Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 28

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 28
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1)Average Economic Cost ofInterestBearingLiabilities *AverageOne-MonthTerm SOFR AverageSix-MonthTerm SOFRAverageOne-Month Term SOFR Relative toAverage Six-Month Term SOFR Average Economic Costof InterestBearingLiabilitiesRelative toAverage One-Month Term SOFRAverage Economic Costof InterestBearingLiabilitiesRelative toAverage Six-Month Term SOFRFor the three months endedSeptember 30, 2025$103,994,302 $105,994,980 $1,051,717 3.96%4.29%4.05%0.24%(0.33%)(0.09%)September 30, 2024$87,819,655 $85,529,919 $882,244 3.93%5.22%4.82%0.40%(1.29%)(0.89%)For the nine months endedSeptember 30, 2025$97,090,093 $105,994,980 $2,892,293 3.93%4.31%4.16%0.15%(0.38%)(0.23%)September 30, 2024$83,467,666 $85,529,919 $2,459,504 3.87%5.29%5.10%0.19%(1.42%)(1.23%)*  Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(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).

Economic interest expense increased by $169.5 million for the three months ended September 30, 2025, compared to the same period in 2024, primarily due to the reduction in the net interest component of interest rate swaps, which was $191.9 million for the three months ended September 30, 2025, compared to $317.5 million for the same period in 2024.  Adding to this increase was higher interest expense on increased securitized