Investor Presentaiton
Non-GAAP Reconciliations (cont'd)
Unaudited (dollars in thousands)
For the quarters ended
6/30/2022
3/31/2022
12/31/2021
9/30/2021
6/30/2021
Premium Amortization Reconciliation
Premium amortization expense
Less:
PAA cost (benefit)
Premium amortization expense (excluding PAA)
Interest Income (excluding PAA) Reconciliation
GAAP interest income
PAA cost (benefit)
Interest income (excluding PAA)*
Economic Interest Expense Reconciliation
GAAP interest expense
Add:
($4,869)
($25,353)
$219,172
$233,429
$320,108
(127,521)
(179,516)
57,395
$122,652
$154,163
$161,777
60,726
$172,703
153,607
$166,501
$645,615
$655,850
$422,780
$412,972
$383,906
(127,521)
(179,516)
$518,094
$476,334
57,395
$480,175
60,726
$473,698
153,607
$537,513
$170,475
$74,922
$61,785
$50,438
$61,047
Net interest component of interest rate swaps
(992)
62,541
58,897
Economic interest expense*
$169,483
$137,463
$120,682
54,411
$104,849
83,087
$144,134
Economic Net Interest Income (excluding PAA) Reconciliation
Interest income (excluding PAA)
$518,094
$476,334
$480,175
$473,698
$537,513
Less:
Economic interest expense*
169,483
Economic net interest income (excluding PAA)*
$348,611
137,463
$338,871
120,682
$359,493
104,849
$368,849
144,134
$393,379
Economic Metrics (excluding PAA)
Average interest earning assets
$72,123,055
Interest income (excluding PAA)*
518,094
Average yield on interest earning assets (excluding PAA)*(1)
2.87%
$72,590,876
476,334
2.62%
$73,134,966
$72,145,283
$77,916,766
Average interest bearing liabilities
$60,446,528
$61,865,292
480,175
2.63%
$63,342,740
473,698
2.63%
$62,614,042
537,513
2.76%
$68,469,413
Economic interest expense*
Average economic cost of interest bearing liabilities (2)
169,483
1.11%
137,463
0.89%
120,682
0.75%
104,849
0.66%
144,134
0.83%
Interest income (excluding PAA)*
TBA dollar roll income and CMBX coupon income (3)
Economic interest expense
Subtotal
Average interest earning assets
Average TBA contract and CMBX balances
Subtotal
Net interest margin (excluding PAA)*
$518,094
161,673
(169,483)
$476,334
$480,175
$510,284
$72,123,055
129,492
(137,463)
$468,363
$72,590,876
119,657
(120,682)
$473,698
115,586
(104,849)
$537,513
111,592
(144,134)
$479,150
$484,435
$504,971
$73,134,966
$72,145,283
$77,916,766
20,566,553
$92,689,608
19,229,537
$91,820,413
21,159,120
22,739,226
$94,294,086
2.20%
2.04%
2.03%
$94,884,509
2.04%
18,761,062
$96,677,828
2.09%
* Represents a non-GAAP financial measure.
Detailed endnotes and a glossary of defined terms are included at the end of this presentation.
ANNALY
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