NLYAnnaly Capital Management, Inc.

NLY — Annaly Capital Management, Inc. — dossier, 2026-09-23

Run by hand in a session on the owner's request ("run annaly capital via pipeline skill and add it to research watchlist"), following .claude/skills/stock-sourcing-pipeline/SKILL.md. It covers the name-pass stages of slot names-additions-2026-09-23-1, for NLY only. Model-drafted; nothing here is human-verified. Sourced facts carry the document they were read from; [background] marks background knowledge and [search-summary] marks search-result evidence. Private: this directory never reaches dist/.

Industry stages (S0, S4, S6, S7) are in _clusters/cluster-additions-NLY-2026-09-23.md.

Access this run

• threespread.py check: OK — key present, HTTP 200 from api.3spread.com.
• SEC EDGAR: reachable with the User-Agent in tools/edgar.py.
• Equibles: reachable. 3 calls spent (Q2 2026 transcript, Q1 2026 transcript, short interest).
• ROIC.ai: prices (1 call). Next-earnings calendar not called (paid plan, per earlier runs).
• WebSearch: 2 queries.

§1 — S1 Source

watchlist (owner, 2026-09-23 addition, WATCHLIST_PLAN.md §24). The row was added to watchlist.yaml earlier on 2026-09-23 with CIK 1043219 and cluster mortgage_reit. No Tier 0 promotion. Board cross-reference: one claim row, Chris Whalen, 2026-09-19, bullish (S6 in the cluster file).

§2 — S2 Kill test

An mREIT has no revenue line in the usual sense, so the kill test is read on the four series that decide one: earnings power (EAD and net interest spread), book value, leverage and funding, and the share count.

Sources: XBRL companyfacts (interest income, net interest, net income to common, diluted shares); FY2023 10-K and FY2025 10-K Net Income (Loss) Summary (EAD, spread, BVPS, leverage); Q2 2026 10-Q same table. 2020 diluted shares 353.7m (XBRL, split-adjusted). Dashes: not extracted this run.

Share count over five years: 353.7m (2020) → 740.3m (Q2 2026 diluted weighted), 2.09x; 753.7m outstanding at 2026-07-24 (10-Q cover). The only repurchases in the XBRL record are 2019–2020 ($223.6m, $209.4m); none since. Common issued for cash $2.64bn / $0.67bn / $1.56bn / $2.91bn (2022–2025, ProceedsFromIssuanceOfCommonStock) and $955.7m in H1 2026 through the ATM.

Funding and maturity wall. No term-debt wall in the corporate sense: the balance sheet is funded by repo (33-day weighted average maturity at Q2 2026, per the CFO on the Q2 call; 35 days at 2025 year-end, FY2025 10-K) across 37 counterparties, plus non-recourse securitisation debt and MSR/whole-loan warehouse lines ($8.3bn capacity, $2.8bn committed, Q2 call). The maturity wall is every month. Liquidity: $8.0bn unencumbered assets including $5.5bn cash and unencumbered Agency MBS; $9.6bn available for financing (Q2 call, CFO).

FCF is not the measure for a REIT that must distribute; the relevant coverage is EAD over the dividend, above it for nine consecutive quarters (Q2 2026 10-Q).

Analyst coverage count: analysts from ten firms asked questions on the two calls (KBW, Piper Sandler, UBS, BTIG, Green Street, Compass Point, J.P. Morgan, Citizens JMP, RBC, Jones Trading); a formal count was not pulled.

Survives or dies: survives. Leverage is low for the model and stable, liquidity is 57% of capital, EAD covers the dividend, and the auditor (Ernst & Young, since 2012) gave an unqualified ICFR opinion (FY2025 10-K). ⚠️ What survives is a company, not a per-share compounder: the five-year record is a halved book per share refilled by a doubled share count (cluster file §1). That is S0's finding and S8's problem; it is not a kill.

§3 — S3 Filings (gate-minimum)

Read: FY2025 10-K Item 1A (summary and GSE factor) and Item 7 (overview, net income summary, rates table); Q2 2026 10-Q Item 2 MD&A (business environment, results table, ATM paragraph) and Item 3 (rate and MBS spread sensitivity, counterparty table); 2026 DEF 14A ownership table and compensation summary; 8-Ks of 2025-12-22, 2025-12-29, 2026-07-21 (results cover) and 2026-08-19; the 424B5 of 2025-12-22; the EDGAR filing index for red flags; Q1 and Q2 2026 call transcripts.

