The following tables summarize certain characteristics of the Company’s swaptions at December 31, 2023 and 2022: December 31, 2023 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $1,250,000 2.21% SOFR 7.69 8.21 Long receive $500,000 1.65% SOFR 10.30 3.53 December 31, 2022 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $2,500,000 2.02% 3M LIBOR 8.19 14.28 Long receive $750,000 1.57% 3M LIBOR 11.07 12.82 The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2023 and 2022: December 31, 2023 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 988,000 $ 920,626 $ 915,790 $ (4,836) Sale contracts (1,491,000) (1,475,847) (1,489,392) (13,545) Net TBA derivatives $ (503,000) $ (555,221) $ (573,602) $ (18,381) December 31, 2022 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,589,000 $ 10,675,739 $ 10,623,350 $ (52,389) Sale contracts (44,000) (44,849) (44,674) 175 Net TBA derivatives $ 10,545,000 $ 10,630,890 $ 10,578,676 $ (52,214) The following tables summarize certain characteristics of the Company’s futures derivatives at December 31, 2023 and 2022: December 31, 2023 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (5,001,400) 1.97 U.S. Treasury futures - 10 year and greater — (1,733,600) 14.26 Total $ — $ (6,735,000) 5.13 December 31, 2022 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (8,518,400) 1.96 U.S. Treasury futures - 5 year — (5,803,400) 4.37 U.S. Treasury futures - 10 year and greater — (6,866,900) 8.15 Total $ — $ (21,188,700) 4.63 The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-22
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