Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 120

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 120
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 interest rate swaptions(21,180)(113,792)(134,972)Futures (1)(362,660)71,146 (291,514)Purchase commitments— 9,124 9,124 Total$(394,982)(1) For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures.Nine Months Ended September 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$91,391 $32,381 $123,772 Net interest rate swaptions(9,230)— (9,230)Futures (1)(314,896)(321,352)(636,248)Purchase commitments— 7,173 7,173 Total$(514,533)(1) For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options.

20

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

Nine Months Ended September 30, 2024Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$15,694 $12,649 $28,343 Net interest rate swaptions(33,511)(59,304)(92,815)Futures (1)(323,113)170,973 (152,140)Purchase commitments— 4,870 4,870 Total$(211,742)(1) For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options.Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a