Annaly Capital Management, Inc. Reports 1st Quarter 2009 Core EPS of $0.56; Increase of 10% from Prior Year and 19% from Prior Quarter

NEW YORK--(Business Wire)--
Annaly Capital Management, Inc. (NYSE: NLY) today reported Core Earnings for the
quarter ended March 31, 2009 of $309.3 million or $0.56 per average share
available to common shareholders as compared to Core Earnings of $233.6 million
or $0.51 per average share available to common shareholders for the quarter
ended March 31, 2008, and Core Earnings of $261.8 million or $0.47 per average
share available to common shareholders for the quarter ended December 31, 2008.
"Core Earnings" represents a non-GAAP measure and is defined as net income
(loss) excluding impairment losses, gains or losses on sales of securities and
termination of interest rate swaps and unrealized gain or loss on interest rate
swaps. On a GAAP basis, net income for the quarter ended March 31, 2009 was
$349.9 million or $0.64 per average share available to common shareholders, as
compared to net income of $243.0 million or $0.54 per average share available to
common shareholders for the quarter ended March 31, 2008 and net loss of $507.0
million or $0.95 per average share related to common shareholders for the
quarter ended December 31, 2008.

During the quarter ended March 31, 2009, the Company sold $835.7 million of
Mortgage-Backed Securities, resulting in a realized gain of $5.0 million. During
the quarter ended March 31, 2008, the Company sold $4.1 billion of
Mortgage-Backed Securities, resulting in a realized gain of $9.4 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.

Common dividends declared for the quarter ended March 31, 2009 were $0.50 per
share, as compared to $0.48 per share for the quarter ended March 31, 2008 and
$0.50 per share for the quarter ended December 31, 2008. The annualized dividend
yield on the Company`s common stock for the quarter ended March 31, 2009, based
on the March 31, 2009 closing price of $13.87, was 14.42%. On a Core Earnings
basis, the Company provided an annualized return on average equity of 15.96% for
the quarter ended March 31, 2009, as compared to 16.01% for the quarter ended
March 31, 2008 and 14.52% for the quarter ended December 31, 2008. On a GAAP
basis, the Company provided an annualized return on average equity of 18.06% for
the quarter ended March 31, 2009, as compared to an annualized return on average
equity of 16.66% for the quarter ended March 31, 2008, and an annualized loss of
28.12% on average equity for the quarter ended December 31, 2008.

Michael A.J. Farrell, Chairman, Chief Executive Officer and President of Annaly,
commented on the Company`s results. "The first quarter saw the positive response
to a flurry of government program announcements, including an increase in the
Federal Reserve`s Agency MBS buying program, proposals on an expanded TALF, and
the new Public-Private Investment Program for eligible assets. These
announcements should continue to have a salutary effect on our markets, whether
as a direct participant or an indirect beneficiary. In this environment, we have
been able to generate strong risk-adjusted returns for our shareholders. We will
continue to prudently manage our company for long-term performance as we
vigilantly monitor the intended and unintended consequences of these government
programs."

For the quarter ended March 31, 2009, the annualized yield on average earning
assets was 5.23% and the annualized cost of funds on the average repurchase
balance was 3.12%, which resulted in an average interest rate spread of 2.11%.
This is a 65 basis point increase over the 1.46% annualized interest rate spread
for the quarter ended March 31, 2008, and a 40 basis point increase over the
1.71% annualized interest rate spread for the quarter ended December 31, 2008.
At March 31, 2009, the weighted average yield on assets was 4.86% and the cost
of funds, including the effect of interest rate swaps, was 2.78%, which resulted
in an interest rate spread of 2.08%. Leverage at March 31, 2009, was 6.0:1,
compared to 8.1:1 at March 31, 2008, and 6.4:1 at December 31, 2008.

