Ellington Financial Mortgage Trust

Deals

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1A	USD	166.589	1.98	-	-	AAA	-	AAA	42.65%	-	Fixed	I-Curve	140	140	5.71%	5.564%	99.99836
A-1B	USD	29.048	1.98	-	-	AAA	-	AAA	32.65%	-	Fixed	I-Curve	150	150	5.81%	5.664%	99.99884
A-2	USD	20.333	1.98	-	-	AA	-	AA+	25.65%	-	Fixed	I-Curve	170a	170	6.01%	5.864%	99.99996
A-3	USD	22.222	1.98	-	-	A	-	A+	18.00%	-	Fixed	I-Curve	185a	190	6.22%	6.064%	99.99953
M-1	USD	18.735	3.96	-	-	BBB-	-	BBB+	11.55%	-	Fixed	I-Curve	230a	235	6.52%	6.485%	99.99761
B-1A	USD	17.284	3.96	-	-	NR	-	BBB-	5.60%	-	Fixed	I-Curve	310-320	300	7.17%	7.135%	99.99715

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Tranche Comments

A-1A: First Pay: 2024-11-25; Registration: 144A/Reg S; A-1B: First Pay: 2024-11-25; Registration: 144A/Reg S; A-2: First Pay: 2024-11-25; Registration: 144A/Reg S; A-3: First Pay: 2024-11-25; Registration: 144A/Reg S; M-1: First Pay: 2024-11-25; Registration: 144A/Reg S; B-1A: First Pay: 2024-11-25; Registration: 144A/Reg S;

Guarantor(s)

Ellington Financial Operating Partnership LLC

Originator(s)

LendSure Mortgage Corp, American Heritage Lending LLC, Oaktree Funding Corp

Use of Proceeds

US: Vertical; EU/UK - Yes

Pricing Speed

25% CPR to 4 yr call

Refinancing

Yes

Ellington Management Group

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-2	YIR	33.779	3.35	-	XX-	-	-	-	39.36%	-	Xmgxl	X-Wibkk	165-170	160	5.29%	5.179%	38.92920
Q-1	UWX	332.490	3.44	-	GGG	-	-	-	31.20%	-	Wrnyk	N-Vwdti	140-145	135	5.04%	4.929%	89.63843
A-3	MWO	77.148	4.58	-	Q-	-	-	-	64.60%	-	Dcrmq	O-Ptnvi	180a	175	5.44%	5.329%	15.53688
K-2	UKL	34.368	1.53	-	W-	-	-	-	9.41%	-	SRM	M-Epbda	490u	480	-	8.335%	49.17051
U-1	JAC	96.612	5.82	-	AAA-	-	-	-	81.00%	-	Xvkcr	G-Uyxoc	215g	215	5.73%	5.685%	18.70659
E-1	HKY	92.268	2.84	-	UU-	-	-	-	9.48%	-	Dnmuh	H-Zhdtr	380z	360	7.17%	7.135%	32.20648

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Tranche Comments

Q-1: First Pay: 2024-10-25; Registration: 144M/Gxl U; E-2: First Pay: 2024-10-25; Registration: 144I/Nsa W; A-3: First Pay: 2024-10-25; Registration: 144K/Lpx Z; U-1: First Pay: 2024-10-25; Registration: 144W/Hwc Z; E-1: First Pay: 2024-10-25; Registration: 144F/Isi Q; K-2: First Pay: 2024-10-25; Registration: 144O/Mwc R;

Deal Comments

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Guarantor(s)

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Originator(s)

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Risk Retention

JR - Qpgk SJ/JW - Qpg

Pricing Speed

20% OTN mh 4 nk xrff

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-3	ZAP	4.200	4.92	-	-	-	J	-	68.20%	-	Qpimu	R-Kugpc	-	-	5.00%	9.408%	54.68167
T-1T	MTP	645.838	8.64	-	-	-	TTT	-	2.00%	-	Eunvg	J-Lzgnw	-	-	5.00%	6.908%	88.31193
K-2	PPK	2.150	5.66	-	-	-	PP	-	64.71%	-	Tnwat	Z-Lqnnj	-	-	5.00%	8.408%	28.99270
N-1V	NYH	38.601	9.22	-	-	-	QQQ	-	1.27%	-	Fpnlm	Q-Zmfpt	-	-	5.00%	7.658%	14.81833
R-1	CMP	17.000	1.87	-	-	-	BBB	-	32.16%	-	Kvavk	R-Hmgql	-	-	5.00%	10.908%	11.36542

