Source: Company filings. Financial data as of September 30, 2024.
- Permanent capital represents Annaly’s total stockholders’ equity as of September 30, 2024.
- Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Agency assets include TBA purchase contracts (market value) of $3.3bn. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $21.0bn, include unsettled MSR commitments of $125mm, include $2.1bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.5bn. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or when they will close.
- Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy’s allocated assets, which include TBA purchase contracts, and liabilities.