8-K

UNITED STATESSECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549FORM 8-KCURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934Date of Report (Date of earliest event reported)February 6, 2013

Annaly Capital Management, Inc.

(Exact Name of Registrant as Specified in its Charter)

Maryland	1-13447	22-3479661
(State or Other Jurisdiction Of Incorporation)	(Commission File Number)	(I.R.S. Employer Identification No.)

1211 Avenue of the Americas Suite 2902 New York, New York	10036
(Address of Principal Executive Offices)	(Zip Code)

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

(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

⃞ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
⃞ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
⃞ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
⃞ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02.  Results of Operations and Financial Condition

On February 6, 2013, the registrant issued a press release announcing its financial results for the quarter and year ended December 31, 2012. A copy of the press release is furnished as Exhibit 99.1 to this report.

On February 6, 2013, the registrant posted supplemental financial information on the Investor Relations section of its website (www.annaly.com). A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.

Item 9.01  Financial Statements and Exhibits

(c)     Exhibits

99.1      Press Release, dated February 6, 2013 issued by Annaly Capital Management, Inc.

99.2      Supplemental Financial Information for the quarter ended December 31, 2012

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

		ANNALY CAPITAL MANAGEMENT, INC.
		By:	/s/ Kathryn Fagan
			Name: Kathryn Fagan
			Title: Chief Financial Officer
Dated:	February 6, 2013

EX-99.1

Exhibit 99.1

Annaly Capital Management, Inc. Reports Results for the 4th Quarter 2012

NEW YORK--(BUSINESS WIRE)--February 6, 2013--Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net income for the quarter ended December 31, 2012 of $700.5 million or $0.70 per average common share as compared to GAAP net income of $445.6 million or $0.46 per average common share for the quarter ended December 31, 2011, and GAAP net income of $224.8 million or $0.22 per average common share for the quarter ended September 30, 2012.

GAAP net income was $1.7 billion or $1.74 per average common share and $344.5 million or $0.37 per average common share for the years ended December 31, 2012 and 2011, respectively.

Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of 4% Convertible Senior Notes due 2015 (the “4% Convertible Notes”), net income for the quarter ended December 31, 2012, was $465.1 million or $0.46 per average common share as compared to $525.3 million or $0.54 per average common share for the quarter ended December 31, 2011, and $449.8 million or $0.45 per average common share for the quarter ended September 30, 2012.

Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of 4% Convertible Notes, net income for the years ended December 31, 2012 and 2011, was $2.0 billion or $2.01 per average common share and $2.3 billion or $2.57 per average common share, respectively.

Agency mortgage-backed securities, Agency debentures, and corporate debt are considered Investment Securities. During the quarter ended December 31, 2012, the Company disposed of $13.2 billion of Investment Securities, resulting in a realized gain of $122.4 million. During the quarter ended December 31, 2011, the Company disposed of $10.3 billion of Investment Securities, resulting in a realized gain of $80.7 million. During the quarter ended September 30, 2012, the Company disposed of $7.3 billion of Investment Securities, resulting in a realized gain of $142.2 million.

During the year ended December 31, 2012, the Company disposed of $32.3 billion of Investment Securities, resulting in a realized gain of $439.7 million. During the year ended December 31, 2011, the Company disposed of $20.1 billion of Investment Securities, resulting in a realized gain of $206.8 million.

Common dividends declared for the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012 were $0.45, $0.57, and $0.50 per common share, respectively. Common dividends declared for the years ended December 31, 2012 and 2011 were $2.05 and $2.44 per common share, respectively. The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will typically differ due to items such as non-taxable unrealized and realized gains and losses, differences in premium amortization and discount accretion, and non-deductible general and administrative expenses.

The annualized dividend yield on the Company’s common stock for the quarter ended December 31, 2012, based on the December 31, 2012, closing price of $14.04, was 12.82%, as compared to 14.29% for the quarter ended December 31, 2011, and 11.88% for the quarter ended September 30, 2012. The dividend yield on the Company’s common stock for the year ended December 31, 2012, based on the December 31, 2012 closing price of $14.04 was 14.60%, as compared to 15.29% for the year ended December 31, 2011.

During the quarter and year ended December 31, 2012, the Company repurchased approximately $211.8 million and $492.5 million of the outstanding 4% Convertible Notes for $260.3 million and $617.5 million, respectively. The 4% Convertible Notes are convertible into shares of common stock at a conversion rate that increases as the Company pays dividends. As a result, these repurchases will reduce future dilution to common shareholders.

During the quarter and year ended December 31, 2012, the Company repurchased approximately 27.8 million shares of its outstanding common stock for $397.1 million.

On a GAAP basis, the Company produced an annualized return on average equity for the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012 of 16.97%, 11.23% and 5.39%, respectively. Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of 4% Convertible Notes, the Company provided an annualized return on average equity for the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012, of 11.27%, 13.24% and 10.78%, respectively. On a GAAP basis, the Company provided a return on average equity for the years ended December 31, 2012 and 2011 of 10.71% and 2.51%, respectively. Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of 4% Convertible Notes, the Company provided a return on average equity for the years ended December 31, 2012 and 2011 of 12.28% and 16.54%, respectively.

