产生的长期回报；这些资产由

美国住房和商业房地产支持。公司的普通股和优先股在纽约

证券交易所（“NYSE”）交易。公司的普通股股票代码为“DX”，其 6.900%

C系列固定至浮动利率累积可赎回优先股（“C系列优先股”）以及

9.375% D系列固定利率累积可赎回优先股（“D系列优先股”）的交易代码为

“DXPRC”和“DXPRD”。

公司实行内部管理，主要通过投资于住宅和

商业抵押贷款支持证券（分别简称“RMBS”和“CMBS”）获得收入；此类证券由住宅和

商业抵押贷款支持，其中主要是由美国政府支持企业（“GSE”）担保的机构证券。

公司也可能投资于符合其目标的其他抵押贷款相关资产。

Dynex 积极管理利率、提前还款、利差、流动性和交易对手方风险。Dynex 的方法

强调风险管理和审慎的资本配置，旨在保全账面价值并提供支持

dividends across market cycles.

Basis of Presentation

The accompanying unaudited consolidated financial statements of the Company and its subsidiaries

(together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally

accepted accounting principles (“GAAP”) for interim financial information and with the instructions to Form 10-Q

and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the

“SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial

statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals,

considered necessary for a fair statement of results for the interim period have been included. All intercompany

accounts and transactions have been eliminated in consolidation. Operating results for the three and nine months

ended September 30, 2026 are not necessarily indicative of the results that may be expected for any other interim

periods or for the entire year ending December 31, 2026. The unaudited consolidated financial statements included

herein should be read in conjunction with the audited financial statements and notes thereto included in the

Company’s Annual Report on Form 10-K for the year ended December 31, 2025 (the “2025 Form 10-K”) filed with

the SEC.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates

and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and

liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the

reported period. Actual results could differ from those estimates. The most significant estimate used by management

relates to the fair value measurement of its investments, including TBA securities accounted for as derivative

instruments, which is discussed further below within this note to the consolidated financial statements. The

Company believes the estimates and assumptions underlying the consolidated financial statements included herein

are reasonable and supportable based on the information available as of September 30, 2026.

Consolidation and Variable Interest Entities

The consolidated financial statements include the accounts of the Company and the accounts of its majority

owned subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation.

截至 2026 年 9 月 30 日，公司未合并任何可变利益实体（“VIE”）。公司

如果公司被认定为 VIE 的主要受益人，则会合并该 VIE。主要受益人是指

同时具备以下条件的一方：(i) 有权控制对 VIE 财务

业绩影响最大的活动；以及 (ii) 有权获得可能对 VIE 具有重大影响的利益，或承担可能对 VIE 具有重大影响的损失。

公司会根据与 VIE 相关的事实和情况变化，持续重新评估是否应合并 VIE。

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

尽管公司投资于 Agency 和非 Agency MBS，

这些证券通常被视为 VIE 权益，但公司不合并这些实体，因为

公司不符合被认定为主要受益人的标准。这些 VIE 的最大损失敞口为其

MBS 账面价值。

所得税

公司已选择根据 1986 年《国内税收法》（“税法”）

及相应州法律规定按 REIT 纳税。要符合 REIT 资格，公司必须满足特定的资产、收入、

所有权和分配测试。为满足这些要求，公司的主要收入来源是

来自以不动产抵押的债权的利息，且公司必须向股东分配至少 90% 的

年度 REIT 应税收入。通常，公司将收入作为股息分配给股东的部分无需缴纳联邦所得

税。

公司会评估所有未结税务年度的税务立场，并确定公司是否存在任何

重大未确认负债；对于被认定为很可能已经发生的负债，公司会予以记录。

普通股每股净收益（亏损）

公司通过将该期间归属于普通股股东的净收益（亏损）除以该期间普通股加权平均

流通股数，计算普通股每股基本净收益（亏损）。

公司在所列期间普通股每股基本及摊薄净收益（亏损）的计算，请参见附注 2。

公司目前已发行且尚未结清的股票包括限制性股票、基于服务的限制性股票单位（“RSU”）以及

基于业绩的股票单位（“PSU”）。根据公司 2020 年股票与激励计划（“2020 计划”）发行的限制性股票奖励被视为参与证券，因此

采用两类法计入普通股每股基本净收益的计算，因为持有人

unvested shares of restricted stock issued are eligible to receive non-forfeitable dividends. Holders of RSUs and

PSUs issued under the 2020 Plan as well as the Company’s 2025 Stock and Incentive Plan (the “2025 Plan”) accrue

forfeitable dividend equivalent rights (\"DERs\") over the period outstanding, receiving dividend payments only upon

the settlement date if the requisite service-based and performance-based conditions have been achieved, as

applicable. As such, RSUs and PSUs are excluded from the computation of basic net income per common share but

are included in the computation of diluted net income per common share using the treasury stock method unless the

effect is to reduce a net loss or increase the net income per common share (also known as “anti-dilutive”). Upon

vesting, restrictions on transfer expire on each share of restricted stock, RSU, and PSU, and each such share or unit

becomes one unrestricted share of common stock and is included in the computation of basic net income per

common share.

Because the Company’s Series C Preferred Stock and Series D Preferred Stock are redeemable at the

Company’s option for cash only and convertible into shares of common stock only upon a change of control of the

Company (and subject to other circumstances) as described in Articles IIIC and IIID of the Company’s Restated

Articles of Incorporation, as amended, the effect of those shares and their related dividends is excluded from the

calculation of diluted net income per common share for the periods presented.

Cash and Cash Equivalents

Cash and cash equivalents include unrestricted demand deposits at highly rated financial institutions and

highly liquid investments with original maturities of three months or less. The Company’s cash balances fluctuate

throughout the year and may exceed Federal Deposit Insurance Corporation (“FDIC”) insured limits from time to

time. Although the Company bears risk on amounts in excess of those insured by the FDIC, the Company believes

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

the risk of loss is mitigated by the financial position, creditworthiness, and strength of the depository institutions in

which those deposits are held.

Cash Collateral Posted To/By Counterparties

The Company regularly pledges and receives amounts to cover margin requirements related to the

Company’s financing and derivative instruments. If the amount pledged to a counterparty exceeds the amount

received from a counterparty, the net amount is recorded as an asset within “cash collateral posted to

counterparties,” and if the amount received from a counterparty exceeds the amount pledged to a counterparty, the

net amount is recorded as a liability within “cash collateral posted by counterparties” on the Company’s

consolidated balance sheets.

The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the

Company's consolidated balance sheet as of September 30, 2026 presented herein that sum to the total of the same

such amounts shown on the Company’s consolidated statement of cash flows for the nine months ended

September 30, 2026:


($s in thousands)	September 30, 2026
Cash and cash equivalents	$993,008
Cash collateral posted to counterparties	834,736
Total cash including cash posted to counterparties shown on consolidated statement of cash flows	$1,827,744

Mortgage-Backed Securities

The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. Changes in

fair value of MBS purchased prior to January 1, 2021 are designated as available-for-sale (“AFS”) with changes in

fair value reported in other comprehensive income (“OCI”) as an unrealized gain (loss) until the security is sold or

matures. Effective January 1, 2021, the Company elected the fair value option (“FVO”) for all MBS purchased on or

after that date with changes in fair value reported in net income as “unrealized gain (loss) on investments, net” until

the security is sold or matures. Management elected the fair value option so that net income will reflect the changes

in fair value for its future purchases of MBS in a manner consistent with the presentation and timing of the changes

in fair value of its derivative instruments. Upon the sale of an MBS, any unrealized gain or loss within OCI or net

income is reclassified to “realized gain (loss) on sale of investments, net” within net income using the specific

identification method.

Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based

on the outstanding principal balance (or notional balance in the case of IO securities) and the contractual

terms. Premiums or discounts associated with the purchase of MBS are amortized or accreted into interest income

over the life of such securities using the effective interest method, and adjustments to premium amortization and

discount accretion are made for actual cash payments received. On at least a quarterly basis, the Company reviews

and makes any necessary adjustments to its cash flows and updates the yield recognized on these assets.

Determination of MBS Fair Value. The Company estimates the fair value of the majority of its MBS based

upon prices obtained from an independent third-party pricing service. These prices are assessed for reasonableness

using additional third-party pricing services. Please refer to Note 6 for further discussion of MBS fair value

measurements.

Allowance for Credit Losses. On at least a quarterly basis, the Company evaluates any MBS designated as

AFS with a fair value less than its amortized cost for credit losses. If the difference between the present value of

cash flows expected to be collected on the MBS is less than its amortized cost, the difference is recorded as an

allowance for credit loss through net income up to and not exceeding the amount that the amortized cost exceeds

current fair value. Subsequent changes in credit loss estimates are recognized in earnings in the period in which they

occur. Because the majority of the Company’s investments are higher credit quality and most are guaranteed by a

GSE, the Company has not recorded an allowance for credit losses related to its MBS recorded on its consolidated

balance sheet.

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Interest accrued between payment dates on MBS is presented separately from the Company’s investment

portfolio as “accrued interest receivable” on its consolidated balance sheet. The Company does not estimate an

allowance for credit loss for its accrued interest receivable because the interest is generally received within 30 days

and amounts not received when due are written off against interest income.

Repurchase Agreements

The Company’s repurchase agreements are used to finance its purchases of MBS. The Company pledges its

securities as collateral to secure a loan, which is equal to a specified percentage of the estimated fair value of the

pledged collateral. The Company retains beneficial ownership of the pledged collateral. Pursuant to Accounting

Standards Codification (“ASC”) Topic 860, the Company accounts for repurchase agreements as collateralized

financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. The interest rates

the Company pays for these borrowings are based on a spread added to the Secured Overnight Financing Rate

(“SOFR”). At the maturity of a repurchase agreement borrowing, the Company is required to repay the loan and

concurrently receives back its pledged collateral from the lender, or, with the consent of the lender, the Company

may renew the agreement at the then prevailing financing rate. A repurchase agreement lender may require the

Company to pledge additional collateral in the event of a decline in the fair value of the collateral

pledged. Repurchase agreement financing is recourse to the Company and the assets pledged. The repurchase

facilities available to the Company are uncommitted with no guarantee of renewal.

Derivative Instruments

Derivative instruments are carried at fair value, and all periodic interest benefits/costs and changes in the

fair value of derivative instruments, including gains and losses realized upon termination, maturity, or settlement,

are recorded in “gain (loss) on derivative instruments, net” on the Company’s consolidated statements of

comprehensive income (loss). Cash receipts and payments related to derivative instruments are classified in the

investing activities section of the consolidated statements of cash flows in accordance with the underlying nature or

purpose of the derivative transactions.

The Company’s U.S. Treasury futures contracts are centrally cleared through the Chicago Mercantile

Exchange (“CME”), which requires the Company to post initial margin as determined by the CME. Daily variation

margin is exchanged, typically in cash, for the changes in the fair value of the futures contracts, which is treated as

legal settlement of the exposure under the related futures contracts as opposed to a pledge of collateral. The effect of

these legal settlements reduces what would have otherwise been reported as the fair value of the futures contracts,

generally to $0. The margin requirement varies based on the market value of the open positions and the equity

retained in the account. Any margin excess or deficit outstanding is recorded as a receivable or payable within “due

from/to counterparties” as of the date of the Company’s consolidated balance sheets. The Company realizes gains or

losses on these contracts upon expiration at an amount equal to the difference between the current fair value of the

underlying asset and the contractual price of the futures contract.

The Company’s interest rate swaps are pay-fixed, which involve the receipt of variable-rate amounts based

on SOFR from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest

rate swap without exchange of the underlying notional amount. The net periodic interest benefit (cost) is recorded in

the period earned (incurred) in “gain (loss) on derivative instruments, net”, but the net receipt (payment) of cash is

exchanged annually, typically on the anniversary of each agreement’s effective date. Similar to the Company’s U.S.

Treasury futures, interest rate swap agreements are centrally cleared through the CME with requirements to post

initial margin and to exchange daily variation margin amounts, which are treated as legal settlements of the

agreements. Any margin excess or deficit outstanding is recorded as a receivable or payable within “due from/to

counterparties” as of the date of the Company’s consolidated balance sheets.

The Company’s interest rate swaptions are SOFR-based and provide the Company the right, but not the

obligation, to enter into an interest rate swap at a predetermined notional amount with a stated term and pay and

receive rates in the future. These agreements are entered into directly with a counterparty (a “bilateral contract”)

with whom we may exchange margin collateral. Because these agreements are not centrally cleared, the Company

has exposure to counterparty risk. The Company records the premium it will pay for the swaption as a derivative

asset on its consolidated balance sheet and adjusts the balance for changes in fair value through “gain (loss) on

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

derivative instruments” until the swaption is exercised or the contract expires. If the swaption expires unexercised,

the realized loss is limited to the premium paid. If exercised, the realized gain or loss on the swaptions is equal to the

difference between the fair value of the underlying interest rate swap and the premium paid.

The Company may also use options on U.S. Treasury futures, which are initially recorded at the price of the

premium paid at inception. Subsequent changes in fair value are recorded in “gain (loss) on derivative instruments”

until the option is exercised or the contract expires. If the option expires unexercised, the realized loss is limited to

the premium paid at inception. If exercised, the realized gain or loss on the option is equal to the difference between

the fair value of the underlying U.S. Treasury future and the premium paid at inception.

The Company purchases to-be-announced (“TBA”) securities as a means of investing in non-specified

fixed-rate Agency RMBS and may also periodically sell TBA securities as a means of economically hedging its

exposure to Agency RMBS. A TBA security is a forward contract (“TBA contract”) for the purchase (“long

position”) or sale (“short position”) of a non-specified Agency MBS at a predetermined price with certain principal

and interest terms and certain types of collateral, but the particular Agency securities to be delivered are not

identified until shortly before the settlement date. The Company accounts for long and short positions in Agency

RMBS TBAs as derivative instruments in accordance with ASC 815 when the Company cannot assert that it is

probable at inception and throughout the term of an individual TBA transaction that its settlement will result in

physical delivery of the underlying Agency RMBS or that the individual TBA transaction will settle in the shortest

time period possible.

