Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 233

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 233
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 March 31, 2025Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration(dollars in thousands)Long pay$1,000,0004.68%SOFR10.839.92Long receive$——%SOFR0.000.00December 31, 2024Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration(dollars in thousands)Long pay$——%SOFR0.000.00Long receive$——%SOFR0.000.00The following tables summarize certain characteristics of the Company’s TBA derivatives at March 31, 2025 and December 31, 2024:March 31, 2025Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$6,902,000 $6,612,755 $6,635,383 $22,628 Net TBA derivatives$6,902,000 $6,612,755 $6,635,383 $22,628 December 31, 2024Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value(dollars in thousands)Purchase contracts$4,237,000 $4,239,001 $4,209,341 $(29,660)Sale contracts(1,120,000)(1,080,943)(1,073,187)7,756 Net TBA derivatives$3,117,000 $3,158,058 $3,136,154 $(21,904)The following tables summarize certain characteristics of the Company’s futures derivatives at March 31, 2025 and December 31, 2024: March 31, 2025 Notional - LongPositionsNotional - ShortPositionsWeighted AverageYears to Maturity (dollars in thousands)U.S. Treasury futures - 10 year and greater$— $(11,659,400)10.52Total$— $(11,659,400)10.52December 31, 2024 Notional - LongPositionsNotional - ShortPositions