Annaly二季度EAD每股0.79美元覆盖0.75美元股息但股价下跌

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Introduction & Market Context
Annaly Capital Management (NYSE:NLY) presented its second quarter 2026 results on July 22, 2026, showcasing how its diversified housing finance platform delivered a 5.5% economic return despite a challenging macroeconomic environment marked by persistent inflation and rising short-term interest rates. The mortgage real estate investment trust reported earnings available for distribution of $0.79 per share, exceeding its $0.75 quarterly dividend for the ninth consecutive quarter.
The presentation highlighted that Annaly’s three-pronged investment strategy—spanning Agency mortgage-backed securities, Residential Credit, and mortgage servicing rights—generated consistent returns that outpaced industry peers. Since scaling these businesses and exiting non-core strategies by year-end 2022, the company has delivered a cumulative economic return of approximately 37%, roughly 15 percentage points higher than the mREIT peer average.
Despite the strong operational performance, shares traded down 2.27% to $22.135 following the earnings release, reflecting broader market caution about interest rate sensitivity and book value trends. Management noted that book value had declined slightly more than 1% as of the Friday following quarter-end, though this was after the June 30 reporting date when book value per share stood at $20.15.
Quarterly Performance Highlights
As shown in the following comprehensive dashboard of second quarter financial metrics, Annaly demonstrated strength across multiple performance indicators:
The company’s book value per share increased 1.7% quarter-over-quarter to $20.15, while net interest margin excluding premium amortization adjustment expanded 5 basis points to 1.76%. Economic leverage declined modestly to 5.6x from 5.7x in the prior quarter, reflecting a more conservative positioning amid macro uncertainty.
Total stockholders’ equity reached $16.9 billion supporting a $109.4 billion investment portfolio. The company’s capital allocation remained balanced across its three core strategies, with Agency representing 57% of dedicated capital, Residential Credit at 22%, and MSR at 21%.
The following detailed breakdown illustrates the key achievements across financial performance, financing, and portfolio activities:
Annaly raised $447 million of accretive common equity through its at-the-market sales program during the quarter, adding to the $5.4 billion in capital raised over the past two years. The company emphasized that these capital raises have generated nearly $280 million in accretion, demonstrating disciplined execution.
Average yield on interest-earning assets excluding premium amortization adjustment increased to 5.46% from 5.35% in the prior quarter, while the average economic cost of funds rose modestly to 3.96% from 3.93%. This resulted in an improved net interest spread of 1.5%, up 8 basis points quarter-over-quarter.
Diversified Platform Performance
The company’s established platforms across its three investment strategies each contributed to the quarter’s performance, as illustrated in this overview:
The Agency portfolio, representing $95.0 billion in assets and $9.6 billion in dedicated capital, invests in securities guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae. This segment provides liquidity and serves as the foundation of Annaly’s capital structure.
The Residential Credit business, with $10.4 billion in portfolio assets and $3.8 billion in dedicated capital, focuses on Non-Agency residential mortgage assets within both securitized product and whole loan markets. This segment delivered particularly strong results in the quarter.
The MSR portfolio, valued at $4.1 billion with $3.5 billion in dedicated capital, provides exposure to mortgage servicing rights that generate fixed servicing fees. This business offers natural hedging characteristics against the Agency portfolio and has benefited from low prepayment speeds.
The following comparative analysis demonstrates how these strategies generate attractive risk-adjusted returns across different market conditions:
Current illustrative market levered returns ranged from 14%-16% for Agency, 12%-15% for Residential Credit, and 11%-13% for MSR. Management emphasized that the diversified model provides flexibility to allocate capital opportunistically based on relative value, with Residential Credit currently offering the best risk-adjusted returns.
Competitive Industry Position
Annaly’s performance relative to mortgage REIT peers has been notably strong, as demonstrated in this comparative analysis:
The company has generated positive economic returns in 12 of the 13 quarters since year-end 2022, representing 92% of the time compared to 65% for the mREIT average. This consistency reflects the benefits of diversification and active portfolio management across market cycles.
