The Annals was Tacitus' final work, covering the period from the death of Augustus Caesar in the year 14. He wrote at least 16 books, but books 7-10 and parts of books 5, 6, 11 and 16 are missing. Book 6 ends with the death of Tiberius and books 7-12 presumably covered the reigns of Caligula and Claudius. The remaining books cover the reign of Nero, perhaps until his death in June 68 or until the end of that year, to connect with the Histories. The second half of book 16 is missing, ending with the events of the year 66. We do not know whether Tacitus completed the work or whether he finished the other works that he had planned to write; he died before he could complete his planned histories of Nerva and Trajan, and no record survives of the work on Augustus Caesar and the beginnings of the Empire with which he had planned to complete his work as an historian. (Summary from Wikipedia.)
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