Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 255

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 255
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 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) As of June 30, 2025, notional amount includes $1.6 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.(3) 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 TBA derivatives at June 30, 2025 and December 31, 2024:June 30, 2025Purchase and Sale Contracts for  TBA DerivativesNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$8,180,000 $7,765,450 $7,862,762 $97,312 Sale contracts(95,000)(78,850)(78,831)19 Net TBA derivatives$8,085,000 $7,686,600 $7,783,931 $97,331 December 31, 2024Purchase and Sale Contracts for  TBA DerivativesNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$4,237,000 $4,239,001 $4,209,341 $(29,660)Sale contracts(1,120,000)(1,080,943)(1,073,187)7,756 Net TBA derivatives$3,117,000 $3,158,058 $3,136,154 $(21,904)The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2025 and December 31, 2024: June 30, 2025 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)2-year swap equivalent SOFR contracts$— $(1,250,000)2.00U.S