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


FORM 10-Q

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

FOR THE QUARTERLY PERIOD ENDED:  September 30, 2022
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER:  1-13447

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ANNALY CAPITAL MANAGEMENT INC
(Exact Name of Registrant as Specified in its Charter)

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)
(212) 696-0100
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareNLYNew York Stock Exchange
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.FNew York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.GNew York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.INew York Stock Exchange








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

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated
filer
Non-accelerated filerSmaller reporting companyEmerging growth company

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 

The number of shares of the registrant’s Common Stock outstanding on October 31, 2022 was 467,865,540.



ANNALY CAPITAL MANAGEMENT, INC.
FORM 10-Q
TABLE OF CONTENTS
  
Page
Item 1.  Financial Statements
Note 9. Sale of Commercial Real Estate Business
 



ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
PART I - FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except per share data)
 September 30,December 31,
2022
2021 (1)
(Unaudited)
Assets  
Cash and cash equivalents (includes pledged assets of $1,169,631 and $1,222,505, respectively) (2)
$1,466,171 $1,342,090 
Securities (includes pledged assets of $55,889,039 and $56,675,447, respectively) (3)
66,839,353 63,655,674 
Loans, net (includes pledged assets of $1,279,960 and $2,462,776, respectively) (4)
1,551,707 4,242,043 
Mortgage servicing rights (includes pledged assets of $727,927 and $0, respectively)
1,705,254 544,562 
Interests in MSR 69,316 
Assets transferred or pledged to securitization vehicles9,202,014 6,086,308 
Assets of disposal group held for sale11,371 194,138 
Derivative assets1,949,530 170,370 
Receivable for unsettled trades2,153,895 2,656 
Principal and interest receivable262,542 234,983 
Goodwill and intangible assets, net17,437 24,241 
Other assets247,490 197,683 
Total assets$85,406,764 $76,764,064 
Liabilities and stockholders’ equity  
Liabilities  
Repurchase agreements$54,160,731 $54,769,643 
Other secured financing250,000 903,255 
Debt issued by securitization vehicles7,844,518 5,155,633 
Participations issued745,729 1,049,066 
Liabilities of disposal group held for sale1,151 154,956 
Derivative liabilities764,535 881,537 
Payable for unsettled trades9,333,646 147,908 
Interest payable30,242 91,176 
Dividends payable411,762 321,142 
Other liabilities912,895 94,423 
Total liabilities74,455,209 63,568,739 
Stockholders’ equity  
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding
1,536,569 1,536,569 
Common stock, par value $0.01 per share, 2,936,500,000 authorized, 467,911,144 and 364,934,065 issued and outstanding, respectively
4,679 3,649 
Additional paid-in capital22,967,665 20,324,780 
Accumulated other comprehensive income (loss)(5,431,436)958,410 
Accumulated deficit(8,211,358)(9,653,582)
Total stockholders’ equity10,866,119 13,169,826 
Noncontrolling interests85,436 25,499 
Total equity10,951,555 13,195,325 
Total liabilities and equity$85,406,764 $76,764,064 
(1)Derived from the audited consolidated financial statements at December 31, 2021.
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $3.5 million and $16.2 million at September 30, 2022 and December 31, 2021, respectively.
(3)Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
(4)Includes $1.4 million and $2.3 million of residential mortgage loans held for sale at September 30, 2022 and December 31, 2021, respectively.
See notes to consolidated financial statements.
1


