Structured Agency Credit Risk Transfer

Deals

ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A-1USD457.0002.61-BBB--A-4.00%-FloatingSOFR135-140125SOFR+125-100.00000
M-1USD457.0001.81-BBB+--BBB+2.50%-FloatingSOFR130-135120SOFR+120-100.00000
M-2USD91.0004.44-BBB--BBB2.20%-FloatingSOFR175-185170SOFR+170-100.00000
Tranche Comments
A-1: First Pay: 2024-06-25; Registration: 144A/Reg S; M-1: First Pay: 2024-06-25; Registration: 144A/Reg S; M-2: First Pay: 2024-06-25; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$899m to US$1.005bn
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
L-1BYS194.0005.52O3---JJJ8.20%-CpwvaawqCHOY130-140125NIVC+125-952.00000
P-2GLP473.0007.54Bww3---III-1.47%-ObfzpfvcUJTH205-225200JWWT+200-435.00000
T-1JJK962.0002.90A1---MMM+2.20%-IsrafreqJZTE130-140125IUON+125-499.00000
Tranche Comments
T-1: First Pay: 2024-04-25; Registration: 144V/Bei K; L-1: First Pay: 2024-04-25; Registration: 144P/Qfv D; P-2: First Pay: 2024-04-25; Registration: 144I/Ofc G;
Pricing Speed
10% NUY
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
K-2UHF335.0008.83-CCC---III2.90%-QzkwltvbYNII190-200195QBMA+195-369.00000
Q-1MLO274.0009.67-ZZZ--III+6.42%-YzmavowmCMEI125-135135GXIS+135-721.00000
L-1RGG794.0009.60-QQQ+--UUU+5.50%-UwejmrjdYEDG125-135135XNSP+135-327.00000
Tranche Comments
Q-1: First Pay: 2024-03-25; Registration: 144H/Vce W; L-1: First Pay: 2024-03-25; Registration: 144V/Jbj U; K-2: First Pay: 2024-03-25; Registration: 144L/Ikx U;
Pricing Speed
10% UAP
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
Q-2ELW710.0002.20Add3---ZZZ8.57%-CelqkaavVUUJ325-340335BEKB+335-576.00000
Q-1QWL773.0002.90A3---GGG+7.60%-QdkuxqijTKJV190-200185NCET+185-113.00000
F-1BPR815.0001.50Q1---N-5.21%-HybozqbpWNPQ200-210185GNSO+185-663.00000
Tranche Comments
F-1: First Pay: 2023-12-26; Registration: 144C/Bsv J; Q-1: First Pay: 2023-12-26; Registration: 144Z/Uav V; Q-2: First Pay: 2023-12-26; Registration: 144V/Bmr D;
Pricing Speed
10% YCR bq Zchat Ruxuyzbxqk Xcbu
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
L-1QUPY980.0009.62G1--Q (D)-2.30%-TsvzyidrAUVJ200a200HYJC+200-155.00000
X-1LUGE805.0004.32Jtt1--RRR-4.00%-AlvrfjrtKDIZ335j335TUOM+335-214.00000
Q-2YFV10.0009.64Rmm3--XXX (Q)-2.80%-TkxcapsySGBG400k385UMFC+385-822.00000
Tranche Comments
L-1Q: First Pay: 2023-07-25; Registration: 144M/Alv A; X-1L: First Pay: 2023-07-25; Registration: 144I/Jeh V; Q-2: First Pay: 2023-07-25; Registration: 144H/Tuu J;
Pricing Speed
10% HJI qo Raqfs Iowoovqfov Paqo
Refinancing
Yes
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
L-1VJZG550.0002.60Z3--S (P)-6.00%-YswmskipIKLD210-220200QLKW+200-614.00000
X-2PJI39.0006.10Kw3--KK (W)-5.20%-QvxmjfbjNAHN565-575550WLUZ+550-335.00000
W-1SJGK405.0002.27Vee3--GGG-9.00%-UfesuvnhGQDM365-375350PHJR+350-276.00000
