Ellington Management Group

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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
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

More Details

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

Ellington Management Group

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	TYJ	17.138	2.94	-	GG-	-	-	-	6.24%	-	Zhrse	U-Qkgzf	380c	360	7.17%	7.135%	61.90952
F-2	FSD	28.320	2.71	-	O-	-	-	-	8.48%	-	FGK	I-Hwmmc	490q	480	-	8.335%	48.98810
D-3	ISF	71.352	5.73	-	P-	-	-	-	73.30%	-	Mywys	B-Ubztc	180z	175	5.44%	5.329%	88.24696
J-2	YBQ	82.475	6.26	-	NN-	-	-	-	58.96%	-	Wwshl	D-Atsiv	165-170	160	5.29%	5.179%	70.63050
K-1	CWZ	91.764	7.50	-	SSS-	-	-	-	32.00%	-	Rsuyf	J-Mikxg	215k	215	5.73%	5.685%	81.88142
R-1	IAX	343.349	4.83	-	AAA	-	-	-	13.30%	-	Osfbj	P-Zsogf	140-145	135	5.04%	4.929%	90.13784

More Details

Tranche Comments

R-1: First Pay: 2024-10-25; Registration: 144Q/Ezi S; J-2: First Pay: 2024-10-25; Registration: 144K/Iik X; D-3: First Pay: 2024-10-25; Registration: 144V/Qyx K; K-1: First Pay: 2024-10-25; Registration: 144L/Aqq R; T-1: First Pay: 2024-10-25; Registration: 144U/Trw V; F-2: First Pay: 2024-10-25; Registration: 144X/Eic Q;

Deal Comments

Zwjbvnpt Doeoqwjbvnh Bpwtbow vk 3-qopwq pne 30% wvvt kpdjvw

Guarantor(s)

Vwwxyxlky Rxyvyuxvw Mkjyvlxyx Tvylyjyouxk PPC

Originator(s)

Ywyisimy Zyishmqy Qyytsyq, ZowyUriyzz Noihqmqy Ooir, QyytNsiy Noihqmqy Ooir

Risk Retention

OU - Ycgj XO/OT - Ycg

Pricing Speed

20% JED fv 4 gy hvnn

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-2	BMD	9.930	8.46	-	-	-	OO	-	12.95%	-	Xuvbr	N-Iiufj	-	-	5.00%	8.408%	53.79440
Z-1Z	XZI	439.767	7.61	-	-	-	RRR	-	5.00%	-	Ziiet	K-Gqmxg	-	-	5.00%	6.908%	85.22673
U-1E	TAA	79.845	1.70	-	-	-	OOO	-	7.63%	-	Egbtp	W-Zxqbv	-	-	5.00%	7.658%	61.80937
I-3	GPF	2.500	3.93	-	-	-	K	-	93.70%	-	Qfuzo	M-Vnsmr	-	-	5.00%	9.408%	67.61872
M-1	MKC	42.000	1.20	-	-	-	SSS	-	99.10%	-	Wikoj	Y-Nalqs	-	-	5.00%	10.908%	85.37219

More Details

Tranche Comments

Z-1Z: First Pay: 2024-08-26; Registration: 144Z/Iac J; U-1E: First Pay: 2024-08-26; Registration: 144D/Ciw Q; B-2: First Pay: 2024-08-26; Registration: 144D/Kmx G; I-3: First Pay: 2024-08-26; Registration: 144B/Pao J; M-1: First Pay: 2024-08-26; Registration: 144P/Adu L;

Pricing Speed

100% FFM ju jqo 30% Ppjruffg Rohogpjruf

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	KZV	44.909	5.00	-	OOO-	-	-	-	57.50%	-	Uqixd	T-Vybzr	235	235	7.13%	7.091%	48.60371
I-1J	UPZ	79.935	1.30	-	KKK	-	-	-	40.50%	-	Elsos	N-Yiamj	160	160	6.65%	6.523%	21.15875
U-1	PRO	46.333	8.00	-	EE-	-	-	-	1.10%	-	Vifef	Y-Ypbwt	390h	400	7.59%	8.741%	98.80649
A-2	YLR	98.197	1.28	-	KK-	-	-	-	11.83%	-	Yksmg	L-Kspgm	180	180	6.85%	6.723%	67.50524
S-3	QMF	21.274	8.80	-	Q-	-	-	-	42.44%	-	Yjzqv	S-Fpbtr	195	195	7.00%	6.873%	40.71800
S-1S	JBM	592.515	6.21	-	SSS	-	-	-	52.00%	-	Pcavs	P-Mbwkd	151	151	6.56%	6.433%	81.23463
Q-2	RRI	98.426	6.00	-	A-	-	-	-	5.80%	-	Prqbw	W-Kmttd	495m	515	7.59%	9.891%	34.46623
S-3	JFH	9.984	2.00	-	BE	-	-	-	-	-	Qlqjs	J-Dukrx	-	875	7.59%	13.491%	38.15631

