(To Prospectus Dated May 23, 2006)


                         Annaly Capital Management, Inc.

                                  Common Stock


     Pursuant to the ATM Equity Offering(sm) Sales Agreement, dated August 3,
2006, between us and Merrill Lynch & Co. and Merrill Lynch, Pierce, Fenner &
Smith Incorporated, which has been filed as an exhibit to a report on Form 8-K
filed with the Securities and Exchange Commission on August 4, 2006 and is
incorporated by reference herein, during the three months ended December 31,
2006, we sold 500,000 shares of our common stock, par value $0.01 per share,
through Merrill Lynch, as our agent. Our common stock is listed on the New York
Stock Exchange under the symbol "NLY." The last reported sale price of our
common stock on December 29, 2006 was $13.91 per share.

     This prospectus supplement should be read in conjunction with, and may not
be delivered or utilized without, the prospectus, dated May 23, 2006, and the
prospectus supplement, dated August 3, 2006.

     Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or passed upon the
accuracy or adequacy of this prospectus supplement or the accompanying
prospectus. Any representation to the contrary is a criminal offense.


                               Merrill Lynch & Co.

          The date of this prospectus supplement is February 28, 2007.