Exhibit 99.1

Annaly Capital Management, Inc. Reports Core EPS for the 4th Quarter 2009 of $0.79 and Core EPS for the Year of $2.76

NEW YORK--(BUSINESS WIRE)--February 2, 2010--Annaly Capital Management, Inc. (NYSE: NLY) today reported Core Earnings for the quarter ended December 31, 2009, of $439.3 million or $0.79 per average share available to common shareholders as compared to Core Earnings of $261.8 million or $0.47 per average share available to common shareholders for the quarter ended December 31, 2008, and Core Earnings of $413.3 million or $0.75 per average share available to common shareholders for the quarter ended September 30, 2009. “Core Earnings” represents a non-GAAP measure and is defined as net income (loss) excluding impairment losses, loss on receivable from prime broker, gains or losses on sales of securities and termination of interest rate swaps and unrealized gains or losses on interest rate swaps. On a GAAP basis, net income for the quarter ended December 31, 2009, was $729.3 million or $1.31 per average share available to common shareholders, as compared to a net loss of $507.0 million or $0.95 per average share related to common shareholders for the quarter ended December 31, 2008, and net income of $285.2 million or $0.51 per average share available to common shareholders for the quarter ended September 30, 2009.

Core Earnings for the year ended December 31, 2009 was $1.5 billion, or $2.76 per average share available to common shareholders as compared to Core Earnings of $1.1 billion, or $2.20 per average share available to common shareholders for the year ended December 31, 2008. On a GAAP basis, net income for the year ended December 31, 2009, was $2.0 billion or $3.55 per average share available to common shareholders, as compared to net income of $346.2 million or $0.64 per average share available to common shareholders for the year ended December 31, 2008.

During the quarter ended December 31, 2009, the Company sold $3.0 billion of Mortgage-Backed Securities, resulting in a realized gain of $91.2 million. During the quarter ended December 31, 2008, the Company sold $4.3 billion of Mortgage-Backed Securities, resulting in a realized loss of $468,000. During the quarter ended September 30, 2009, the Company sold $194.3 million of Mortgage-Backed Securities, resulting in a realized gain of $591,000.

During the year ended December 31, 2009, the Company sold $4.6 billion of Mortgage-Backed Securities, resulting in a realized gain of $99.1 million. During the year ended December 31, 2008, the Company sold $15.1 billion of Mortgage-Backed Securities, resulting in a realized gain of $10.7 million.

Common dividends declared for the quarter ended December 31, 2009, were $0.75 per share, as compared to $0.50 per share for the quarter ended December 31, 2008, and $0.69 per share for the quarter ended September 30, 2009. The annualized dividend yield on the Company’s common stock for the quarter ended December 31, 2009, based on the December 31, 2009 closing price of $17.35, was 17.29%. On a Core Earnings basis, the Company provided an annualized return on average equity of 18.51% for the quarter ended December 31, 2009, as compared to 14.52% for the quarter ended December 31, 2008, and 18.27% for the quarter ended September 30, 2009. On a GAAP basis, the Company provided an annualized return on average equity of 30.73% for the quarter ended December 31, 2009, as compared to an annualized loss on average equity of 28.12% for the quarter ended December 31, 2008, and an annualized return on average equity of 12.60% for the quarter ended September 30, 2009.

Common dividends declared for the year ended December 31, 2009, were $2.54 per share, as compared to $2.08 per share for the year ended December 31, 2008. The annualized dividend yield on the Company’s common stock for the year ended December 31, 2009, based on the December 31, 2009 closing price of $17.35, was 14.64%. On a Core Earnings basis, the Company provided a return on average equity of 17.66% for the year ended December 31, 2009, as compared to 17.00% for the year ended December 31, 2008.

On a GAAP basis, the Company provided a return on average equity of 22.69% for the year ended December 31, 2009, as compared to a return on average equity of 5.18% for the year ended December 31, 2008.

Michael A.J. Farrell, Chairman, Chief Executive Officer and President of Annaly, commented on the Company’s results. “The fundamentally favorable operating environment for Annaly is reflected in our quarterly results. While I believe that this environment will remain favorable, our team is positioning the company to perform in a range of possible outcomes, through conservatively managing our portfolio and by building our asset management and broker-dealer businesses. As we begin another year of operations in our history of delivering strong long-term returns, we look forward to continuing to demonstrate the value of our efforts to the marketplace.”

For the quarter ended December 31, 2009, the annualized yield on average earning assets was 4.84% and the annualized cost of funds on the average repurchase balance was 2.05%, which resulted in an average interest rate spread of 2.79%. This is a 108 basis point increase over the 1.71% annualized interest rate spread for the quarter ended December 31, 2008, and a 14 basis point increase over the 2.65% average interest rate spread for the quarter ended September 30, 2009.

