3rd Quarter 2026
Filed Oct 20, 2026Annaly Capital Management, Inc. reports third-quarter 2026 GAAP net loss of $ (1.36) per average common share and earnings available for distribution of $ 0.80 per average common share.
EAD of $ 0.80 per average common share exceeded the declared $ 0.75 common dividend, but the company reported a GAAP net loss of $ (1.36) per average common share, economic return of (7.6%), and book value per common share of $ 17.86, versus $ 20.15 in the prior quarter.
Key metrics
shortened, hover for the filing’s print| Metric | Value | q/q | y/y |
|---|---|---|---|
| Q3 2026 GAAP interest incomeGAAP | $1.97B | – | – |
| Q3 2026 GAAP interest expenseGAAP | $1.43B | – | – |
| Q3 2026 GAAP net interest incomeGAAP | $543.6M | – | – |
| Q3 2026 net servicing incomeGAAP | $156.0M | – | – |
| Q3 2026 net gains (losses) on investments and otherGAAP | −$4.72B | – | – |
| Q3 2026 net gains (losses) on derivativesGAAP | $3.07B | – | – |
| Q3 2026 total other income (loss)GAAP | −$1.63B | – | – |
| Q3 2026 total general and administrative expensesGAAP | $53.21M | – | – |
| Q3 2026 net income (loss)GAAP | −$1.00B | – | – |
| Q3 2026 net income (loss) attributable to AnnalyGAAP | −$1.00B | – | – |
| Q3 2026 net income (loss) available (related) to common stockholdersGAAP | −$1.04B | – | – |
| Q3 2026 basic net income (loss) per share available (related) to common stockholdersGAAP | $ (1.36) | – | – |
| Q3 2026 diluted net income (loss) per share available (related) to common stockholdersGAAP | $ (1.36) | – | – |
| Q3 2026 annualized GAAP return on average equityGAAP | (24.35 %) | – | – |
| Q3 2026 book value per common shareGAAP | $ 17.86 | – | – |
| Q3 2026 net interest marginGAAP | 1.54 % | – | – |
| Q3 2026 average yield on interest earning assetsGAAP | 5.58 % | – | – |
| Q3 2026 average GAAP cost of interest bearing liabilitiesGAAP | 4.34 % | up six basis points quarter-over-quarter | – |
| Q3 2026 net interest spreadGAAP | 1.24 % | – | – |
| Q3 2026 earnings available for distributionnon-GAAP | $649.1M | – | – |
| Q3 2026 earnings available for distribution attributable to common stockholdersnon-GAAP | $607.8M | – | – |
| Q3 2026 earnings available for distribution per average common sharenon-GAAP | $ 0.80 | – | – |
| Q3 2026 annualized EAD return on average equitynon-GAAP | 15.86 % | – | – |
| Q3 2026 net interest margin (excluding PAA)non-GAAP | 1.69 % | – | – |
| Q3 2026 average economic cost of interest bearing liabilitiesnon-GAAP | 4.03 % | up seven basis points quarter-over-quarter | – |
| Q3 2026 net interest spread (excluding PAA)non-GAAP | 1.42 % | – | – |
| Q3 2026 GAAP leverage at period-endGAAP | 8.0:1 | up from 7.4x in the prior quarter | – |
| Q3 2026 economic leverage at period-endnon-GAAP | 5.9:1 | up from 5.6x in the prior quarter | – |
| Q3 2026 total investment portfolioGAAP | $140.5B | – | – |
| September 30, 2026 total assetsGAAP | $146.1B | – | – |
| September 30, 2026 cash and cash equivalentsGAAP | $2.18B | – | – |
| September 30, 2026 total liabilitiesGAAP | $130.3B | – | – |
| September 30, 2026 total equityGAAP | $15.89B | – | – |
| September 30, 2026 repurchase agreementsGAAP | $85.53B | – | – |
| September 30, 2026 debt issued by securitization vehiclesGAAP | $38.38B | – | – |
| September 30, 2026 weighted average experienced CPR for the periodother | 9.6 % | – | – |
| September 30, 2026 weighted average projected long-term CPR at period-endother | 8.6 % | – | – |
| September 30, 2026 hedge ratioother | 100 % | – | – |
| Q3 2026 economic return (loss)other | (7.6%) | – | – |
Amounts quoted below without a unit are in thousands, as in the filing’s tables. Per-share figures are as printed.
Capital returns
- Declared quarterly common stock cash dividend of $0.75 per share.
- Raised $757 million of accretive capital through the Company’s at-the-market sales program.
- Announced redemption of all outstanding shares of the $442.5 million Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock.
- All outstanding shares of Annaly's 6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock were redeemed subsequent to quarter end on October 1, 2026.
What drove it
- Total portfolio was $106.5 billion, including $91.8 billion in the highly liquid Agency portfolio.
- The Agency portfolio represented 55% of dedicated capital and activity focused on further rotation into higher coupon specified pools.
- The Residential Credit portfolio was $10.4 billion, represented 23% of dedicated capital, and recorded record loan fundings of $5.8 billion through the whole loan correspondent channel.
- The MSR portfolio increased to $4.3 billion in market value and represented 22% of dedicated capital.
- Annaly Residential Credit Group issued twelve securitizations totaling a record $7.4 billion.
- The company added Treasury futures to offset market-driven extension and ended the quarter with a hedge ratio of 100%.
