Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 165

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 165
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 financing strategy. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the net interest component of interest rate swaps, which is presented in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

Similarly, economic net interest income (excluding PAA), as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.

The following tables present a reconciliation of GAAP interest income and GAAP interest expense to non-GAAP interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA), respectively, for the periods presented:

Interest Income (excluding PAA)

 GAAP Interest IncomePAA Cost(Benefit)Interest Income (excluding PAA) *For the three months ended(dollars in thousands)June 30, 2025$1,418,893 $(3,862)$1,415,031 June 30, 2024$1,177,325 $(7,306)$1,170,019 For the six months endedJune 30, 2025$2,736,001 $8,434 $2,744,435 June 30, 2024$2,271,813 $(10,319)$2,261,494 *   Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.

Economic Interest Expense and Economic Net Interest Income (excluding PAA)

 GAAPInterestExpenseAdd: Net Interest Component of Interest Rate Swaps and Net Interest on Initial MarginEconomic InterestExpense * (1)GAAP NetInterestIncomeLess: Net Interest Componentof Interest Rate Swaps and Net Interest on Initial MarginEconomicNet InterestIncome *Add: PAACost(Benefit)Economic Net Interest Income (excluding PAA) *For the three months ended(dollars in thousands)June 30, 2025$1,145,693 $(197,865)$947,828 $273,200 $(197,865)$471,065 $(3,862)$467,203 June 30, 2024$1,123,767 $(317,297