Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 169

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 169
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 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 and Average Economic Cost of Interest Bearing Liabilities

Typically, our largest expense is the cost of interest bearing liabilities and the net interest component of interest rate swaps. The following table shows our average interest bearing liabilities and average economic cost of interest bearing liabilities as compared to average one-month and average six-month SOFR for the periods presented.

Average Economic Cost of Interest Bearing Liabilities

 AverageInterest BearingLiabilitiesInterest Bearing Liabilities atPeriod EndEconomicInterestExpense * (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 endedJune 30, 2025$95,274,277 $94,733,694 $947,828 3.94%4.32%4.19%0.13%(0.38%)(0.25%)June 30, 2024$81,901,233 $79,739,332 $806,470 3.90%5.33%5.29%0.04%(1.43%)(1.39%)For the six months endedJune 30, 2025$93,637,989 $94,733,694 $1,840,576 3.91%4.32%4.22%0.10%(0.41%)(0.31%)June 30, 2024$81,291,672 $79,739,332 $1,577,260 3.84%5.33%5.25%0.08%(1.49%)(1.41%)*  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