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

     On August 16, 2006, Annaly Capital Management, Inc. (the "Company") issued
a press release announcing that it has agreed to the sale of 35,500,000 shares
of its common stock at $12.30 per share for estimated gross proceeds of
approximately $436.7 million. The Company has granted the underwriters a 30-day
option to purchase up to an additional 5,325,000 shares of common stock to cover
over-allotments. The Company expects to close the transactions on or about
August 22, 2006. 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 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

                                                                    Exhibit 99.1

Annaly Capital Management, Inc. Announces Pricing of Common Stock Offering

    NEW YORK--(BUSINESS WIRE)--Aug. 16, 2006--Annaly Capital
Management, Inc. (NYSE: NLY) (the "Company" or "Annaly") announced
today that it has set the price for the public offering of 35,500,000
shares of common stock at $12.30 per share for estimated gross
proceeds of approximately $436.7 million. Annaly has granted the
underwriters a 30-day option to purchase up to an additional 5,325,000
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 $414.8 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 August 22, 2006, 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., Lehman Brothers, 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, 2005, our Quarterly
Reports on Form 10-Q for the fiscal quarters ended March 31, 2006 and
June 30, 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.

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