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
(Unaudited)
 For The Three Months Ended September 30,For The Nine Months Ended September 30,
 2022202120222021
Net interest income  
Interest income$678,488 $412,972 $1,979,953 $1,560,256 
Interest expense400,491 50,438 645,888 187,458 
Net interest income277,997 362,534 1,334,065 1,372,798 
Net servicing income
Servicing and related income74,486 17,948 164,886 37,696 
Servicing and related expense7,780 3,012 17,486 7,912 
Net servicing income66,706 14,936 147,400 29,784 
Other income (loss)
Net gains (losses) on investments and other(2,702,512)102,819 (3,477,532)161,431 
Net gains (losses) on derivatives2,117,240 84,950 4,774,911 672,371 
Loan loss (provision) reversal1,613 6,134 27,918 145,260 
Business divestiture-related gains (losses)(2,936)(14,009)(27,245)(262,045)
Other, net1,526 1,285 (902)1,580 
Total other income (loss)(585,069)181,179 1,297,150 718,597 
General and administrative expenses
Compensation expense27,744 27,859 82,989 91,390 
Other general and administrative expenses10,178 16,023 36,735 53,923 
Total general and administrative expenses37,922 43,882 119,724 145,313 
Income (loss) before income taxes(278,288)514,767 2,658,891 1,975,866 
Income taxes(4,311)(6,767)45,657 (1,954)
Net income (loss)(273,977)521,534 2,613,234 1,977,820 
Net income (loss) attributable to noncontrolling interests1,287 2,290 (453)3,405 
Net income (loss) attributable to Annaly(275,264)519,244 2,613,687 1,974,415 
Dividends on preferred stock26,883 26,883 80,649 80,649 
Net income (loss) available (related) to common stockholders$(302,147)$492,361 $2,533,038 $1,893,766 
Net income (loss) per share available (related) to common stockholders  
Basic$(0.70)$1.36 $6.46 $5.34 
Diluted$(0.70)$1.36 $6.45 $5.34 
Weighted average number of common shares outstanding  
Basic429,858,876 361,328,979 392,172,655 354,606,052 
Diluted429,858,876 361,589,467 392,445,034 354,875,551 
Other comprehensive income (loss)  
Net income (loss)$(273,977)$521,534 $2,613,234 $1,977,820 
Unrealized gains (losses) on available-for-sale securities(2,578,509)(113,451)(8,650,438)(1,733,919)
Reclassification adjustment for net (gains) losses included in net income (loss)1,457,999 (28,186)2,260,592 (1,778)
Other comprehensive income (loss)(1,120,510)(141,637)(6,389,846)(1,735,697)
Comprehensive income (loss)(1,394,487)379,897 (3,776,612)242,123 
Comprehensive income (loss) attributable to noncontrolling interests1,287 2,290 (453)3,405 
Comprehensive income (loss) attributable to Annaly(1,395,774)377,607 (3,776,159)238,718 
Dividends on preferred stock26,883 26,883 80,649 80,649 
Comprehensive income (loss) attributable to common stockholders$(1,422,657)$350,724 $(3,856,808)$158,069 
See notes to consolidated financial statements.


2


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(dollars in thousands)
(Unaudited)
For The Three Months Ended September 30,For The Nine Months Ended September 30,
2022202120222021
Preferred stock
Beginning of period
$1,536,569 $1,536,569 $1,536,569 $1,536,569 
End of period$1,536,569 $1,536,569 $1,536,569 $1,536,569 
Common stock
Beginning of period
$4,023 $3,610 $3,649 $3,496 
Issuance
655 14 1,027 128 
Stock-based award activity
1 1 3 1 
End of period$4,679 $3,625 $4,679 $3,625 
Additional paid-in capital
Beginning of period
$21,293,146 $20,189,524 $20,324,780 $19,761,304 
Issuance
1,670,825 48,894 2,626,052 469,206 
Stock-based award activity
3,694 822 16,833 8,730 
End of period$22,967,665 $20,239,240 $22,967,665 $20,239,240 
Accumulated other comprehensive income (loss)
Beginning of period
$(4,310,926)$1,780,275 $958,410 $3,374,335 
Unrealized gains (losses) on available-for-sale securities
(2,578,509)(113,451)(8,650,438)(1,733,919)
Reclassification adjustment for net gains (losses) included in net income (loss)
1,457,999 (28,186)2,260,592 (1,778)
End of period$(5,431,436)$1,638,638 $(5,431,436)$1,638,638 
Accumulated deficit
Beginning of period$(7,496,061)$(9,892,863)$(9,653,582)$(10,667,388)
Net income (loss) attributable to Annaly
(275,264)519,244 2,613,687 1,974,415 
Dividends declared on preferred stock (1)
(26,883)(26,883)(80,649)(80,649)
Dividends and dividend equivalents declared on common stock and stock-based awards (1)
(413,150)(319,768)(1,090,814)(946,648)
End of period$(8,211,358)$(9,720,270)$(8,211,358)$(9,720,270)
Total stockholder’s equity$10,866,119 $13,697,802 $10,866,119 $13,697,802 
Noncontrolling interests
Beginning of period
$63,149 $22,061 $25,499 $13,480 
Net income (loss) attributable to noncontrolling interests
1,287 2,290 (453)3,405 
Equity contributions from (distributions to) noncontrolling interests
21,000 (4,286)60,390 3,180 
End of period$85,436 $20,065 $85,436 $20,065 
Total equity$10,951,555 $13,717,867 $10,951,555 $13,717,867 
(1) Refer to the “Capital Stock” Note for dividends per share for each class of shares.
See notes to consolidated financial statements.



