Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 103

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 103
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’s interest rate swaps at March 31, 2025 and December 31, 2024:March 31, 2025MaturityCurrent Notional (1)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (2)(dollars in thousands)0 - 3 years$25,483,937 3.27 %4.40 %1.723 - 6 years8,678,730 2.96 %4.41 %4.616 - 10 years19,698,720 2.61 %4.48 %7.37Greater than 10 years1,591,381 3.38 %4.41 %22.96Total / Weighted average$55,452,768 2.98 %4.43 %4.79December 31, 2024MaturityCurrent Notional (1)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (2)(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 March 31, 2025, 93% and 7% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.(2) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

17

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

The following tables summarize certain characteristics of the Company’s swaptions at March 31, 202