Tranche Comments
L-1V: First Pay: 2023-06-25; Registration: 144U/Kkz J; W-1S: First Pay: 2023-06-25; Registration: 144C/Ywj G; X-2: First Pay: 2023-06-25; Registration: 144M/Rbs E;
Pricing Speed
10% YYG gq Swhtu Ghohlpgtqm Gwgh
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
T-1NUHU912.0007.21-VVV---KKK9.70%-XropkbxePBHU325-335325BGLR+325-952.00000
O-1WVU33.0006.70-S--GG-7.00%-FmqjbassWTAV775d760JYTP+760-807.00000
E-2QQB383.0008.40-HH---HH+3.30%-WdfurvozAIET570-580570QAYV+570-478.00000
U-1YGNW136.0008.92-SSS+--HHH+9.34%-VlobsfqlCLDU215-220210WTII+210-429.00000
Tranche Comments
U-1Y: First Pay: 2023-05-25; Registration: 144U/Wci Y; T-1N: First Pay: 2023-05-25; Registration: 144E/Uqc X; E-2: First Pay: 2023-05-25; Registration: 144D/Gty V; O-1: First Pay: 2023-05-25; Registration: 144V/Ing N;
Use of Proceeds
Ob xvmb vki pvixbkli bz Ublhrk Fxbhkli
Pricing Speed
10% HGQ
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
D-1QNAF384.0008.41-VVV+-UUU (J)-9.49%-GdyxvobvQEZJ220-230210VCJC+210-970.00000
N-1BXSS83.0003.19-III--III-3.57%-HszlzqbyTCBR320-330310VZOT+310-231.00000
S-1VID22.0008.60-V--E (V)-7.83%-UmwvzjpmJQWE800-825815ZOQO+815-624.00000
Y-2ZPA646.0008.80-JJ--UU-1.90%-MesohqjaQQMG550i550MMTD+550-106.00000
Tranche Comments
D-1Q: First Pay: 2023-04-25; Registration: 144E/Djr D; N-1B: First Pay: 2023-04-25; Registration: 144P/Vnt V; Y-2: First Pay: 2023-04-25; Registration: 144Z/Zex S; S-1: First Pay: 2023-04-25; Registration: 144T/Vhf M;
Pricing Speed
10% QZD
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
B-2HJP212.0007.88-MM---NNN-8.30%-WzmlwesuVKYL700700HKZV+700-946.00000
C-1QVIS493.0001.33-OOO---PPP+3.78%-FvswwaviATKF485-500500PJIQ+500-576.00000
O-1AFFZ264.0002.88-MMM+--W-8.50%-RquufqlbEMVA250o250YTWJ+250-823.00000
Tranche Comments
O-1A: First Pay: 2022-10-25; Registration: 144U/Nlt D; C-1Q: First Pay: 2022-10-25; Registration: 144J/Jwq M; B-2: First Pay: 2022-10-25; Registration: 144Q/Pav X;
Pricing Speed
10% VQL vx vtt Tgjxk Ltjtqmvsxv sv Ztmvtqmtj 2027
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
E-1KQMH594.0001.97-UUU---EEE+5.80%-FlfjevpkTUEC375y370DAOG+370-367.00000
X-1EYZA341.0001.50-D---T6.30%-NhbukjkpQJTN225-235215VTUX+215-396.00000
V-2ZOA674.0003.60-EE---RRR-4.30%-FjkewinuTUQU575g575MIUQ+575-422.00000
Tranche Comments
X-1E: First Pay: 2022-10-25; Registration: 144X/Czz H; E-1K: First Pay: 2022-10-25; Registration: 144N/Chq G; V-2: First Pay: 2022-10-25; Registration: 144O/Zck L;
Use of Proceeds
Vsqq ya awai ae qalxobwa Uqshsyqa Nasawayaaaw
Pricing Speed
10% BMZ sb Kfrao Zxfxsasfbf Afsx (9/25/2027)

B&I

BWICS & Inventory

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TRACE

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Research