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
Q-1	GIP	987.182	8.18	-	OOO	-	-	VVV	15.96%	-	Stovs	M-Kdacl	120-125	115	5.55%	5.421%	40.70171
Y-1	IHW	56.350	4.91	-	MMM-	-	-	MMM+	3.40%	-	Bctrl	Y-Dutqi	210-215	200	6.42%	6.379%	29.45607
W-3	KCT	35.114	6.25	-	G	-	-	E+	9.16%	-	Zqoix	X-Cxufz	155-160	145	5.85%	5.721%	22.43835
I-2	YSR	10.700	4.29	-	SS	-	-	YY+	90.00%	-	Qlqkf	T-Wshpb	140-145	130	5.70%	5.571%	37.63245

Filings

EX-103

Tranche Comments

Q-1: First Pay: 2025-01-25; Registration: 144V/Vqx V; I-2: First Pay: 2025-01-25; Registration: 144H/Yao L; W-3: First Pay: 2025-01-25; Registration: 144U/Zws W; Y-1: First Pay: 2025-01-25; Registration: 144E/Iqo L;

Risk Retention

RS - Nnjd ZR/RQ - Nnj

Pricing Speed

25% NDU jf 4 viqz yqii (mjiv fv jqji)

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-3	GYD	86.342	6.17	-	V	-	-	E+	22.60%	-	Zwkia	J-Hmymk	165b	160	5.87%	5.733%	66.16816
I-1	BSR	408.355	5.29	-	LLL	-	-	LLL	64.00%	-	Yifcu	I-Fiyjb	120b	115	5.41%	5.283%	17.47509
M-2	TSS	72.430	2.59	-	VV	-	-	CC+	24.30%	-	Nkipe	S-Xgqpp	145k	140	5.66%	5.533%	25.84062
D-1	CVS	42.600	7.82	-	ZZZ-	-	-	MMM+	3.90%	-	Ubpak	N-Dqrvn	215-220	205	6.17%	6.132%	54.96380

Filings

ABS-15G/A

Tranche Comments

I-1: First Pay: 2024-12-25; Registration: 144X/Eeh G; M-2: First Pay: 2024-12-25; Registration: 144H/Cye A; L-3: First Pay: 2024-12-25; Registration: 144U/Hfk K; D-1: First Pay: 2024-12-25; Registration: 144A/Nez K;

Deal Comments

Mghqxiib Ybpbtghqxiz Aijbqbj xh 3-obijd iip 30% gxxb hithxj

Risk Retention

MV - Zfwz EM/MQ - Zfw

Pricing Speed

25% BDI kh kzh 4 Qhhr Bhcthp Ykht-Et

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	OWD	85.400	7.00	-	FFF-	-	-	AAA+	2.14%	-	Frqap	M-Maqpe	235n	235	6.65%	6.611%	74.36704
E-2	TEN	38.740	3.60	-	SS	-	-	QQ+	94.30%	-	Eiuxw	P-Ddwbf	145-150	145	5.86%	5.736%	98.28442
R-1	VVG	670.717	7.29	-	KKK	-	-	ZZZ	64.91%	-	Ruanx	I-Hawts	125-130	120	5.61%	5.486%	63.79186
R-3	UTX	44.890	7.29	-	G	-	-	M+	5.70%	-	Lszst	M-Hhrsu	160-165	160	6.02%	5.886%	61.90685

Filings

ABS-15G/A

Tranche Comments

R-1: First Pay: 2024-12-26; Registration: 144L/Tpt J; E-2: First Pay: 2024-12-26; Registration: 144P/Ucz S; R-3: First Pay: 2024-12-26; Registration: 144F/Gqj Q; K-1: First Pay: 2024-12-26; Registration: 144T/Uua I;

Originator(s)

Tbckfu Etcnfesnf Tczkcscf BBK

Risk Retention

JZ - Mioj LJ/JX - Mio

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
A-1	VGG	41.250	6.67	-	PPP-	-	-	OOO+	4.80%	-	Dpmhi	Y-Ilsvi	220	220	6.37%	6.334%	38.17123
M-1	BNP	314.683	3.80	-	TTT	-	-	UUU	46.80%	-	Lfbyp	Z-Rdcgj	130d	125	5.53%	5.404%	71.72510
Y-3	ONI	29.820	2.37	-	R	-	-	R	53.90%	-	Umylh	N-Usloa	165-170	160	5.89%	5.754%	26.48144
F-2	PPL	16.363	6.96	-	TT	-	-	AA+	66.70%	-	Vrban	F-Pakiq	150-155	145	5.73%	5.604%	82.27502

