Company: NLY-PF
Filing Date: 2025-08-01
Form Type: 424B5
Source: 0001193125-25-171665
Chunk: 113

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-08-01
Form: 424B5
Chunk 113
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 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 inclusion” with respect to a residual interest in a REMIC. The IRS has yet
to issue guidance on the computation of excess inclusion income on equity interests in a TMP held by a REIT. Generally, however, excess inclusion income with respect to our investment in any TMP and any taxable year will equal the excess of
(i) the amount of income we accrue on our investment in the TMP over (ii) the amount of income we would have accrued if our investment were a debt instrument having an issue price equal to the fair market value of our investment on the day
we acquired it and a yield to maturity equal to 120% of the long-term applicable federal rate in effect on the date we acquired our interest. The term “applicable federal rate” refers to rates that are based on weighted average yields for
U.S. Treasury securities and are published monthly by the IRS for use in various tax calculations. If we undertake securitization transactions that are TMPs, the amount of excess inclusion income we recognize in any taxable year could represent a
significant portion of our total taxable income for that year.

Although we intend to structure our securitization and financing
transactions so that we will not recognize any excess inclusion income, we cannot assure you that we will always be successful in this regard.

If,
notwithstanding our intent, we recognized excess inclusion income, then under guidance issued by the IRS we would be required to allocate the excess inclusion income proportionately among the dividends we pay to our stockholders and we must notify
our stockholders of the portion of our dividends that represents excess inclusion income. The portion of any dividend you receive that is treated as excess inclusion income is subject to special rules. First, your taxable income can never be less
than the sum of your excess inclusion income for the year; excess inclusion income cannot