The three biggest risks management discloses, in its own words

1. Leverage. > "Our strategy involves the use of leverage, which increases the risk that we may incur substantial losses." > — FY2025 10-K, Item 1A, Summary of Risk Factors, first bullet under Risks Related to Our Liquidity and Funding

Sized by the company's own table: a +25bp MBS spread shock is −8.7% of NAV, a +75bp rate shock −3.9% of NAV and −5.1% of economic net interest income (Q2 2026 10-Q, Item 3).

1. Spread compression. > "An increase in the interest payments on our borrowings relative to the interest we earn on our interest earning assets adversely affects our profitability." > — FY2025 10-K, Item 1A, Summary of Risk Factors, same section

This is the risk that was realised in 2023, when GAAP net interest income was −$111.4m and the dividend was cut from $3.52 to $2.60 a year.

1. The GSE relationship. > "Any new laws, regulations or administrative actions modifying the relationship between Fannie Mae, Freddie Mac and the federal government could affect our business model or business operations." > — FY2025 10-K, Item 1A, Compliance, Regulatory & Legal Risks

Live in 2026 in the helpful direction (the GSEs' $200bn purchase mandate tightened the basis); the same factor cuts the other way if the mandate ends or the conservatorship changes form.

Fourth, recorded because the case rests on the dividend:

"We have not established a minimum dividend payment level and cannot assure stockholders of our ability to pay dividends in the future." — FY2025 10-K, Item 1A, Risks of Ownership of Our Common Stock

Latest-quarter delta (Q2 2026 10-Q MD&A)

• EAD $0.79 (from $0.76 in Q1), dividend raised to $0.75 from $0.70. > "This marked the ninth consecutive quarter in which EAD surpassed the dividend." > — Q2 2026 10-Q, Item 2, Business Environment
• BVPS $20.15 (+1.7% q/q); economic return 5.5% in the quarter, 6.9% for the half.
• Portfolio $139.2bn at period-end against $107.5bn a year earlier (+29.5%); average equity +25.4%.
• GAAP leverage 7.4x, economic leverage 5.6x.
• Capital mix: Agency 57%, residential credit 22%, MSR 21%.
• ATM: 20.3m shares / $447.2m in the quarter, 42.6m / $955.7m in the half.
• The mortgage basis tightened 106bp → 94bp over the quarter (MD&A rates table).

Capital actions on file

• ATM, $2.5bn, 13 distribution agency agreements dated 2025-12-22, replacing the May 2025 program (8-K 2025-12-22; 424B5 2025-12-22). $955.7m used in H1 2026, so roughly $1.5bn of capacity was left at 2026-06-30 if the new program carried all of it (the 10-Q does not split usage between the old and new programs — not established).
• Series I preferred redemption: all 17,700,000 shares of the 6.750% Series I at $25.00, payable 2026-10-01 (8-K 2026-08-19) — $442.5m. The funding source is not stated in the 8-K.
• Series J 8.875% fixed-rate preferred issued in 2025, which the 10-K calls "the first sizeable non-rated preferred stock issuance in several years" (quoted in full below). > "Given strong investor demand for mortgage REITs, Annaly was able to raise $2.6 billion in common equity capital through its at-the-market sales program at accretive levels and issued a Series J preferred stock in what marked the first sizeable non-rated preferred stock issuance in several years." > — FY2025 10-K, Item 7, overview
• No buyback authorisation in use; no repurchases since 2020 in XBRL.

Proxy skim (2026 DEF 14A)

• Insider ownership: all executive officers and directors as a group (11 people) 1,070,909 shares, marked "*" (under 1%) — about 0.14% of 753.7m. 5% owners on the proxy's (older 13G) basis: BlackRock 56,856,178 (7.8%), Vanguard 49,300,019 (6.7%).
• What the bonus is paid on: a corporate scorecard (75%) plus individual objectives (25%) for the annual cash incentive; the scorecard includes Tangible Economic Return and EAD return on equity, with relative metrics requiring above-median (55th percentile) performance for target; PSUs vest on multiple company performance metrics over three years (proxy compensation summary). Paying on economic return, not on EAD alone, is the right incentive for the S0 test 1 problem.

