Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 31

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 31
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1.0 billion for the six months ended June 30, 2025, compared to ($680.9) million for the same period in 2024, primarily due to favorable changes on Agency MBS of $2.0 billion, securitized residential whole loans of consolidated VIEs of $394.5 million and residential whole loans of $28.7 million, partially offset by unfavorable changes in unrealized gains (losses) on securitized debt of consolidated VIEs of ($320.8) million, U.S. Treasury securities sold, not yet purchased of ($210.1) million, MSR of ($76.4) million, non-Agency MBS of ($75.2) million, CRT securities of ($34.3) million, and participations issued of ($10.5) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the six months ended June 30, 2025 was ($944.2) million, compared to $1.6 billion for the same period in 2024, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps, the change in the net interest component of interest rate swaps and realized gains (losses) on termination of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($1.2) billion for the six months ended June 30, 2025, compared to $998.4 million for the same period in 2024. Net interest component on interest rate swaps was $377.2 million for the six months ended June 30, 2025, compared to $628.5 million for the same period in 2024. Realized gains (losses) on termination of interest rate swaps was ($75.6) million for the six months ended June 30, 2025, compared to ($2.5) million for the same period in 2024, which reflected our termination of fixed-rate payer and receiver interest rate swaps with notional amounts of $15.5 billion and $3.2 billion, respectively, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $2.7 billion and $3.3 billion, respectively, for the same period in 2024. 

Net gains (losses) on other derivatives was ($422.5