Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 114

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 114
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 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 Futures contracts, at fair value190,980 (16,650)— 174,330 Purchase commitments4,510 — — 4,510 Liabilities Interest rate swaps, at fair value$7,212 $(7,212)$— $— TBA derivatives, at fair value30,539 (19,495)— 11,044 Futures contracts, at fair value16,650 (16,650)— — Purchase commitments5,185 — — 5,185 The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps (1)Realized Gains (Losses) on Termination of Interest Rate Swaps (1)Unrealized Gains (Losses) on Interest Rate Swaps (1)For the three months ended(dollars in thousands)June 30, 2025$185,650 $(31,792)$(492,183)June 30, 2024$298,372 $18,721 $97,484 For the six months endedJune 30, 2025$377,195 $(75,581)$(1,245,784)June 30, 2024$628,521 $(2,516)$998,386 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:Three Months Ended June 30, 2025Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(57,686)$74,703 $17,017 Net interest rate swaptions(9,230)8,600 (630)Futures154,654 (224,081