Please refer to Note 5 for additional information regarding the Company’s derivative instruments as well as

Note 6 for information on how the fair value of these instruments is calculated.

Share-Based Compensation

The Company’s 2025 Plan reserves for issuance up to 12,000,000 common shares for eligible employees,

non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options,

restricted stock, RSUs, stock appreciation rights, PSUs, and performance-based cash awards (collectively,

“awards”). Awards previously granted under the 2020 Plan will remain outstanding and valid in accordance with

their terms, but no new awards will be granted under the 2020 Plan. As of September 30, 2026, there were 9,455,437

common shares remaining available for issuance under the 2025 Plan.

The Company has issued restricted stock and RSUs that remain outstanding, which are treated as equity

awards and recorded at their fair value using the closing stock price on the grant date. Compensation expense is

generally recognized over a service period specified within each award with a corresponding credit to shareholders’

equity using the straight-line method until the vesting date specified within each award or until the employee

becomes eligible for retirement, if earlier than the vesting date. Compensation expense is recognized immediately

upon the grant date for equity awards granted to an employee who is retirement eligible.

The Company also has issued PSUs that remain outstanding, which are treated as equity awards. The fair

value of PSUs that are subject to Company performance-based conditions is measured using the closing stock price

on the grant date multiplied by the number of units expected to vest based on an assessment of the probability of

achievement of the Company performance-based conditions as of the grant date. The grant date fair value is

recognized as expense using the straight-line method until the earlier of the vesting date specified within each award

or the date the employee becomes eligible for retirement. Adjustments are made, if necessary, based on any change

in probability of achievement which is re-assessed as of each reporting date and on at least a quarterly basis. The

Company does not have any PSUs outstanding with market-based performance conditions.

The Company does not estimate forfeitures for any of its share-based compensation awards but adjusts for

actual forfeitures in the periods in which they occur. Because RSUs and PSUs have forfeitable DERs, which are paid

in cash only upon settlement, any accrued DERs on forfeited units are reversed with a corresponding credit to

“薪酬和福利”费用。

有关公司基于股份的薪酬奖励的更多信息，请参见附注 7。

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

或有事项

公司可能不时涉及因其日常

业务过程中产生的各种索赔和法律诉讼。管理层认为，截至 2026年9月30日和 2025年12月31日，公司没有任何重大未决诉讼、

索赔或其他或有事项。

近期发布的会计公告

公司至少每季度评估财务会计准则委员会发布的会计准则更新（“ASU”），以评估其适用性以及对财务状况和经营业绩影响的重大程度。

公司没有尚未生效且预计在采纳后会对我们的合并财务报表产生重大影响的

新会计公告。

附注 2 – 普通股每股净收益（亏损）

有关公司在计算普通股每股基本及摊薄净收益或亏损时对优先股和股票附注 1的处理方式，请参见

奖励的相关信息；有关所列期间公司股票奖励活动的信息，请参见附注 7。

下表列示了所示期间普通股每股基本及摊薄净收益或亏损的计算：

所示期间普通股每股基本及摊薄净收益或亏损的计算：


	截至三个月	截至九个月
	9月30日	9月30日
（金额为千美元）	2026	2025	2026	2025
普通股加权平均在外流通股数 —基本	251,842,414	135,952,339	224,905,226	113,373,853
增量普通股—未归属RSU	—	274,356	—	226,232
增量普通股—未归属PSU	—	701,290	—	602,317
普通股加权平均在外流通股数 —摊薄	251,842,414	136,927,985	224,905,226	114,202,402

普通股股东净（亏损）收益	$(338,305)	$147,561	$(243,182)	$126,276
普通股每股净（亏损）收益—基本	$(1.34)	$1.09	$(1.08)	$1.11
普通股每股净（亏损）收益—摊薄	$(1.34)	$1.08	$(1.08)	$1.11

截至9月30日的三个月和九个月摊薄每股净亏损的计算

2026年未计入未归属RSU和PSU，数量分别为 1,110,881 和 1,041,255，因为这些期间计入后将产生反摊薄作用。

这些期间将产生反摊薄作用。

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

附注 3 – 抵押贷款支持证券

下表按投资类型列示公司截至所示日期持有的MBS详情：


	2026年9月30日
（金额为千美元）	机构RMBS	机构CMBS	CMBS IO (1)	总计
按公允价值计量且变动计入净收益：
摊余成本	$25,395,940	$1,463,036	$26,756	$26,885,732
未实现收益总额	1,032	—	2	1,034
未实现损失总额	(1,524,574)	(74,724)	(1,618)	(1,600,916)
以公允价值计量且变动计入净收益	$23,872,398	$1,388,312	$25,140	$25,285,850

按公允价值计量且变动计入其他综合收益：
摊余成本	$703,607	$43,738	$44,015	$791,360
未实现收益总额	—	—	2,117	2,117
未实现损失总额	(161,530)	(3,016)	(2,174)	(166,720)
以公允价值计量且变动计入其他综合收益	$542,077	$40,722	$43,958	$626,757

总计	$24,414,475	$1,429,034	$69,098	$25,912,607

	2025年12月31日
	机构RMBS	机构CMBS	CMBS IO (1)	总计
按公允价值计量且变动计入净收益：
摊余成本	$14,233,682	$1,165,674	$30,680	$15,430,036
未实现收益总额	236,304	8,293	20	244,617
未实现损失总额	(99,899)	(995)	(1,147)	(102,041)
以公允价值计量且变动计入净收益	$14,370,087	$1,172,972	$29,553	$15,572,612

按公允价值计量且变动计入其他综合收益：
摊余成本	$757,127	$47,433	$56,877	$861,437
未实现收益总额	—	25	2,620	2,645
未实现损失总额	(125,854)	(2,087)	(1,765)	(129,706)
以公允价值计量且变动计入其他综合收益	$631,273	$45,371	$57,732	$734,376

总计	$15,001,360	$1,218,343	$87,285	$16,306,988

(1) 截至 $4.8 billion，本公司持有的CMBS IO名义余额为 2026年9月30日，截至 $6.0 billion，以及截至 2025年12月31日。

本公司的大部分MBS均已质押，作为本公司回购协议的抵押品，

相关信息披露于附注4。MBS的实际到期日受基础

抵押贷款的合同期限、计划还款及本金的非计划提前偿还，以及证券的偿付优先级

结构影响；因此，实际到期日通常早于证券所载的合同

到期日。

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

下表列示了相关期间本公司综合收益（亏损）合并报表中确认的

投资未实现收益和损失信息：

如下：


	截至三个月	截至九个月
	9月30日，	9月30日，
（金额单位：千美元）	2026	2025	2026	2025
机构RMBS	$(1,397,829)	$139,842	$(1,659,947)	$278,204
机构CMBS	(66,833)	2,410	(82,022)	6,785
CMBS IO	(389)	223	(489)	1,148
其他投资	4	(6)	(22)	(19)
投资未实现（损失）收益净额	$(1,465,047)	$142,469	$(1,742,480)	$286,118

下表列示了相关期间本公司综合收益（亏损）合并报表中确认的MBS出售

已实现收益和损失信息：


	截至三个月	截至九个月
	9月30日，	9月30日，
（金额单位：千美元）	2026	2025	2026	2025
出售MBS的已实现收益——FVO	$—	$—	$8,721	$—
出售MBS的已实现损失——FVO	(544)	—	(544)	—
出售投资的已实现（损失）收益总额，净额	$(544)	$—	$8,177	$—

下表列示了截至指定日期，处于未实现亏损状态的指定为可供出售的MBS的若干信息

：


	2026年9月30日	2025年12月31日
（金额单位：千美元）	公允价值	未实现损失总额	数量证券	公允价值	未实现亏损总额	证券数量
持续未实现亏损头寸不足 12 个月：
机构 MBS	$4,443	$(111)	4	$730	$(1)	2
非机构 MBS	834	(5)	1	208	(22)	3

持续未实现亏损头寸达 12 个月或更长时间：
机构 MBS	$618,036	$(166,604)	50	$721,536	$(129,658)	56
非机构 MBS	—	—	—	752	(25)	3

截至2026年9月30日和

2025年12月31日，公司指定为可供出售（AFS）的 MBS 未实现亏损头寸，是由于与购买时相比，利率上升且相对于美国国债的利差扩大所致。

未实现亏损头寸并非与信用有关；因此，公司未计提任何

截至2026年9月30日或2025年12月31日的信用损失准备。公司有能力且有意

持有任何未实现亏损的 MBS，直至其价值恢复。此项评估依据未实现

亏损金额及相关投资的重要性，以及公司的杠杆和流动性

状况。此外，对于不受 GSE 担保的非机构 MBS，公司会审查信用

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

评级、为这些证券提供抵押的抵押贷款的信用特征，以及包括预计抵押品

损失在内的估计未来现金流。

附注 4 – 回购协议

截至2026年9月30日和2025年12月31日，公司未偿还的回购协议如下：

汇总如下表：


	2026年9月30日	2025年12月31日
抵押品类型	余额	加权平均利率	抵押品公允价值的抵押品已质押 (1)	余额	加权平均利率	抵押品公允价值的抵押品已质押 (1)
（金额单位：千美元）
机构RMBS	$22,756,369	3.91%	$23,782,830	$12,857,827	4.09%	$13,496,489
机构CMBS	1,370,224	3.92%	1,390,727	967,024	4.07%	1,012,532
机构CMBS IO	63,683	4.24%	65,784	77,057	4.41%	81,913
非机构CMBS IO	—	—%	—	2,323	4.72%	2,536
总计	$24,190,276	3.91%	$25,239,341	$13,904,231	4.10%	$14,593,470

(1) 披露的已质押抵押品公允价值金额包括为满足追加保证金要求而质押的金额，其抵押品类型可能与初始质押的

抵押品类型不同。已质押。

截至2026年9月30日，本公司在任何单一交易对手处的风险敞口均未超过10%。

下表列示了本公司回购协议的剩余到期期限和原始到期期限信息

截至所示日期：


	September 30, 2026	2025年12月31日
剩余期限至到期日	余额	加权平均利率	加权平均原始期限至到期日	余额	加权平均利率	加权平均原始期限至到期日
（金额单位：千美元）
少于30天	$10,662,438	3.88%	79	$9,146,566	4.11%	75
30至90天	12,563,547	3.93%	88	4,757,665	4.07%	94
91至180天	964,291	4.00%	179	—	—%	—
总计	$24,190,276	3.91%	87	$13,904,231	4.10%	81

截至$137

百万，该金额截至2026年9月30日，高于截至9500万美元的2025年12月31日金额。

根据与各交易对手签订的主回购协议，公司交易对手

要求公司遵守各种惯常的运营和财务契约，包括但不限于

最低净资产、特定期间内净资产最大降幅以及最高杠杆要求，

并维持公司的REIT身份。此外，部分协议包含交叉违约条款，

即公司与一位贷款方签订的协议发生违约，会同时导致其与其他

贷款方签订的协议发生违约。如果公司未能遵守这些融资协议中所载的契约

或根据此类协议条款被认定为违约，交易对手有权要求

主回购协议项下到期款项提前偿付。本公司认为，截至

2026年9月30日，对于存在未偿金额的主回购协议，本公司完全遵守了所有。

本公司的回购协议受主净额结算协议或类似

安排约束，该等安排规定，在任何一方违约或破产时享有抵销权

DYNEX CAPITAL, INC.

合并财务报表附注

（未经审计）

交易方。对于受此类安排约束的回购协议，本公司按总额列报。

下表列示了本公司截至

2026年9月30日和2025年12月31日回购协议按净额列报时的信息：


（金额为千美元）	已确认负债总额已确认负债		抵销总额金额抵销额资产负债表中	列报的负债净额列报于资产负债表中	资产负债表中未抵销总额（1）	净额金额
金融工具作为保证金提交抵押品		提交的现金作为抵押品
September 30, 2026:
Repurchase agreements	$24,190,276		$—	$24,190,276	$(24,190,276)	$—	$—

December 31, 2025:
Repurchase agreements	$13,904,231		$—	$13,904,231	$(13,904,231)	$—	$—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to

and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the

total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the

consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and

repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral, which is

disclosed as “cash collateral posted to/by counterparties.”

Please see Note 5 for information related to the Company’s derivatives, which are also subject to

underlying agreements with master netting or similar arrangements.

NOTE 5 – DERIVATIVES

Types and Uses of Derivative Instruments

Interest Rate Derivatives. The Company frequently changes the type of derivative instruments it uses to

mitigate the impact of changing interest rates on its repurchase agreement financing costs and the fair value of its

investments. Please refer to Note 1 for descriptions of these instruments and how the Company accounts for them.

TBA Transactions. The Company purchases TBA securities as a means of investing in non-specified fixed-

rate Agency RMBS and may also periodically sell TBA securities as a means of economically hedging its exposure

to Agency RMBS. Please refer to Note 1 for more information about these securities.

The table below provides detail of the Company’s gains and losses by type of derivative instrument for the

periods indicated:


	Three Months Ended	Nine Months Ended
	September 30,	September 30,
Type of Derivative Instrument	2026	2025	2026	2025
($s in thousands)
U.S. Treasury futures	$377,310	$(20,423)	$429,186	$(58,451)
Interest rate swaps	790,517	(16,055)	1,012,587	(204,985)
Interest rate swaptions	(2,581)	(1,279)	(7,190)	(286)
Options on U.S. Treasury futures	743	(508)	(1,914)	(508)
TBA securities	(124,902)	27,571	(158,010)	77,355
Gain (loss) on derivative instruments, net	$1,041,087	$(10,694)	$1,274,659	$(186,875)

The table below provides the carrying amount by type of derivative instrument comprising the Company’s

derivative assets and liabilities on its consolidated balance sheets as of the dates indicated:

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


Type of Derivative Instrument	Balance Sheet Location	Purpose	September 30, 2026	December 31, 2025
($s in thousands)
Options on U.S. Treasury futures	Derivative assets	Economic hedging	$—	$2,657
TBA securities	Derivative assets	Investing	—	7,841
Total derivatives assets			$—	$10,498

Interest rate swaptions	Derivative liabilities	Economic hedging	$11,236	$4,045
TBA securities	Derivative liabilities	Investing	78,100	785
Total derivatives liabilities			$89,336	$4,830

The Company’s U.S. Treasury futures and interest rate swaps have a carrying value of $0 on the

Company’s consolidated balance sheets because the daily margin exchanged for these instruments is considered

legal settlement of the derivatives as opposed to a pledge of collateral. The Company’s U.S. Treasury futures,

excluding the recognition of variation margin settlements, were in a net asset position of $240 million as of

September 30, 2026 and a net asset position of $22 million as of December 31, 2025, and its interest rate swaps were

in a net asset position of $947 million as of September 30, 2026 and net liability position of $(46) million as of

December 31, 2025. The amount of cash posted by the Company to cover required initial margin for its U.S.

