| 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 |
|---|
| R-1 | LIY | 680.000 | 2.27 | P-1 | - | O1+ | - | O1+ | - | - | Pqfnb | T-Vxabu | 35k | 30 | 5.71% | 5.713% | 419.00000 |
| D-2 | NTZ | 888.000 | 4.60 | Luu | - | PPP | - | HHH | - | - | Rkinw | X-Dndqm | 85-90 | 75 | 5.79% | 5.862% | 42.37137 |
| L-3 | MYS | 637.000 | 1.41 | Jss | - | XXX | - | CCC | - | - | Rejme | J-Zbuda | 115-125 | 115 | 5.54% | 5.611% | 71.59410 |
| D-4 | BHG | 36.776 | 5.87 | Xll | - | KKK | - | LLL | - | - | Hijjr | Q-Eywos | 130-140 | 125 | 5.50% | 5.569% | 16.56677 |
Tranche Comments
R-1: First Pay: 2023-08-13; Registration: 144P/Ood X;
D-2: First Pay: 2023-08-13; Registration: 144U/Vkj M;
L-3: First Pay: 2023-08-13; Registration: 144D/Dko I;
D-4: First Pay: 2023-08-13; Registration: 144Q/Mks R;
Pricing Speed
4% GZC rf 15% Tzrofhtj Czyzjzrofh
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| K-2 | MFC | 807.200 | 2.91 | Zgg | - | RRR | - | NNN | - | - | Boumu | Y-Ijdlq | 105-110 | 105 | 5.57% | 5.645% | 17.68770 |
| O-4 | ZKG | 78.710 | 1.66 | Vww | - | AAA | - | CCC | - | - | Jzuaa | E-Pkyud | 125-135 | 135 | 5.67% | 5.745% | 79.39633 |
| T-3 | UBQ | 758.000 | 6.59 | Iii | - | TTT | - | CCC | - | - | Jbxsb | S-Esnmf | 115-120 | 120 | 5.61% | 5.678% | 13.34906 |
| S-1 | KYX | 566.000 | 5.73 | O-1 | - | F1+ | - | X1+ | - | - | Humtv | G-Hjukm | 55-60 | 55 | 4.92% | 4.924% | 853.00000 |
Tranche Comments
S-1: First Pay: 2022-12-09; Registration: 144Y/Rdf T;
K-2: First Pay: 2022-12-09; Registration: 144M/Dhj S;
T-3: First Pay: 2022-12-09; Registration: 144J/Fjl H;
O-4: First Pay: 2022-12-09; Registration: 144I/Gsb S;
Pricing Speed
4% LST jr 15% Lwnn
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V3 | FNS | 830.000 | 5.89 | Czz | - | III | - | HHH | - | - | Xgmiy | Kyzrw | 54-56 | 50 | 3.20% | 3.229% | 97.45943 |
| G1 | ZGC | 291.000 | 6.30 | L-1 | - | F1+ | - | X1+ | - | - | Qylzi | FjwM | 25f | 22 | 1.48% | 1.482% | 414.00000 |
| T2 | ZVR | 276.000 | 8.96 | Qcc | - | HHH | - | HHH | - | - | Pqyer | YYBT | 44-46 | 39 | 2.77% | 2.790% | 11.37012 |
| A4 | GFL | 337.210 | 7.00 | Emm | - | BBB | - | QQQ | - | - | Huhew | Scviz | 70-75 | 67 | 3.32% | 3.347% | 42.66897 |
Tranche Comments
G1: First Pay: 2022-05-13; Registration: 144T/Xix A;
T2: First Pay: 2022-05-13; Registration: 144D/Gsh P;
V3: First Pay: 2022-05-13; Registration: 144G/Prd R;
A4: First Pay: 2022-05-13; Registration: 144H/Bzf M;
Pricing Speed
4% OGA sp 15% Opnn
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| F-5 | AHQ | 13.440 | 9.70 | Oaa | - | HHH | - | - | - | - | Hnyxa | Ktczr | 41-43 | 39 | 1.19% | 1.197% | 87.37750 |
| E-1 | YVP | 968.000 | 3.54 | J-1 | - | B1+ | - | - | - | - | Rkafn | MgpI | 0f | -1 | 0.18% | 0.182% | 395.00000 |
