Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 29

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 29
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,720 $30,356,480 $3,272,902 $101,959,102 Implied market value of derivatives (2)6,635,383 — — 6,635,383 DebtRepurchase agreements57,180,117 4,479,343 — 61,659,460 Implied cost basis of derivatives (2)6,612,755 — — 6,612,755 Other secured financing— — 900,000 900,000 Debt issued by securitization vehicles— 21,802,193 — 21,802,193 Participations issued— 1,748,273 — 1,748,273 U.S. Treasury securities sold, not yet purchased2,497,649 47,984 (26,508)2,519,125 Net forward purchases2,217,970 — 84,281 2,302,251 OtherNet other assets / liabilities1,511,467 162,290 360,323 2,034,080 Net equity allocated$7,968,079 $2,440,977 $2,675,452 $13,084,508 Net equity allocated (%)61 %18 %21 %100 %Debt/net equity ratio (3)7.5:111.5:10.3:16.8:1(1) Fair value includes residential loans held for sale, commercial assets and liabilities 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 in the Consolidated Statements of Financial Condition.

Residential Securities

Substantially all of our Agency MBS at March 31, 2025 and December 31, 2024 were backed by single-family residential mortgage loans and were secured with a first lien position on the underlying single-family properties. Our mortgage-backed securities were largely Fannie Mae, Freddie Mac or Ginnie Mae pass through certificates or CMOs, which have an actual or implied credit rating that is the same as that of the U.S. government. We carry all of our Agency MBS at fair value in the Consolidated Statements of Financial Condition.

We accrete discount balances as an increase to interest income over the expected life of the related interest earning assets and