Treasury futures and its interest rate swaps was $737 million as of September 30, 2026 and $392 million as of

December 31, 2025, which was recorded within “cash collateral posted to counterparties.” The Company had a

margin receivable of $52 million as of September 30, 2026 and $17 million as of December 31, 2025 recorded

within “due from counterparties.”

The table below presents information regarding the Company’s short positions in SOFR-based interest rate

swaps held as of the dates indicated:


	September 30, 2026	December 31, 2025
Pay Fixed Interest Rate Swaps - Years to Maturity	Notional Amount	Weighted Average Pay Fixed Rate	Notional Amount	Weighted Average Pay Fixed Rate
($s in thousands)
1-3 years	$1,925,000	3.63%	$—	—%
3-5 years	4,080,000	3.63%	2,450,000	3.42%
5-7 years	4,820,000	3.85%	4,070,000	3.66%
7-10 years	5,845,000	3.93%	3,090,000	3.87%
10-15 years	142,000	4.79%	75,000	3.77%
15-20 years	785,000	4.39%	—	—%
	$17,597,000	3.83%	$9,685,000	3.66%

The table below presents information regarding the short positions in U.S. Treasury futures held as of the

dates indicated:

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


U.S. Treasury Futures	September 30, 2026	December 31, 2025
($s in thousands)
5-year U.S. Treasury futures	$(650,000)	$(30,000)
10-year U.S. Treasury futures	(2,893,700)	(1,475,000)
30-year U.S. Treasury futures	(3,132,800)	(1,153,500)
	$(6,676,500)	$(2,658,500)

The table below presents information regarding the long positions in SOFR-based interest rate swaptions

and options on U.S. Treasury futures held by the Company as of the dates indicated:


	Option	Underlying Financial Instrument
($s in thousands)	Cost (1)	Fair Value	Carrying Value (1)	Notional Amount	Average Fixed Receive Rate	Type of Instrument
As of September 30, 2026:
Interest rate swaptions	$11,725	$489	$(11,236)	$750,000	3.25%	5 year SOFR- based swap
Options on U.S. Treasury futures	—	—	—	—	n/a	10-year U.S. Treasury future

As of December 31, 2025:
Interest rate swaptions	$11,725	$7,680	$(4,045)	$750,000	3.25%	5 year SOFR- based swap
Options on U.S. Treasury futures	3,981	2,657	2,657	500,000	n/a	10-year U.S. Treasury future

(1)The Company pays the premium for its interest rate swaptions at the end of the option period, so the carrying value on the

Company's consolidated balance sheets is fair value, net of the payable for the unpaid premium as of the periods indicated.

The Company pays the premium for its options on U.S. Treasury futures at inception, so the carrying value is equal to the

fair value as of the periods indicated.

The following table summarizes information about the notional amounts of the Company's long positions in

TBA securities as of the dates indicated:


TBA securities	September 30, 2026	December 31, 2025
($s in thousands)
Implied market value (1)	$2,417,275	$3,121,122
Implied cost basis (2)	2,495,375	3,114,066
Net carrying value (3)	$(78,100)	$7,056

(1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated.

(2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.

(3) Net carrying value represents the difference between the implied market value and the implied cost basis of the Company’s

TBA securities as of the dates indicated. The total shown is the net amount included on the consolidated balance sheets as

derivative assets of $— and derivative liabilities of $78,100 as of September 30, 2026 and $7,841 and $785, respectively, as

of December 31, 2025.

Volume of Activity

The table below summarizes changes in the Company’s derivative instruments for the nine months ended

September 30, 2026:

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


Type of Derivative Instrument	Beginning Notional Amount	Additions	Settlements, Terminations, or Pair-Offs	Ending Notional Amount
($s in thousands)
Short positions:
U.S. Treasury futures	$(2,658,500)	$(30,585,500)	$26,567,500	$(6,676,500)
Pay-fixed interest rate swaps	9,685,000	8,892,000	(980,000)	17,597,000
Long positions:
Interest rate swaptions	750,000	—	—	750,000
Options on U.S. Treasury futures	500,000	887,600	(1,387,600)	—
TBA securities	3,189,000	33,500,000	(34,126,000)	2,563,000

Offsetting

The Company's derivatives are subject to underlying agreements with master netting or similar

arrangements, which provide for the right of set off in the event of default or in the event of bankruptcy of either

party to the transactions. The Company reports its derivative assets and liabilities subject to these arrangements on a

gross basis. Please see Note 4 for information related to the Company’s repurchase agreements, which are also

subject to underlying agreements with master netting or similar arrangements. The following tables present

information regarding those derivative assets and liabilities subject to such arrangements as if the Company had

presented them on a net basis as of September 30, 2026 and December 31, 2025:


	Offsetting of Assets
($s in thousands)	Gross Amount of Recognized Assets		Gross Amount Offset in the Balance Sheet	Net Amount of Assets Presented in the Balance Sheet	Gross Amount Not Offset in the Balance Sheet (1)	Net Amount
Financial Instruments Received as Collateral		Cash Received as Collateral
September 30, 2026
Options on U.S. Treasury futures	$—		$—	$—	$—	$—	$—
TBA securities	—		—	—	—	—	—
Derivative assets	$—		$—	$—	$—	$—	$—
December 31, 2025
Options on U.S. Treasury futures	$2,657		$—	$2,657	$—	$—	$2,657
TBA securities	7,841		—	7,841	(689)	(6,333)	819
Derivative assets	$10,498		$—	$10,498	$(689)	$(6,333)	$3,476

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	Offsetting of Liabilities
($s in thousands)	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet	Net Amount of Liabilities Presented in the Balance Sheet	Gross Amount Not Offset in the Balance Sheet (1)	Net Amount
Financial Instruments Posted as Collateral		Cash Posted as Collateral
September 30, 2026
Interest rate swaptions	$11,236		$—	$11,236	$—	$—	$11,236
TBA securities	78,100		—	78,100	—	(75,391)	2,709
Derivative liabilities	$89,336		$—	$89,336	$—	$(75,391)	$13,945

December 31, 2025
Interest rate swaptions	$4,045		$—	$4,045	$—	$—	$4,045
TBA securities	785		—	785	(689)	(96)	—
Derivative liabilities	$4,830		$—	$4,830	$(689)	$(96)	$4,045

(1)Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up

to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the

total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the

consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and

repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is

disclosed as “cash collateral posted to/by counterparties.”

NOTE 6 – FAIR VALUE OF FINANCIAL INSTRUMENTS

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an

orderly transaction between market participants at the measurement date. Fair value is based on the assumptions

market participants would use when pricing an asset or liability and also considers all aspects of nonperformance

risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC Topic 820 established

a valuation hierarchy of three levels as follows:

•Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of

the measurement date.

•Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in

inactive markets for identical or similar assets or liabilities; or inputs either directly observable or

indirectly observable through correlation with market data at the measurement date and for the duration

of the instrument’s anticipated life.

•Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs

represent management’s best estimate of how market participants would price the asset or liability at

the measurement date. Consideration is given to the risk inherent in the valuation technique and the

risk inherent in the inputs to the model.

The following table presents the Company’s financial instruments that are measured at fair value on the

Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated:

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


($s in thousands)	September 30, 2026		December 31, 2025
Total		Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3
Assets:
MBS	$25,912,607		$—		$25,912,607		$—		$16,306,988		$—		$16,306,988		$—
TBA securities (1)	—		—		—		—		7,841		—		7,841		—
Option on U.S. Treasury futures	—		—		—		—		2,657		2,657		—		—
Mortgage loans (2)	510		—		—		510		618		—		—		618
Total	$25,913,117		$—		$25,912,607		$510		$16,318,104		$2,657		$16,314,829		$618

Liabilities:
TBA securities (1)	$78,100		$—		$78,100		$—		$785		$—		$785		$—
Interest rate swaptions (3)	11,236		—		11,236		—		4,045		—		4,045		—
Total	$89,336		$—		$89,336		$—		$4,830		$—		$4,830		$—

(1)TBA securities are reflected on the consolidated balance sheet as derivative assets or liabilities at their implied fair value,

net of implied cost basis. Please refer to Note 5 for additional information.

(2)Mortgage loans are included on the consolidated balance sheets as a component of other assets.

(3)Interest rate swaptions are reflected on the consolidated balance sheet as derivative assets or liabilities at their fair value,

net of cost. Please refer to Note 5 for additional information.

The fair value measurements for the Company’s TBA securities and its MBS are considered Level 2

because there are substantially similar securities actively trading or for which there has been recent trading activity

in their respective markets. Fair value for Agency MBS and TBA securities is based on prices received from an

independent third-party pricing service. In valuing a security, the pricing service primarily uses a market approach,

which uses observable prices and other relevant information that is generated by market transactions of identical or

similar securities, but may use an income approach, which uses valuation techniques such as discounted cash flow

modeling. Examples of the observable inputs and assumptions used in the valuation techniques include market

interest rates, credit spreads, and projected prepayment speeds, among other things. The Company reviews the prices

it receives from the pricing service for reasonableness using other third-party pricing services. If the fair value of a

security is not available from a third-party pricing service, the Company may estimate the fair value of the security

through a variety of methods using observable market data.

The Company's mortgage loans held for investment are single-family mortgage loans, which were

originated or purchased by the Company prior to 2000, and for which the Company has elected the fair value option.

The fair value measurements for these mortgage loans are considered Level 3 because there has been no recent

trading activity of similar instruments upon which their fair value can be measured. The fair value for these Level 3

assets is measured by discounting the estimated future cash flows derived from cash flow models using certain

inputs such as the security’s credit rating, coupon rate, estimated prepayment speeds, expected weighted average

life, collateral composition, and expected credit losses as well as certain other relevant information. The Company

used a constant prepayment rate assumption of 10%, default rate of 2%, loss severity of 20%, and a discount rate of

10% in measuring the fair value of its Level 3 assets as of September 30, 2026 and as of December 31, 2025.

The Company’s U.S. Treasury futures contracts are valued based on exchange pricing and are classified

accordingly as Level 1 measurements. Interest rate swaps are valued using the daily settlement price, or fair value,

determined by the clearing exchange based on a pricing model that references observable market inputs, including

current benchmark rates and the forward yield curve, and thus their fair values are considered Level 2

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

measurements. The carrying value of the U.S. Treasury futures contracts and interest rate swaps on the Company’s

consolidated balance sheets is $0 because the instruments require daily margin exchanges, which are considered by

the settlement agent to represent legal settlement of the contracts on a daily basis. Please see Note 1 and Note 5 for

additional information regarding the fair value of the Company’s derivative instruments.

The fair value measurement of interest rate swaptions is considered Level 2 because it is based on the fair

value of the underlying interest rate swap and time remaining until its expiration and is carried on the balance sheet

net of any deferred premium to be paid upon exercise or expiration. The fair value measurement of options on U.S.

Treasury futures is considered Level 1 because they are valued based on closing exchange prices on these contracts.

Options on U.S. Treasury futures are initially recorded on the balance sheet at the contract price paid and

subsequently adjusted for changes in fair value until exercise or expiration.

The Company’s repurchase agreements are reported at cost, which approximates fair value. Given their

short-term nature (less than one year) and the interest rates on outstanding amounts, which largely correspond to

prevailing rates observed in the repurchase agreement market, their inputs are considered Level 2.

NOTE 7 – SHAREHOLDERS’ EQUITY AND SHARE-BASED COMPENSATION

Preferred Stock. The Company's articles of incorporation authorize the issuance of up to 50,000,000 shares

of preferred stock. During the three months ended September 30, 2026, the Company’s Board of Directors

designated 5,520,000 shares for issuance of 9.375% Series D Fixed-Rate Cumulative Redeemable Preferred Stock

and subsequently sold 4,800,000 shares through a public offering for which it received proceeds of $116 million, net

of $4 million in broker commissions and other expenses. The Series D Preferred Stock has no stated maturity, is not

subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless redeemed,

repurchased, or converted into common stock pursuant to the terms of the Series D Preferred Stock. On or after

October 15, 2031, the Series D Preferred Stock may be redeemed at any time and from time to time at the

Company's option at a cash redemption price of $25.00 per share plus any accumulated and unpaid dividends. The

Series D Preferred Stock will pay a quarterly cumulative cash dividend of 9.375% of its $25.00 liquidation value per

share beginning on January 15, 2027.

The Company’s Board of Directors has designated 6,600,000 shares of the Company’s preferred stock for

issuance as Series C Preferred Stock, of which the Company has 4,460,000 of such shares outstanding as of

September 30, 2026. The Series C Preferred Stock has no stated maturity, is not subject to any sinking fund or

mandatory redemption, and will remain outstanding indefinitely unless redeemed, repurchased, or converted into

common stock pursuant to the terms of the Series C Preferred Stock. As of April 15, 2025, the Series C Preferred

Stock may be redeemed at any time and from time to time at the Company's option at a cash redemption price of

$25.00 per share plus any accumulated and unpaid dividends. In addition, the Series C Preferred Stock now pays a

quarterly cumulative cash dividend at a percentage of its $25.00 liquidation value per share equal to 3-month term

SOFR plus the statutorily prescribed tenor spread adjustment of 0.26161% in addition to the spread pursuant to the

terms of the Series C Preferred Stock of 5.461% for a total spread of 5.723%. The Company paid a quarterly

dividend of $0.60793 per share of Series C Preferred Stock on October 15, 2026 to shareholders of record as of

October 1, 2026.

