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ANNALY CAPITAL MANAGEMENT INC

For the period ended Mar 31, 2024. Filed May 2, 2024.

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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 2, 2024

NLY$18.95+1.1%Stored close · as of Nov 9, 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 and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S Treasury securities sold, not yet purchased. Debt issued by securitization vehicles 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
March 31, 2024March 31, 2023
Economic leverage ratio reconciliation · (dollars in thousands)
Repurchase agreements$58,975,232$60,993,018
Other secured financing600,000250,000
Debt issued by securitization vehicles13,690,9678,805,911
Participations issued1,161,323673,431
U.S. Treasury securities sold, not yet purchased2,077,404—
Total GAAP debt$76,504,926$70,722,360
Less Non-Recourse Debt:
Debt issued by securitization vehicles$(13,690,967)$(8,805,911)
Participations issued(1,161,323)(673,431)
Total recourse debt$61,652,636$61,243,018
Plus / (Less):
Cost basis of TBA and CMBX derivatives1,136,78812,241,647
Payable for unsettled trades2,556,7983,259,034
Receivable for unsettled trades(941,366)(679,096)
Economic debt *$64,404,856$76,064,603
Total equity$11,496,113$11,909,033
Economic leverage ratio *5.6:16.4:1
* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.

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
March 31, 2024March 31, 2023
Economic capital ratio reconciliation · (dollars in thousands)
Total GAAP assets$91,483,546$86,832,017
Less:
Gross unrealized gains on TBA derivatives (1)(7,220)(167,065)
Debt issued by securitization vehicles(13,690,967)(8,805,911)
Plus:
Implied market value of TBA derivatives1,133,30512,020,810
Total economic assets *$78,918,664$89,879,851
Total equity$11,496,113$11,909,033
Economic capital ratio (2) *14.6%13.2%
* 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) Economic capital ratio is computed as total equity divided by total economic assets.
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