Annaly Mortgage Management, Inc. Announces 1st Quarter 2006 Common Stock Dividend.

NEW YORK -- The Board of Directors of Annaly Mortgage Management, Inc. (NYSE: NLY) declared the first quarter 2006 common stock cash dividend of $0.11 per common share. This dividend is payable April 27, 2006 to common shareholders of record on March 31, 2006. The ex-dividend date is March 29, 2006.

The first quarter 2006 dividend is 10% greater than the previous quarter's dividend. The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will differ because of non-taxable unrealized and realized losses, differences in premium amortization, and non-deductible general and administrative expenses. As reflected in the fourth quarter 2005 financial statements, the Company recorded a GAAP impairment loss on other-than-temporarily impaired securities of $83.1 million. As required under GAAP, all securities will be reviewed at quarter end to determine if any additional other-than-temporarily impaired charge is necessary.

"We are seeing the results of the portfolio repositioning we began in the fourth quarter," said Michael A.J. Farrell, Chairman, CEO and President of Annaly. "Our dividend increased this quarter because taxable income improved over what it would have been without our portfolio repositioning. An integral component of our performance today is that returns on newly-invested capital continue to be accretive to earnings. We believe the portfolio is better-positioned for a continuation of the current phase of monetary policy and its eventual transition to the next phase."

Dividends may be reinvested through Annaly's Dividend Reinvestment Plan. Plan information may be obtained from the Plan Administrator, ChaseMellon Shareholder Services at 1-800-842-7629, at www.annaly.com, or by contacting the Company.

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. The Company'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. The Company, a Maryland corporation that has elected to be taxed as a real estate investment trust ("REIT"), currently has 123,701,656 shares of common stock outstanding.

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.