The cumulative economic return of 37% since year-end 2022 significantly outpaced both Agency mREIT peers (18%) and Hybrid mREIT peers (25%). Management attributed this outperformance to the company’s ability to generate returns that are "not reliant on loan volumes to sustain the economics of our portfolios," differentiating Annaly from originators more dependent on mortgage market activity.
Macroeconomic Environment
The quarter unfolded against a backdrop of shifting monetary policy expectations and persistent inflation pressures, as illustrated in these market indicators:
Core PCE inflation remained elevated near 3%, driven by the Middle East conflict and AI infrastructure buildout. The labor market showed renewed strength, with 3-month average nonfarm payrolls growth rising to 111,000, levels last seen in late 2024.
This combination of firm inflation and stable employment changed the outlook for Federal Reserve policy, with most officials favoring unchanged or modestly higher rates. Market expectations shifted to price in approximately 38 basis points of rate hikes in 2026, leading to higher short-term yields and a flatter yield curve.
Treasury yields rose during the quarter, with the 10-year reaching 4.18% and the 2-year climbing to 4.55%. Despite these rate moves, volatility declined from March peaks and remained muted through quarter-end as geopolitical risk premium faded.
Agency Business Performance
The Agency segment, representing the largest portion of Annaly’s portfolio, deployed incremental capital primarily into higher coupon TBAs and specified pools during the quarter. The following charts illustrate the portfolio composition trends:
Agency MBS spreads recovered most of their Q1 widening in April and remained range-bound through June. Market technicals remained supportive due to muted net issuance, healthy fixed income demand, and continued GSE purchases acting as a spread stabilizer.
The Agency portfolio increased by approximately $3 billion to $95.0 billion, with investment activity focused on shifting higher in coupon. The weighted average coupon of the portfolio increased 5 basis points to 5.11%, positioning the portfolio to benefit from higher yielding assets.
This detailed breakdown shows the quality characteristics and composition of the Agency holdings:
The portfolio remained predominantly 30-year fixed-rate securities at 90% of assets, with Agency CMBS representing 8%. By coupon type, 5.5% coupons comprised 27% of the fixed-rate portfolio and 5.0% coupons represented 23%. The portfolio quality metrics showed 34% high quality pools, 30% medium quality, and 18% other call protected securities.
Prepayment speeds remained manageable at 11.6 CPR in Q2, up modestly from 10.2 CPR in Q1 primarily due to seasonal factors. The elevated mortgage rate environment continued to provide protection against significant prepayment risk.
Residential Credit Strength
The Residential Credit business delivered record quarterly performance, highlighted by exceptional securitization activity:
Onslow Bay’s correspondent channel produced $6.7 billion in lock volume and $5.1 billion in fundings in Q2, representing increases of 27% and 38% year-over-year respectively. The company priced 25 residential whole loan securitizations totaling $14.2 billion in proceeds year-to-date, with Q2 alone contributing a record $6.8 billion across 13 transactions.
Annaly maintained its position as the largest non-bank issuer and second largest issuer overall of Prime Jumbo and Expanded Credit MBS, representing approximately 15% of year-to-date Non-QM issuance. This programmatic securitization capability allows the company to create high-quality, proprietary assets tailored to its credit preferences.
The portfolio composition reflects this origination and securitization activity:
The $10.4 billion Residential Credit portfolio consists of $5.7 billion in securities and $4.7 billion in whole loans. The sector breakdown shows whole loans at 46%, OBX retained securities at 38%, and IO securities at 12%, with smaller allocations to Non-QM, Prime, and other sectors.
Credit quality remained strong, with the GAAP whole loan portfolio mark-to-market LTV at 65% and the average borrower having approximately $385,000 of equity in their home. The portfolio rating distribution showed 53% investment grade, 25% unrated, and 22% non-investment grade.
During the quarter, Annaly increased financing capacity by $740 million through expanded credit facilities, bringing total warehouse capacity across Residential Credit and MSR businesses to $8.3 billion, including $2.8 billion of committed capacity.