Wellington J. Denahan, Chairman and Chief Executive Officer of Annaly, commented on the Company’s results. “In our market, indeed every market, decisions made by policymakers continue to have exceptional influence on pricing and behavior. Nevertheless, as our results demonstrate, we continue to navigate through these uncertain waters to identify attractive relative value opportunities on both sides of our balance sheet. These market conditions are likely to persist, however, as structural imbalances here and abroad continue to affect economic activity. In this environment, we believe that remaining conservative in our management approach is in the best long-term interests of shareholders.”

For the quarter ended December 31, 2012, the annualized yield on average interest-earning assets was 2.45% and the annualized cost of funds on average interest-bearing liabilities, including the net interest payments on interest rate swaps, was 1.50%, which resulted in an average interest rate spread of 0.95%. This was a 76 basis point decrease from the 1.71% annualized interest rate spread for the quarter ended December 31, 2011, and a 7 basis point decrease from the 1.02% average interest rate spread for the quarter ended September 30, 2012. At December 31, 2012, the weighted average yield on investment securities was 2.75% and the weighted average cost of funds on borrowings, including the net interest payments on interest rate swaps, was 1.55%, which resulted in an interest rate spread of 1.20%. Leverage at December 31, 2012, December 31, 2011, and September 30, 2012 was 6.5:1, 5.4:1 and 6.0:1, respectively.

Fixed-rate Agency mortgage-backed securities and debentures comprised 93% of the Company’s portfolio at December 31, 2012. Adjustable-rate Agency mortgage-backed securities and debentures comprised 7% of the Company’s portfolio. At December 31, 2012, the Company had entered into interest rate swaps with a notional amount of $46.9 billion, or 40% of the Company’s Agency mortgage-backed securities and debentures. Changes in the unrealized gains or losses on the interest rate swaps are reflected in the Company’s consolidated statements of comprehensive income. The purpose of the interest rate swaps is to mitigate the risk of rising interest rates that affect the Company’s cost of funds. Since the Company receives a floating rate on the notional amount of the swaps, the intended effect of the swaps is to lock in a spread relative to the cost of financing. As of December 31, 2012, the swap portfolio had a weighted average pay rate of 2.21%, a weighted average receive rate of 0.24% and weighted average years to maturity of 4.77 years. As of December 31, 2012, substantially all of the Company’s Investment Securities were Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed securities and debentures.

The following table summarizes portfolio information for the Company:

	December 31, 2012	December 31, 2011	September 30, 2012
Leverage at period-end	6.5:1	5.4:1	6.0:1
Fixed-rate Agency mortgage-backed securities and debentures as a percentage of portfolio	93%	90%	93%
Adjustable-rate Agency mortgage-backed securities and debentures as a percentage of portfolio	7%	9%	7%
Floating-rate Agency mortgage-backed securities and debentures as a percentage of portfolio	-	1%	-
Notional amount of interest rate swaps as a percentage of Investment Securities	40%	41%	38%
Annualized yield on average interest-earning assets during the quarter	2.45%	3.31%	2.54%
Annualized cost of funds on average interest-bearing liabilities during the quarter	1.50%	1.60%	1.52%
Annualized interest rate spread during the quarter	0.95%	1.71%	1.02%
Weighted average yield on investment securities at period-end	2.75%	3.22%	2.79%
Weighted average cost of funds on interest-bearing liabilities at period-end	1.55%	1.60%	1.55%
Interest rate spread at period-end	1.20%	1.62%	1.24%
Weighted average days to maturity on interest-bearing liabilities at period-end	197	110	220
Weighted average receive rate on interest rate swaps at period-end	0.24%	0.33%	0.27%
Weighted average pay rate on interest rate swaps at period-end	2.21%	2.55%	2.23%

The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2012:

			Weighted
		Weighted Average	Average Receive	Weighted Average Years to
Maturity	Current Notional	Pay Rate	Rate	Maturity
	(dollars in thousands)
0 - 3 years	$18,165,800	2.23%	0.24%	1.80
3 - 6 years	19,609,500	1.84%	0.23%	3.74
6 - 10 years	5,300,000	2.66%	0.25%	7.76
Greater than 10 years	3,836,500	3.45%	0.24%	19.90
Total / Weighted Average	$46,911,800	2.21%	0.24%	4.77

The following table presents the maturities of repurchase agreements at December 31, 2012:

		Weighted Average
Maturity	Principal Balance	Rate
(dollars in thousands)
Within 30 days	$33,191,448	0.50%
30 to 59 days	28,383,851	0.45%
60 to 89 days	8,602,680	0.42%
90 to 119 days	4,804,671	0.57%
Over 120 days(1)	27,803,047	1.03%
Total	$102,785,697	0.63%

(1) Of the total repurchase agreements, approximately 11% have a remaining maturity over 1 year.

