Company: NLY-PF
Filing Date: 2025-12-22
Form Type: 424B5
Source: 0001193125-25-328718
Chunk: 65

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-12-22
Form: 424B5
Chunk 65
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 in filing a “protective” TRS election with respect to the subsidiary REIT. We cannot assure you that such “protective” TRS election would be effective to avoid adverse consequences to us. Moreover, even if the “protective” election were to be effective, the subsidiary REIT would be subject to regular corporate income tax, and we cannot assure you that we would not fail to satisfy the requirement that not more than 20% of the value of our total assets may be represented by the securities of one or more TRSs, as well as the requirement that taxable income from our TRSs plus other nonqualifying gross income not exceed 25% of our total gross income. Taxable Mortgage Pools and Excess Inclusion Income.An entity, or a portion of an entity, that does not elect to be treated as a REMIC may be classified as a taxable mortgage pool, or TMP, under the Code if:

| • |     | substantially all of its assets consist of debt obligations or interests in debt obligations; |

| • |     | more than 50% of those debt obligations are real estate mortgages or interests in real estate mortgages as of 
 specified testing dates;                                                                                      |

| • |     | the entity has issued debt obligations (liabilities) that have two or more maturities; and |

| • |     | the payments required to be made by the entity on its debt obligations “bear a relationship” to the 
 payments to be received by the entity on the debt obligations that it holds as assets.              |

Under the U.S. Treasury regulations, if less than 80% of the assets of an entity (or a portion of an entity) consists of debt obligations, these debt obligations are considered not to comprise “substantially all” of its assets, and therefore the entity would not be treated as a taxable mortgage pool. 40

A TMP generally is treated as a taxable corporation and it cannot file a consolidated U.S.
federal income tax return with any other corporation. If, however, a REIT owns 100% of the equity interests in a TMP, then the TMP is a qualified REIT subsidiary and, as such, ignored as an entity separate from the REIT, but a portion of the
REIT’s income will be treated as excess inclusion income and a portion of the dividends the REIT pays to U.S. holders will be considered to be excess inclusion income.

Section 860E(c) of the Code defines the term “excess