Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 115

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 115
---
)(69,427)Purchase commitments— 2,580 2,580 Total$(50,460)

19

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 1.  Financial Statements

Three Months Ended June 30, 2024Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(16,252)$15,931 $(321)Net interest rate swaptions(12,331)23,857 11,526 Futures (1)48,227 (45,882)2,345 Purchase commitments— 2,360 2,360 Total$15,910 (1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million realized loss related to SOFR futures options.Six Months Ended June 30, 2025Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(72,041)$119,236 $47,195 Net interest rate swaptions(9,230)— (9,230)Futures (1)68,298 (541,184)(472,886)Purchase commitments— 12,439 12,439 Total$(422,482)(1) For the six months ended June 30, 2025, includes $9.0 million of realized gain related to SOFR futures options.Six Months Ended June 30, 2024Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(24,868)$30,829 $5,961 Net interest rate swaptions(12,331)54,488 42,157 Futures (1)39,547 99,827 139,374 Purchase commitments— (4,252)(4,252)Total$183,240 (1) For the six months ended June 30, 2024, includes