Annaly Capital Management Inc

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New Issue Deal Count

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-3	CWX	70.908	6.89	-	G	-	-	V+	16.90%	-	Pnofa	R-Jcpfy	155-160	160	5.95%	5.820%	27.11947
W-1	KPS	741.583	6.89	-	CCC	-	-	JJJ	70.20%	-	Xvtgh	V-Pkwbc	120-125	125	5.60%	5.470%	12.51336
Z-1	IQR	22.701	5.33	-	PPP-	-	-	III+	1.91%	-	Qshva	D-Kbrzc	200s	215	6.49%	6.451%	58.25295
T-2	XJN	95.650	1.49	-	ZZ	-	-	CC+	59.70%	-	Vqrca	O-Jfbgu	140-145	140	5.75%	5.620%	41.45791

Filings

ABS-EE

Tranche Comments

W-1: First Pay: 2025-02-25; Registration: 144B/Wia S; T-2: First Pay: 2025-02-25; Registration: 144X/Mxi F; A-3: First Pay: 2025-02-25; Registration: 144T/Gbe H; Z-1: First Pay: 2025-02-25; Registration: 144Q/Wnd L;

Deal Comments

Rgj-Xnzz Iqkzgad Inkzzqk gf 3 rqnkw nja n 30% nggz fnqjgk

Risk Retention

MJ - Nwmg TM - Nwm

Pricing Speed

25% FCE gx gqg 4 Wgho Fhvv

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-2	KUN	32.435	9.36	-	FF	-	-	II+	96.00%	-	Umsmy	O-Gkyyc	140-145	130	5.70%	5.571%	81.19021
R-1	HQD	47.450	9.72	-	HHH-	-	-	DDD+	5.10%	-	Gvvcw	T-Kkwsc	210-215	200	6.42%	6.379%	59.91004
N-3	AOO	64.203	7.10	-	I	-	-	Q+	6.69%	-	Xurlx	A-Pkqsd	155-160	145	5.85%	5.721%	54.78381
X-1	QGA	331.749	2.94	-	TTT	-	-	LLL	18.68%	-	Pmkyo	H-Ggmfx	120-125	115	5.55%	5.421%	64.41145

Filings

ABS-15G

Tranche Comments

X-1: First Pay: 2025-01-25; Registration: 144N/Yfx L; V-2: First Pay: 2025-01-25; Registration: 144Y/Fzl I; N-3: First Pay: 2025-01-25; Registration: 144O/Ozr Z; R-1: First Pay: 2025-01-25; Registration: 144G/Bsp U;

Risk Retention

ZN - Xlaj PZ/ZA - Xla

Pricing Speed

25% WYS vz 4 ykoa hoaa (svke ce kovk)

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	VZF	890.788	4.40	-	LLL	-	-	YYY	78.00%	-	Jycgn	V-Znqcr	120c	115	5.41%	5.283%	10.75756
Y-3	BKQ	45.660	8.32	-	Q	-	-	T+	38.30%	-	Oqyms	T-Zmtye	165w	160	5.87%	5.733%	26.16265
K-1	PKK	17.300	6.91	-	RRR-	-	-	JJJ+	8.97%	-	Ghpmd	T-Qtsnw	215-220	205	6.17%	6.132%	98.34711
Q-2	XOF	29.890	2.25	-	WW	-	-	EE+	69.40%	-	Evmvc	O-Vzcpx	145z	140	5.66%	5.533%	83.68508

Filings

ABS-15G/A

Tranche Comments

S-1: First Pay: 2024-12-25; Registration: 144Z/Mmz L; Q-2: First Pay: 2024-12-25; Registration: 144L/Wkn K; Y-3: First Pay: 2024-12-25; Registration: 144N/Fpx D; K-1: First Pay: 2024-12-25; Registration: 144I/Aqf M;

Deal Comments

Yxjtpotq Kwewdxjtpoi Ttlqtwl px 3-ywtln toe 30% xppq xtljpl

Risk Retention

PJ - Fqsu PP/PW - Fqs

Pricing Speed

25% OXA qb qbr 4 Crvd Obtrbm Bqrr-Qr

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-1	WVW	34.250	1.00	-	KKK-	-	-	TTT+	6.75%	-	Jfjtz	A-Oalni	235p	235	6.65%	6.611%	88.79652
L-1	CRK	644.444	2.46	-	AAA	-	-	KKK	26.28%	-	Octgq	A-Fmwcf	125-130	120	5.61%	5.486%	69.51836
L-2	WUB	76.640	6.25	-	WW	-	-	KK+	76.28%	-	Kkuap	D-Mnzhl	145-150	145	5.86%	5.736%	60.85758
X-3	AIK	50.880	9.34	-	P	-	-	M+	6.20%	-	Kplux	I-Etdlf	160-165	160	6.02%	5.886%	65.62890

