Intelligence Feed event · Credit · 2026-10-02

    Annaly Capital falls 16.8% over past month to $18.70 ahead of October 20 earnings

    Question

    Annaly Capital falls 16.8% over past month to $18.70 ahead of October 20 earnings

    Direct answer

    Annaly Capital Management closed at $18.70, down 1.01% in the latest session and extending its one-month drawdown to 16.82% compared to a 0.35% dip in the S&P 500. Mortgage REIT balance sheets remain sensitive to agency MBS spread widening against benchmark SOFR and Treasury curves, which impacts economic return and book value per share. The market is focusing on the upcoming October 20 earnings release for updates on hedging performance, funding costs, and portfolio leverage.

    Original publisher
    Market Ontology
    Evidence through
    2026-10-02
    Published
    2026-10-20
    Revision
    1 · 2026-10-20

    Cite as: Market Ontology, “Annaly Capital falls 16.8% over past month to $18.70 ahead of October 20 earnings”, revision 1, evidence through 2026-10-02. https://marketontology.com/market-events/2026-10-02/annaly-capital-falls-16-8-over-past-month-to-18-70-ahead-of-october-20-earnings-ab6af7

    CREDIT
    Annaly Capital falls 16.8% over past month to $18.70 ahead of October 20 earnings
    Annaly Capital Management closed at $18.70, down 1.01% in the latest session and extending its one-month drawdown to 16.82% compared to a 0.35% dip in the S&P 500. Mortgage REIT balance sheets remain sensitive to agency MBS spread widening against benchmark SOFR and Treasury curves, which impacts economic return and book value per share. The market is focusing on the upcoming October 20 earnings release for updates on hedging performance, funding costs, and portfolio leverage.
    NLYMBB
    Impact
    64
    OCT 2
    SIG
    85%
    NLYMBB
    Annaly Capital falls 16.8% over past month to $18.70 ahead of October 20 earnings
    Annaly Capital Management closed at $18.70, down 1.01% in the latest session and extending its one-month drawdown to 16.82% compared to a 0.35% dip in the S&P 500. Mortgage REIT balance sheets remain sensitive to agency MBS spread widening against benchmark SOFR and Treasury curves, which impacts economic return and book value per share. The market is focusing on the upcoming October 20 earnings release for updates on hedging performance, funding costs, and portfolio leverage.
    → Widening agency mortgage-backed security spreads relative to swap curves erode NLY book value per share and compress net interest margins.
    Impact
    Annaly Capital Management closed at $18.70, down 1.01% in the latest session and extending its one-month drawdown to 16.82% compared to a 0.35% dip in the S&P 500. Mortgage REIT balance sheets remain sensitive to agency MBS spread widening against benchmark SOFR and Treasury curves, which impacts economic return and book value per share. The market is focusing on the upcoming October 20 earnings release for updates on hedging performance, funding costs, and portfolio leverage.
    Affected
    NLYMBB
    Transmission
    Widening agency mortgage-backed security spreads relative to swap curves erode NLY book value per share and compress net interest margins.

    How this development reaches the affected companies

    AssetExposure and channelDirectionEvidence
    NLYagency MBS basis widening reducing net asset valueDown1-4wNLY fell 1.01% to $18.70, extending a 16.82% monthly decline.
    MBBmortgage-backed securities spread volatilityWatch1-4wAnnaly holds large levered positions in residential agency mortgage-backed securities.

    Does this development affect your holdings?

    Enter your holdings to check them against this and other recent developments, review the decision that matters most, then set a monitor.

    Check this development against my holdings

    Review your initial audit before choosing ongoing portfolio scanning at $79/month.

    What happened next

    AssetCallBase close+1 day+5 days+20 days
    NLYDown20.32 2026-09-29PendingPendingPending

    Closing prices from stored daily bars; returns measured from the last close on or before the event date. Not a recommendation.

    No verifiable public source recorded for this card.

    Related

    Check this development against my holdings

    See today's live cards

    Public pages are published 24 hours after the product shows them. Desk shows every catalyst, event and causal reading as it happens, mapped to your holdings.

    Open Desk — $399/month