Insider pattern (3spread insiders --days 365, Form 4 XML read directly)

46 Form 4 filings since 2025-09-23; the open-market transactions in the ones read:

Plus annual award grants (code A) and tax withholding (F) on 2026-02-01 and 2026-02-25, and director grants after the 2026-06-10 annual meeting. No open-market purchase in any filing read. The CEO held 761,012 shares after the 2026-08-04 sale; his three 2026 sales total 150,000. The evenly sized, spaced 50,000-share sales look like a plan (a Form 144 was filed 2026-08-03), but no 10b5-1 footnote was checked — not established.

Red-flag sweep

• No NT 10-K / NT 10-Q in the filing index; one 10-Q/A in 2018; four 8-K/As.
• SEC comment-letter correspondence (CORRESP/UPLOAD): last exchange 2021-07-06; none since.
• Auditor Ernst & Young LLP, "since 2012"; unqualified ICFR opinion (FY2025 10-K).
• Executive change: Anthony Green, Chief Legal Officer, Chief Corporate Officer and Secretary, retired — Senior Advisor from 2026-01-01 to 2026-03-31 (8-K 2025-12-29). An orderly, disclosed succession event; no other departures found in the 8-K index for 2025–2026.
• Going concern: not applicable on these numbers; not searched on Equibles to save budget.

Transcripts — Q1 2026 (2026-04-22) and Q2 2026 (2026-07-22), Equibles, read Q&A-first

Guidance and commentary changes (CFO and CEO prepared remarks):

• Q1: EAD $0.76, BV −1.9% to $19.82, economic return 1.5%; ~$510m raised on the ATM (the 8-K says $509m, per Equibles' correction note); the offset to EAD was lower swap income.
• Q2: EAD $0.79 on a higher Agency coupon (5.11%, +11bp) and lower repo (3.84% average); the offset again lower swap income. OPEX-to-equity up 11bp to 1.40%, which the CFO expects to moderate. Dividend raised to $0.75; the CEO says the board stress-tested it and expects to earn it over time, with some quarters possibly slightly below it (paraphrased).
• Long-term capital allocation target reaffirmed in Q1: 50% Agency / 30% residential credit / 20% MSR.

What the analysts asked about (by topic):

• Equity issuance — both calls (J.P. Morgan, Rick Shane in Q1; J.P. Morgan again in Q2). The street's recurring question is how hard the ATM will be pushed at a small premium to book.
• Dividend coverage vs the required return — Q2 (KBW, Boz George; RBC, Kenneth Lee).
• GSEs and policy — Q1 (Citizens JMP: further government action on mortgage rates), Q2 (Piper Sandler: FHFA/GSE purchase behaviour).
• Bank capital re-proposal and MSR risk weights — Q1 (Piper, KBW).
• Residential credit sourcing, returns, delinquencies — both calls (UBS, BTIG, Citizens JMP).
• Hedging mix, swaps vs Treasuries — Q1 (Compass Point).
• Book value quarter-to-date — both calls (KBW): +4% economic return QTD as of mid-April; book off a little over 1% QTD as of mid-July.

Dodges:

• Q2 2026 · dividend coverage vs required ROE · Boz George (KBW). Asked for the portfolio's economic return relative to the ~15% ROE needed to cover the raised dividend. The answer gave the new-money return ranges by strategy from the supplement and said the board is methodical and the dividend earnable — it did not give the portfolio-level return against the required one. Locator: Equibles Q2 FY2026 transcript, second analyst exchange, first Q&A question block.
• Q1 2026 · book value decline attribution · Jason Weaver (Jones Trading). Asked to split the 190bp book value decline between Agency spread widening and marks on resi credit/MSR, and whether it had reversed in April. The answer ranked the three businesses qualitatively and gave ranges for resi and MSR, but no split of the 190bp and no answer on the April reversal beyond the earlier +4% QTD figure. Locator: Equibles Q1 FY2026 transcript, Jones Trading exchange.

One dodge on each topic; neither repeats yet. Both go into the scorecard's dodge log. The question that did repeat across both calls — how much equity will be issued — was answered both times (price-to-book must be accretive, assets attractive, a light footprint).

§4 — S5 Ownership

13F at 2026-06-30 (threespread.py holders NLY): BlackRock 87,219,586 sh (+5,485,296); State Street 29,426,379 (+1,272,235); Invesco 7,724,098 (+969,593); Citadel 7,346,986 (+2,917,722); T. Rowe Price 7,176,291 (−11,282,820, the largest reduction); Charles Schwab IM 5,427,809; Ameriprise 5,030,245 (−2,094,971); BNY Mellon 4,801,781; KBC 4,582,170; D. E. Shaw 4,320,185 (−1,929,940).

