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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:  June 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

nly-20220630_g1.jpg

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 July 22, 2022 was 1,624,307,055.



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)
 June 30,December 31,
2022
2021 (1)
(Unaudited)
Assets  
Cash and cash equivalents (includes pledged assets of $653,657 and $1,222,505, respectively) (2)
$853,932 $1,342,090 
Securities (includes pledged assets of $53,145,730 and $56,675,447, respectively) (3)
59,042,734 63,655,674 
Loans, net (includes pledged assets of $1,631,103 and $2,462,776, respectively) (4)
1,487,133 4,242,043 
Mortgage servicing rights 1,421,420 544,562 
Interests in MSR83,622 69,316 
Assets transferred or pledged to securitization vehicles8,877,247 6,086,308 
Assets of disposal group held for sale97,414 194,138 
Derivative assets748,432 170,370 
Receivable for unsettled trades434,227 2,656 
Principal and interest receivable300,028 234,983 
Goodwill and intangible assets, net18,195 24,241 
Other assets272,865 197,683 
Total assets$73,637,249 $76,764,064 
Liabilities and stockholders’ equity  
Liabilities  
Repurchase agreements$51,364,097 $54,769,643 
Other secured financing 903,255 
Debt issued by securitization vehicles7,502,483 5,155,633 
Participations issued696,944 1,049,066 
Liabilities of disposal group held for sale3,608 154,956 
Derivative liabilities379,708 881,537 
Payable for unsettled trades1,995,960 147,908 
Interest payable91,962 91,176 
Dividends payable354,027 321,142 
Other liabilities158,560 94,423 
Total liabilities62,547,349 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, 1,609,215,497 and 1,459,736,258 issued and outstanding, respectively
16,092 14,597 
Additional paid-in capital21,281,077 20,313,832 
Accumulated other comprehensive income (loss)(4,310,926)958,410 
Accumulated deficit(7,496,061)(9,653,582)
Total stockholders’ equity11,026,751 13,169,826 
Noncontrolling interests63,149 25,499 
Total equity11,089,900 13,195,325 
Total liabilities and equity$73,637,249 $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 $2.4 million and $16.2 million at June 30, 2022 and December 31, 2021, respectively.
(3)Excludes $30.1 million and $44.2 million at June 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $971.9 million and $350.4 million at June 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 $1.5 million and $2.3 million of residential mortgage loans held for sale at June 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 June 30,For The Six Months Ended June 30,
 2022202120222021
Net interest income  
Interest income$645,615 $383,906 $1,301,465 $1,147,284 
Interest expense170,475 61,047 245,397 137,020 
Net interest income475,140 322,859 1,056,068 1,010,264 
Net servicing income
Servicing and related income$55,685 $10,519 $90,400 $19,748 
Servicing and related expense5,949 2,603 9,706 4,900 
Net servicing income49,736 7,916 80,694 14,848 
Other income (loss)
Net gains (losses) on investments and other(615,216)20,207 (775,020)58,612 
Net gains (losses) on derivatives1,015,643 (581,962)2,657,671 587,421 
Loan loss (provision) reversal26,913 (494)26,305 139,126 
Business divestiture-related gains (losses)(23,955)1,527 (24,309)(248,036)
Other, net(5,486)(6,241)(2,428)295 
Total other income (loss)397,899 (566,963)1,882,219 537,418 
General and administrative expenses
Compensation expense22,243 32,013 55,245 63,531 
Other general and administrative expenses13,795 21,513 26,557 37,900 
Total general and administrative expenses36,038 53,526 81,802 101,431 
Income (loss) before income taxes886,737 (289,714)2,937,179 1,461,099 
Income taxes23,420 5,134 49,968 4,813 
Net income (loss)863,317 (294,848)2,887,211 1,456,286 
Net income (loss) attributable to noncontrolling interests(3,379)794 (1,740)1,115 
Net income (loss) attributable to Annaly866,696 (295,642)2,888,951 1,455,171 
Dividends on preferred stock26,883 26,883 53,766 53,766 
Net income (loss) available (related) to common stockholders$839,813 $(322,525)$2,835,185 $1,401,405 
Net income (loss) per share available (related) to common stockholders  
Basic$0.55 $(0.23)$1.90 $1.00 
Diluted$0.55 $(0.23)$1.90 $1.00 
Weighted average number of common shares outstanding  
Basic1,522,436,766 1,410,239,138 1,492,068,912 1,404,755,496 
Diluted1,523,595,000 1,410,239,138 1,493,254,890 1,405,764,272 
Other comprehensive income (loss)  
Net income (loss)$863,317 $(294,848)$2,887,211 $1,456,286 
Unrealized gains (losses) on available-for-sale securities(2,503,250)(191,541)(6,071,929)(1,620,468)
Reclassification adjustment for net (gains) losses included in net income (loss)657,806 (30,415)802,593 26,408 
Other comprehensive income (loss)(1,845,444)(221,956)(5,269,336)(1,594,060)
Comprehensive income (loss)(982,127)(516,804)(2,382,125)(137,774)
Comprehensive income (loss) attributable to noncontrolling interests(3,379)794 (1,740)1,115 
Comprehensive income (loss) attributable to Annaly(978,748)(517,598)(2,380,385)(138,889)
Dividends on preferred stock26,883 26,883 53,766 53,766 
Comprehensive income (loss) attributable to common stockholders$(1,005,631)$(544,481)$(2,434,151)$(192,655)
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 June 30,For The Six Months Ended June 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
$14,610 $13,985 $14,597 $13,982 
