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| Quarter | Letter Date | Fund Name | QTD | YTD | Tickers | Themes | Quick Take |
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"Housing finance platforms are capitalizing on elevated Agency MBS yields and durable non-agency securitization demand, deploying incremental capital into higher-coupon pools while maintaining disciplined hedging against interest rate volatility."
Annaly Capital Management generated an economic return of 5.5% net of fees for the second quarter of 2026, bringing its first-half economic return to 6.9% net of fees. Earnings available for distribution reached $0.79 per average common share, comfortably covering the quarterly cash dividend of $0.75 per share, while book value per common share closed at $20.15. The firm operated with economic leverage of 5.6x, down from 5.7x in the prior quarter, backed by $9.6 billion in total assets available for financing, including $5.5 billion of cash and unencumbered Agency MBS. The macroeconomic environment was defined by resilient economic growth and reaccelerating inflation driven by Middle Eastern geopolitical tensions and infrastructure investments supporting artificial intelligence. These dynamics shifted monetary policy expectations toward higher front-end yields and a flatter yield curve, though interest rate volatility remained subdued. The company maintained a defensive hedge ratio of 97% across its recourse debt and TBA derivatives to insulate book value against rate movements. Portfolio activity centered on deploying $447 million of accretive common equity into high-coupon Agency mortgage-backed securities, increasing total Agency assets to $95.0 billion, or 57% of dedicated capital. The Residential Credit portfolio held steady at $10.4 billion, supported by record quarterly securitization volume across its Onslow Bay platform, while the Mortgage Servicing Rights portfolio closed at $4.1 billion across high-quality, low-note-rate conventional servicing assets.
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