Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 179

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 179
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es) on U.S. Treasury securities sold, not yet purchased was ($26.0) million for the three months ended September 30, 2025, compared to ($117.1) million for the same period in 2024.

Net unrealized gains (losses) on instruments measured at fair value through earnings was $649.7 million for the three months ended September 30, 2025, compared to $1.9 billion for the same period in 2024, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($1.2) billion, securitized residential whole loans of consolidated VIEs of ($385.3) million, non-Agency MBS of ($27.0) million, and U.S. Treasury securities sold, not yet purchased of ($19.4) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $336.4 million and MSR of $13.4 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended September 30, 2025 was ($0.3) million, compared to ($1.4) billion for the same period in 2024, primarily attributable to favorable changes in unrealized gains (losses) on interest rate swaps  and realized gains (losses) on termination or maturity of interest rate swaps, partially offset by an unfavorable change in net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($189.0) million for the three months ended September 30, 2025, compared to ($1.6) billion for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($3.2) million for the three months ended September 30, 2025, compared to ($94.0) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $1.6 billion and $68.0 million, respectively, compared to $5.1 billion notional amount of fixed-rate payer interest rate swaps for the same period in 2024. Net interest component on interest rate swaps was $191.9 million for the three months ended September 30,