Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 152

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 152
---
 ValueNet Carrying Value(dollars in thousands)Purchase contracts$988,000 $920,626 $915,790 $(4,836)Sale contracts(1,491,000)(1,475,847)(1,489,392)(13,545)Net TBA derivatives$(503,000)$(555,221)$(573,602)$(18,381)The following tables summarize certain characteristics of the Company’s futures derivatives at December 31, 2024 and 2023: December 31, 2024 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 2 year$6,511,600 $— 1.98U.S. Treasury futures - 5 year1,960,500 — 4.40U.S. Treasury futures - 10 year and greater— (9,840,500)11.05Total$8,472,100 $(9,840,500)7.11December 31, 2023 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 2 year$— $(5,001,400)1.97U.S. Treasury futures - 10 year and greater— (1,733,600)14.26Total$— $(6,735,000)5.13The 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.

F-21

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

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 December 31, 2024 and 2023, respectively.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 value