Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 234

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 234
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Weighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 2 year$6,511,600 $— 1.98U.S. Treasury futures - 5 year1,960,500 — 4.40U.S. Treasury futures - 10 year and greater— (9,840,500)11.05Total$8,472,100 $(9,840,500)7.11The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty.

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

The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at March 31, 2025 and December 31, 2024, respectively.March 31, 2025 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$8,012 $(3,238)$— $4,774 Interest rate swaptions, at fair value7,595 — (7,515)80 TBA derivatives, at fair value35,095 (23,242)(11,270)583 Futures contracts, at fair value5,597 (5,597)— — Purchase commitments10,958 — — 10,958 Liabilities Interest rate swaps, at fair value$18,455 $(16,942)$— $1,513 TBA derivatives, at fair value12,467 (12,311)— 156 Futures contracts, at fair value148,371 (5,597)(142,774)— Purchase commitments1,772 — — 1,772 December 31, 2024 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$21,226 $(8,138)$— $13,088 TBA derivatives, at fair value8,635 (879)(929)6,827