Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 106

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 106
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 (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)March 31, 2025$191,545 $(43,789)$(753,601)March 31, 2024$330,149 $(21,237)$900,902 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:Three Months Ended March 31, 2025Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives(dollars in thousands)Net TBA derivatives$(14,355)$44,533 $30,178 Net interest rate swaptions— (8,600)(8,600)Futures(86,356)(317,103)(403,459)Purchase commitments— 9,859 9,859 Total$(372,022)(1) For the three months ended March 31, 2025, includes $9.0 million of realized gain related to SOFR futures options.

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

Three Months Ended March 31, 2024Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss