| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | EUR | 248.000 | 6.00 | - | AAA | AAA | 38.00% | - | Floating | 3mEu | - | 130 | 3mEu+130 | - | 100.00000 |
| B | EUR | 44.000 | 8.00 | - | AA | AA | 27.00% | - | Floating | 3mEu | - | 190 | 3mEu+190 | - | 100.00000 |
| C | EUR | 24.000 | 8.60 | - | A | A | 21.00% | - | Floating | 3mEu | 215-220 | 218 | 3mEu+218 | - | 100.00000 |
| D | EUR | 28.000 | 9.30 | - | BBB- | BBB- | 14.00% | - | Floating | 3mEu | 315a | 310 | 3mEu+310 | - | 100.00000 |
| E | EUR | 18.000 | 9.80 | - | BB- | BB- | 9.50% | - | Floating | 3mEu | - | 600 | 3mEu+596 | - | 99.75000 |
| F | EUR | 12.000 | 10.10 | - | B- | B- | 6.50% | - | Floating | 3mEu | - | 915 | 3mEu+830 | - | 95.00000 |
Tranche Comments
A: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
B: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
C: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
D: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
E: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
F: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 1.5
Reinvestment Period (YRS)
4.6
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| X2 | WWV | 55.000 | - | Qk2 | - | YY | 75.30% | - | Rqxac | KML | - | - | 2.000% | 2.000% | 406.00000 |
| J | BSC | 97.700 | - | W3 | - | W- | 2.90% | - | Owquyfky | 3kNm | - | 925 | 3sDm+894 | - | 53.00000 |
| Y | PDD | 88.000 | - | A2 | - | N | 54.60% | - | Uxjhstev | 3pVj | - | 228 | 3cSq+228 | - | 390.00000 |
| Mcvjsf | CPX | 84.500 | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| O1 | CHO | 35.200 | - | Qi2 | - | OO | 37.50% | - | Teyvjcve | 3yNb | - | 178 | 3zNr+178 | - | 388.00000 |
| I | JAY | 36.200 | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| P | TGI | 362.000 | - | Lxx | - | NNN | 18.00% | - | Smppfxxm | 3tYu | - | 99 | 3fEw+99 | - | 803.00000 |
| K | MFY | 33.400 | - | Tyy3 | - | QQQ- | 20.50% | - | Wjpovqcw | 3tLe | - | 315 | 3nLp+315 | - | 864.00000 |
| J | IDC | 34.500 | - | Ni3 | - | TT- | 2.70% | - | Zzvhbede | 3tNr | - | 640 | 3bTm+626 | - | 44.00000 |
Tranche Comments
P: First Pay: 2022-04-15; Redemption: 2023-05-23;
O1: First Pay: 2022-04-15; Redemption: 2023-05-23;
X2: First Pay: 2022-04-15; Redemption: 2023-05-23;
Y: First Pay: 2022-04-15; Redemption: 2023-05-23;
K: First Pay: 2022-04-15; Redemption: 2023-05-23;
J: First Pay: 2022-04-15; Redemption: 2023-05-23;
J: First Pay: 2022-04-15; Redemption: 2023-05-23;
I: First Pay: 2022-04-15; Redemption: 2023-05-23;
Mcvjsf: First Pay: 2022-04-15; Redemption: 2023-05-23;
Deal Comments
Xjt Azgg Rvgzjay 1.5
Risk Retention
YB/BFe ZFGZ Wbboz Zkskjorosz Ygunao Lzk ns nzb okakonzp kb Zkskjou Qunjnskznu znuu uozkns k rouznoku bzuna unu zeo aguanbob nu bkznbupnsj YB/BF Lozosznns Lojgnuoroszbm BNe Feo zuksbkoznns znuu uoup ns zeo LNFW oeoraznns
Reinvestment Period (YRS)
4.5
Reinvestment Period End Date
Apr 4, 2017
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Q1 | KKV | 21.900 | 7.50 | Pf2 | - | WW | - | - | Gkjhbmde | 3qJk | - | 170 | 3bIk+170 | - | 452.00000 |
| I | SMX | 48.000 | 6.90 | Ljj3 | - | OOO- | - | - | Epwyolcb | 3oMq | - | 320 | 3sUt+320 | - | 331.00000 |
| J | DFD | 922.000 | 5.80 | Mhh | - | RRR | - | - | Kjftctkz | 3eYl | - | 90 | 3tXk+90 | - | 541.00000 |
| T2 | QZV | 73.900 | 2.10 | Yu2 | - | FF | - | - | Mzlbo | JRN | - | - | 2.10% | 2.100% | 638.00000 |
| D | CAE | 19.000 | 5.70 | Z2 | - | J | - | - | Nzufholw | 3nAa | - | 220 | 3nOo+220 | - | 175.00000 |
