Dynex Capital (DX) 8-K Regulation FD Disclosure

Dynex Capital, Inc.

Midwest IDEAS Conference

August 31, 2011

Exhibit 99.1

2

Safe Harbor Statement

NOTE:

This

presentation

contains

“forward-looking

statements”

within

the

meaning

of

the

Private

Securities

Litigation

Reform

Act

of

1995,

including

statements

about

projected

future

investment

strategies

and

leverage

ratios,

financial

performance,

the

projected

impact

of

NOL

carryforwards,

future

dividends

paid

to

shareholders,

and

future

investment

opportunities

and

capital

raising

activities.

The

words

“will,”

“believe,”

“expect,”

“forecast,”

“anticipate,”

“intend,”

“estimate,”

“assume,”

“project,”

“plan,”

“continue,”

and

similar

expressions

also

identify

forward-looking

statements

that

are

inherently

subject

to

risks

and

uncertainties,

some

of

which

cannot

be

predicted

or

quantified.

Although

these

forward-

looking

statements

reflect

our

current

beliefs,

assumptions

and

expectations

based

on

information

currently

available

to

us,

the

Company’s

actual

results

and

timing

of

certain

events

could

differ

materially

from

those

projected

in

or

contemplated

by

these

statements.

Our

forward-looking

statements

are

subject

to

the

following

principal

risks

and

uncertainties:

our

ability

to

find

suitable

reinvestment

opportunities;

changes

in

economic

conditions;

changes

in

interest

rates

and

interest

rate

spreads,

including

the

repricing

of

interest-earnings

assets

and

interest-bearing

liabilities;

our

investment

portfolio

performance

particularly

as

it

relates

to

cash

flow,

prepayment

rates

and

credit

performance;

adverse

reactions

in

financial

markets

related

to

the

budget

deficit

or

national

debt

of

the

United

States

government;

potential

or

actual

default

by

the

United

States

government

on

Treasury

securities;

and

potential

or

actual

downgrades

to

the

sovereign

credit

rating

of

the

United

States

or

the

credit

ratings

of

GSEs;

the

cost

and

availability

of

financing;

the

cost

and

availability

of

new

equity

capital;

changes

in

our

use

of

leverage;

the

quality

of

performance

of

third-party

service

providers

of

our

loans

and

loans

underlying

our

securities;

the

level

of

defaults

by

borrowers

on

loans

we

have

securitized;

changes

in

our

industry;

increased

competition;

changes

in

government

regulations

affecting

our

business;

government

initiatives

to

support

the

U.S

financial

system

and

U.S.

housing

and

real

estate

markets;

GSE

reform

or

other

government

policies

and

actions;

and

an

ownership

shift

under

Section

382

of

the

Internal

Revenue

Code

that

impacts

the

use

of

our

tax

NOL

carryforward.

For

additional

information,

see

the

Company’s

Annual

Report

on

Form

10-K

for

the

year

ended

December

31,

2010,

the

Company’s

Quarterly

Reports

on

Form

10-Q

for

the

quarters

ended

March

31,

2011

and

June

30,

2011,

and

other

reports

filed

with

and

furnished

to

the

Securities

and

Exchange

Commission.

3

Our Guiding Principles

Our Core Values

Generate dividends for our shareholders

Manage leverage conservatively

Remain owner-operators

Maintain a culture of integrity and employ the highest ethical standards

Provide a strong risk-management culture

Focus on long-term shareholder value while preserving capital

Our Mission

Manage a successful public mortgage REIT with a focus on capital

preservation and providing risk-adjusted returns reflective of a diversified,

leveraged fixed income portfolio.

4

DX Snapshot

Company Highlights

Internally managed REIT commenced operations in 1988

Significant insider ownership and experienced management team

Diversified investment strategy in residential and commercial mortgage assets

Large NOL carryfoward for unique total return opportunity

Market Highlights (all as of 8/24/11)

