8-K

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                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 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)
                                January 10, 2006


                        Annaly Mortgage Management, Inc.
              ----------------------------------------------------
             (Exact Name of Registrant as Specified in its Charter)


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


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

       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 2.02. Results of Operations and Financial Condition

     On January 10, 2006, Annaly Mortgage Management, Inc. issued a press
release announcing its portfolio changes during the 4th quarter of 2005 and its
recognition of non-cash impairment charges as of December 31, 2005 relating to
certain securities in its portfolio which had been held in an unrealized loss
position. A copy of the press release is furnished as Exhibit 99.1 to this
report.


Item 9.01   Financial Statements and Exhibits

     (c)    Exhibits


99.1        Press Release, dated January 10, 2006 issued by Annaly Mortgage
            Management, Inc.





                                   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 MORTGAGE MANAGEMENT, INC.


                                     By: /s/Kathryn Fagan
                                         ---------------------------------------
                                         Name:  Kathryn Fagan
                                         Title: Chief Financial Officer


Dated: January 10, 2006

EX-99.1

                                                                    Exhibit 99.1

     Annaly Mortgage Management, Inc. Announces Portfolio Changes

    NEW YORK--(BUSINESS WIRE)--Jan. 10, 2006--Annaly Mortgage
Management today announced that during the fourth quarter of 2005 it
undertook a portfolio rebalancing with the objective of improving
future financial performance. The rebalancing is being accomplished
through asset sales and reinvestment of sale proceeds. In addition,
the Company has determined to recognize non-cash impairment charges as
of December 31, 2005 relating to certain securities in its portfolio
which had been held in an unrealized loss position.
    "As the Federal Funds rate has risen from 1% to 4.25% since June
30, 2004, legacy portfolios have suffered," said Michael A.J. Farrell,
Chairman, Chief Executive Officer and President of Annaly. "Certain
assets that were purchased in the much lower interest rate environment
of 2003 and 2004 are unlikely to recover to their amortized cost
basis. However, the returns for new capital invested in short duration
assets have improved significantly. As a result, we are taking
advantage of current market conditions by either selling or reducing
the cost basis of these assets, and by repositioning the portfolio
into higher yielding investments. We believe the actions we are taking
accelerate the positive fundamentals occurring in our AAA mortgage
portfolio and will have a direct impact on our performance by
strengthening net interest margin and, ultimately, increasing our
dividend."
    Based on current market conditions and the guidance provided in
the FASB staff position issued on November 3, 2005 regarding the
meaning and application of Other-Than-Temporary Impairment, the
Company reviewed each of its securities to determine if an
other-than-temporary impairment charge would be necessary. At
September 30, 2005, the Company's investments that were in a loss
position were not considered other-than-temporarily impaired since at
the time the Company had the intent and ability to hold them for a
period of time, to maturity if necessary, sufficient for a forecasted
market price recovery up to or beyond the cost of the investments.
With the continued increase in the Federal Funds rate during the
quarter, however, the Company determined during the fourth quarter
that it did not intend to hold some of its securities until recovery
or maturity and would reposition a portion of its assets.
Approximately $2.9 billion face amount of securities were reclassified
as other-than-temporarily impaired as of December 31, 2005, with an
approximate loss of $83 million, or approximately $0.67 per share. The
non-cash loss on the securities deemed other-than temporarily impaired
that remain in the Company's portfolio will be reflected in the income
statement based on the fair value of the securities on December 31,
2005, and recognition of such impairment charges will not reduce the
taxable income of the Company. Additionally, during the fourth quarter
$2.3 billion face amount of securities were sold, resulting in a
realized loss of approximately $65 million, or approximately $0.53 per
share. Of the total losses of approximately $148 million,
approximately $15 million had not been reflected in the September 30,
2005 balance sheet as Accumulated Other Comprehensive Loss.
    Further information regarding the Company's portfolio changes will
be provided in the fourth quarter 2005 earnings release.
    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, a Maryland
corporation that has elected to be taxed as a real estate investment
trust ("REIT"), currently has 123,684,931 shares of common stock
outstanding.

    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, FIDAC's clients removal of
assets FIDAC manages, FIDAC's regulatory requirements, and competition
in the investment management 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 Annual Report on Form 10-K for the fiscal year ended December
31, 2004. 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.

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