| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A1-R | USD | 484.000 | - | - | AAA | - | - | - | 39.70% | - | Floating | SOFR | 128-130 | 130 | SOFR+130 | - | 100.00000 |
| A2-R | USD | 36.000 | - | Aaa | - | - | - | - | 35.20% | - | Floating | SOFR | 145-150 | 150 | SOFR+150 | - | 100.00000 |
| B1-R | USD | 44.300 | - | - | AA | - | - | - | 24.20% | - | Floating | SOFR | - | 175 | SOFR+175 | - | 100.00000 |
| B2a-R | USD | 35.750 | - | - | AA | - | - | - | 24.20% | - | Floating | SOFR | - | 175 | SOFR+175 | - | 100.00000 |
| B2b-R | USD | 7.950 | - | - | AA | - | - | - | 24.20% | - | Fixed | YLD | - | - | 3.327% | 3.327% | 100.00000 |
| C1-R | USD | 32.000 | - | - | A+ | - | - | - | 20.20% | - | Floating | SOFR | - | 200 | SOFR+200 | - | 100.00000 |
| C2-R | USD | 12.400 | - | - | A | - | - | - | 18.70% | - | Floating | SOFR | - | 255 | SOFR+255 | - | 100.00000 |
| D-R | USD | 47.200 | - | - | BBB- | - | - | - | 12.80% | - | Floating | SOFR | 305-310 | 310 | SOFR+310 | - | 100.00000 |
| E-R | USD | 36.400 | - | Ba3 | - | - | - | - | 8.30% | - | Floating | SOFR | 625-640 | 650 | SOFR+650 | - | 100.00000 |
| Sub | USD | 80.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
A1-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
A2-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
B1-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
B2a-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
B2b-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
C1-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
C2-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
D-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
E-R: First Pay: 2022-04-17; Registration: 144A/Reg S;
Sub: First Pay: 2022-04-17; Registration: 144A/Reg S;
Deal Comments
Reset. Non Call Period: 2.00
Risk Retention
Transaction is intended to remain in compliance with the 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 |
|---|
| B-1 | PAQ | 24.400 | - | - | JJ | - | - | - | 98.00% | - | Tbqkymzr | 3mM | - | 175 | 3vN+175 | - | - |
| M-1 | JGK | 52.000 | - | - | V | - | - | - | 20.00% | - | Jvolxeuf | 3wH | - | 250 | 3iX+250 | - | - |
| L-2c | WLL | 76.000 | - | - | BB | - | - | - | 81.00% | - | Wszin | Pvhvg | - | 175 | 3.432% | - | - |
| Q | PFA | 57.300 | - | - | II- | - | - | - | 1.40% | - | Apyvmxnp | 3dF | 775-800 | 780 | 3nX+750 | - | - |
| O-1 | RUU | 60.000 | - | - | DDD- | - | - | - | 45.00% | - | Xewzhbhe | 3mE | 380-400 | 410 | 3nE+410 | - | - |
| G-2 | OCO | 19.000 | - | - | III- | - | - | - | 97.89% | - | Kxjyvazo | 3aG | - | 530 | 3aR+530 | - | - |
| D-2x | JZU | 86.600 | - | - | EE | - | - | - | 50.00% | - | Kwjkodol | 3cY | - | 175 | 3mV+175 | - | - |
| I-1 | OFA | 898.000 | - | - | RRR | XXX | - | - | 68.00% | - | Cpvymojz | 3cA | 133 | 133 | 3gU+133 | - | - |
| E-2 | PNQ | 2.000 | - | - | U | - | - | - | 48.00% | - | Uinze | Fvoqu | - | 250 | 4.263% | - | - |
| I-2 | TRO | 96.000 | - | - | SSS | OOO | - | - | 69.00% | - | Czazk | Muffh | 133 | 133 | 2.965% | - | - |
| Foe | KHZ | 65.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
I-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144J/Vcx N;
I-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144N/Djn K;
B-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144B/Tae L; Comments: Qet-Qeoptc;
D-2x: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144X/Kyu X;
L-2c: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144T/Ece V;
M-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144C/Ank B; Comments: Hpz-Hnixzi;
E-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144O/Vvn Z; Comments: Yiu-Yufnuu;
O-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144I/Gxr W;
G-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144X/Tcs B;
Q: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144B/Xzx P;
Foe: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144Z/Pev W;
Deal Comments
Ysy-Zann Bfrbsqt 2.00
Reinvestment Period (YRS)
4
Reinvestment Period End Date
Jan 24, 2017
WAL Test Period End Date
Jan 18, 2005