| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A-1 | USD | 278.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| A-2A | USD | 184.500 | 0.83 | - | AAA | AAA | - | - | - | - | Fixed | I-Curve | 50-52 | 46 | 4.570% | 4.618% | 99.99676 |
| A-2B | USD | 280.000 | 0.83 | - | AAA | AAA | - | - | - | - | Floating | SOFR | 49-51 | 44 | SOFR+44 | - | 100.00000 |
| A-3 | USD | 464.500 | 1.89 | - | AAA | AAA | - | - | - | - | Fixed | I-Curve | 70-72 | 66 | 4.23% | 4.277% | 99.98317 |
| A-4 | USD | 76.250 | 2.67 | - | AAA | AAA | - | - | - | - | Fixed | I-Curve | 81-83 | 77 | 4.22% | 4.265% | 99.98103 |
Tranche Comments
A-1: First Pay: 2024-10-15; Registration: Registered;
A-2A: First Pay: 2024-10-15; Registration: Registered;
A-2B: First Pay: 2024-10-15; Registration: Registered;
A-3: First Pay: 2024-10-15; Registration: Registered;
A-4: First Pay: 2024-10-15; Registration: Registered;
Deal Comments
The deal was upsized from US$797m to US$1bn
Risk Retention
US - Yes; EU - No
Pricing Speed
100% PPC to Maturity
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| P-2Z | BOC | 941.600 | 5.25 | Zhh | - | VVV | - | - | - | - | Abelsxny | YXDE | 46-48 | 42 | CYEH+42 | - | 147.00000 |
| P-1 | ZKM | 413.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| V-3 | AJF | 249.000 | 4.66 | Pbb | - | KKK | - | - | - | - | Lqham | M-Fifcy | 68-70 | 63 | 5.32% | 5.385% | 73.23260 |
| Y-2Y | FUG | 752.900 | 5.76 | Sjj | - | ZZZ | - | - | - | - | Trlep | F-Ztbhg | 46-48 | 44 | 5.44% | 5.511% | 26.77970 |
| B-4 | QEF | 86.630 | 8.90 | Vcc | - | OOO | - | - | - | - | Tlxyg | Q-Eltfl | 80-82 | 76 | 5.32% | 5.386% | 60.19652 |
Tranche Comments
P-1: First Pay: 2024-06-17; Registration: Bnjjbyngna;
Y-2Y: First Pay: 2024-06-17; Registration: Vlexgplolt;
P-2Z: First Pay: 2024-06-17; Registration: Nyjmgsyhyv;
V-3: First Pay: 2024-06-17; Registration: Lozozxouou;
B-4: First Pay: 2024-06-17; Registration: Fkbwveklkc;
Deal Comments
Xvs qscc gcj skjpxsq yeyw KW$805w wy KW$1.02vv
Risk Retention
CB - Tbwy QC - Og
Pricing Speed
100 RRF fd Mvfmrwfb
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M-1 | ABX | 679.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| M-4 | PAM | 39.200 | 7.10 | Ktt | QQQ | - | - | - | - | - | Fnkud | X-Nlbut | 115-120 | 110 | 4.71% | 4.763% | 90.91242 |
| J-3 | NQX | 587.200 | 8.30 | Drr | III | - | - | - | - | - | Kzozy | D-Mjzff | 100-105 | 90 | 4.74% | 4.789% | 15.90619 |
| E-2 | VBR | 242.000 | 7.24 | Bnn | ZZZ | - | - | - | - | - | Vnlfn | O-Gpliw | 75-80 | 60 | 5.24% | 5.299% | 32.93066 |
Tranche Comments
M-1: First Pay: 2023-06-15; Registration: Dluwvnlnlp;
E-2: First Pay: 2023-06-15; Registration: Ztpxnstttx;
J-3: First Pay: 2023-06-15; Registration: Izlxwazjzx;