NYSE Stock Ticker

DX

Shares Outstanding

40,344,434

Quarterly Dividend/Dividend Yield

$0.27/12%

Share Price

$9.03

Price to Book

0.94

Market Capitalization

$364.3 million

5

Important Macro Themes

Multiple factors combining to depress economic activity –

recession risk has increased

Global risk remains high particularly in the Eurozone

Fed maintaining its very accommodative posture

Government policy/regulations continue to influence investment

returns

Financing environment is still strong but anxious over global

events

Increasing volatility and prepayment concerns have impacted

asset valuations

GSE reform will ultimately eliminate a substantial buyer of

mortgage credit risk

Securitization markets are healing slowly but unevenly

6

Investment Portfolio as of June 30, 2011

A

3%

AA

1%

Below A

2%

AAA

94%

Seasoned

DX

RMBS/loans

2.14%

Agency MBS

84.21%

Other

CMBS/

RMBS

3.10%

Seasoned

DX

CMBS/loans

9.87%

•

High quality portfolio of primarily short-duration Agency MBS

•

94% AAA/Agency securities, 98% rated A or higher

•

Relative to most other diversified REITs, Dynex maintains a higher credit quality portfolio

(1)

Percentages based on asset carrying basis.

Composition

(1)

Ratings

(1)

7

Credit Portfolio Comparisons

$101.30

$75.83

$-

$20

$40

$60

$80

$100

$120

DX

Wgt Average of Other

Hybrid REITs

Average June 30, 2011 Portfolio Non-Agency Price

(1)

Figures exclude non-Agency interest-only securities.

(2)

Consists of the weighted average of dollar prices for non-Agency investments as of June 30, 2011 for MFA, IVR, and TWO as

disclosed in each company’s 10-Q for quarter ended June 30, 2011.

(1)

(2)

8

Interest Rate Risk

Change in Value from Change in Rates

Portfolio Value

(2)

Equity Value

(3)

Ticker

+50

+75

+100

+75

+100

AGENCY MBS

NLY

5.7x

-.96%

-1.58%

-9.01%

ANH

7.0x

-2.40%

-16.80%

HTS

7.4x

-0.56%

-1.76%

-13.02%

AGNC

7.5x

-0.50%

-1.20%

-9.00%

CYS

8.1x

-2.03%

-3.09%

-25.03%

ARR

8.7x

-1.61%

-2.70%

-23.54%

DIVERSIFIED MBS

DX

5.9x

-0.40%

-0.90%

-5.31%

IVR

5.7x

-0.58%

-1.34%

-7.64%

MFA

3.3x

-0.36%

-0.84%

-2.77%

TWO

4.5x

-0.30%

-0.70%

-4.60%

CIM

1.9x

-3.35%

-5.08%

-9.65%

(1)  As disclosed in each company’s 10-Q for quarter ended June 30, 2011. Ratios are dependent on each company’s method of calculation.

(2)

As

of

June

30,

2011,

as

disclosed

in

each

company’s

10-Q

for

quarter

ended

June

30,

2011.

Percentages

are

dependent

on

each

company’s

assumptions,

as

disclosed in their 10-Qs.

(3)  Figure shown for TWO is disclosed in 10-Q for quarter ended June 30, 2011. All others equal estimated % decrease for the +75/+100 scenarios multiplied by

estimated company leverage, and is meant to show the potential change in equity value for the corresponding change in rates.

Estimated

Company

Leverage

(1)

9

Potential Return Profile for Prospective

Investments as of August 24, 2011

The

above

portfolio

is

for

illustrative

purposes

only,

does

not

represent

actual

or

expected

performance

and

should

not

be

relied

upon

for

any

investment

decision.

The

range

of

returns

on

equity

is

based

on

certain

assumptions,

including

assumptions

relating

to

asset

allocation

percentages

and

spreads

where

new

mortgage

assets

can

be

acquired

versus

a

current

cost

of

funds

to

finance

acquisitions

of

those

assets.

Rates

used

represent

a

range

of

asset

yields

and

financing

costs

based

on

data

available

as

of

the

date

referenced

above.

Any

change

in

the

assumed

yields,

financing

costs

or

assumed

leverage

could

materially

alter

the

company’s

returns.

The

performance

results

above

do

not

include

assumption

for

the

deduction

of

investment

advisory

fees,

expenses,

or

commissions.

The

performance

results

assume

that

no

cash

was

added

to

or

assets

withdrawn

from

the

portfolio

and

that

all

dividends,

gains

and

other

earnings

in

the

portfolio

were

reinvested.

There

can

be

no

assurance

that

asset

yields

or

financing

costs

will

remain

at

current

levels.

For

a

discussion

of

risks

that

may

affect

our

ability

to

implement

strategy

and

other

factors

which

may

affect

our

potential

returns,

please

see

the

section

entitled

“Risk

Factors”

in

our

Annual

Report

on

Form

10-K

for

the

year

ended

December

31,

2010

and

our

Quarterly

Report

on

Form

10-Q

for

the

quarter

ended

June

30,

2011.

