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|  (Mark      One) |                                                                                           |
|-----------------------|------------------------------------------------------------------------------------------------|
|        þ    | ANNUAL      REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF      1934 |

|        o | TRANSITION      REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF      1934 |
|---------------|----------------------------------------------------------------------------------------------------|

| Virginia                                                                           | 52-1549373                                     |
|------------------------------------------------------------------------------------|------------------------------------------------|
| (State      or other jurisdiction of                                               | (I.R.S.      Employer                          |
| incorporation      or organization)                                                | Identification      No.)                       |
|                                                                               |                                           |
| 4991      Lake Brook Drive, Suite 100, Glen Allen, Virginia                        | 23060                                          |
| (Address      of principal executive offices)                                      | (Zip      Code)                                |
|                                                                               |                                           |
| (804)      217-5800(Registrant’s      telephone number, including area code) |
|                                                                               |
| Securities      registered pursuant to Section 12(b) of the Act:                   |
| Title of each      class                                                           | Name of each exchange      on which registered |
| Common      Stock, $.01 par value                                                  | New      York Stock Exchange                   |
| Series      D 9.50% Cumulative ConvertiblePreferred      Stock, $.01 par value     | New      York Stock Exchange                   |
|                                                                               |                                           |
| Securities      registered pursuant to Section 12(g) of the Act: None              |

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| Large      accelerated filer | o                                                               | Accelerated    filer           | þ |
|------------------------------|-----------------------------------------------------------------|--------------------------------|--------|
| Non-accelerated      filer   | o  (Do      not check if a smaller reporting company) | Smaller reporting      company | o      |

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|   | EXPLANATORY      NOTE |
|--------|-----------------------|

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| ITEM      15. | EXHIBITS,      FINANCIAL STATEMENT SCHEDULES |
|---------------|----------------------------------------------|

| 1.      and 2. | Financial      Statements and SchedulesThe      information required by this section of Item 15 is set forth in the      Consolidated Financial Statements and Reports of Independent Registered      Public Accounting Firm beginning at page F-1 of this annual report on Form      10-K.  The index to the Financial Statements is set forth at      page F-2 of this annual report on Form10-K. |
|----------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| 3. | Exhibits |
|----|----------|

| Number  | Exhibit                                                                                                                                                                                                                                                                                                                                                          |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3.1     | Restated      Articles of Incorporation, effective July 9, 2008 (incorporated herein by      reference to Exhibit 3.1 to Dynex’s Current Report on Form 8-K filed July      11, 2008).                                                                                                                                                                |
| 3.2     | Amended      and Restated Bylaws, effective March 26, 2008 (incorporated herein by      reference to Exhibit 3.2 to Dynex’s Current Report on Form 8-K filed April      1, 2008).                                                                                                                                                                     |
| 8.1     | Opinion      of Troutman Sanders, LLP with respect to certain tax matters (incorporated      herein by reference to Exhibit 8.1 to Dynex’s Annual Report on Form 10-K      for the year ended December 31, 2008).                                                                                                                                     |
| 10.1*   | Dynex      Capital, Inc. 2004 Stock Incentive Plan (incorporated herein by reference      to Exhibit 10.1 to Dynex’s Annual Report on Form 10-K for the year ended      December 31, 2004).                                                                                                                                                           |
| 10.1.1* | 409A      Amendment to Dynex Capital, Inc. 2004 Stock Incentive Plan, dated December      31, 2008 (incorporated herein by reference to Exhibit 10.1.1 to Dynex’s      Annual Report on Form 10-K for the year ended December 31,      2008).                                                                                                         |
| 10.2*   | Form      of Stock Option Agreement for Non-Employee Directors under the Dynex      Capital, Inc. 2004 Stock Incentive Plan (incorporated herein by reference      to Exhibit 10.2 to Dynex’s Quarterly Report on Form 10-Q for the quarter      ended June 30, 2005).                                                                                |
| 10.3*   | Form      of Stock Appreciation Rights Agreement for Senior Executives under the      Dynex Capital, Inc. 2004 Stock Incentive Plan (incorporated herein by      reference to Exhibit 10.3 to Dynex’s Quarterly Report on Form 10-Q for the      quarter ended June 30, 2005).                                                                        |
| 10.4    | Limited      Liability Company Agreement of Copperhead Ventures, LLC dated September 8,      2006 (portions of this exhibit have been omitted pursuant to a request for      confidential treatment) (incorporated herein by reference to Exhibit 10.1      to Dynex’s Quarterly Report on Form 10-Q for the quarter ended September      30, 2006).  |

