$NLY · ANNALY CAPITAL MANAGEMENT INC

Annaly Capital Management filed its Q3 2026 financial supplement (8-K, EX-99.1), reporting a GAAP net loss of $1.36 per average common share versus $1.06 EPS in Q2 2026. The loss was driven by $4.73 billion in net losses on investments and other, partially offset by $2.98 billion in net gains on derivatives. Earnings available for distribution (EAD) — the non-GAAP metric Annaly uses to gauge dividend-paying capacity — came in at $0.80 per share, up from $0.79 in Q2 and covering the $0.75 quarterly dividend. Book value per common share fell sharply to $17.86 from $20.15 at June 30, a decline of

Extended-hours trading shows NLY at $18.35, up 0.33% from the $18.29 regular close, suggesting the market is focusing on the stable $0.80 EAD and maintained dividend coverage rather than the GAAP loss driven by non-cash mark-to-market swings.

Annaly's $2.29/share book value collapse in a single quarter — while EAD held steady — exposes the acute tension between GAAP mark-to-market reality and the non-GAAP earnings story that dividend-reli

Annaly's Q3 results reflect the broader mREIT challenge of managing duration and spread risk in a volatile rate environment. The divergence between GAAP losses and stable EAD mirrors patterns seen across the agency-focused mREIT peer group, where book value swings are driven by mark-to-market on the

Book value erosion of $2.29/share (11.4%) in a single quarter signals acute sensitivity to rate and spread moves. GAAP leverage jumped to 8.0x from 7.4x as equity contracted, and the hedge ratio sits at 100%, leaving limited buffer against further adverse moves. The $4.73B in net investment losses,