The sharp book value decline and negative economic return underscore Annaly's sensitivity to rising rates and MBS spread widening. Monitor the pace of ATM equity issuance and the trajectory of Agency MBS spreads; further rate increases could pressure book value further, while the EAD/dividend coverage ratio provides a floor for the common dividend.
Price Chart
Executive Summary
Annaly Capital Management released its Q3 2026 investor presentation, reporting a GAAP net loss of ($1.36) per share driven by mark-to-market losses on its portfolio amid rising interest rates, while its core earnings available for distribution (EAD) of $0.80 per share covered the $0.75 dividend. Book value per share fell 11.4% sequentially to $17.86, and the economic return was negative (7.6%) for the quarter, reflecting the challenging rate environment for Agency MBS.
Key Facts
- GAAP net loss of ($1.36) per average common share for Q3 2026 vs. income of $1.06 in Q2 2026
- Earnings available for distribution (EAD) of $0.80 per share, up from $0.79 in Q2 2026
- Book value per common share fell to $17.86 from $20.15 in Q2 2026, a decline of 11.4%
- Economic return (loss) of (7.6%) for Q3 2026
- Declared quarterly common stock cash dividend of $0.75 per share
- Economic leverage increased to 5.9x from 5.6x in Q2 2026
- Total portfolio of $106.5 billion, with Agency MBS representing 86% of total assets
- Raised $757 million of common equity through ATM program during the quarter
- Announced redemption of all outstanding $442.5 million Series I preferred stock
- Agency MBS portfolio prepayment rate slowed to 9.6 CPR from 11.6 CPR in Q2 2026
Financial Impact
GAAP net loss of $1.00 billion for the quarter; book value declined by $2.29 per share sequentially; economic loss of 7.6%
Risk Factors
- Further interest rate increases could continue to pressure book value and economic returns
- Agency MBS spread widening could erode portfolio value
- Elevated leverage (5.9x economic) amplifies downside in volatile markets
- Continued ATM equity issuance may dilute existing shareholders
Investment Themes
Documents Analyzed
This report is based on 5 SEC documents filed with EDGAR.
| Document | Accession Number |
|---|---|
| 8-K Filing (Primary) | 0001043219-26-000079 |
| Document: nly-20261020.htm | 0001043219-26-000079 |
| Document: 0001043219-26-000079-index-headers.html | 0001043219-26-000079 |
| Document: 0001043219-26-000079-index.html | 0001043219-26-000079 |
| Document: 0001043219-26-000079.txt | 0001043219-26-000079 |
Filters
| Type | Now | ||||
|---|---|---|---|---|---|
Oct 26, 2026 1d ago | Institutional Cluster | $18.43 | awaiting T+60 | — | $18.24 (−1.03%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.28%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.28%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.28%) |
Oct 1, 2026 26d ago | 25-NSE | $18.70 | awaiting T+60 | — | $18.24 (−2.46%) |
Jun 11, 2026 19w ago | Institutional Cluster | $22.01 $22.81 | ▲ +3.63% | ▼ −0.76% | $18.24 (−17.13%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▼ −0.46% | ▼ −5.24% | $18.24 (−29.87%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▲ +0.46% | ▲ +5.24% | $18.24 (+29.87%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▲ +0.46% | ▲ +5.24% | $18.24 (+29.87%) |
US Market Status
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