The Constant Prepayment Rate for the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012 was 19%, 22% and 20%, respectively. The weighted average purchase price of the Company’s Agency mortgage-backed securities and debentures at December 31, 2012, December 31, 2011 and September 30, 2012 was 103.8%, 102.7% and 103.7%, respectively. The net amortization of premiums and accretion of discounts on Agency mortgage-backed securities and debentures for the quarters ended December 31, 2012, December 31, 2011 and September 30, 2012 was $433.3 million, $292.1 million, and $455.8 million, respectively. The total net premium and discount balance at December 31, 2012, December 31, 2011, and September 30, 2012, was $5.8 billion, $3.3 billion, and $5.4 billion, respectively.

General and administrative expenses as a percentage of average assets was 0.12%, 0.23% and 0.19% for the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012, respectively. General and administrative expenses declined in the fourth quarter of 2012 due to Management’s recommendation and our compensation committee’s determination to award total compensation levels for 2012 below the target amounts for certain of our executive officers. In addition, for the quarter ended December 31, 2012, the Company had an income tax benefit relating to the change in reporting officers under IRC section 162(m). At December 31, 2012, December 31, 2011, and September 30, 2012, the Company had a common stock book value per share of $15.85, $16.06 and $16.60, respectively.

At December 31, 2012, December 31, 2011, and September 30, 2012, the Company’s wholly-owned registered investment advisors had under management approximately $11.9 billion, $12.2 billion and $12.8 billion in net assets, respectively, and $18.8 billion, $19.9 billion and $20.0 billion in gross assets, respectively. For the quarters ended December 31, 2012, December 31, 2011, and September 30, 2012, investment advisory and other fee income was $18.9 million, $20.5 million and $21.0 million, respectively.

Annaly’s principal business objective is to generate net income for distribution to its shareholders from its Investment Securities and from dividends it receives from its subsidiaries.

The Company prepares a supplement to provide additional quarterly information for the benefit of its shareholders. The supplement can be found at the Company’s website in the Investor Relations section under “Quarterly Supplemental Information”.

The Company will hold the 2012 fourth quarter earnings conference call on February 7, 2013 at 9:00 a.m. EST. The number to call is 888-317-6003 for domestic calls and 412-317-6061 for international calls. The conference passcode is 4628173. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the conference passcode is 10024273. The replay is available for 48 hours after the earnings call. There will be a web cast of the call on www.annaly.com. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on Investor Relations, then select Email Alerts and complete the email notification form.

This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. Forward-looking statements which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability of mortgage-backed securities and other securities for purchase, the availability of financing and, if available, the terms of any financing, changes in the market value of our assets, changes in business conditions and the general economy, our ability to consummate any contemplated investment opportunities, our ability to integrate the commercial mortgage business, changes in government regulations affecting our business, our ability to maintain our qualification as a REIT for federal income tax purposes, our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, and risks associated with the broker-dealer business of our subsidiary, and risks associated with the investment advisory business of our subsidiaries, including the removal by clients of assets they manage, their regulatory requirements and competition in the investment advisory business. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
	December 31,			September 30,			June 30,			March 31,
		2012			2012			2012			2012		December 31,
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)			2011(1)
ASSETS
Cash and cash equivalents	$	615,789		$	2,264,854		$	924,374		$	932,761		$	994,198
Reverse repurchase agreements		1,811,095			1,612,384			2,025,471			2,540,601			860,866
Investments, at fair value:
U.S. Treasury Securities		752,076			2,242,039			1,998,363			2,622,714			928,547
Securities borrowed		2,160,942			1,602,692			1,465,327			1,122,453			928,732
Agency mortgage-backed securities		123,963,207			129,597,714			118,500,649			110,291,712			104,251,055
Agency debentures		3,009,568			2,935,538			1,250,506			1,499,127			889,580
Investments in affiliates		234,120			224,899			203,057			225,818			211,970
Equity securities		-			-			-			4,470			3,891
Corporate debt, held for investment		63,944			64,928			60,638			50,806			52,073
Receivable for investments sold		290,722			470,266			1,320,996			454,278			-
Accrued interest and dividends receivable		419,259			434,026			420,390			418,489			409,023
Receivable from Prime Broker		-			3,272			3,272			3,272			3,272
Receivable for advisory and service fees		17,730			20,271			20,743			19,608			19,550
Intangible for customer relationships		6,989			9,146			9,714			10,281			10,807
Goodwill		55,417			55,417			55,417			55,417			42,030
Other derivative contracts, at fair value		9,830			559			3,717			321			113
Other assets		41,607			38,595			41,937			29,412			24,295
Total assets	$	133,452,295		$	141,576,600		$	128,304,571		$	120,281,540		$	109,630,002
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
U.S. Treasury Securities sold, not yet purchased, at fair value	$	495,437		$	1,418,750		$	1,884,922		$	2,577,905		$	826,912
Repurchase agreements		102,785,697			101,033,146			96,760,797			91,720,865			84,097,885
Securities loaned, at fair value		1,808,315			1,248,968			1,113,107			876,849			804,901
Payable for investments purchased		8,256,957			16,107,038			7,387,410			5,708,412			4,315,796
Payable for share buyback program		141,149			-			-			-			-
Convertible Senior Notes		825,541			999,749			1,245,915			524,420			539,913
Accrued interest payable		186,896			181,502			174,819			129,108			138,965
Dividends payable		432,154			487,237			535,898			534,401			552,806
Interest rate swaps, at fair value		2,584,907			2,926,461			2,822,264			2,211,048			2,552,687
Accounts payable and other liabilities		10,798			83,086			94,853			57,927			7,223
Total liabilities		117,527,851			124,485,937			112,019,985			104,340,935			93,837,088
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000 shares authorized, 0, 0, 0, 0, and 1,331,849, shares issued and outstanding, respectively		-			-			-			-			32,272
Stockholders’ Equity:
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500 authorized, issued and outstanding		177,088			177,088			177,088			177,088			177,088
7.625% Series C Cumulative Redeemable Preferred Stock: 12,650,000, 12,650,000, 12,650,000, 0, and 0 authorized, respectively, 12,000,000, 12,000,000, 12,000,000, 0, and 0 issued and outstanding, respectively		290,514			290,514			290,514			-			-
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000, 18,400,000, 0, 0, and 0 authorized, issued and outstanding, respectively		445,457			445,457			-			-			-
Common stock, par value $0.01 per share, 1,956,937,500, 1,956,937,500, 1,975,337,500, 1,956,937,500, and 1,987,987,500 authorized, respectively, 947,213,204, 974,799,779, 974,684,401, 974,325,338, and 970,161,647 issued and outstanding, respectively		9,472			9,748			9,747			9,743			9,702
Additional paid-in capital		14,740,774			15,144,200			15,168,020			15,127,882			15,068,870
Accumulated other comprehensive income		3,053,242			4,069,607			3,413,320			2,766,430			3,008,988
Accumulated deficit		(2,792,103	)		(3,045,951	)		(2,774,103	)		(2,140,538	)		(2,504,006	)
Total stockholders’ equity		15,924,444			17,090,663			16,284,586			15,940,605			15,760,642
Total liabilities, Series B Cumulative Convertible Preferred Stock and stockholders’ equity	$	133,452,295		$	141,576,600		$	128,304,571		$	120,281,540		$	109,630,002

