X0304 4 2011-08-08 0 0001043219 ANNALY CAPITAL MANAGEMENT INC NLY 0001508136 KEYES KEVIN C/O ANNALY CAPITAL MANAGEMENT, INC. 1211 AVENUE OF THE AMERICAS SUITE 2902 NEW YORK NY 10036 0 1 0 0 Chf. Strat. Off, Head Cap. Mkt Common Stock 2011-08-08 4 P 0 50000 17.13 A 100000 D This transaction was executed in multiple trades at prices ranging from $17.12 to $17.13. The price reported above reflects the weighted average price. The reporting person hereby undertakes to provide upon request to the SEC staff, the issuer or a security holder of the issuer full information regarding the number of shares and prices at which the transactions were affected. /s/ Kevin Keyes 2011-08-08