Fixed-rate securities comprised 66% of the Company`s portfolio at March 31,
2009. The balance of the portfolio was comprised of 27% adjustable-rate
mortgages and 7% LIBOR floating-rate collateralized mortgage obligations. At
March 31, 2009, the Company had entered into interest rate swaps with a notional
amount of $17.3 billion, or 31% 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 March 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.

"Our portfolio is performing well in the current environment, and investment
opportunities for new capital remain attractive on a relative basis," said
Wellington Denahan-Norris, Annaly`s Vice Chairman, Chief Investment Officer and
Chief Operating Officer. "Lower primary mortgage rates have sparked an increase
in refinancing application activity and, although we have yet to see a
significant pickup in prepayment speeds, we continue to manage for that
potential outcome by maintaining a balanced portfolio composition. After taking
into account the effect of interest rate swaps, at March 31, 2009, our portfolio
of Investment Securities was comprised of 38% floating-rate, 27% adjustable-rate
and 35% fixed-rate assets."

The following table summarizes portfolio information for the Company:

March 31, March 31, December 31,
2009 2008 2008
Leverage at period-end 6.0:1 8.1:1 6.4:1
Fixed-rate investment securities as % of portfolio 66% 69% 64%
Adjustable-rate investment securities as % of 27% 21% 28%
portfolio
Floating-rate investment securities as % of portfolio 7% 10% 8%
Notional amount of interest rate swaps as % of 31% 30% 32%
portfolio
Annualized yield on average earning assets during the 5.23% 5.64% 5.50%
quarter
Annualized cost of funds on average repurchase 3.12% 4.18% 3.79%
balance during the quarter
Annualized interest rate spread during the quarter 2.11% 1.46% 1.71%
Weighted average yield on assets at period-end 4.86% 5.36% 5.03%
Weighted average cost of funds at period-end 2.78% 3.85% 4.08%
Interest rate spread at period-end 2.08% 1.51% 0.95%
Weighted average receive rate on interest rate swaps 0.55% 2.85% 1.18%
at period-end
Weighted average pay rate on interest rate swaps at 4.55% 4.90% 4.66%
period-end

The Constant Prepayment Rate was 16% during the first quarter of 2009, as
compared to 15% during the first quarter of 2008, and 10% during the fourth
quarter of 2008. The weighted average cost basis of the Company`s Investment
Securities was 101.3 at March 31, 2009. The net amortization of premiums and
accretion of discounts on Investment Securities for the quarters ended March 31,
2009, March 31, 2008 and December 31, 2008 was $41.0 million, $27.5 million, and
$26.8 million, respectively. The total net premium remaining unamortized at
March 31, 2009, March 31, 2008 and December 31, 2008 was $668.3 million, $383.3
million, and $555.0 million, respectively.

General and administrative expenses as a percentage of average assets were
0.20%, 0.17% and 0.18% for the quarters ended March 31, 2009, March 31, 2008,
and December 31, 2008, respectively. At March 31, 2009, March 31, 2008, and
December 31, 2008, the Company had a common stock book value per share of
$14.67, $12.95 and $12.94, respectively.

At March 31, 2009, Annaly`s wholly-owned registered investment advisors had
under management approximately $8.5 billion in net assets and $16.3 billion in
gross assets, as compared to $3.2 billion in net assets and $12.7 billion in
gross assets at March 31, 2008 and $7.0 billion in net assets and $15.3 billion
in gross assets at December 31, 2008. For the quarter ended March 31, 2009, the
investment advisors earned investment advisory and service fees, net of fees
paid to distributors, of $7.3 million, as compared to $6.0 million for the
quarter ended March 31, 2008 and $6.9 million for the quarter ended December 31,
2008.

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 544,344,030 shares of common stock outstanding.

