Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 118

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 118
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.S. Treasury futures - 5 year1,960,500 — 4.40U.S. Treasury futures - 10 year and greater— (9,840,500)11.05Total$8,472,100 $(9,840,500)7.11The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty.The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at September 30, 2025 and December 31, 2024, respectively.September 30, 2025 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$4,198 $(971)$— $3,227 TBA derivatives, at fair value24,074 (12,960)(9,910)1,204 Futures contracts, at fair value10,232 (10,232)— — Purchase commitments9,395 — — 9,395 Liabilities Interest rate swaps, at fair value$25,350 $(23,440)$— $1,910 TBA derivatives, at fair value13,598 (9,482)— 4,116 Futures contracts, at fair value157,255 (10,232)(147,023)— Purchase commitments2,897 — — 2,897 December 31, 2024 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$21,226 $(8,138)$— $13,088 TBA derivatives, at fair value8,635 (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