Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 12

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 12
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ized EAD return on average equity (excluding PAA)14.70%12.95%14.56%12.88%Economic leverage at period-end (2)5.7:15.7:15.7:15.7:1Economic capital ratio at period-end (3)14.8%14.6%14.8%14.6%Net interest margin (excluding PAA) (5)1.70%1.52%1.70%1.51%Average yield on interest earning assets (excluding PAA) (6)5.46%5.25%5.37%5.09%Average economic cost of interest bearing liabilities (7)3.96%3.93%3.93%3.87%Net interest spread (excluding PAA)1.50%1.32%1.44%1.22%

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

*   Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1)  The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.(2) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from economic leverage.(3) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles and participations issued.(4) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full