ANNALY CAPITAL MANAGEMENT INC
For the period ended Sep 30, 2026. Filed Oct 28, 2026.
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Sep 30, 2026 · Filed Oct 28, 2026
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Economic Leverage and Economic Capital Ratios
We use capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on our assets and the cost of our borrowings and hedging activities. Our capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for our stockholders while maintaining appropriate liquidity to support our business and meet our financial obligations under periods of market stress. To maintain our desired capital profile, we utilize a mix of debt and equity funding. Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities. Equity capital primarily consists of common and preferred stock.
Our economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating our economic leverage ratio for the periods presented:
| As of | ||
|---|---|---|
| September 30, 2026 | September 30, 2025 | |
| Economic leverage ratio reconciliation · (dollars in thousands) | ||
| Repurchase agreements | $85,525,065 | $75,118,963 |
| Other secured financing | 1,125,000 | 1,025,000 |
| Debt issued by securitization vehicles | 38,380,269 | 26,601,790 |
| Participations issued | 2,200,562 | 1,831,657 |
| U.S. Treasury securities sold, not yet purchased | — | 2,442,570 |
| Total GAAP debt | $127,230,896 | $107,019,980 |
| Less Non-recourse debt: | ||
| Debt issued by securitization vehicles (1) | $(38,136,634) | $(26,601,790) |
| Participations issued | (2,200,562) | (1,831,657) |
| Total recourse debt | $86,893,700 | $78,586,533 |
| Plus / (Less): | ||
| Cost basis of TBA derivatives | 6,710,766 | 3,981,439 |
| Payable for unsettled trades | 1,108,206 | 2,604,278 |
| Receivable for unsettled trades | (705,160) | (185,916) |
| Economic debt * | $94,007,512 | $84,986,334 |
| Total equity | $15,894,386 | $14,996,579 |
| Economic leverage ratio * | 5.9:1 | 5.7:1 |
| * Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.(1) Non-recourse debt excludes debt issued by securitization vehicles related to structured repurchase transactions. | ||
The following table presents a reconciliation of GAAP total assets to economic total assets for purposes of calculating our economic capital ratio for the periods presented:
| As of | ||
|---|---|---|
| September 30, 2026 | September 30, 2025 | |
| Economic capital ratio reconciliation · (dollars in thousands) | ||
| Total GAAP assets | $146,147,474 | $125,861,572 |
| Less: | ||
| Gross unrealized gains on TBA derivatives (1) | (34,383) | (24,074) |
| Debt issued by securitization vehicles (2) | (38,136,634) | (26,601,790) |
| Participations issued | (2,200,562) | (1,831,657) |
| Plus: | ||
| Implied market value of TBA derivatives | 6,488,723 | 3,991,915 |
| Total economic assets * | $112,264,618 | $101,395,966 |
| Total equity | $15,894,386 | $14,996,579 |
| Economic capital ratio (3) * | 14.2% | 14.8% |
| * Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.(1) Included in Derivative assets in the Consolidated Statements of Financial Condition.(2) Excludes debt issued by securitization vehicles related to structured repurchase transactions.(3) Economic capital ratio is computed as total equity divided by total economic assets. | ||
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