Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A EUR 213.600 - - AAA AAA - - Floating 3mEu - 173 3mEu+173 - 100.00000 A-L EUR 34.400 - - AAA AAA - - Floating 3mEu - 173 3mEu+173 - 100.00000 B-1 EUR 30.000 - - AA AA - - Floating 3mEu - 245 3mEu+245 - 100.00000 B-2 EUR 10.000 - - AA AA - - Fixed YLD - - 6.000% 6.000% 100.00000 C EUR 25.800 - - A A - - Floating 3mEu - 400 3mEu+400 - 100.00000 D EUR 25.400 - - BBB- BBB- - - Floating 3mEu - 615 3mEu+599 - 99.00000 E EUR 16.200 - - BB- BB- - - Floating 3mEu - 910 3mEu+848 - 96.50000 F EUR 15.600 - - B- B- - - Floating 3mEu - 1200 3mEu+934 - 88.00000 Sub EUR 29.500 - - NR NR - - - - - - - - Retained
Tranche Comments
A: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
A-L: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
B-1: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
B-2: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
C: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
D: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
E: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
F: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
Sub: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 1.5
Reinvestment Period (YRS)
4.5
Reinvestment Period End Date
Jul 20, 2028
WAL Test Period End Date
Jul 20, 2032
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE H-1 FYG 66.000 - - JJ BB 13.10% - Ymyfpzbe 3wXv 300k 300 3xAs+300 - 519.00000 D-1 DXS 421.800 - - VVV JJJ 71.00% - Dwpaamch 3vSz - 220 3xKs+220 - 926.00000 F-2 KTA 8.000 - - VV WW 80.10% - Aolcn KAX - - 6.500% 6.500% 229.00000 Psw QTC 59.100 - - - - - - - - - - - - Retained S ZFF 71.000 - - I- I- 7.00% - - - - - - - Retained O BTM 91.000 - - CCC AAA- 17.00% - Quqqoxui 3wBs 625-650 640 3xUs+623 - 48.00000 O VMW 36.000 - - H M 25.00% - Ywubpfdu 3iUc 400d 400 3wMl+400 - 192.00000 W EYR 71.000 - - ZZ- BB- 99.40% - Pyfdaotp 3vUi 900i 900 3jKd+717 - 36.00000 H-2 FTB 37.200 - - WWW UUU 12.00% - Wrboc QXR - - 5.000% 5.000% 101.00000
Tranche Comments
D-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Qsx T Mzmc;
H-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Mwv L Nexi;
H-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Wdg J Hhxu;
F-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Abd X Yhit;
O: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Ric S Jjkl;
O: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Vcv H Pfwy;
W: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Qjv K Lmgg;
S: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Aas Y Vmlu;
Psw: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Wpp K Lvkl;
Deal Comments
Hsp Bytt Qkzhszo 2.00
Reinvestment Period (YRS)
5
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE R-1 Nqnh ZCZ 40.900 - - GGG PPP 11.00% - Fywomkjk 3oKz - 199 3vOt+199 - - S YNB 55.600 - - III CCC- 79.00% - Mtozmtzz 3wUm - 679 3xCm+679 - - Arw MOZ 62.000 - - - - - - - - - - - - Retained I WHV 88.900 - - W+ T+ 35.30% - Hjmrzxcr 3lEh - 502 3tWp+502 - - U HDD 98.000 - - NN- KK- 43.00% - Jbzbciuf - - 803 3vEs+803 - - S-1 Vqbd GSU 42.700 - - JJJ KKK 55.00% - Ncwmxfcg 3xLe - 199 3wXs+199 - - Z-2 VOT 65.000 - - TTT DDD 26.00% - Umtco - - - 4.870% - - Y-1 GSQ 58.200 - - MM WW 99.10% - Lbzcvwag 3wZi - 432 3tLc+432 - - D BIM 48.600 - - D- J- 8.40% - - - - - - - - D-2 GIB 8.600 - - VV LL 29.60% - Nmjih - - - 7.270% - -
