| 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 |
|---|
| J-1 | BLK | 48.000 | - | - | Y | - | - | - | 95.00% | - | Xukddcdk | 3kO | - | 250 | 3nC+250 | - | - |
| I-2 | NXY | 8.000 | - | - | U | - | - | - | 42.00% | - | Znmuj | Kigru | - | 250 | 4.263% | - | - |
| D-1 | CXW | 37.000 | - | - | TTT- | - | - | - | 84.00% | - | Gjehvyor | 3sO | 380-400 | 410 | 3gK+410 | - | - |
| N-1 | HON | 44.800 | - | - | AA | - | - | - | 28.00% | - | Dwhqlfhy | 3vF | - | 175 | 3oA+175 | - | - |
| E-2t | ANR | 52.800 | - | - | EE | - | - | - | 72.00% | - | Rzyerixu | 3gT | - | 175 | 3uN+175 | - | - |
| G-2 | YRL | 34.000 | - | - | OOO- | - | - | - | 94.25% | - | Bqfbbhqi | 3qV | - | 530 | 3oJ+530 | - | - |
| V | ILK | 12.200 | - | - | AA- | - | - | - | 1.20% | - | Mverfmjr | 3yN | 775-800 | 780 | 3vD+750 | - | - |
| Y-2 | JGT | 57.000 | - | - | UUU | TTT | - | - | 33.00% | - | Zgihl | Diepl | 133 | 133 | 2.965% | - | - |
| M-1 | UKV | 884.000 | - | - | PPP | NNN | - | - | 34.00% | - | Xpjxyfto | 3kA | 133 | 133 | 3mT+133 | - | - |
| P-2i | RMR | 94.000 | - | - | PP | - | - | - | 67.00% | - | Dvmjo | Fzyns | - | 175 | 3.432% | - | - |
| Gvx | XIX | 38.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
M-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144F/Mpz L;
Y-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144D/Zwm C;
N-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144B/Xvw S; Comments: Bpx-Bungxq;
E-2t: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144U/Ung O;
P-2i: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144F/Gwm Z;
J-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144V/Ped U; Comments: Djf-Dblufn;
I-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144U/Tnk D; Comments: Eii-Emlfij;
D-1: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144G/Qto S;
G-2: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144Z/Gxq O;
V: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144T/Xqr Q;
Gvx: First Pay: 2020-07-17; Redemption: 2022-01-17; Registration: 144H/Pbw M;
Deal Comments
Dby-Nlmm Pylabqz 2.00
Reinvestment Period (YRS)
3
Reinvestment Period End Date
Nov 14, 2006
WAL Test Period End Date
May 16, 2010