Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 76

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 76
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 PAA) is a non-GAAP financial measure that represents the sum of our interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract balances.Net Interest Spread and Net Interest Spread (excluding PAA)Net interest spread represents the average yield on interest earning assets less the average GAAP cost of interest bearing liabilities. Net interest spread (excluding PAA) is a non-GAAP financial measure that represents the average yield on interest earning assets (excluding PAA) less the average economic cost of interest bearing liabilities.Non-Performing Loan (“NPL”)A loan that is close to defaulting or is in default.Non-Qualified Mortgage (“Non-QM”)A loan that does not conform to the strict standards set by the Consumer Financial Protection Bureau for a Qualified Mortgage. Notional AmountA stated principal amount in a derivative contract on which the contract is based.OOperational RiskRisk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events.Option ContractA contract in which the buyer has the right, but not the obligation, to buy or sell an asset at a set price on or before a given date. Buyers of call options bet that a security will be worth more than the price set by the option (the strike price), plus the price they pay for the option itself. Buyers of put options bet that the security’s price will drop below the price set by the option. An option is part of a class of financial instruments called derivatives, which means these financial instruments derive their value from the worth of an underlying investment.Original FaceThe face value or original principal amount of a security on its issue date.Out-of-the-MoneyDescription for an option that has no intrinsic value and would be worthless if it expired today; for a call option, this situation occurs when the strike price is higher than the market price of the underlying security; for a put option, this situation occurs when the strike price is less than the market price of the underlying security.Overnight Index Swaps (“OIS”)An interest rate swap in which a fixed rate is exchanged for an overnight floating rate.Over-The-Counter (“OTC”) MarketA securities market that is conducted by dealers throughout the country through negotiation of price rather than through the use of an auction system as represented by a stock exchange.PParPrice equal to the face amount of a security; 100%.Par AmountThe principal amount of a bond or note due