Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 153

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 153
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190,980 (16,650)— 174,330 Purchase commitments4,510 — — 4,510 Liabilities Interest rate swaps, at fair value$7,212 $(7,212)$— $— TBA derivatives, at fair value30,539 (19,495)— 11,044 Futures contracts, at fair value16,650 (16,650)— — Purchase commitments5,185 — — 5,185 December 31, 2023 Amounts Eligible for Offset  Gross AmountsFinancial InstrumentsCash CollateralNet AmountsAssets(dollars in thousands)Interest rate swaps, at fair value$26,344 $(21,505)$— $4,839 Interest rate swaptions, at fair value105,883 (45,930)(57,320)2,633 TBA derivatives, at fair value20,689 (13,282)— 7,407 Purchase commitments9,641 — — 9,641 Liabilities Interest rate swaps, at fair value$83,051 $(72,844)$— $10,207 TBA derivatives, at fair value39,070 (34,525)— 4,545 Futures contracts, at fair value179,835 — (179,835)— Purchase commitments339 — — 339 The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps (1)Realized Gains (Losses) on Termination of Interest Rate Swaps (1)Unrealized Gains (Losses) on Interest Rate Swaps (1)For the years ended(dollars in thousands)December 31, 2024$1,202,907 $(60,489)$1,001,988 December 31, 2023$1,585,053 $(74,757)$(815,630)December 31, 2022$366,161 $(266,427)$3,480,708 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements