Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 204

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 204
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 a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if assets and liabilities were perfectly matched in each maturity category. The amount of assets and liabilities utilized to compute our interest rate sensitivity gap was determined in accordance with the contractual terms of the assets and liabilities, except that adjustable-rate loans and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature. The effects of interest rate swaps, whereby we generally pay a fixed rate and receive a floating rate and effectively lock in our financing costs for a longer term, are also reflected in our interest rate sensitivity gap.

The interest rate sensitivity of our assets and liabilities in the following table at September 30, 2025 could vary substantially based on actual prepayment experience.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

 Less than 3Months3-12 MonthsMore than 1 Year to 3 Years3 Years and OverTotalFinancial assets(dollars in thousands)Cash and cash equivalents$2,096,696 $— $— $— $2,096,696 Reverse repurchase agreements— — — 35,004 35,004     Agency mortgage-backed securities (principal)— 115 62,162 82,201,224 82,263,501     Residential credit risk transfer securities (principal)4,664 5,841 57,466 244,974 312,945     Non-agency mortgage-backed securities (principal)27,867 229,566 439,841 641,359 1,338,633     Commercial mortgage-backed securities (principal)— — — — — Total securities32,531 235,522 559,469 83,087,557 83,915,079 Loans (principal)— — — 3,878,557 3,878,557 Assets transferred or pledged to securitization vehicles (principal)— — — 29