| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A-1A | USD | 150.225 | 2.31 | - | AAA | - | - | - | 50.00% | - | Fixed | I-Curve | 151 | 151 | 6.56% | 6.433% | 99.99856 |
| A-1B | USD | 24.938 | 2.31 | - | AAA | - | - | - | 41.70% | - | Fixed | I-Curve | 160 | 160 | 6.65% | 6.523% | 99.99892 |
| A-2 | USD | 27.191 | 2.31 | - | AA- | - | - | - | 32.65% | - | Fixed | I-Curve | 180 | 180 | 6.85% | 6.723% | 99.99944 |
| A-3 | USD | 40.561 | 2.31 | - | A- | - | - | - | 19.15% | - | Fixed | I-Curve | 195 | 195 | 7.00% | 6.873% | 99.99899 |
| M-1 | USD | 21.182 | 4.00 | - | BBB- | - | - | - | 12.10% | - | Fixed | I-Curve | 235 | 235 | 7.13% | 7.091% | 99.99993 |
| B-1 | USD | 16.224 | 4.00 | - | BB- | - | - | - | 6.70% | - | Fixed | I-Curve | 390a | 400 | 7.59% | 8.741% | 96.15685 |
| B-2 | USD | 11.417 | 4.00 | - | B- | - | - | - | 2.90% | - | Fixed | I-Curve | 495a | 515 | 7.59% | 9.891% | 92.56935 |
| B-3 | USD | 8.713 | 4.00 | - | NR | - | - | - | - | - | Fixed | I-Curve | - | 875 | 7.59% | 13.491% | 82.36493 |
Tranche Comments
A-1A: First Pay: 2024-05-27; Registration: 144A/Reg S;
A-1B: First Pay: 2024-05-27; Registration: 144A/Reg S;
A-2: First Pay: 2024-05-27; Registration: 144A/Reg S;
A-3: First Pay: 2024-05-27; Registration: 144A/Reg S;
M-1: First Pay: 2024-05-27; Registration: 144A/Reg S;
B-1: First Pay: 2024-05-27; Registration: 144A/Reg S;
B-2: First Pay: 2024-05-27; Registration: 144A/Reg S;
B-3: First Pay: 2024-05-27; Registration: 144A/Reg S;
Guarantor(s)
Ellington Financial Operating Partnership LLC
Originator(s)
American Heritage Lending LLC, LendSure Mortgage Corp
Pricing Speed
20% CPR to 4yr Call
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V-1M | KJF | 47.240 | 1.33 | - | - | - | TTT | - | 5.37% | - | Wvkrp | T-Fmxsp | - | 350 | 4.50% | 7.823% | 35.84920 |
| Q-1Q | ICY | 917.990 | 4.93 | - | - | - | WWW | - | 7.00% | - | Coxvv | G-Tddpu | - | 300 | 4.50% | 7.323% | 81.74493 |
Tranche Comments
Q-1Q: First Pay: 2024-04-25; Registration: 144P/Kzx C;
V-1M: First Pay: 2024-04-25; Registration: 144U/Lwr B;
Guarantor(s)
Zvvxuimbu Txucufxcv Kzpccmxui Gccmupclcxz ZZS
Originator(s)
Ioqkhfrnkw Grqtqfrtm IIF
Pricing Speed
100% WWM wx wvk 30% Sbwjxqqu Ekikpbwjxq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| U-3 | NVV | 13.753 | 7.80 | - | - | Q | - | X | 46.90% | - | Jmkww | T-Zwikt | 235-240 | 230 | 6.54% | 6.390% | 13.31772 |
| U-1 | YEY | 974.270 | 3.40 | - | - | XXX | - | BBB | 93.76% | - | Ljpcm | X-Cjaad | 155v | 150 | 5.73% | 5.590% | 36.15899 |
| B-2 | EXS | 51.766 | 6.90 | - | - | XX | - | XX+ | 17.80% | - | Ohitk | G-Wmozl | 205-210 | 200 | 6.24% | 6.090% | 53.65833 |
Tranche Comments
U-1: First Pay: 2023-02-27; Registration: 144O/Dfu K;
B-2: First Pay: 2023-02-27; Registration: 144L/Xfh T;
U-3: First Pay: 2023-02-27; Registration: 144L/Mqk N;
Guarantor(s)
Kffrivjbi Irioijrof Rkuxojriv Soxjiuxbrrk TTY
Originator(s)
TmcdFxfm Ynfutitm Wnfw
Pricing Speed
25% LGZ sj stu 4 Wuwz Lwcc
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| D-3 | JFT | 39.136 | 1.50 | - | - | Z | - | H | 81.62% | - | Enxye | Q-Vlypz | 300-310 | 300 | 5.90% | 7.232% | 20.91968 |
| Q-1 | KNU | 882.745 | 9.90 | - | - | BBB | - | XXX | 33.90% | - | Aoyzz | M-Cqigp | 219 | 219 | 5.90% | 6.422% | 29.61046 |
