Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 37

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 37
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 allocation and debt-to-net equity ratio by asset class were as follows at September 30, 2025.

 Agency MBSResidential Credit (1)MSRTotal Assets(dollars in thousands)Fair value$83,317,819 $35,265,514 $3,512,014 $122,095,347 Implied market value of derivatives (2)3,991,915 — — 3,991,915 DebtRepurchase agreements70,609,233 4,509,730 — 75,118,963 Implied cost basis of derivatives (2)3,981,439 — — 3,981,439 Other secured financing— — 1,025,000 1,025,000 Debt issued by securitization vehicles— 26,601,790 — 26,601,790 Participations issued— 1,831,657 — 1,831,657 U.S. Treasury securities sold, not yet purchased2,472,871 24,368 (54,669)2,442,570 Net forward purchases2,317,728 22,067 78,567 2,418,362 OtherNet other assets / liabilities1,638,416 286,848 403,834 2,329,098 Net equity allocated$9,566,879 $2,562,750 $2,866,950 $14,996,579 Net equity allocated (%)64%17%19%100%Debt/net equity ratio (3)7.6:112.9:10.3:17.1:1(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 September 30, 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