Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 155

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 155
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es) on Agency MBS of $1.6 billion, securitized residential whole loans of consolidated VIEs of $287.2 million, and residential whole loans of $38.4 million, partially offset by unfavorable changes in residential securitized debt of consolidated VIEs of ($256.9) million, U.S. Treasury securities sold, not yet purchased of ($245.9) million, Non-Agency MBS of ($48.5) million, MSR of ($40.2) million, and CRT securities of ($25.9) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended March 31, 2025 was ($605.8) million compared to $1.2 billion for the same period in 2024, primarily attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps, net interest component of interest rate swaps and realized gains (losses) on termination or maturity of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($753.6) million for the three months ended March 31, 2025, compared to $900.9 million for the same period in 2024. Net interest component on interest rate swaps was $191.5 million for the three months ended March 31, 2025, compared to $330.1 million for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($43.8) million for the three months ended March 31, 2025, compared to ($21.2) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $11.7 billion and $3.2 billion, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $2.3 billion and $220.0 million, respectively, for the same period in 2024.

Net gains (losses) on other derivatives was ($372.0) million for the three months ended March 31, 2025, compared to $167.3 million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses)