SEC FORM 4

SEC Form 4

FORM 4

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934
or Section 30(h) of the Investment Company Act of 1940

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Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

1. Name and Address of Reporting Person^*

FARRELL MICHAEL A J

(Last)

(First)

(Middle)

C/O ANNALY MORTGAGE MANAGEMENT, INC.

1211 AVENUE OF THE AMERICAS, SUITE 2902

(Street)

NEW YORK

10036

(City)

(State)

(Zip)

2. Issuer Name and Ticker or Trading Symbol
ANNALY CAPITAL MANAGEMENT INC [ NLY ]

5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)

X	Director	10% Owner
X	Officer (give title below)	Other (specify below)
	Pres., Chair & CEO

3. Date of Earliest Transaction (Month/Day/Year)
08/30/2006

4. If Amendment, Date of Original Filed (Month/Day/Year)

6. Individual or Joint/Group Filing (Check Applicable Line)

X	Form filed by One Reporting Person
	Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	3. Transaction Code (Instr. 8)		4. Securities Acquired (A) or Disposed Of (D) (Instr. 3, 4 and 5)			5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4)	6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	Code	V	Amount	(A) or (D)	Price		6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
Common Stock								1,918,054	D
Class A Preferred Stock								500	D
Class A Preferred Stock	08/30/2006		P		200⁽¹⁾	A	$24.4	200⁽¹⁾	I	Michael Farrell, C/F Taylor Carolyn Farrell
Class A Preferred Stock	08/31/2006		P		1,800⁽¹⁾	A	$24.8	1,800⁽¹⁾	I	Michael Farrell, C/F Taylor Carolyn Farrell
Class A Preferred Stock	08/31/2006		P		4,900⁽¹⁾	A	$24.8	4,900⁽¹⁾	I	Michael Farrell, C/F Caitlin Farrell
Class A Preferred Stock	08/31/2006		P		1,100⁽¹⁾	A	$24.81	1,100⁽¹⁾	I	Michael Farrell, C/F Caitlin Farrell
Class A Preferred Stock	08/31/2006		P		2,200⁽¹⁾	A	$24.81	2,200⁽¹⁾	I	Michael Farrell, C/F Michael Edward Farrell

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	4. Transaction Code (Instr. 8)		5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5)		6. Date Exercisable and Expiration Date (Month/Day/Year)		7. Title and Amount of Securities Underlying Derivative Security (Instr. 3 and 4)		8. Price of Derivative Security (Instr. 5)	9. Number of derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)	10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	Code	V	(A)	(D)	Date Exercisable	Expiration Date	Title	Amount or Number of Shares	8. Price of Derivative Security (Instr. 5)		10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
Option to purchase Common Stock⁽²⁾	$8.13							07/31/1999	07/31/2008	Common Stock	56,900		56,900	D
Option to purchase Common Stock⁽²⁾	$8.63							11/18/2000	11/18/2009	Common Stock	48,413		48,413	D
Option to purchase Common Stock⁽²⁾	$7.94							11/29/2001	11/29/2010	Common Stock	30,000		30,000	D
Option to purchase Common Stock⁽²⁾	$17.97							08/04/2004	08/04/2013	Common Stock	200,000		200,000	D
Option to purchase Common Stock⁽²⁾	$17.39							04/20/2005	04/20/2014	Common Stock	150,000		150,000	D
Option to purchase Common Stock⁽²⁾	$17.07							07/07/2006	07/07/2015	Common Stock	150,000		150,000	D
Option to purchase Common Stock⁽²⁾	$11.72							02/13/2007	02/13/2016	Common Stock	150,000		150,000	D

Explanation of Responses:

1. The reporting person disclaims beneficial ownership of these securities, and this report shall not be deemed an admission that the reporting person is the beneficial owner of such shares for purposes of Section 16 or for any other purpose.

2. Options previously granted.

	/s/ Michael A.J. Farrell	08/31/2006
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 4 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
Note: File three copies of this Form, one of which must be manually signed. If space is insufficient, see Instruction 6 for procedure.
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