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UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549

☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________

Maryland						22-3479661
(State or other jurisdiction of incorporation or organization)						(IRS Employer Identification No.)
1211 Avenue of the Americas
New York,			New York			10036
(Address of principal executive offices)						(Zip Code)

Title of Each Class			Trading Symbol(s)			Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per share			NLY			New York Stock Exchange
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.F			New York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.G			New York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.I			New York Stock Exchange

Yes ☑    No ☐

Yes ☐   No ☑

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑    No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑    No ☐

Large accelerated filer

☑

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☑

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes ☐   No  ☑

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). ☐

			ANNALY CAPITAL MANAGEMENT, INC. 2022 FORM 10-K ANNUAL REPORT TABLE OF CONTENTS
PART I						Page
Item 1.			Business			1
Item 1A.			Risk Factors			11
Item 1B.			Unresolved Staff Comments			43
Item 2.			Properties			43
Item 3.			Legal Proceedings			43
Item 4.			Mine Safety Disclosures			43
PART II
Item 5.			Market For Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities			44
Item 6.			Reserved			46
Item 7.			Management's Discussion and Analysis of Financial Condition and Results of Operations			47
Item 7A.			Quantitative and Qualitative Disclosures About Market Risk			90
Item 8.			Financial Statements and Supplementary Data			90
Item 9.			Changes in and Disagreements with Accountants on Accounting and Financial Disclosure			90
Item 9A.			Controls and Procedures			90
Item 9B.			Other Information			93
Item 9C.			Disclosure Regarding Foreign Jurisdictions that Prevent Inspections			93
PART III
Item 10.			Directors, Executive Officers and Corporate Governance			94
Item 11.			Executive Compensation			94
Item 12.			Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters			94
Item 13.			Certain Relationships and Related Transactions, and Director Independence			95
Item 14.			Principal Accounting Fees and Services			95
PART IV
Item 15.			Exhibits, Financial Statement Schedules			96
Exhibit Index						96
Item 16.			Form 10-K Summary			100
Financial Statements						101
Signatures						II-1

ITEM 1. BUSINESS

			Page
Business Overview			2
Business and Investment Strategy			2
Our Portfolio and Capital Allocation Policy			3
Risk Appetite			3
Capital Structure and Financing			5
Operating Platform			6
Risk Management			6
Information about our Executive Officers			6
Human Capital			7
Regulatory Requirements			8
Competition			9
Corporate Governance			9
Distributions			10
Available Information			10

Investment Groups			Description
Annaly Agency Group			Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including Agency commercial mortgage-backed securities.
Annaly Residential Credit Group			Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
Annaly Mortgage Servicing Rights Group			Invests in MSR, which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans.

–Annaly Residential Credit Group has established relationships with key mortgage loan originators and aggregators including well-known money center banks, allowing us to efficiently source proprietary originations suited to our risk parameters.

–We have partnered with GIC Private Limited (“GIC”), a leading Sovereign Wealth Fund, through the creation of a joint venture with the purpose of investing in residential credit assets, including newly-originated residential loans and securities issued by our subsidiaries.

–We have partnered with Capital Impact Partners, a national community development financial institution, to create a social impact joint venture supporting projects in underserved communities across the country.

–We have partnered with Fifth Wall Ventures, the largest venture capital firm focused on technology for the real estate industry, through a commitment to invest in their funds that target investments in North American early- and late-stage real estate software and marketplace companies. The partnership aims to identify innovative platforms and services that provide efficiencies across our core investment strategies.

