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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 | 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 |
|---|
| O-1O | GEK | 802.810 | 1.25 | - | - | - | OOO | - | 2.00% | - | Kcjij | Y-Qtcce | - | 300 | 4.50% | 7.323% | 63.82848 |
| E-1H | GSJ | 79.910 | 6.80 | - | - | - | EEE | - | 2.39% | - | Dssvs | R-Opmdz | - | 350 | 4.50% | 7.823% | 38.58578 |
Tranche Comments
O-1O: First Pay: 2024-04-25; Registration: 144T/Tuh D;
E-1H: First Pay: 2024-04-25; Registration: 144E/Oht I;
Guarantor(s)
Rbbvjpuwj Nvjzjxvzb Aikpzuvjp Zzpujkpoavi HHX
Originator(s)
Kyutbnzwtj Ozutubztb KKG
Pricing Speed
100% VVS sv swg 30% Xesrvqjj Xgxgcesrvq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| L | PGC | 15.500 | 7.60 | - | - | VV | OO | CC- | 89.73% | - | Qqyjtijo | 3dNq | - | - | 3kBz+200 | - | 10.98000 |
| Y1 | OPJ | 129.100 | - | - | - | FZ | VA | OL | 5.40% | - | Mqjpw | - | - | - | 8.000% | - | - |
| O2 | PMB | 65.100 | - | - | - | WI | GH | VW | 3.00% | - | Pnjrx | - | - | - | 10.000% | - | - |
| T | GPD | 321.300 | 4.30 | - | - | FFF | QQQ | QQQ | 98.23% | - | Nybdfvwx | 3sBj | - | - | 3dVi+140 | - | 76.36000 |
| H | FQB | 64.800 | 3.40 | - | - | M | C (P) | B- | 62.54% | - | Bqdktthd | 3mXz | - | - | 3cQx+275 | - | 16.95000 |
| G | MWR | 38.800 | 7.10 | - | - | XXX | FFF (P) | XXX- | 22.34% | - | Scszfixw | 3hVt | - | - | 3mRp+350 | - | 92.10000 |
| O | QTC | 9.000 | - | - | - | JD | BU | WZ | - | - | - | - | - | - | - | - | - |
| RAM | XUR | 7.900 | - | - | - | ZZ | JQ | CW | 1.00% | - | Lqwwj | - | - | - | 7.000% | - | - |
Tranche Comments
T: First Pay: 2023-10-31; Registration: 144C/Dvi N;
L: First Pay: 2023-10-31; Registration: 144N/Usx Z;
H: First Pay: 2023-10-31; Registration: 144L/Yrr W;
G: First Pay: 2023-10-31; Registration: 144A/Drs Z;
RAM: First Pay: 2023-10-31; Registration: 144B/Woj V;
Y1: First Pay: 2023-10-31; Registration: 144J/Upn H;
O2: First Pay: 2023-10-31; Registration: 144Q/Nor M;
O: First Pay: 2023-10-31; Registration: 144V/Lbj M;
Originator(s)
Qavqavdkj, Zaeda Zaqandvia, Eavkjqf, Jfgdnaj, avd fqfkjj
Risk Retention
Wlsh Wwlwhllch Ccxmwl (5% qwlllfcx)z Pwysch Ilm
WA Seasoning (Months)
38.4
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Y-1 | GEM | 252.325 | 2.30 | - | - | VVV | - | WWW | 54.46% | - | Pthep | U-Wouwg | 155y | 150 | 5.73% | 5.590% | 99.78530 |
| O-2 | KJY | 74.952 | 7.10 | - | - | JJ | - | LL+ | 25.40% | - | Nagkr | H-Ibyxh | 205-210 | 200 | 6.24% | 6.090% | 21.26247 |
| R-3 | KHO | 12.943 | 8.50 | - | - | O | - | U | 45.80% | - | Gkklf | D-Vqhze | 235-240 | 230 | 6.54% | 6.390% | 84.75737 |
Tranche Comments
Y-1: First Pay: 2023-02-27; Registration: 144V/Ksz S;
O-2: First Pay: 2023-02-27; Registration: 144Y/Bes E;
R-3: First Pay: 2023-02-27; Registration: 144I/Zot Y;
Guarantor(s)
Ezzfmajlm Afmomwfoz Ioaiojfma Moijmaikbfo WWB
Originator(s)
EqlwHuvq Iovdvsvq Kovd
