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):
                                  March 7, 2007
                                  -------------

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

     On March 7, 2007, Annaly Capital Management, Inc. (the "Company") issued a
press release announcing that it has agreed to the sale of 50,000,000 shares of
its common stock at $13.50 per share for estimated gross proceeds of
approximately $675 million. The Company has granted the underwriters a 30-day
option to purchase up to an additional 7,500,000 shares of common stock to cover
over-allotments. The Company expects to close the transaction on or about March
13, 2007. The Company's press release is attached hereto as Exhibit 99.1.

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

         (a) Not applicable.

         (b) Not applicable.

         (c) Not applicable.

         (d) Exhibits:

                99.1    Press Release, dated March 7, 2007 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: March 7, 2007

EX-99.1

PRESS RELEASE
FROM:

NYSE:  NLY

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

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

FOR IMMEDIATE RELEASE

ANNALY CAPITAL MANAGEMENT, INC. ANNOUNCES PRICING OF COMMON STOCK OFFERING

     NEW YORK--(BUSINESS WIRE)--March 7, 2007--Annaly Capital Management, Inc.
(NYSE: NLY) (the "Company" or "Annaly") announced today that it has set the
price for the public offering of 50,000,000 shares of common stock at $13.50 per
share for estimated gross proceeds of approximately $675.0 million. Annaly has
granted the underwriters a 30-day option to purchase up to an additional
7,500,000 shares of common stock to cover over-allotments. All of the shares are
being offered by Annaly.

     The estimated net proceeds to the Company from this offering are expected
to be approximately $641.0 million, which the Company intends to use to purchase
mortgage-backed securities and for general corporate purposes. The Company
expects to close the transaction on or about March 13, 2007, subject to the
satisfaction of customary closing conditions.

     Merrill Lynch & Co. is acting as sole book-running manager for the
offering. Citigroup and UBS Investment Bank are acting as joint lead managers,
with Bear, Stearns & Co. Inc., Credit Suisse, Keefe, Bruyette & Woods and RBC
Capital Markets acting as co-managers. Information about the offering is
available in the prospectus supplement and the accompanying prospectus of the
offering filed with the Securities and Exchange Commission. Copies of the
prospectus supplement can be obtained from Merrill Lynch's prospectus department
at 4 World Financial Center, New York, NY 10080; Phone 212-449-1000.

     This press release shall not constitute an offer to sell or the
solicitation of an offer to buy, nor shall there be any sale of the common
shares in any state or jurisdiction in which such offer, solicitation or sale
would be unlawful prior to registration or qualification under the securities
laws of any such state or jurisdiction. Any offering of common shares is being
made only by means of a written prospectus meeting the requirements of Section
10 of the Securities Act of 1933, as amended.

     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. The Company'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. The Company 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, 2006 and in the
prospectus supplement relating to the offering. 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.