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
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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.