Annaly Capital Management posts third-quarter loss of $1.36 per share as book value falls

Annaly Capital Management Inc. (NLY) posted a GAAP loss of $1.36 per average common share for the quarter ended Sept. 30, 2026, a regulatory filing showed Tuesday.

The internally managed real estate investment trust posted a financial supplement on its investor website on Oct. 20, 2026. It said the supplement was furnished in connection with its third-quarter earnings release.

The net loss was $1.0 billion, compared with net income of $843 million a year earlier.

Here's how the company did:

• GAAP loss per average common share: ($1.36), vs. $1.21 a year earlier
• Net loss: $1.0 billion, vs. net income of $843 million 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

Earnings available for distribution, a non-GAAP measure that excludes certain unrealized, non-cash or episodic items from GAAP net income, totaled $649 million. That was up from $520 million a year earlier.

The net loss compared with net income of $828 million in the second quarter. The filing shows net losses on investments and other of $4.7 billion, partly offset by $3.1 billion in net gains on derivatives.

Total interest income was $2.0 billion, up from $1.5 billion a year earlier. Total interest expense was $1.4 billion, up from $1.3 billion.

Economic net interest income, which includes the net interest component of interest rate swaps, was $648 million. That compares with $481 million a year earlier.

Net interest margin rose to 1.54% from 1.47% in the second quarter and 0.97% a year earlier. The average yield on interest earning assets was 5.58%, against an average GAAP cost of interest bearing liabilities of 4.34%.

Net interest spread was 1.24%, up from 1.16% in the second quarter. The premium amortization adjustment was a benefit of $44.5 million, compared with a cost of $18.4 million a year earlier.

Net servicing income was $156 million, up from $126 million a year earlier.

Book value per common share fell to $17.86 from $20.15 at June 30. The book value rollforward includes the $1.36 per-share loss, $0.31 of other comprehensive loss and $0.75 of declared common dividends.

The company declared $0.75 per common share, unchanged from the second quarter and up from $0.70 a year earlier. Dividends on preferred stock totaled $41.3 million.

GAAP leverage was 8.0x at period-end, up from 7.4x, while economic leverage was 5.9x, up from 5.6x. The GAAP capital ratio fell to 10.9% from 11.8%.

The total investment portfolio stood at $140.5 billion at period-end, up from $139.2 billion at June 30. Total assets were $146.1 billion.

Assets transferred or pledged to securitization vehicles rose to $42.5 billion from $38.3 billion. Residential mortgage loans, net, were $6.9 billion, down from $7.3 billion.

Repurchase agreements totaled $85.5 billion, down from $86.9 billion, while total debt was $127.2 billion, up from $124.9 billion.

Total common shares outstanding were 784.7 million at period-end, up from 750.6 million at June 30. The hedge ratio was 100%, up from 97%.

Operating expenses equaled 8.20% of earnings available for distribution, down from 9.27%.

After quarter end, all outstanding shares of the 6.750% Series I preferred stock were redeemed on Oct. 1, 2026.

The figures in the supplement are unaudited. It includes no outlook figures.