			December 31, 2022												December 31, 2021
Asset Classes			Percentage of Portfolio						Capital Allocation (1)(3)						Percentage of Portfolio						Capital Allocation (1)(3)
Agency (2)(3)			90%						66%						91%						63%
Residential Credit (3)			7%						19%						5%						24%
MSR			2%						14%						1%						5%
Commercial Real Estate (4)			1%						1%						1%						—%
Corporate Debt (5)			—%						—%						2%						8%
(1) Capital allocation for each of the investment strategies is calculated as the difference between each of the investment strategy’s allocated assets and liabilities. It represents the percentage of equity allocated to each category. Dedicated capital allocations as of December 31, 2021 assume capital related to held for sale assets will be redeployed with the Agency business. Dedicated capital allocations as of December 31, 2021 exclude commercial real estate assets. (2) Includes to-be-announced forward contracts (“TBAs”). (3) Assets exclude assets transferred or pledged to securitization vehicles, include TBA purchase contracts (market value), unsettled MSR commitments, CMBX derivatives (market value), and retained securities that are eliminated in consolidation and are shown net of participations issued. (4) During the year ended December 31, 2021, a significant majority of assets were transferred in connection with a definitive agreement to sell and exit our CRE business. During the year ended December 31, 2022, the remaining CRE assets and liabilities were transferred. (5) During the year ended December 31, 2022, we sold all of the assets that comprised the MML portfolio.

Risk Parameter			Description
Portfolio Composition			We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy.
Leverage			We generally expect to maintain an economic leverage ratio no greater than 10:1 considerate of our overall capital allocation framework.
Liquidity Risk			We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions.
Interest Rate Risk			We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation.
Credit Risk			We will seek to manage credit risk by making investments which conform within our specific investment policy parameters and optimize risk-adjusted returns.
Capital Preservation			We will seek to protect our capital base through disciplined risk management practices.
Operational Risk			We will seek to limit impacts to our business through disciplined operational risk management practices addressing areas including but not limited to, management of key third party relationships (i.e. originators, sub-servicers), human capital management, cybersecurity and technology related matters, business continuity and financial reporting risk.
Compliance, Regulatory and Legal			We will seek to comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act and the licenses and approvals of our regulated and licensed subsidiaries.

Investment Group			Targeted Asset Class			Description
Annaly Agency Group			Agency mortgage-backed securities			Agency pass-through certificates issued or guaranteed by Agencies. Other Agency MBS include collateralized mortgage obligations (“CMOs”), interest-only securities and inverse floaters
			To-be-announced forward contracts (“TBAs”)			Forward contracts for Agency pass-through certificates
			Agency commercial mortgage-backed securities			Pass-through certificates collateralized by commercial mortgages guaranteed by the Agencies
Annaly Residential Credit Group			Residential mortgage loans			Residential mortgage loans that are not guaranteed by the Agencies
			Residential mortgage-backed securities			Securities collateralized by pools of residential loans that are not guaranteed by one of the Agencies
			Agency or private label credit risk transfer securities (“CRT”)			Risk sharing transactions issued by Freddie Mac and Fannie Mae and similarly structured transactions arranged by third party market participants, designed to synthetically transfer mortgage credit risk to private investors
Annaly Mortgage Servicing Rights Group			Mortgage Servicing Rights (“MSR”)			Rights to service a pool of residential mortgage loans in exchange for a portion of the interest payments made on the loans

			December 31, 2022						December 31, 2021
GAAP leverage ratio			6.0:1						4.7:1
Economic leverage ratio *			6.3:1						5.7:1
GAAP capital ratio			13.9%						17.2%
Economic capital ratio *			13.4%						14.4%
* Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information.

Name			Age			Title
David L. Finkelstein			50			Chief Executive Officer and Chief Investment Officer
Serena Wolfe			43			Chief Financial Officer
Steven F. Campbell			50			President and Chief Operating Officer
Anthony C. Green			48			Chief Corporate Officer, Chief Legal Officer and Secretary

Our website is www.annaly.com. We make available on this website under “Investors - SEC Filings,” free of charge, our annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and any amendments to those reports as soon as reasonably practicable after we electronically file or furnish such materials to the SEC pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 (the “Securities Exchange Act”). Our website and the information contained therein are not incorporated into this annual report on Form 10-K.

E-mail: investor@annaly.com

The SEC also maintains a website that contains reports, proxy and information statements and other information we file with the SEC at www.sec.gov.