| W-2 | RNN | 520.880 | 3.81 | Vhh | - | PPP | - | - | - | - | Irfif | ZXTL | 10-12 | 8 | 0.30% | 0.303% | 14.90321 |
| Z-3 | RVG | 597.630 | 1.98 | Uqq | - | PPP | - | - | - | - | Rfnqe | Efmov | 15-17 | 12 | 0.56% | 0.568% | 13.87371 |
| X-4 | NAC | 39.000 | 3.34 | Jzz | - | III | - | - | - | - | Rstkb | Zknta | 23-25 | 25 | 1.04% | 1.051% | 54.75851 |
Tranche Comments
E-1: First Pay: 2021-06-14; Registration: 144W/Ejv F;
W-2: First Pay: 2021-06-14; Registration: 144O/Wji T;
Z-3: First Pay: 2021-06-14; Registration: 144C/Gqy K;
X-4: First Pay: 2021-06-14; Registration: 144P/Rkb L;
F-5: First Pay: 2021-06-14; Registration: 144B/Yob Z;
Risk Retention
RO - Zjj, FR - Zjj
Pricing Speed
4% LOM, 15% okkpoodm xdmm
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O-4 | WEW | 85.000 | 9.14 | Jtt | - | WWW | - | - | - | - | Nambz | Cyltw | 47-50 | 38 | 0.66% | 0.661% | 61.21457 |
| I-3 | AQP | 314.000 | 3.54 | Vww | - | FFF | - | - | - | - | Dpkpu | Buhec | 32-35 | 26 | 0.49% | 0.491% | 89.76534 |
| W-2 | LKL | 930.000 | 8.81 | Gff | - | DDD | - | - | - | - | Mcixm | URTR | 22-25 | 16 | 0.38% | 0.388% | 57.66769 |
| K-5 | FIL | 54.760 | 3.20 | Pcc | - | QQQ | - | - | - | - | Pjpsd | Eugnh | 65k | 57 | 0.85% | 0.857% | 60.61504 |
| A-1 | LXA | 339.000 | 2.83 | N-1 | - | I1+ | - | - | - | - | Fsvjm | YgqP | 0-2 | -3 | 0.23% | 0.229% | 378.00000 |
Tranche Comments
A-1: First Pay: 2020-10-14; Registration: 144W/Gvh O;
W-2: First Pay: 2020-10-14; Registration: 144O/Xac Q;
I-3: First Pay: 2020-10-14; Registration: 144Y/Tqy F;
O-4: First Pay: 2020-10-14; Registration: 144I/Hbx H;
K-5: First Pay: 2020-10-14; Registration: 144W/Xin I;
Pricing Speed
4.00% ICD, 15% Dhbhlcfhxk
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| K-3 | FZD | 469.000 | 3.14 | Qzz | - | TTT | - | - | - | - | Pcmvh | Chumj | 75r | 55 | 0.97% | 0.973% | 41.90942 |
| T-1 | ZVY | 615.000 | 2.53 | B-1 | - | O1+ | - | - | - | - | Qncpi | EhfW | 10-15 | 0 | 0.36% | 0.360% | 739.00000 |
| I-4 | ZHO | 51.000 | 4.23 | Muu | - | TTT | - | - | - | - | Utpnr | Ltihc | 100l | 80 | 1.40% | 1.406% | 13.98298 |
| H-2 | OPM | 584.000 | 3.40 | Lrr | - | FFF | - | - | - | - | Snpty | KTAK | 65q | 45 | 0.74% | 0.747% | 94.56160 |
| A-5 | WOS | 33.730 | 4.73 | Hxx | - | ZZZ | - | - | - | - | Rcywm | Hcdzr | 115-120 | 95 | 1.56% | 1.570% | 68.87792 |
Tranche Comments
T-1: First Pay: 2020-07-09; Registration: 144D/Adb O;
H-2: First Pay: 2020-07-09; Registration: 144K/Uhw K;
K-3: First Pay: 2020-07-09; Registration: 144W/Wix Q;
I-4: First Pay: 2020-07-09; Registration: 144N/Ueu R;
A-5: First Pay: 2020-07-09; Registration: 144P/Ipt C;
Pricing Speed
4.00% XBI, 15% Ilylqazcvh
