Regular readers will recognize this mortgage REIT. "Annaly Mortgage Management, Inc. today reported a net loss for the quarter ended December 31, 2005 of $136.8 million. During the fourth quarter $2.3 billion face amount of securities were sold, resulting in a realized loss of $65.3 million. In addition, approximately $2.9 billion face amount of securities were reclassified as other-than-temporarily impaired as of December 31, 2005, with an approximate loss of $83 million."

"'Our results for the fourth quarter reflect our Company's response to the persistence of current market conditions," said Michael A.J. Farrell, CEO. 'No financial institution is immune from the rise in the cost of funds and the flattening of the yield curve.'"

"For the quarter ended December 31, 2005, the annualized yield on average earning assets was 4.10% and the annualized cost of funds on the average repurchase balance was 4.01%, which equates to an interest rate spread of 0.09%. This is a 118 basis point decrease over the 1.27% annualized interest rate spread for the quarter ended December 31, 2004."

"Wellington Denahan-Norris, Vice Chairman, COO of Annaly (said), 'Of the $2.3 billion in assets sold during the quarter, approximately 78% were hybrid adjustable-rate mortgage-backed securities. A significant portion of the assets we sold were replaced with fixed-rate mortgage-backed securities.'"

"'We are proud of the fact that we have grown our asset management business over 20% in 2005 in the face of a hostile Federal Reserve and the unprecedented long duration of this tightening cycle,' said Mr. Farrell."