Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 256

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 256
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. Treasury futures - 2 year1,469,000 — 1.90U.S. Treasury futures - 5 year2,438,700 — 4.40U.S. Treasury futures - 10 year and greater— (14,767,700)11.42Total$3,907,700 $(16,017,700)9.27December 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)7.11The 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 June 30, 2025 and December 31, 2024, respectively.

18

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

June 30, 2025 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$5,003 $(1,222)$— $3,781 TBA derivatives, at fair value97,331 (21,481)(56,225)19,625 Futures contracts, at fair value34,258 (34,258)— — Purchase commitments13,098 — — 13,098 Liabilities Interest rate swaps, at fair value$23,547 $(21,967)$— $1,580 Futures contracts, at fair value401,113 (34,258)(366,855)— Purchase commitments1,333 — — 1,333 December 31, 2024 Amounts Eligible for Offset  Gross AmountsFinancial Instruments