Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 111

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 111
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 June 30, 2025 and December 31, 2024:Derivatives InstrumentsJune 30, 2025December 31, 2024Assets(dollars in thousands)Interest rate swaps$5,003 $21,226 TBA derivatives97,331 8,635 Futures contracts34,258 190,980 Purchase commitments13,098 4,510 Total derivative assets$149,690 $225,351 Liabilities Interest rate swaps$23,547 $7,212 TBA derivatives— 30,539 Futures contracts401,113 16,650 Purchase commitments1,333 5,185 Total derivative liabilities$425,993 $59,586 The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2025 and December 31, 2024:June 30, 2025MaturityCurrent Notional (1)(2)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (3)(dollars in thousands)0 - 3 years$23,100,137 3.60%4.45%1.633 - 6 years12,264,904 2.98%4.45%4.606 - 10 years19,739,427 2.75%4.50%7.37Greater than 10 years1,949,430 3.39%4.45%22.52Total / Weighted average$57,053,898 3.14%4.47%4.88December 31, 2024MaturityCurrent Notional (1)(2)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (3)(dollars in thousands)0 - 3 years$30,411,229 3.49%4.48%1.143 - 6 years12,764,021 3.15%4.50%4.276 - 10 years21,318,937 2.55%4.53%7.63Greater than 10 years1,559,384 3.40%4.41%23.25Total / Weighted average$66,053,571 3.11%4.50%4.36(1) As of June 30, 2025, 98% and 2%