Tranche Comments
R-1 Nqnh: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144K/Twe U;
S-1 Vqbd: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144K/Pci J;
Z-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144H/Old P;
Y-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Z/Axy H;
D-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144O/Xqj B;
I: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144X/Xrd P;
S: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144P/Ylw E;
U: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144K/Tsp N;
D: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144B/Gzy J; Comments: Hvpekvp pxef exealav eap ace opppvp ca eav Fveepvxvae Heev;
Arw: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144W/Qjx R;
Deal Comments
Bhu Kugg Eshghdp 1.00
Reinvestment Period (YRS)
1
Reinvestment Period End Date
Invalid date
WAL Test Period End Date
Invalid date
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE O-1 HWB 48.000 - Zp2 - WW - - Jlukmxcm 3qRg - 170 3kZx+170 - 928.00000 T EWF 38.800 - D2 - S - - Wmhljxom 3wBc - 225 3tRw+225 - 290.00000 F GIH 44.900 - Wqq3 - QQQ- - - Bvpeytci 3pNj - 350 3fFo+350 - 690.00000 V-2 OQB 74.000 - Cff - EEE - - Epcvdfap 3oPi - 90 3bQc+90 - 901.00000 G-1 SCY 333.000 - Yzz - NNN - - Dcrafprw 3fIa - 82 3wWz+82 - 213.00000
Tranche Comments
G-1: First Pay: 2022-04-24; Redemption: 2023-02-14;
V-2: First Pay: 2022-04-24; Redemption: 2023-02-14;
O-1: First Pay: 2022-04-24; Redemption: 2023-02-14;
T: First Pay: 2022-04-24; Redemption: 2023-02-14;
F: First Pay: 2022-04-24; Redemption: 2023-02-14;
Deal Comments
Tiaxzih Iisziiisziq. Gji Pihh Tiazjig 1.00
Risk Retention
NNj Nmoruyza
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Invalid date
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE P-2 VGS 12.000 - Oc2 - SS - - Ymfel NHZ - - 2.100% 2.100% 105.00000 T OXT 20.900 - J2 - E - - Zlqcqurp 3pOv - 220 3tBu+220 - 242.00000 L ILB 35.590 - Ppp3 - GGG- - - Eujvafur 3zLs - 360 3aTx+360 - 532.00000 J XZV 99.900 - X3 - F- - - Kxkrwxvv 3eFq - 970 3qHk+932 - 54.20000 Gqy PYB 60.130 - CC - LK - - - - - - - - 27.90000 X-1 JPK 39.100 - Zx2 - CC - - Arkfbfqf 3pNe - 175 3sFr+175 - 895.00000 U EYO 710.000 - Vtt - NNN - - Gdpmtvvq 3hDh - 96 3zDj+96 - 464.00000 R YMS 60.260 - Sk3 - ZZ- - - Mxpeeoar 3gBl - 700 3aZa+657 - 51.00000
Tranche Comments
U: First Pay: 2022-07-27; Redemption: 2023-07-12;
X-1: First Pay: 2022-07-27; Redemption: 2023-07-12;
P-2: First Pay: 2022-07-27; Redemption: 2023-07-12;
T: First Pay: 2022-07-27; Redemption: 2023-07-12;
L: First Pay: 2022-07-27; Redemption: 2023-07-12;
R: First Pay: 2022-07-27; Redemption: 2023-07-12;
J: First Pay: 2022-07-27; Redemption: 2023-07-12;
Gqy: First Pay: 2022-07-27; Redemption: 2023-07-12;
Deal Comments
Mof Wzhh Pwneovg 2.00
Reinvestment Period (YRS)
6
Reinvestment Period End Date
Invalid date
WAL Test Period End Date
Invalid date
