Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 205

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 205
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,723,650 29,723,650 Total financial assets - maturity2,129,227 235,522 559,469 116,724,768 119,648,986     Effect of utilizing reset dates (1)30,290,520 547,022 683,950 (31,521,492)— Total financial assets - interest rate sensitive$32,419,747 $782,544 $1,243,419 $85,203,276 $119,648,986 Financial liabilities    Repurchase agreements$66,116,906 $8,723,946 $278,111 $— $75,118,963     Debt issued by securitization vehicles (principal)— — — 27,098,983 27,098,983     Participations issued (principal)— — — 1,772,035 1,772,035 U.S. Treasury securities sold, not yet purchased2,442,570 — — — 2,442,570 Total financial liabilities - maturity68,559,476 8,723,946 278,111 28,871,018 106,432,551     Effect of utilizing reset dates (1)(2)(59,158,681)1,205,554 26,168,855 31,784,272 — Total financial liabilities - interest rate sensitive$9,400,795 $9,929,500 $26,446,966 $60,655,290 $106,432,551 Maturity gap$(66,430,249)$(8,488,424)$281,358 $87,853,750 $13,216,435 Cumulative maturity gap$(66,430,249)$(74,918,673)$(74,637,315)$13,216,435 Interest rate sensitivity gap$23,018,952 $(9,146,956)$(25,203,547)$24,547,986 $13,216,435 Cumulative rate sensitivity gap$23,018,952 $13,871,996 $(11,331,551)$13,216,435 (1)Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates