Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 45

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 45
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 reported in the Consolidated Statements of Financial Condition.(2) Includes assets transferred or pledged to securitization vehicles.(3) 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 March 31, 2025:

Carrying Value (1) Liquid assets(dollars in thousands)Cash and cash equivalents$1,833,528 Residential Securities (2)68,131,448 Commercial mortgage-backed securities59,061 Residential mortgage loans (3)3,860,555 Total liquid assets$73,884,592 Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (4)95.71 %(1) Carrying value approximates the market value of assets. The assets listed in this table include $66.8 billion of assets that have been pledged as collateral against existing liabilities at March 31, 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 $24.5 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 $24.5 billion.

Maturity Profile

We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk employing a measurement of both the maturity gap and interest rate sensitivity gap. We determine the amount of liquid assets that are required