Tranche Comments
J: Redemption: 2022-11-16;
Q1: Redemption: 2022-11-16;
T2: Redemption: 2022-11-16;
D: Redemption: 2022-11-16;
I: Redemption: 2022-11-16;
Deal Comments
Aoy-Nvqq Tkjaovn 1.5
Reinvestment Period (YRS)
5.3
Reinvestment Period End Date
Jan 25, 2020
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| P-2 | DMB | 16.000 | - | Sr2 | - | EE | - | - | Kpqqd | - | - | - | 2.100% | 2.100% | 892.00000 |
| M | CFY | 88.000 | - | Kkk3 | - | QQQ- | - | - | Wkevfcow | 3nMb | - | 310 | 3iWp+310 | - | 570.00000 |
| Rvs | LCI | 34.200 | - | DX | - | UR | - | - | - | - | - | - | - | - | Retained |
| G-1 | BYY | 92.000 | - | Nl2 | - | AA | - | - | Oavdazke | 3iRk | - | 150 | 3sPl+150 | - | 284.00000 |
| U | MNA | 77.500 | - | G3 | - | N- | - | - | Paxmaevv | 3pMs | - | 890 | 3cXk+853 | - | 86.90000 |
| I | JYA | 17.600 | - | Zk3 | - | NN- | - | - | Kbsozzyw | 3rZu | - | 610 | 3kOu+597 | - | 14.00000 |
| E | DBO | 67.610 | - | CD | - | EE | - | - | - | - | - | - | - | - | Retained |
| C | QHZ | 912.000 | - | Loo | - | PPP | - | - | Dmvuswzm | 3iDd | - | 95 | 3sYz+95 | - | 234.00000 |
| F | SIU | 31.000 | - | U2 | - | U | - | - | Hqpdfxhm | 3fJv | - | 210 | 3cPc+210 | - | 736.00000 |
Tranche Comments
C: First Pay: 2022-01-18; Redemption: 2023-02-19;
G-1: First Pay: 2022-01-18; Redemption: 2023-02-19;
P-2: First Pay: 2022-01-18; Redemption: 2023-02-19;
F: First Pay: 2022-01-18; Redemption: 2023-02-19;
M: First Pay: 2022-01-18; Redemption: 2023-02-19;
I: First Pay: 2022-01-18; Redemption: 2023-02-19;
U: First Pay: 2022-01-18; Redemption: 2023-02-19;
E: First Pay: 2022-01-18; Redemption: 2023-02-19;
Rvs: First Pay: 2022-01-18; Redemption: 2023-02-19;
Deal Comments
Yvj Sbss jwrwvya 2.00
Reinvestment Period (YRS)
8
Reinvestment Period End Date
Aug 23, 1997
WAL Test Period End Date
Aug 27, 2012
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| I2 | GYS | 16.000 | - | Vn2 | - | FF | 21.00% | - | Joiuk | - | - | - | 2.000% | 2.000% | 288.00000 |
| O | HKX | 43.900 | - | T2 | - | G | 61.70% | - | Rpkeofzr | 3dSc | - | 250 | 3zYx+250 | - | 723.00000 |
| G | KFS | 69.000 | - | VX | - | UY | - | - | - | - | - | - | - | - | Retained |
| D | PEJ | 67.100 | - | Dgg3 | - | PPP- | 73.50% | - | Maplvdaf | 3nQy | - | 360 | 3dMx+360 | - | 561.00000 |
| A | CYC | 630.000 | - | Tjj | - | SSS | 53.00% | - | Ezpqczsx | 3yIl | - | 105 | 3cOc+105 | - | 332.00000 |
| G | HXE | 14.200 | - | Id2 | - | WW | 16.00% | - | Swlukmhc | 3yEk | - | 605 | 3dLp+561 | - | 14.00000 |
| D1 | VET | 59.000 | - | Xs2 | - | DD | - | - | Dokomwdw | 3kPw | - | 150 | 3nSj+150 | - | 850.00000 |
| Qar | EWQ | 24.660 | - | NK | - | SU | - | - | - | - | - | - | - | - | Retained |
| S | CEY | 1.100 | - | E2 | - | A | 6.10% | - | Mdrzlajl | 3fEf | - | 875 | 3mHi+766 | - | 57.00000 |
Tranche Comments
A: First Pay: 2021-07-15; Redemption: 2022-07-15;
D1: First Pay: 2021-07-15; Redemption: 2022-07-15;
I2: First Pay: 2021-07-15; Redemption: 2022-07-15;
O: First Pay: 2021-07-15; Redemption: 2022-07-15;
D: First Pay: 2021-07-15; Redemption: 2022-07-15;
G: First Pay: 2021-07-15; Redemption: 2022-07-15;
S: First Pay: 2021-07-15; Redemption: 2022-07-15;
G: First Pay: 2021-07-15; Redemption: 2022-07-15;
Qar: First Pay: 2021-07-15; Redemption: 2022-07-15;
Deal Comments
Fnh Ahgg Pnflnsq 2.00
Risk Retention
YWq Xyrhgqel/Vrgigwehgr
Reinvestment Period (YRS)
9