ITEM 1A. RISK FACTORS

			Page
Summary of Risk Factors			12
Risks Related to Our Liquidity and Funding			14
Risks of Ownership of Our Common Stock			19
Compliance, Regulatory & Legal Risks			21
Risks Related to Our Taxation as a REIT			25
Counterparty Risks			31
Investment and Market Related Risks			31
Operational and Cybersecurity Risks			35
Other Risks			40

•Our strategy involves the use of leverage, which increases the risk that we may incur substantial losses.

•Our use of leverage may result in margin calls and defaults and force us to sell assets under adverse market conditions.

•We may exceed our target leverage ratios.

•We may not be able to achieve our optimal leverage.

•Failure to procure or renew funding on favorable terms, or at all, would adversely affect our results and financial condition.

•Failure to effectively manage our liquidity would adversely affect our results and financial condition.

•Volatile market conditions for our assets can result in contraction in liquidity for those assets and the related financing.

•An increase in the interest payments on our borrowings relative to the interest we earn on our interest earning assets may adversely affect our profitability.

•Differences in timing of interest rate adjustments on our interest earning assets and our borrowings may adversely affect our profitability.

•The discontinuation of LIBOR may affect our results.

•It may be uneconomical to “roll” our TBA dollar roll transactions or we may be unable to meet margin calls on our TBA contracts.

•Our use of derivatives may expose us to counterparty and liquidity risks.

•Securitizations expose us to additional risks.

•Our use of non-recourse securitizations may expose us to risks which could result in losses to us.

•Counterparties may require us to enter into covenants that restrict our investment strategy.

•We may be unable to profitably execute or participate in future securitization transactions.

•Our charter does not permit ownership of over 9.8% in number of shares or value of our common stock or any class of our preferred stock.

•Provisions contained in Maryland law may have anti-takeover effects, potentially preventing investors from receiving a “control premium” for their shares.

•We have not established a minimum dividend payment level and cannot assure stockholders of our ability to pay dividends in the future.

•Our reported GAAP financial results may not be an accurate indicator of future taxable income and dividend distributions.

•Accounting rules related to certain of our transactions are highly complex and involve significant judgment and assumptions. Our application of GAAP may produce financial results that fluctuate from one period to another.

•New laws may be passed affecting the relationship between Fannie Mae, Freddie Mac and the federal government.

•We may be subject to liability for potential violations of truth-in-lending or other similar consumer protection laws and regulations.

•We may not be able to maintain compliance with laws and regulations applicable to our Residential Credit and MSR businesses, including through the manner in which we oversee the compliance obligations of our third-party service providers.

•Changes in laws or regulations governing our operations or our failure to comply with those laws or regulations may adversely affect our business.

•We are subject to risks and liabilities in connection with sponsoring, investing in and managing new funds and other investment accounts, including potential regulatory risks.

•Loss of our Investment Company Act exemption from registration would adversely affect us.

•Our failure to maintain our qualification as a REIT would have adverse tax consequences.

•Our distribution requirements could adversely affect our ability to execute our business plan.

•Distributions to tax-exempt investors may be classified as unrelated business taxable income.

•We may choose to pay dividends in our own stock.

•Our TRSs cannot constitute more than 20% of our total assets.

•TRSs are subject to tax at the regular corporate rates, are not required to distribute dividends, and the amount of dividends a TRS can pay to its parent REIT may be limited by REIT gross income tests.

•If transactions between a REIT and a TRS are entered into on other than arm’s-length terms, the REIT may be subject to a penalty tax.

•Even if we remain qualified as a REIT, we may face other tax liabilities that reduce our cash flow.

•Complying with REIT requirements may cause us to forgo otherwise attractive opportunities and may force us to liquidate otherwise attractive investments.

•Liquidation of assets may jeopardize our REIT qualification or create additional tax liability for us.

•The failure of assets subject to repurchase agreements to qualify as real estate assets could adversely affect our ability to remain qualified as a REIT.

•Complying with REIT requirements may limit our ability to hedge effectively and may cause us to incur tax liabilities.

