Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 151

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 151
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 2024, 95% and 5% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2023, 94% and 6% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.(2) There were no forward starting swaps at December 31, 2024 and December 31, 2023.(3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.The following tables summarize certain characteristics of the Company’s swaptions at December 31, 2024 and 2023: December 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$——%SOFR0.000Long receive$——%SOFR0.000December 31, 2023Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration(dollars in thousands)Long pay$1,250,0002.21%SOFR7.698.21Long receive$500,0001.65%SOFR10.303.53

F-20

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2024 and 2023: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)December 31, 2023Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market