United States securities and exchange commission logo





                            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.
 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.



FirstName LastNameSerena Wolfe                                 Sincerely,
Comapany NameAnnaly Capital Management, Inc.
                                                               Division of
Corporation Finance
May 6, 2021 Page 2                                             Office of Real
Estate & Construction
FirstName LastName