Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 216

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 216
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 original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index forecasts.  Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results.Long-Term DebtDebt which matures in more than one year. MMarket Agreed Coupon (“MAC”) Interest Rate SwapAn interest rate swap contract structure with pre-defined, market agreed terms, developed by SIFMA and ISDA with the purpose of promoting liquidity and simplified administration.Monetary PolicyAction taken by the Federal Open Market Committee of the Federal Reserve System to influence the money supply or interest rates.Mortgage-Backed Security (“MBS”)A security representing a direct interest in a pool of mortgage loans. The pass-through issuer or servicer collects the payments on the loans in the pool and “passes through” the principal and interest to the security holders on a pro rata basis.Mortgage LoanA mortgage loan granted by a bank, thrift or other financial institution that is based solely on real estate as security and is not insured or guaranteed by a government agency.Mortgage Servicing Rights (“MSR”)Contractual agreements constituting the right to service an existing mortgage where the holder receives the benefits and bears the costs and risks of servicing the mortgage.NNAVNet asset value.

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

Net Interest IncomeRepresents interest income earned on our portfolio investments, less interest expense paid for borrowings.Net Interest Margin and Net Interest Margin (excluding PAA)Net interest margin represents our interest income less interest expense divided by average interest earning assets. Net interest margin (excluding 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