Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 26

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 26
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 31, 2024December 31, 2023Economic leverage ratio reconciliation(dollars in thousands)Repurchase agreements$65,688,923 $62,201,543 Other secured financing750,000 500,000 Debt issued by securitization vehicles19,540,678 11,600,338 Participations issued1,154,816 1,103,835 U.S. Treasury securities sold, not yet purchased2,470,629 2,132,751 Total GAAP debt$89,605,046 $77,538,467 Less Non-recourse debt:Debt issued by securitization vehicles(19,540,678)(11,600,338)Participations issued(1,154,816)(1,103,835)Total recourse debt$68,909,552 $64,834,294 Plus / (Less):Cost basis of TBA and CMBX derivatives3,158,058 (555,221)Payable for unsettled trades308,282 3,249,389 Receivable for unsettled trades(2,201,447)(2,710,224)Economic debt *$70,174,445 $64,818,238 Total equity$12,696,952 $11,345,091 Economic leverage ratio *5.5:15.7:1* 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 ofDecember 31, 2024December 31, 2023Economic capital ratio reconciliation(dollars in thousands)Total GAAP assets$103,556,384 $93,227,236 Less:Gross unrealized gains on TBA derivatives (1)(8,635)(20,689)Debt issued by securitization vehicles(19,540,678)(11,600,338)Plus:Implied market value of TBA derivatives3,136,154 (573,602)Total economic assets *$87,143,225 $81,032,607 Total equity$12,696,952 $11,345,091 Economic capital ratio (2)*14.6%14