ANNALY CAPITAL MANAGEMENT INC
For the period ended Jun 30, 2025. Filed Jul 30, 2025.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2025 · Filed Jul 30, 2025
Contents
Experienced and Projected Long-term CPR
Prepayment speeds, as reflected by the CPR and interest rates vary according to the type of investment, conditions in financial markets, competition and other factors, none of which can be predicted with any certainty. In general, as prepayment speeds and expectations of prepayment speeds on our Agency MBS portfolio increase, related purchase premium amortization increases, thereby reducing the yield on such assets. The following table presents the weighted average experienced CPR and weighted average projected long-term CPR on our Agency MBS portfolio as of and for the periods presented.
| Experienced CPR (1) | Projected Long-term CPR (2) | |
|---|---|---|
| For the three months ended | ||
| June 30, 2025 | 8.7% | 9.1% |
| June 30, 2024 | 7.4% | 8.5% |
| For the six months ended | ||
| June 30, 2025 | 7.9% | 9.1% |
| June 30, 2024 | 6.7% | 8.5% |
| (1) For the three and six months ended June 30, 2025 and 2024, respectively.(2) At June 30, 2025 and 2024, respectively. | ||
Average Yield on Interest Earning Assets (excluding PAA), Net Interest Spread (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 ended | ||||||||
| June 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 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). | ||||||||
Net Interest Margin (excluding PAA)
| Interest Income (excluding PAA) * | TBA Dollar Roll Income (1) | Economic Interest Expense * (2) | Subtotal | Average Interest Earnings Assets | Average TBA Contract Balances | Subtotal | Net Interest Margin (excluding PAA) * | |
|---|---|---|---|---|---|---|---|---|
| For the three months ended · (dollars in thousands) | ||||||||
| June 30, 2025 | $1,415,031 | 7,252 | (947,828) | $474,455 | $104,623,036 | 6,218,305 | $110,841,341 | 1.71% |
| June 30, 2024 | $1,170,019 | 486 | (806,470) | $364,035 | $91,008,934 | 998,990 | $92,007,924 | 1.58% |
| For the six months ended | ||||||||
| June 30, 2025 | $2,744,435 | 18,527 | (1,840,576) | $922,386 | $103,127,323 | 5,421,759 | $108,549,082 | 1.70% |
| June 30, 2024 | $2,261,494 | 1,861 | (1,577,260) | $686,095 | $90,373,830 | 574,290 | $90,948,120 | 1.51% |
| * Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.(1) TBA dollar roll income represents a component of Net gains (losses) on derivatives.(2) 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). | ||||||||
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.