Exhibit 23.1

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We consent to the incorporation by reference in the Registration Statements No. 333-151069 and No. 333-164783 on Forms S-3 of our report dated February 24, 2010, relating to the consolidated financial statements of Annaly Capital Management, Inc., and the effectiveness of Annaly Capital Management, Inc.’s internal control over financial reporting, appearing in this Annual Report on Form 10-K of Annaly Capital Management, Inc. for the year ended December 31, 2009.

/s/ Deloitte & Touche LLP

New York, New York

February 24, 2010