Concerns
- The company reported GAAP net income (loss) of $ (1.36) per average common share and a GAAP net loss of $ (1,000,698).
- Book value per common share was $ 17.86, compared with $ 20.15 in the prior quarter.
- Net gains (losses) on investments and other were $ (4,721,745), partially offset by net gains (losses) on derivatives of $ 3,074,072.
- Economic return (loss) was (7.6%) for the third quarter.
- GAAP leverage increased to 8.0:1 from 7.4:1 in the prior quarter, while economic leverage increased to 5.9:1 from 5.6:1.
- Net interest margin excluding PAA was 1.69 %, compared with 1.76 % in the prior quarter, and net interest spread excluding PAA was 1.42 %, compared with 1.50 %.
What to watch
- Book value per common share following the reported $ 17.86 at September 30, 2026.
- The effect of the 100% hedge ratio and Treasury futures additions on interest-rate exposure.
- The trajectory of GAAP leverage of 8.0:1 and economic leverage of 5.9:1.
- The funding cost trend after average GAAP cost of interest bearing liabilities reached 4.34 % and average economic cost reached 4.03 %.
- Whether EAD per average common share continues to exceed the $0.75 per-share common dividend.
- Residential Credit securitization activity and whole-loan production after $7.4 billion of securitizations and $5.8 billion of record loan fundings.
Balance sheet and cash flow
- Cash and cash equivalents were $ 2,180,894 as of September 30, 2026.
- Total assets were $ 146,147,474 and total equity was $ 15,894,386 as of September 30, 2026.
- Repurchase agreements were $ 85,525,065 and debt issued by securitization vehicles was $ 38,380,269 as of September 30, 2026.
- $8.5 billion of total assets were available for financing, including cash and unencumbered Agency MBS of $4.2 billion.
- Maintained warehouse capacity of $8.3 billion across the Residential Credit and MSR businesses, including $2.8 billion of committed capacity.
Analysis
Annaly reported a third-quarter GAAP net loss of $ (1,000,698), with diluted net income (loss) per share available to common stockholders of $ (1.36). The loss reflected $ (4,721,745) of net gains (losses) on investments and other, partly offset by $ 3,074,072 of net gains (losses) on derivatives. Economic return (loss) was (7.6%), and book value per common share declined to $ 17.86 from $ 20.15 in the prior quarter.
Underlying earnings measures were positive. Net interest income was $ 543,612, compared with $ 488,193 in the prior quarter, while net servicing income was $ 156,009. EAD was $ 649,140, or $ 0.80 per average common share, compared with $ 0.79 in the prior quarter and $ 0.73 in the prior-year quarter. EAD attributable to common stockholders was $ 607,835, exceeding the declared quarterly common dividend of $0.75 per share.
Portfolio activity emphasized Agency securities, Residential Credit and MSR. The total portfolio was $106.5 billion, including a $91.8 billion highly liquid Agency portfolio. Residential Credit was $10.4 billion and recorded $5.8 billion of record loan fundings, while the MSR portfolio reached $4.3 billion in market value. Annaly Residential Credit Group also issued twelve securitizations totaling a record $7.4 billion.
Margin indicators showed stronger reported GAAP net interest margin but lower non-GAAP margin excluding PAA relative to the prior quarter. GAAP net interest margin was 1.54 %, versus 1.47 %, while net interest margin excluding PAA was 1.69 %, versus 1.76 %. Average GAAP cost of interest bearing liabilities was 4.34 %, up six basis points quarter-over-quarter, and average economic cost was 4.03 %, up seven basis points quarter-over-quarter.
The company increased hedge coverage to a 100% hedge ratio by primarily adding Treasury futures. At the same time, GAAP leverage increased to 8.0:1 from 7.4:1 and economic leverage increased to 5.9:1 from 5.6:1. Annaly raised $757 million through its at-the-market sales program, announced redemption of the $442.5 million Series I preferred stock, and completed that redemption subsequent to quarter end on October 1, 2026. The release did not provide forward financial guidance.
Management, verbatim
While the third quarter of 2026 was a challenging period for fixed income markets, which we were not immune to, we entered the quarter prepared for the volatility. Our cycle-low leverage and minimal duration exposure provided us with the flexibility to actively manage our portfolio while continuing to make attractive investments across our three strategies.
David Finkelstein, Chief Executive Officer & Co-Chief Investment Officer
Meanwhile, Annaly generated EAD of $0.80 per share, once again exceeding the common stock dividend and underscoring the durable earnings power of our platform.
David Finkelstein, Chief Executive Officer & Co-Chief Investment Officer
Not in the filing
stated, not guessed- Revenue was not reported.
- Gross profit and gross margin were not reported.
- Operating income was not reported.
- Operating cash flow was not reported.
- Free cash flow was not reported.
- A tax rate was not reported.
- Forward revenue, margin, expense, tax-rate, earnings, dividend, leverage, or other financial guidance was not reported.
- Previous-period outlook was not provided.
- Reportable segment revenue was not reported.
AlphAI analysis generated from the company’s SEC earnings filing (Form 8-K Item 2.02, or Form 6-K for a foreign private issuer). Every figure was cross-checked against the filing text; consensus estimates, price targets and share-price reactions are not shown because they are not in the filing. AI-generated research, not investment advice.