Issuance
1,480 456 1,488 456 
Stock-based award activity
2 1 7 4 
End of period$16,092 $14,442 $16,092 $14,442 
Additional paid-in capital
Beginning of period
$20,321,952 $19,754,826 $20,313,832 $19,750,818 
Issuance
948,015 419,970 954,111 419,970 
Stock-based award activity
11,110 3,896 13,134 7,904 
End of period$21,281,077 $20,178,692 $21,281,077 $20,178,692 
Accumulated other comprehensive income (loss)
Beginning of period
$(2,465,482)$2,002,231 $958,410 $3,374,335 
Unrealized gains (losses) on available-for-sale securities
(2,503,250)(191,541)(6,071,929)(1,620,468)
Reclassification adjustment for net gains (losses) included in net income (loss)
657,806 (30,415)802,593 26,408 
End of period$(4,310,926)$1,780,275 $(4,310,926)$1,780,275 
Accumulated deficit
Beginning of period$(7,980,407)$(9,251,804)$(9,653,582)$(10,667,388)
Net income (loss) attributable to Annaly
866,696 (295,642)2,888,951 1,455,171 
Dividends declared on preferred stock (1)
(26,883)(26,883)(53,766)(53,766)
Dividends and dividend equivalents declared on common stock and stock-based awards (1)
(355,467)(318,534)(677,664)(626,880)
End of period$(7,496,061)$(9,892,863)$(7,496,061)$(9,892,863)
Total stockholder’s equity$11,026,751 $13,617,115 $11,026,751 $13,617,115 
Noncontrolling interests
Beginning of period
$51,528 $11,788 $25,499 $13,480 
Net income (loss) attributable to noncontrolling interests
(3,379)794 (1,740)1,115 
Equity contributions from (distributions to) noncontrolling interests
15,000 9,479 39,390 7,466 
End of period$63,149 $22,061 $63,149 $22,061 
Total equity$11,089,900 $13,639,176 $11,089,900 $13,639,176 
(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)
 For The Six Months Ended June 30,
 20222021
Cash flows from operating activities  
Net income (loss)$2,887,211 $1,456,286 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net19,404 313,306 
Amortization of securitized debt premiums and discounts and deferred financing costs(4,378)(4,269)
Depreciation, amortization and other noncash expenses11,145 17,718 
Net (gains) losses on investments and derivatives(1,944,200)(808,867)
Business divestiture-related (gains) losses24,309 248,036 
Income (loss) from unconsolidated joint ventures(10,378)5,889 
Loan loss provision (reversal)(26,305)(139,126)
Payments on purchases of loans held for sale (49,586)
Proceeds from sales and repayments of loans held for sale1,619 84,991 
Net receipts (payments) on derivatives1,639,329 606,454 
Net change in  
Other assets(42,741)(121,876)
Interest receivable(19,128)18,677 
Interest payable435 (16,165)
Other liabilities180,529 (40,425)
Net cash provided by (used in) operating activities2,716,851 1,571,043 
Cash flows from investing activities  
Payments on purchases of securities(14,422,639)(12,581,731)
Proceeds from sales of securities8,390,532 6,350,647 
Principal payments on securities5,737,737 10,228,935 
Payments on purchases and origination of loans(3,981,495)(2,754,376)
Proceeds from sales of loans1,832,930 116,570 
Principal payments on loans1,073,579 1,498,768 
Payments on purchases of MSR(683,972)(98,983)
Proceeds from sales of MSR9,065 376 
Payments on purchases of interests in MSR(4,913)(47,098)
Investments in real estate (1,815)
Proceeds from sales of real estate 53,910 
Proceeds from reverse repurchase agreements7,750,024 12,084,313 
Payments on reverse repurchase agreements(7,750,024)(12,084,313)
Distributions in excess of cumulative earnings from unconsolidated joint ventures 290 
Proceeds from sale of equity securities 6,957 
Net cash provided by (used in) investing activities(2,049,176)2,772,450 
Cash flows from financing activities  
Proceeds from repurchase agreements and other secured financing1,849,361,390 1,129,837,127 
Payments on repurchase agreements and other secured financing(1,853,629,599)(1,134,179,055)
Proceeds from issuances of securitized debt3,946,614 969,165 
Principal payments on securitized debt(843,470)(863,095)
Payments from relief of securitized debt(2,990) 
Net proceeds from stock offerings, direct purchases and dividend reinvestments955,599 420,426 
Proceeds from participations issued1,216,950 499,864 
Payments on repurchases of participations issued(1,468,384)(223,828)
Principal payments on participations issued(31,844)(4,015)
Net principal receipts (payments) on mortgages payable (659)
Net contributions (distributions) from (to) noncontrolling interests39,390 7,466 
Settlement of stock-based awards in satisfaction of withholding tax requirements(3,050)(992)
Dividends paid(696,439)(669,144)
Net cash provided by (used in) financing activities(1,155,833)(4,206,740)
Net (decrease) increase in cash and cash equivalents$(488,158)$136,753 
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$853,932 $1,380,456 
Supplemental disclosure of cash flow information  
Interest received$1,144,124 $1,478,377 
Dividends received$ $51 
Interest paid (excluding interest paid on interest rate swaps)$170,594 $183,952 
Net interest received (paid) on interest rate swaps$(75,898)$(137,018)
Taxes received (paid)$(1,661)$(333)
Noncash investing and financing activities
Receivable for unsettled trades$434,227 $14,336 
Payable for unsettled trades$1,995,960 $154,405 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment$(5,269,336)$(1,594,060)
Dividends declared, not yet paid$354,027 $317,714 
Derecognition of assets of consolidated VIEs$ $976,690 
Derecognition of securitized debt of consolidated VIEs$ $