Annaly Capital: Dividend Sustainable At Current Spreads, Continues To Like Resi Credit

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Annaly Capital: Dividend Sustainable At Current Spreads, Continues To Like Resi Credit

Richard Shane AC North America Equity Research

(1-415) 315-6701 24 July 2026 J P M O R G A N

richard.b.shane@jpmorgan.com

Price Performance Summary Investment Thesis and Valuation

Investment Thesis

We reiterate our Overweight rating. We view NLY's low-

teens dividend yield as attractive given the current rate outlook.

Agency residential MREITs typically benefit from a steeper

curve, where lower short-term rates ease funding costs and

higher long-term rates support asset yields. The current

backdrop is less favorable, as the curve has flattened with short-

term rates rising, though persistently elevated long-term rates

continue to provide a hedge against prepayment risk. Agency

MBS spreads tightened through 2Q26 after widening on the

YTD 1m 3m 12m Middle East conflict, a net positive for BVPS, but they remain

Abs -0.2% 0.2% -0.5% 9.1% highly sensitive to geopolitical developments and could move

Rel -8.4% -0.4% -4.8% -7.4%

book value in either direction. Against this uncertainty, NLY's

Company Data significant spec pool holdings offer additional protection

Shares O/S (mn) 707 against prepayment risk and support portfolio stability. Finally,

52-week range ($) 24.52-20.00 we believe NLY's ability to reallocate capital across MSR and

Market cap ($ mn) 15,772.54

Exchange rate 1.00 non-QM could generate incremental alpha.

Free float (%) 99.8%

Valuation3M ADV (mn) 7.14

3M ADV ($ mn) 158.9 We decrease our Dec 2027 PT to $24.00 (from $26.00). Our

Volatility (90 Day) 23 Dec 2027 PT assumes a 1.175x multiple applied to our 2027

Index S&P 500

BBG ANR (Buy | Hold | Sell) 9|4|0 TBVPS estimate of $20.84. This implies a total potential

annualized return of 17.4%. Our target multiple reflects the