•The failure of a mezzanine loan or similar debt to qualify as a real estate asset could adversely affect our ability to qualify as a REIT.

•Qualifying as a REIT involves highly technical and complex provisions of the Code.

•The tax on prohibited transactions limits our ability to engage in certain transactions.

•Certain financing activities may subject us to U.S. federal income tax and could have negative tax consequences for our stockholders.

•Uncertainty exists with respect to the treatment of our TBAs for purposes of the REIT asset and income tests.

•Dividends payable by REITs generally receive different tax treatment than dividend income from regular corporations.

•New legislation or administrative or judicial action, in each instance potentially with retroactive effect, could make it more difficult or impossible for us to remain qualified as a REIT.

•The soundness of our counterparties and other financial institutions could adversely affect us.

•We are subject to counterparty risk and may be unable to seek indemnity or require counterparties to repurchase residential whole loans if they breach representations and warranties, which could cause us to suffer losses.

•We may experience declines in the market value of our assets.

•Investments in MSR may expose us to additional risks.

•A prolonged economic slowdown or declining real estate values could impair the assets we may own.

•An increase in interest rates may adversely affect the market value of our interest earning assets and, therefore, also our book value.

•Actions by the Federal Reserve may affect the price and returns of our assets.

•We invest in securities that are subject to mortgage credit risk.

•Geographic concentration exposes investors to greater risk of default and loss.

•Inadequate property insurance coverage could have an adverse impact on our operating results.

•Our assets may become non-performing or sub-performing assets in the future.

•We may be required to repurchase residential mortgage loans or indemnify investors if we breach representations and warranties.

•Our and our third party service providers’ and servicers’ due diligence of potential assets may not reveal all of the weaknesses in such assets.

•When we foreclose on an asset, we may come to own the property securing the loan.

•Proposals to acquire mortgage loans by eminent domain may adversely affect the value of our assets.

•Subordinated tranches of non-Agency mortgage-backed securities are subordinate in right of payment to more senior securities.

•Our hedging strategies may be costly, and may not hedge our risks as intended.

•We are subject to risks of loss from weather conditions, man-made or natural disasters and climate change.

•Inaccurate models or the data used by models may expose us to risk.

•We are highly dependent on information systems that may expose us to cybersecurity risks.

•We depend on third-party service providers, including mortgage loan servicers and sub-servicers, for a variety of services related to our business.

•Our investments in residential whole loans subject us to servicing-related risks.

•The performance of loans underlying our MSR related assets may be adversely affected by the performance of the related mortgage servicer.

•An increase or decrease in prepayment rates may adversely affect our profitability.

•We are subject to reinvestment risk.

•Competition may affect ability and pricing of our target assets.

•We may enter into new lines of business, acquire other companies or engage in other strategic initiatives.

•Some of our investments, including those related to non-prime loans, involve credit risk.

•We face possible increased instances of business interruption associated with the effects of climate change and severe weather.

•If we are unable to attract, motivate and retain qualified talent, including our key personnel, it could materially and adversely affect us.

•The market price and trading volume of our shares of common stock may be volatile.

•We may change our policies without stockholder approval.

•COVID-19 has affected the U.S. economy and our business.

It may be uneconomical to “roll” our TBA dollar roll transactions or we may be unable to meet margin calls on our TBA contracts.

There may be situations in which we are unable or unwilling to roll our TBA dollar roll positions. The TBA transaction could have a negative carry or otherwise be uneconomical, we may be unable to find counterparties with whom to trade in sufficient volume, or we may be required to collateralize the TBA positions in a way that is uneconomical. Because TBA dollar rolls represent implied financing, an inability or unwillingness to roll has effects similar to any other loss of financing. If we do not roll our TBA positions prior to the settlement date, we would have to take physical delivery of the underlying securities and settle our obligations for cash. We may not have sufficient funds or alternative financing sources available to settle such obligations. Counterparties may also make margin calls as the value of a generic TBA-eligible security (and therefore the value of the TBA contract) declines. Margin calls on TBA positions or failure to roll TBA positions could have the effects described in the liquidity risks described above.

