Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 151

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 151
---
 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)March 31, 2025$101,631,610 $1,329,404 5.23 %$92,001,700 $892,748 3.88 %$436,656 1.35 %March 31, 2024$89,738,726 $1,091,475 4.87 %$80,682,111 $770,790 3.78 %$320,685 1.09 %*  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, beginning with the quarter ended June 30, 2024, 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). Prior period results have not been adjusted in accordance with this change as the impact is not material.  Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.

Net Interest Margin (excluding PAA)

 Interest Income (excluding PAA) *TBA Dollar Roll and CMBX Coupon Income (1)Economic Interest Expense * (2)SubtotalAverage Interest Earnings AssetsAverage TBA Contract and CMBX BalancesSubtotalNet Interest Margin (excluding PAA) *For the three months ended(dollars in thousands)March 31, 2025$1,329,404 11,275 (892,748)$447,931 $101,631,610 4,625,212 $106,256,822 1