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE O JKY 37.600 1.90 Xrr3 JJJ - 12.70% - Cfuweuvx 3rVx - 345 3jBo+345 - 718.00000 W1 EWR 11.000 5.50 Gb2 TT - 45.00% - Xkdouour 3mSx - 175 3hPk+175 - 348.00000 T CQI 58.000 70.00 X3 M- - 8.00% - Kcjyupkq 3wNo - 945 3jDd+899 - 64.00000 Z2 EUJ 80.000 7.50 Yn2 UU - 69.00% - Hzqzg RPH - - 1.90% 1.900% 143.00000 L LOV 24.000 7.10 A2 L - 48.50% - Fsqiwoiy 3qTe - 240 3vZa+240 - 176.00000 H-Q DCI 329.000 8.70 Vii WWW - 85.00% - Tpoqlecl 3rJs - 98 3jNw+98 - 351.00000 F IJZ 91.800 4.70 Zi3 FF- - 67.00% - Tyulttks 3gKb - 660 3nTy+617 - 90.00000 M-F BGY 87.000 5.90 Fyy XXX - 74.00% - Rwlspumj 3cYs - 98 3oNj+98 - 511.00000 Ewk BWC 77.200 - IX IG - - - - - - - - - Retained
Tranche Comments
H-Q: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144U/Gbk T;
M-F: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144V/Uxf Y;
W1: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144D/Wlj R;
Z2: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144B/Evp I;
L: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144F/Olp H;
O: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Cus I;
F: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144B/Ial N;
T: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144F/Our J;
Ewk: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144K/Fez L;
Deal Comments
Dwh Gzpp Tfoewyn 2.00
Reinvestment Period (YRS)
9
Reinvestment Period End Date
Invalid date
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE Y NMZ 1.000 - U3 U- - 2.00% - Ezywousa 3oQo - 896 3pXp+896 - - Z JQN 47.000 - Gs3 NN- - 1.00% - Ouwdcsqg 3qFz - 705 3eXp+705 - - Q STU 64.000 - Gt2 YY - 13.00% - Qsuumprl 3jLf - 135 3jFf+135 - 566.00000 U IQD 78.000 - Tjj3 JJJ - 99.20% - Mrmrpdey 3eBm - 375 3tKv+375 - 307.00000 Vhg JLC 60.800 - EA MZ - - - - - - - - - Retained U OQU 519.000 - Pll XXX - 90.00% - Ohjxpice 3mIy - 80 3rGr+80 - 397.00000 I KOU 63.000 - A2 I - 37.00% - Qfvqcals 3fWp - 230 3jLf+230 - 599.00000 HW HIT 97.000 - Qdd YYY - 93.00% - Revzkwvj 3qIa - 80 3hPh+80 - 315.00000
Tranche Comments
U: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144K/Xkn M;
HW: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144X/Vok M;
Q: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144G/Zwp Z;
I: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144M/Zqj I;
U: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144F/Dqe B;
Z: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Y/Jcm N;
Y: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144U/Mdr G;
Vhg: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144D/Iju T;
Deal Comments
Zof Kvss Gnzhoqa 1.00
Risk Retention
CN - Htjwiztf/Rjiwixtwfj
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Invalid date
Class CCY SZE(M) WAL MO SP FI C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE R-2 ZBP 79.000 - Sm2 II - 23.90% - Jfcgm - - - 2.050% - - M-1 VSW 74.610 - Te2 NN - 96.60% - Ffvflhyg 3cIs - 170 3pGk+170 - - N KEP 66.468 - Uaa3 HHH- - 74.50% - Qkbhjwea 3rXa - 435 3cCx+435 - - F SVX 36.870 - Tr2 TT - 79.00% - Mvfaxass 3kPi - 690 3vVw+690 - - K-2 NQD 15.000 - L2 D - 14.76% - Lfnqh - - - 2.900% - - E WFA 352.000 - Wmm YYY - 31.00% - Jzmpevfy 3mDc - 110 3oIp+110 - - J-1 BLG 40.417 - Y2 S - 81.83% - Swsdtifc 3rEu - 275 3vXm+275 - - Q MAE 7.000 - T2 A - 5.00% - Zvbyzach 3vSm - 798 3dJq+798 - - Kwm IBC 91.500 - - - - - - - - - - - - Retained
Deal Comments
Zco Eatt Puttcxj 1.00
Risk Retention
EJ Nzdx Nmymyyzfyk Tmzyzhpf/Pzzdzypyfz
Reinvestment Period (YRS)
6
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