Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 265

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 8
Chunk 265
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 years to maturity for each maturity bucket may fall outside of the range listed.The following tables summarize certain characteristics of the Company’s TBA derivatives at September 30, 2025 and December 31, 2024:September 30, 2025Purchase and Sale Contracts for  TBA DerivativesNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$4,389,000 $4,207,018 $4,217,539 $10,521 Sale contracts(215,000)(225,579)(225,624)(45)Net TBA derivatives$4,174,000 $3,981,439 $3,991,915 $10,476 December 31, 2024Purchase and Sale Contracts for  TBA DerivativesNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$4,237,000 $4,239,001 $4,209,341 $(29,660)Sale contracts(1,120,000)(1,080,943)(1,073,187)7,756 Net TBA derivatives$3,117,000 $3,158,058 $3,136,154 $(21,904)

18

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

The following tables summarize certain characteristics of the Company’s futures derivatives at September 30, 2025 and December 31, 2024: September 30, 2025 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 2 year$— $(3,658,000)2.00U.S. Treasury futures - 5 year1,783,700 — 4.40U.S. Treasury futures - 10 year and greater— (11,869,500)11.95Total$1,783,700 $(15,527,500)9.07December 31, 2024 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 2 year$6,511,600 $— 1.98U.S. Treasury futures - 5 year1,