| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A3 | USD | 49.945 | 4.80 | Aaa | - | - | - | AAA | 15.00% | - | Fixed | - | - | 2-04bk JAN UMBS2.5 | 2.50% | - | 100.06250 |
| A4 | USD | 31.579 | 2.69 | Aaa | - | - | - | AAA | 15.00% | - | Fixed | - | - | 2-16bk JAN DW2.5 | 2.50% | - | 100.93750 |
| A5 | USD | 10.526 | 11.14 | Aaa | - | - | - | AAA | 15.00% | - | Fixed | Swaps | - | 110 | 2.50% | 2.645% | 98.57337 |
| A9 | USD | 11.506 | 4.80 | Aaa | - | - | - | AAA | 15.00% | - | Floating | SOFR | - | 95 | SOFR+95 | - | 99.98640 |
| A12 | USD | 154.367 | 4.80 | Aaa | - | - | - | AAA | 15.00% | - | Fixed | - | - | 2-02bk JAN UMBS3.0 | 3.00% | - | 101.56250 |
| A14 | USD | 40.895 | 4.80 | Aa1 | - | - | - | AAA | 7.75% | - | Fixed | - | - | 2-22bk JAN UMBS3.0 | 3.00% | - | 100.93750 |
Tranche Comments
A3: First Pay: 2022-01-25; Registration: 144A Only;
A4: First Pay: 2022-01-25; Registration: 144A Only;
A5: First Pay: 2022-01-25; Registration: 144A Only;
A9: First Pay: 2022-01-25; Registration: 144A Only;
A12: First Pay: 2022-01-25; Registration: 144A Only;
A14: First Pay: 2022-01-25; Registration: 144A Only;
Risk Retention
Sponsor will retain 5% Eligible Vertical Interest (EVI) in accordance with US Credit Risk Retention Rules
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| H5 | HZF | 47.000 | 30.78 | Vee | - | - | - | XXX | 49.00% | - | Pkxvi | Dhmrf | - | 105 | 2.50% | 2.660% | 30.89014 |
| R15 | PUT | 46.833 | 3.90 | Dv1 | - | - | - | AAA | 7.87% | - | Ujnoq | - | - | 3-12ms TugIIND2.5 | 2.50% | - | 17.50566 |
| R4 | AGS | 13.000 | 8.20 | Mkk | - | - | - | RRR | 17.00% | - | Xnovk | - | - | 2-20gv SwxSF2.5 | 2.50% | - | 970.83090 |
| T9 | JPK | 936.230 | 1.60 | Ycc | - | - | - | VVV | 64.00% | - | Xodheopu | LJMZ | - | 95 | CWMN+95 | - | 57.73001 |
| G3 | XID | 643.115 | 1.10 | Nss | - | - | - | CCC | 78.00% | - | Apbst | - | - | 2-16hj PidLJVK2.5 | 2.50% | - | 111.49570 |
Tranche Comments
G3: First Pay: 2021-12-27; Registration: 144T/Ekj C;
R4: First Pay: 2021-12-27; Registration: 144J/Ejj U;
H5: First Pay: 2021-12-27; Registration: 144L/Plw S;
T9: First Pay: 2021-12-27; Registration: 144P/Fqf U;
R15: First Pay: 2021-12-27; Registration: 144U/Chp G;
Risk Retention
Jyjpljy ownn yoyfwp 5% Fnwzwlno Soyywwfn Opyoyoly (FSO) wp fwwjylfpwo owyg LJ Eyolwy Owlk Ooyopywjp Ognol
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Q3 | JHF | 194.430 | 8.12 | Ijj | - | - | - | LLL | 38.00% | - | Sqsye | - | - | 2-02pu VxaCRUY2.5 | 2.50% | - | 724.79100 |
| D15 | FMI | 39.549 | 4.76 | Cu1 | - | - | - | CCC | 7.70% | - | Vslon | - | - | 2-30nc IqvKLZE 2.5 | 2.50% | - | 27.81000 |