MSR Portfolio Stability
The mortgage servicing rights portfolio demonstrated strong performance characteristics driven by favorable market conditions:
The MSR portfolio market value remained stable at approximately $4.1 billion, with Onslow Bay maintaining its position as the fifth largest non-bank servicer of Agency MBS and the largest buyer of MSR year-to-date with $33.6 billion in purchases. This scale provides competitive advantages in servicing costs and recapture economics.
The following metrics illustrate the portfolio’s characteristics and performance trends:
The MSR portfolio, with $268.3 billion in unpaid principal balance across 844,000 loans, exhibited a weighted average note rate of 3.31% and remained significantly out-of-the-money. The underlying note rate distribution showed 46% of loans in the 2.5%-3.0% range and 26% in the 3.0%-3.5% range.
Prepayment speeds increased modestly to 5.2 CPR from seasonal factors but remained well below historical norms, supporting stable cash flows. Delinquencies remained exceptionally low at 0.5% for loans 60+ days past due, reflecting the high-quality credit characteristics of the portfolio with an average FICO score of 758 and original LTV of 71%.
MSR valuations increased marginally quarter-over-quarter, with the MSR multiple reaching 5.97x. Float income remained elevated with higher short rates, and the portfolio continued to benefit from improving servicing costs and strong credit performance.
Flow channel purchases reached record levels in Q2, providing a growing source of collateral alongside bulk market opportunities. Management emphasized that the sub-servicer model provides a niche advantage, as Annaly does not face the same stranded-cost issues as firms that service loans in-house.
Capital Management and Liquidity
Annaly maintained a robust liquidity position with $5.5 billion in cash and unencumbered Agency MBS, and $9.6 billion of total assets available for financing. This substantial liquidity buffer provides flexibility to navigate market volatility and capitalize on investment opportunities.
The company’s hedge portfolio increased to $92 billion from $81 billion in the prior quarter, with the hedge ratio rising to 97% from 87%. This more defensive positioning reflected elevated macro uncertainty and management’s prudent approach to interest rate risk management.
Economic leverage of 5.6x remained conservative relative to historical levels, with total recourse debt of $88.3 billion supporting the investment portfolio. The average economic cost of funds of 3.96% reflected disciplined liability management, with average repo funding rates declining 6 basis points to 3.84%.
Forward-Looking Statements
Management expressed confidence in the sustainability of the $0.75 quarterly dividend, stating expectations to "modestly outearn the dividend going forward" and describing it as "earnable over the foreseeable future." The board’s recent dividend increase was supported by forward curve analysis and stress testing.
The company plans to continue allocating capital across its three core businesses based on relative value, with Residential Credit currently offering the best risk-adjusted returns. Management indicated that marginal capital may also flow into Agency and MSR depending on market conditions and spread dynamics.
In Residential Credit, Annaly had already priced four additional transactions in July with another in the market at the time of the earnings call, demonstrating continued momentum in the securitization business. The company expects to maintain its market-leading position while benefiting from its broad correspondent network and programmatic issuance capability.
For the Agency portfolio, management plans to continue selective capital deployment while maintaining prudent leverage and comprehensive hedging. Ongoing investments in portfolio analytics and modeling, including artificial intelligence applications, aim to enhance risk management and return optimization.
In MSR, the strategy involves rotating toward higher loan balances while continuing to utilize both flow and bulk purchase opportunities. The strong network of recapture and subservicing relationships positions the company to generate attractive risk-adjusted returns in this segment.
Management emphasized that capital raises will only occur when accretive to book value, when assets are attractive, and when they can support growth in operating businesses. This disciplined approach aims to balance growth with shareholder value creation.
The company’s interest rate and spread sensitivity analysis indicated moderate portfolio risk, with a 75 basis point increase in rates estimated to reduce net asset value by 3.9% and a 25 basis point widening in MBS spreads estimated to reduce NAV by 8.7% as of June 30, 2026.
Full presentation:
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