Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 170

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 170
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 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 $141.4 million for the three months ended June 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 $185.7 million for the three months ended June 30, 2025, compared to $298.4 million for the same period in 2024. Additionally, this increase resulted from higher securitized debt balances from new securitizations, partially offset by lower interest expense on repurchase agreements from lower average rates.

Economic interest expense increased by $263.3 million for the six months ended June 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 $377.2 million for the six months ended June 30, 2025, compared to $628.5 million for the same period in 2024. Additionally, this increase resulted from higher securitized debt balances from new securitizations, partially offset by lower interest expense on repurchase agreements from lower average rates.

We do not manage our portfolio to have a pre-designated amount of borrowings at quarter or year end. Our borrowings at period end are a snapshot of our borrowings as of a date, and this number may differ from average borrowings over the period 

49

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

for a number of reasons. The mortgage-backed securities we own pay principal and interest towards the end of each month and the mortgage-backed securities we purchase are typically settled during the beginning of the month. As a result, depending on the amount of mortgage-backed securities we have committed to purchase, we may retain the principal and interest we receive in the prior month, or we may use it to pay down our borrowings. Moreover, we generally use interest rate swaps, swaptions and other derivative instruments to hedge our portfolio, and as we pledge or receive collateral under these agreements, our borrowings on any given day may be increased or decreased. Our average borrowings during a quarter may differ from period end borrowings as we implement our portfolio management strategies and risk management strategies