Annaly's FIDAC Launches First CDO.

NEW YORK -- Annaly Mortgage Management, Inc. (NYSE: NLY) is pleased to announce the closing of Harp High Grade CDO I, Ltd. ("Harp"). Harp, a $1 billion multi-tranche collateralized debt obligation, invests in a high-grade portfolio of primarily residential mortgage-backed securities. Annaly's wholly-owned subsidiary, FIDAC, is the collateral manager for Harp.

Michael A.J. Farrell, Chairman, Chief Executive Officer and President of Annaly, commented on the offering. "Harp represents a step forward in our effort to grow FIDAC's assets under management, diversify our product offerings and fee stream and expand our management capabilities. We will continue to leverage our experience and expertise as we seek new avenues of growth for FIDAC."

Matthew Lambiase, Executive Vice President of Structured Products, commented on FIDAC's debut as a CDO manager. "Entering a new market is always a challenge, but I believe that our track record of managing through different environments helped make our first CDO offering a success."

Annaly manages assets on behalf of institutional and individual investors worldwide through Annaly and through the funds managed by its wholly-owned registered investment advisor, FIDAC. At March 31, 2006, Annaly and FIDAC had gross assets under management of approximately $34 billion. Annaly's principal business objective is to generate net income for distribution to investors from the spread between the interest income on its mortgage-backed securities and the cost of borrowing to finance their acquisition and from dividends Annaly receives from FIDAC, which earns investment advisory fee income. Annaly, a Maryland corporation has elected to be taxed as a real estate investment trust ("REIT").

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 and Section 21E of the Securities Exchange Act of 1934. 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 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, FIDAC's clients removal of assets FIDAC manages, FIDAC's regulatory requirements, and competition in the investment management 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 Annual Report on Form 10-K for the fiscal year ended December 31, 2005. 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.

This news release contains a reference to a securities offering. The securities of such offering will not be and have not been registered under the Securities Act of 1933 and may not be offered or sold in the United Sates absent registration or an applicable exemption from the registration requirements of the Securities Act of 1933.