Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 264

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 8
Chunk 264
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 1.  Financial Statements

The following tables summarize certain characteristics of the Company’s interest rate swaps at September 30, 2025 and December 31, 2024:September 30, 2025MaturityCurrent Notional (1)(2)Weighted Average Pay RateWeighted Average Receive RateWeighted Average Years to Maturity (3)(dollars in thousands)0 - 3 years$27,644,137 3.58%4.24%1.503 - 6 years14,396,904 2.75%4.30%4.716 - 10 years17,994,427 2.98%4.27%7.45Greater than 10 years1,949,430 3.37%4.26%22.27Total / Weighted average$61,984,898 3.16%4.27%4.54December 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%4.36(1) As of September 30, 2025, 98% and 2% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.(2) As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.(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