(1) Derived from the audited consolidated financial statements at December 31, 2011.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(UNAUDITED)
(dollars in thousands, except share and per share data)
	For the quarters ended
	December 31,			September 30,			June 30,			March 31,			December 31,
		2012			2012			2012			2012			2011
Interest income:
Investments	$	750,736		$	754,096		$	876,229		$	850,959		$	844,874
U.S. Treasury Securities		3,819			4,588			7,397			1,418			1,082
Securities loaned		2,106			2,581			2,698			2,518			1,744
Total interest income		756,661			761,265			886,324			854,895			847,700
Interest expense:
Repurchase agreements		165,600			158,150			139,579			113,914			114,989
Convertible Senior Notes		15,503			18,026			18,965			14,727			12,552
U.S. Treasury Securities sold, not yet purchased		2,930			3,739			5,801			2,644			1,214
Securities borrowed		1,458			1,978			2,098			2,060			1,378
Total interest expense		185,491			181,893			166,443			133,345			130,133
Net interest income		571,170			579,372			719,881			721,550			717,567
Other income (loss):
Investment advisory and other fee income		18,934			21,034			21,929			20,766			20,460
Net gains (losses) on disposal of investments		114,831			142,172			94,837			80,299			80,657
Net loss on extinguishment of 4% Convertible Senior Notes		(75,012	)		(87,328	)		-			-			-
Dividend income from affiliates		7,097			7,097			6,621			7,521			8,283
Net gains (losses) on trading assets		15,181			1,368			1,105			5,256			6,356
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities		(31,148	)		(33,563	)		(26,103	)		30,877			(67,612	)
Income from underwriting		-			-			-			-			19
Subtotal		49,883			50,780			98,389			144,719			48,163
Realized gains (losses) on interest rate swaps(1)		(228,155	)		(224,272	)		(222,002	)		(219,340	)		(227,638	)
Realized gains (losses) on termination of interest rate swaps		-			-			-			(2,385	)		-
Unrealized gains (losses) on interest rate swaps		341,554			(104,197	)		(611,215	)		341,639			(12,139	)
Subtotal		113,399			(328,469	)		(833,217	)		119,914			(239,777	)
Total other income (loss)		163,282			(277,689	)		(734,828	)		264,633			(191,614	)
Expenses:
Compensation expense		25,842			52,310			53,536			59,014			54,340
Other general and administrative expenses		14,242			10,694			11,020			8,901			8,754
Total general and administrative expenses		40,084			63,004			64,556			67,915			63,094
Income before income taxes		694,368			238,679			(79,503	)		918,268			462,859
Income taxes		6,127			(13,921	)		(11,656	)		(16,462	)		(17,297	)
Net income (loss)		700,495			224,758			(91,159	)		901,806			445,562
Dividends on preferred stock		19,717			9,367			6,508			3,938			4,148
Net income (loss) available (related) to common shareholders	$	680,778		$	215,391			($97,667	)	$	897,868		$	441,414
Net income (loss) per share available (related) to common shareholders:
Basic	$	0.70		$	0.22			($0.10	)	$	0.92		$	0.46
Diluted	$	0.68		$	0.22			($0.10	)	$	0.89		$	0.44
Weighted average number of common shares outstanding:
Basic		970,602,863			974,729,078			974,555,392			971,727,701			970,056,491
Diluted		1,017,925,849			997,007,829			974,555,392			1,010,588,609			1,011,495,682
Net income (loss)	$	700,495		$	224,758			($91,159	)	$	901,806		$	445,562
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		(894,972	)		798,269			741,727			(162,259	)		16,157
Reclassification adjustment for net (gains) losses included in net income (loss)		(121,393	)		(141,982	)		(94,837	)		(80,299	)		(80,657	)
Other comprehensive income (loss)		(1,016,365	)		656,287			646,890			(242,558	)		(64,500	)
Comprehensive income (loss)		($315,870	)	$	881,045		$	555,731		$	659,248		$	381,062

