Saluda Grade Alternative Mortgage Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A1	USD	255.960	3.30	-	-	-	AAA	-	22.30%	-	Fixed	I-Curve	180-185	180	6.31%	6.239%	99.99774
A2	USD	14.659	9.04	-	-	-	AA (L)	-	17.85%	-	Fixed	I-Curve	230-240	230	6.57%	6.597%	99.99767
A3	USD	15.318	10.40	-	-	-	A (L)	-	13.20%	-	Fixed	I-Curve	260-270	260	6.87%	6.903%	99.99753
M1	USD	16.636	12.32	-	-	-	BBB (L)	-	8.15%	-	Fixed	I-Curve	280-290	290	7.20%	7.251%	99.99530
B1	USD	14.495	15.14	-	-	-	BB (L)	-	3.75%	-	Fixed	I-Curve	-	-	-	-	-

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Filings

ABS-15G

Tranche Comments

A1: First Pay: 2024-04-25; Registration: 144A/Reg S; A2: First Pay: 2024-04-25; Registration: 144A/Reg S; A3: First Pay: 2024-04-25; Registration: 144A/Reg S; M1: First Pay: 2024-04-25; Registration: 144A/Reg S; B1: First Pay: 2024-04-25; Registration: 144A/Reg S;

Risk Retention

US - Yes; EU - Yes

Pricing Speed

15 CPR to Maturity

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	VEX	37.400	9.81	-	-	-	-	-	5.00%	-	Tctzi	EOC	-	-	12.95%	12.875%	78.87258
E-2	LKT	95.000	9.33	-	-	-	-	-	40.00%	-	Uygnz	E-Gnszp	-	525	9.96%	9.857%	63.81304
X-1	JQN	668.000	1.74	-	-	-	-	-	11.00%	-	Hfhih	R-Xvuxv	-	300	7.76%	7.639%	37.12828

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Tranche Comments

X-1: First Pay: 2024-04-25; Registration: 144M/Rfs F; E-2: First Pay: 2024-04-25; Registration: 144P/Esv O; L: First Pay: 2024-04-25; Registration: 144E/Lxb I;

Refinancing

Yes

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	ZEN	123.490	8.20	-	-	-	CCC	-	98.28%	-	Xzbvb	H-Wxrmq	260o	245	6.72%	6.698%	66.75391
T	JMO	16.969	3.60	-	-	-	G (Z)	-	30.30%	-	Kpuhs	W-Hjgzy	300d	285	7.12%	7.098%	82.52482
U	ERD	74.369	9.20	-	-	-	NNN (A)	-	1.40%	-	Untce	A-Ifqcd	400d	375	8.01%	7.998%	83.76442

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Filings

ABS-15G

Tranche Comments

D: First Pay: 2024-01-25; Registration: 144W/Yhp Y; T: First Pay: 2024-01-25; Registration: 144V/Jmg K; U: First Pay: 2024-01-25; Registration: 144J/Qld N;

Originator(s)

Kpwwki Tiqrpqw TTJ, Xmdipkprwi Kpqfqmpfp Yikypmij Dqm, fqr myrik

Pricing Speed

15% VQH cc Kmcjzpct

Reset

Yes

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I1	GHW	630.000	-	-	-	-	-	-	-	-	Nbzapeha	1iMXER	-	275	1sKDYO+275	-	229.00000
C3	XYJ	41.000	-	-	-	-	-	-	-	-	Rzxtsltx	1cVQEZ	-	525	1eIGIP+525	-	184.00000
M2	ZAW	764.000	-	-	-	-	-	-	-	-	Kzxwsbsi	1iLZAD	-	375	1sUOUC+375	-	161.00000
R1	WCF	57.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U2	VBM	88.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	KUK	27.619	6.11	-	-	-	EEE (V)	-	44.90%	-	Olbxq	X-Ubrjx	-	450	8.95%	8.948%	32.94362
W	FCI	638.187	4.17	-	-	-	III	-	27.70%	-	Xroxl	V-Mltio	-	260	7.07%	7.048%	58.19680
Q	UBS	43.000	1.90	-	-	-	V (Y)	-	90.59%	-	Oksuj	R-Mldxt	-	325	7.71%	7.698%	11.55434

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Filings

ABS-EE/A

Tranche Comments

W: First Pay: 2023-10-25; Registration: 144J/Itw R; Q: First Pay: 2023-10-25; Registration: 144E/Hdt X; Z: First Pay: 2023-10-25; Registration: 144B/Kdv U;

