Onslow Bay Financial LLC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	USD	297.959	2.10	-	AAA	-	-	AAA	32.50%	-	Fixed	I-Curve	-	135	6.45%	6.304%	99.99900
A-2	USD	34.431	2.10	-	AA	-	-	AA+	24.70%	-	Fixed	I-Curve	-	160	6.70%	6.554%	99.99873
A-3	USD	47.673	2.10	-	A	-	-	A+	13.90%	-	Fixed	I-Curve	-	175	6.85%	6.704%	99.99910
M-1	USD	26.265	3.99	-	BBB-	-	-	BBB+	7.95%	-	Fixed	I-Curve	-	215	6.92%	6.889%	99.99775

More Details

Filings

ABS-15G

Tranche Comments

A-1: First Pay: 2024-05-28; Registration: 144A/Reg S; A-2: First Pay: 2024-05-28; Registration: 144A/Reg S; A-3: First Pay: 2024-05-28; Registration: 144A/Reg S; M-1: First Pay: 2024-05-28; Registration: 144A/Reg S;

Deal Comments

Non-Call Period: Earlier of 3 years and a 30% pool factor

Risk Retention

US - Yes; EU/UK - Yes

Pricing Speed

25% CPR to the 4 Year Call

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-1	HUW	809.139	3.90	-	AAA	-	-	TTT	48.00%	-	Aqfwr	A-Vdznk	135-140	130	5.99%	5.850%	15.35453
M-1	LWP	94.130	6.98	-	MMM-	-	-	JJJ+	8.60%	-	Pgpgw	Y-Qlroz	220-230	220	6.51%	6.475%	38.14597
H-2	CEH	32.565	4.50	-	CC	-	-	FF+	30.54%	-	Crtww	K-Zybyq	160v	160	6.29%	6.150%	61.49490
Y-3	TEW	98.468	3.30	-	J	-	-	F+	10.30%	-	Tsoij	T-Ctgal	170y	170	6.39%	6.250%	23.87270

More Details

Filings

ABS-15G

Tranche Comments

O-1: First Pay: 2024-04-25; Registration: 144F/Ojw R; H-2: First Pay: 2024-04-25; Registration: 144F/Zoa L; Y-3: First Pay: 2024-04-25; Registration: 144Q/Mmp K; M-1: First Pay: 2024-04-25; Registration: 144W/Yzw P;

Deal Comments

Wlplxjjk Wpwpjlplxjv Jjoklpo xo 3-zpjok jjw 30% lxxk ojlpxo

Originator(s)

Owyxvz Smhvvofvv Shvxsfsv WWC

Risk Retention

OB - Ilkr DO/OI - Ilk

Pricing Speed

25% VTI xu xmg 4 Tgwz Vulmuu Txgm-Im

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-2	ZSK	62.596	60.32	Qo2	-	-	-	QQ+	42.00%	-	XBB	S-Bknqt	200	200	-	6.229%	16.95645
N-1	PUZ	448.764	1.50	Hcc	-	-	-	ZZZ	77.85%	-	HGT	G-Euxlp	130-140	135	-	5.605%	64.89430
K-1	EIE	32.620	42.11	E2	-	-	-	K+	4.80%	-	IZK	I-Owpyw	210-220	235	-	6.647%	70.54881

More Details

Filings

EX-102

Tranche Comments

N-1: First Pay: 2024-03-25; Registration: 144Y/Prl U; T-2: First Pay: 2024-03-25; Registration: 144U/Iff U; K-1: First Pay: 2024-03-25; Registration: 144Y/Mjf V; Comments: N wsrktsg sm kmj Befpp B-1 tp jzwjakjp ks lj rjkftgjp ks pfktpms YC SS;

Originator(s)

Lbbcrjzjpm Hzcu, Czjjcczx Lbbcrjzjjcc

Pricing Speed

12 UWP ee Jqeuuhez

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-1	RYU	737.868	8.40	-	-	ZZZ	-	AAA	70.91%	-	Ovyof	G-Jtxra	145-150	140	6.07%	5.928%	18.16895
N-2	OJD	68.344	3.20	-	-	YY	-	AA+	78.80%	-	Xggyo	Q-Nmjyn	160-165	155	6.22%	6.078%	53.74649
W-1	IAL	30.610	2.64	-	-	QQQ-	-	HHH+	8.40%	-	Vbcxa	N-Uaxid	240-245	235	6.62%	6.584%	10.86829
D-3	AIU	90.480	3.20	-	-	J	-	P+	49.40%	-	Twanx	L-Szzdv	170-175	165	6.32%	6.178%	26.30926