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| Number  | Exhibit                                                                                                                                                                                                                                                                              |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 10.5*   | Severance      Agreement between Dynex Capital, Inc. and Stephen J. Benedetti dated June      11, 2004 (incorporated herein by reference to Exhibit 10.5 to Dynex’s      Annual Report on Form 10-K for the year ended December 31,      2007).                           |
| 10.5.1* | 409A      Amendment to Severance Agreement between Dynex Capital, Inc. and Stephen      J. Benedetti, dated December 31, 2008 (incorporated herein by reference to      Exhibit 10.5.1 to Dynex’s Annual Report on Form 10-K for the year ended      December 31, 2008).  |
| 10.6*   | Employment      Agreement, dated as of March 31, 2008, between Dynex Capital, Inc. and      Thomas B. Akin (incorporated herein by reference to Exhibit 10.6 to      Dynex’s Current Report on Form 8-K filed April 4, 2008).                                             |
| 10.7*   | Dynex      Capital, Inc. 401(k) Overflow Plan, effective July 1, 1997 (incorporated      herein by reference to Exhibit 10.7 to Dynex’s Quarterly Report on Form      10-Q for the quarter ended March 31, 2008).                                                         |
| 10.8    | Sales      Agreement, dated as of March 16, 2009, between Dynex Capital, Inc. and      Cantor Fitzgerald & Co. (incorporated herein by reference to Exhibit      10.8 to Dynex’s Annual Report on Form 10-K for the year ended December 31,      2008).               |
| 21.1    | List      of consolidated entities of Dynex (incorporated herein by reference to      Exhibit 21.1 to Dynex’s Annual Report on Form 10-K for the year ended      December 31, 2008).                                                                                      |
| 23.1    | Consent      of BDO Seidman, LLP (incorporated herein by reference to Exhibit 23.1 to      Dynex’s Annual Report on Form 10-K for the year ended December 31,      2008).                                                                                                 |
| 23.2    | Consent      of BDO Seidman, LLP (filed herewith).                                                                                                                                                                                                                              |
| 31.1    | Certification      of principal executive officer pursuant to Section 302 of the      Sarbanes-Oxley Act of 2002 (filed herewith).                                                                                                                                              |
| 31.2    | Certification      of principal financial officer pursuant to Section 302 of the      Sarbanes-Oxley Act of 2002 (filed herewith).                                                                                                                                              |
| 32.1    | Certification      of principal executive officer and principal financial officer pursuant to      Section 906 of the Sarbanes-Oxley Act of 2002 (filed      herewith).                                                                                                         |
| 99.1    | Financial      Statements of Copperhead Ventures, LLC and the report of independent      registered public accounting firm thereon (filed herewith).                                                                                                                            |

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|                | DYNEX CAPITAL, INC.                                                                                           |   |
|---------------------|---------------------------------------------------------------------------------------------------------------|--------|
|                | (Registrant)                                                                                                  |   |
|                |                                                                                                          |   |
|                |                                                                                                          |   |
| March      31, 2009 | /s/      Stephen J. Benedetti                                                                                 |   |
|                | Stephen      J. Benedetti, Executive Vice President, Chief Operating Officer and Chief      Financial Officer |   |
|                |                                                                                                          |   |

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