The following table summarizes fair value information about the Company’s derivative assets and liabilities at December 31, 2023 and 2022: Derivatives Instruments December 31, 2023 December 31, 2022 Assets (dollars in thousands) Interest rate swaps $ 26,344 $ 33,006 Interest rate swaptions 105,883 256,991 TBA derivatives 20,689 17,056 Futures contracts — 33,179 Purchase commitments 9,641 1,832 Total derivative assets $ 162,557 $ 342,064 Liabilities Interest rate swaps $ 83,051 $ 108,724 TBA derivatives 39,070 69,270 Futures contracts 179,835 11,919 Purchase commitments 339 460 Credit derivatives (1) — 13,799 Total derivative liabilities $ 302,295 $ 204,172 (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million at December 31, 2022, respectively, plus any coupon shortfalls on the underlying tranche. As of December 31, 2022, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA. The following tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2023 and 2022: December 31, 2023 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 21,397,358 3.17% 5.26% 1.23 3 - 6 years 12,461,799 3.09% 5.37% 4.75 6 - 10 years 22,949,150 2.85% 5.34% 8.02 Greater than 10 years 2,021,247 3.53% 5.27% 22.71 Total / Weighted average $ 58,829,554 3.04% 5.31% 5.36 December 31, 2022 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 26,355,700 0.88% 4.33% 0.75 3 - 6 years 1,120,400 2.53% 3.95% 4.07 6 - 10 years 22,492,200 2.54% 4.24% 8.76 Greater than 10 years 2,309,000 3.49% 4.26% 22.93 Total / Weighted average $ 52,277,300 1.74% 4.28% 5.25 (1) As of December 31, 2023, 94% and 6% of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate and the Federal funds rate, respectively. As of December 31, 2022, 60%, 23% and 17% of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate, the Federal funds rate and LIBOR, respectively. (2) There were no forward starting swaps at December 31, 2023 and December 31, 2022. (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. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-21
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