•Investments in MSR are highly illiquid and subject to numerous restrictions on transfer and, as a result, there is risk that we would be unable to locate a willing buyer or get required approval to sell MSR in the future should we desire to do so.

•Our rights to the excess servicing spread are subordinate to the interests of Fannie Mae, Freddie Mac and Ginnie Mae, and are subject to extinguishment. Fannie Mae and Freddie Mac each require approval of the sale of excess servicing spreads pertaining to their respective MSR. We have entered into acknowledgment agreements or subordination of interest agreements with them, which acknowledge our subordinated rights.

•Changes in minimum servicing compensation for agency loans could occur at any time and could negatively impact the value of the income derived from MSR.

•The value of MSR is highly sensitive to changes in prepayment rates. Decreasing market interest rates are generally associated with increases in prepayment rates as borrowers are able to refinance their loans at lower costs. Prepayments result in the partial or complete loss of the cash flows from the related MSR. Accordingly, an increase in prepayments can result in a reduction in the value and income we may earn of our MSR related assets and negatively affect our profitability.

•While we have executed recapture agreements with our subservicers to attempt to retain the MSR investment resulting from a refinance transaction, the effectiveness of these efforts is impacted by borrower, subservicer, and unaffiliated lender behavior.

•Servicers are responsible for advancing the payment of principal, interest, and escrow items on mortgage loans when those payments are not timely made by the borrower (including during periods of forbearance) and the timing and amount of recovery of those advances is unpredictable.

•The ongoing impact of COVID-19 on the exposure resulting from loans that are delinquent, defaulted or in foreclosure. The federal CARES Act as well as various state laws and foreclosure and eviction moratoria have increased the cost and complexity of operational controls, expanded the scope and duration of loss mitigation options, and impacted the timing and process of foreclosure and foreclosure alternatives. These limitations can cause delayed or reduced collections and generally increase costs.

Any failure by servicers to service these mortgages and related real estate owned (“REO”) properties could negatively impact the value of these investments and our financial performance. In addition, while we have contracted, and will continue to contract, with unaffiliated servicing companies to carry out the actual servicing of the loans we purchase together with the related MSR (including all direct interface with the borrowers), we are nevertheless ultimately responsible, vis-à-vis the borrowers and state and federal regulators, for ensuring that the loans are serviced in accordance with the terms of the related notes and mortgages and applicable law and regulation. In light of the current regulatory environment, such exposure could be significant even though we might have contractual claims against our servicers for any failure to service the loans to the required standard.

ITEM 1B. UNRESOLVED STAFF COMMENTS

ITEM 2. PROPERTIES

ITEM 3. LEGAL PROCEEDINGS

ITEM 4. MINE SAFETY DISCLOSURES

ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

Our common stock began trading publicly on October 8, 1997 and is traded on the New York Stock Exchange under the trading symbol “NLY.” As of January 31, 2023, we had 493,615,144 shares of common stock issued and outstanding which were held by approximately 566,479 beneficial holders. The equity compensation plan information called for by Item 201(d) of Regulation S-K is set forth in Item 12 of Part III of this Form 10-K under the heading “Equity Compensation Plan Information.”

			12/31/2017						12/31/2018						12/31/2019						12/31/2020						12/31/2021						12/31/2022
Annaly Capital Management, Inc.			100						93						99						102						104						82
S&P 500 Index			100						96						126						149						191						157
BBG REIT Index			100						97						120						93						110						83

ITEM 6. [Reserved]

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

All references to “Annaly,” “we,” “us,” or “our” mean Annaly Capital Management, Inc. and all entities owned by us, except where it is made clear that the term means only the parent company.  Refer to the section titled “Glossary of Terms” located at the end of this Item 7 for definitions of commonly used terms in this annual report on Form 10-K.

