| 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-3 | IRS | 625.000 | 7.30 | Nzz | - | JJJ | - | YYY | - | - | Rnfam | K-Tdruq | 115-125 | 115 | 5.54% | 5.611% | 85.71410 |
| U-1 | KSA | 299.000 | 3.77 | C-1 | - | D1+ | - | B1+ | - | - | Alzwl | E-Dkfnc | 35c | 30 | 5.71% | 5.713% | 253.00000 |
| Q-4 | NBA | 67.518 | 4.40 | Pww | - | BBB | - | QQQ | - | - | Ywcln | U-Hmhqk | 130-140 | 125 | 5.50% | 5.569% | 93.36993 |
| D-2 | AGK | 103.000 | 7.30 | Vzz | - | CCC | - | EEE | - | - | Dvpws | O-Zfwdc | 85-90 | 75 | 5.79% | 5.862% | 70.22261 |
Tranche Comments
U-1: First Pay: 2023-08-13; Registration: 144O/Hsc U;
D-2: First Pay: 2023-08-13; Registration: 144L/Hmb V;
E-3: First Pay: 2023-08-13; Registration: 144U/Mjh J;
Q-4: First Pay: 2023-08-13; Registration: 144Y/Ojz O;
Pricing Speed
4% SUR cy 15% Ducfyxva Rxlxkucfyx
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O-3 | OXJ | 338.000 | 5.48 | Dnn | - | YYY | - | LLL | - | - | Pguar | W-Btdcn | 115-120 | 120 | 5.61% | 5.678% | 68.50374 |
| X-2 | FLI | 928.900 | 6.87 | Ykk | - | LLL | - | PPP | - | - | Eimef | L-Skilr | 105-110 | 105 | 5.57% | 5.645% | 15.36555 |
| H-1 | KMP | 711.000 | 3.91 | U-1 | - | R1+ | - | C1+ | - | - | Sirhp | O-Fpquz | 55-60 | 55 | 4.92% | 4.924% | 610.00000 |
| M-4 | PPH | 33.734 | 9.24 | Err | - | FFF | - | YYY | - | - | Oqkjf | U-Xbzho | 125-135 | 135 | 5.67% | 5.745% | 54.59106 |
Tranche Comments
H-1: First Pay: 2022-12-09; Registration: 144F/Glo D;
X-2: First Pay: 2022-12-09; Registration: 144T/Gno Y;
O-3: First Pay: 2022-12-09; Registration: 144I/Kbt A;
M-4: First Pay: 2022-12-09; Registration: 144U/Uoq Y;
Pricing Speed
4% TPJ qv 15% Thll
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Y4 | JUU | 290.719 | 2.00 | Bhh | - | CCC | - | MMM | - | - | Wlrpu | Ngevg | 70-75 | 67 | 3.32% | 3.347% | 64.10955 |
| I1 | FUW | 329.000 | 1.72 | N-1 | - | K1+ | - | D1+ | - | - | Ekfgg | XaaV | 25n | 22 | 1.48% | 1.482% | 608.00000 |
| D3 | RBY | 445.000 | 8.26 | Shh | - | NNN | - | SSS | - | - | Rqlov | Jwxbq | 54-56 | 50 | 3.20% | 3.229% | 31.61538 |
| O2 | ATJ | 213.000 | 6.40 | Frr | - | SSS | - | JJJ | - | - | Gborc | MQSE | 44-46 | 39 | 2.77% | 2.790% | 16.36360 |
Tranche Comments
I1: First Pay: 2022-05-13; Registration: 144K/Tjn Z;
O2: First Pay: 2022-05-13; Registration: 144E/Nqh Q;
D3: First Pay: 2022-05-13; Registration: 144W/Wdi N;
Y4: First Pay: 2022-05-13; Registration: 144N/Deq G;
Pricing Speed
4% FKA zy 15% Fwkk
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| N-1 | RIT | 547.000 | 5.14 | Q-1 | - | H1+ | - | - | - | - | Yviky | PdyS | 0z | -1 | 0.18% | 0.182% | 184.00000 |
| Q-5 | HEZ | 55.400 | 1.48 | Doo | - | PPP | - | - | - | - | Moogh | Jegfj | 41-43 | 39 | 1.19% | 1.197% | 68.13570 |
| Z-2 | NCZ | 236.430 | 5.38 | Stt | - | LLL | - | - | - | - | Iicey | UVUF | 10-12 | 8 | 0.30% | 0.303% | 26.84321 |
| H-3 | FJP | 744.540 | 8.71 | Gzz | - | MMM | - | - | - | - | Obguu | Iycgl | 15-17 | 12 | 0.56% | 0.568% | 56.18893 |
| E-4 | NOI | 42.000 | 8.17 | Fuu | - | BBB | - | - | - | - | Awsik | Rogbj | 23-25 | 25 | 1.04% | 1.051% | 91.88000 |
Tranche Comments
N-1: First Pay: 2021-06-14; Registration: 144I/Qjg P;
Z-2: First Pay: 2021-06-14; Registration: 144G/Era X;
H-3: First Pay: 2021-06-14; Registration: 144J/Xri H;
E-4: First Pay: 2021-06-14; Registration: 144Q/Lel E;
Q-5: First Pay: 2021-06-14; Registration: 144A/Xmt K;
Risk Retention
KX - Dwd, DK - Dwd
Pricing Speed
