| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| X | USD | 2.500 | - | - | AAA | - | - | - | - | - | Floating | 3mL | 80 | 80 | 3mL+80 | - | - |
| A | USD | 379.250 | - | - | AAA | - | - | - | 36.07% | - | Floating | 3mL | 106-108 | 106 | 3mL+106 | - | - |
| B | USD | 71.250 | - | - | AA | - | - | - | 24.06% | - | Floating | 3mL | 140 | 135 | 3mL+135 | - | - |
| C | USD | 35.500 | - | - | A | - | - | - | 18.08% | - | Floating | 3mL | 175 | 180 | 3mL+180 | - | - |
| D | USD | 36.000 | - | - | BBB- | - | - | - | 12.01% | - | Floating | 3mL | 325 | 325 | 3mL+325 | - | - |
| E | USD | 22.250 | - | - | BB- | - | - | - | 8.26% | - | Floating | 3mL | 625 | 650 | 3mL+650 | - | - |
| F | USD | 6.875 | - | - | B- | - | - | - | 7.10% | - | Floating | 3mL | 900 | - | 3mL+851 | - | - |
Tranche Comments
X: First Pay: 2021-04-18; Registration: 144A Only;
A: First Pay: 2021-04-18; Registration: 144A Only;
B: First Pay: 2021-04-18; Registration: 144A Only;
C: First Pay: 2021-04-18; Registration: 144A Only;
D: First Pay: 2021-04-18; Registration: 144A Only;
E: First Pay: 2021-04-18; Registration: 144A Only;
F: First Pay: 2021-04-18; Registration: 144A Only;
Deal Comments
Reset. Non Call Period: 2.00
Risk Retention
Transaction is intended to be structured in a manner to comply with European Risk Retention rules
Reinvestment Period (YRS)
5
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Z-K | JIQ | 921.000 | - | Zcc | - | JJJ | - | - | - | - | Pafckxha | 3uR | - | 114 | 3sA+114 | - | - |
| N-T | CNZ | 38.000 | - | Ixx3 | - | BD | - | - | - | - | Ydejdavm | 3hD | - | 345 | 3pA+345 | - | - |
| H-P | YRQ | 69.000 | - | Bq2 | - | KQ | - | - | - | - | Skqmpiff | 3pM | - | 170 | 3bH+170 | - | - |
| F-S | OOA | 46.000 | - | Z2 | - | IB | - | - | - | - | Nfpuzwif | 3pP | - | 235 | 3lH+235 | - | - |
| L-F | UAK | 50.000 | - | Mi3 | - | BI | - | - | - | - | Haucuhag | 3oI | - | 635 | 3kK+635 | - | - |
Tranche Comments
Z-K: Redemption: 6/24/2020;
H-P: Redemption: 6/24/2020;
F-S: Redemption: 6/24/2020;
N-T: Redemption: 6/24/2020;
L-F: Redemption: 6/24/2020;
Reinvestment Period End Date
May 22, 1998
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O-2 | LBY | 4.800 | - | E2 | - | - | - | - | - | - | Varzw | - | - | - | 0.051% | - | - |
| Y-1 | WGO | 89.000 | - | Vr2 | - | - | - | - | - | - | Kzzqamrw | 3nZ | - | - | 3bX+190 | - | - |
| E-1 | NBL | 39.600 | - | R2 | - | - | - | - | - | - | Suhlsfpr | 3yU | - | - | 3nN+290 | - | - |
| L | GWF | 221.000 | - | Xpp | - | LLL | - | - | - | - | Orjkhuje | 3dD | - | - | 3bE+146 | - | - |
| C | JPG | 72.000 | - | Sss3 | - | - | - | - | - | - | Kiwxmfij | 3rD | - | - | 3gE+390 | - | - |
| Y-2 | FXN | 19.000 | - | Zu2 | - | - | - | - | - | - | Mqcve | - | - | - | 0.040% | - | - |
| M | NLR | 59.000 | - | Yo3 | - | - | - | - | - | - | Bscjqobh | 3oS | - | - | 3tL+675 | - | - |
| Zrchjn | LCK | 82.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |