Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 202

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 202
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)Agency mortgage-backed securities75,369,462 5,610,031 80,979,493 Credit risk transfer securities253,257 77,390 330,647 Non-agency mortgage-backed securities757,761 634,432 1,392,193 Residential mortgage loans (3)33,177,126 343,482 33,520,608 MSR3,164,697 311,484 3,476,181 Interests in MSR— 35,833 35,833 Other assets (4)— 50,506 50,506 Total financial assets$114,533,656 $7,383,505 $121,917,161 (1) The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2025.(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) Includes assets transferred or pledged to securitization vehicles.(4) Includes commercial real estate investments and interests in certain joint ventures.

We maintain liquid assets in order to satisfy our current and future obligations in normal and stressed operating environments. These are held as the primary means of liquidity risk mitigation. The composition of our liquid assets is also considered and is subject to certain parameters. The composition is monitored for concentration risk, including in respect of our deposits of our cash and cash equivalents, and asset type. We believe the assets we consider liquid can be readily converted into cash, through liquidation or by being used as collateral in financing arrangements (including as additional collateral to support existing financial arrangements). Our balance sheet also generates liquidity on an on-going basis through mortgage principal and interest repayments and net earnings held prior to payment of dividends. The following table presents our liquid assets as a percentage of total assets at September 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$2,096,696 Residential Securities (2)82,702,278 Residential mortgage loans (3)4,008,299 Total liquid assets$88,807,273 Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (4)96.12%(1