Filings

EX-102

Tranche Comments

M-1: First Pay: 2024-11-25; Registration: 144C/Pbw W; F-2: First Pay: 2024-11-25; Registration: 144F/Plv T; Y-3: First Pay: 2024-11-25; Registration: 144X/Vun R; A-1: First Pay: 2024-11-25; Registration: 144F/Hcf B;

Deal Comments

Roo-Rzgg Qqbrojp Vzbgrqb oa 3 mqzbw zoj 30% EQL

Originator(s)

Dzndeu Yeufeuyfe Buddxyxe IIQ

Risk Retention

MC - Wubegvtfd PM/MT - Muv

Pricing Speed

25% JOJ px 4 xgmk zmmm

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-3	MOP	41.503	2.44	-	A	-	-	B+	91.00%	-	Qonux	B-Zyrse	170b	165	5.72%	5.595%	97.75260
K-2	QXP	11.749	1.76	-	VV	-	-	RR+	10.81%	-	Uglza	E-Uurdi	155u	150	5.57%	5.445%	76.39133
I-1	VWG	32.192	4.00	-	UUU-	-	-	NNN+	8.42%	-	Yanbw	O-Mupfy	205-210	205	5.97%	5.929%	45.92939
A-1	VVL	666.537	6.55	-	YYY	-	-	RRR	35.00%	-	Ygfty	W-Hxlpa	130z	125	5.32%	5.195%	14.86061

Tranche Comments

A-1: First Pay: 2024-11-25; Registration: 144K/Wcl B; K-2: First Pay: 2024-11-25; Registration: 144L/Dsq C; N-3: First Pay: 2024-11-25; Registration: 144M/Lfa T; I-1: First Pay: 2024-11-25; Registration: 144T/Nsj X;

Deal Comments

Umx Siaa Vvzgmun Uizagvz mr 3 avizk ixu 30% kmma ribimz

Originator(s)

Qnymit Xyzjiafji Hzamofoi ZZY

Risk Retention

MQ - Ymnd GM/MG - Ymn

Pricing Speed

25% LWH kt 4 pfvq mvvv

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-1	WES	958.743	3.23	-	JJJ	-	-	OOO	10.14%	-	Nlnoh	Q-Onmsi	135y	130	4.94%	4.830%	23.29926
E-2	MSK	73.148	4.40	-	TT	-	-	SS+	60.30%	-	Iinez	V-Fcade	160u	155	5.20%	5.080%	27.25410
M-3	ZVB	54.666	3.60	-	D	-	-	U+	2.74%	-	Soomn	K-Jfngo	170t	170	5.35%	5.230%	44.19160
E-1	ERZ	84.208	3.10	-	YYY-	-	-	EEE+	6.90%	-	Arjrp	W-Cucwx	210j	205	5.58%	5.543%	59.19306

Filings

ABS-EE

Tranche Comments

P-1: First Pay: 2024-10-25; Registration: 144Q/Wdl T; E-2: First Pay: 2024-10-25; Registration: 144P/Fwv J; M-3: First Pay: 2024-10-25; Registration: 144N/Uyn O; E-1: First Pay: 2024-10-25; Registration: 144Y/Xcn G;

Risk Retention

LN - Zabz IL/LG - Zab

Pricing Speed

25% AAC wk wgi 4 Vibr Akgjks Kwij-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
H-2	JQY	371.686	3.45	Uzz	-	-	-	SSS	39.00%	-	Fqyvn	-	<1-02>-<1-08> qp QXBH 5.5 JBQ	<1-05> ji ZIUQ 5.5 JUI	5.50%	5.380%	727.88400
E-3	RNC	69.000	9.77	Vuu	-	-	-	VVV	77.00%	-	Chcjz	-	<0-18>-<0-20> ox EGDW 5.0 JDF	<0-20> wa PNUA 5.0 WUIo	5.00%	5.024%	51.55157
I-14	FJG	2.000	64.96	Wdd	-	-	-	CCC	88.00%	-	Dokrt	H-Uybca	150-160	160	5.50%	5.330%	981.61047
A-5	XMU	81.000	8.31	Ejj	-	-	-	JJJ	60.00%	-	Tvgbp	T-Xyddq	160-170	170	5.50%	5.170%	664.61491
S-20	QLL	48.830	2.98	Si1	-	-	-	KK+	14.00%	-	Yovpo	-	<0-20>-<0-24> cp W-2	<1-27> fi VIXX 5.5 BXO	5.18%	5.550%	25.34430

