Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 42

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 42
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 2025 and December 31, 2024, the weighted average days to maturity was 50 days and 32 days, respectively.

Our repurchase agreements generally provide that in the event of a margin call we must provide additional securities or cash on the same business day that a margin call is made. Should prepayment speeds on the mortgages underlying our Agency and Residential mortgage-backed securities and/or market interest rates or other factors move suddenly and cause declines in the market value of assets posted as collateral, resulting margin calls may cause an adverse change in our liquidity position. We have continued to diversify our financing profile adding new non-mark-to-market facilities and financing options under existing facilities for our Residential Credit operating segment.

At March 31, 2025, we had total financial assets and cash pledged against existing liabilities of $66.8 billion. The weighted average haircut was approximately 3% on repurchase agreements. The quality and character of the Residential Securities that we pledge as collateral under the repurchase agreements and interest rate swaps did not materially change at March 31, 2025, compared to the same period in 2024, and our counterparties did not materially alter any requirements, including required haircuts, related to the collateral we pledge under repurchase agreements and interest rate swaps during the three months ended March 31, 2025.

The following table presents our quarterly average and quarter-end repurchase agreement and reverse repurchase agreement balances outstanding for the periods presented:

 Repurchase AgreementsReverse Repurchase Agreements Average DailyAmount OutstandingEnding Amount OutstandingAverage DailyAmount OutstandingEnding Amount OutstandingFor the three months ended(dollars in thousands)March 31, 2025$66,724,268 $61,659,460 $2,721,386 $— December 31, 202468,092,016 65,688,923 2,778,970 — September 30, 202467,092,629 64,310,276 3,041,120 — June 30, 202463,043,218 60,787,994 2,322,479 — March 31, 202464,027,388 58,975,232 2,323,485 — December 31, 202361,924,576 62,201,543 1,340,204 — September 30, 202366,020,036 64,693,821 257