(1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(UNAUDITED)
(dollars in thousands, except share and per share data)
	For the years ended
	December 31, 2012			December 31, 2011 (1)
Interest income:
Investments	$	3,232,020		$	3,558,015
U.S. Treasury Securities		17,222			14,706
Securities loaned		9,903			6,897
Total interest income		3,259,145			3,579,618
Interest expense:
Repurchase agreements		577,243			426,769
Convertible Senior Notes		67,221			35,017
U.S. Treasury Securities sold, not yet purchased		15,114			13,081
Securities borrowed		7,594			5,459
Total interest expense		667,172			480,326
Net interest income		2,591,973			3,099,292
Other income (loss):
Investment advisory and other fee income		82,663			79,205
Net gains (losses) on disposal of investments		432,139			206,846
Net loss on extinguishment of 4% Convertible Senior Notes		(162,340	)		-
Dividend income from affiliates		28,336			31,516
Net gains (losses) on trading assets		22,910			21,398
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities		(59,937	)		(106,657	)
Income from underwriting		-			5,618
Subtotal		343,771			237,926
Realized gains (losses) on interest rate swaps(2)		(893,769	)		(882,395	)
Realized gain (loss) on termination of interest rate swaps		(2,385	)		-
Unrealized gains (losses) on interest rate swaps		(32,219	)		(1,815,107	)
Subtotal		(928,373	)		(2,697,502	)
Total other income (loss)		(584,602	)		(2,459,576	)
Expenses:
Compensation expense		190,702			206,251
Other general and administrative expenses		44,857			31,093
Total general and administrative expenses		235,559			237,344
Income before income taxes and income from equity method investment in affiliate		1,771,812			402,372
Income taxes		(35,912	)		(59,051	)
Income (loss) from equity method investment in affiliate		-			1,140
Net income (loss)		1,735,900			344,461
Dividends on preferred stock		39,530			16,854
Net income (loss) available (related) to common shareholders	$	1,696,370		$	327,607
Net income (loss) per share available (related) to common shareholders:
Basic	$	1.74		$	0.37
Diluted	$	1.71		$	0.37
Weighted average number of common shares outstanding:
Basic		972,902,459			874,212,039
Diluted		1,005,755,057			874,518,938
Net income (loss)	$	1,735,900		$	344,461
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities	$	482,765		$	2,036,894
Unrealized losses on interest rate swaps		-			14,298
Reclassification adjustment for net (gains) losses included in net income (loss)		(438,511	)		(206,846	)
Other comprehensive income (loss)		44,254			1,844,346
Comprehensive income (loss)	$	1,780,154		$	2,188,807

(1)	Derived from the audited consolidated financial statements at December 31, 2011.
(2)	Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income.

CONTACT:
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com

EX-99.2

Exhibit 99.2

4Q 2012 Stockholder Supplement FEBRUARY 6, 2013

Safe Harbor Notice This presentation, other written or oral communications and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities for purchase; the availability of financing and, if available, the terms of any financings; changes in the market value of our assets; changes in business conditions and the general economy; our ability to integrate the commercial mortgage business; our ability to consummate any contemplated investment opportunities; risks associated with the businesses of our subsidiaries, including the investment advisory business of our wholly-owned subsidiaries, including: the removal by clients of assets managed, their regulatory requirements, and competition in the investment advisory business; risks associated with the broker-dealer business of our wholly-owned subsidiary; changes in government regulations affecting our business; our ability to maintain our qualification as a REIT for federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements.  