Common Stock. During the nine months ended September 30, 2026, the Company issued 83,119,388 shares

of its common stock through its at-the-market (“ATM”) program at an aggregate value of $1.1 billion, net of broker

commissions and fees. The Company declared monthly dividends on its common stock totaling $0.51 for the three

months ended September 30, 2026. The Company’s timing, frequency, and amount of dividends declared on its

common stock are determined by its Board of Directors. When declaring dividends, the Board of Directors considers

the Company’s taxable income, management’s view on long-term returns, the REIT distribution requirements of the

Tax Code, and maintaining compliance with dividend requirements of the Series C Preferred Stock and Series D

Preferred Stock, along with other factors that the Board of Directors may deem relevant from time to time.

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Share-Based Compensation. The following table presents a rollforward of share-based awards for the

periods indicated:


	Nine Months Ended
	September 30,
	2026	2025
Type of Award	Shares	Weighted Average Grant Date Fair Value Per Share	Shares	Weighted Average Grant Date Fair Value Per Share
Restricted stock:
Awards outstanding, beginning of period	25,105	$12.34	93,595	$12.78
Granted	—	—	—	—
Vested	(16,809)	12.26	(66,860)	12.96
Awards outstanding, end of period	8,296	$12.50	26,735	$12.34

Target RSUs: (1)
Awards outstanding, beginning of period	738,223	$12.79	463,070	$12.64
Granted	569,942	13.59	399,096	12.78
Vested	(436,053)	12.63	(227,483)	12.69
Awards outstanding, end of period	872,112	$13.40	634,683	$12.71

Target PSUs: (2)
Awards outstanding, beginning of period	693,414	$12.26	482,409	$12.32
Granted	590,231	13.68	371,282	12.05
Vested	(129,870)	12.26	—	—
Forfeited	(60,129)	13.68	—	—
Awards outstanding, end of period	1,093,646	$12.95	853,691	$12.20

(1)The number of RSUs shown represent the target number of awards. Actual number of shares that will potentially settle may

range from 0% if the recipient’s service-based vesting condition is not met to 100% if the service-based vesting condition is

met.

(2)The number of PSUs shown represent the target number of awards. Actual number of shares that will potentially settle may

range from 0% to 200% based on the achievement of the performance goals defined in each grant award.

Restricted stock granted to employees generally vests in equal installments over a period of 3 years. RSUs

generally vest in equal installments over a period of 3 years if granted to employees and one year if granted to a non-

employee director. PSUs cliff vest based on performance results measured over a period of 3 years. The Company

expects 89% of the remaining target PSUs outstanding as of September 30, 2026 will be settled on their vesting

dates compared to 134% as of June 30, 2026. As a result, the Company recorded a net credit of $(2) million to

share-based compensation expense for the three months ended September 30, 2026. Total share-based compensation

expense for the three months ended September 30, 2025 was $3 million. Total share-based compensation expense

was $8 million for the nine months ended September 30, 2026 and September 30, 2025. The following table

discloses the Company’s remaining compensation expense related to stock awards it has granted as of September 30,

2026, which will be amortized over the period disclosed:

DYNEX CAPITAL, INC.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	September 30, 2026
($s in thousands)	Remaining Compensation Cost	WAVG Period of Recognition
Restricted stock	$42	0.4 years
RSUs	5,948	2.0 years
PSUs	3,361	1.9 years
Total	$9,351	1.9 years

The following table discloses the dividends payable to the Company’s shareholders for common and

preferred stock as well as to its employees and directors for DERs related to its outstanding RSUs and PSUs as of

the dates indicated:


Dividends Payable	September 30, 2026	December 31, 2025
($s in thousands)
RSU DERs	$1,628	$1,578
PSU DERs	2,741	3,423
Accrued DERs	4,369	5,001

Common stock dividends	$43,850	$29,877
Preferred stock dividends	2,361	2,293
Accrued dividends	46,211	32,170

Total dividends payable	$50,580	$37,171

NOTE 8 - SEGMENT REPORTING

The Company’s operations consist of one reportable segment which involves investing in MBS and funding

these investments with repurchase agreements and equity. Because the Company’s investment portfolio and

financings are subject to market risks, primarily interest rate risk, management seeks to offset a portion of its market

value exposure and financing costs through its interest rate derivative instruments (“hedging portfolio”). The

Company’s investment and hedging portfolios are managed together.

The Company’s revenue is derived from its investment portfolio, which currently consists of primarily

Agency RMBS. The Company’s chief operating decision maker (“CODM”) is its Co-CEO and President. Segment

performance is measured by and resource allocation decisions are based on “comprehensive income (loss) to

common shareholders.” The segment’s significant expense categories as shown on the Company’s consolidated

statement of comprehensive income are regularly provided to the CODM for review and are also used to make

resource allocation decisions. Segment assets are total assets as shown on the Company’s consolidated balance

sheet.

ITEM 2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS

EXECUTIVE OVERVIEW

During the third quarter of 2026, financial markets experienced a significant repricing of interest rate risk,

as U.S. Treasury and swap yields rose sharply, and both realized and implied interest rate volatility increased. The

movement was global, reflecting heavy government borrowing and fiscal concerns, as well as substantial demand

for capital tied to investment in artificial intelligence. Amid a resilient U.S. economy and persistent inflation, the

Federal Reserve raised the midpoint of its target range for the U.S. Federal Funds Rate (“Fed Funds rate”) by 25

basis points, from 3.625% to 3.875%, in September. Market participants priced for the possibility of additional rate

increases and an extended period of elevated policy rates. The 10-year U.S. Treasury yield rose above 5% in late

September, while conflict in the Middle East and disruptions to global oil and gas flows kept energy prices elevated

and added to inflation concerns.

Spreads on Agency MBS widened 10 to 20 basis points relative to U.S. Treasury and swap rates,

particularly late in the third quarter, and specified pools underperformed TBA securities. As the rise in interest rates

accelerated, speculative investors, including hedge funds, reduced risk across global rate markets and in Agency

MBS, and hedgers of mortgage servicing rights were also net sellers. Money managers remained net buyers as

spreads widened, and there were indications that the GSEs resumed purchases of Agency MBS late in the quarter.

We believe the widening reflected investor positioning and other technical factors arising from macroeconomic

volatility rather than a deterioration in mortgage fundamentals. New mortgage origination supply remained muted,

as elevated mortgage rates continued to constrain refinancing and home sales. Funding markets remained orderly

and were well supported by ample system liquidity, and liquidity across the mortgage and repurchase agreement

markets continued to function effectively. Although financing costs rose with the Fed Funds rate, repurchase

agreement financing remained readily available through the September quarter-end, and haircuts did not increase.

Our hedging activities help insulate the Company's book value against rising interest rates, but do not protect the

Company from widening spreads.

Against this backdrop, we believe Agency MBS continues to offer attractive long-term return potential

relative to other high-quality fixed-income assets, particularly given the supply dynamics and the sector's strong

liquidity profile. With nearly all Agency MBS trading at a discount to par, refinancing incentives are minimal and

the convexity of the Agency MBS index is positive, which limits the variability of expected cash flows and

durations. At the same time, fund flows into bond funds and annuities remain a steady source of demand, supported

by the long-term, demographic-led need for income. We view current spread levels as attractive and remain attentive

to the evolving supply-and-demand balance, including bond fund flows, the pace and composition of GSE

purchases, potential changes in GSE policy, the trajectory of the Federal Reserve's balance sheet, especially its

holdings of Agency MBS, and the level of banking-system reserves. We continue to monitor monetary policy,

inflation trends, fiscal policy, Federal Housing Finance Agency policies, housing market activity, geopolitical

developments, and energy prices, as well as operational and cybersecurity risks, as we assess their potential impact

on interest rates, spreads, prepayment behavior, and financing conditions. We remain focused on disciplined

portfolio construction, security selection, active management of interest rate risk, liquidity management, and

balance-sheet resilience as market conditions continue to evolve.

The charts below show the range of U.S. Treasury and SOFR-based swap rates for the three months ended

September 30, 2026 and information regarding market spreads as of and for the periods indicated:

$\"1099511627777\"$

$\"1099511627812\"$


	Market Spreads as of:	Change in Spreads 3Q26	Change in Spreads YTD
Investment Type: (1)	September 30, 2026	June 30, 2026	March 31, 2026	December 31, 2025
Agency RMBS:
2.0% coupon	75	72	73	70	3	5
2.5% coupon	73	72	76	73	1	—
4.0% coupon	61	52	52	50	9	11
4.5% coupon	60	46	53	45	14	15
5.0% coupon	62	48	56	46	14	16
5.5% coupon	62	51	63	51	11	11
6.0% coupon	68	47	64	54	21	14
Agency CMBS(2)	76	75	84	82	1	(6)

(1)Option adjusted spreads (“OAS”) are based on Company estimates using third-party models and market data. OAS shown

for prior periods may differ from previous disclosures because the Company regularly updates the third-party model used.

(2)Data is sourced from J.P. Morgan and represents the spread to swap rate on newly issued Agency securities collateralized

by multifamily properties.

Summary of Third Quarter 2026 Financial Performance

Total economic return of (11.5)% for the third quarter of 2026 reflected a decline in book value per

common share to $10.91, inclusive of dividends declared of $0.51 per common share. Book value declined primarily

due to wider Agency MBS spreads, which drove a net decrease in the fair value of our investment portfolio. While

gains on our interest rate hedges mitigated a portion of the impact of higher interest rates and broader market

volatility, spread widening remained the primary driver of pressure on asset valuations and book value during the

quarter.

We grew our capital base by $384 million during the third quarter through a combination of common and

preferred equity raises, using the net proceeds to add $3.2 billion of Agency MBS. As a result, our total investment

portfolio grew approximately 3% to $28.3 billion as of September 30, 2026 compared to $27.6 billion as of June 30,

2026. Leverage, including the implied cost of TBAs, increased to 9.0 times shareholders' equity, primarily due to

lower book value related to the investment portfolio's performance.

Interest income increased from the prior quarter, driven by the continued capital deployment into Agency

MBS. The average balance of interest-earning assets grew 10% during the third quarter of 2026. Operating expenses

decreased by approximately $4 million quarter over quarter due to lower stock-based compensation.

The following table summarizes the changes in our financial position during the three months ended

September 30, 2026:


($s in thousands except per share data)	Net Change in Fair Value	Components of Comprehensive Income	Common Book Value Rollforward	Per Common Share
Balance as of June 30, 2026 (1)			$3,063,567	$12.90
Net interest income		$101,562
Periodic interest from interest rate swaps		82
G & A and other operating expenses		(12,594)
Preferred stock dividends		(2,769)
Changes in fair value:
MBS and other	$(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)
Balance as of September 30, 2026 (3)			$2,820,555	$10.91

(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 ATM program, $(4)

million of stock issuance costs related to the 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.

FINANCIAL CONDITION

Investment Portfolio

Our investment portfolio, including TBAs, as of September 30, 2026, has increased $8.9 billion, or 46%,

since December 31, 2025. We added over $13 billion, net of sales, of primarily 30-year fixed rate Agency RMBS

and have reduced our TBA securities by a net notional of $0.6 billion during the nine months ended September 30,

2026. The following charts compare the composition of our investment portfolio as of the dates indicated:

$\"1099511627806\"$

$\"1099511627777\"$

The following charts compare the percentage distribution by coupon of our 30-year fixed rate Agency

RMBS investments, including TBAs, as of the dates indicated:

$\"1099511627857\"$

$\"1099511627885\"$

The following tables compare our 30-year fixed-rate Agency RMBS investments, including TBA dollar roll

positions, by coupon as of the dates indicated:


	September 30, 2026
Agency RMBS by Coupon	Par/ Notional	Amortized Cost/ Implied Cost Basis (3)(5)	Fair Value (4)(5)	Weighted Average
		Loan Age (in months)(6)	3 Month CPR (6)(7)	Estimated Duration (8)	Market Yield (9)
($s in thousands)
2.0%	$1,622,450	$1,439,531	$1,226,468	73	4.9%	7.12	5.84%
2.5%	837,916	801,131	664,386	72	6.5%	6.84	5.86%
4.0%	1,580,885	1,483,955	1,391,677	53	7.9%	6.44	5.93%
4.5% (1)	2,508,989	2,426,164	2,273,108	32	8.1%	6.21	6.03%
5.0%	8,021,402	7,973,568	7,468,785	18	6.1%	6.03	6.08%
5.5%	10,057,691	10,162,745	9,647,047	16	6.8%	5.39	6.16%
6.0%	1,769,036	1,812,455	1,743,004	12	8.9%	4.75	6.25%
TBA 4.0%	6,000	5,386	5,224	n/a	n/a	7.16	5.83%
TBA 4.5%	241,000	225,881	216,166	n/a	n/a	6.95	5.93%
TBA 5.0%	1,073,000	1,021,997	992,031	n/a	n/a	6.42	6.08%
TBA 5.5%	515,000	508,784	490,698	n/a	n/a	5.58	6.22%
TBA 6.0%	728,000	733,328	713,156	n/a	n/a	4.69	6.34%
Total	$28,961,369	$28,594,925	$26,831,750	25	6.8%	5.83	6.09%


	December 31, 2025
Agency RMBS by Coupon	Par/ Notional	Amortized Cost/ Implied Cost Basis (3)(5)	Fair Value (4)(5)	Weighted Average
		Loan Age (in months)(6)	3 Month CPR (6)(7)	Estimated Duration (8)	Market Yield (9)
($s in thousands)
2.0%	$603,965	$613,475	$497,097	63	5.2%	7.42	4.68%
2.5%	516,325	535,039	444,904	64	5.1%	7.02	4.67%
4.0%	293,073	293,432	281,889	57	6.5%	5.89	4.63%
4.5% (1)	1,911,130	1,853,757	1,881,304	33	5.8%	5.46	4.74%
5.0%	3,974,655	3,913,622	3,997,537	21	5.9%	4.62	4.91%
5.5%	6,325,638	6,361,758	6,465,769	13	8.1%	3.39	5.10%
6.0%	1,381,567	1,419,727	1,432,860	9	8.2%	2.28	5.14%
TBA 4.0%	1,162,000	1,101,441	1,102,764	n/a	n/a	6.29	4.76%
TBA 4.5%(2)	1,447,000	1,425,945	1,430,136	n/a	n/a	4.58	4.64%
TBA 5.0%	176,000	175,287	175,670	n/a	n/a	4.51	5.03%
TBA 5.5%	183,000	185,175	185,631	n/a	n/a	3.28	5.23%
TBA 6.0%	221,000	226,218	226,922	n/a	n/a	1.99	5.24%
Total	$18,195,353	$18,104,876	$18,122,483	21	7.0%	4.29	4.94%

(1)Includes a par value of $8.6 million and $9 million of 4.5% 15-year Agency RMBS as of September 30, 2026 and December

31, 2025, respectively.

