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

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 25
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 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).

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

Net Interest Margin (excluding PAA)

 Interest Income (excluding PAA) *TBA Dollar Roll Income (1)Economic Interest Expense * (2)SubtotalAverage Interest Earnings AssetsAverage TBA Contract BalancesSubtotalNet Interest Margin (excluding PAA) *For the three months ended(dollars in thousands)June 30, 2025$1,415,031 7,252 (947,828)$474,455 $104,623,036 6,218,305 $110,841,341 1.71%June 30, 2024$1,170,019 486 (806,470)$364,035 $91,008,934 998,990 $92,007,924 1.58%For the six months endedJune 30, 2025$2,744,435 18,527 (1,840,576)$922,386 $103,127,323 5,421,759 $108,549,082 1.70%June 30, 2024$2,261,494 1,861 (1,577,260)$686,095 $90,373,830 574,290 $90,948,120 1.51%*   Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1) TBA dollar roll income represents a component of Net gains (losses) on derivatives.(2) 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