NLY // Annaly Capital Management Inc.

DES <GO> NYSE CIK 0001043219 ↗

Financials • Real Estate Investment Trusts

$18.47 ▲ +0.18 (+0.98%)

MKT CAP: $14.55B • VOL: 8.76M

52W L $18 52W H $25

ALTMAN Z

0.45 RISK

PIOTROSKI

7 / 9

NLY // ROARABLE RATING & 5-PILLAR RQD CONFIDENCE 02:00 EST DETERMINISTIC ENGINE

PRIOR: RQD 57/100 [D+] (+0 PT) • UNCHANGED AS OF 2026-11-01

ROARABLE D+

RQD CONFIDENCE

57 / 100 +0D

5 X 20-PT QUANT PILLARS

E 0 D 35 C 59 B 70 A 86+

Roarable Sell — Weak Fundamentals / Trim

01 MASSIVE / SEC XBRL

Forensic Fundamentals

[LOCKED] FLAGGED

UNLOCK BELOW TO REVEAL

02 OPRA GEX + SEC 13F

Whale & Options Flow

10 / 20

NEUTRAL

NET GEX +0% • CALL SWEEP 52% • P/C 0.88

03 SEC FORM 4 (90D)

Insider Conviction

[LOCKED] FLAGGED

UNLOCK BELOW TO REVEAL

04 FRED 90D r-MATRIX

Macro Regime Fit

14 / 20

SOLID

TAILWIND • r(10Y)=+0.00 (+23bp) • r(OAS)=+0.00

05 10-K REDLINE AUDIT

Forensic 10-K Risk

16 / 20

STRONG

20 BASE - 4 DEDUCT • 0 CRIT / 0 MED • STABLE

ALERT

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SIG <GO> CROSS-FEED TRIANGULATION // PROPRIETARY ANOMALY ENGINE (1 ACTIVE ON NLY)

STAGE 2 DETERMINISTIC Z-SCORE + STAGE 3 GEEK DESK BRIEF ALL MARKET ANOMALIES <SIG>

▼ BEARISH // F-RATED EARNINGS MIRAGE // ACCRUAL WATCHSIFTER 02 // ACCRUAL & RECEIVABLES FORENSICS

SEVERITY: 90/100 Z-SCORE: +3.04σ

NLY Accounting Gap: Net Income (+102.8%) Outpaced OCF (-79.1%) With +0% Working-Capital Build

CASH CONVERSION GAP

+181.9% (NI vs OCF)

RECEIVABLES / WC BLOAT

+0.0% VS REV

60D C-SUITE FORM 4 SALES

0 OPEN-MKT DUMPS

[GEEK DESK FORENSIC NOTE // SEC XBRL × FORM 4 CROSS-CHECK]

SEC EDGAR XBRL CompanyFacts10-K/10-Q Working Capital ScheduleSEC Form 4 Executive Sales

SEC EDGAR XBRL triangulation on Annaly Capital Management Inc. (NLY) exposes a +181.9% Cash Conversion Gap as YoY Net Income growth (+102.8%) diverged from Operating Cash Flow growth (-79.1%). Non-cash current assets and receivables expanded +0.0% relative to top-line revenue growth. Monitor upcoming 10-Q cash realization closely for accrual mean-reversion.

NLY // CANDLESTICK & AUTO-TRENDLINE WORKSTATION6M: -20.39%📐 HORIZONTAL RANGE

2026-10-30O $18.58H $18.70L $18.15C $18.23VOL 13.04M

RES: $24.97SUP: $17.19SMA50: $20.30SMA200: $21.95

NLY // INSTITUTIONAL BULL VS. BEAR FORENSIC DEBATE

UNDERWEIGHT CONVICTION: 44/100

BEAR 0

100 BULL

Annaly Capital Management Inc. (NLY) exhibits 41.0% gross margins and 4.0% return on invested capital within Financials (Real Estate Investment Trusts), balanced against a 18.2x enterprise multiple and 7.4% implied options volatility.