(2)Includes a notional amount of $690 million of 4.5% 15-year TBA securities as of December 31, 2025.

(3)Implied cost basis of TBAs represents the forward price to be paid for the underlying Agency MBS.

(4)Fair value of TBAs is the implied market value of the underlying Agency security as of the end of the period.

(5)TBAs are included on the consolidated balance sheet within “derivative assets/liabilities” at their net carrying value which

is the difference between their implied market value and implied cost basis. Please refer to Note 5 of the Notes to the

Consolidated Financial Statements for additional information.

(6)TBAs are excluded from this calculation as they do not have a defined weighted-average loan balance or age until

mortgages have been assigned to the pool.

(7)Constant prepayment rate (“CPR”) represents the 3-month CPR of Agency RMBS held as of date indicated.

(8)Duration measures the sensitivity of a security's price to the change in interest rates and represents the percent change in

price of a security for a 100-basis point increase in interest rates. We calculate duration using third-party financial models

and empirical data. Different models and methodologies can produce different estimates of duration for the same securities.

(9)Represents the weighted average market yield projected using cash flows generated from the forward curve based on market

prices as of the date indicated and assuming zero volatility.

Our Agency CMBS consist of loans collateralized by multifamily properties. Though we expect our

exposure to Agency CMBS to remain modest as a percentage of the total portfolio, we will add Agency CMBS from

time to time whenever we believe the risk-adjusted return profile aligns with our investment strategy. In addition to

offering strong relative value, Agency CMBS help diversify and stabilize the portfolio's cash flow and total return

profile, given their unique prepayment characteristics and underlying asset base.

We have purchased approximately $299 million of Agency CMBS during the nine months ended

September 30, 2026. The weighted average life remaining based on contractual cash flows for our Agency CMBS

was 5.9 years as of September 30, 2026 compared to 5.5 years as of December 31, 2025. The weighted average

market yield projected using cash flows generated off the forward curve and based on market prices assuming zero

volatility was 5.54% as of September 30, 2026 compared to 4.25% as of December 31, 2025.

Repurchase Agreements

Our repurchase agreement borrowings increased to $24 billion as of September 30, 2026 from $14 billion

as of December 31, 2025. These borrowings were used to partially finance our purchases of Agency MBS during the

nine months ended September 30, 2026. We have not experienced any difficulty in securing financing with any of

our counterparties, and our repurchase agreement counterparties have not indicated any concerns regarding leverage

or credit. Please refer to Note 4 of the Notes to the Consolidated Financial Statements contained within this

Quarterly Report on Form 10-Q as well as “Results of Operations” and “Liquidity and Capital Resources” contained

within this Item 2 for additional information relating to our repurchase agreement borrowings.

Derivative Assets and Liabilities

Please refer to Note 5 of the Notes to the Consolidated Financial Statements for details on our interest rate

hedging instruments as well as “Liquidity and Capital Resources” within Item 2 and “Quantitative and Qualitative

Disclosures about Market Risk” within Item 3 of this Quarterly Report on Form 10-Q.

RESULTS OF OPERATIONS

Three Months Ended September 30, 2026 Compared to the Three Months Ended June 30, 2026

The following table summarizes the results of operations for the periods discussed in this section:


	Three Months Ended
$s in thousands	September 30, 2026	June 30, 2026
Net interest income	$101,562	$93,783
Realized gain on sales of investments, net	(544)	—
Unrealized loss on investments, net	(1,465,047)	(25,622)
Gain on derivative instruments, net	1,041,087	128,845
Operating expenses, net	(12,594)	(16,213)


Preferred stock dividends	(2,769)	(2,650)
Net (loss) income to common shareholders	(338,305)	178,143
Other comprehensive loss	(36,529)	(865)
Comprehensive (loss) income to common shareholders	$(374,834)	$177,278

Net Interest Income

Net interest income and net interest spread for the three months ended September 30, 2026, increased

compared to the three months ended June 30, 2026, due to the growth in our MBS portfolio. Interest expense

increased due to a higher average balance of repurchase agreement borrowings used to finance our purchases of

MBS. Net periodic interest earned on interest rate swaps, a component of economic net interest income, decreased

by approximately $0.5 million for the three months ended September 30, 2026, compared to the three months ended

June 30, 2026, representing a decline of 1 basis point as a percentage of average repurchase agreement borrowings.

The following table presents information about our interest-earning assets and interest-bearing liabilities

and their performance for the periods indicated:


	Three Months Ended
	September 30, 2026	June 30, 2026
($s in thousands)	Interest Income/ Expense	Average Balance (1)(2)	Effective Yield/ Financing Cost (3)(4)	Interest Income/ Expense	Average Balance (1)(2)	Effective Yield/ Financing Cost (3)(4)
Agency RMBS	$311,244	$24,761,556	5.03%	$280,970	$22,581,412	4.98%
Agency CMBS/ CMBS IO (5)	16,958	1,456,850	4.55%	15,270	1,333,481	4.52%
Other investments	5	431	3.71%	6	445	3.89%
Subtotal	$328,207	$26,218,837	5.00%	$296,246	$23,915,338	4.95%
Cash equivalents	4,290			6,505
Total interest income	$332,497			$302,751

Repurchase agreement financing	(230,935)	23,626,939	(3.82)%	(208,968)	21,803,737	(3.79)%
Net interest income (expense)/spread	$101,562		1.18%	$93,783		1.16%
Net periodic interest (6)	82		—%	542		0.01%
Economic net interest income (expense)/ spread (6)	$101,644		1.18%	$94,325		1.17%
*Table Note: Data may not foot due to rounding.

(1)Average balance for assets is calculated as a simple average of the daily amortized cost and excludes securities pending

settlement if applicable.

(2)Average balance for liabilities is calculated as a simple average of the daily borrowings outstanding during the period.

(3)Effective yield is calculated by dividing interest income by the average balance of asset type outstanding during the

reporting period. Unscheduled adjustments to premium/discount amortization/accretion, such as for prepayment

compensation, are not annualized in this calculation.

(4)Financing cost is calculated by dividing annualized interest expense by the total average balance of borrowings outstanding

during the period with an assumption of 360 days in a year.

(5)Includes Agency and non-Agency CMBS IO with an amortized cost and fair value comprising less than 0.1% of our

investment portfolio and interest income from CMBS IO comprised less than 1% of our interest income for the periods

indicated.

(6)Net periodic interest is the difference between the fixed interest rate we pay and the variable interest rate we receive on our

interest rate swaps. It is a component of economic net interest income (expense), a non-GAAP measure. Please refer to the

section below “Non-GAAP Financial Measures” for more information.

Gains (Losses) on Investments and Derivative Instruments

For the three months ended September 30, 2026, losses on our investments exceeded gains on our interest

rate hedges by approximately $(461) million due primarily to widening of mortgage spreads to U.S. Treasuries.

Losses in fair value of our Agency MBS related to higher interest rates were mostly mitigated by gains on our

interest rate hedges.

For the three months ended June 30, 2026, gains on our hedges exceeded losses on our investments by

approximately $102 million. Although higher interest rates negatively impacted the fair value of our Agency MBS,

our hedging portfolio effectively mitigated much of this impact. Additionally, the fair value of our Agency MBS

benefited from tightening of mortgage spreads to U.S. Treasuries in the second quarter.

The following tables provide details on realized and unrealized gains and losses within our investment and

interest rate hedging portfolios for the periods indicated:


	Three Months Ended
	September 30, 2026
($s in thousands)	Realized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in OCI	Total Change in Fair Value
Investment portfolio:
Agency RMBS	$(544)	$(1,397,829)	$(34,948)	$(1,433,321)
Agency CMBS	—	(66,833)	(929)	(67,762)
CMBS IO	—	(389)	(652)	(1,041)
Other investments	—	4	—	4
Subtotal	(544)	(1,465,047)	(36,529)	(1,502,120)
TBA securities (1)	(38,823)	(86,079)	—	(124,902)
Net loss on investments	$(39,367)	$(1,551,126)	$(36,529)	$(1,627,022)

Interest rate hedging portfolio:
U.S. Treasury futures	$99,035	$278,275	$—	$377,310
Interest rate swaps (2)	7,692	782,825	—	790,517
Interest rate swaptions	—	(2,581)	—	(2,581)
Options on U.S. Treasury futures	743	—	—	743
Net gain on interest rate hedges	$107,470	$1,058,519	$—	$1,165,989

Total net gain (loss)	$68,103	$(492,607)	$(36,529)	$(461,033)


	Three Months Ended
	June 30, 2026
($s in thousands)	Realized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in OCI	Total Change in Fair Value
Investment portfolio:
Agency RMBS	$—	$(17,336)	$(505)	$(17,841)
Agency CMBS	—	(8,208)	(24)	(8,232)
CMBS IO	—	(54)	(336)	(390)
Other investments	—	(24)	—	(24)
Subtotal	—	(25,622)	(865)	(26,487)
TBA securities (1)	(36,253)	17,024	—	(19,229)
Net loss on investments	$(36,253)	$(8,598)	$(865)	$(45,716)

Interest rate hedging portfolio:
U.S. Treasury futures	$112,723	$(96,155)	$—	$16,568
Interest rate swaps (2)	606	135,175	—	135,781
Interest rate swaptions	—	(4,275)	—	(4,275)
Options on U.S. Treasury futures	—	—	—	—
Net gain on interest rate hedges	$113,329	$34,745	$—	$148,074

Total net gain (loss)	$77,076	$26,147	$(865)	$102,358

(1)Realized and unrealized gains (losses) on TBA securities are recorded within “gain (loss) on derivative instruments, net” on

the Company’s consolidated statements of comprehensive income.

(2)Realized gain for interest rate swaps includes net periodic interest benefit of $0.1 million and $0.5 million for the three

months ended September 30, 2026 and June 30, 2026, respectively.

We use TBA dollar roll transactions to maintain exposure to Agency RMBS while extending settlement to

a later date. In these transactions, we close out an existing forward TBA position and simultaneously enter into a

substantially identical forward position for a later settlement month. Because the later settling TBA is typically

priced below the current month TBA, this creates a price difference commonly referred to as drop income (loss).

Drop income (loss) represents the economic equivalent of net interest income, net of implied financing cost, on the

underlying Agency RMBS between trade date and settlement date. We include drop income (loss) as a component of

the realized gain (loss) on TBA dollar roll transactions within gain (loss) on derivative instruments, net. We account

for these TBA positions as derivative instruments because physical delivery is not probable or the transactions are

not expected to settle in the shortest period possible.

The following table presents information regarding the performance of our TBA dollar roll transactions for

the periods indicated:

Three Months Ended

September 30, 2026

June 30, 2026

($s in thousands)

Implied Net

Interest

Income (1)

Average

Balance

Implied Net

Spread

Implied Net

Interest

Income (1)

Average

Balance

Implied Net

Spread

TBAs

$8,394

$2,393,855

1.37%

$5,221

$1,879,681

1.10%

(1)Implied net interest income (expense) is also referred to as “drop income (loss)” and represents a portion of the total

realized gain (loss) from our TBA dollar roll transactions recorded within “gain (loss) on derivative instruments, net.”

Operating Expenses

Operating expenses for the three months ended September 30, 2026 decreased $4 million compared to the

three months ended June 30, 2026 due primarily to lower estimates for share-based compensation expenses.

Annualized general and administrative expenses for the third quarter of 2026 as a percentage of total equity was

1.4% compared to 1.9% for the second quarter of 2026.

Nine Months Ended September 30, 2026 Compared to the Nine Months Ended September 30, 2025

Net Interest Income

Net interest income and net interest spread increased for the nine months ended September 30, 2026,

compared to the nine months ended September 30, 2025 due to the purchases of higher yielding Agency MBS over

the past year. Though interest expense increased due to an increase in repurchase agreement borrowings used to

finance these purchases, the average financing rate we paid declined 66 basis points over the comparative periods

primarily as a result of the Federal Reserve’s lower targeted Federal Funds rate range. Net periodic interest included

in our economic net interest income for the nine months ended September 30, 2026, decreased $35 million, or 58

basis points as a percentage of average repurchase agreement borrowings, compared to the nine months ended

September 30, 2025. The decline is due to a larger short position in SOFR-based interest rate swaps with a higher

weighted average pay fixed rate during the nine months ended September 30, 2026 compared to the nine months

ended September 30, 2025.

