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 NY 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)
Code V Amount (A) or (D) Price
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)
Code V (A) (D) Date Exercisable Expiration Date Title Amount or Number of Shares
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.
Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB Number.