Summary Performance Unaudited, dollars in thousands except per share amounts (1) Includes realized gains / losses on interest rate swaps. (2) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of the 4% Convertible Notes. December 31,December 31,September 30,201220112012Total interest income$756,661$847,700$761,265Total economic interest expense(1)413,646357,771406,165Economic net interest income(1)$343,015$489,929$355,100Net income (loss)$700,495$445,562$224,758Net income (loss) available (related) to common shareholders680,778441,414215,391Earnings per common share$0.70$0.46$0.22Adjusted net income (loss)(2)$465,101$525,313$449,846Adj. Net income (loss) available (related) to common shareholders(2)445,384521,165440,479Adjusted earnings per common share(2)$0.46$0.54$0.45Dividends declared per common share$0.45$0.57$0.50Annualized return on average equity16.97%11.23%5.39%Annualized adjusted return on average equity11.27%13.24%10.78%Common stock book value per share$15.85$16.06$16.60Leverage6.5x5.4x6.0xTotal Agency mortgage-backed securities and debentures$126,972,775$105,140,635$132,533,252Annualized yield on average interest-earning assets2.45%3.31%2.54%Annualized cost of funds on average interest-bearing liabilities1.50%1.60%1.52%Annualized Interest rate spread0.95%1.71%1.02%Weighted average three-month constant prepayment rate (CPR)19%22%20%For the quarters ended  

10.76% 0.98% 0.45% 0.28% 5.39% 0.0% 2.5% 5.0% 7.5% 10.0% 12.5% 15.0% 17.5% 20.0% 3Q12 ROE Unrealized gains / losses on interest rate swaps Other(1) Net amortization of premiums and accretion of discounts Convertible debt extinguishment loss Realized / unrealized gains / losses on inv. and trading assets Economic interest expense(2) Coupon income 4Q12 ROE (0.24%) (0.29%) (0.36%) 16.97% Annualized Note: Graph shows relative changes in contribution from 3Q12 to 4Q12. For example, net amortization of premiums and accretion of discounts decreased annualized ROE by 0.45% less in Q412 than it did in Q312. (1) All other items includes investment advisory and fee income, dividend income from affiliates, income from underwriting, general and administrative expenses and income taxes. (2) Includes realized gains / losses on interest rate swaps.  

Annualized Adjusted Return on Average Equity Unaudited Change from 3Q12 to 4Q12 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 0.98% 0.45% (0.29%) (0.29%) (0.36%) 11.27% 3Q12 Adjusted ROE Other(1) Net amortization of premiums and accretion of discounts Economic interest expense(2) Realized gains / losses on inv. and trading assets Coupon income 4Q12 Adjusted ROE Note: Graph shows relative changes in contribution from 3Q12 to 4Q12. For example, net amortization of premiums and accretion of discounts decreased annualized adjusted ROE by 0.45% less in Q412 than it did in Q312. (1) All other items includes investment advisory and fee income, dividend income from affiliates, income from underwriting, general and administrative expenses and income taxes. (2) Includes realized gains / losses on interest rate swaps.  

$465,101 $75,012 $31,148 ($341,554) $700,495 $0 $100,000 $200,000 $300,000 $400,000 $500,000 $600,000 $700,000 $800,000 $900,000 Net income Convertible debt extinguishment loss Unrealized losses on Agency interest-only MBS Unrealized gains / losses on interest rate swaps Adjusted net income Adjusted Reconciliation of 4Q12 net income to Adjusted net income(1) (1) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of the 4% Convertible Notes.  

0.12% 0.00% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 3Q12 Annualized interest rate spread Net amortization of premiums and accretion of discounts Cost of funds on average interest-bearing liabilities(1) Coupon on average interest-earning assets 4Q12 Annualized interest rate spread 1.02% 0.02% (0.21%) 0.95% Annualized Interest Rate Spread Unaudited Change from 3Q12 to 4Q12 Note: Graph shows relative changes in contribution from 3Q12 to 4Q12. For example, net amortization of premiums and accretion of discounts decreased annualized interest rate spread by 0.12% less in Q412 than it did in Q312. (1) Includes realized gains / losses on interest rate swaps.  

Common Equity Change from 3Q12 to 4Q12 (1) Includes stock option expense and long-term compensation expense and liquidation of subsidiary. Unaudited, numbers in thousands except per share amounts CommonBookSharesValueBalanceOutstandingper ShareSeptember 30, 2012 common equity$16,177,604974,800$16.60Net income700,495Other comprehensive income (loss)(1,016,365)Extinguishment of and contingent beneficial conversion feature on 4% Convertible Senior Notes(11,571)Preferred dividends declared(19,717)Common dividends declared(432,153)Other(1)6,950Common equity balance prior to common stock transactions$15,405,243974,800$15.80Exercise of stock options and net proceeds from direct purchase anddividend reinvestment3,192212Buyback of common stock(397,050)(27,799)December 31, 2012 common equity$15,011,385947,213$15.85  

Agency MBS Portfolio Net Premium and Discount Balance and Constant Prepayment Rate Unaudited, dollars in thousands $3,337,063 $3,820,276 $4,467,122 $5,453,012 $5,833,988 22% 19% 19% 20% 19% 21.17% 23.97% 27.43% 31.91% 36.64% 0% 10% 20% 30% 40% 50% 60% $0 $1,000,000 $2,000,000 $3,000,000 $4,000,000 $5,000,000 $6,000,000 $7,000,000 4Q11 1Q12 2Q12 3Q12 4Q12 Net premium and discount balance Weighted average three-month constant prepayment rate Net premium and discount balance as % of stockholder's equity  