                                

INDEX TO ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
			Page
Overview			49
Reverse Stock Split			49
Business Environment			49
Economic Environment			50
London Interbank Offered Rate (“LIBOR”) Transition			51
Income Tax Reform			51
Results of Operations			52
Net Income (Loss) Summary			53
Non-GAAP Financial Measures			54
Earnings Available for Distribution, Earnings Available for Distribution Attributable to Common Stockholders, Earnings Available for Distribution per Average Common Share and Annualized EAD Return on Average Equity			54
Premium Amortization Expense			56
Economic Leverage and Economic Capital Ratios			56
Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA)			57
Experienced and Projected Long-term CPR			58
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			59
Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities			60
Other Income (Loss)			60
General and Administrative Expenses			61
Return on Average Equity			62
Unrealized Gains and Losses - Available-for-Sale Investments			62
Financial Condition			63
Residential Securities			63
Contractual Obligations			66
Commitments and Contractual Obligations with Unconsolidated Entities			66
Capital Management			66
Stockholders’ Equity			67
Capital Stock			67
Leverage and Capital			68
Risk Management			68
Risk Appetite			68
Governance			69
Description of Risks			70
Capital, Liquidity and Funding Risk Management			71
Funding			71
Excess Liquidity			72
Maturity Profile			73
Stress Testing			74
Liquidity Management Policies			75
Investment/Market Risk Management			75
Credit Risk Management			76
Counterparty Risk Management			77
Operational Risk Management			77
Compliance, Regulatory and Legal Risk Management			78
Critical Accounting Estimates			79
Valuation of Financial Instruments			79
Residential Securities			79
Residential Mortgage Loans			79
MSR			79
Interest Rate Swaps			80
Revenue Recognition			80
Consolidation of Variable Interest Entities			80
Use of Estimates			80
Glossary of Terms			81

			As of December 31,
			2022						2021						2020
30-Year mortgage current coupon			5.39%						2.07%						1.34%
Mortgage basis			152 bps						56 bps						43 bps
10-Year U.S. Treasury rate			3.87%						1.51%						0.91%
LIBOR
1-Month			4.39%						0.10%						0.14%
6-Month			5.14%						0.34%						0.26%
OIS SOFR Swaps
1-Month			4.36%						0.05%						0.07%
6-Month			4.80%						0.19%						0.06%

