ANNALY CAPITAL MANAGEMENT INC
For the period ended Sep 30, 2026. Filed Oct 28, 2026.
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Sep 30, 2026 · Filed Oct 28, 2026
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Excess Liquidity
Our primary source of liquidity is the availability of unencumbered assets which may be provided as collateral to support additional funding needs. We target minimum thresholds of available, unencumbered assets to maintain excess liquidity. The following table illustrates our asset portfolio available to support potential collateral obligations and funding needs.
Assets are considered encumbered if pledged as collateral against an existing liability, and therefore are no longer available to support additional funding. An asset is considered unencumbered if it has not been pledged or securitized. The following table also provides the carrying amount of our encumbered and unencumbered financial assets at September 30, 2026:
| Encumbered Assets | Unencumbered Assets | Total | |
|---|---|---|---|
| Financial assets · (dollars in thousands) | |||
| Cash and cash equivalents | $1,770,343 | $410,551 | $2,180,894 |
| Reverse repurchase agreements (1) | 32,425 | — | 32,425 |
| Investments, at carrying value (2) | |||
| Agency mortgage-backed securities | 81,169,240 | 3,810,980 | 84,980,220 |
| Credit risk transfer securities | — | 69 | 69 |
| Non-agency mortgage-backed securities | 966,891 | 626,722 | 1,593,613 |
| Residential mortgage loans (3) | 48,250,157 | 1,079,229 | 49,329,386 |
| MSR | 3,478,379 | 721,444 | 4,199,823 |
| Interests in MSR | — | 110,350 | 110,350 |
| Other assets (4) | — | 129,045 | 129,045 |
| Total financial assets | $135,667,435 | $6,888,390 | $142,555,825 |
| (1) The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2026.(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 real estate investments. | |||
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, 2026:
| Carrying Value (1) | |
|---|---|
| Liquid assets · (dollars in thousands) | |
| Cash and cash equivalents | $2,180,894 |
| Residential Securities (2) | 86,573,867 |
| Residential mortgage loans (3) | 6,869,820 |
| Total liquid assets | $95,624,581 |
| Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (4) | 95.55% |
| (1) Carrying value approximates the market value of assets. The assets listed in this table include $87.9 billion of assets that have been pledged as collateral against existing liabilities at September 30, 2026. 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 $42.5 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 $42.5 billion. | |
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