Interest Rate Swaps and Repurchase Agreements as of December 31, 2012 (1) Of the total repurchase agreements, approximately 11% have a remaining maturity over one year. Unaudited, dollars in thousands Interest Rate Swaps Repurchase Agreements CurrentWeighted Avg.Weighted Avg.Weighted Avg.MaturityNotionalPay RateReceive RateYears to Maturity0 - 3 years$18,165,8002.23%0.24%1.803 - 6 years19,609,5001.84%0.23%3.746 - 10 years5,300,0002.66%0.25%7.76Greater than 10 years3,836,5003.45%0.24%19.90Total / Weighted Avg.$46,911,8002.21%0.24%4.77PrincipalWeighted Avg.MaturityBalanceRateWithin 30 day$33,191,4480.50%30 to 59 days28,383,8510.45%60 to 89 days8,602,6800.42%90 to 119 days4,804,6710.57%Over 120 days(1)27,803,0471.03%Total / Weighted Avg.$102,785,6970.63%  

Interest Rate and Liability Management Unaudited 110 127 216 220 197 0.53% 0.49% 0.59% 0.61% 0.63% 2.22% 2.11% 1.99% 1.96% 1.97% 100 120 140 160 180 200 220 240 0.25% 0.75% 1.25% 1.75% 2.25% 2.75% 3.25% 4Q11 1Q12 2Q12 3Q12 4Q12 Weighted average days to maturity on interest-bearing liabilities Weighted average rate on repurchase agreements Weighted average net rate on interest rate swaps Note: Rates do not take into consideration $825.5 million of outstanding Convertible Senior Notes.  

Agency MBS and Debentures Overview as of December 31, 2012 Unaudited, dollars in thousands Agency Fixed-Rate Securities Agency Adjustable-Rate Securities Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations (1) Weighted averages for % originated pre-March 2009 and three-month CPR exclude Callables and Step-Up securities. Agency Interest-Only Collateralized Mortgage-Backed Obligations Weighted Avg.CurrentWeighted Avg.Weighted Avg.Weighted Avg.% OriginatedWeighted Avg.EstimatedYears to MaturityFace Value%CouponAmortized CostFair ValuePre-March 20093-Month CPRFair Value<=15 years$3,760,4813.7%4.12%103.8%106.8%13.1%24.0%$4,015,28720 years11,512,14111.4%3.74%104.4%107.0%1.3%14.8%12,315,106>=30 years85,091,43884.5%4.08%104.8%107.3%7.9%19.1%91,343,221Callables362,5580.4%2.89%99.5%100.3%0.0%0.0%363,785Total/Weighted Avg.(1)$100,726,618100.0%4.04%104.7%107.3%7.3%18.8%$108,037,399############4.04%10469.0%10726.0%7.3%############Weighted Avg.CurrentWeighted Avg.Weighted Avg.Weighted Avg.% OriginatedWeighted Avg.EstimatedMonths to ResetFace Value%CouponAmortized CostFair ValuePre-March 20093-Month CPRFair Value0 - 24 months$3,105,11837.7%3.32%100.4%105.8%99.0%18.3%$3,282,86025 - 40 months373,7724.5%3.87%102.1%104.6%16.3%31.8%390,82441 - 60 months768,7329.3%5.26%101.0%107.5%65.3%36.1%825,06161 - 90 months613,4067.4%4.09%103.9%106.5%14.8%34.5%653,340>90 months754,3059.1%3.59%103.2%105.9%0.0%25.5%798,341Step-Ups2,644,13032.0%1.97%99.9%100.1%0.0%0.0%2,645,783Total/Weighted Avg.(1)$8,259,463100.0%3.18%100.9%104.1%66.4%24.4%$8,596,209Current FaceWeighted Avg.Weighted Avg.Weighted Avg.% OriginatedWeighted Avg.EstimatedTypeValue%CouponAmortized CostFair ValuePre-March 20093-Month CPRFair ValueFixed$9,201,08699.6%4.07%102.5%104.8%18.4%30.6%$9,644,380Floating39,5250.4%0.70%99.5%98.1%100.0%25.5%38,780Total/Weighted Avg.$9,240,611100.0%4.05%102.5%104.8%18.8%30.6%$9,683,160Current NotionalWeighted Avg.Weighted Avg.Weighted Avg.% OriginatedWeighted Avg.EstimatedTypeValue%CouponAmortized CostFair ValuePre-March 20093-Month CPRFair ValueInterest-Only$5,566,88295.0%4.02%13.3%10.9%21.5%20.1%$604,101Inverse Interest-Only296,0305.0%6.25%18.6%17.5%0.0%15.9%51,906Total/Weighted Avg.$5,862,912100.0%4.14%13.6%11.2%20.4%19.9%$656,007  

