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FORM 4UNITED 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, Section 17(a) of the Public Utility Holding Company Act of 1935 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 CAPITAL MANAGEMENT, INC., 1211 AVENUE OF THE AMERICAS, SUITE 2902
(Street)
NEW YORKNY10036
(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)
XDirector10% Owner
XOfficer (give title below)Other (specify below)
Pres., Chairman of Board & CEO
3. Date of Earliest Transaction (Month/Day/Year)
07/21/2009
4. If Amendment, Date of Original Filed (Month/Day/Year)
6. Individual or Joint/Group Filing (Check Applicable Line)
XForm 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)
CodeVAmount(A) or (D)Price
Common Stock 07/21/2009 M  3,413 A$ 8.63 2,024,867 D  
Class A Preferred Stock         3,500 D  
Class A Preferred Stock         3,500 (1) I Michael Farrell C/F Taylor Carolyn Farrell
Class A Preferred Stock         8,000 (1) I By daughter
Class A Preferred Stock         8,200 (1) I By son

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 Security3. 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 Underlying Securities
(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 of Derivative Security: Direct (D) or Indirect (I)
(Instr. 4)		11. Nature of Indirect Beneficial Ownership
(Instr. 4)
CodeV(A)(D)Date ExercisableExpiration DateTitleAmount or Number of Shares
Option to purchase Common Stock (2) $ 8.63 07/21/2009 M   3,413 11/18/200011/18/2009 Common Stock 3,413 $ 0 0 D  
Option to purchase Common Stock (2) $ 7.94       11/29/200111/29/2010 Common Stock 22,500   22,500 D  
Option to purchase Common Stock (2) $ 17.97       08/04/200408/04/2013 Common Stock 200,000   200,000 D  
Option to purchase Common Stock (2) $ 17.39       04/19/200504/19/2014 Common Stock 150,000   150,000 D  
Option to purchase Common Stock (2) $ 17.07       07/07/200607/07/2015 Common Stock 150,000   150,000 D  
Option to purchase Common Stock (2) $ 11.72       02/13/200702/13/2016 Common Stock 150,000   150,000 D  
Option to purchase Common Stock (2) $ 15.7       05/17/200805/17/2017 Common Stock 150,000   150,000 D  
Option to purchase Common Stock (2) $ 16.46       05/08/200905/08/2018 Common Stock 200,000   200,000 D  
Option to purchase Common Stock (2) $ 15.61       09/19/200909/19/2018 Common Stock 200,000   200,000 D  
Option to purchase Common Stock (2) $ 13.25       04/22/201004/22/2019 Common Stock 400,000   400,000 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 AJ Farrell07/21/2009
** Signature of Reporting PersonDate
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.

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