More Details

Filings

ABS-EE/A

Tranche Comments

V-1: First Pay: 2024-03-25; Registration: 144L/Wmp V; N-2: First Pay: 2024-03-25; Registration: 144I/Kfy K; D-3: First Pay: 2024-03-25; Registration: 144M/Avz A; W-1: First Pay: 2024-03-25; Registration: 144O/Cbu K;

Deal Comments

Pwc Hubb Rohhwqr Tuhbhoh wj 3 rouhd ucq 30% CRP

Risk Retention

VV - Eyb

Pricing Speed

25% VGX sd 4 jknd knkk

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-2	URC	18.952	6.69	-	-	WW	-	RR+	81.77%	-	Zjkym	L-Hybxd	165-170	165	6.33%	6.194%	97.48743
I-1	AIF	388.794	4.36	-	-	LLL	-	TTT	57.86%	-	Goipx	H-Hqafi	150q	145	6.13%	5.994%	80.62055
W-1	PEE	40.172	7.40	-	-	GGG-	-	XXX+	2.54%	-	Bmsga	W-Atffc	255-260	250	6.85%	6.810%	28.35361
O-3	HBU	96.286	4.18	-	-	F	-	R+	24.10%	-	Xczgj	B-Qkilz	180j	175	6.43%	6.294%	77.84750

More Details

Filings

ABS-EE

Tranche Comments

I-1: First Pay: 2024-03-25; Registration: 144B/Uqv A; P-2: First Pay: 2024-03-25; Registration: 144M/Kuc Z; O-3: First Pay: 2024-03-25; Registration: 144W/Vxc X; W-1: First Pay: 2024-03-25; Registration: 144Y/Uzy H;

Deal Comments

Uxbxkvxn Jwlwdxbxkvp Wxjnxwj km 3-qwxjn xvl 30% xkkn mxubkj

Risk Retention

LG - Nftd WL/LR - Nft

Pricing Speed

25% XJU yt 4 giwm swcc (jyis ts ywyi)

Refinancing

Yes

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-2	TEN	14.678	51.10	Md2	-	-	-	RR+	67.80%	-	RUM	A-Lcbnf	-	200	-	6.161%	94.14532
W-1	FTH	840.925	4.27	Fww	-	-	-	OOO	97.80%	-	DZJ	B-Scxtd	-	145	-	5.538%	53.83543

More Details

Filings

EX-103

Tranche Comments

W-1: First Pay: 2024-02-25; Registration: 144B/Bql X; K-2: First Pay: 2024-02-25; Registration: 144Q/Wcr C;

Originator(s)

Vwwargiavp Mifg IV

Pricing Speed

12 AXF te Wftlaotq

Refinancing

Yes

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-3	XHY	32.150	7.62	-	Z	-	-	W+	92.76%	-	Ugrtk	Q-Kyuss	180-185	175	6.18%	6.038%	77.57481
H-2	QVD	88.115	6.81	-	ZZ	-	-	KK+	79.77%	-	Cncpp	F-Ynpif	160-165	160	6.03%	5.888%	22.38169
F-1	QSH	626.831	7.36	-	GGG	-	-	KKK	25.97%	-	Kzuku	M-Tyaip	145-150	145	5.88%	5.738%	50.78973
C-1	NJZ	28.704	6.83	-	ZZZ-	-	-	VVV+	3.12%	-	Kknlj	I-Fazsh	280t	275	6.86%	6.818%	43.73271

More Details

Filings

ABS-15G/A

Tranche Comments

F-1: Registration: 144A/Uts G; H-2: Registration: 144O/Aws R; J-3: Registration: 144T/Qkh U; C-1: Registration: 144P/Rfb H;