The Company will hold the first quarter 2009 earnings conference call on April
30, 2009 at 10:00 a.m. EST. The number to call is 866-831-6270 for domestic
calls and 617-213-8858 for international calls and the pass code is 38270330.
The replay number is 888-286-8010 for domestic calls and 617-801-6888 for
international calls and the pass code is 73428940. 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 E-Mail alerts, enter your e-mail address
where indicated and click the Subscribe 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.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands)

March 31, December 31, 2008(1) September 30, June 30, March 31,

2009
2008
2008
2008

(Unaudited)
(Unaudited)
(Unaudited)
(Unaudited)

ASSETS

Cash and $1,035,118 $ 909,353 $ 1,083,814 $ 1,462,737 $ 1,549,041
cash
equivalent
s
Reverse 452,480 562,119 619,657 49,964 800,000
repurchase
agreements
with
affiliate
Mortgage 58,785,456 55,046,995 54,840,928 58,017,305 56,115,025
-Backed
Securities
, at fair
value
Agency - 598,945 618,352 731,995 738,837
debentures
, at fair
value
Available 51,418 52,795 22,490 32,631 44,546
-for-sale
equity
securities
, at fair
value
Trading - - 2,199 23,478 1,836
securities
, at fair
value
Receivable 33,009 75,546 2,446,342 824,308 174,413
for
Investment
Securities
sold
Accrued 291,347 282,532 295,925 303,228 287,261
interest
and
dividends
receivable
Receivable 16,886 16,886 - - -
from Prime
Broker(2)
Receivable 6,507 6,103 3,581 4,703 4,581
for
advisory
and
service
fees
Intangible 11,399 12,380 6,726 7,604 8,840
for
customer
relationsh
ips
Goodwill 27,917 27,917 22,966 22,966 22,966
Other 5,717 6,044 2,602 3,216 4,347
assets

Total $60,717,254 $57,597,615 $59,965,582 $61,484,135 $59,751,693
assets

LIABILITIE
S AND
STOCKHOLDE
RS` EQUITY

Liabilitie
s:
Repurchase $48,951,178 $46,674,885 $51,075,758 $51,839,663 $51,324,007
agreements
Payable 2,121,670 2,062,030 839,235 1,405,109 828,235
for
Investment
Securities
purchased
Trading - - 30,903 48,718 37,268
securities
sold, not
yet
purchased,
at fair
value
Accrued 112,457 199,985 168,361 154,615 172,575
interest
payable
Dividends 272,170 270,736 296,254 296,201 224,823
payable
Accounts 23,970 8,380 26,385 36,625 20,123
payable
and other
liabilitie
s
Interest 1,012,574 1,102,285 384,258 400,998 789,859
rate
swaps, at
fair value
Total 52,494,019 50,318,301 52,821,154 54,181,929 53,396,890
liabilitie
s

6.00% 63,185 96,042 108,957 108,957 111,405
Series B
Cumulative
Convertibl
e
Preferred
Stock:
4,600,000
shares
authorized
,
2,607,564,
3,963,525,
4,496,525,
4,496,525,
and
4,597,550,
shares
issued and
outstandin
g,
respective
ly

Stockholde
rs`
Equity:
7.875% 177,088 177,088 177,088 177,088 177,088
Series A
Cumulative
Redeemable
Preferred
Stock:
7,412,500
authorized
,
7,412,500

shares
issued and
outstandin
g
Common 5,443 5,415 5,402 5,385 4,684
stock, par
value $.01
per share,
987,987,50
0
authorized
,
544,339,78
5,
541,475,36
6,
540,189,10
1,
538,546,66
6 and
468,380,79
7, issued
and
outstandin
g,
respective
ly
Additional 7,667,769 7,633,438 7,616,528 7,592,161 6,506,494
paid-in
capital
Accumulate 1,121,551 252,230 (661,498) (478,791) (335,814)
d other
comprehens
ive income
(loss)
Accumulate (811,801) (884,899) (102,049) (102,594) (109,054)
d deficit

Total 8,160,050 7,183,272 7,035,471 7,193,249 6,243,398
stockholde
rs` equity

Total $60,717,254 $57,597,615 $59,965,582 $61,484,135 $59,751,693
liabilitie
s,
minority
interest,
Series B
Cumulative

Convertib
le
Preferred
Stock and
stockholde
rs` equity

(1) Derived from the audited consolidated financial statements at December 31, 2008.