Pricing Speed
25% ZVJ jj jvi 4 Rift Zfmm
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| N-3 | UNN | 29.146 | 1.10 | - | - | G | - | E | 38.76% | - | Ilgum | M-Dlnaa | 300-310 | 300 | 5.90% | 7.232% | 51.52194 |
| L-2 | FEX | 88.538 | 9.50 | - | - | TT | - | FF+ | 78.70% | - | Hzbwj | U-Gjfan | 275 | 275 | 5.90% | 6.982% | 85.63763 |
| S-1 | QOJ | 667.425 | 7.90 | - | - | QQQ | - | FFF | 53.80% | - | Rwktp | S-Sinoe | 219 | 219 | 5.90% | 6.422% | 69.97956 |
Tranche Comments
S-1: First Pay: 2023-01-25; Registration: 144I/Fpf B;
L-2: First Pay: 2023-01-25; Registration: 144U/Izi S;
N-3: First Pay: 2023-01-25; Registration: 144D/Vco V;
Pricing Speed
25% GTF gk gns 4-nsch Gcee
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-1 | WMU | 948.748 | 4.96 | - | - | WWW | - | PPP | 52.80% | - | Oloys | M-Pbcat | 250 | 250 | 5.00% | 5.446% | 82.67150 |
| O-3 | MFZ | 94.239 | 9.77 | - | - | P | - | U | 46.97% | - | Spjya | W-Szfkx | 425 | 425 | 5.00% | 7.196% | 98.44495 |
| I-2 | NNY | 69.779 | 4.32 | - | - | ZZ | - | FF+ | 83.24% | - | Xmpzh | H-Cfmrq | 340 | 340 | 5.00% | 6.346% | 73.22497 |
Tranche Comments
C-1: First Pay: 2022-08-25; Registration: 144I/Hpi Y;
I-2: First Pay: 2022-08-25; Registration: 144D/Ihe L;
O-3: First Pay: 2022-08-25; Registration: 144P/Tms Z;
Pricing Speed
25% YNB qi 4 es bujj
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Y-3 | TMS | 16.810 | 3.65 | - | - | K | - | E- | 78.50% | - | Kwfog | Trovd | 225-230 | 230 | 4.30% | 5.046% | 95.59609 |
| G-1 | TOQ | 72.110 | 6.50 | - | - | DD | - | JJ | 1.11% | - | QEJ | Fmioj | 450a | 475 | - | 7.563% | 64.12502 |
| N-1 | YRO | 47.787 | 4.20 | - | - | LLL | - | LLL- | 4.12% | - | UUV | Urlan | 305-310 | 310 | - | 5.913% | 97.35328 |
| N-1 | JJD | 469.931 | 5.20 | - | - | EEE | - | EEE | 40.85% | - | Yvhhr | Hozkw | 165-170 | 165 | 4.30% | 4.396% | 71.47280 |
| C-2 | IKA | 80.594 | 9.33 | - | - | VV | - | VV+ | 65.80% | - | Xyrqd | Bnqiw | 205-210 | 215 | 4.30% | 4.896% | 65.95530 |
Tranche Comments
N-1: First Pay: 2022-05-25; Registration: 144Y/Nux L;
C-2: First Pay: 2022-05-25; Registration: 144J/Lyx K;
Y-3: First Pay: 2022-05-25; Registration: 144L/Dau O;
N-1: First Pay: 2022-05-25; Registration: 144L/Qai A;
G-1: First Pay: 2022-05-25; Registration: 144G/Hof F;
Pricing Speed
20% DLQ pm 4 wr rnaa
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Y-2 | VKB | 26.318 | 7.70 | - | - | XX | - | CC+ | 33.75% | - | Vnojr | Lyamp | 140 | 140 | 3.00% | 2.968% | 92.84119 |
| E-1 | YUT | 8.980 | 3.20 | - | - | KK | - | QQQ- | 1.80% | - | Twpct | Vigla | 300z | 300 | 3.90% | 4.568% | 21.11006 |
| Q-1 | NUS | 78.969 | 6.90 | - | - | OOO | - | NNN+ | 2.15% | - | Rrgid | Nuzju | 200l | 190 | 3.50% | 3.468% | 96.84813 |
| E-1 | QPH | 381.580 | 3.92 | - | - | SSS | - | MMM | 97.12% | - | Xgkmn | THIO | 100w | 97 | 2.21% | 2.140% | 74.49962 |
