Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 24

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 24
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 (excluding PAA), Net Interest Margin (excluding PAA) and Average Economic Cost of Interest Bearing Liabilities

Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances, provide management with additional measures of our profitability that management relies upon in monitoring the performance of the business.

Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates our performance.

Net Interest Spread (excluding PAA)

 Average Interest Earning         Assets (1)Interest Income (excluding PAA) *Average Yield on Interest Earning Assets (excluding PAA) *Average Interest Bearing Liabilities (2)Economic Interest Expense * (2)Average Economic Cost of Interest Bearing Liabilities * (2)Economic Net Interest Income (excluding PAA) *Net Interest Spread (excluding PAA) *For the three months ended(dollars in thousands)June 30, 2025$104,623,036 $1,415,031 5.41%$95,274,277 $947,828 3.94%$467,203 1.47%June 30, 2024$91,008,934 $1,170,019 5.14%$81,901,233 $806,470 3.90%$363,549 1.24%For the six months endedJune 30, 2025$103,127,323 $2,744,435 5.32%$93,637,989 $1,840,576 3.91%$903,859 1.41%June 30, 2024$90,373,830 $2,261,494 5.00%$81,291,672 $1,577,260 3.84%$684,234 1.16%*  Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1) Based on amortized cost.(2) Average interest bearing liabilities reflects