8-K

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              Washington, DC 20549

                                  ------------

                                    FORM 8-K

                                 CURRENT REPORT
                     PURSUANT TO SECTION 13 OR 15(d) OF THE
                         SECURITIES EXCHANGE ACT OF 1934

                Date of Report (Date of earliest event reported):
                                 August 16, 2006
                                 ---------------

                         ANNALY CAPITAL MANAGEMENT, INC.
                        ---------------------------------
             (Exact name of registrant as specified in its charter)



        Maryland                                      1-13447                          22-3479661
      ------------                                  -----------                       ------------
(State or Other Jurisdiction                        (Commission                      (IRS Employer
     of Incorporation)                               File Number)                  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

                                    No Change
                                    ---------
          (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 8.01. Other Events
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         On August 16, 2006, Annaly Capital Management, Inc. (the "Company")
issued a press release announcing the declaration of the Company's dividends on
the Company's 7.875% Series A Cumulative Redeemable Preferred Stock for the
second quarter of 2006 and the Company's 6% Series B Cumulative Convertible
Preferred Stock for the period from April 12, 2006 through June 30, 2006. The
Company's press release is filed as Exhibit 99.1 hereto and is incorporated
herein by reference.

Item 9.01.  Financial Statements and Exhibits.
            ---------------------------------

         (a) Not applicable.

         (b) Not applicable.

         (c) Not applicable.

         (d) Exhibits:

                        99.1    Press Release, dated August 16, 2006 issued by
                                Annaly Capital Management, Inc.







                                    SIGNATURE

             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

Date: August 16, 2006

EX-99.1

PRESS RELEASE
FROM:

NYSE:  NLY

                         ANNALY CAPITAL MANAGEMENT, INC.
                           1211 AVENUE OF THE AMERICAS
                                   SUITE 2902
                            NEW YORK, NEW YORK 10036

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FOR FURTHER INFORMATION
- -----------------------

Investor Relations
1- (888) 8Annaly
www.annaly.com
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FOR IMMEDIATE RELEASE

          ANNALY CAPITAL MANAGEMENT, INC. ANNOUNCES PREFERRED DIVIDENDS

         NEW YORK, NEW YORK - August 16, 2006 - In accordance with the terms of
the 7.875% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred
Stock") of Annaly Capital Management, Inc. ("Annaly"), the Board of Directors of
Annaly has declared a Series A Preferred Stock cash dividend for the second
quarter of $0.492188 per share of Series A Preferred Stock. This dividend is
payable on October 2, 2006 to Series A Preferred Stock shareholders of record as
of September 1, 2006.

         In accordance with the terms of the Annaly's 6% Series B Cumulative
Convertible Preferred Stock ("Series B Preferred Stock"), the Board of Directors
of Annaly has declared for the period from April 12, 2006 through June 30, 2006
a Series B Preferred Stock cash dividend of $0.375 per share of Series B
Preferred Stock, payable on October 2, 2006 to Series B Preferred Stock
shareholders of record as of September 1, 2006.

         Annaly manages assets on behalf of institutional and individual
investors worldwide through Annaly and through the funds managed by its
wholly-owned registered investment advisor, FIDAC. Annaly's principal business
objective is to generate net income for distribution to investors from the
spread between the interest income on its mortgage-backed securities and the
cost of borrowing to finance their acquisition and from dividends Annaly
receives from FIDAC, which earns investment advisory fee income. Annaly is a
Maryland corporation that has elected to be taxed as a real estate investment
trust ("REIT").

         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 and Section 21E of the Securities
Exchange Act of 1934. 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 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 financing,
changes in the market value of our assets, changes in business conditions and
the general economy, FIDAC's clients' removal of assets FIDAC manages, FIDAC's
regulatory requirements, and competition in the investment management business,
changes in government regulations affecting our business, and our ability to
maintain our qualification as a REIT for federal income tax purposes. 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 Annual Report on Form 10-K for the fiscal year ended December
31, 2005 and our Quarterly Reports on Form 10-Q for the fiscal quarters ended
March 31, 2006 and June 30, 2006. 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.