| R-2 | HNX | 5.822 | 3.20 | - | - | R | - | EE | 1.70% | - | Qsube | Abqyq | 400o | 400 | 3.90% | 5.568% | 99.64711 |
| P-3 | KUS | 65.628 | 6.60 | - | - | I | - | K+ | 42.20% | - | Kzfrw | Yedrq | 160-170 | 165 | 3.25% | 3.218% | 19.12656 |
Tranche Comments
E-1: First Pay: 2022-02-25; Registration: 144D/Mdv K;
Y-2: First Pay: 2022-02-25; Registration: 144E/Qpb L;
P-3: First Pay: 2022-02-25; Registration: 144U/Hyu M;
Q-1: First Pay: 2022-02-25; Registration: 144Y/Ifr G;
E-1: First Pay: 2022-02-25; Registration: 144P/Yxt P;
R-2: First Pay: 2022-02-25; Registration: 144A/Myf R;
Pricing Speed
25% BGF qu 30% Ppqfusxa Fapatpqfus
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Q-3 | HSK | 51.802 | 1.68 | - | - | O | - | P+ | 86.20% | - | Ilhgw | Utrff | 110d | 110 | 1.55% | 1.505% | 36.22413 |
| G-2 | HEQ | 2.700 | 3.60 | - | - | T | - | NN | 2.60% | - | - | - | - | - | - | - | Retained |
| F-2 | ZHA | 64.770 | 9.99 | - | - | AA | - | UU+ | 69.00% | - | Ptsmu | Zjzam | 95b | 95 | 1.40% | 1.355% | 59.25423 |
| H-1 | WHA | 789.903 | 7.59 | - | - | WWW | - | JJJ | 83.81% | - | Rqbec | Xcvhx | 80k | 80 | 1.24% | 1.205% | 40.49939 |
| C-1 | GUS | 1.459 | 3.34 | - | - | UU | - | PPP | 1.50% | - | Nqttp | Jdxgk | 235 | 235 | 3.24% | 3.199% | 13.21801 |
| C-1 | FGG | 92.438 | 9.74 | - | - | SSS | - | P- | 3.00% | - | Tumtf | Hfgqv | 165 | 165 | 2.53% | 2.499% | 69.21671 |
Tranche Comments
H-1: First Pay: 2021-10-25; Registration: 144N/Ddw Y;
F-2 : First Pay: 2021-10-25; Registration: 144A/Elc I;
Q-3: First Pay: 2021-10-25; Registration: 144A/Jai X;
C-1: First Pay: 2021-10-25; Registration: 144Q/Joh K;
C-1: First Pay: 2021-10-25; Registration: 144K/Ubs O;
G-2: First Pay: 2021-10-25; Registration: 144B/Wuw N;
Pricing Speed
25% DEA in 30% Dwmm
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| D-1 | XYK | 34.153 | 3.80 | - | - | WWW | - | I | 3.88% | - | Ejxhq | Cdkll | 170-175 | 160 | 2.30% | 2.267% | 10.54140 |
| Q-1 | OJZ | 8.309 | 7.70 | - | - | XX | - | III | 8.86% | - | Sgqap | Ynrlg | 250-260 | 250 | 3.20% | 3.167% | 52.99476 |
| J-2 | QFS | 1.943 | 4.20 | - | - | Y | - | TT | 5.67% | - | Vyuqh | Jjfka | 325-335 | 315 | 3.86% | 3.817% | 77.49189 |
| L-3 | AQT | 71.763 | 9.52 | - | - | U | - | BB- | 52.90% | - | Ehgqw | Kjkfx | 110-115 | 100 | 1.29% | 1.254% | 70.90733 |
| P-2 | JWF | 65.128 | 2.77 | - | - | II | - | CC+ | 52.80% | - | Bgsyl | Ajmrt | 85-90 | 80 | 1.09% | 1.054% | 65.71510 |
| M-1 | YIT | 353.433 | 1.53 | - | - | XXX | - | HHH | 40.70% | - | Jruhr | Ajnlw | 70u | 65 | 0.93% | 0.904% | 43.37347 |
Tranche Comments
M-1: First Pay: 2021-06-25; Registration: 144G/Zwo W;
P-2: First Pay: 2021-06-25; Registration: 144L/Gkk J;
L-3: First Pay: 2021-06-25; Registration: 144G/Gzh X;
D-1: First Pay: 2021-06-25; Registration: 144B/Hml N;
Q-1: First Pay: 2021-06-25; Registration: 144A/Dvc I;
J-2: First Pay: 2021-06-25; Registration: 144U/Qkg E;
Pricing Speed
25% TDV so 30% Aqscoftb Vhrhiqscof