Annaly posts a $1.36-a-share third-quarter GAAP loss as book value drops to $17.86

Annaly Capital Management swung to a third-quarter GAAP loss as a rough stretch for fixed income markets cut into its book value, though its core earnings measure again topped the dividend.

The mortgage real estate investment trust reported a GAAP net loss of $1.36 per average common share, compared with net income of $1.06 in the second quarter and $1.21 a year earlier, according to the earnings release it filed with an 8-K on Tuesday.

Book value per common share fell to $17.86 from $20.15 at the end of June and $19.25 a year earlier. Annaly's economic return for the quarter was negative 7.6%.

Core earnings hold up

Earnings available for distribution, a non-GAAP measure, were 80 cents a share, up from 79 cents in the second quarter and 73 cents a year earlier. Annaly declared a quarterly common dividend of 75 cents a share.

"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," CEO David Finkelstein said in the release.

Net interest margin rose to 1.54% from 1.47% in the second quarter. Average GAAP cost of interest-bearing liabilities rose six basis points to 4.34%.

Portfolio and leverage

GAAP leverage increased to 8.0 times from 7.4 times, and economic leverage rose to 5.9 times from 5.6 times. The total portfolio stood at $106.5 billion, including $91.8 billion in Agency securities, and Annaly said it ended the quarter with a hedge ratio of 100%.

The residential credit portfolio was essentially unchanged at $10.4 billion, while the mortgage servicing rights portfolio grew to $4.3 billion in market value. Annaly's residential credit group issued a record $7.4 billion across 12 securitizations.

The company raised $757 million through its at-the-market stock sales program and announced the redemption of all $442.5 million of its Series I preferred stock.

By the numbers

• GAAP EPS: loss of $1.36, vs. $1.06 profit in Q2
• EAD per share: $0.80, vs. $0.79 in Q2
• Book value per share: $17.86, vs. $20.15 in Q2
• Economic return: negative 7.6%
• Quarterly dividend: $0.75
• GAAP leverage: 8.0x

Sources

1. Annaly Capital Management, Inc., Form 8-K (Item 2.02) with Exhibit 99.1 earnings release, filed Oct. 20, 2026, accession 0001043219-26-000077
2. Annaly Capital Management, Inc., Form 8-K (Item 8.01) with Exhibit 99.1 third quarter 2026 financial supplement, filed Oct. 20, 2026, accession 0001043219-26-000078

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