Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 26

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 26
---
 which are presented below, provides investors with additional detail regarding how management evaluates our performance.

Net Interest Spread (excluding PAA)

 Average Interest Earning         Assets (1)Interest Income (excluding PAA) *Average Yield on Interest Earning Assets (excluding PAA) *Average Interest Bearing Liabilities (2)Economic Interest Expense * (2)Average Economic Cost of Interest Bearing Liabilities * (2)Economic Net Interest Income (excluding PAA) *Net Interest Spread (excluding PAA) *For the three months ended(dollars in thousands)September 30, 2025$113,522,223 $1,550,887 5.46%$103,994,302 $1,051,717 3.96%$499,170 1.50%September 30, 2024$95,379,071 $1,250,706 5.25%$87,819,655 $882,244 3.93%$368,462 1.32%For the nine months endedSeptember 30, 2025$106,592,290 $4,295,322 5.37%$97,090,093 $2,892,293 3.93%$1,403,029 1.44%September 30, 2024$92,042,244 $3,512,200 5.09%$83,467,666 $2,459,504 3.87%$1,052,696 1.22%*  Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1) Based on amortized cost.(2) Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. 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).

51

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

Net