Annaly Capital Management posts third-quarter GAAP loss of $1.36 per share

Annaly Capital Management, Inc. (NLY) posted a GAAP net loss of $1.36 per average common share for the third quarter ended Sept. 30, a regulatory filing showed on Tuesday.

Earnings available for distribution, a non-GAAP measure that excludes realized and unrealized gains and losses on investments and derivatives, came to $0.80 per share.

Here's how the company did:

• GAAP net income (loss) per average common share: ($1.36), vs. $1.21 a year earlier
• Earnings available for distribution per average common share: $0.80, vs. $0.73 a year earlier
• Book value per common share: $17.86, vs. $19.25 a year earlier
• Dividend declared per common share: $0.75, vs. $0.70 a year earlier
• GAAP interest income: $1.97 billion, vs. $1.53 billion a year earlier

The filing does not state total revenue.

The presentation puts the quarter's economic return at a loss of 7.6%. It defines economic return as the change in book value plus dividends declared, divided by the prior period's book value.

Total portfolio was $106.5 billion at quarter end, including $91.8 billion in the Agency MBS strategy, which the company said represents 86% of total assets. Residential Credit was essentially flat at $10.4 billion, and the mortgage servicing rights portfolio rose 6% to $4.3 billion in market value.

Economic leverage was 5.9 times, up from 5.6 times at the end of the second quarter. Liquidity totaled $8.5 billion of total assets available for financing, including $4.2 billion of cash and unencumbered Agency MBS.

Annaly raised $757 million of common equity through its at-the-market sales program during the quarter, net of sales agent commissions and other offering expenses, and the presentation calls the raise accretive. It also said all outstanding shares of its $442.5 million Series I preferred stock were redeemed on Oct. 1, 2026, after quarter end.

Average GAAP cost of interest-bearing liabilities was 4.34%, up 6 basis points from the second quarter. The average economic cost was 4.03%, up 7 basis points.

Annaly Residential Credit Group priced 37 residential whole loan securitizations totaling $21.2 billion in proceeds so far in 2026. The presentation said the company remains the largest non-bank issuer of Prime Jumbo and Expanded Credit MBS.

The presentation said the third quarter was the seventh consecutive quarter of record quarterly securitization issuance, at $7.4 billion through 12 transactions.

The correspondent channel produced $7.0 billion in lock volume and $5.8 billion in fundings in the third quarter, up 13% and 45% from a year earlier.

Onslow Bay bought $43.9 billion in unpaid principal balance of conventional MSR so far in 2026, which the presentation ranks first among buyers.

As of Sept. 30, the company estimated that a 50 basis point rise in interest rates would reduce portfolio market value by 0.5%, or 3.7% of net asset value. A 25 basis point widening in MBS spreads would reduce portfolio market value by 1.3%, or 10.1% of net asset value. The estimates assume no active management of the portfolio.

The presentation said solid economic growth and heavy debt issuance drove rates higher and increased volatility. Agency MBS spreads widened 15 to 25 basis points during the quarter.

Non-Agency gross issuance topped $210 billion, up about 30% so far this year, the presentation said. Non-QM issuance was nearly $90 billion, up 57%.

The presentation said earnings available for distribution exceeded the dividend.

The presentation accompanies the company's third-quarter 2026 earnings release, which is not part of the 8-K. The filing gives no forward earnings guidance and no executive comment on the quarter.