Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 48

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 48
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,443 U.S. Treasury securities sold, not yet purchased2,519,125 — — — 2,519,125 Total financial liabilities - maturity62,255,409 1,592,994 330,182 24,233,184 88,411,769     Effect of utilizing reset dates (1)(2)(50,729,794)1,505,000 21,270,066 27,954,728 — Total financial liabilities - interest rate sensitive$11,525,615 $3,097,994 $21,600,248 $52,187,912 $88,411,769 Maturity gap$(60,203,086)$(1,384,202)$94,415 $74,011,114 $12,518,241 Cumulative maturity gap$(60,203,086)$(61,587,288)$(61,492,873)$12,518,241 Interest rate sensitivity gap$16,194,214 $(2,335,281)$(20,716,626)$19,375,934 $12,518,241 Cumulative rate sensitivity gap$16,194,214 $13,858,933 $(6,857,693)$12,518,241 (1)Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.(2)Includes effect of interest rate swaps.

The methodologies we employ for evaluating interest rate risk include an analysis of our interest rate “gap,” measurement of the duration and convexity of our portfolio and sensitivities to interest rates and spreads.

Stress Testing

We utilize liquidity stress testing to ensure we have sufficient liquidity under a variety of scenarios and stresses. These stress tests assist with the management of our pool of liquid assets and influence our current and future funding plans. The stresses applied include market-wide and firm-specific stresses.

Liquidity Management Policies

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

We utilize a comprehensive liquidity policy structure to inform our liquidity risk management practices including monitoring and measurement, along with well-defined key risk indicators. Both quantitative and qualitative targets are utilized to measure the ongoing stability and condition of the liquidity position, and include the level and composition of unencumbered assets, as well as