• ⚠️ Ingestion incomplete: 537 filers for Q2 against 765 for Q1. Vanguard's three entities (64.0m + 30.8m + 4.4m sh at Q1), Geode (20.0m), FMR (14.2m), Allspring (13.5m) and others have no Q2 13F ingested yet — these are not exits.
• ⚠️⚠️ The Sixth Street row (5,427,809 sh, "NEW") is not a holding. It carries exactly Charles Schwab Investment Management's share count; 3spread flags the duplicate. This is the same filing defect documented in ACGL/dossier-2026-09-22.md §5 and seen again on KNSL. Not carried.

13D/G census (threespread.py owners NLY): passive 13G/13G-As only — the most recent a 13G for the period ending 2026-03-31 (filed 2026-04-29) and a 13G/A for 2026-03-13 (filed 2026-03-26, filer-agent prefix 0000102909, which is Vanguard's CIK [background]). No 13D, no activist. Charter caps ownership at 9.8% (FY2025 10-K, Item 1A).

Short interest: 20.66m shares (2026-08-31, FINRA via Equibles), 2.7% of shares outstanding, 3.8 days to cover. Stable at 16.6–23.5m since mid-June.

Shelf / ATM / buyback: the $2.5bn ATM is the thing hanging over the stock, by design — it is how the company grows — and it was drawn at a rate of $447–509m a quarter in H1 2026. No buyback. Absence of a buyback in the filings read is not proof none exists; the XBRL record shows none since 2020.

Who is on the other side: index and passive money (BlackRock, Vanguard, State Street), income funds, and a sell-side-covered retail base. Insiders own 0.14% and have been net sellers in 2026. The one active manager making a big move, T. Rowe Price, cut 61% of its position in Q2.

§5 — S8 Valuation & sizing (model; buy price and size ⏳ OPEN (user))

An mREIT is valued on book and yield, so the model is book value × a price-to-book multiple, with the dividend as the carry. Two-year horizon (to Q2 2028).

Inputs: BVPS $20.15 and dividend $0.75/qtr (Q2 2026 10-Q); sensitivity −8.7% NAV per +25bp (10-Q Item 3), extrapolated linearly to +32bp — an extrapolation the table does not support beyond 25bp; bear P/B 0.90 is Chris Whalen's stated cost basis on the board's claim row, used as a reference, not a forecast; bull 1.15x is an assumption. Current: 1.06x book, 14.0% yield, ADV $183.1m/day.

Read the table the way the cluster file does: in the base case the return is the dividend, and the price is flat. The bear case is roughly break-even over two years only because the dividends cover the book loss, which is 2022 again at a smaller size.

Proposed buy price ⏳ OPEN (user): at or below 1.0x the latest reported book (~$20.15 today) with EAD still at or above the dividend — i.e. the stock pays you 14%+ and you are not paying a premium for the ATM machine. Whalen's 0.9x is the level at which a 2022-sized book drawdown is already in the price.

Proposed size ⏳ OPEN (user): liquidity is not the constraint (ADV $183m); the constraint is correlation — this is a levered bet on the MBS basis, and a position here should be sized as a basis trade, not as an equity compounder.

§6 — S9 Monitoring

• Next earnings: ~2026-10-21 (DERIVED from cadence, not from a calendar): Q3 2025 results were released 2025-10-22, Q2 2026 on 2026-07-21, Q1 2026 on 2026-04-21 — a Tuesday/Wednesday in the third week after quarter-end. The call follows the next morning.
• Filing feed: Tier 0 EDGAR sweep, cik: 1043219 on the watchlist row.
• Leading indicator between quarters: the current-coupon MBS basis, which Annaly itself publishes every quarter (94bp at 2026-06-30), and the GSE mandate's remaining capacity (~$45bn of $200bn settled through May per the CEO). The basis moves book value before any filing does; the mandate says how long the buyer holding it stays.
• Second indicator: the Series I redemption on 2026-10-01 ($442.5m) — how it is funded (ATM, cash, a new preferred) shows up in the Q3 10-Q's capital note.
• Trigger that converts it to a buy: price at or below the latest reported BVPS while EAD is at or above the dividend and economic leverage is ≤6.0x. At 1.06x today the trigger has not fired.
• Trigger that kills it: any of the four kill criteria in the cluster file §5 — BVPS < $18.45, EAD < dividend two quarters running, economic leverage > 7.0x, or ATM issuance below book.