For the year ended December 31, 2009, the yield on average earning assets was 4.99% and the cost of funds on the average repurchase balance was 2.47%, which resulted in an average interest rate spread of 2.52%. This is a 71 basis point increase over the 1.81% interest rate spread for the year ended December 31, 2008.

At December 31, 2009, the weighted average yield on assets was 4.51% and the weighted average cost of funds, including the effect of interest rate swaps, was 2.11%, which resulted in an interest rate spread of 2.40%. Leverage at December 31, 2009, was 5.7:1 compared to 6.4:1 at December 31, 2008, and 6.0:1 at September 30, 2009.

Fixed-rate securities comprised 74% of the Company’s portfolio at December 31, 2009. The balance of the portfolio was comprised of 21% adjustable-rate mortgages and 5% LIBOR floating-rate collateralized mortgage obligations. At December 31, 2009, the Company had entered into interest rate swaps with a notional amount of $21.5 billion, or 34% of the portfolio. The purpose of the swaps is to mitigate the risk of rising interest rates that affect the Company’s cost of funds. Since the Company receives a floating rate on the notional amount of the swaps, the effect of the swaps is to lock in a spread relative to the cost of financing. As of December 31, 2009, all of the Company’s Investment Securities were Fannie Mae, Freddie Mac and Ginnie Mae Mortgage-Backed Securities, which carry an actual or implied “AAA” rating.

“Net interest spread remains strong in the portfolio, enabling us to continue to deliver competitive results while maintaining a conservative level of leverage,” said Wellington Denahan-Norris, Annaly’s Vice Chairman, Chief Investment Officer and Chief Operating Officer. “We continue to monitor the market effects of voluntary and involuntary prepayments and the winding down of the Federal Reserve’s Agency MBS buying program, and believe that our prudent portfolio management not only helps to protect our position in the event of volatility but also will enable us to take advantage of attractive opportunities that may arise. After taking into account the effect of interest rate swaps, at December 31, 2009, our portfolio of Investment Securities was comprised of 39% floating-rate, 21% adjustable-rate and 40% fixed-rate assets.”

The following table summarizes portfolio information for the Company:

The Constant Prepayment Rate was 19% during the fourth quarter of 2009, as compared to 10% during the fourth quarter of 2008, and 21% during the third quarter of 2009. The weighted average cost basis of the Company’s Investment Securities was 101.5 at December 31, 2009. The net amortization of premiums and accretion of discounts on Investment Securities for the quarters ended December 31, 2009, December 31, 2008, and September 30, 2009, was $79.2 million, $26.8 million, and $75.1 million, respectively. The total net premium remaining unamortized at December 31, 2009, December 31, 2008, and September 30, 2009, was $1.2 billion, $555.0 million, and $1.1 billion, respectively.

General and administrative expenses as a percentage of average assets were 0.21%, 0.18% and 0.19% for the quarters ended December 31, 2009, December 31, 2008, and September 30, 2009, respectively. At December 31, 2009, December 31, 2008, and September 30, 2009, the Company had a common stock book value per share of $16.95, $12.94 and $16.52, respectively.

At December 31, 2009, Annaly’s wholly-owned registered investment advisors had under management approximately $11.5 billion in net assets and $19.1 billion in gross assets, as compared to $7.0 billion in net assets and $15.3 billion in gross assets at December 31, 2008 and $11.3 billion in net assets and $22.6 billion in gross assets at September 30, 2009. For the quarter ended December 31, 2009, the investment advisors earned investment advisory and service fees, net of fees paid to distributors, of $14.4 million, as compared to $6.9 million for the quarter ended December 31, 2008 and $14.1 million for the quarter ended September 30, 2009.

Annaly manages assets on behalf of institutional and individual investors worldwide. The Company’s principal business objective is to generate net income for distribution to investors from its Investment Securities and from dividends it receives from its subsidiaries. Annaly is a Maryland corporation that has elected to be taxed as a real estate investment trust (“REIT”), and currently has 553,155,945 shares of common stock outstanding.

The Company will hold the fourth quarter 2009 earnings conference call on Wednesday, February 3, 2010 at 9:00 a.m. EST. The number to call is 800-638-5439 for domestic calls and 617-614-3945 for international calls and the pass code is 55376438. The replay number is 888-286-8010 for domestic calls and 617-801-6888 for international calls and the pass code is 30876781. The replay is available for 48 hours after the earnings call. There will be a web cast of the call on www.annaly.com. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on Investor Relations, then E-Mail alerts, enter your e-mail address where indicated and click the Submit button.

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, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. 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 the 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, changes in government regulations affecting our business, our ability to maintain our qualification as a REIT for federal income tax purposes, risks associated with the broker-dealer business of our subsidiary, and risks associated with the investment advisory business of our subsidiaries, including the removal by clients of assets they manage, their regulatory requirements and competition in the investment advisory business. 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 most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. 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