Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds
Resolved · credit · Occurred · Assessed · 1 sources
This assessment is dated 2026-09-20. Check what remains unresolved below before relying on it.
What changed relative to expectations?
Elevated benchmark Treasury yields and mortgage-backed security basis volatility pressure book value and net interest spread margins for NLY.
| Question | What the evidence establishes |
|---|---|
| What was reported? | Reported factAnnaly Capital Management (NLY) declined 1.22% to $21.05 in recent trading. |
| What else was confirmed? | Reported factNLY has dropped 8.5% over the past month, underperforming the S&P 500's 1.29% decline. |
| Does the valuation support acting? | Interpretation3 stored valuation assumptions for NLY; the latest is dated 2026-07-21. |
| What would change the assessment? | UnknownAgency MBS spread tracking — Monitoring agency MBS option-adjusted spreads (OAS) versus 10-year Treasury yields. |
What would this event cost your holdings?
Apply your own hypothetical returns to current holding values. The calculator does not infer security effects from this event.
Test this event against my holdingsReported facts
- · Annaly Capital Management (NLY) declined 1.22% to $21.05 in recent trading.
- · NLY has dropped 8.5% over the past month, underperforming the S&P 500's 1.29% decline.
- · Consensus projections track NLY quarterly earnings growth at 6.85%.
Public research record
Research framework · page evidenceCompleted event assessment
agency MBS spread widening and book value compression
| Type | Claim | Scope |
|---|---|---|
| Assumption | Annaly Capital Management (NLY) declined 1.22% to $21.05 in recent trading. | 2026-09-20 |
| Interpretation | agency MBS spread widening and book value compression | NLY |
Countercase, invalidators, and sources
MBS spreads compress and rate volatility moderates, allowing book value recovery and stabilizing dividend coverage.
- · Agency MBS spread tracking — Monitoring agency MBS option-adjusted spreads (OAS) versus 10-year Treasury yields.
- Annaly Capital Management (NLY) Stock Sinks As Market Gains: Here's Why · 2026-09-18
What remains unresolved
- Base path
- NLY trades within recent ranges as rate fluctuations maintain wide spreads across agency mortgage paper.
- Adverse path
- Further yield curve steepening and mortgage spread widening trigger book value write-downs and capital reallocation.
- Supportive path
- MBS spreads compress and rate volatility moderates, allowing book value recovery and stabilizing dividend coverage.
- · Agency MBS spread tracking — Monitoring agency MBS option-adjusted spreads (OAS) versus 10-year Treasury yields.this week
Evidence
- Annaly Capital Management (NLY) Stock Sinks As Market Gains: Here's Why2026-09-18
“Annaly Capital Management (NLY) declined 1.22% to $21.05, underperforming the broader market which gained 0.17%. The REIT has fallen 8.5% over the past month, significantly lagging the S&P 500's 1.29% loss. Despite this weakness, analysts project strong earnings growth of 6.85%...”
Supports: Annaly declined 1.22% to $21.05 and is down 8.5% over the past month despite projected 6.85% earnings growth.