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<TITLE>SECURITIES AND EXCHANGE COMMISSION</TITLE>
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<META NAME="date" CONTENT="05/03/2006">
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>UNITED STATES</B></P>
<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>SECURITIES AND EXCHANGE COMMISSION</B></P>
<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>Washington, D.C. 20549</B></P>
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<P style="line-height:16pt; margin:0pt; font-size:14pt" align=center><B>FORM 8-K</B></P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>CURRENT REPORT</B></P>
<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934</B></P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center>Date of Report (Date of earliest event reported): <B>March 15, 2006</B></P>
<P style="margin:0pt" align=center><B>___________</B></P>
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<P style="line-height:18pt; margin:0pt; font-size:16pt" align=center><B>DYNEX CAPITAL, INC.</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(Exact name of registrant as specified in its charter)</P>
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<TABLE style="font-size:10pt" cellspacing=0 align=center><TR><TD width=144.75></TD><TD width=72></TD><TD width=72></TD><TD width=144></TD></TR>
<TR><TD valign=top width=193><P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>Virginia</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(State or other jurisdiction</P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>of incorporation)</P>
</TD><TD valign=top width=192 colspan=2><P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>1-9819</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(Commission File Number)</P>
</TD><TD valign=top width=192><P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>52-1549373</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(I.R.S. Employer</P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>Identification No.)</P>
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<TR><TD valign=top width=193><P style="margin:0pt; font-size:11pt">&nbsp;</P>
</TD><TD valign=top width=192 colspan=2><P style="margin:0pt; font-size:11pt">&nbsp;</P>
</TD><TD valign=top width=192><P style="margin:0pt; font-size:11pt">&nbsp;</P>
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<TR><TD valign=top width=289 colspan=2><P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>4551 Cox Road, Suite 300</B></P>
<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>Glen Allen, Virginia</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(Address of principal executive offices)</P>
</TD><TD valign=top width=288 colspan=2><P style="margin:0pt" align=center><BR></P>
<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>23060</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(Zip Code)</P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center>Registrant&#146;s telephone number, including area code: <B>(804) 217-5800</B></P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>Not Applicable</B></P>
<P style="line-height:13pt; margin:0pt; font-size:11pt" align=center>(Former name or former address, if changed since last report)</P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=justify>Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:</P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; text-indent:18pt; font-family:Wingdings; font-size:12pt" align=justify><FONT FACE="Wingdings">o</FONT></P>
<P style="line-height:14pt; margin:0pt; text-indent:36pt; font-size:12pt" align=justify><FONT FACE="Times New Roman">Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)</FONT></P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; text-indent:18pt; font-family:Wingdings; font-size:12pt" align=justify><FONT FACE="Wingdings">o</FONT></P>
<P style="line-height:14pt; margin:0pt; text-indent:36pt; font-size:12pt" align=justify><FONT FACE="Times New Roman">Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)</FONT></P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; padding-left:36pt; text-indent:-18pt; font-family:Wingdings; font-size:12pt" align=justify><FONT FACE="Wingdings">o</FONT></P>
<P style="line-height:14pt; margin:0pt; padding-left:36pt; font-size:12pt" align=justify><FONT FACE="Times New Roman">Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))</FONT></P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; padding-left:36pt; text-indent:-18pt; font-family:Wingdings; font-size:12pt" align=justify><FONT FACE="Wingdings">o</FONT></P>
<P style="line-height:14pt; margin:0pt; padding-left:36pt; font-size:12pt" align=justify><FONT FACE="Times New Roman">Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))</FONT></P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; padding-left:72pt; text-indent:-72pt; font-size:12pt" align=justify><B>Item 5.02. &nbsp;</B></P>
<P style="line-height:14pt; margin:0pt; padding-left:72pt; font-size:12pt" align=justify><B>Departure of Directors or Principal Officers; Election of Directors; Appointment of Principal Officers.</B></P>
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<P style="margin-top:4.6pt; margin-bottom:12pt; text-indent:36pt; font-size:12pt">On March 15, 2006, J. Sidney Davenport advised the Board of his decision to retire from the Registrant&#146;s Board of Directors effective as of the date of the Registrant&#146;s 2006 Annual Meeting of Shareholders. &nbsp;Accordingly, he has declined to stand for re-election to the Board at such meeting. &nbsp;</P>
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<P style="line-height:14pt; margin:0pt; font-size:12pt" align=center><B>SIGNATURE</B></P>
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<P style="line-height:14pt; margin:0pt; text-indent:36pt; font-size:12pt" align=justify>Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.</P>
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<P style="line-height:14pt; margin:0pt; text-indent:216pt; font-size:12pt"><B>DYNEX CAPITAL, INC.</B></P>
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<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; font-size:12pt">Date:</P>
<P style="line-height:14pt; margin-top:0pt; margin-bottom:-14pt; text-indent:36pt; font-size:12pt">May 3, 2006</P>
<P style="line-height:14pt; margin:0pt; text-indent:216pt; font-size:12pt">By: &nbsp;<U>/s/ Stephen J. Benedetti</U></P>
<P style="line-height:14pt; margin:0pt; text-indent:238.5pt; font-size:12pt">Stephen J. Benedetti</P>
<P style="line-height:14pt; margin:0pt; text-indent:238.5pt; font-size:12pt">Executive Vice President and</P>
<P style="line-height:normal; margin:0pt; text-indent:238.5pt; font-size:11pt">&nbsp;&nbsp;Chief Financial Officer</P>
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SECURITIES AND EXCHANGE COMMISSION
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
___________
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report (Date of earliest event reported):
March 15, 2006
___________
DYNEX CAPITAL, INC.
(Exact name of registrant as specified in its charter)
Virginia
(State or other jurisdiction
of incorporation)
1-9819
(Commission File Number)
52-1549373
(I.R.S. Employer
Identification No.)
4551 Cox Road, Suite 300
Glen Allen, Virginia
(Address of principal executive offices)
23060
(Zip Code)
Registrant's telephone number, including area code:
(804) 217-5800
Not Applicable
(Former name or former address, if changed since last report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
o
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
o
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
o
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
o
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 5.02.
Departure of Directors or Principal Officers; Election of Directors; Appointment of Principal Officers.
On March 15, 2006, J. Sidney Davenport advised the Board of his decision to retire from the Registrant's Board of Directors effective as of the date of the Registrant's 2006 Annual Meeting of Shareholders.  Accordingly, he has declined to stand for re-election to the Board at such meeting.
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
DYNEX CAPITAL, INC.
Date:
May 3, 2006
By:
/s/ Stephen J. Benedetti
Stephen J. Benedetti
Executive Vice President and
Chief Financial Officer