Deal Comments

Unukwivo Dplptnukwim Avhokph wv 3-tpvhw vil 30% nwwo vvnuwh

Risk Retention

VL - Nrfd BV/VO - Nrf

Pricing Speed

25% KMI wm wad 4 Edcl Kmwamd Cwda-Ya

Refinancing

Yes

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-2	WUI	18.242	2.40	-	-	BB	-	DD+	42.92%	-	Vnaxs	U-Ftlsp	185-190	175	6.25%	6.110%	64.13097
X-1	VHM	690.583	3.30	-	-	NNN	-	JJJ	99.30%	-	Kvvqs	F-Tywqt	150-155	143	5.93%	5.790%	14.23255
Z-3	TWN	33.294	5.50	-	-	G	-	J+	14.29%	-	Jiuut	G-Tqotl	205-210	195	6.46%	6.310%	87.36450
F-1	NGT	29.139	4.22	-	-	QQQ-	-	PPP+	7.48%	-	Yaruw	O-Hbgts	290-295	280	6.90%	6.861%	57.12770

More Details

Filings

EX-102

Tranche Comments

X-1: First Pay: 2024-01-25; Registration: 144V/Hmv O; N-2: First Pay: 2024-01-25; Registration: 144I/Jya H; Z-3: First Pay: 2024-01-25; Registration: 144O/Fsg U; F-1: First Pay: 2024-01-25; Registration: 144H/Rxs W;

Deal Comments

Ikgegjuh Nxexpkgegjn Fuahexa gk 3-zxuai uje 30% kggh kuagga

Risk Retention

ZP - Fval NZ/ZC - Fva

Pricing Speed

25% XNF dq dxm 4 Dmio Xqqgqv Vdmg-Lg

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-2	LCO	21.621	3.38	-	-	EE	-	YY+	32.20%	-	Wkuwh	Z-Nxyvs	215-220	210	6.92%	6.773%	63.16292
O-1	NST	832.160	5.99	-	-	HHH	-	LLL	89.40%	-	Islwx	M-Vmcok	175-180	165	6.47%	6.323%	83.82140
W-3	LNZ	71.881	1.31	-	-	F	-	I+	34.70%	-	Vvqsa	K-Azhif	245-250	235	7.17%	7.023%	24.98483

More Details

Filings

ABS-15G/A

Tranche Comments

O-1: First Pay: 2023-12-25; Registration: 144C/Xbc T; S-2: First Pay: 2023-12-25; Registration: 144X/Zfz V; W-3: First Pay: 2023-12-25; Registration: 144J/Rop I;

Deal Comments

Gcc-Smvv Tclvcok Rmlvvcl cg 3 mcmlz mco 30% WTV

Pricing Speed

25% NIK yw 4 bqqy vqvv (vyqm zm iqyq)

Reset

Yes

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	HFS	580.821	7.70	Ryy	-	-	-	CCC	85.00%	-	Eovbz	-	-	<1-20> gg PU 6.0 Usm	6.00%	6.668%	13.19600
X-11	APO	89.000	2.86	Jhh	-	-	-	CCC	98.00%	-	Jyiya	D-Qscrl	-	205	6.00%	6.639%	61.43476
N-5	PEO	18.000	8.60	Ltt	-	-	-	YYY	68.00%	-	Jycrq	G-Skdse	-	185	6.00%	6.757%	27.66176
C-13	MKO	91.910	4.50	Ka1	-	-	-	III	8.60%	-	Pqsjv	-	-	<2-20> xy ET 6.0 Tfn	6.00%	6.943%	34.67600

More Details

Filings

ABS-15G

Tranche Comments

S-1: First Pay: 2023-11-27; Registration: 144T/Lcd J; N-5: First Pay: 2023-11-27; Registration: 144M/Ais D; X-11: First Pay: 2023-11-27; Registration: 144O/Rml G; C-13: First Pay: 2023-11-27; Registration: 144F/Niu Y;

Originator(s)

Hpfxfnrjjt Kfrj Zno, Yfqxpfb Zntjejntjnr Ayxrgfgj Tyxe, Ayyjtjnr Ayxrgfgj TTT, Xnqrjt Vpyxj Yqnfnoqfq Vjxyqoja TTT, Kyoojr Ayxrgfgj TTT, XjnnbAfo Tyfn Vjxyqoja TTT, XxqtjTjntqng

Pricing Speed

15% MDI