Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 177

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 177
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 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 March 31, 2025 could vary substantially based on actual prepayment experience.

 Less than 3Months3-12 MonthsMore than 1 Year to 3 Years3 Years and OverTotalFinancial assets(dollars in thousands)Cash and cash equivalents$1,833,528 $— $— $— $1,833,528     Agency mortgage-backed securities (principal)2 195 45,190 68,300,118 68,345,505     Residential credit risk transfer securities (principal)— 4,888 11,576 475,832 492,296     Non-agency mortgage-backed securities (principal)189,778 173,709 367,831 670,051 1,401,369     Commercial mortgage-backed securities (principal)29,015 30,000 — — 59,015 Total securities218,795 208,792 424,597 69,446,001 70,298,185     Residential mortgage loans (principal)— — — 3,750,068 3,750,068 Total loans— — — 3,750,068 3,750,068 Assets transferred or pledged to securitization vehicles (principal)— — — 25,048,229 25,048,229 Total financial assets - maturity2,052,323 208,792 424,597 98,244,298 100,930,010     Effect of utilizing reset dates (1)25,667,506 553,921 459,025 (26,680,452)— Total financial assets - interest rate sensitive$27,719,829 $762,713 $883,622 $71,563,846 $100,930,010 Financial liabilities    Repurchase agreements$59,736,284 $1,592,994 $330,182 $— $61,659,460     Debt issued by securitization vehicles (principal)— — — 22,535,741 22,535,741     Participations