Touted starting around here by Stephen Leeb as "Ka-Ching Corp" in teaser ads for his income newsletter. Details at http://www.stockgumshoe.com/2009/03/get-back-twice-what-you-lost-with-ka-ching-corp-stephen-leeb.html
The government released a statement which not only showed that these two companies had excess capital, but also decreased the capital requirements to free up an extra $200 billion for the mortgage markets
Because of the structure of Annaly's portfolio, the decreasing of the Federal Funds Rate directly improved margins
A combination of analyst downgrades (which are explained in the article), widening spreads on agency mortgage backed securities (sign of decreased risk tolerance and increased expectation of default), and absurd negative sentiment surrounding Fannie Mae and Freddie Mac send Annaly into a pitfall.