UNITED STATES

                             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)
                                November 1, 2006

                         Annaly Capital 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

          (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
[ ]  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 November 1, 2006, the registrant issued a press release announcing its
financial results for the quarter ended September 30, 2006. 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 November 1, 2006 issued by Annaly Capital
             Management, Inc.


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

Dated: November 1, 2006