Investment

Range of

Prices

Range of

yields

Range of net

spread to

funding

Range of

ROEs

Agency

RMBS

103-109

2.3%-

3.2%

1.3%-2.8%

13%-28%

CMBS

103-111

3.0%-3.6%

1.3%-1.9%

13%-19%

Non–Agency

‘AAA’

RMBS

90-102

3.6%-6.0%

2.6%-4.0%

14%-21%

‘AAA’

CMBS

95-105

3.9%-6.9%

2.0%-4.0%

14%-20%

10

Balance Sheet Overview

as of June 30, 2011

(1)  Associated financing for investments includes repurchase agreements, securitization financing issued to third parties and TALF financing (the latter two of which

are presented on the Company’s balance sheet as “non-recourse collateralized financing”).

(2)  Includes hedging instruments, cash and cash equivalents, and other assets/other liabilities.

11

Earnings –

Paid and Retained

We Pay a Dividend AND Generate and Retain Earnings

(Utilizing our NOL) to Grow Book Value

($0.10)

$0.00

$0.10

$0.20

$0.30

$0.40

$0.50

1Q09

2Q09

3Q09

4Q09

1Q10

2Q10

3Q10

4Q10

1Q11

2Q11

Dividends Declared

Excess Earnings Retained

12

Investment Portfolio Income and Spread

$0

$2,000

$4,000

$6,000

$8,000

$10,000

$12,000

$14,000

$16,000

3Q08

4Q08

1Q09

2Q09

3Q09

4Q09

1Q10

2Q10

3Q10

4Q10

1Q11

2Q11

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Net interest income after provision

Net interest spread

$ in thousands

13

Portfolio Leverage

3.3x

3.3x

4.1x

4.3x

4.3x

4.7x

4.4x

4.2x

3.8x

4.6x

5.2x

5.9x

0.0x

2.0x

4.0x

6.0x

3Q08

4Q08

1Q09

2Q09

3Q09

4Q09

1Q10

2Q10

3Q10

4Q10

1Q11

2Q11

14

Why Dynex

Excellent long term performance record

Strong and defensive balance sheet positioned to weather market

volatility

Experienced management with a track record of disciplined capital

deployment through multiple economic cycles

Alignment of interests with shareholders due to owner-operator

structure

Complementary investment opportunities exist with attractive

return profiles consistent with our investment philosophy

Opportunistic capital raises have increased shareholder value

without significant book value dilution

Appendix

16

Long Term Performance

Five Year Total Return

Source: SNL Financial.

(1)

Based on beginning share price of $6.99 on 8/24/06 and ending share price of $9.00 on 8/23/11. Assumes reinvestment of dividends.

(2)

SNL U.S. Finance REIT: Includes all publicly traded (NYSE, NASDAQ, OTC BB, Pink Sheets) Investment Companies with the following primary focuses: MBS REIT,

Mortgage REIT, and Specialty Finance REITs in SNL’s coverage universe.

DX(+85.25%)

(1)

SNL U.S. Finance REIT

(2)

S&P 500 (-0.02%)

17

Management Team

Experienced team of professionals with a combined 80 years of experience

managing mortgage REITs and mortgage portfolios

•

Thomas

B.

Akin

–

Chairman

and

Chief

Executive

Officer

–

32 years of experience in the industry and 7 years at Dynex

–

Chairman since 2003 and CEO since 2008

–

Managing Member of Talkot Capital, LLC

–

16 years at Merrill Lynch and Salomon Brothers

•

Byron

L.

Boston

–

Chief

Investment

Officer

–

27 years of experience in the industry with 3 years as CIO at Dynex

–

13 years managing levered multi-product portfolios at Freddie Mac and Sunset Financial Resources

–

11 years trading MBS on Wall Street

–

3 years Senior Corporate Lending Officer at Chemical Bank

•

Stephen

J.

Benedetti

–

Chief

Financial

Officer

and

Chief

Operating

Officer

–

21 years of experience in the industry

–

Employed at Dynex for 16 years in various treasury, risk management and financial reporting roles

–

Managed Dynex from 2002 –

2007

–

Began career at Deloitte & Touche

•

Portfolio

Management

Team

–

5

member team with a collective 65 years of industry experience with broad and deep skill sets in both

agency and non-agency investment strategies