Exhibit 99.2

NOTICE OF REDEMPTION OF

7.625% SERIES B CUMULATIVE REDEEMABLE PREFERRED STOCK

(CUSIP No.: 26817Q803)

OF DYNEX CAPITAL, INC.

NOTICE IS HEREBY GIVEN, that Dynex Capital, Inc., a Virginia corporation (the “Company”), has called for the redemption of, and will redeem on March 16, 2020 (the “Redemption Date”), $47,500,000 of its 7.625% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series B Preferred Stock”), outstanding on such date for the price of $25.00, plus $0.3177083 in accumulated and unpaid dividends, for an aggregate redemption price of $25.3177083 per share (the “Redemption Price”) (the “Redemption”). Shares of the Series B Preferred Stock shall be selected for redemption on a pro rata basis (as nearly as may be practicable without creating fractional shares). Therefore, the number of shares of Series B Preferred Stock of the holder receiving this notice that shall be redeemed is as set forth in Schedule A hereto. The Redemption is being made pursuant to Section 7(b) of Article IIIB of the Company’s Restated Articles of Incorporation.

Payment of the Redemption Price, upon book-entry transfer or surrender to Computershare Trust Company, N.A. (the “Agent”) of Series B Preferred Stock, will be made during usual business hours at the following addresses on or promptly after the Redemption Date:

The Company has the right at any time after the mailing of this notice and prior to the Redemption Date to irrevocably deposit the Redemption Price of the Series B Preferred Stock to a special account at the principal office of Computershare Trust Company, N.A. to be held for the respective holders of such Series B Preferred Stock upon presentation and surrender at the said office of Computershare Trust Company, N.A. of certificates representing the same. From and after the Redemption Date, dividends on the Series B Preferred Stock shall cease to accumulate and holders of Series B Preferred Stock will not have any rights as such holders other than the right to receive the Redemption Price, without interest, upon book-entry transfer or surrender of Series B Preferred Stock. Holders of the Series B Preferred Stock have, as an alternative to Redemption, the right to sell their Series B Preferred Stock through usual brokerage transactions prior to the Redemption Date.

Questions relating to this notice should be directed to Computershare Trust Company, N.A. at 800-546-5141 or to the Company at 804-217-5897.

February 14, 2020

Schedule A

Schedule A