The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2023 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ (174,666) $ 33,833 $ (140,833) Net interest rate swaptions (29,438) (119,348) (148,786) Futures 194,316 (201,095) (6,779) Purchase commitments — 7,932 7,932 Credit derivatives (19,368) 13,260 (6,108) Total $ (294,574) Year Ended December 31, 2022 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ (2,729,866) $ (100,990) $ (2,830,856) Net interest rate swaptions (43,124) 195,084 151,960 Futures 3,825,072 141,366 3,966,438 Purchase commitments — 460 460 Credit derivatives 3,657 (12,927) (9,270) Total $ 1,278,732 Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a liability position at December 31, 2023 was approximately $184.9 million, which represents the maximum amount the Company would be required to pay upon termination. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-24
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