| N-2 | LAR | 58.948 | 3.80 | - | - | NN | - | II+ | 38.90% | - | Kbiga | Z-Hxwga | 275 | 275 | 5.90% | 6.982% | 55.94100 |
Tranche Comments
Q-1: First Pay: 2023-01-25; Registration: 144M/Zjb L;
N-2: First Pay: 2023-01-25; Registration: 144G/Utq D;
D-3: First Pay: 2023-01-25; Registration: 144W/Thj J;
Pricing Speed
25% BAF ii ipq 4-zqkb Bkss
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B-2 | RQX | 49.609 | 4.66 | - | - | JJ | - | FF+ | 47.72% | - | Qwcbh | L-Echrn | 340 | 340 | 5.00% | 6.346% | 28.56689 |
| V-3 | JST | 10.986 | 8.79 | - | - | J | - | I | 60.99% | - | Rigsy | V-Ciksw | 425 | 425 | 5.00% | 7.196% | 99.68823 |
| L-1 | ZGK | 801.875 | 1.25 | - | - | SSS | - | CCC | 18.50% | - | Dcjgt | B-Inbps | 250 | 250 | 5.00% | 5.446% | 78.90695 |
Tranche Comments
L-1: First Pay: 2022-08-25; Registration: 144K/Nqp L;
B-2: First Pay: 2022-08-25; Registration: 144B/Giz V;
V-3: First Pay: 2022-08-25; Registration: 144I/Obl N;
Pricing Speed
25% ASR cd 4 qt ffcc
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-1 | GUF | 871.401 | 9.65 | - | - | III | - | CCC | 85.74% | - | Yuaxw | Iftnr | 165-170 | 165 | 4.30% | 4.396% | 18.57218 |
| N-3 | GWS | 26.520 | 1.86 | - | - | G | - | F- | 83.50% | - | Lblcd | Jwrjd | 225-230 | 230 | 4.30% | 5.046% | 74.72611 |
| E-1 | UOV | 66.252 | 4.20 | - | - | XX | - | PP | 3.52% | - | HSH | Kbziz | 450i | 475 | - | 7.563% | 63.52440 |
| G-1 | JBJ | 17.410 | 7.90 | - | - | NNN | - | XXX- | 4.22% | - | ZVR | Gyrtu | 305-310 | 310 | - | 5.913% | 17.62106 |
| S-2 | KOM | 62.918 | 2.17 | - | - | MM | - | GG+ | 88.60% | - | Lcumf | Irrbx | 205-210 | 215 | 4.30% | 4.896% | 78.15371 |
Tranche Comments
C-1: First Pay: 2022-05-25; Registration: 144F/Ufy J;
S-2: First Pay: 2022-05-25; Registration: 144X/Qro M;
N-3: First Pay: 2022-05-25; Registration: 144P/Yrt Y;
G-1: First Pay: 2022-05-25; Registration: 144J/Qhc Q;
E-1: First Pay: 2022-05-25; Registration: 144W/Rjo B;
Pricing Speed
20% ZGP dx 4 mj gurr
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Q-1 | BXF | 4.180 | 6.80 | - | - | EE | - | PPP- | 2.10% | - | Ymzcy | Lqfkp | 300p | 300 | 3.90% | 4.568% | 45.71727 |
| C-1 | LJC | 26.749 | 2.40 | - | - | QQQ | - | PPP+ | 8.56% | - | Otacz | Byexs | 200s | 190 | 3.50% | 3.468% | 29.47996 |
| W-1 | JBS | 263.210 | 4.61 | - | - | MMM | - | ZZZ | 46.45% | - | Hicfi | LUGF | 100f | 97 | 2.21% | 2.140% | 75.79581 |
| V-2 | XFI | 43.494 | 9.70 | - | - | QQ | - | RR+ | 21.99% | - | Sjsgo | Twzmu | 140 | 140 | 3.00% | 2.968% | 36.51545 |
| L-3 | TKN | 46.581 | 4.30 | - | - | Y | - | J+ | 34.20% | - | Cstev | Nmlfd | 160-170 | 165 | 3.25% | 3.218% | 49.27372 |
| V-2 | JNG | 1.775 | 1.70 | - | - | I | - | GG | 8.80% | - | Immmn | Kvdkr | 400j | 400 | 3.90% | 5.568% | 25.29990 |
Tranche Comments
W-1: First Pay: 2022-02-25; Registration: 144L/Cjf T;
V-2: First Pay: 2022-02-25; Registration: 144D/Blf J;
L-3: First Pay: 2022-02-25; Registration: 144U/Ohr D;
C-1: First Pay: 2022-02-25; Registration: 144M/Cuc L;
Q-1: First Pay: 2022-02-25; Registration: 144D/Wxl R;
V-2: First Pay: 2022-02-25; Registration: 144V/Atd S;
Pricing Speed
25% IJC dy 30% Yzdpyvkq Cowodzdpyv
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V-2 | ULD | 38.190 | 7.80 | - | - | MM | - | CC+ | 89.00% | - | Uvkxg | Llmcp | 95o | 95 | 1.40% | 1.355% | 50.55043 |
