Free Writing Prospectus
Issuer Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-120920
(Supplementing Preliminary Prospectus Supplements dated March 31, 2006)
~ Sole-Bookrun Common Stock Add-on & SEC-Registered 6.00% Series B Cumulative
Convertible Preferred Stock Pricing ~
[LOGO]
Annaly Mortgage Management, Inc.
(NLY/NYSE)
Common Stock Add-On Offering
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Offering Size: 34,100,000 Shares (100% Primary)
Overallotment (15%): 5,115,000 Shares (100% Primary)
Price Per Share: $11.75
Last Sale (4/6/06): $11.88
Trade Date: 4/6/2006
Settlement Date: 4/12/2006
CUSIP: 035710 40 9
Sole Book-Runner: Merrill Lynch & Co.
Joint Lead Managers: Citigroup and UBS Investment Bank
Co-Managers: Deutsche Bank Securities, Keefe, Bruyette & Woods
& RBC Capital Markets
SEC-Registered 6.00% Series B Cumulative Convertible Preferred Stock Pricing
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Offering Size: $100,000,000
Overallotment (15%): $15,000,000
Price Per Share: $25.00
Liquidation Preference: $25.00
Dividend Rate: 6.00% payable quarterly in arrears in cash
Conversion Rate: 1.7730 shares of common stock per $25.00 liquidation
preference, subject to adjustment
Adjustment to Conversion Rate Upon certain Fundamental Changes: If a fundamental
change occurs and a holder elects to convert in connection with such
transaction, the conversion rate will be increased by a number of shares within
a range of 0 to 0.3546 shares (subject to adjustment upon certain events).
The number of additional shares will be determined by reference to the following
table and is based on the date on which such fundamental change becomes
effective and the price paid per share of common stock on the effective date.
Effective Date $12.00 $13.00 $14.00 $15.00 $20.00 $25.00 $30.00 $40.00
-------------- ------ ------ ------ ------ ------ ------ ------ ------
April 12, 2006 0.3546 0.2637 0.2155 0.2000 0.1500 0.1200 0.1000 0.0750
April 1, 2007 0.3546 0.2624 0.2024 0.1700 0.1275 0.1020 0.0850 0.0638
April 1, 2008 0.3546 0.2623 0.1997 0.1558 0.1019 0.0815 0.0679 0.0509
April 1, 2009 0.3546 0.2623 0.1995 0.1445 0.0738 0.0590 0.0492 0.0369
April 1, 2010 0.3546 0.2621 0.1993 0.1441 0.0429 0.0343 0.0286 0.0214
April 1, 2011 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
April 1, 2012 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
April 1, 2013 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
April 1, 2014 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
April 1, 2015 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
April 1, 2016 0.3546 0.2621 0.1993 0.1441 0.0000 0.0000 0.0000 0.0000
Trade Date: 4/6/2006
Settlement Date: 4/12/2006
CUSIP: 035710 60 7
Sole Book-Runner: Merrill Lynch & Co.
Joint Lead Manager: Bear, Stearns & Co. Inc.
* * *
The issuer has filed a registration statement (including a prospectus and
supplements thereto) with the SEC for the offerings to which this communication
relates. Before you invest, you should read the prospectus and the supplements
thereto in that registration statement and other documents the issuer has filed
with the SEC for more complete information about the issuer and these offerings.
You may get these documents for free by visiting EDGAR on the SEC Web site at
www.sec.gov. Alternatively, the issuer, any underwriter or any dealer
participating in the offering will arrange to send you the prospectus and the
supplements thereto if you request them by calling toll-free (1-866) 500-5408.
ANY DISCLAIMERS OR OTHER NOTICES THAT MAY APPEAR BELOW ARE NOT APPLICABLE TO
THIS COMMUNICATION AND SHOULD BE DISREGARDED. SUCH DISCLAIMERS OR OTHER NOTICES
WERE AUTOMATICALLY GENERATED AS A RESULT OF THIS COMMUNICATION BEING SENT VIA
BLOOMBERG OR ANOTHER EMAIL SYSTEM.
This announcement and any offer if made subsequently is directed only at persons
in member states of the European Economic Area who are "qualified investors"
within the meaning of Article 2(1)(e) of the Prospectus Directive (Directive
2003/71/EC) ("Qualified Investors"). Any person in the EEA who acquires the
securities in any offer (an "investor") or to whom any offer of the securities
is made will be deemed to have represented and agreed that it is a Qualified
Investor. Any investor will also be deemed to have represented and agreed that
any securities acquired by it in the offer have not been acquired on behalf of
persons in the EEA other than Qualified Investors or persons in the UK and other
member states (where equivalent legislation exists) for whom the investor has
authority to make decisions on a wholly discretionary basis, nor have the
securities been acquired with a view to their offer or resale in the EEA to
persons where this would result in a requirement for publication by the company,
Merrill Lynch International ("MLI") or any other manager of a prospectus
pursuant to Article 3 of the Prospectus Directive. The company, MLI and their
affiliates, and others will rely upon the truth and accuracy of the foregoing
representations and agreements.