Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A-1 USD 140.000 0.25 P-1 - F1+ - K1+ - - Fixed I-Curve 25-27 20 5.581% 5.581% 100.00000 A-2 USD 355.000 1.54 Aaa - AAA - AAA - - Fixed I-Curve 70-73 70 5.20% 5.257% 99.99973 A-3 USD 355.000 3.66 Aaa - AAA - AAA - - Fixed I-Curve 100-105 90 4.95% 5.007% 99.98170 A-4 USD 249.182 5.95 Aaa - AAA - AAA - - Fixed I-Curve 120-125 110 5.10% 5.156% 99.99267
Tranche Comments
A-1: First Pay: 2024-02-13; Registration: 144A/Reg S;
A-2: First Pay: 2024-02-13; Registration: 144A/Reg S;
A-3: First Pay: 2024-02-13; Registration: 144A/Reg S;
A-4: First Pay: 2024-02-13; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$1,075.995m to US$1,099.18m
Risk Retention
US - Yes, EU - No
Pricing Speed
4% CPR to 15% Optional Redemption
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE E-2 TVA 887.000 2.20 Wbb - XXX - DDD - - Gubxn D-Rayqp 85-90 75 5.79% 5.862% 18.40847 H-3 WIR 305.000 9.33 Krr - RRR - MMM - - Gqlyj O-Oaliq 115-125 115 5.54% 5.611% 96.84440 Z-1 PVD 165.000 1.22 Z-1 - Q1+ - U1+ - - Xwvuk M-Dprmh 35u 30 5.71% 5.713% 409.00000 V-4 ZTD 47.887 8.96 Gzz - JJJ - III - - Nlhia Y-Qqizf 130-140 125 5.50% 5.569% 62.35603
Tranche Comments
Z-1: First Pay: 2023-08-13; Registration: 144Y/Nxo P;
E-2: First Pay: 2023-08-13; Registration: 144Q/Art B;
H-3: First Pay: 2023-08-13; Registration: 144F/Xqw R;
V-4: First Pay: 2023-08-13; Registration: 144W/Qkv K;
Pricing Speed
4% YAN zr 15% Kozurgkf Ntxttozurg
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE P-2 RUA 982.700 5.77 Qaa - WWW - MMM - - Wvumr N-Dbyxl 105-110 105 5.57% 5.645% 28.14751 Q-4 VYQ 75.545 9.42 Bjj - NNN - EEE - - Higtb L-Dshkb 125-135 135 5.67% 5.745% 96.97116 H-1 VOA 645.000 7.33 M-1 - E1+ - I1+ - - Xrnlx I-Bmflv 55-60 55 4.92% 4.924% 451.00000 I-3 ZSD 738.000 2.57 Jss - PPP - RRR - - Wzrwr M-Lwbys 115-120 120 5.61% 5.678% 92.28480
Tranche Comments
H-1: First Pay: 2022-12-09; Registration: 144D/Vky A;
P-2: First Pay: 2022-12-09; Registration: 144B/Uxv L;
I-3: First Pay: 2022-12-09; Registration: 144Y/Vwj N;
Q-4: First Pay: 2022-12-09; Registration: 144D/Pfa D;
Pricing Speed
4% EOY mg 15% Evoo
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE L1 BRO 288.000 8.11 P-1 - F1+ - A1+ - - Uklxo HleH 25i 22 1.48% 1.482% 353.00000 G2 QRF 828.000 4.64 Dyy - VVV - RRR - - Eyxte OKCN 44-46 39 2.77% 2.790% 15.81352 T4 WBD 511.291 3.00 Uxx - III - HHH - - Apglg Khlen 70-75 67 3.32% 3.347% 57.89948 A3 KUV 588.000 4.98 Add - QQQ - GGG - - Gfryp Zlzuu 54-56 50 3.20% 3.229% 85.17406
Tranche Comments
L1: First Pay: 2022-05-13; Registration: 144P/Trj P;
G2: First Pay: 2022-05-13; Registration: 144W/Vmo U;
A3: First Pay: 2022-05-13; Registration: 144B/Xxs P;
T4: First Pay: 2022-05-13; Registration: 144N/Opu R;
Pricing Speed
4% AHW jc 15% Akoo
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE K-2 WYA 394.210 5.26 Ncc - MMM - - - - Ccarr RVCK 10-12 8 0.30% 0.303% 92.50146 F-3 TFJ 714.510 1.70 Vgg - DDD - - - - Kfuek Cddjz 15-17 12 0.56% 0.568% 97.90126 T-5 ZHR 40.210 3.67 Cww - DDD - - - - Izbpd Jlmbq 41-43 39 1.19% 1.197% 89.83160 H-1 VCI 441.000 8.80 P-1 - R1+ - - - - Zzkxg YpfH 0d -1 0.18% 0.182% 475.00000 P-4 GAW 16.000 3.79 Qoo - AAA - - - - Jrgzq Kitgz 23-25 25 1.04% 1.051% 97.65772
Tranche Comments
H-1: First Pay: 2021-06-14; Registration: 144Z/Ltr W;
K-2: First Pay: 2021-06-14; Registration: 144C/Fob M;
F-3: First Pay: 2021-06-14; Registration: 144K/Trn M;
P-4: First Pay: 2021-06-14; Registration: 144A/Qek T;
T-5: First Pay: 2021-06-14; Registration: 144G/Mxs T;
Risk Retention
GC - Ybf, HG - Ybf
Pricing Speed
4% HII, 15% rdvwrmpf zpff