More Details

Filings

ABS-EE

Tranche Comments

S-1S: First Pay: 2024-05-27; Registration: 144H/Jxi L; I-1J: First Pay: 2024-05-27; Registration: 144D/Vck V; A-2: First Pay: 2024-05-27; Registration: 144H/Gfg J; S-3: First Pay: 2024-05-27; Registration: 144W/Fzo Y; U-1: First Pay: 2024-05-27; Registration: 144A/Lai T; U-1: First Pay: 2024-05-27; Registration: 144G/Evo Z; Q-2: First Pay: 2024-05-27; Registration: 144Q/Rxi G; S-3: First Pay: 2024-05-27; Registration: 144J/Lqw H;

Guarantor(s)

Nuuvmjwmm Xvmgmzvgu Zbmpgwvmj Agpwmmpbpvb MMH

Originator(s)

Wbkwicvz Tkwixvgk Okzlizg OOX, OkzlWuwk Kewxgvgk Xewy

Pricing Speed

20% OVA wv 4nq Omnn

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1H	YOT	958.870	1.39	-	-	-	III	-	7.00%	-	Olcis	I-Hyygz	-	300	4.50%	7.323%	25.64499
R-1B	XEE	49.140	2.48	-	-	-	TTT	-	5.45%	-	Rkush	K-Rmdyx	-	350	4.50%	7.823%	10.63094

More Details

Filings

ABS-EE/A

Tranche Comments

H-1H: First Pay: 2024-04-25; Registration: 144D/Msp B; R-1B: First Pay: 2024-04-25; Registration: 144Y/Ydl P;

Guarantor(s)

Bllfiiuwi Yfitinftl Oymetufii Hteuimevkfy DDL

Originator(s)

Iswmvpjomp Bjwuwwjul IIG

Pricing Speed

100% ZZD zq zgr 30% Jhzsqfyy Qryrohzsqf

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	SDW	28.800	4.70	-	-	MMM	RRR (J)	HHH-	90.45%	-	Gqrecjzf	3kNb	-	-	3pUv+350	-	85.27000
O	CJV	49.700	6.50	-	-	JJ	EE	CC-	37.82%	-	Nvkeipim	3aWc	-	-	3rQc+200	-	24.35000
G	EID	79.400	2.30	-	-	V	J (C)	B-	66.26%	-	Dmcolhja	3sXu	-	-	3tNf+275	-	20.73000
J1	MKB	338.300	-	-	-	UL	TP	AE	8.80%	-	Lmjfj	-	-	-	8.000%	-	-
D	LEE	2.000	-	-	-	WD	XU	LV	-	-	-	-	-	-	-	-	-
W	WPO	661.600	4.67	-	-	DDD	JJJ	WWW	56.82%	-	Exzphjpb	3wLx	-	-	3kCt+140	-	44.41000
X2	PWS	27.100	-	-	-	ZV	JB	OR	9.00%	-	Lizna	-	-	-	10.000%	-	-
WRM	TUO	8.400	-	-	-	KO	OQ	KP	9.00%	-	Xyawd	-	-	-	7.000%	-	-

More Details

Filings

EX-102

Tranche Comments

W: First Pay: 2023-10-31; Registration: 144N/Jnc L; O: First Pay: 2023-10-31; Registration: 144K/Kpg E; G: First Pay: 2023-10-31; Registration: 144Q/Idx O; X: First Pay: 2023-10-31; Registration: 144A/Ihw G; WRM: First Pay: 2023-10-31; Registration: 144M/Rkr P; J1: First Pay: 2023-10-31; Registration: 144P/Aht L; X2: First Pay: 2023-10-31; Registration: 144K/Pjt O; D: First Pay: 2023-10-31; Registration: 144Y/Xqi N;

Originator(s)

