Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 166

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 166
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)$806,470 $53,558 $(317,297)$370,855 $(7,306)$363,549 For the six months endedJune 30, 2025$2,242,830 $(402,254)$1,840,576 $493,171 $(402,254)$895,425 $8,434 $903,859 June 30, 2024$2,224,706 $(647,446)$1,577,260 $47,107 $(647,446)$694,553 $(10,319)$684,234 *  Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.(1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).

47

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

Experienced and Projected Long-Term CPR

Prepayment speeds, as reflected by the CPR and interest rates vary according to the type of investment, conditions in financial markets, competition and other factors, none of which can be predicted with any certainty. In general, as prepayment speeds and expectations of prepayment speeds on our Agency MBS portfolio increase, related purchase premium amortization increases, thereby reducing the yield on such assets. The following table presents the weighted average experienced CPR and weighted average projected long-term CPR on our Agency MBS portfolio as of and for the periods presented.

 Experienced CPR (1)Projected Long-term CPR (2)For the three months endedJune 30, 20258.7%9.1%June 30, 20247.4%8.5%For the six months endedJune 30, 20257.9%9.1%June 30, 20246.7%8.5%(1) For the three and six months ended June 30, 2025 and 2024, respectively.(2) At June 30, 2025 and 2024, respectively.

Average Yield on Interest E