(2) The Company invested $45,000,000 in an equity fund and has redeemed $56,000,000. Net unrealized gains in the fund
valued at September 15, 2008 still remain at the prime broker, Lehman Brothers International (Europe), which is in
bankruptcy and the ultimate recovery of such amount remains uncertain.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME

(UNAUDITED)

(dollars in thousands, except per share data)

For the quarters ended
March 31, December 31, September 30, June 30, March 31,
2009 2008 2008 2008 2008
Interest income $716,015 $740,282 $810,659 $773,359 $791,128

Interest expense 378,625 450,805 458,250 442,251 537,606

Net interest income 337,390 289,477 352,409 331,108 253,522

Other income (loss)
Investment advisory and service fees 7,761 7,224 7,663 6,406 6,598
Gain (loss)on sale of Mortgage-Backed Securities 5,023 (468) (1,066) 2,830 9,417
(Loss)income from trading securities - (2,010) 7,671 2,180 1,854
Dividend income from available-for-sale equity 918 612 580 580 941
securities
Loss on other-than-temporarily impaired - - (31,834) - -
securities(1)
Unrealized gain (loss) on interest rate swaps(2) 35,545 (768,268) - - -
Total other income (loss) 49,247 (762,910) (16,986) 11,996 18,810

Expenses
Distribution fees 428 287 299 370 633
General and administrative expenses 29,882 26,957 25,455 27,215 23,995
Total expenses 30,310 27,244 25,754 27,585 24,628

Income (loss) before income taxes and minority 356,327 (500,677) 309,669 315,519 247,704
interest

Income taxes 6,434 6,302 7,538 7,527 4,610

Income (loss) before minority interest 349,893 (506,979) 302,131 307,992 243,094

Minority interest - - - - 58

Net income (loss) 349,893 (506,979) 302,131 307,992 243,036

Dividend on preferred stock 4,626 5,135 5,335 5,334 5,373

Net income (loss) available (related) to common $345,267 ($512,114) $296,796 $302,658 $237,663
shareholders

Net income (loss) available (related) per share to
common shareholders:
Basic $0.64 ($0.95) $0.55 $0.60 $0.54
Diluted $0.63 ($0.95) $0.54 $0.59 $0.53

Weighted average number of common shares
outstanding:
Basic 542,903,110 541,099,147 538,706,131 503,758,079 443,812,432
Diluted 548,551,328 541,099,147 547,882,488 512,678,975 452,967,457

Net income (loss) $349,893 ($506,979) $302,131 $307,992 $243,036
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale 820,178 863,018 (232,347) (529,008) 217,563
securities
Unrealized gain (loss) on interest rate swaps 54,166 50,242 16,740 388,861 (391,763)
Reclassification adjustment for (gains) losses (5,023) 468 32,900 (2,830) (9,417)
included in net
income
Other comprehensive income (loss) 869,321 913,728 (182,707) (142,977) (183,617)
Comprehensive income $1,219,214 $406,749 $119,424 $165,015 $ 59,419

(1) Although the Company has the intent and ability to retain its investment in
Chimera Investment Corporation, the Company determined that it is appropriate to
recognize an other-than-temporary impairment charge of $31.8 million.
Recognition of such impairment charges does not reduce the taxable income of the
Company. The non-cash charge is the difference between the purchase price for
the shares and their fair value at September 30, 2008.

(2) Beginning in the fourth quarter of 2008, the Company no longer applies hedge
accounting to its interest rate swaps under SFAS 133. As a result, changes in
unrealized gains and losses in interest rate swaps are reported in the income
statement for GAAP purposes.

Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com

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