			As of and for the Years Ended December 31,
			2022						2021						2020
			(dollars in thousands, except per share data)
Interest income			$	2,778,887					$	1,983,036					$	2,229,625
Interest expense			1,309,735						249,243						899,112
Net interest income			1,469,152						1,733,793						1,330,513
Servicing and related income			246,926						69,018						94,190
Servicing and related expense			25,145						12,202						26,437
Net servicing income			221,781						56,816						67,753
Other income (loss)			243,787						796,360						(2,094,266)
Less: Total general and administrative expenses			162,729						186,014						222,195
Income (loss) before income taxes			1,771,991						2,400,955						(918,195)
Income taxes			45,571						4,675						(28,423)
Net income (loss)			1,726,420						2,396,280						(889,772)
Less: Net income (loss) attributable to noncontrolling interests			1,095						6,384						1,391
Net income (loss) attributable to Annaly			1,725,325						2,389,896						(891,163)
Less: Dividends on preferred stock			110,623						107,532						142,036
Net income (loss) available (related) to common stockholders			$	1,614,702					$	2,282,364					$	(1,033,199)
Net income (loss) per share available (related) to common stockholders
Basic			$	3.93					$	6.40					$	(2.92)
Diluted			$	3.92					$	6.39					$	(2.92)
Weighted average number of common shares outstanding
Basic			411,348,484						356,856,520						353,664,860
Diluted			411,621,758						357,142,251						353,664,860
Other information
Investment portfolio at period-end			$	78,469,860					$	74,792,041					$	86,403,446
Average total assets			$	78,768,785					$	81,925,499					$	99,663,704
Average equity			$	11,616,995					$	13,728,352					$	14,103,589
GAAP leverage at period-end (1)			6.0:1						4.7:1						5.1:1
GAAP capital ratio at period-end (2)			13.9		%				17.2		%				15.9		%
Annualized return on average total assets			2.19		%				2.92		%				(0.89)		%
Annualized return on average equity			14.86		%				17.45		%				(6.31)		%
Net interest margin (3)			1.92		%				2.28		%				1.46		%
Average yield on interest earning assets (4)			3.64		%				2.61		%				2.44		%
Average GAAP cost of interest bearing liabilities (5)			2.03		%				0.37		%				1.09		%
Net interest spread			1.61		%				2.24		%				1.35		%
Weighted average experienced CPR for the period			12.2		%				23.7		%				20.2		%
Weighted average projected long-term CPR at period-end			7.8		%				12.7		%				16.4		%
Common stock book value per share			$	20.79					$	31.88					$	35.68
Non-GAAP metrics *
Interest income (excluding PAA)			$	2,418,300					$	2,040,194					$	2,645,069
Economic interest expense (5)			$	943,574					$	525,385					$	1,106,989
Economic net interest income (excluding PAA)			$	1,474,726					$	1,514,809					$	1,538,080
Premium amortization adjustment cost (benefit)			$	(360,587)					$	57,158					$	415,444
Earnings available for distribution (6)			$	1,850,138					$	1,768,391					$	1,696,167
Earnings available for distribution per average common share			$	4.23					$	4.65					$	4.39
Annualized EAD return on average equity (excluding PAA)			16.02		%				12.90		%				12.03		%
Economic leverage at period-end (1)			6.3:1						5.7:1						6.2:1
Economic capital ratio at period-end (2)			13.4		%				14.4		%				13.6		%
Net interest margin (excluding PAA) (3)			2.03		%				2.02		%				1.74		%
Average yield on interest earning assets (excluding PAA) (4)			3.16		%				2.68		%				2.90		%
Average economic cost of interest bearing liabilities (5)			1.46		%				0.79		%				1.34		%
Net interest spread (excluding PAA)			1.70		%				1.89		%				1.56		%
* Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. (1) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to us and are excluded from economic leverage. (2) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles. (3) Net interest margin represents our interest income less interest expense divided by the average interest earning assets. Net interest margin (excluding PAA) represents the sum of our interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average outstanding TBA contract and CMBX balances. (4) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (5) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. 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 and the net interest component of interest rate swaps. (6) Excludes dividends on preferred stock.

			For the Years Ended December 31,
			2022						2021						2020
			(dollars in thousands, except per share data)
GAAP net income (loss)			$	1,726,420					$	2,396,280					$	(889,772)
Net income (loss) attributable to noncontrolling interests			1,095						6,384						1,391
Net income (loss) attributable to Annaly			1,725,325						2,389,896						(891,163)
Adjustments to exclude reported realized and unrealized (gains) losses
Net (gains) losses on investments and other			4,602,456						(120,958)						(358,489)
Net (gains) losses on derivatives (1)			(4,493,013)						(1,083,872)						2,065,855
Loan loss provision (reversal) (2)			(22,923)						(148,632)						151,188
Business divestiture-related (gains) losses			40,258						278,559						—
Other adjustments
Depreciation expense related to commercial real estate and amortization of intangibles (3)			3,948						15,225						39,108
Non-EAD (income) loss allocated to equity method investments (4)			(15,499)						(10,930)						22,493
Transaction expenses and non-recurring items (5)			7,620						5,579						11,293
Income tax effect of non-EAD income (loss) items			46,070						13,325						(17,603)
TBA dollar roll income and CMBX coupon income (6)			431,475						445,768						355,547
MSR amortization (7)			(114,992)						(72,727)						(97,506)
Plus:
Premium amortization adjustment cost (benefit)			(360,587)						57,158						415,444
Earnings available for distribution *			1,850,138						1,768,391						1,696,167
Dividends on preferred stock			110,623						107,532						142,036
Earnings available for distribution attributable to common stockholders *			$	1,739,515					$	1,660,859					$	1,554,131
GAAP net income (loss) per average common share			$	3.93					$	6.40					$	(2.92)
Earnings available for distribution per average common share *			$	4.23					$	4.65					$	4.39
GAAP return (loss) on average equity			14.86		%				17.45		%				(6.31)		%
EAD return on average equity (excluding PAA) *			16.02		%				12.90		%				12.03		%
* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. (1) The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $366.2 million, ($276.1) million and ($207.9) million for the years ended December 31, 2022, 2021 and 2020, respectively. (2) Includes ($2.3) million, ($3.6) million, and $3.6 million of loss provision (reversal) on unfunded loan commitments for the years ended December 31, 2022, 2021, and 2020, respectively, which is reported in Other, net in the Consolidated Statements of Comprehensive Income (Loss). (3) Includes depreciation and amortization expense related to equity method investments. (4) Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss). (5) Includes costs incurred in connection with securitizations of residential whole loans. The year ended December 31, 2020 also includes costs incurred in connection with the management internalization, the CEO search process and a securitization of Agency mortgage-backed securities. (6) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). CMBX coupon income totaled $4.4 million, $5.2 million and $5.8 million for the years ended December 31, 2022, 2021 and 2020, respectively. (7) MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.

