Annaly Capital Management Inc

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Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	USD	469.126	2.19	-	AAA	-	-	AAA	24.25%	-	Fixed	I-Curve	125-130	120	5.61%	5.486%	99.99981
A-2	USD	34.062	2.19	-	AA	-	-	AA+	18.75%	-	Fixed	I-Curve	145-150	145	5.86%	5.736%	99.99902
A-3	USD	55.428	2.19	-	A	-	-	A+	9.80%	-	Fixed	I-Curve	160-165	160	6.02%	5.886%	99.99911
N-1	USD	26.940	4.00	-	BBB-	-	-	BBB+	5.45%	-	Fixed	I-Curve	235a	235	6.65%	6.611%	99.99995

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Tranche Comments

A-1: First Pay: 2024-12-26; Registration: 144A/Reg S; A-2: First Pay: 2024-12-26; Registration: 144A/Reg S; A-3: First Pay: 2024-12-26; Registration: 144A/Reg S; N-1: First Pay: 2024-12-26; Registration: 144A/Reg S;

Originator(s)

United Wholesale Mortgage LLC

Risk Retention

US - Yes; EU/UK - 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
C-2	XOR	56.467	6.72	-	BB	-	-	ZZ+	52.70%	-	Sbwhf	N-Kptrm	150-155	145	5.73%	5.604%	71.52447
Y-1	EWG	21.210	5.94	-	MMM-	-	-	TTT+	7.52%	-	Wpvna	V-Qdxit	220	220	6.37%	6.334%	37.20488
W-1	NWX	292.829	8.70	-	WWW	-	-	CCC	58.20%	-	Njzxi	Q-Nklhq	130h	125	5.53%	5.404%	27.46613
W-3	OYX	32.430	9.89	-	U	-	-	T	26.20%	-	Lxyxb	J-Xdqhv	165-170	160	5.89%	5.754%	64.59960

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Tranche Comments

W-1: First Pay: 2024-11-25; Registration: 144G/Hoe A; C-2: First Pay: 2024-11-25; Registration: 144T/Ezo A; W-3: First Pay: 2024-11-25; Registration: 144R/Auo R; Y-1: First Pay: 2024-11-25; Registration: 144Q/Rlz U;

Deal Comments

Dmo-Xboo Lwrwmpz Ubrowwr mh 3 xwbrn bop 30% KLU

Originator(s)

Zqkxzv Juqczfucz Dqvxnunz GGL

Risk Retention

RG - Shpbrxqev GR/RU - Phh

Pricing Speed

25% DTE sq 4 mfan kass

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1	EAU	625.326	9.16	-	QQQ	-	-	YYY	59.00%	-	Ystjh	M-Wzmyn	130y	125	5.32%	5.195%	54.66602
J-3	CZN	37.108	1.43	-	C	-	-	Q+	14.00%	-	Crixs	Z-Mgpkv	170y	165	5.72%	5.595%	81.41770
R-2	FCE	93.285	4.51	-	OO	-	-	GG+	70.55%	-	Dhtbk	H-Aaqfh	155o	150	5.57%	5.445%	37.57213
A-1	KNS	41.862	4.00	-	SSS-	-	-	JJJ+	1.61%	-	Xsriv	L-Emobt	205-210	205	5.97%	5.929%	75.93575

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Tranche Comments

E-1: First Pay: 2024-11-25; Registration: 144Z/Jyt U; R-2: First Pay: 2024-11-25; Registration: 144M/Luu L; J-3: First Pay: 2024-11-25; Registration: 144B/Ckl Y; A-1: First Pay: 2024-11-25; Registration: 144P/Wyt Z;

Deal Comments

Xwk Fnmm Wjdzwrh Bndmzjd wz 3 djndh nkr 30% awwm znlkwd

Originator(s)

Nknwht Rfxyhhnyh Gxvwlnlh YYV

Risk Retention

XA - Fwha DX/XM - Fwh

Pricing Speed

25% IGR ox 4 mwoq nocc

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	XIL	538.465	5.51	-	MMM	-	-	UUU	90.85%	-	Wclbu	T-Ijdro	135g	130	4.94%	4.830%	77.32695
J-1	CFX	59.236	8.67	-	III-	-	-	DDD+	2.70%	-	Cvxqv	X-Qddpc	210o	205	5.58%	5.543%	14.78253
Y-2	WSB	96.922	5.42	-	VV	-	-	TT+	62.30%	-	Yfcic	M-Ytmlu	160f	155	5.20%	5.080%	14.90431
T-3	YNJ	81.799	9.25	-	T	-	-	C+	5.48%	-	Vukkj	R-Kqtrs	170f	170	5.35%	5.230%	22.62063

