Annaly Capital (NLY), the largest mortgage-backed securities real estate investment trust, swung to a $921.8 million loss, or 98 centers per share, in the third quarter. The REIT posted a $14.1 million loss in the same quarter last year. Annaly reported a 24.6% annualized loss on average equity during the quarter, dropping from a 3.6% return reported in the previous period. There was only a 0.58% annualized loss on average equity in the third quarter of last year. Annaly sold $3.9 billion in agency MBS in the quarter for a $91.7 million gain. As of Sept. 30, all of its investment securities were Fannie Mae, Freddie Mac or Ginnie Mae MBS, with fixed-rate mortgages underlying 90% of them. Michael Farrell, CEO of Annaly said they will continue to monitor the impact of the Federal Reserve decision to buy more agency MBS as part of the so-called "Operation Twist" that began in October. "The market conditions we discussed in our last earnings release—including uncertainty surrounding sovereign credit risk, regulatory reform and weak economic performance—continued in the third quarter," Farrell said. Write to Jon Prior. Follow him on Twitter @JonAPrior.