Exhibit 8.1

Opinion of K&L Gates LLP

September 13, 2012

Annaly Capital Management, Inc.
1211 Avenue of the Americas
Suite 2902
New York, New York 10036

Dear Sir or Madam:

          In connection with the offering by Annaly Capital Management, Inc., a Maryland corporation (the “Company”) of 18,400,000 shares of the Company’s 7.50% Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Preferred Stock”), pursuant to the Company’s Registration Statement on Form S-3, dated February 8, 2010, (the “Registration Statement”), and the Prospectus dated February 8, 2010 included in the Registration Statement, as supplemented by the accompanying Prospectus Supplement dated September 6, 2012 (the “Prospectus Supplement”), filed by the Company with the Securities Exchange Commission under Rule 424(b) on September 7, 2012, you have requested our opinion concerning the information in the Prospectus Supplement under the heading “Additional Material U.S. Federal Income Tax Considerations.”

          In formulating our opinions, we have reviewed and relied upon the charter of the Company (including the Articles Supplementary relating to the Preferred Stock) and the Registration Statement. In addition, we have relied upon the Company’s certificate (the “Officer’s Certificate”), executed by a duly appointed officer of the Company, setting forth certain factual representations relating to the organization and proposed operation of the Company. Where such factual representations in the Officer’s Certificate involve terms defined in the Internal Revenue Code of 1986, as amended (the “Code”), the regulations promulgated by the Department of the Treasury (the “Regulations”), published rulings of the Internal Revenue Service (the “Service”), or other relevant authority, we have explained such terms to the Company’s representatives and we are satisfied that the Company’s representatives understand such terms and are capable of making such factual representations. We have also relied upon representations that the information presented in the Registration Statement accurately and completely describes all material facts. We have not verified any of those assumptions.

          In rendering these opinions, we have assumed that the Company will be operated in the manner described in its organizational documents and in the Registration Statement.

          Based upon and subject to the foregoing, it is our opinion that the statements in the Prospectus Supplement under the heading “Additional Material U.S. Federal Income Tax Considerations”, to the extent that such statements constitute matters of law, summaries of legal matters, or legal conclusions, have been reviewed by us and are correct in all material respects and accurately describe the federal income tax considerations that are likely to be material to a holder of the Preferred Stock.