Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 22

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 22
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,118 Participations issued1,831,657 467,006 U.S. Treasury securities sold, not yet purchased2,442,570 2,043,519 Total GAAP debt$107,019,980 $86,129,919 Less Non-recourse debt:Debt issued by securitization vehicles$(26,601,790)$(18,709,118)Participations issued(1,831,657)(467,006)Total recourse debt$78,586,533 $66,953,795 Plus / (Less):Cost basis of TBA derivatives3,981,439 3,333,873 Payable for unsettled trades2,604,278 1,885,286 Receivable for unsettled trades(185,916)(766,341)Economic debt *$84,986,334 $71,406,613 Total equity$14,996,579 $12,539,949 Economic leverage ratio *5.7:15.7:1*   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 ofSeptember 30, 2025September 30, 2024Economic capital ratio reconciliation(dollars in thousands)Total GAAP assets$125,861,572 $101,515,995 Less:Gross unrealized gains on TBA derivatives (1)(24,074)(2,869)Debt issued by securitization vehicles(26,601,790)(18,709,118)Participations issued(1,831,657)(467,006)Plus:Implied market value of TBA derivatives3,991,915 3,328,141 Total economic assets *$101,395,966 $85,665,143 Total equity$14,996,579 $12,539,949 Economic capital ratio (2) *14.8%14.6%*   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