The following table presents information about our interest-earning assets and interest-bearing liabilities

and their performance for the periods indicated:


	Nine Months Ended
	September 30,
	2026	2025
($s in thousands)	Interest Income/ Expense	Average Balance (1)(2)	Effective Yield/ Financing Cost (3)(4)	Interest Income/ Expense	Average Balance (1)(2)	Effective Yield/ Financing Cost (3)(4)
Agency RMBS	$828,563	$22,111,217	5.00%	$329,734	9,188,117	4.78%
Agency CMBS	41,287	1,272,762	4.28%	8,059	256,516	4.14%
CMBS IO (5)	5,253	78,706	8.82%	6,685	105,316	8.48%
Other investments	17	445	3.84%	42	926	4.37%
Subtotal	$875,120	$23,463,130	4.97%	$344,520	$9,550,875	4.81%
Cash equivalents	17,517			11,964
Total interest income	$892,637			$356,484

Repurchase agreement financing	(618,039)	21,319,444	(3.82)%	(285,612)	8,407,509	(4.48)%
Net interest income/ spread	$274,598		1.15%	$70,872		0.33%
Net periodic interest (6)	2,322		0.01%	37,465		0.59%
Economic net interest income/spread (6)	$276,920		1.16%	$108,337		0.92%
*Table Note: Data may not foot due to rounding.

(1)Average balance for assets is calculated as a simple average of the daily amortized cost and excludes securities pending

settlement if applicable.

(2)Average balance for liabilities is calculated as a simple average of the daily borrowings outstanding during the period.

(3)Effective yield is calculated by dividing interest income by the average balance of asset type outstanding during the

reporting period. Unscheduled adjustments to premium/discount amortization/accretion, such as for prepayment

compensation, are not annualized in this calculation.

(4)Financing cost is calculated by dividing annualized interest expense by the total average balance of borrowings outstanding

during the period with an assumption of 360 days in a year.

(5)Includes Agency and non-Agency issued securities.

(6)Net periodic interest is the difference between the fixed interest rate we pay and the variable interest rate we receive on our

interest rate swaps. It is a component of economic net interest income (expense), a non-GAAP measure. Please refer to the

section below “Non-GAAP Financial Measures” for more information.

Gains (Losses) on Investments and Derivative Instruments

For the nine months ended September 30, 2026, losses on our investment portfolio exceeded gains on our

hedges by approximately $(497) million. The fair value of our investment portfolio declined $(1.9) billion during the

nine months ended September 30, 2026 primarily due to the widening of mortgage spreads to U.S. Treasuries.

Although higher U.S. Treasury rates negatively impacted the fair value of our Agency MBS, our interest rate hedges

effectively mitigated much of this impact. Higher U.S. Treasury rates and SOFR-based swap rates resulted in net

gains on our interest rate hedges of $1.4 billion for the nine months ended September 30, 2026.

During the nine months ended September 30, 2025, gains on our investment portfolio exceeded losses on

our hedges by approximately $138 million. The fair value of our investment portfolio increased during the nine

months ended September 30, 2025 primarily due to the tightening of mortgage spreads to U.S. Treasuries relative to

wider spreads at the time we purchased investments. Treasury rates and SOFR-based swap rates declined overall

during the nine months ended September 30, 2025, which resulted in losses on our hedging portfolio.

The following tables provide details on realized and unrealized gains and losses within our investment and

interest rate hedging portfolios for the periods indicated:


	Nine Months Ended
	September 30, 2026
($s in thousands)*	Realized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in OCI	Total Change in Fair Value
Investment portfolio:
Agency RMBS	$7,917	$(1,659,947)	$(35,676)	$(1,687,706)
Agency CMBS	260	(82,022)	(954)	(82,716)
CMBS IO	—	(489)	(912)	(1,401)
Other investments	—	(22)	—	(22)
Subtotal	8,177	(1,742,480)	(37,542)	(1,771,845)
TBA securities (1)	(72,854)	(85,157)	—	(158,011)
Net loss on investments	$(64,677)	$(1,827,637)	$(37,542)	$(1,929,856)

Interest rate hedging portfolio:
U.S. Treasury futures	$210,660	$218,526	$—	$429,186
Interest rate swaps (2)	9,629	1,002,959	—	1,012,587
Interest rate swaptions	—	(7,190)	—	(7,190)
Options on U.S. Treasury futures	(3,239)	1,325	—	(1,914)
Net gain on interest rate hedges	$217,050	$1,215,620	$—	$1,432,669

Total net gain (loss)	$152,373	$(612,017)	$(37,542)	$(497,187)
*Table note: Data may not foot due to rounding.


	Nine Months Ended
	September 30, 2025
($s in thousands)*	Realized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in Net Income	Unrealized Gain (Loss) Recognized in OCI	Total Change in Fair Value
Investment portfolio:
Agency RMBS	$—	$278,204	$35,313	$313,517
Agency CMBS	—	6,785	2,165	8,950
CMBS IO	—	1,148	942	2,090
Other investments	—	(19)	—	(19)
Subtotal	—	286,118	38,420	324,538
TBA securities (1)	52,422	24,932	—	77,354
Net gain on investments	$52,422	$311,050	$38,420	$401,892

Interest rate hedging portfolio:
U.S. Treasury futures	$(29,129)	$(29,322)	$—	$(58,451)
Interest rate swaps	37,465	(242,450)	—	(204,985)
Interest rate swaptions	—	(286)	—	(286)
Options on U.S. Treasury futures	—	(508)	—	(508)
Net gain (loss) on interest rate hedges	$8,336	$(272,566)	$—	$(264,230)

Total net gain	$60,758	$38,484	$38,420	$137,662
*Table note: Data may not foot due to rounding.

(1)Realized and unrealized gains (losses) on TBA securities are recorded within “gain (loss) on derivative instruments, net” on

the Company’s consolidated statements of comprehensive income.

(2)Realized gain for interest rate swaps includes net periodic interest benefit of $2.3 million for the nine months ended

September 30, 2026, and $37.5 million for the nine months ended September 30, 2025.

The following table presents information regarding the performance of our TBA dollar roll transactions for

the periods indicated:


	Nine Months Ended
	September 30,
	2026	2025
	Implied Net Interest Income (1)	Average Balance	Implied Net Spread	Implied Net Interest Income (1)	Average Balance	Implied Net Spread
TBAs	$18,378	$2,091,903	1.16%	$13,091	$2,496,558	0.69%

(1)Implied net interest income (expense) is also referred to as “drop income (loss)” and represents a portion of the total

realized gain (loss) from our TBA dollar roll transactions recorded within “gain (loss) on derivative instruments, net.”

Operating Expenses

Operating expenses increased 38% to $50 million for the nine months ended September 30, 2026 compared

to $36 million for the nine months ended September 30, 2025. In addition to higher salary and recruiting expenses

resulting from our increase in employees, operating expenses also increased due to accelerated vesting of equity

grants and other severance expenses associated with the departure of the Company's former chief financial officer.

Additionally, other general and administrative expenses related to technology infrastructure have increased as a

result of the growth in our investment portfolio. Annualized general and administrative expenses for the nine months

ended September 30, 2026 as a percentage of total equity was 2.0% compared to 2.4% for the nine months ended

September 30, 2025.

Non-GAAP Financial Measures

In addition to reporting the Company’s financial results determined in accordance with GAAP,

management of the Company believes that investors’ understanding of our operating results may be enhanced by the

use of non-GAAP financial measures, which are used by management internally, along with GAAP measures, to

evaluate our performance. Our non-GAAP financial measures include earnings available for distribution (“EAD”) to

common shareholders (including per common share) and economic net interest income and the related metric

economic net interest spread. Management believes these non-GAAP financial measures may be useful to investors

because they are viewed by management as additional measures of the investment portfolio’s return.

Drop income generated by TBA dollar roll positions, which is included in \"gain (loss) on derivative

instruments, net\" on the Company's consolidated statements of comprehensive income, is included in EAD because

management views drop income as the economic equivalent of net interest income (interest income less implied

financing cost) on the underlying Agency security from trade date to settlement date. However, drop income does

not represent the total realized gain/loss from the Company’s investments in TBA securities.

Management also includes net periodic interest from its interest rate swaps, which is included in \"gain

(loss) on derivative instruments, net,\" in EAD and economic net interest income because interest rate swaps are used

by the Company to economically hedge the impact of changing interest rates on its borrowing costs from repurchase

agreements, and including net periodic interest from interest rate swaps is a helpful indicator of the Company’s total

financing cost in addition to GAAP interest expense.

Non-GAAP financial measures are not a substitute for GAAP measures and may be different from non-

GAAP measures used by other companies. In addition, other companies, including in our industry, may calculate

comparable measures differently, which reduces their usefulness as comparative measures. Investors should not rely

on any single financial measure when evaluating our business. These non-GAAP measures should be considered as

supplemental in nature and not as a substitute for our operating results in accordance with GAAP.

Reconciliations of each non-GAAP measure to certain GAAP financial measures are provided below.


	Three Months Ended
Reconciliations of GAAP to Non-GAAP Financial Measures:	September 30, 2026	June 30, 2026
($s in thousands except per share data)
Comprehensive (loss) income to common shareholders (GAAP)	$(374,834)	$177,278
Less:
Change in fair value of investments (1)	1,502,120	26,487
Change in fair value of derivative instruments, net (2)	(1,032,611)	(123,082)
EAD to common shareholders (non-GAAP)	$94,675	$80,683
Average common shares outstanding	251,842,414	222,220,145
EAD per common share (non-GAAP)	$0.38	$0.36

Net interest income (GAAP)	$101,562	$93,783
Net periodic interest earned from interest rate swaps	82	542
Economic net interest income (non-GAAP)	101,644	94,325
TBA drop income (3)	8,394	5,221
Total operating expenses	(12,594)	(16,213)
Preferred stock dividends	(2,769)	(2,650)
EAD to common shareholders (non-GAAP)	$94,675	$80,683

Net interest spread (GAAP)	1.18%	1.16%
Net periodic interest from interest rate swaps as a percentage of average repurchase borrowings	—%	0.01%
Economic net interest spread (non-GAAP)	1.18%	1.17%

(1)Amount includes realized and unrealized gains and losses due to changes in the fair value of the Company’s MBS.

(2)The following table reconciles “change in fair value of derivative instruments, net” to the “gain (loss) on derivative

instruments, net” shown on the consolidated statements of comprehensive income.


	Three Months Ended
($s in thousands)	September 30, 2026	June 30, 2026
Gain on derivative instruments, net	$1,041,087	128,845
Less:
TBA drop income	(8,394)	(5,221)
Net periodic interest earned from interest rate swaps	(82)	(542)
Change in fair value of derivative instruments, net	$1,032,611	$123,082

(3)TBA drop income is calculated by multiplying the notional amount of the TBA dollar roll positions by the difference in price

between two TBA securities with the same terms but different settlement dates.

LIQUIDITY AND CAPITAL RESOURCES

Our primary sources of liquidity include borrowings under repurchase arrangements and monthly principal

and interest payments we receive on our investments. Additional sources may include proceeds from the sale of

investments, equity offerings, and net payments received from counterparties for derivative instruments. We use our

liquidity to purchase investments, to pay amounts due on our repurchase agreement borrowings, and to pay our

operating expenses and dividends on our common and preferred stock. We also use our liquidity to meet margin

requirements for our repurchase agreements and derivative transactions, including TBA contracts, under the terms of

the related agreements. We may also periodically use liquidity to repurchase shares of the Company’s stock.

During the nine months ended September 30, 2026, we issued 83,119,388 shares of common stock through

our ATM program, resulting in proceeds of $1.1 billion, net of broker commissions and fees. We deployed these

proceeds primarily into purchases of Agency RMBS. During the third quarter of 2026, we also issued 4,800,000

shares of 9.375% Series D Fixed-Rate Cumulative Redeemable Preferred Stock through a public offering for which

we received proceeds of $116 million, net of $4 million in broker commissions and other expenses. We intend to use

the net proceeds from this offering to finance the acquisition of Agency MBS and other investment securities and for

general corporate purposes.

Our liquidity fluctuates based on our investment activities, leverage, capital raising activities, and changes

in the fair value of our investments and derivative instruments. Our measurement of liquidity includes unrestricted

cash and cash equivalents and unpledged Agency MBS, which are recognized as assets on our consolidated balance

sheet. In our measure of liquidity, we also include the fair value of noncash collateral pledged to us by our

counterparties, which we typically receive when the fair value of our pledged collateral exceeds our current margin

requirement. Our liquidity as of September 30, 2026, was approximately $1.3 billion, which consisted of

unrestricted cash of $1.0 billion and unpledged Agency MBS with a fair value of $0.3 billion. Our liquidity was $1.4

billion as of December 31, 2025.

We continuously monitor our liquidity, especially with potential risk events on the horizon, such as tariff

changes, potential GSE transition, uncertainty regarding Federal Reserve policy decisions, the size of the Federal

Reserve’s balance sheet, quantitative tightening or easing measures, federal government shutdowns, and the impact

on global markets stemming from global central bank policies. We are also monitoring geopolitical conflicts and

uncertainty around the globe. We continuously assess the adequacy of our liquidity under various scenarios based on

changes in the fair value of our investments and derivative instruments due to market factors such as changes in the

absolute level of interest rates and the shape of the yield curve, credit spreads, lender haircuts, and prepayment

speeds, which in turn have an impact on margin requirements. In performing these analyses, we also consider the

current state of the fixed-income markets and the repurchase agreement markets to determine if market forces such

as supply-demand imbalances or structural changes to these markets could change the liquidity of MBS or the

availability of financing. We have not experienced any material changes in the terms of our repurchase agreements

with our counterparties, and they have not indicated to us any concerns regarding access to liquidity.

In addition to the GSE guarantee of principal payments on our Agency investments, we expect the capital

and repurchase agreement markets will remain accessible at capacities sufficient to cover our short-term and long-

term liquidity needs.

Our perception of the liquidity of our investments and market conditions significantly influences our

targeted leverage. In general, our leverage will increase if we view the risk-reward opportunity of higher leverage on

our capital outweighs the risk to our liquidity and book value. Our leverage, which we calculate using total liabilities

plus the cost basis of TBA long positions, was 9.0 times shareholders’ equity as of September 30, 2026. We include

100% of the cost basis of our TBA securities in evaluating our leverage because it is possible under certain market

conditions that it may be uneconomical for us to roll a TBA long position into future months, which may result in us

having to take physical delivery of the underlying securities and use cash or other financing sources to fund our total

purchase commitment.

