Interest-rate fluctuations
Funding costs, hedge values, and MBS prices all move with rates and the yield curve.
- Scope
- Repo borrowings, swaps, and mortgage assets
- Materiality
- high
Dynex Capital, Inc
Dynex Capital is a U.S.-listed mortgage REIT that invests primarily in Agency residential and commercial mortgage-backed securities backed by U.S. housing and commercial real estate. The company is internally managed and uses leverage, financing, and hedging to generate dividend income while managing interest-rate and spread risk across market cycles.
| % | |
|---|---|
| Agency RMBS | 70% Fixed-rate and adjustable-rate residential mortgage-backed securities guaranteed by U.S. GSEs. |
| Agency CMBS | 15% Commercial mortgage-backed securities backed by commercial real estate loans and GSE support. |
| TBA and mortgage trading positions | 8% To-be-announced mortgage positions and dollar-roll activity used to manage exposure and income. |
| Hedging instruments | 5% Interest-rate swaps and related derivatives used to offset financing and duration risk. |
| Non-Agency and other mortgage-related assets | 2% Opportunistic senior or mezzanine non-Agency MBS and other mortgage-related investments. |
Dynex does not sell to end customers in the usual operating-company sense; its economic counterparties are capital...
- Shareholdersprimary
Buy common and preferred stock for dividend income and exposure to mortgage market returns.
- Repo financing counterpartiesprimary
Provide secured borrowings that fund the portfolio and enable leverage.
- Derivative counterpartiessecondary
Enter into interest-rate swaps and related hedges that reduce duration and funding risk.
- Mortgage securities dealerssecondary
Facilitate purchases, sales, and TBA market execution for Agency MBS and CMBS.
Dynex is economically concentrated in the United States because its portfolio is backed by U.S...
- •United States is the core market for assets, financing, and policy exposure
- •Portfolio is backed by U.S. residential and commercial real estate
- •Funding depends on U.S. repo and swap markets
- •Performance is sensitive to Federal Reserve and GSE policy
- •No material non-U.S. operating footprint disclosed
Dynex’s strategy is to allocate capital to mortgage assets with attractive risk-adjusted returns while actively...
01
Deploy capital into Agency MBSshort-term
Agency MBS currently offers attractive returns and supports dividend generation.
02
Maintain active hedging and financing managementshort-term
Swaps and repo funding directly affect carry, liquidity, and book value stability.
03
Preserve flexibility across mortgage sectorsmedium-term
Market spreads and policy shifts can change relative value across RMBS and CMBS.
Dynex’s earnings and book value are highly exposed to changes in interest rates, mortgage spreads, and prepayment...
Market spread widening
Wider spreads reduce fair value and can lower expected portfolio returns.
- Scope
- Agency RMBS and CMBS holdings
- Materiality
- high
Repo financing and liquidity risk
The portfolio depends on short-term secured borrowing to fund leveraged positions.
- Scope
- Repurchase agreements and margin calls
- Materiality
- high
Operational and cybersecurity risk
Trading and borrowing functions are partly outsourced and system disruptions could impair operations.
- Scope
- Third-party service providers and internal systems
- Materiality
- medium
Prepayment and refinancing risk
Faster prepayments can reduce asset yield and force reinvestment at lower returns.
- Scope
- Residential mortgage-backed securities
- Materiality
- high
Fair value measurement of MBS
Can materially change reported earnings and book value
Derivative and hedge accounting
Affects volatility in GAAP and non-GAAP performance
TBA dollar-roll income
Impacts reported carry and investor interpretation of earnings
REIT taxable income and distributions
Affects payout capacity and capital retention
: 28.4.2026