| N-1 | PSK | 649.114 | 1.50 | - | - | XXX | - | XXX | 16.93% | - | Rtghx | Lcyzi | 80x | 80 | 1.24% | 1.205% | 38.67175 |
| T-2 | MUI | 4.250 | 5.86 | - | - | W | - | CC | 3.90% | - | - | - | - | - | - | - | Retained |
| N-3 | ZTE | 58.575 | 9.93 | - | - | E | - | O+ | 58.80% | - | Xkjaq | Ubjtu | 110l | 110 | 1.55% | 1.505% | 70.87930 |
| E-1 | HQU | 78.310 | 9.20 | - | - | QQQ | - | U- | 7.00% | - | Ipfsh | Pvqnm | 165 | 165 | 2.53% | 2.499% | 49.75722 |
| O-1 | OGZ | 6.381 | 6.10 | - | - | EE | - | CCC | 6.50% | - | Swmuk | Qogbp | 235 | 235 | 3.24% | 3.199% | 75.30937 |
Tranche Comments
N-1: First Pay: 2021-10-25; Registration: 144Y/Cmp K;
V-2 : First Pay: 2021-10-25; Registration: 144Y/Vqr L;
N-3: First Pay: 2021-10-25; Registration: 144C/Qlb Q;
E-1: First Pay: 2021-10-25; Registration: 144J/Mxl A;
O-1: First Pay: 2021-10-25; Registration: 144X/Vqu V;
T-2: First Pay: 2021-10-25; Registration: 144U/Mpr D;
Pricing Speed
25% ZIB kw 30% Zctt
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| U-1 | REN | 265.375 | 3.61 | - | - | DDD | - | CCC | 86.50% | - | Kysuf | Lbfrb | 70h | 65 | 0.93% | 0.904% | 63.75984 |
| B-2 | JZY | 1.640 | 2.60 | - | - | D | - | ZZ | 3.16% | - | Qtfmw | Wgmfc | 325-335 | 315 | 3.86% | 3.817% | 77.78619 |
| J-3 | BVT | 17.122 | 8.24 | - | - | C | - | HH- | 92.40% | - | Ojrsf | Vygof | 110-115 | 100 | 1.29% | 1.254% | 15.37617 |
| I-1 | NXA | 96.667 | 2.40 | - | - | YYY | - | H | 7.90% | - | Pvnsl | Vknql | 170-175 | 160 | 2.30% | 2.267% | 81.78506 |
| S-2 | PYH | 30.116 | 9.45 | - | - | OO | - | QQ+ | 27.20% | - | Whmwd | Rqvou | 85-90 | 80 | 1.09% | 1.054% | 70.64360 |
| Y-1 | EJE | 7.228 | 6.60 | - | - | GG | - | SSS | 6.71% | - | Klchz | Uldvz | 250-260 | 250 | 3.20% | 3.167% | 73.96167 |
Tranche Comments
U-1: First Pay: 2021-06-25; Registration: 144M/Qlx J;
S-2: First Pay: 2021-06-25; Registration: 144M/Wsw K;
J-3: First Pay: 2021-06-25; Registration: 144Y/Xbp E;
I-1: First Pay: 2021-06-25; Registration: 144L/Hyz H;
Y-1: First Pay: 2021-06-25; Registration: 144F/Use J;
B-2: First Pay: 2021-06-25; Registration: 144M/Izj L;
Pricing Speed
25% QYG so 30% Sfsyoibx Gwvwefsyoi
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-1 | LKB | 241.820 | 8.39 | - | QQQ | - | - | DDD | 87.80% | - | Twmpc | Krmxt | 55-60 | 55 | 0.80% | 0.775% | 16.85009 |
| F-2 | HNA | 39.230 | 1.10 | - | XX | - | - | LL | 39.20% | - | Flnem | Rflgr | 75-80 | 75 | 1.00% | 0.975% | 41.18388 |
| X-1 | HYO | 7.378 | 5.30 | - | UU | - | - | HH | 8.00% | - | Diqje | Eicov | 260 | 260 | 3.14% | 3.103% | 33.75991 |
| E-2 | HHC | 2.680 | 4.80 | - | W | - | - | Y | 3.30% | - | Pjizk | Ptxhv | 360 | 360 | 4.14% | 4.103% | 34.56742 |
| G-1 | IID | 2.815 | 8.60 | - | AAA | - | - | XXX | 1.60% | - | Rkays | Xlafl | 170 | 170 | 2.23% | 2.203% | 87.80182 |
| Q-3 | TTO | 91.451 | 9.85 | - | I | - | - | F | 5.79% | - | Nuubf | Evdtc | 85-90 | 85 | 1.11% | 1.075% | 74.62598 |
Tranche Comments
C-1: First Pay: 2021-03-25; Registration: 144J/Onh B;
F-2: First Pay: 2021-03-25; Registration: 144G/Glv J;
Q-3: First Pay: 2021-03-25; Registration: 144W/Hjc Z;
G-1: First Pay: 2021-03-25; Registration: 144W/Owg K;
X-1: First Pay: 2021-03-25; Registration: 144W/Ltv W;
E-2: First Pay: 2021-03-25; Registration: 144L/Wqf D;
Pricing Speed
25% XDR qd 30% Xegg