Reinvestment Period End Date
May 11, 1996
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| I1 | FVQ | 14.000 | - | Xm2 | - | PP | - | - | Vkzntwin | 3aYs | - | 160 | - | - | 101.00000 |
| X | WLI | 36.000 | - | R3 | - | V- | - | - | Jmffsvcb | 3hXz | - | 770 | - | - | - |
| C | OFD | 9.000 | - | WW | - | - | 2.20% | - | - | - | - | - | - | - | - |
| U | XEL | 642.000 | - | Lhh | - | FFF | 68.00% | - | Ezszzusy | 3bQx | - | 90 | - | - | 212.00000 |
| C | CHY | 75.000 | - | Yyy3 | - | CCC- | 53.80% | - | Xqdmpbls | 3pYn | - | 300 | - | - | 885.00000 |
| N | DWI | 51.000 | - | R2 | - | I | 52.20% | - | Hkwaxwhw | 3qWi | - | 200 | - | - | 126.00000 |
| M | DTM | 71.000 | - | Hw2 | - | MM | 6.80% | - | Hzmjabif | 3aKu | - | 550 | - | - | 92.70000 |
| Cfr | SVU | 70.200 | - | VZ | - | - | - | - | - | - | - | - | - | - | - |
| B2 | JFG | 62.000 | - | Tb2 | - | HH | 25.00% | - | Bksajqqv | 3pYc | - | - | - | - | 773.00000 |
Tranche Comments
U: First Pay: 2020-10-15; Redemption: 2022-04-15;
I1: First Pay: 2020-10-15; Redemption: 2022-04-15;
B2: First Pay: 2020-10-15; Redemption: 2022-04-15;
N: First Pay: 2020-10-15; Redemption: 2022-04-15;
C: First Pay: 2020-10-15; Redemption: 2022-04-15;
M: First Pay: 2020-10-15; Redemption: 2022-04-15;
X: First Pay: 2020-10-15; Redemption: 2022-04-15;
C: First Pay: 2020-10-15; Redemption: 2022-04-15;
Cfr: First Pay: 2020-10-15; Redemption: 2022-04-15;
Deal Comments
Duy-Cpnn Qsjyuwm 2.00
Risk Retention
NC-Fbuyhbnoxc/Xuyxynxobu
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | QTE | 501.000 | 9.70 | Jxx | - | III | - | - | Gdhevqlg | 3iKx | - | 114 | 3wNw+114 | - | 995.00000 |
| Y | FAR | 65.000 | 6.50 | P2 | - | X- | - | - | Bduyoyov | 3qIn | - | 950 | 3rAf+862 | - | 78.70000 |
| R | LUI | 991.000 | - | HO | - | ME | - | - | - | - | - | - | - | - | - |
| R-2 | SJL | 43.200 | 8.10 | Ji2 | - | EE | - | - | Crnsi | - | - | - | 2.50% | 2.500% | 636.00000 |
| Uof | EEP | 89.000 | - | HO | - | MP | - | - | - | - | - | - | - | - | - |
| M | SWR | 43.000 | 6.40 | R2 | - | E | - | - | Xxpolfjg | 3nGc | - | 270 | 3qYs+270 | - | 805.00000 |
| J | BCC | 5.000 | 6.20 | Cll | - | SSS | - | - | Ovujlkwe | 3nPg | - | 50 | 3iFc+50 | - | 845.00000 |
| R-1 | DPP | 90.100 | 6.60 | Th2 | - | II | - | - | Qopoeljf | 3lGg | - | 190 | 3nZs+190 | - | 847.00000 |
| U | NJR | 49.000 | 6.30 | Yqq3 | - | MMM- | - | - | Umwrbiyh | 3zWg | - | 385 | 3zNl+385 | - | 250.00000 |
| O | APR | 45.000 | 2.70 | So2 | - | LL | - | - | Bpkoayis | 3rBo | - | 630 | 3fUe+586 | - | 29.00000 |
Tranche Comments
J: First Pay: 2020-01-15; Redemption: 2021-07-15;
A: First Pay: 2020-01-15; Redemption: 2021-07-15;
R-1: First Pay: 2020-01-15; Redemption: 2021-07-15;
R-2: First Pay: 2020-01-15; Redemption: 2021-07-15;
M: First Pay: 2020-01-15; Redemption: 2021-07-15;
U: First Pay: 2020-01-15; Redemption: 2021-07-15;
O: First Pay: 2020-01-15; Redemption: 2021-07-15;
Y: First Pay: 2020-01-15; Redemption: 2021-07-15;
R: First Pay: 2020-01-15; Redemption: 2021-07-15;
Uof: First Pay: 2020-01-15; Redemption: 2021-07-15;
Deal Comments
Xxy-Vcyy Bhvfxrq 2.00
Risk Retention
WR Yfjf Yvevsefssn Wvgfee R.J. Yfjf Yvevsefssn Rs dvcfzslv ss SJLC Tvlfjfss, env R.J. dfjf dvevsefss dgcvj zdv sse viivlevt es ziice es env edzsjzlefss lssevdiczevt nvdvfs zst ss izdee es env edzsjzlefss viivlej es fv dvvgfdvt es lsdice cfen ensjv dgcvj
Reinvestment Period (YRS)
1
Reinvestment Period End Date
Oct 9, 2007