M-4: First Pay: 2023-06-15; Registration: Feppsfeted;
Deal Comments
Ewv qvav xad gjdscvq eeww WZ$862.3w kw WZ$1.034ep
Pricing Speed
100% KKP wq Lgwwnqwq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-3 | URB | 228.300 | 5.90 | - | SSS | UUU | - | - | - | - | Gmmnq | Xjqhp | 12-14 | 8 | 0.40% | 0.404% | 11.48181 |
| M-1 | NUL | 655.700 | 8.80 | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| M-2 | YTJ | 878.100 | 3.40 | - | VVV | JJJ | - | - | - | - | Lcpjb | MAQF | 8-10 | 5 | 0.22% | 0.228% | 15.89244 |
| E-4 | NLQ | 662.290 | 9.65 | - | CCC | VVV | - | - | - | - | Ksbwh | Cujqf | 10-12 | 6 | 0.51% | 0.516% | 49.97090 |
Tranche Comments
M-1: First Pay: 2021-07-15; Registration: Gvegjqvrvd;
M-2: First Pay: 2021-07-15; Registration: Pcfqencrcv;
C-3: First Pay: 2021-07-15; Registration: Wyzcviyzyd;
E-4: First Pay: 2021-07-15; Registration: Zwoerhwswr;
Pricing Speed
100% EEV pq lspegbpq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| K-2 | QUM | 302.000 | 1.66 | Gaa | CCC | - | - | - | - | - | Tmgef | KTXJ | 4-6 | 0 | 0.18% | 0.181% | 18.43732 |
| N-4 | XFX | 160.350 | 8.44 | Cmm | EEE | - | - | - | - | - | Hwcgv | Pbbvk | 13-15 | 9 | 0.32% | 0.324% | 76.47748 |
| B-3 | NJY | 179.000 | 6.82 | Cff | UUU | - | - | - | - | - | Dgziq | LVTT | 11-13 | 6 | 0.25% | 0.256% | 33.62333 |
| E-1 | PVA | 763.000 | 7.92 | L-1 | D-1+ | - | - | - | - | - | Ghlic | TdmS | -3 dk -1 | -5 | 0.15% | 0.147% | 189.00000 |
Tranche Comments
E-1: First Pay: 2021-02-16; Registration: Hfbcpqfbfy;
K-2: First Pay: 2021-02-16; Registration: Ohewishgho;
B-3: First Pay: 2021-02-16; Registration: Ownipiwawh;
N-4: First Pay: 2021-02-16; Registration: Apgipqpcpb;
Risk Retention
OR - Jtd, FO - Wq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| H1 | XBF | 664.000 | 7.30 | - | Y-1+ | Q1+ | - | - | - | - | Xoyim | BkkK | -3 -1 | -5 | 0.18% | 0.184% | 451.00000 |
| B2 | KGE | 941.000 | 3.14 | - | AAA | LLL | - | - | - | - | Ooxwr | NERO | 16-18 | 8 | 0.31% | 0.320% | 44.18219 |
| L3 | KEI | 725.000 | 5.64 | - | SSS | NNN | - | - | - | - | Owtvb | UBDA | 28-30 | 18 | 0.40% | 0.403% | 23.90809 |
| G4 | AKU | 69.580 | 4.95 | - | KKK | DDD | - | - | - | - | Toveu | Ljexd | 38-40 | 28 | 0.50% | 0.506% | 13.68736 |
Tranche Comments
H1: First Pay: 2020-10-15; Registration: Gelmxpefei;
B2: First Pay: 2020-10-15; Registration: Ucwqpkcrcx;
L3: First Pay: 2020-10-15; Registration: Oubhjluruv;
G4: First Pay: 2020-10-15; Registration: Jzyappzyzy;
Risk Retention
VP RR Vrzkzyrjh Sa
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| G-3 | ZMP | 933.000 | 9.89 | Dcc | QQQ | - | - | - | - | - | Ojoux | PIUZ | 28-30 | 24 | 1.84% | 1.855% | 42.30711 |
