Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 31

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 31
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es) on interest rate swaps  and realized gains (losses) on termination or maturity of interest rate swaps, partially offset by an unfavorable change in net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($189.0) million for the three months ended September 30, 2025, compared to ($1.6) billion for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($3.2) million for the three months ended September 30, 2025, compared to ($94.0) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $1.6 billion and $68.0 million, respectively, compared to $5.1 billion notional amount of fixed-rate payer interest rate swaps for the same period in 2024. Net interest component on interest rate swaps was $191.9 million for the three months ended September 30, 2025, compared to $317.5 million for the same period in 2024.

Net gains (losses) on other derivatives was ($92.1) million for the three months ended September 30, 2025, compared to ($395.0) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on interest rate swaptions, which was $0.0 million for the three months ended September 30, 2025, compared to ($135.0) million for the same period in 2024, net gains (losses) on futures, which was ($163.4) million for the three months ended September 30, 2025, compared to ($291.5) million for the same period in 2024, and net gains (losses) on TBA derivatives, which was $76.6 million for the three months ended September 30, 2025, compared to $22.4 million for the same period in 2024, partially offset by an unfavorable change in net gains (losses) on purchase commitments, 

53

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

which was  ($5.3) million for the three months