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| G-2 | ZXZ | 461.000 | 6.91 | Crr | - | WWW | - | - | - | - | Ahjen | HYCB | 37-39 | 34 | 2.07% | 2.087% | 41.35710 |
| M-3 | VEB | 987.000 | 3.77 | See | - | UUU | - | - | - | - | Xrwcv | Sqypz | 48-50 | 48 | 2.01% | 2.027% | 81.81199 |
| W-4 | ITU | 395.000 | 4.15 | Bnn | - | HHH | - | - | - | - | Xbovy | Yvyqk | 58-60 | 58 | 2.07% | 2.083% | 14.74967 |
| X-1 | IBH | 380.000 | 4.67 | A-1 | - | Z1+ | - | - | - | - | Yfuny | SslG | 3-5 | 2 | 2.12% | 2.125% | 128.00000 |
| J-5 | MOF | 74.300 | 5.40 | Oww | - | SSS | - | - | - | - | Dbrnj | Twrmm | 80v | 80 | 2.29% | 2.307% | 87.59400 |
Tranche Comments
X-1: First Pay: 2019-10-15; Registration: 144N/Abx S;
G-2: First Pay: 2019-10-15; Registration: 144H/Onz U;
M-3: First Pay: 2019-10-15; Registration: 144H/Rbf X;
W-4: First Pay: 2019-10-15; Registration: 144H/Cee G;
J-5: First Pay: 2019-10-15; Registration: 144F/Bzy L;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| N-1 | BUA | 334.000 | 4.52 | T-1 | - | Q1+ | - | - | - | - | Olcqo | NgxR | 5t | 3 | 2.66% | 2.665% | 744.00000 |
| K-2 | XAY | 949.000 | 2.79 | Naa | - | RRR | - | - | - | - | Zkajq | ZJBR | 27-29 | 24 | 2.84% | 2.867% | 38.15254 |
| Z-5 | TSH | 56.820 | 8.64 | Nhh | - | QQQ | - | - | - | - | Lalvz | Wjtfv | 67-70 | 62 | 3.08% | 3.101% | 37.77977 |
| D-3 | GFO | 494.000 | 6.68 | Fxx | - | VVV | - | - | - | - | Xvzjr | Htihk | 38-40 | 35 | 2.84% | 2.863% | 15.13170 |
| M-4 | EXS | 776.000 | 3.38 | Jqq | - | QQQ | - | - | - | - | Wuikc | Txvqf | 50w | 48 | 2.93% | 2.954% | 35.95015 |
Tranche Comments
N-1: First Pay: 2019-04-10; Registration: 144F/Ram D;
K-2: First Pay: 2019-04-10; Registration: 144M/Yrl R;
D-3: First Pay: 2019-04-10; Registration: 144A/Lha L;
M-4: First Pay: 2019-04-10; Registration: 144N/Tij Z;
Z-5: First Pay: 2019-04-10; Registration: 144Q/Dvw X;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M-4 | WME | 164.700 | 9.58 | Chh | - | XXX | - | - | - | - | Dgjgz | Dcnoc | 48-50 | 45 | 3.39% | 3.418% | 43.88100 |
| V-1 | PFH | 309.000 | 1.11 | D-1 | - | J1+ | - | - | - | - | Orwme | XKZ | 2.45-.50% | - | 2.40% | 2.400% | 889.00000 |
| Q-2 | IXU | 188.000 | 8.85 | Ioo | - | HHH | - | - | - | - | Twsnb | HHNP | 26-28 | 24 | 2.92% | 2.947% | 23.16880 |
| Q-5 | LSP | 64.340 | 6.17 | Jvv | - | BBB | - | - | - | - | Dytxa | Uvagk | 66-68 | 63 | 3.61% | 3.641% | 18.65975 |
| E-3 | YGP | 259.000 | 4.70 | Loo | - | HHH | - | - | - | - | Ishmu | Yzyib | 36-38 | 33 | 3.20% | 3.225% | 97.44690 |
Tranche Comments
V-1: Registration: 144Q Edrx;
Q-2: Registration: 144M Mwwn;
E-3: Registration: 144S Pklx;
M-4: Registration: 144I Qmct;
Q-5: Registration: 144A Vwvt;
Pricing Speed
4% CEX, 10% Ctll