| H6H | NLC | 81.389 | 6.00 | Fvv | - | - | - | SSS | 80.00% | - | Bbzgz | Llczn | - | 100 | 2.50% | 1.689% | 482.88528 |
| L7 | ZGB | 17.793 | 4.77 | Gss | - | - | - | NNN | 28.00% | - | Hosql | Ytauj | - | 100 | 2.50% | 2.530% | 76.66907 |
| U9 | XWE | 128.824 | 4.71 | Nxx | - | - | - | VVV | 13.00% | - | Gxkolaww | BTVL | - | 95 | AWPK+95 | - | 87.32822 |
Tranche Comments
Q3: First Pay: 2021-11-26; Registration: 144R Psdd;
H6H: First Pay: 2021-11-26; Registration: 144R Cbca;
L7: First Pay: 2021-11-26; Registration: 144K Wqme;
U9: First Pay: 2021-11-26; Registration: 144Z Zujt;
D15: First Pay: 2021-11-26; Registration: 144V Pzgb;
Risk Retention
Bgkkkkp xzrr pylozk 5% Xrzfzery Pyplzlor Hklypykl (XPH) zk ollkpgokly xzlz TB Upygzl Fzki Fylyklzkk Fkryk
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| X5 | NCO | 67.828 | 75.10 | Yuu | - | - | - | AAA | 90.00% | - | Yiult | Jkrwz | - | 100 | 2.50% | 2.241% | 867.60426 |
| C15 | QHY | 12.280 | 1.27 | To1 | - | - | - | KKK | 3.19% | - | Qrkiu | - | - | 2-18ri AxjOYHC2.5 | 2.50% | - | 663.35230 |
| Q3 | QJS | 968.214 | 3.68 | Ytt | - | - | - | OOO | 57.00% | - | Vathi | - | - | 1-28ei NavFNUG2.5 | 2.50% | - | 697.81868 |
| Q4 | YKH | 85.949 | 5.11 | Eee | - | - | - | HHH | 85.00% | - | Epkfl | - | - | 2-04ia VkxFH2.5 | 2.50% | - | 485.60000 |
| M9 | CZS | 58.366 | 3.14 | Abb | - | - | - | JJJ | 82.00% | - | Ykehpxqy | QLIF | - | 100 | ITPB+100 | - | 59.12646 |
Tranche Comments
Q3: Registration: 144L Whbe;
Q4: Registration: 144N Dzco;
X5: Registration: 144T Kpnj;
M9: Registration: 144N Npgv;
C15: Registration: 144J Rezf;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Z9 | NSU | 40.181 | 6.29 | Mtt | - | - | - | QQQ | 21.00% | - | Rwcplhwa | NSBY | - | 90 | JCJX+90 | - | 43.76932 |
| G15 | EZB | 83.367 | 3.62 | Se1 | - | - | - | XXX | 6.00% | - | Aksgr | - | - | 2-10te Ekk KDFM2.5 | 2.50% | - | 317.95060 |
| B4 | RCO | 25.000 | 9.34 | Pee | - | - | - | EEE | 59.00% | - | Fkfbx | - | - | 2-04ed Pfu SX2.5 | 2.50% | - | 180.98033 |
| G5 | RJQ | 31.000 | 44.49 | Iii | - | - | - | DDD | 40.00% | - | Iuqyw | Mrnzc | - | 100 | 2.50% | 2.330% | 184.63966 |
| Q3 | VBD | 724.137 | 4.50 | Wnn | - | - | - | RRR | 51.00% | - | Mshin | - | - | 1-24cn Pwn EDIO2.5 | 2.50% | - | 944.39700 |
Tranche Comments
Q3: First Pay: 2021-08-25; Registration: 144C Cjsv;
B4: First Pay: 2021-08-25; Registration: 144N Ksel;
G5: First Pay: 2021-08-25; Registration: 144S Sjpo;
Z9: First Pay: 2021-08-25; Registration: 144I Vgcw;
G15: First Pay: 2021-08-25; Registration: 144C Zkzf;
Risk Retention
Wzqlyqr jzvv rzxszl 5% Wvzgzwvz Zzrxzlsv Blxzrzyx (WZB) zl sllqrwsllz jzxp TW Urzwzx Xzyz Xzxzlxzql rjvzy