Repurchase Agreements

Our repurchase agreement borrowings are uncommitted with terms renewable at the discretion of our

lenders and generally have original terms to maturity of overnight to six months, though in some instances, we may

enter into longer-dated maturities depending on market conditions. We seek to maintain unused capacity under our

existing repurchase agreement credit lines with multiple counterparties, which helps protect us in the event of a

counterparty's failure to renew existing repurchase agreements. As part of our continuous evaluation of counterparty

risk, we maintain our highest counterparty exposures with broker-dealer subsidiaries of regulated financial

institutions or primary dealers.

The amount outstanding for our repurchase agreement borrowings will typically fluctuate in any given

period as it is dependent upon several factors, but particularly the extent to which we are active in buying and selling

securities, including the volume of activity in TBA dollar roll transactions versus buying specified pools. The

following table presents information regarding the balances of our repurchase agreement borrowings as of and for

the periods indicated:


	Repurchase Agreements
($s in thousands)	Balance Outstanding As of Quarter End	Average Balance Outstanding For the Quarter Ended	Maximum Balance Outstanding During the Quarter Ended
September 30, 2026	$24,190,276	$23,626,939	$24,351,613
June 30, 2026	22,644,742	21,803,737	22,645,366
March 31, 2026	21,045,457	18,470,997	21,045,636
December 31, 2025	13,904,231	12,469,902	13,904,304
September 30, 2025	11,753,522	10,468,568	11,754,581
June 30, 2025	8,600,143	7,871,627	8,600,487
March 31, 2025	7,234,723	6,842,485	7,234,723
December 31, 2024	6,563,120	6,431,743	6,568,805

For our repurchase agreement borrowings, we are required to post and maintain margin to the lender (i.e.,

collateral in excess of the repurchase agreement borrowing) in order to support the amount of the financing. This

excess collateral is often referred to as a “haircut” and is intended to provide the lender protection against

fluctuations in the fair value of the collateral and/or the failure by us to repay the borrowing at maturity. Lenders

have the right to change haircut requirements at maturity of the repurchase agreement and may change their haircuts

based on market conditions and the perceived riskiness of the collateral pledged. If the fair value of the collateral

falls below the amount required by the lender, the lender has the right to demand additional margin or collateral. If

we fail to meet any margin call, our lenders have the right to terminate the repurchase agreement and sell any

collateral pledged. The weighted average haircut for our borrowings as of September 30, 2026, was consistent with

prior periods, typically averaging less than 5% for borrowings collateralized with Agency RMBS and CMBS and

between 10-14% for borrowings collateralized with CMBS IO.

The collateral we post in excess of our repurchase agreement borrowing with any counterparty is also

typically referred to by us as “equity at risk,” which represents the potential loss to the Company if the counterparty

is unable or unwilling to return collateral securing the repurchase agreement borrowing at its maturity. The

counterparties with whom we have the greatest amounts of equity at risk may vary significantly during any given

period due to the short-term and uncommitted nature of the repurchase agreement borrowings. As of September 30,

2026, we had amounts outstanding with over 25 counterparties and did not have more than 10% of equity at risk

with any counterparty or group of related counterparties.

We have various financial and operating covenants in certain of our repurchase agreements, which we

monitor and evaluate on an ongoing basis for compliance as well as for impacts these customary covenants may

have on our operating and financing flexibility. We do not believe we are subject to any covenants that materially

restrict our financing flexibility. We were in full compliance with our debt covenants as of September 30, 2026, and

we are not aware of circumstances that could potentially result in our non-compliance in the near future.

Derivative Instruments

Derivative instruments we enter into may require us to post initial margin at inception and daily variation

margin based on subsequent changes in their fair value. Daily variation margin requirements also entitle us to

receive collateral from our counterparties if the value of amounts owed to us under the derivative agreement exceeds

the minimum margin requirement. The collateral posted as margin by us is typically in cash. As of September 30,

2026, we had cash collateral posted to our counterparties of $835 million under these agreements.

Collateral requirements for interest rate derivative instruments are typically governed by the central

clearing exchange and the associated futures commission merchant, which may establish margin requirements in

excess of the clearing exchange. Collateral requirements for our TBA contracts are governed by the Mortgage-

Backed Securities Division (“MBSD”) of the Fixed Income Clearing Corporation and, if applicable, by our third-

party brokerage agreements, which may establish margin levels in excess of the MBSD. Our TBA contracts, which

are subject to master securities forward transaction agreements published by the Securities Industry and Financial

Markets Association as well as supplemental terms and conditions with each counterparty, generally provide that

valuations for our TBA contracts and any pledged collateral are to be obtained from a generally recognized source

agreed to by both parties. However, in certain circumstances, our counterparties have the sole discretion to

determine the value of the TBA contract and any pledged collateral. In such instances, our counterparties are

required to act in good faith in making determinations of value. In the event of a margin call, we must generally

provide additional collateral on the same business day.

The following table provides details on the “net (payments) receipts on derivative instruments” shown on

our consolidated statements of cash flows for the periods indicated:


	Nine Months Ended
	September 30,
Cash received or paid by instrument:	2026	2025
	($s in thousands)
Interest rate swaps:
Net variation margin received (paid)	$958,001	$(213,055)
Received upon maturity/termination	7,306	—
Net periodic interest received (1)	11,647	18,659
	976,954	(194,396)

U.S. Treasury futures:
Net variation margin received (paid)	210,032	(29,580)
Received upon maturity/termination	210,660	(29,129)
	420,692	(58,709)
Options on U.S. Treasury futures
Premium paid at inception	(2,418)	(8,008)
Received upon maturity/termination	3,161	—
	743	(8,008)
TBA securities:
(Paid) received upon settlement	(68,238)	27,435

Net receipts (payments) on derivative instruments	$1,330,151	$(233,678)

(1)Net periodic interest from our effective interest rate swaps is recognized as income or expense during the period earned or

incurred, but the cash is not received or paid until the anniversary of each agreement’s effective date or upon maturity.

Dividends

We set our dividend based on many factors, including our view on long-term returns, yield on comparable

investments, liquidity and market risk, and taxable income. Among these factors, we focus on economic returns and

taxable income within the context of the distribution requirements. As a REIT, we are required to distribute to our

shareholders amounts equal to at least 90% of our REIT taxable income for each taxable year after certain

deductions, including the separate dividend requirements of the Series C Preferred Stock and Series D Preferred

Stock.

Our reported GAAP financial results will generally differ from our REIT taxable income and dividend

distributions due to temporary and permanent differences. For example, we designate certain derivative instruments

as interest rate hedges for tax purposes. Realized gains (losses) resulting from the difference in fair value and the

amount of cash received or paid upon termination or maturity of designated derivative instruments are included in

GAAP earnings in the same reporting period in which the derivative instrument matures or is terminated by the

Company but are generally not recognized in REIT taxable income until future periods. Non-designated derivative

instruments are included in GAAP earnings and REIT taxable income in the same period the derivative instrument

matures or is terminated by the Company. The table below provides the projected amortization of the Company's net

deferred tax hedge gains that may be recognized as taxable income over the periods indicated, given conditions

known as of September 30, 2026; however, uncertainty inherent in the forward interest rate curve makes future

realized gains and losses difficult to estimate, and as such, these projections are subject to change for any given

period.


Projected Period of Recognition for Tax Hedge Gains, Net		September 30, 2026
		($ in thousands)
Fiscal year 2026		$97,989
Fiscal year 2027		96,449
Fiscal year 2028		90,414
Fiscal year 2029		91,733
Fiscal year 2030 and thereafter		249,014
		$625,599

As of September 30, 2026, we also had $346 million in capital loss carryforwards, $164 million of which

will expire by December 31, 2027 and the remainder by December 31, 2028. Due to these amounts and other

temporary and permanent differences between GAAP net income and REIT taxable income, coupled with the

uncertainty inherent in the forward interest rate curve, we cannot reasonably estimate how much the deferred tax

hedge gains to be recognized will impact our dividend declarations during 2026 or in any given period.

We fund dividend distributions through portfolio cash flows, existing cash balances, or through the return

of principal from our investments (either through repayment or sale). Please refer to \"Operating and Regulatory

Structure\" within Part I, Item 1, \"Business,\" as well as Part I, Item 1A, “Risk Factors” of our 2025 Form 10-K for

additional important information regarding our deferred tax hedge gains and dividends declared on our taxable

income.

RECENT ACCOUNTING PRONOUNCEMENTS

Please refer to Note 1 of the Notes to the Unaudited Consolidated Financial Statements contained within

Part I, Item 1 of this Quarterly Report on Form 10-Q for additional information.

CRITICAL ACCOUNTING ESTIMATES

The discussion and analysis of our financial condition and results of operations are based in large part upon

our consolidated financial statements, which have been prepared in accordance with GAAP. The preparation of our

consolidated financial statements requires management to make estimates, judgments and assumptions that affect the

reported amounts of assets, liabilities, revenues and expenses and disclosure of contingent assets and liabilities. We

base these estimates and judgments on historical experience and assumptions believed to be reasonable under

current facts and circumstances. Actual results may differ from the estimated amounts we have recorded.

Critical accounting estimates are defined as those that require management's most difficult, subjective, or

complex judgments, and which may result in materially different results under different assumptions and conditions.

Our critical accounting estimates are discussed in Part II, Item 7, “Management’s Discussion and Analysis of

Financial Condition and Results of Operations” of our 2025 Form 10-K under “Critical Accounting Estimates.”

There have been no significant changes in our critical accounting estimates during the three months ended

September 30, 2026.

FORWARD-LOOKING STATEMENTS

Certain written statements in this Quarterly Report on Form 10-Q that are not historical facts constitute

“forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended, and

Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Statements in this report

addressing expectations, assumptions, beliefs, projections, future plans and strategies, future events, developments

that we expect or anticipate will occur in the future, and future operating results, capital management, and dividend

policy are forward-looking statements. Forward-looking statements are based upon management’s beliefs,

assumptions, and expectations as of the date of this report regarding future events and operating performance,

considering all information currently available to us, and are applicable only as of the date of this report. Forward-

looking statements generally can be identified by the use of words such as “believe,” “expect,” “anticipate,”

“estimate,” “plan,” “may,” “will,” “intend,” “should,” “could,” or similar expressions. We caution readers not to

place undue reliance on our forward-looking statements, which are not historical facts and may be based on

projections, assumptions, expectations, and anticipated events that do not materialize. Except as required by law, we

are not obligated to, and do not intend to, update or revise any forward-looking statement, whether as a result of new

information, future events, or otherwise.

Forward-looking statements are inherently subject to risks, uncertainties and other factors that could cause

our actual results to differ materially from historical results or from any results expressed or implied by such

forward-looking statements. Not all these risks and other factors are known to us. New risks and uncertainties arise

over time, and it is not possible to predict those events 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 or other factors. If such a risk or other factor materializes in future periods, our business, financial condition,

liquidity, and results of operations may vary materially from those expressed or implied in our forward-looking

statements.

While it is not possible to identify all factors that may cause actual results to differ from historical results or

any results expressed or implied by forward-looking statements or that may cause our projections, assumptions,

expectations, or beliefs to change, some of those factors include the following:

•the risks and uncertainties referenced in this Quarterly Report on Form 10-Q;

•the factors discussed in the “Risk Factors” section in Item 1A of our 2025 Form 10-K;

•our ability to find suitable reinvestment opportunities;

•changes in domestic economic conditions;

•geopolitical events and instability and the related impact 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;

•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;

•our 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 RMBS, 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 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;

•the cost and availability of new equity capital;

•changes in our leverage and use of leverage;

•changes to our investment strategy, operating policies, dividend policy, or asset allocations;

•the quality of performance of third-party service providers, including our sole third-party service provider

for our critical operations and trade functions;

•the loss or unavailability of our third-party service provider’s service and technology that supports critical

functions of our business related to our trading and borrowing activities due to outages, interruptions, or

other failures;

•the level of defaults by borrowers on loans underlying MBS;

•changes in our industry;

•increased competition;

•changes in government policies or regulations affecting our 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.

Regulation FD Disclosures

We routinely announce material information to investors and the marketplace using filings with the SEC,

press releases, public conference calls, presentations, webcasts, and the investor relations page of our website at

www.dynexcapital.com/investors and our LinkedIn page. We use these channels for purposes of compliance with

Regulation FD and as routine channels for distribution of important information. While not all of the information

that we post to the investor relations page of our website or to our LinkedIn page is of a material nature, some

information could be deemed to be material. Accordingly, investors should monitor these channels, in addition to

following our press releases, SEC filings, and public conference calls and webcasts. The web addresses are included

in this Quarterly Report on Form 10-Q as textual references only, and the information posted on these channels is

not incorporated by reference in this Quarterly Report on Form 10-Q or in any other report or document we file with

the SEC.

ITEM 3.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market risk is the exposure to losses resulting from changes in market factors. Our business strategy

exposes us to a variety of market risks, including interest rate, spread, prepayment, credit, liquidity, and

reinvestment risks. These risks can and do cause fluctuations in our liquidity, comprehensive income and book value

as discussed below.

Interest Rate Risk

Investing in interest-rate sensitive investments such as MBS and TBA securities subjects us to interest rate

risk. Interest rate risk results from investing in securities with a fixed coupon or a floating coupon that may not

immediately adjust for changes in interest rates. Interest rate risk also results from the mismatch between the

duration of our assets versus the duration of our liabilities and hedges. The amount of the impact will depend on the

composition of our portfolio, our hedging strategy, the effectiveness of our hedging instruments and the magnitude

and duration of the change in interest rates.

We manage interest rate risk within tolerances set by our Board of Directors. We use interest rate hedging

instruments to mitigate the impact of changing interest rates on the market value of our assets and on our interest

expense from repurchase agreements used to finance our investments. Our hedging methods are based on many

factors, including, but not limited to, our estimates regarding future interest rates and expected levels of prepayments

of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from

our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses that adversely

affect our cash flow. Estimates of prepayment speeds can vary significantly by investor for the same security, and

therefore, estimates of security and portfolio duration can vary considerably between market participants.

