The sharp book value decline and increased leverage signal heightened sensitivity to interest rate and MBS spread movements. Monitor the Q4 earnings call for hedging strategy updates and any changes to the dividend policy, as the current $0.75 payout exceeds EAD per share of $0.80 on an annualized basis.
Price Chart
Executive Summary
Annaly Capital Management filed its Q3 2026 financial supplement, reporting a GAAP net loss of $1.36 per share (vs. +$1.06 in Q2) driven by large unrealized mark-to-market losses on its investment portfolio, while core earnings available for distribution (EAD) per share improved slightly to $0.80 from $0.79. Book value per share fell sharply to $17.86 from $20.15, a decline of 11.4%, reflecting the impact of rising rates and spread widening on the agency MBS portfolio. The dividend was maintained at $0.75 per common share.
Key Facts
- GAAP net loss per share of ($1.36) vs. income of $1.06 in Q2 2026
- Book value per share fell to $17.86 from $20.15, a decline of 11.4%
- Earnings available for distribution (EAD) per share was $0.80, up from $0.79
- Dividend maintained at $0.75 per common share
- GAAP leverage increased to 8.0x from 7.4x; economic leverage rose to 5.9x from 5.6x
- Net interest margin (GAAP) improved to 1.54% from 1.47%
- Total investment portfolio grew to $140.5 billion from $139.2 billion
- Common shares outstanding increased to 784.7 million from 750.6 million
Financial Impact
Book value per share declined by $2.29 (11.4%) quarter-over-quarter, driven by $4.7 billion in net unrealized losses on investments. GAAP net loss attributable to common stockholders was $1.04 billion.
Risk Factors
- Further rate increases or MBS spread widening could pressure book value and leverage ratios
- Dividend sustainability risk if EAD does not grow or if book value continues to decline
- Increased leverage amplifies portfolio losses in adverse rate environments
Investment Themes
Documents Analyzed
This report is based on 5 SEC documents filed with EDGAR.
| Document | Accession Number |
|---|---|
| 8-K Filing (Primary) | 0001043219-26-000078 |
| Document: nly-20261020.htm | 0001043219-26-000078 |
| Document: 0001043219-26-000078-index-headers.html | 0001043219-26-000078 |
| Document: 0001043219-26-000078-index.html | 0001043219-26-000078 |
| Document: 0001043219-26-000078.txt | 0001043219-26-000078 |
Filters
| Type | Now | ||||
|---|---|---|---|---|---|
Oct 26, 2026 1d ago | Institutional Cluster | $18.43 | awaiting T+60 | — | $18.24 (−1.06%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.25%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.25%) |
Oct 20, 2026 6d ago | 8-K | $18.01 | awaiting T+60 | — | $18.24 (−1.25%) |
Oct 1, 2026 26d ago | 25-NSE | $18.70 | awaiting T+60 | — | $18.24 (−2.49%) |
Jun 11, 2026 19w ago | Institutional Cluster | $22.01 $22.81 | ▲ +3.63% | ▼ −0.76% | $18.24 (−17.15%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▼ −0.46% | ▼ −5.24% | $18.24 (−29.89%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▲ +0.46% | ▲ +5.24% | $18.24 (+29.89%) |
Apr 21, 2026 26w ago | 8-K | $26.01 $25.89 | ▲ +0.46% | ▲ +5.24% | $18.24 (+29.89%) |
US Market Status
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