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