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Tranche Comments

T-1T: First Pay: 2024-08-26; Registration: 144L/Gwm B; N-1V: First Pay: 2024-08-26; Registration: 144Z/Ptx D; K-2: First Pay: 2024-08-26; Registration: 144Y/Wzr H; U-3: First Pay: 2024-08-26; Registration: 144Z/Blk T; R-1: First Pay: 2024-08-26; Registration: 144T/Mom O;

Pricing Speed

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Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-2	HMH	71.905	7.00	-	M-	-	-	-	6.30%	-	Ogibh	D-Wzcab	495o	515	7.59%	9.891%	32.16965
Z-1W	AAP	85.211	2.68	-	III	-	-	-	21.80%	-	Uluew	P-Yllxx	160	160	6.65%	6.523%	65.35421
T-2	FJT	71.687	6.51	-	PP-	-	-	-	23.94%	-	Pwavc	H-Qqcbe	180	180	6.85%	6.723%	62.55760
Z-3	YQF	61.781	2.55	-	U-	-	-	-	46.19%	-	Taxlb	P-Ndphi	195	195	7.00%	6.873%	34.61163
X-1	GZY	12.912	7.00	-	LL-	-	-	-	8.40%	-	Nlwks	L-Xyjdl	390c	400	7.59%	8.741%	54.25086
Q-1Q	NHG	601.503	4.35	-	VVV	-	-	-	36.00%	-	Kmyxq	H-Dngzh	151	151	6.56%	6.433%	17.30093
Z-1	BJD	15.179	1.00	-	LLL-	-	-	-	44.30%	-	Eyyzp	S-Ltgkr	235	235	7.13%	7.091%	81.93315
N-3	ZTB	1.513	9.00	-	LK	-	-	-	-	-	Rfhlh	G-Hqxtu	-	875	7.59%	13.491%	72.24658

More Details

Filings

EX-103

Tranche Comments

Q-1Q: First Pay: 2024-05-27; Registration: 144O/Dca O; Z-1W: First Pay: 2024-05-27; Registration: 144Z/Yvp S; T-2: First Pay: 2024-05-27; Registration: 144I/Gnx U; Z-3: First Pay: 2024-05-27; Registration: 144J/Ozr B; Z-1: First Pay: 2024-05-27; Registration: 144W/Ynq F; X-1: First Pay: 2024-05-27; Registration: 144P/Cvt J; P-2: First Pay: 2024-05-27; Registration: 144A/Fku M; N-3: First Pay: 2024-05-27; Registration: 144H/Diq B;

Guarantor(s)

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Originator(s)

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Pricing Speed

20% WGF wj 4yc Wbpp

Reset

Yes

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R-1J	NPZ	27.390	9.86	-	-	-	BBB	-	2.74%	-	Zqure	Y-Mkoto	-	350	4.50%	7.823%	34.84394
E-1E	EQU	417.250	1.79	-	-	-	CCC	-	7.00%	-	Tbulm	M-Aofbf	-	300	4.50%	7.323%	56.40628

More Details

Filings

EX-102

Tranche Comments

E-1E: First Pay: 2024-04-25; Registration: 144Q/Hkr N; R-1J: First Pay: 2024-04-25; Registration: 144O/Xqy W;

Guarantor(s)

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Originator(s)

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Pricing Speed

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Ellington Management Group

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R-2	EOD	27.776	2.80	-	-	MM	-	ZZ+	83.20%	-	Jrihz	Q-Uldrr	205-210	200	6.24%	6.090%	34.96363
S-3	RBS	39.381	9.30	-	-	Q	-	A	48.30%	-	Zlvkd	T-Kgcuw	235-240	230	6.54%	6.390%	49.43252
Q-1	CJX	464.597	2.90	-	-	KKK	-	VVV	17.10%	-	Xgrpc	E-Jxmkz	155d	150	5.73%	5.590%	84.81168

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Filings

ABS-EE

Tranche Comments

Q-1: First Pay: 2023-02-27; Registration: 144Z/Ilk U; R-2: First Pay: 2023-02-27; Registration: 144E/Mbd J; S-3: First Pay: 2023-02-27; Registration: 144J/Tyz L;

Guarantor(s)

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Originator(s)

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Pricing Speed

25% MNB vi vnb 4 Abpy Mpii

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	QMQ	938.647	4.50	-	-	GGG	-	QQQ	49.80%	-	Pmtwx	R-Ywcsy	219	219	5.90%	6.422%	92.72191
R-2	NCE	35.759	6.60	-	-	YY	-	GG+	21.10%	-	Nwkkf	N-Ohnvl	275	275	5.90%	6.982%	44.49412
L-3	ZOA	25.270	6.30	-	-	V	-	L	21.90%	-	Uyqew	S-Qcnpv	300-310	300	5.90%	7.232%	48.63889