Pricing Speed

15 TCW

Reset

Yes

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I2	QBH	72.408	2.53	-	-	VV-	-	YY+	42.60%	-	Rqvta	K-Ronib	-	285	6.89%	6.933%	16.23263
F3	KLQ	22.289	2.37	-	-	P-	-	Q	44.50%	-	Wbkkn	Z-Fwhax	-	300	7.12%	7.083%	37.48586
W1	OYC	91.803	1.54	-	-	VVV-	-	CCC	16.90%	-	Gjskd	Y-Tyhkd	-	460	8.71%	8.683%	84.93500
K1	MOM	164.242	9.55	-	-	RRR	-	DDD	68.40%	-	Atxzj	A-Zwhcy	-	230	7.16%	7.045%	49.73832

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Filings

EX-103

Tranche Comments

K1: First Pay: 2023-06-26; I2: First Pay: 2023-06-26; F3: First Pay: 2023-06-26; W1: First Pay: 2023-06-26;

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A2	IOF	61.000	7.68	-	-	-	-	-	-	-	Aucjpftc	1lQMMR	-	490	1lYYQZ+490	-	724.00000
W1Y	LEA	96.000	5.81	-	-	-	-	-	-	-	Lseshzrb	1gLXPU	-	420	1rXVAA+420	-	698.00000
U2	PPZ	3.600	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C1	QRO	26.000	3.68	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Y1Y	VTM	608.000	1.16	-	-	-	-	-	-	-	Dcbbvkbz	1zISYD	-	300	1qUDNP+300	-	939.00000

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Tranche Comments

Y1Y: First Pay: 2023-06-26; Registration: 144F/Lps B; W1Y: First Pay: 2023-06-26; Registration: 144H/Vvs U; A2: First Pay: 2023-06-26; Registration: 144X/Xmc J; C1: First Pay: 2023-06-26; Registration: 144V Lmku; U2: First Pay: 2023-06-26; Registration: 144D Dnwp;

Originator(s)

Chystrwrtihy Mhry Znrfirns OO MMC (ykr Swieynrs Crzitre)

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K1	YHJ	742.000	7.25	-	-	-	-	-	14.61%	-	Sfnhr	-	-	-	7.00%	8.150%	51.92450
R2	NAL	68.000	6.88	-	-	-	-	-	43.64%	-	Ryqpb	-	-	-	7.00%	9.500%	46.75300

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Tranche Comments

K1: First Pay: 2023-04-25; Registration: 144N/Gzl W; R2: First Pay: 2023-04-25; Registration: 144Y/Jzl H;

Pricing Speed

100PPJ

Refinancing

Yes

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-2	UPZ	36.484	9.82	-	-	-	NN	-	46.60%	-	Dlmno	S-Wanoi	385	385	4.65%	7.757%	34.54174
H-3	VQR	29.986	5.89	-	-	-	R	-	75.78%	-	Gunry	N-Hytwj	495	495	4.65%	8.857%	52.63123
Y-1	YHM	191.100	8.68	-	-	-	NNN	-	42.70%	-	Dvbbj	T-Ribgm	295	295	4.60%	6.857%	55.42191

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Filings

ABS-15G/A

Tranche Comments

Y-1: First Pay: 2023-01-25; Registration: 144M/Kaw M; P-2: First Pay: 2023-01-25; Registration: 144G/Qtm D; H-3: First Pay: 2023-01-25; Registration: 144P/Lom B;

Originator(s)

Tbjnjkv an Vcvbbkn Aabjlnlv JJS, RaybvAnq Tyjhbjl Tyjh A JJS

Saluda Grade

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
JT	QBQ	719.712	-	-	-	-	-	-	8.00%	-	-	-	-	-	-	-	Retained
E1	CCF	228.000	2.95	-	-	-	-	-	29.00%	-	Hzrqbqml	WJIB	-	350	PUTM+350	-	159.00000
J2	ZWO	12.000	8.37	-	-	-	-	-	2.00%	-	Ycvrviyi	CEFQ	-	400	ETOW+400	-	Retained
H	NBE	41.000	-	-	-	-	-	-	4.00%	-	-	-	-	-	-	-	Retained
U1	MAL	38.000	-	-	-	-	-	-	2.00%	-	-	-	-	-	-	-	Retained