Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 154

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 154
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The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:Year Ended December 31, 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$(13,220)$(3,524)$(16,744)Net interest rate swaptions(37,401)(68,482)(105,883)Futures (1)(96,667)354,164 257,497 Purchase commitments— (9,975)(9,975)Total$124,895 (1) For the year ended December 31, 2024, includes ($6.8) million of realized loss related to SOFR futures options. Year Ended December 31, 2023Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(174,666)$33,833 $(140,833)Net interest rate swaptions(29,438)(119,348)(148,786)Futures194,316 (201,095)(6,779)Purchase commitments— 7,932 7,932 Credit derivatives(19,368)13,260 (6,108)Total$(294,574)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 decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features were in a net asset position at December 31, 2024.

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