We continuously monitor market conditions, economic conditions, interest rates, and other market activity

and adjust the composition of our investments and hedges throughout any given period. As such, the projections for

changes in market value provided below are limited in usefulness because the modeling assumes no changes to the

composition of our investment portfolio or hedging instruments as of the dates indicated. Changes in the types of our

investments, the returns earned on these investments, future interest rates, credit spreads, the shape of the yield

curve, the availability of financing, and/or the mix of our investments and financings, including derivative

instruments, may cause actual results to differ significantly from the modeled results shown in the tables below.

Therefore, the modeled results shown in the tables below and all related disclosures constitute forward-looking

statements.

Management evaluates changes in interest rate curves to manage portfolio interest rate risk and the market

value of its investments and common equity. Because interest rates do not typically move in a parallel fashion from

period to period (as can be seen by the graph for U.S. Treasury rates in Item 2, “Executive Overview”), the tables

below show the projected sensitivity of the market value of our financial instruments and common equity to both

parallel and non-parallel shifts in market interest rates.


	September 30, 2026
	Parallel Decrease in Interest Rates of	Parallel Increase in Interest Rates of
	100 Basis Points	50 Basis Points	50 Basis Points	100 Basis Points
Type of Instrument (1)	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity
RMBS	4.8%	47.9%	2.5%	24.8%	(2.6)%	(25.6)%	(5.1)%	(51.4)%
CMBS/CMBS IO	0.3%	2.6%	0.1%	1.3%	(0.1)%	(1.2)%	(0.2)%	(2.4)%
TBAs	0.5%	4.6%	0.2%	2.4%	(0.3)%	(2.6)%	(0.5)%	(5.2)%
Interest rate hedges	(5.8)%	(58.3)%	(2.9)%	(28.9)%	2.9%	28.9%	5.7%	57.3%
Total	(0.2)%	(3.2)%	(0.1)%	(0.4)%	(0.1)%	(0.5)%	(0.1)%	(1.7)%

	December 31, 2025
	Parallel Decrease in Interest Rates of	Parallel Increase in Interest Rates of
	100 Basis Points	50 Basis Points	50 Basis Points	100 Basis Points
Type of Instrument (1)	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity	% of Market Value	% of Common Equity
RMBS	2.3%	19.1%	1.4%	11.6%	(1.8)%	(15.1)%	(3.9)%	(32.3)%
CMBS/CMBS IO	0.3%	2.4%	0.1%	1.2%	(0.1)%	(1.1)%	(0.3)%	(2.3)%
TBAs	0.7%	5.6%	0.4%	3.2%	(0.4)%	(3.7)%	(0.9)%	(7.6)%
Interest rate hedges	(4.4)%	(36.7)%	(2.2)%	(18.2)%	2.2%	17.8%	4.3%	35.7%
Total	(1.1)%	(9.6)%	(0.3)%	(2.2)%	(0.1)%	(2.1)%	(0.8)%	(6.5)%


				September 30, 2026		December 31, 2025
Non-Parallel Shifts	Basis Point Change in 2-year UST		Basis Point Change in 10-year UST		% of Market Value (1)		% of Common Equity		% of Market Value (1)		% of Common Equity
Bearish	Steepening	+25		+50		—%		(0.2)%		(0.2)%		(1.4)%
+50		+100		(0.1)%		(1.3)%		(0.6)%		(5.3)%
Flattening	+50		+25		(0.1)%		(0.6)%		(0.2)%		(1.4)%
+100		+50		(0.1)%		(1.2)%		(0.4)%		(3.4)%
Bullish	Steepening	-50		-25		—%		0.4%		—%		—%
-100		-50		0.1%		0.5%		(0.2)%		(1.7)%
Flattening	-25		-50		(0.1)%		(0.8)%		(0.3)%		(2.8)%
-50		-100		(0.5)%		(4.5)%		(1.3)%		(10.6)%

(1)Includes changes in market value of our investments and derivative instruments, including TBA securities, but excludes

changes in market value of our financings which are not carried at fair value on our balance sheet due to their short-term

maturities. The projections for market value do not assume any change in credit spreads.

Spread Risk

Spread risk is the risk of loss from an increase in the market spread between the yield on an investment

versus its benchmark index. Changes in market spreads represent the market's valuation of the perceived riskiness of

an asset relative to risk-free rates. Widening spreads reduce the market value of our investments as market

participants require additional yield to hold riskier assets. Market spreads could change based on macroeconomic or

systemic factors as well as the factors specific to a particular security, such as prepayment performance or credit

performance. Other factors that could impact credit spreads include technical issues, such as supply and demand for

a particular type of security, Federal Reserve monetary policy, or other governmental policy change. We do not

hedge spread risk given the cost and complexity of hedging credit spreads and, in our opinion, the lack of liquid

instruments available to use as hedges.

Fluctuations in spreads typically vary based on the type of investment. Sensitivity to changes in market

spreads is derived from models that are dependent on various assumptions, and actual changes in market value in

response to changes in market spreads could differ materially from the projected sensitivity if actual conditions

differ from these assumptions.

The table below shows the projected sensitivity of the market value of our investments given the indicated

change in market spreads as of the dates indicated:


	September 30, 2026	December 31, 2025
	Percentage Change in	Percentage Change in
Basis Point Change in Market Spreads	Market Value of Investments (1)	% of Common Equity	Market Value of Investments (1)	% of Common Equity
‘+20	(1.1)%	(11.5)%	(1.0)%	(8.4)%
‘+10	(0.6)%	(5.7)%	(0.5)%	(4.2)%
‘-10	0.6%	5.7%	0.5%	4.2%
‘-20	1.1%	11.5%	1.0%	8.4%

(1) Includes changes in market value of our MBS investments, including TBA securities.

In addition to the risks discussed above, we are also subject to prepayment risk, credit risk, liquidity risk,

and reinvestment risk. We have not experienced any material changes in these risks during the nine months ended

September 30, 2026. Please refer to Part I, Item 1A, “Risk Factors,” and Part II, Item 7A, “Quantitative and

Qualitative Disclosures About Market Risks,” in our 2025 Form 10-K for further discussion.

ITEM 4.CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

Our management evaluated, with the participation of our co-principal executive officers and principal

financial officer, the effectiveness of our disclosure controls and procedures, as defined in Exchange Act Rule

13a-15(e), as of the end of the period covered by this report. Based on that evaluation, our co-principal executive

officers and principal financial officer concluded that, as of September 30, 2026, our disclosure controls and

procedures were effective to ensure that information required to be disclosed in the reports that we file or submit

under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the

SEC’s rules and forms, and that such information is accumulated and communicated to our management, including

our co-principal executive officers and principal financial officer, as appropriate, to allow timely decisions regarding

required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in our internal control over financial reporting during the three months ended

September 30, 2026 that materially affected, or are reasonably likely to materially affect, our internal control over

financial reporting.

PART II.OTHER INFORMATION

ITEM 1.LEGAL PROCEEDINGS

To the Company’s knowledge, there are no pending or threatened legal proceedings, which, in

management’s opinion, individually or in total, could have a material adverse effect on the Company’s results of

operations or financial condition.

ITEM 1A.RISK FACTORS

There have been no material changes from the risk factors discussed in Part I, Item 1A, “Risk Factors” of

our 2025 Form 10-K. Risks and uncertainties identified in our forward-looking statements contained in this

Quarterly Report on Form 10-Q together with those previously disclosed in the 2025 Form 10-K or those that are

presently unforeseen could result in significant adverse effects on our financial condition, results of operations and

cash flows. See “Forward-Looking Statements” contained in Part I, Item 2, “Management’s Discussion and Analysis

of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q as well as Part I, Item 1A,

“Risk Factors” in our 2025 Form 10-K.

ITEM 2.UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Issuer Purchases of Equity Securities

The Company’s Board of Directors approved a new share repurchase program (the “Program”) authorizing

the repurchase of up to $300 million of its common stock and up to $50 million of its preferred stock, including any

series thereof currently or hereafter authorized. Under the Program, repurchases may be made from time to time

through open market transactions, privately negotiated transactions, or other means, including, without limitation,

trading plans adopted in accordance with Rule 10b5-1 under the Exchange Act. The actual means and timing of any

repurchases under the Program will depend on a variety of factors, including, without limitation, the market prices of

its common stock and preferred stock, as applicable, general market and economic conditions, and applicable legal

and regulatory requirements. The Program is authorized through April 30, 2028, and replaces the Company’s prior

repurchase program, which expired April 30, 2026. The Program does not require the Company to purchase any

shares and may be modified, suspended, or terminated by the Board at any time.

The Company did not repurchase any shares of its common or preferred stocks during the three months

ended September 30, 2026. Employees have forfeited 341,986 common shares to cover payroll tax withholding on

share-based compensation that vested during the nine months ended September 30, 2026.

ITEM 3.DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.MINE SAFETY DISCLOSURES

None.

ITEM 5.OTHER INFORMATION

Rule 10b5-1 Trading Plan

During the three months ended September 30, 2026, none of the Company’s directors or Section 16 officers

adopted or terminated any “Rule 10b5-1 trading arrangements” or any “non-Rule 10b5-1 trading arrangements” (in

each case, as defined in Item 408 of Regulation S-K).

Amendments to Employment Agreements

On October 27, 2026, Dynex Capital, Inc. (the “Company”) amended its employment agreement with each

of Byron L. Boston and Smriti L. Popenoe (collectively, the “Amendments”). The Amendments modify their

existing employment agreement, each dated July 19, 2024 (collectively, the “Employment Agreements”), as follows:

•Adjusting the base salary provisions to align with their current base salary of $950,000, as previously

disclosed in the Company’s 2026 proxy statement, filed on April 7, 2026, and to automatically adjust the

base salary for any change approved by the Board or a committee thereof following a Renewal Date; and

•Adjusting the restrictive covenants to: (i) provide for a 12-month non-competition period post-employment,

other than separation in connection with a Change in Control, in which case the non-competition period

remains 24 months; (ii) provide for a 12-month non-solicitation period with respect to employees and

certain commercial relationships; and (iii) provide for a perpetual confidentiality and non-disclosure

covenant.

Capitalized terms not otherwise defined herein have the meaning ascribed to such terms in the Employment

Agreements. The foregoing description of the Amendments does not purport to be complete and is qualified in its

entirety by reference to the full text of the Amendments, copies of which will be filed as exhibits to the Company’s

Annual Report on Form 10-K for the year ended December 31, 2026.

ITEM 6.EXHIBITS


Exhibit No.	Description
3.1	Restated Articles of Incorporation, effective May 14, 2021 (incorporated herein by reference to Exhibit 3.1 to Dynex's Current Report on Form 8-K filed May 18, 2021).
3.1.1	Second Articles of Amendment to the Restated Articles of Incorporation, effective as of May 21, 2025 (incorporated herein by reference to Exhibit 3.1.1 to Dynex’s Current Report on Form 8-K filed May 21, 2025).
3.1.2	Third Articles of Amendment to the Restated Articles of Incorporation, effective as of May 22, 2026 (incorporated herein by reference to Exhibit 3.1 to Dynex’s Current Report on Form 8-K filed May 22, 2026).


Exhibit No.	Description
3.1.3	Articles of Amendment to the Restated Articles of Incorporation, effective September 29, 2026 (incorporated herein by reference to Exhibit 3.4 to Dynex’s Registration Statement on Form 8-A12B filed September 29, 2026).
3.2	Amended and Restated Bylaws, effective as of May 11, 2021 (incorporated herein by reference to Exhibit 3.2 to Dynex’s Current Report on Form 8-K filed May 12, 2021).
4.1	Specimen of Common Stock Certificate (incorporated herein by reference to Exhibit 4.1 to Dynex's Quarterly Report on Form 10-Q for the quarter ended September 30, 2019).
4.2	Specimen of 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate (incorporated herein by reference to Exhibit 4.4 to Dynex's Registration Statement on Form 8-A12B filed February 18, 2020).
4.3	Specimen of 9.375% Series D Fixed-Rate Cumulative Redeemable Preferred Stock Certificate (incorporated herein by reference to Exhibit 4.3 Dynex’s Registration Statement on Form 8-A12B filed September 29, 2026).
10.1	Amendment No. 10, dated July 28, 2026 to the Distribution Agreement, dated June 29, 2018, as amended on May 31, 2019, August 3, 2021, June 3, 2022, February 10, 2023, October 29, 2024, May 1, 2025, July 29, 2025, January 27, 2026, and April 28, 2026 by and among Dynex Capital, Inc., BTIG, LLC, Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, JonesTrading Institutional Services LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co. LLC, RBC Capital Markets, LLC, UBS Securities LLC, and Wells Fargo Securities, LLC (incorporated herein by reference to Exhibit 10.1 to Dynex’ Current Report on Form 8-K filed July 28, 2026).
31.1	Certification of co-principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith).
31.2	Certification of co-principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith).
31.3	Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith).
32.1	Certification of co-principal executive officers and principal financial officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith).
101	The following materials from Dynex Capital, Inc.'s Quarterly Report on Form 10-Q for the three months ended September 30, 2026, formatted in iXBRL (Inline Extensible Business Reporting Language), filed herewith: (i) Consolidated Balance Sheets, (ii) Consolidated Statements of Comprehensive Income, (iii) Consolidated Statements of Shareholders’ Equity, (iv) Consolidated Statements of Cash Flows, and (v) Notes to the Unaudited Consolidated Financial Statements.
104	The cover page from Dynex Capital, Inc.'s Quarterly Report on Form 10-Q for the three months ended September 30, 2026, formatted in iXBRL (Inline Extensible Business Reporting Language) (included with Exhibit 101).

* Denotes a management contract or compensatory plan or arrangement.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant

has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


		DYNEX CAPITAL, INC.

Date:	October 27, 2026	/s/ Michael A. Sartori
		Michael A. Sartori
		Chief Financial Officer
		(Principal Financial Officer)

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