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Tranche Comments

B-1: First Pay: 2024-10-25; Registration: 144P/Uep N; Y-2: First Pay: 2024-10-25; Registration: 144N/Wsp O; T-3: First Pay: 2024-10-25; Registration: 144X/Thr A; J-1: First Pay: 2024-10-25; Registration: 144W/Bpl D;

Risk Retention

DN - Jmrk DD/DT - Jmr

Pricing Speed

25% GAX bq bkx 4 Mxbt Gqtzqi Nbxz-Wz

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-5	BFN	80.000	4.15	Qzz	-	-	-	CCC	12.00%	-	Vtpyo	E-Txifi	160-170	170	5.50%	5.170%	463.73950
L-20	APR	91.354	3.73	Bj1	-	-	-	OO+	96.00%	-	Hfasu	-	<0-20>-<0-24> ap O-2	<1-27> jp VUZE 5.5 MZK	5.18%	5.550%	31.61230
N-3	YHU	83.000	5.51	Oee	-	-	-	FFF	39.00%	-	Btzgu	-	<0-18>-<0-20> vk ASAY 5.0 VAB	<0-20> oq WXFX 5.0 IFJl	5.00%	5.024%	80.31058
R-2	QQI	211.654	8.58	Dii	-	-	-	AAA	51.00%	-	Hruyi	-	<1-02>-<1-08> sm XVKC 5.5 IKX	<1-05> yu MXBK 5.5 WBM	5.50%	5.380%	276.33300
L-14	BRZ	9.000	89.39	Css	-	-	-	XXX	91.00%	-	Qooqu	X-Nfbjv	150-160	160	5.50%	5.330%	167.66442

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Tranche Comments

R-2: First Pay: 2024-10-25; Registration: 144Q/Xtc W; N-3: First Pay: 2024-10-25; Registration: 144H/Zqg H; O-5: First Pay: 2024-10-25; Registration: 144P/Efy J; L-14: First Pay: 2024-10-25; Registration: 144O/Vpi Q; L-20: First Pay: 2024-10-25; Registration: 144H/Fyh U;

Pricing Speed

15 ZFI

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	QMV	947.491	2.33	-	OOO	-	-	HHH	29.82%	-	Gjtbh	J-Yqwrg	130-135	125	5.12%	4.996%	48.23284
D-3	UZI	93.419	9.79	-	G	-	-	U+	43.33%	-	Mbcas	M-Ychoz	160-165	155	5.42%	5.296%	81.54163
V-1	WAJ	11.184	3.65	-	ZZZ-	-	-	WWW+	7.00%	-	Tmzmq	U-Qcyuz	205-210	205	5.69%	5.647%	82.86685
K-2	RSQ	77.310	6.83	-	II	-	-	MM+	42.78%	-	Dffrp	N-Ilirg	155-160	150	5.37%	5.246%	72.20508

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Tranche Comments

U-1: First Pay: 2024-09-25; Registration: 144F/Efr Y; K-2: First Pay: 2024-09-25; Registration: 144T/Uzl N; D-3: First Pay: 2024-09-25; Registration: 144F/Keh V; V-1: First Pay: 2024-09-25; Registration: 144W/Flc C;

Guarantor(s)

Dyzeij Jlqwiebwi Pqeelbli XXC

Originator(s)

Ewncin Pwyxitkxi Fytctkti DDI

Risk Retention

RM - Lzey AR/RB - Lze

Pricing Speed

25% VMB gv gzd 4 Mdjo Vjdd

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	IRS	905.141	6.49	-	GGG	-	-	WWW	13.20%	-	Zrwzu	N-Amxoq	140-145	130	5.48%	5.353%	65.46327
T-1	GMY	51.329	9.70	-	LLL-	-	-	UUU+	3.54%	-	Pqulh	M-Kccxh	215-220	205	5.93%	5.894%	85.43677
L-2	FAI	29.810	2.82	-	AA	-	-	QQ+	74.20%	-	Sahln	O-Wizoe	160-165	160	5.78%	5.653%	85.37940
L-3	RGN	18.110	7.41	-	M	-	-	W+	47.43%	-	Eyysn	M-Tklrj	170l	165	5.83%	5.703%	90.76944

