Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 52

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 52
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 and net earnings held prior to payment of dividends. The following table presents our liquid assets as a percentage of total assets at June 30, 2025:

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

Carrying Value (1) Liquid assets(dollars in thousands)Cash and cash equivalents$2,058,845 Residential Securities (2)73,281,057 Residential mortgage loans (3)3,722,272 Total liquid assets$79,062,174 Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (4)95.97%(1) Carrying value approximates the market value of assets. The assets listed in this table include $72.0 billion of assets that have been pledged as collateral against existing liabilities at June 30, 2025. Please refer to the Encumbered and Unencumbered Assets table for related information.(2) The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.(3) Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of $27.0 billion.(4) Denominator is computed based on the carrying amount of encumbered and unencumbered financial assets, excluding assets transferred or pledged to securitization vehicles, of $27.0 billion.

Maturity Profile and Interest Rate Sensitivity

We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk. We determine the amount of liquid assets that are required to be held by monitoring several liquidity metrics. We utilize several modeling techniques to analyze our current and potential obligations including the expected cash flows from our assets, liabilities and derivatives. The following table illustrates the expected final maturities and cash flows of our assets, liabilities and derivatives. The table is based on a static portfolio and assumes no reinvestment of asset cash flows and no future liabilities are entered into. In assessing the maturity of our assets, liabilities and off-balance sheet obligations, we use the stated maturities, or our prepayment expectations for assets and liabilities that exhibit prepayment characteristics. Cash and cash equivalents are included in the ‘Less than 3 Months’ maturity bucket, as they are typically held for a short period of time.

With respect to each maturity bucket, our