Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 267

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 8
Chunk 267
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 (16,650)— — Purchase commitments5,185 — — 5,185 

19

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

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)September 30, 2025$191,891 $(3,187)$(188,961)September 30, 2024$317,483 $(94,016)$(1,582,495)For the nine months endedSeptember 30, 2025$569,086 $(78,768)$(1,434,745)September 30, 2024$946,004 $(96,532)$(584,109)(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 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$163,432 $(86,855)$76,577 Futures (1)(383,194)219,832 (163,362)Purchase commitments— (5,266)(5,266)Total$(92,051)(1) For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures.Three 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$40,561 $(18,181)$22,380 Net interest rate swaptions(21,180)(