3


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For The Nine Months Ended September 30,
 20222021
Cash flows from operating activities  
Net income (loss)$2,613,234 $1,977,820 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net43,676 555,659 
Amortization of securitized debt premiums and discounts and deferred financing costs(3,829)(4,129)
Depreciation, amortization and other noncash expenses15,879 21,084 
Net (gains) losses on investments and derivatives(1,217,818)(1,051,047)
Business divestiture-related (gains) losses27,245 262,045 
Income (loss) from unconsolidated joint ventures(11,985)5,889 
Loan loss provision (reversal)(27,918)(145,260)
Payments on purchases of loans held for sale (51,403)
Proceeds from sales and repayments of loans held for sale3,946 88,050 
Net receipts (payments) on derivatives2,799,188 608,184 
Net change in  
Other assets(6,511)22,441 
Interest receivable(28,718)34,881 
Interest payable(61,285)(81,183)
Other liabilities1,025,727 (27,750)
Net cash provided by (used in) operating activities5,170,831 2,215,281 
Cash flows from investing activities  
Payments on purchases of securities(30,851,614)(18,334,872)
Proceeds from sales of securities16,744,864 11,146,996 
Principal payments on securities7,864,869 14,638,456 
Payments on purchases and origination of loans(5,165,059)(4,710,425)
Proceeds from sales of loans1,918,996 879,147 
Principal payments on loans1,357,018 2,016,373 
Payments on purchases of MSR(866,767)(416,149)
Proceeds from sales of MSR9,076 376 
Payments on purchases of interests in MSR(4,913)(53,034)
Investments in real estate (1,815)
Proceeds from sales of real estate 53,910 
Proceeds from reverse repurchase agreements18,450,024 15,184,313 
Payments on reverse repurchase agreements(18,450,024)(15,184,313)
Distributions in excess of cumulative earnings from unconsolidated joint ventures 290 
Proceeds from sale of equity securities 6,957 
Net proceeds from business divestiture 1,118,100 
Net cash provided by (used in) investing activities(8,993,530)6,344,310 
Cash flows from financing activities  
Proceeds from repurchase agreements and other secured financing2,581,103,609 1,702,497,310 
Payments on repurchase agreements and other secured financing(2,582,371,537)(1,712,035,449)
Proceeds from issuances of securitized debt4,876,814 2,005,080 
Principal payments on securitized debt(1,059,955)(1,270,367)
Payments on purchases of securitized debt(8,495) 
Net proceeds from stock offerings, direct purchases and dividend reinvestments2,627,079 469,334 
Proceeds from participations issued1,637,231 1,036,800 
Payments on repurchases of participations issued(1,796,643)(434,873)
Principal payments on participations issued(40,241)(10,420)
Net principal receipts (payments) on mortgages payable (1,019)
Net contributions (distributions) from (to) noncontrolling interests60,390 3,180 
Settlement of stock-based awards in satisfaction of withholding tax requirements(4,039)(2,773)
Dividends paid(1,077,433)(1,013,797)
Net cash provided by (used in) financing activities3,946,780 (8,756,994)
Net (decrease) increase in cash and cash equivalents124,081 (197,403)
Cash and cash equivalents including cash pledged as collateral, beginning of period1,342,090 1,243,703 
Cash and cash equivalents including cash pledged as collateral, end of period$1,466,171 $1,046,300 
Supplemental disclosure of cash flow information  
Interest received$1,751,099 $2,107,854 
Dividends received$ $51 
Interest paid (excluding interest paid on interest rate swaps)$457,122 $228,875 
Net interest received (paid) on interest rate swaps$(57,302)$(258,061)
Taxes received (paid)$(2,170)$(780)
Noncash investing and financing activities
Receivable for unsettled trades$2,153,895 $42,482 
Payable for unsettled trades$9,333,646 $571,540 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment$(6,389,846)$(1,735,697)