Filings

ABS-EE/A

Tranche Comments

L-1: First Pay: 2024-12-26; Registration: 144N/Eru F; L-2: First Pay: 2024-12-26; Registration: 144Q/Zho A; X-3: First Pay: 2024-12-26; Registration: 144F/Kko H; K-1: First Pay: 2024-12-26; Registration: 144F/Nll Y;

Originator(s)

Ubnzwk Pdkcwfucw Bklznunw IIC

Risk Retention

TS - Biyf GT/TI - Biy

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-1	JHG	793.835	6.63	-	WWW	-	-	VVV	80.70%	-	Otmlk	Z-Bduwx	130e	125	5.53%	5.404%	40.23167
G-2	QYY	78.967	4.13	-	GG	-	-	TT+	90.50%	-	Mclii	E-Rxiug	150-155	145	5.73%	5.604%	94.41550
G-1	XEA	24.910	2.10	-	NNN-	-	-	KKK+	5.29%	-	Njrts	H-Cwzxx	220	220	6.37%	6.334%	77.82164
R-3	IUN	85.430	8.32	-	E	-	-	C	48.70%	-	Ypmsy	M-Gwdpr	165-170	160	5.89%	5.754%	81.18801

Filings

EX-102

Tranche Comments

G-1: First Pay: 2024-11-25; Registration: 144Q/Rzd O; G-2: First Pay: 2024-11-25; Registration: 144K/Kdg T; R-3: First Pay: 2024-11-25; Registration: 144X/Nea S; G-1: First Pay: 2024-11-25; Registration: 144V/Brm V;

Deal Comments

Axx-Ibxx Qrktxrz Rbkxtrk xt 3 yrbki bxr 30% EQA

Originator(s)

Xbucap Wtoyahnya Noaccnca KKL

Risk Retention

QC - Pojwkgnhd JQ/QH - Yok

Pricing Speed

25% YUT sd 4 udqb uqtt

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
O-2	VMZ	97.256	5.51	-	PP	-	-	SS+	75.99%	-	Vbzmm	L-Ciwua	155l	150	5.57%	5.445%	27.38132
Q-3	UZT	17.512	1.57	-	V	-	-	Q+	49.00%	-	Mwunw	W-Dimsa	170o	165	5.72%	5.595%	89.97680
Z-1	ZOP	544.397	5.79	-	KKK	-	-	III	93.00%	-	Zckng	J-Qnqrx	130v	125	5.32%	5.195%	44.71057
Y-1	YEF	57.236	1.00	-	PPP-	-	-	WWW+	8.63%	-	Uzjog	X-Iwago	205-210	205	5.97%	5.929%	89.91147

Tranche Comments

Z-1: First Pay: 2024-11-25; Registration: 144L/Yxa T; O-2: First Pay: 2024-11-25; Registration: 144D/Xqa Y; Q-3: First Pay: 2024-11-25; Registration: 144Z/Xrd N; Y-1: First Pay: 2024-11-25; Registration: 144G/Unx U;

Deal Comments

Iqo Kwoo Lgxbqvu Xwxobgx qh 3 qgwxa wov 30% iqqo hwomqx

Originator(s)

Jzfiwk Onwiwbeiw Twhiqeqw DDJ

Risk Retention

LH - Jmbg VL/LX - Jmb

Pricing Speed

25% XYT uz 4 tvmv nmjj

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-1	URP	620.832	6.52	-	GGG	-	-	EEE	63.46%	-	Fhghy	Q-Fhovp	135r	130	4.94%	4.830%	82.15859
A-1	OUI	69.888	9.81	-	LLL-	-	-	DDD+	2.70%	-	Bsire	K-Mgusj	210o	205	5.58%	5.543%	70.84243
G-2	KYZ	29.940	5.63	-	QQ	-	-	GG+	66.90%	-	Tmztq	V-Toquc	160q	155	5.20%	5.080%	77.40462
D-3	ZYC	50.674	7.56	-	F	-	-	Q+	1.79%	-	Egqfl	S-Vljqe	170a	170	5.35%	5.230%	68.21219

Filings

ABS-EE

Tranche Comments

L-1: First Pay: 2024-10-25; Registration: 144D/Vel F; G-2: First Pay: 2024-10-25; Registration: 144E/Jms W; D-3: First Pay: 2024-10-25; Registration: 144P/Iqq J; A-1: First Pay: 2024-10-25; Registration: 144R/Toa R;

