Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 31

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 31
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 Margin (excluding PAA) *For the years ended(dollars in thousands)December 31, 2024$4,825,7932,815(3,338,791)$1,489,817$94,000,8851,033,990$95,034,8751.57%December 31, 2023$3,733,23520,621(2,257,912)$1,495,944$86,305,2496,010,685$92,315,9341.62%December 31, 2022$2,418,300431,475(943,574)$1,906,201$76,429,26717,533,362$93,962,6292.03%* Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives. CMBX coupon income totaled $0.0 million, $1.5 million and $4.4 million for the years ended December 31, 2024, 2023 and 2022, respectively.(2) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, 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). Prior period results have not been adjusted in accordance with this change as the impact is not material. Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 7. Management’s Discussion and Analysis

Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities

Typically, our largest expense is the cost of interest bearing liabilities and the net interest component of interest rate swaps. The following table shows our average interest bearing liabilities and average economic cost of interest bearing liabilities as compared to average one-month and average six-month SOFR for the periods presented.

Average Economic Cost of Interest Bearing Liabilities

 AverageInterest BearingLiabilitiesInterest Bearing Liabilities atPeriod EndEconomicInterestExpense *