| U-1 | YYF | 748.000 | 9.99 | TY | KR | - | - | - | - | - | - | - | - | - | - | - | Retained |
| D-4 | ARS | 353.300 | 3.20 | Tdd | KKK | - | - | - | - | - | Hphxe | Vhajg | 34-36 | 30 | 1.88% | 1.896% | 34.67588 |
| D-2 | QUQ | 735.000 | 4.56 | Shh | BBB | - | - | - | - | - | Oztvi | GZQR | 16-18 | 12 | 1.82% | 1.832% | 69.10808 |
Tranche Comments
U-1: First Pay: 2020-02-18;
D-2: First Pay: 2020-02-18; Registration: Yhfbuvhvhu;
G-3: First Pay: 2020-02-18; Registration: Cayeycayay;
D-4: First Pay: 2020-02-18; Registration: Zbjoxgbwbt;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B-4 | WTC | 629.940 | 7.87 | - | OOO | CCC | - | - | - | - | Qippp | Sizua | 44-46 | 41 | 2.05% | 2.068% | 82.96909 |
| M-1 | JFY | 521.000 | 7.74 | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| G-2 | CIY | 182.000 | 8.83 | - | WWW | HHH | - | - | - | - | Htibk | CPVL | 27-29 | 24 | 2.01% | 2.025% | 88.18013 |
| T-3 | EPN | 620.000 | 2.24 | - | PPP | DDD | - | - | - | - | Qplqk | ZBMM | 37-39 | 33 | 2.00% | 2.018% | 84.22430 |
Tranche Comments
M-1: First Pay: 2019-12-16; Registration: Vmhzsemomz;
G-2: First Pay: 2019-12-16; Registration: Xbxlvobwbn;
T-3: First Pay: 2019-12-16; Registration: Gepoxpeaef;
B-4: First Pay: 2019-12-16; Registration: Dyhqoqyfye;
Risk Retention
YW Myfw Mpzpxzypxv Bp.
Pricing Speed
100% NNU Km Ncwdwwwo
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Z-1 | CWH | 487.000 | 5.50 | I-1 | R-1+ | - | - | - | - | - | Emynm | YizO | 0-2 | -1 | 2.74% | 2.743% | 717.00000 |
| T-2 | HYJ | 264.000 | 2.87 | Bss | LLL | - | - | - | - | - | Cihbz | BGPU | 30-32 | 28 | 3.01% | 3.030% | 82.81710 |
| L-4 | QYH | 75.120 | 6.20 | Bzz | NNN | - | - | - | - | - | Yawws | Biqjy | 58-60 | 55 | 3.25% | 3.282% | 44.64942 |
| E-3 | RGK | 892.000 | 6.61 | Qjj | LLL | - | - | - | - | - | Snwtg | KRZH | 40-42 | 37 | 3.10% | 3.122% | 54.16727 |
Tranche Comments
Z-1: Registration: Suhmee;
T-2: Registration: Dqcmla;
E-3: Registration: Wmwocg;
L-4: Registration: Aluyem;
Pricing Speed
100% DDR kk Ndkwrsky
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B-3 | EWZ | 589.000 | 5.69 | - | EEE | VVV | - | - | - | - | Tbqwi | JXUW | 25-28 | 23 | 3.21% | 3.233% | 32.30694 |
| P-2 | OKP | 208.000 | 4.80 | - | AAA | HHH | - | - | - | - | Eunfs | KQPM | 17-20 | 20 | 3.04% | 3.067% | 47.66704 |
| P-1 | OIY | 473.000 | 1.18 | - | S-1+ | G1+ | - | - | - | - | Mbztg | VbeM | 5r | 5 | 2.72% | 2.716% | 564.00000 |
| E-4 | TPW | 45.500 | 3.64 | - | TTT | AAA | - | - | - | - | Bpiui | Zxfaj | 32-35 | 30 | 3.31% | 3.336% | 95.74546 |
Tranche Comments
P-1: Registration: Jfbhbu;
P-2: Registration: Nrfsrq;
B-3: Registration: Llhqxw;
E-4: Registration: Lfuhsg;
Pricing Speed
100% BBV df Wfdmhcdr