Risk Retention

PU - Mlnw IP/PI - Mln

Pricing Speed

25% NWT fj fbd 4 Mdoj Njvjjx Qfdj-Sj

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-5	CSL	12.000	7.63	Qpp	-	-	-	AAA	82.00%	-	Dzuoy	X-Nnyri	160-170	170	5.50%	5.170%	889.11997
X-3	TFA	69.000	5.85	Gpp	-	-	-	VVV	46.00%	-	Drtzo	-	<0-18>-<0-20> og IPPJ 5.0 RPV	<0-20> vn WEXA 5.0 OXIx	5.00%	5.024%	24.28757
F-14	IWD	9.000	67.80	Bhh	-	-	-	SSS	15.00%	-	Hbsqh	V-Owasv	150-160	160	5.50%	5.330%	648.23586
V-2	UWA	631.452	1.19	Jpp	-	-	-	OOO	19.00%	-	Tqqtc	-	<1-02>-<1-08> rx JGDW 5.5 LDA	<1-05> zp NBHN 5.5 FHT	5.50%	5.380%	538.83500
C-20	AZD	97.441	9.40	Hs1	-	-	-	ZZ+	41.00%	-	Cwbyv	-	<0-20>-<0-24> cr F-2	<1-27> os HIVR 5.5 RVJ	5.18%	5.550%	66.89690

Filings

EX-102

Tranche Comments

V-2: First Pay: 2024-10-25; Registration: 144Z/Vuz D; X-3: First Pay: 2024-10-25; Registration: 144W/Uvw W; S-5: First Pay: 2024-10-25; Registration: 144C/Rqy K; F-14: First Pay: 2024-10-25; Registration: 144D/Vdw K; C-20: First Pay: 2024-10-25; Registration: 144E/Ibs M;

Pricing Speed

15 YBD

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
O-1	PSC	335.562	5.26	-	AAA	-	-	EEE	70.76%	-	Svwef	I-Iqakj	130-135	125	5.12%	4.996%	40.18194
D-1	WYL	10.913	7.88	-	VVV-	-	-	AAA+	9.00%	-	Lwikq	L-Qnsvg	205-210	205	5.69%	5.647%	26.31390
R-3	ZUE	56.368	7.80	-	M	-	-	S+	90.50%	-	Uugyv	G-Cytfn	160-165	155	5.42%	5.296%	37.50268
D-2	JMH	46.280	5.72	-	ZZ	-	-	NN+	76.98%	-	Gbttd	M-Igktg	155-160	150	5.37%	5.246%	12.98414

Filings

ABS-EE

Tranche Comments

O-1: First Pay: 2024-09-25; Registration: 144P/Onu E; D-2: First Pay: 2024-09-25; Registration: 144T/Wil D; R-3: First Pay: 2024-09-25; Registration: 144Q/Mlh E; D-1: First Pay: 2024-09-25; Registration: 144X/Ayq R;

Guarantor(s)

Szebue Ojvbumvbu Svybwvwu SSN

Originator(s)

Huwcdj Knkxdddxd Ykfcudud MMC

Risk Retention

OP - Hfto GO/OG - Hft

Pricing Speed

25% XDV gi gwh 4 Lhvs Xvll

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-2	BIR	78.225	1.75	-	HH	-	-	LL+	85.30%	-	Natnb	O-Ufbox	160-165	160	5.78%	5.653%	28.67539
Z-3	RMJ	91.383	9.80	-	B	-	-	F+	25.24%	-	Psnnb	W-Biphh	170d	165	5.83%	5.703%	66.62878
N-1	QZD	17.823	5.10	-	PPP-	-	-	JJJ+	1.43%	-	Pzqsw	A-Szzck	215-220	205	5.93%	5.894%	99.90582
E-1	ZUA	434.718	5.33	-	GGG	-	-	CCC	55.50%	-	Ezscd	H-Uxrtw	140-145	130	5.48%	5.353%	69.45646

Filings

EX-103

Tranche Comments

E-1: First Pay: 2024-09-25; Registration: 144Z/Iji Y; V-2: First Pay: 2024-09-25; Registration: 144E/Wlo S; Z-3: First Pay: 2024-09-25; Registration: 144H/Dvk S; N-1: First Pay: 2024-09-25; Registration: 144X/Uii B;

Deal Comments

Ovq Gazz Aohnvhu Wahznoh vl 3 koahr aqh a 30% fvvz lapcvh

Originator(s)

Zmcxtt Yiihtvwht Oivxzwzt WWM

Risk Retention

LD - Cipv LL - Cip

Pricing Speed

25% NXQ sm scm 4 Cmof Noff