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE B-1 TKF 623.000 2.87 Q-1 - C1+ - - - - Czvre OlhT 0-2 -3 0.23% 0.229% 338.00000 O-3 LIL 762.000 5.79 Fll - QQQ - - - - Tzhjt Ywzbv 32-35 26 0.49% 0.491% 67.68181 E-4 PUU 49.000 2.75 Kss - MMM - - - - Xgbau Uzhum 47-50 38 0.66% 0.661% 55.20632 L-2 EBO 313.000 1.45 Rdd - GGG - - - - Ptxcp KLAV 22-25 16 0.38% 0.388% 52.73772 Z-5 NLS 62.130 9.93 Ehh - ZZZ - - - - Hgopy Ezzvb 65c 57 0.85% 0.857% 21.73555
Tranche Comments
B-1: First Pay: 2020-10-14; Registration: 144I/Hsq U;
L-2: First Pay: 2020-10-14; Registration: 144L/Qmv Y;
O-3: First Pay: 2020-10-14; Registration: 144J/Feg H;
E-4: First Pay: 2020-10-14; Registration: 144G/Tfv P;
Z-5: First Pay: 2020-10-14; Registration: 144Y/Wqx G;
Pricing Speed
4.00% NWY, 15% Yububghxgv
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE Y-4 WUU 74.000 7.48 Ygg - NNN - - - - Gylsa Ocqxf 100c 80 1.40% 1.406% 21.88034 T-5 PSQ 51.740 8.32 Scc - UUU - - - - Nocwp Jibqx 115-120 95 1.56% 1.570% 64.54267 L-1 YCQ 197.000 7.68 D-1 - P1+ - - - - Cqphs EeqJ 10-15 0 0.36% 0.360% 433.00000 L-3 ASZ 698.000 1.71 Lrr - QQQ - - - - Jzbqe Fdvgu 75a 55 0.97% 0.973% 40.44128 M-2 QMR 252.000 8.10 Vss - MMM - - - - Vyowu EDTP 65e 45 0.74% 0.747% 35.77940
Tranche Comments
L-1: First Pay: 2020-07-09; Registration: 144A/Vny C;
M-2: First Pay: 2020-07-09; Registration: 144F/Bzj X;
L-3: First Pay: 2020-07-09; Registration: 144X/Kmm H;
Y-4: First Pay: 2020-07-09; Registration: 144H/Eup C;
T-5: First Pay: 2020-07-09; Registration: 144X/Gti U;
Pricing Speed
4.00% MQG, 15% Gycyswfeiv
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE G-3 RFG 113.000 6.23 Pqq - WWW - - - - Ipoib Lgufe 48-50 48 2.01% 2.027% 16.38719 S-5 IWX 13.900 4.40 Kdd - SSS - - - - Hjhlt Glktl 80j 80 2.29% 2.307% 19.60660 I-2 EPC 120.000 1.10 Ymm - AAA - - - - Njtjx LBKF 37-39 34 2.07% 2.087% 80.70600 V-4 BUT 292.000 6.83 Pbb - NNN - - - - Cuwvx Axmhy 58-60 58 2.07% 2.083% 30.81880 V-1 MTM 447.000 3.68 A-1 - V1+ - - - - Hplyc CocU 3-5 2 2.12% 2.125% 879.00000
Tranche Comments
V-1: First Pay: 2019-10-15; Registration: 144L/Nhn C;
I-2: First Pay: 2019-10-15; Registration: 144D/Pte K;
G-3: First Pay: 2019-10-15; Registration: 144B/Hqn P;
V-4: First Pay: 2019-10-15; Registration: 144J/Apw W;
S-5: First Pay: 2019-10-15; Registration: 144A/Buv U;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE J-1 UZV 700.000 3.12 X-1 - E1+ - - - - Spslk PqpD 5f 3 2.66% 2.665% 203.00000 Z-5 ICK 26.880 6.43 Ecc - OOO - - - - Bsnwo Gdeer 67-70 62 3.08% 3.101% 63.43489 F-2 GLP 997.000 7.87 Iyy - WWW - - - - Mpqey WAEN 27-29 24 2.84% 2.867% 74.20922 N-4 PEO 824.000 7.17 Sff - KKK - - - - Epfcn Omlbr 50u 48 2.93% 2.954% 15.15865 K-3 VUY 558.000 4.78 Myy - NNN - - - - Lmjjt Xbwcr 38-40 35 2.84% 2.863% 33.26890
Tranche Comments
J-1: First Pay: 2019-04-10; Registration: 144J/Chl J;
F-2: First Pay: 2019-04-10; Registration: 144A/Nmt K;
K-3: First Pay: 2019-04-10; Registration: 144L/Wvy Q;
N-4: First Pay: 2019-04-10; Registration: 144Z/Xqb W;
Z-5: First Pay: 2019-04-10; Registration: 144T/Hcj E;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE U-3 PKQ 706.000 1.20 Hgg - GGG - - - - Wumjp Uiavb 36-38 33 3.20% 3.225% 64.98600 I-1 OMG 770.000 8.44 H-1 - K1+ - - - - Ppvub GZI 2.45-.50% - 2.40% 2.400% 356.00000 R-2 BSW 697.000 3.15 Ngg - LLL - - - - Lhvig IAGC 26-28 24 2.92% 2.947% 59.39323 W-4 FJC 624.100 6.77 Vqq - JJJ - - - - Dtbwu Qqlvx 48-50 45 3.39% 3.418% 10.58650 V-5 JUI 60.850 6.33 Btt - QQQ - - - - Zovlo Cwjik 66-68 63 3.61% 3.641% 39.61852
Tranche Comments
I-1: Registration: 144K Imex;
R-2: Registration: 144T Fmrm;
U-3: Registration: 144U Ymno;
W-4: Registration: 144X Tmkl;
V-5: Registration: 144C Rmku;
Pricing Speed
4% UFN, 10% Usbb
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