Filings

ABS-EE

Tranche Comments

H-2: First Pay: 2024-10-25; Registration: 144G/Utr A; E-3: First Pay: 2024-10-25; Registration: 144X/Rkl P; A-5: First Pay: 2024-10-25; Registration: 144B/Bae W; I-14: First Pay: 2024-10-25; Registration: 144M/Meu E; S-20: First Pay: 2024-10-25; Registration: 144Z/Tay S;

Pricing Speed

15 SLA

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	MQA	86.290	6.85	-	LL	-	-	RR+	10.14%	-	Wqanj	Q-Lgluh	155-160	150	5.37%	5.246%	91.82179
G-1	BYE	763.817	6.98	-	LLL	-	-	EEE	51.59%	-	Uqght	U-Wfpua	130-135	125	5.12%	4.996%	86.43802
Z-3	VCD	87.256	5.62	-	O	-	-	D+	73.46%	-	Aiwgj	P-Ixjto	160-165	155	5.42%	5.296%	76.93581
K-1	TWY	96.920	9.45	-	ZZZ-	-	-	VVV+	4.00%	-	Vhryt	N-Matze	205-210	205	5.69%	5.647%	29.83149

Filings

EX-103

Tranche Comments

G-1: First Pay: 2024-09-25; Registration: 144M/Xtr M; T-2: First Pay: 2024-09-25; Registration: 144T/Yeg I; Z-3: First Pay: 2024-09-25; Registration: 144K/Rce U; K-1: First Pay: 2024-09-25; Registration: 144U/Mzx A;

Guarantor(s)

Efpvun Sdkhufdhu Pkpvwdwu ZZF

Originator(s)

Rbpwqj Vvjlqvzlq Ejfwrzrq XXB

Risk Retention

NH - Xyac IN/NT - Xya

Pricing Speed

25% VBB dk dxg 4 Igmp Vmjj

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
T-2	ZUY	64.335	2.98	-	OO	-	-	FF+	13.60%	-	Wroxx	H-Jsgfs	160-165	160	5.78%	5.653%	20.52427
J-1	PXE	32.118	5.10	-	III-	-	-	HHH+	6.26%	-	Uiqmb	J-Xkswj	215-220	205	5.93%	5.894%	92.93563
A-3	YMG	80.740	9.96	-	G	-	-	D+	11.90%	-	Ybkrn	K-Uknjq	170d	165	5.83%	5.703%	66.85377
Q-1	HEN	617.415	9.65	-	FFF	-	-	KKK	35.30%	-	Rixnp	S-Osufq	140-145	130	5.48%	5.353%	21.51661

Filings

ABS-15G

Tranche Comments

Q-1: First Pay: 2024-09-25; Registration: 144Q/Zlf T; T-2: First Pay: 2024-09-25; Registration: 144D/Jwf B; A-3: First Pay: 2024-09-25; Registration: 144X/Mjs L; J-1: First Pay: 2024-09-25; Registration: 144Q/Ist Y;

Deal Comments

Laj Qpww Jepuaao Bppwuep av 3 mepph pja p 30% naaw vpptap

Originator(s)

Efjuyp Ypntymoty Knlugogy IIE

Risk Retention

NJ - Rykz CN - Ryk

Pricing Speed

25% BKO fu fwv 4 Mvwn Bwll

Annaly Capital Management Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-1	KZS	110.596	6.64	-	OOO	-	-	CCC	75.60%	-	Eprya	P-Zzcqa	130-135	130	5.88%	5.746%	75.25815
I-3	ZLU	90.300	3.55	-	N	-	-	Q+	10.10%	-	Hljyt	Q-Mlqlb	165-170	165	6.23%	6.096%	40.50486
M-1	LFW	98.215	5.00	-	CCC-	-	-	ZZZ+	6.74%	-	Wiqhs	S-Zhhmc	210c	210	6.36%	6.319%	31.56049
C-2	CFP	82.989	2.93	-	AA	-	-	YY+	13.37%	-	Vwqqg	B-Ddsmv	155-160	155	6.13%	5.996%	22.61765

Filings

ABS-15G

Tranche Comments

W-1: First Pay: 2024-08-25; Registration: 144N/Frd U; C-2 : First Pay: 2024-08-25; Registration: 144I/Rjn X; I-3: First Pay: 2024-08-25; Registration: 144L/Kyj Y; M-1: First Pay: 2024-08-25; Registration: 144E/Wrm C;

Deal Comments

Vhqjbitx Iggglhqjbik Ytvxjgv bw 3-lgtvi tig 30% hbbx wtiqbv

Originator(s)

Opxvqu Tedxqhoxq Edtvjojq JJI

Risk Retention

BO - Epyl UB/BE - Epy

Pricing Speed

25% VUB ak aoq 4ga