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
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Financial Condition
Total assets were $91.5 billion and $93.2 billion at March 31, 2024 and December 31, 2023, respectively. The change was primarily due to decreases in Agency MBS of $2.8 billion, receivables for unsettled trades of $1.8 billion, and principal and interest receivable of $355.4 million, partially offset by increases in securitized residential whole loans of consolidated VIEs of $2.3 billion, mortgage servicing rights of $529.1 million, and cash and cash equivalents of $253.2 million. Our portfolio composition, net equity allocation and debt-to-net equity ratio by asset class were as follows at March 31, 2024:
| Agency MBS | MSR | Residential Credit (1) | Commercial | Total | |
|---|---|---|---|---|---|
| Assets · (dollars in thousands) | |||||
| Fair value | $63,542,230 | $2,651,279 | $21,137,904 | $153,128 | $87,484,541 |
| Implied market value of derivatives (2) | 1,133,305 | — | — | — | 1,133,305 |
| Debt | |||||
| Repurchase agreements | 54,822,067 | — | 4,016,945 | 136,220 | 58,975,232 |
| Implied cost basis of derivatives (2) | 1,136,788 | — | — | — | 1,136,788 |
| Other secured financing | — | 600,000 | — | — | 600,000 |
| Debt issued by securitization vehicles | — | — | 13,690,967 | — | 13,690,967 |
| Participations issued | — | — | 1,161,323 | — | 1,161,323 |
| U.S. Treasury securities sold, not yet purchased | 2,016,104 | (1,374) | 62,665 | 9 | 2,077,404 |
| Net forward purchases | 1,523,322 | 97,110 | (5,000) | — | 1,615,432 |
| Other | |||||
| Net other assets / liabilities | 1,523,109 | 388,057 | 163,170 | 61,077 | 2,135,413 |
| Net equity allocated | $6,700,363 | $2,343,600 | $2,374,174 | $77,976 | $11,496,113 |
| Net equity allocated (%) | 59% | 20% | 20% | 1% | 100% |
| Debt/net equity ratio (3) | 8.2:1 | 0.3:1 | 7.9:1 | 1.7:1 | 6.7:1 |
| (1) Fair value includes residential loans held for sale, and assets and liabilities associated with non-controlling interests.(2) Derivatives include TBA contracts under Agency MBS.(3) Represents the debt/net equity ratio as determined using amounts on the Consolidated Statements of Financial Condition. | |||||
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