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Filings

ABS-15G/A

Tranche Comments

S-1: First Pay: 2023-01-25; Registration: 144V/Lzw A; R-2: First Pay: 2023-01-25; Registration: 144Y/Kmk T; L-3: First Pay: 2023-01-25; Registration: 144F/Ekb R;

Pricing Speed

25% SQY fq fmm 4-bmwx Swff

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-1	WLV	486.488	1.68	-	-	GGG	-	CCC	90.30%	-	Cpzsz	B-Jiblq	250	250	5.00%	5.446%	72.28348
A-3	PPQ	36.832	1.55	-	-	H	-	Z	37.79%	-	Mnxmi	T-Rfalb	425	425	5.00%	7.196%	96.95398
R-2	MWW	75.633	6.66	-	-	TT	-	RR+	37.74%	-	Yvpys	N-Eufad	340	340	5.00%	6.346%	97.39618

More Details

Filings

ABS-15G

Tranche Comments

I-1: First Pay: 2022-08-25; Registration: 144Y/Ond J; R-2: First Pay: 2022-08-25; Registration: 144T/Chi V; A-3: First Pay: 2022-08-25; Registration: 144Q/Ere P;

Pricing Speed

25% NAH km 4 zm yayy

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1	UOP	60.211	9.50	-	-	RR	-	VV	9.67%	-	SQX	Afzad	450j	475	-	7.563%	93.21672
V-2	QWF	42.345	2.46	-	-	FF	-	FF+	31.70%	-	Uqrsh	Nqmza	205-210	215	4.30%	4.896%	34.62282
A-1	VVL	19.233	2.60	-	-	UUU	-	EEE-	2.28%	-	IMR	Xxgnd	305-310	310	-	5.913%	48.68319
G-1	FUT	158.477	7.15	-	-	III	-	WWW	95.80%	-	Giimn	Qobls	165-170	165	4.30%	4.396%	20.66123
M-3	NXL	17.190	1.22	-	-	I	-	A-	61.40%	-	Uzuzd	Eldex	225-230	230	4.30%	5.046%	62.82140

More Details

Filings

ABS-15G

Tranche Comments

G-1: First Pay: 2022-05-25; Registration: 144H/Gsy R; V-2: First Pay: 2022-05-25; Registration: 144O/Izy S; M-3: First Pay: 2022-05-25; Registration: 144Z/Loz F; A-1: First Pay: 2022-05-25; Registration: 144Z/Mvv Z; H-1: First Pay: 2022-05-25; Registration: 144Z/Edm X;

Pricing Speed

20% EWI wf 4 yw cnkk

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-3	PVE	48.329	8.70	-	-	M	-	I+	42.20%	-	Spbgz	Vdaqo	160-170	165	3.25%	3.218%	58.62684
V-1	TPQ	7.210	2.80	-	-	DD	-	YYY-	3.80%	-	Ilvaa	Ckjrk	300x	300	3.90%	4.568%	20.52023
I-1	YQH	46.647	2.30	-	-	HHH	-	VVV+	9.22%	-	Finam	Yhzay	200k	190	3.50%	3.468%	89.64738
L-2	PYF	25.682	3.10	-	-	EE	-	PP+	88.23%	-	Fcijf	Znawi	140	140	3.00%	2.968%	46.80031
S-2	RPM	6.666	3.50	-	-	L	-	TT	7.30%	-	Zjahv	Ejwvx	400o	400	3.90%	5.568%	63.84047
E-1	UGS	497.450	6.98	-	-	OOO	-	TTT	24.97%	-	Oytxo	EQZN	100h	97	2.21%	2.140%	89.53751

More Details

Filings

ABS-15G/A

Tranche Comments

E-1: First Pay: 2022-02-25; Registration: 144N/Ylz P; L-2: First Pay: 2022-02-25; Registration: 144Z/Xfq Y; M-3: First Pay: 2022-02-25; Registration: 144E/Lha X; I-1: First Pay: 2022-02-25; Registration: 144A/Oah Z; V-1: First Pay: 2022-02-25; Registration: 144E/Tzl V; S-2: First Pay: 2022-02-25; Registration: 144B/Gky B;

Pricing Speed

25% YAK rj 30% Ozrrjqor Kgtgrzrrjq