The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at December 31, 2023 and 2022, respectively. December 31, 2023 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 26,344 $ (21,505) $ — $ 4,839 Interest rate swaptions, at fair value 105,883 (45,930) (57,320) 2,633 TBA derivatives, at fair value 20,689 (13,282) — 7,407 Purchase commitments 9,641 — — 9,641 Liabilities Interest rate swaps, at fair value $ 83,051 $ (72,844) $ — $ 10,207 TBA derivatives, at fair value 39,070 (34,525) — 4,545 Futures contracts, at fair value 179,835 — (179,835) — Purchase commitments 339 — — 339 December 31, 2022 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 33,006 $ (24,625) $ — $ 8,381 Interest rate swaptions, at fair value 256,991 — — 256,991 TBA derivatives, at fair value 17,056 (16,875) — 181 Futures contracts, at fair value 33,179 (2,414) — 30,765 Purchase commitments 1,832 — — 1,832 Liabilities Interest rate swaps, at fair value $ 108,724 $ (24,625) $ (1,251) $ 82,848 TBA derivatives, at fair value 69,270 (16,875) — 52,395 Futures contracts, at fair value 11,919 (2,414) (9,505) — Purchase commitments 460 — — 460 Credit derivatives 13,799 — (9,291) 4,508 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, 2023 $ 1,585,053 $ (74,757) $ (815,630) December 31, 2022 $ 366,161 $ (266,427) $ 3,480,708 December 31, 2021 $ (276,142) $ (1,236,349) $ 2,198,486 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-23
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