Annaly Mortgage Management, Inc. Announces 2nd Quarter 2005 Common Stock Dividend.

NEW YORK -- The Board of Directors of Annaly Mortgage Management, Inc. (NYSE: NLY) declared the second quarter 2005 common stock cash dividend of $0.36 per common share. The annualized dividend yield for the quarter, based on the June 17, 2005 closing price of $20.00, was 7.2%. This dividend is payable July 28, 2005 to common shareholders of record on June 30, 2005. The ex-dividend date is June 28, 2005. It continues to be the intention of the Company not to return capital to shareholders.

Wellington Denahan-Norris, Vice Chairman and Chief Investment Officer of Annaly, commented on the dividend: "The continuation of market conditions we discussed in earlier releases and conference calls--including rising short-term rates and fluctuating prepayment speeds--reduced our returns in the second quarter. During the quarter, we executed some portfolio rebalancing to take advantage of higher short-term rates and continued to witness growth in fee income and assets under management of our FIDAC subsidiary.

"The persistence of current market conditions, including any pick-up in prepayment speeds due to the recent rally in ten-year US Treasury yields, may adversely affect Annaly's short-term results going forward. We want to emphasize that we manage our company for long-term performance, realizing that there will always be some short-term variability to our return profile. Over the long-term, however, our barbell portfolio--in which the different performance characteristics of adjustable-rate and fixed-rate mortgage-backed securities combine, over time, to enable the portfolio to adapt to changing market conditions--reinvestment into new market opportunities, the contribution from FIDAC and our position as low-cost provider continue to deliver compelling absolute and relative returns to investors."

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 122,446,578 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, 2004. 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.