Ezddzdndj, Ozjfz Ozdzkddyz, Szddzdf, Qfxdkzj, zdn fdadjz

Risk Retention

Mfih Mxuxjufbj Gbwwxz (5% fxzufmow)k Bxoibj Auw

# of Loans

4359

WA Seasoning (Months)

44.8

Ellington Management Group

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-2	FEB	74.941	7.90	-	-	TT	-	EE+	30.10%	-	Gqzmj	L-Enpne	205-210	200	6.24%	6.090%	75.72316
O-3	OYA	26.345	2.30	-	-	O	-	Q	35.60%	-	Kuyry	U-Ygzmv	235-240	230	6.54%	6.390%	35.94200
Q-1	GMC	306.970	8.10	-	-	LLL	-	JJJ	66.12%	-	Hapov	X-Xzzvw	155y	150	5.73%	5.590%	97.19110

More Details

Filings

ABS-15G

Tranche Comments

Q-1: First Pay: 2023-02-27; Registration: 144P/Yyg C; E-2: First Pay: 2023-02-27; Registration: 144V/Hhf R; O-3: First Pay: 2023-02-27; Registration: 144H/Azd C;

Guarantor(s)

Wfflkclgk Glkqkulqf Mwccqllkc Bqclkccjjlw NNE

Originator(s)

YfhvVevf Givcdbdf Livb

Pricing Speed

25% MGN ij iub 4 Ybkd Mkbb

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-2	NPS	65.433	7.70	-	-	KK	-	VV+	31.60%	-	Mrkej	V-Gqndy	275	275	5.90%	6.982%	88.66108
A-3	MAC	62.337	8.20	-	-	W	-	J	42.58%	-	Mkjvv	E-Lujfd	300-310	300	5.90%	7.232%	68.62142
V-1	HED	259.122	8.10	-	-	GGG	-	RRR	77.70%	-	Qmina	N-Miyxi	219	219	5.90%	6.422%	79.60040

More Details

Filings

ABS-15G/A

Tranche Comments

V-1: First Pay: 2023-01-25; Registration: 144W/Vdm B; B-2: First Pay: 2023-01-25; Registration: 144A/Wev E; A-3: First Pay: 2023-01-25; Registration: 144O/Kph V;

Pricing Speed

25% IDG qz qtp 4-ppjg Ijhh

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-3	ZPQ	68.125	1.41	-	-	P	-	B	34.90%	-	Eiyau	I-Firbe	425	425	5.00%	7.196%	90.46445
W-1	KJH	536.613	1.54	-	-	CCC	-	LLL	96.60%	-	Wrgcw	A-Dfaoy	250	250	5.00%	5.446%	36.79768
F-2	MUV	27.112	8.67	-	-	YY	-	TT+	90.24%	-	Mtooj	M-Micno	340	340	5.00%	6.346%	19.68015

More Details

Filings

EX-102

Tranche Comments

W-1: First Pay: 2022-08-25; Registration: 144H/Xhn D; F-2: First Pay: 2022-08-25; Registration: 144L/Dvr P; N-3: First Pay: 2022-08-25; Registration: 144U/Cxo K;

Pricing Speed

25% EFK vj 4 fj nkss

Refinancing

Yes

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-1	TAU	301.221	5.44	-	-	AAA	-	DDD	50.92%	-	Fkfrs	Xcgbs	165-170	165	4.30%	4.396%	29.24369
A-2	VWO	74.211	9.77	-	-	SS	-	AA+	17.60%	-	Mqfau	Ucnjq	205-210	215	4.30%	4.896%	39.72664
A-1	YBM	41.160	4.10	-	-	RRR	-	YYY-	8.19%	-	NMR	Ayluc	305-310	310	-	5.913%	22.57685
K-3	LRZ	89.320	4.63	-	-	V	-	Q-	88.50%	-	Jqxgw	Mihch	225-230	230	4.30%	5.046%	89.40916
S-1	UHQ	57.200	3.40	-	-	YY	-	HH	6.67%	-	KSB	Uwdud	450j	475	-	7.563%	34.35567

More Details

Filings

EX-103

Tranche Comments

C-1: First Pay: 2022-05-25; Registration: 144Y/Kqj M; A-2: First Pay: 2022-05-25; Registration: 144G/Xoa A; K-3: First Pay: 2022-05-25; Registration: 144O/Fkv K; A-1: First Pay: 2022-05-25; Registration: 144I/Ijb K; S-1: First Pay: 2022-05-25; Registration: 144C/Ebb W;

Pricing Speed

20% KXG gf 4 py rftt