Agency Fixed-Rate Portfolio Originated Post-March 2009 Unaudited, dollars in thousands Note: Portfolio data as of December 31, 2012. Certain securities are classified under more than one category. <=15 Years Weighted Average Maturity 20 Years Weighted Average Maturity >=30 Years Weighted Average Maturity CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$3,046,9623.94%103.9%106.7%25.0%Loan Balance <=$175k82,6473.50%104.2%106.4%12.6%Loan-to-Value >=81108,9393.00%106.1%106.3%0.0%100% Investor Owned - - - - -Jumbo Conforming27,5124.00%103.3%104.1%40.9%Weighted Average3.90%104.0%106.7%24.0%CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$10,788,4393.72%104.3%106.9%14.8%Loan Balance <=$175k416,5903.55%106.2%107.8%13.5%Loan-to-Value >=81163,1093.54%105.9%107.6%8.5%100% Investor Owned - - - - -Jumbo Conforming - - - - -Weighted Average3.71%104.4%107.0%14.6%CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$37,954,4653.93%104.6%107.1%18.3%Loan Balance <=$175k9,658,5563.78%106.1%108.3%9.5%Loan-to-Value >=8115,931,0923.92%106.5%108.6%6.9%100% Investor Owned5,001,5924.05%106.3%108.4%18.7%Jumbo Conforming10,172,5124.02%102.6%104.2%38.3%Weighted Average3.93%105.0%107.3%17.5%  

Agency Fixed-Rate Portfolio Originated Pre-March 2009 Unaudited, dollars in thousands <=15 Years Weighted Average Maturity 20 Years Weighted Average Maturity >=30 Years Weighted Average Maturity Note: Portfolio data as of December 31, 2012. Certain securities are classified under more than one category. CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$386,7205.54%102.8%107.2%25.3%Loan Balance <=$175k107,7015.68%102.9%108.1%20.2%Loan-to-Value >=81 - - - - -100% Investor Owned - - - - -Jumbo Conforming - - - - -Weighted Average5.57%102.8%107.4%24.2%CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$144,0045.55%103.2%108.7%29.0%Loan Balance <=$175k - - - - -Loan-to-Value >=81 - - - - -100% Investor Owned - - - - -Jumbo Conforming - - - - -Weighted Average5.55%103.2%108.7%29.0%CurrentWeighted Avg.Weighted Avg.Weighted Avg.Weighted Avg.TypeFace ValueCouponAmortized CostFair Value3-Month CPRGeneric$4,131,6135.83%101.5%107.8%37.7%Loan Balance <=$175k1,265,8835.71%104.0%110.7%32.7%Loan-to-Value >=811,084,1926.29%101.7%109.9%38.7%100% Investor Owned21,7246.05%102.6%109.7%26.5%Jumbo Conforming388,2085.48%103.4%105.7%35.9%Weighted Average5.86%102.1%108.5%36.8%  

Last Five Quarters Summary Data Unaudited, dollars in thousands except per share amounts (1) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of the 4% Convertible Notes. December 31,September 30,June 30,March 31,December 31,20122012201220122011Net income (loss) per share:Net income (loss)$0.70$0.22($0.10)$0.92$0.46Adjusted net income (loss)(1)$0.46$0.45$0.55$0.54$0.54Dividends declared per common share$0.45$0.50$0.55$0.55$0.57Total dividends paid per common and preferred share$506,954$545,265$540,909$556,744$585,900Annualized interest rate spread during the quarter:Annualized yield on average interest-earning assets2.45%2.54%3.04%3.23%3.31%Annualized cost of funds on average interest-bearing liabilities1.50%1.52%1.50%1.52%1.60%Annualized Interest rate spread0.95%1.02%1.54%1.71%1.71%Leverage6.5x6.0x6.0x5.8x5.4xCommon stock book value per share$15.85$16.60$16.23$16.18$16.06Annualized return on average equity:Net income (loss)16.97%5.39%(2.26%)22.73%11.23%Adjusted net income (loss)(1)11.27%10.78%13.56%13.34%13.24%For the quarters ended  

Last Five Quarters Summary Data Unaudited, dollars in thousands December 31,September 30,June 30,March 31,December 31,20122012201220122011Total Agency mortgage-backed securities and debentures$126,972,775$132,533,252$119,751,155$111,790,839$105,140,635% Fixed-rate93%93%92%91%90%% Adjustable-rate7%7%7%8%9%% Floating-rate0%0%1%1%1%Weighted-average three-month constant prepayment rate (CPR)19%20%19%19%22%Net premium and discount balance in Agency MBS portfolio$5,833,988$5,453,012$4,467,122$3,820,276$3,337,063Net premium and discount balance as % of stockholder's equity36.64%31.91%27.43%23.97%21.17%Weighted average days to maturity of interest-bearing liabilities197220216127110Weighted average rate on repurchase agreements0.63%0.61%0.59%0.49%0.53%Interest rate swaps:Notional amount of interest rate swaps as a % of Inv. Securities40%38%41%40%41%Weighted average pay rate on interest swaps2.21%2.23%2.29%2.42%2.55%Weighted average receive rate on interest swaps0.24%0.27%0.30%0.31%0.33%Weighted average net rate on interest swaps1.97%1.96%1.99%2.11%2.22%For the quarters ended