Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 150

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 150
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ars in thousands)Interest rate swaps$21,226 $26,344 Interest rate swaptions— 105,883 TBA derivatives8,635 20,689 Futures contracts190,980 — Purchase commitments4,510 9,641 Total derivative assets$225,351 $162,557 Liabilities Interest rate swaps$7,212 $83,051 TBA derivatives30,539 39,070 Futures contracts16,650 179,835 Purchase commitments5,185 339 Total derivative liabilities$59,586 $302,295 

F-19

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

The following tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2024 and 2023: December 31, 2024MaturityCurrent Notional (1)(2)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (3)(dollars in thousands)0 - 3 years$30,411,229 3.49 %4.48 %1.143 - 6 years12,764,021 3.15 %4.50 %4.276 - 10 years21,318,937 2.55 %4.53 %7.63Greater than 10 years1,559,384 3.40 %4.41 %23.25Total / Weighted average$66,053,571 3.11 %4.50 %4.36December 31, 2023MaturityCurrent Notional (1)(2)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (3)(dollars in thousands)0 - 3 years$21,397,358 3.17 %5.26 %1.233 - 6 years12,461,799 3.09 %5.37 %4.756 - 10 years22,949,150 2.85 %5.34 %8.02Greater than 10 years2,021,247 3.53 %5.27 %22.71Total / Weighted average$58,829,554 3.04 %5.31 %5.36(1) As of December 31,