Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 33

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 33
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million, and securitized residential whole loans of consolidated VIEs of $9.2 million, partially offset by unfavorable changes in U.S. Treasury securities sold, not yet purchased of ($229.5) million, non-Agency MBS of ($102.2) million, MSR of ($63.0) million, CRT securities of ($34.6) million, and participations issued of ($16.2) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the nine months ended September 30, 2025 was ($944.4) million, compared to $265.4 million for the same period in 2024, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps and the change in the net interest component of interest rate swaps, partially offset by favorable changes in realized gains (losses) on termination of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($1.4) billion for the nine months ended September 30, 2025, compared to ($584.1) million for the same period in 2024. Net interest component on interest rate swaps was $569.1 million for the nine months ended September 30, 2025, compared to $946.0 million for the same period in 2024. Realized gains (losses) on termination of interest rate swaps was ($78.8) million for the nine months ended September 30, 2025, compared to ($96.5) million for the same period in 2024, which reflected our termination of fixed-rate payer and receiver interest rate swaps with notional amounts of $17.1 billion and $3.2 billion, respectively, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $7.7 billion and $3.3 billion, respectively, for the same period in 2024. 

Net gains (losses) on other derivatives was ($514.5) million for the nine months ended September 30, 2025, compared to ($211.7) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures, which was ($636.2) million for the nine months ended September 30, 202