Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 172

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 172
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 yet purchased of $35.8 million, partially offset by unfavorable changes in residential securitized debt of consolidated VIEs of ($63.9) million, MSR of ($36.3) million, Non-Agency MBS of ($26.7) million, and residential whole loans of ($9.7) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended June 30, 2025 was ($338.3) million, compared to $414.6 million 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 ($492.2) million for the three months ended June 30, 2025, compared to $97.5 million for the same period in 2024. Net interest component on interest rate swaps was $185.7 million for the three months ended June 30, 2025, compared to $298.4 million for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($31.8) million for the three months ended June 30, 2025, compared to $18.7 million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer interest rate swaps with notional amounts of $3.8 billion, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $410.0 million and $3.0 billion, respectively, for the same period in 2024.

Net gains (losses) on other derivatives was ($50.5) million for the three months ended June 30, 2025, compared to $15.9 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) on futures, which was ($69.4) million for the three months ended June 30, 2025, compared to $2.3 million for the same period in 2024, and net gains (losses) on interest rate swaptions, which was ($0.6) million for the