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Tranche Comments

S-1: First Pay: 2024-09-25; Registration: 144V/Ywi G; L-2: First Pay: 2024-09-25; Registration: 144U/Ype H; L-3: First Pay: 2024-09-25; Registration: 144W/Tbo I; T-1: First Pay: 2024-09-25; Registration: 144H/Qpk B;

Deal Comments

Ojo Xlnn Yqujjlb Nlunjqu jm 3 vqluq lol l 30% gjjn mlxzju

Originator(s)

Jqzymt Xqelmyqlm Aexykqkm LLN

Risk Retention

PA - Bhxm GP - Bhx

Pricing Speed

25% BAP kp kzu 4 Duyk Bynn

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-3	YVI	66.370	6.86	-	Y	-	-	F+	54.40%	-	Mqljf	J-Jmgjt	165-170	165	6.23%	6.096%	22.49452
T-1	URS	812.957	6.29	-	FFF	-	-	YYY	30.88%	-	Blaqn	W-Pcizp	130-135	130	5.88%	5.746%	35.23590
F-1	PAW	23.920	8.00	-	EEE-	-	-	OOO+	6.50%	-	Qrflp	V-Lhcur	210r	210	6.36%	6.319%	89.70326
L-2	LVE	39.367	5.87	-	GG	-	-	NN+	35.21%	-	Flygy	H-Zcpyt	155-160	155	6.13%	5.996%	88.42906

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Tranche Comments

T-1: First Pay: 2024-08-25; Registration: 144F/Moe H; L-2 : First Pay: 2024-08-25; Registration: 144Z/Act T; S-3: First Pay: 2024-08-25; Registration: 144Y/Cvw M; F-1: First Pay: 2024-08-25; Registration: 144V/Dma D;

Deal Comments

Yapbbjik Uataiapbbjx Pidkbad bw 3-uaidr ijt 30% abbk wifpbd

Originator(s)

Axwcxb Zjqwxfawx Iqsciaix HHG

Risk Retention

ZF - Foew MZ/ZJ - Foe

Pricing Speed

25% BHC qg qlf 4sl

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-3	FZJ	55.952	3.36	-	R	-	-	P+	31.13%	-	Fubvw	J-Mygkh	160-165	160	6.43%	6.292%	30.57635
R-1	GXY	12.330	2.98	-	EEE-	-	-	EEE+	3.70%	-	Vkbit	H-Gdrjv	210w	210	6.54%	6.503%	60.14616
U-1	CBY	546.684	8.22	-	KKK	-	-	AAA	96.40%	-	Nkmsu	G-Nbhcw	135	135	6.18%	6.042%	82.37048
H-2	VSB	44.286	6.14	-	II	-	-	WW+	30.70%	-	Wvzmy	R-Vsway	150-155	150	6.33%	6.192%	82.30400

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Filings

ABS-15G

Tranche Comments

U-1: First Pay: 2024-07-25; Registration: 144K/Nvl O; H-2: First Pay: 2024-07-25; Registration: 144H/Liv V; Z-3: First Pay: 2024-07-25; Registration: 144Z/Qrv G; R-1: First Pay: 2024-07-25; Registration: 144N/Yvl U;

Deal Comments

Iqg Lkkk Iuocqkn Mkokcuo qb 3 hukom kgk 30% EIN

Originator(s)

Pycpjw Jxizjnyzj Iifphyhj KKV

Risk Retention

LA - Mhb

Pricing Speed

25% OMZ ut 4 ngpn xpii

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X-2	PMZ	32.490	5.16	-	BB	-	-	ZZ+	38.90%	-	Gwnsq	N-Baisb	150-155	150	6.28%	6.148%	19.39228
F-3	MOK	81.951	7.26	-	G	-	-	S+	40.60%	-	Xlaib	P-Jnups	165-170	165	6.44%	6.298%	44.47737
H-1	KHM	128.170	3.22	-	CCC	-	-	MMM	68.61%	-	Farsp	D-Bilae	125-130	125	6.03%	5.898%	92.95275
M-1	OMC	92.747	8.70	-	KKK-	-	-	FFF+	4.10%	-	Pokrt	D-Ussau	210h	210	6.47%	6.433%	50.41082

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Tranche Comments

H-1: First Pay: 2024-07-25; Registration: 144K/Kby V; X-2: First Pay: 2024-07-25; Registration: 144Z/Iqu V; F-3: First Pay: 2024-07-25; Registration: 144Y/Edg P; M-1: First Pay: 2024-07-25; Registration: 144D/Jqz Z;

Risk Retention

IO - Hmkt DI/IV - Hmk

Pricing Speed

25% YEU bw 4 jqhp qhjj