|        |
|--------|
|        |
|   |

|          |
|----------|
|          |  |
|   R | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |

|               |
|---------------|
|               |  |
|   £ | 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                         | 23060-9245 |
| (Address of principal executive offices)                                       | (Zip Code) |
|                                                                           |   |
| (804) 217-5800(Registrant’s telephone number, including area code)  |

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

----

----

|            |
|------------|
|            |  |  |  |
|       |   |   | Page |
| PART I.    | FINANCIAL INFORMATION |   |
|       |   |   |   |
|       | Item 3. | Quantitative and Qualitative Disclosures about Market Risk | 1 |
|       |   |   |   |
| PART II.   | OTHER INFORMATION |   |
|       |   |   |   |
|       | Item 6. | Exhibits | 5 |
|       |   |   |   |
| SIGNATURES | 6 |

----

|         |                                                            |
|---------|------------------------------------------------------------|
| Item 3. | Quantitative and Qualitative Disclosures about Market Risk |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |
| Lifetime Interest Rate Caps on ARM MBS |   | Interim Interest Rate Caps on ARM MBS |
|                                   | % of Total |   |   | % of Total |
| 9.0% to 10.0%                          | 69.1 | % |   | 1.0% | 0.5 | % |
| >10.0% to 11.0%                     | 25.2 | % |   | 2.0% | 15.6 | % |
| >11.0% to 12.1%                     | 5.7 | % |   | 5.0%-6.0% | 83.9 | % |
|                                   | 100.0 | % |   |   | 100.0 | % |

----

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |
|                                 |   | June 30, 2012 |
| Basis Point Change in Interest Rates |   | Percentage change in projected net interest income(1) |   | Percentage change in projected market value(2) |
|                                 |   |   |   |   |
| +100                                 |   | (5.4)% |   | (1.2)% |
| +50                                  |   | (2.4)% |   | (0.6)% |
| 0                                    |   | —% |   | — |
| -50                                  |   | 4.4% |   | 0.5% |
| -100                                 |   | 5.6% |   | 1.0% |

|     |                                                                                                                     |
|-----|---------------------------------------------------------------------------------------------------------------------|
| (1) | Includes changes in interest expense from the financings for our investments as well as our derivative instruments. |

|     |                                                                                                                                                                                         |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Includes changes in market value of our derivative instruments, but excludes changes in market value of our financings because they are not carried at fair value on our balance sheet. |

----

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| (amounts in thousands)                      | June 30, 2012 |   | December 31, 2011 |
| Agency:                                     | RMBS |   | CMBS |   | CMBS IO |   | RMBS |   | CMBS |   | CMBS IO |
| 0-12 months to reset                        | $ | 30,348 |  |   | $ | — |  |   | $ | — |  |   | $ | 15,338 |  |   | $ | — |  |   | $ | — |  |
| Greater than 12 months to reset             | 84,809 |  |   | — |  |   | — |  |   | 70,150 |  |   | — |  |   | — |  |
| Fixed rate                                  | 5,656 |  |   | 22,412 |  |   | 295,046 |  |   | (17 | ) |   | 21,627 |  |   | 86,358 |  |
| Total premium, net                          | $ | 120,813 |  |   | $ | 22,412 |  |   | $ | 295,046 |  |   | $ | 85,471 |  |   | $ | 21,627 |  |   | $ | 86,358 |  |
| Par/notional balance                        | $ | 2,216,357 |  |   | $ | 286,982 |  |   | $ | 4,543,349 |  |   | $ | 1,488,397 |  |   | $ | 266,952 |  |   | $ | 1,813,096 |  |
| Premium, net as a % of par value            | 5.5 |  % |   | 7.8 |  % |   | 6.5 | % |   | 5.7 |  % |  | 8.1 |  % |  | 4.8 | % |
|                                        |   |   |   |   |   |   |   |   |   |   |   |
| Non-Agency:                                 |   |   |   |   |   |   |   |   |   |   |   |
| 0-12 months to reset                        | $ | 4 |  |   | $ | — |  |   | $ | — |  |   | $ | (540 | ) |   | $ | — |  |   | $ | — |  |
| Greater than 12 months to reset             | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |
| Fixed rate                                  | (855 | ) |   | (19,105 | ) |   | 63,601 |  |   | (463 | ) |   | (13,865 | ) |   | 51,239 |  |
| Total (discount) premium, net               | $ | (851 | ) |   | $ | (19,105 | ) |   | $ | 63,601 |  |   | $ | (1,003 | ) |   | $ | (13,865 | ) |   | $ | 51,239 |  |
| Par/notional balance                        | $ | 19,282 |  |   | $ | 473,198 |  |   | $ | 1,011,637 |  |   | $ | 17,119 |  |   | $ | 359,853 |  |   | $ | 906,202 |  |
| (Discount) premium, net as a % of par value | (4.4 | )% |   | (4.0 | )% |   | 6.3 | % |   | (5.9 | )% |   | (3.9 | )% |   | 5.7 | % |

----

|                      |
|----------------------|
|                      |  |  |  |  |  |  |  |  |  |  |  |
|                 | June 30, 2012 |
|                 | CMBS |   | CMBS IOs |   | RMBS |   | Weighted average |
| AAA                  | 34.7 | % |   | 100.0 | % |   | 41.3 | % |   | 42.7 | % |
| AA                   | 12.3 | % |   | — | % |   | 1.4 | % |   | 10.5 | % |
| A                    | 52.2 | % |   | — | % |   | — | % |   | 44.4 | % |
| Below A or not rated | 0.8 | % |   | — | % |   | 57.3 | % |   | 2.4 | % |

----

|             |
|-------------|
|             |  |
| Exhibit No. | Description |
| 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).  |

----

|        |
|--------|
|        |  |  |
|   |   | DYNEX CAPITAL, INC. |
|   |   |   |
|   |   |   |
| Date:  | August 21, 2012 | /s/  Thomas B. Akin |
|   |   | Thomas B. Akin |
|   |   | Chairman and Chief Executive Officer |
|   |   | (Principal Executive Officer) |
|   |   |   |
|   |   |   |
| Date:  | August 21, 2012 | /s/  Stephen J. Benedetti |
|   |   | Stephen J. Benedetti |
|   |   | Executive Vice President, Chief Operating Officer and Chief Financial Officer |
|   |   | (Principal Financial Officer) |