			For the Years Ended December 31,
			2022						2021						2020
			(dollars in thousands)
Premium amortization expense			$	48,013					$	760,818					$	1,375,461
Less: PAA cost (benefit)			(360,587)						57,158						415,444
Premium amortization expense (excluding PAA)			$	408,600					$	703,660					$	960,017

			As of
			December 31, 2022						December 31, 2021
Economic leverage ratio reconciliation			(dollars in thousands)
Repurchase agreements			$	59,512,597					$	54,769,643
Other secured financing			250,000						903,255
Debt issued by securitization vehicles			7,744,160						5,155,633
Participations issued			800,849						1,049,066
Debt included in liabilities of disposal group held for sale			—						112,144
Total GAAP debt			$	68,307,606					$	61,989,741
Less Non-Recourse Debt:
Credit facilities (1)			—						(903,255)
Debt issued by securitization vehicles			(7,744,160)						(5,155,633)
Participations issued			(800,849)						(1,049,066)
Non-recourse debt included in liabilities of disposal group held for sale			—						(112,144)
Total recourse debt			$	59,762,597					$	54,769,643
Plus / (Less):
Cost basis of TBA and CMBX derivatives			11,050,351						20,690,768
Payable for unsettled trades			1,157,846						147,908
Receivable for unsettled trades			(575,091)						(2,656)
Economic debt *			$	71,395,703					$	75,605,663
Total equity			$	11,369,426					$	13,195,325
Economic leverage ratio *			6.3:1						5.7:1
* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. (1) Included in Other secured financing in the Consolidated Statements of Financial Condition.

			As of
			December 31, 2022						December 31, 2021
Economic capital ratio reconciliation			(dollars in thousands)
Total GAAP assets			$	81,850,712					$	76,764,064
Less:
Gross unrealized gains on TBA derivatives (1)			(17,056)						(52,693)
Debt issued by securitization vehicles			(7,744,160)						(5,155,633)
Plus:
Implied market value of TBA derivatives			10,578,676						20,338,633
Total economic assets *			$	84,668,172					$	91,894,371
Total equity			$	11,369,426					$	13,195,325
Economic capital ratio (2)*			13.4%						14.4%
* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. (1) Included in Derivative assets in the Consolidated Statements of Financial Condition. (2) Economic capital ratio is computed as total equity divided by total economic assets.

			GAAP Interest Income						PAA Cost (Benefit)						Interest Income (excluding PAA) *
For the years ended			(dollars in thousands)
December 31, 2022			$	2,778,887					$	(360,587)					$	2,418,300
December 31, 2021			$	1,983,036					$	57,158					$	2,040,194
December 31, 2020			$	2,229,625					$	415,444					$	2,645,069
* Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.