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May 6, 2021
Serena Wolfe
Chief Financial Officer
Annaly Capital Management, Inc.
1211 Avenue of the Americas
New York, NY 10036
Re:Annaly Capital Management, Inc.
Form 10-K for the fiscal year ended December 31, 2020
Filed February 19, 2021
File No. 001-13447
Dear Ms. Wolfe:
            We have reviewed your filing and have the following comments.  In some of our
comments, we may ask you to provide us with information so we may better understand your
disclosure.
            Please respond to these comments within ten business days by providing the requested
information or advise us as soon as possible when you will respond.  If you do not believe our
comments apply to your facts and circumstances, please tell us why in your response.
            After reviewing your response to these comments, we may have additional comments.
Form 10-K for the fiscal year ended December 31, 2020
Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations
Business Environment and COVID-19, page 57
1.We note your disclosure of economic return.  Please tell us and clarify in your filing how
this measure is derived.  Within your response, please provide a reconciliation of how you
calculated this measure.
Results of Operations, page 58
2.We note your presentation of economic leverage at period-end and capital ratio.  Please
tell us if you determined these measures are non-GAAP measures and tell us how you
made that determination.  To the extent you determined that these measures are non-
GAAP measures, please include disclosures required by Item 10(e) of Regulation S-K in
future filings.

 FirstName LastNameSerena  Wolfe
 Comapany NameAnnaly Capital Management, Inc.
 May 6, 2021 Page 2
 FirstName LastName
Serena  Wolfe
Annaly Capital Management, Inc.
May 6, 2021
Page 2
Non-GAAP Financial Measures , page 59
3.We note your disclosure of core earnings (excluding PAA), core earnings (excluding
PPA) per common share, and annualized core return on average equity (excluding PPA).
These non-GAAP measures include adjustments for various realized and unrealized gains
(losses) and loan loss provision. In light of these adjustments, please tell us how you
determined it was appropriate to title these measures as core earnings and core return.
Further, our understanding is that these measures are commonly used by mortgage REITs
as an indicator of dividend paying ability. Please tell us if these measures are used by the
registrant's management as an indicator of the registrant's dividend paying ability. If so,
please revise your filing to disclose that purpose.
            We remind you that the company and its management are responsible for the accuracy
and adequacy of their disclosures, notwithstanding any review, comments, action or absence of
action by the staff.
            You may contact Jeffrey Lewis, Staff Accountant, at (202) 551-6216 or Jennifer Monick,
Assistant Chief Accountant, at (202) 551-3295 if you have questions.
Sincerely,
Division of Corporation Finance
Office of Real Estate & Construction