▲ INSTITUTIONAL BULL THESIS (LONG)

01. Operating Leverage & Capital Efficiency Moat

Sustained 41.0% gross profitability converts into 61.4% operating margin and 4.0% ROIC, outpacing sector cost of capital.

ROIC: 4.0% // GM: 41.0%

02. Top-Line Expansion & Cash Conversion

YoY revenue trajectory of +4.4% paired with 3.50% free cash flow yield supports self-funded R&D and capital return.

REV YOY: +4.4% // FCF YLD: 3.50%

03. Balance Sheet Solvency & Forensic Quality

Altman Z-Score of 0.45 and Piotroski F-Score of 7/9 indicate low near-term refinancing stress.

ALTMAN Z: 0.45 // F-SCORE: 7/9

▼ INSTITUTIONAL BEAR THESIS (SHORT / RISK)

01. Multiple Compression & Duration Sensitivity

Trading at 7.1x trailing P/E (6.6x Fwd P/E) leaves valuation vulnerable if real 10Y TIPS yields spike.

P/E: 7.1x // EV/EBITDA: 18.2x

02. Options Skew & Event Volatility Risk

Options market prices a ±7.4% implied move with a 0.88 put/call ratio around $18.00 max pain.

IMPL MOVE: ±7.4% // P/C: 0.88

03. Competitive Margin & CapEx Cycle Pressure

Elevated industry capital intensity and customer concentration in Real Estate Investment Trusts require continuous execution to defend 50.4% net margins.

NET MARGIN: 50.4% // D/E: 3.12x

KEY CATALYST // Upcoming 10-Q/10-K XBRL margin progression, guidance revision vs 6.6x forward consensus, and institutional 13F positioning.

MACRO REGIME // Monitor US 10Y Real Yields (DFII10) and High-Yield Credit Spreads (OAS) for beta-adjusted multiple impact (Beta 1.15).

FORM 4 & 13F FLOW OPEN OWN <GO>

FILER	SIDE	$ VALUE
INSPECT FULL OWNERSHIP LEDGER IN OWN <GO>

UNUSUAL OPTIONS TAPE OPEN OPT <GO>

STRIKE / EXP	TYPE	PREMIUM
INSPECT GEX & CHAIN IN OPT <GO>

KEY VALUATION & PROFITABILITY RATIOS XBRL FA <GO>

TRAILING P/E 7.1x

FORWARD P/E 6.6x

EV / EBITDA 18.2x

FCF YIELD 3.50%

GROSS MARGIN 41.0%

OPERATING MARGIN 61.4%

NET MARGIN 50.4%

ROIC % 4.0%

REV GROWTH YOY +4.4%

DILUTED EPS TTM $2.60

DEBT / EQUITY 3.12x

DIVIDEND YIELD 11.50%

RSI-14 MOMENTUM 38.1

5Y EQUITY BETA 1.15

FRED MACRO SENSITIVITY (PEARSON r) ECST <GO>

MACRO CORRELATION CALIBRATION ACTIVE BELOW.

FRED MACRO REGIME STRESS-TEST SIMULATOR // NLYPEARSON R VARIANCE ENGINE

01 // SELECT FEDERAL RESERVE & CREDIT SHOCK SCENARIO

02 // POSITION NOTIONAL EXPOSURE

HEADLINE STRESS SCORE

75/100SEVERE DRAWDOWN PRESSURE

PRIMARY FACTOR EXPOSURE

DFII10 // -0.61 r

Latest: 2.08%

EST. DIRECTIONAL MOVE

-8.50%

Implied Px: $16.90

EST. DOLLAR VARIANCE

-$4,248

On $50,000 Notional

[LOCKED // MULTI-FACTOR DRAWDOWN HEDGE & MACRO TRIGGER ALERT]

Unblur the exact $50,000 delta-adjusted ETF/options hedge ratio for NLY & activate live FRED threshold breach alerts.

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