Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 175

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 175
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 30, 2025$106,592,290 $4,295,322 5.37%$97,090,093 $2,892,293 3.93%$1,403,029 1.44%September 30, 2024$92,042,244 $3,512,200 5.09%$83,467,666 $2,459,504 3.87%$1,052,696 1.22%*  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 the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. 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 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).

51

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

Net Interest Margin (excluding PAA)

 Interest Income (excluding PAA) *TBA Dollar Roll Income (1)Economic Interest Expense * (2)SubtotalAverage Interest Earnings AssetsAverage TBA Contract BalancesSubtotalNet Interest Margin (excluding PAA) *For the three months ended(dollars in thousands)September 30, 2025$1,550,887 9,019 (1,051,717)$508,189 $113,522,223 6,356,708 $119,878,931 1.70%September 30, 2024$1,250,706 (1,132)(882,244)$367,330 $95,379,071 973,713 $96,352,784 1.52%For the nine months endedSeptember 30, 2025$4,295,322 27,546 (2,892,293)$1,430,575 $106,592,290 5,733,408 $112,325,698