4% UWN, 15% syqgsrhi ohii
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| W-2 | QIZ | 871.000 | 1.98 | Xdd | - | FFF | - | - | - | - | Rivxl | JBWZ | 22-25 | 16 | 0.38% | 0.388% | 41.78072 |
| D-5 | XRZ | 12.770 | 6.81 | Lnn | - | HHH | - | - | - | - | Fjvzc | Icwgk | 65b | 57 | 0.85% | 0.857% | 49.88037 |
| C-4 | NET | 89.000 | 2.48 | Wff | - | WWW | - | - | - | - | Xqwtw | Dinok | 47-50 | 38 | 0.66% | 0.661% | 64.52428 |
| S-1 | AMR | 353.000 | 3.92 | N-1 | - | N1+ | - | - | - | - | Hbyfx | RdoY | 0-2 | -3 | 0.23% | 0.229% | 440.00000 |
| J-3 | HIJ | 679.000 | 9.87 | Uxx | - | AAA | - | - | - | - | Pbvsu | Firhi | 32-35 | 26 | 0.49% | 0.491% | 63.92418 |
Tranche Comments
S-1: First Pay: 2020-10-14; Registration: 144C/Auy W;
W-2: First Pay: 2020-10-14; Registration: 144A/Vku L;
J-3: First Pay: 2020-10-14; Registration: 144T/Jva B;
C-4: First Pay: 2020-10-14; Registration: 144H/Qia T;
D-5: First Pay: 2020-10-14; Registration: 144J/Rey J;
Pricing Speed
4.00% LGT, 15% Tgqgfrzpmf
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M-1 | ACW | 962.000 | 3.85 | J-1 | - | P1+ | - | - | - | - | Yvzqa | SzbY | 10-15 | 0 | 0.36% | 0.360% | 747.00000 |
| K-3 | QPR | 189.000 | 2.93 | Xqq | - | PPP | - | - | - | - | Sksal | Zorhp | 75l | 55 | 0.97% | 0.973% | 93.83740 |
| S-2 | PWH | 222.000 | 4.80 | Kuu | - | YYY | - | - | - | - | Hrzso | GZNC | 65n | 45 | 0.74% | 0.747% | 52.82860 |
| V-4 | QFA | 21.000 | 3.29 | Zbb | - | RRR | - | - | - | - | Vwitr | Hyuuc | 100i | 80 | 1.40% | 1.406% | 14.94582 |
| O-5 | KXK | 65.130 | 9.44 | Fgg | - | HHH | - | - | - | - | Wlyqu | Wzfgj | 115-120 | 95 | 1.56% | 1.570% | 93.16130 |
Tranche Comments
M-1: First Pay: 2020-07-09; Registration: 144B/Zow Y;
S-2: First Pay: 2020-07-09; Registration: 144M/Ing B;
K-3: First Pay: 2020-07-09; Registration: 144M/Pwr M;
V-4: First Pay: 2020-07-09; Registration: 144N/Eac S;
O-5: First Pay: 2020-07-09; Registration: 144E/Ysz H;
Pricing Speed
4.00% HLN, 15% Nxjxglpyxg
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V-2 | IGQ | 462.000 | 3.37 | Jll | - | EEE | - | - | - | - | Mbgbu | CRHK | 37-39 | 34 | 2.07% | 2.087% | 86.74000 |
| W-1 | QUH | 387.000 | 4.45 | P-1 | - | R1+ | - | - | - | - | Ufxsc | IxuO | 3-5 | 2 | 2.12% | 2.125% | 366.00000 |
| Y-3 | YFL | 793.000 | 3.60 | Laa | - | HHH | - | - | - | - | Eggsv | Imnwa | 48-50 | 48 | 2.01% | 2.027% | 99.16000 |
| T-5 | VTT | 69.700 | 6.70 | Gff | - | III | - | - | - | - | Mfhoq | Zbyyk | 80s | 80 | 2.29% | 2.307% | 52.80790 |
| P-4 | VQA | 586.000 | 1.19 | Fll | - | LLL | - | - | - | - | Ntvff | Zlboz | 58-60 | 58 | 2.07% | 2.083% | 73.15390 |
Tranche Comments
W-1: First Pay: 2019-10-15; Registration: 144E/Rph Y;
V-2: First Pay: 2019-10-15; Registration: 144C/Auj T;
Y-3: First Pay: 2019-10-15; Registration: 144J/Kwp Z;
P-4: First Pay: 2019-10-15; Registration: 144Q/Vzw V;
T-5: First Pay: 2019-10-15; Registration: 144X/Orm E;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| L-1 | BYH | 964.000 | 4.98 | G-1 | - | F1+ | - | - | - | - | Cvsoe | HudE | 5b | 3 | 2.66% | 2.665% | 697.00000 |
| G-4 | YHX | 280.000 | 7.26 | Kmm | - | WWW | - | - | - | - | Fvacm | Fddcg | 50v | 48 | 2.93% | 2.954% | 28.32144 |
| M-5 | NSL | 75.330 | 7.11 | Qii | - | WWW | - | - | - | - | Irprb | Ojeyt | 67-70 | 62 | 3.08% | 3.101% | 69.45776 |
| Q-3 | JKQ | 190.000 | 5.27 | Xnn | - | AAA | - | - | - | - | Kqxyf | Dbywb | 38-40 | 35 | 2.84% | 2.863% | 93.89770 |
| N-2 | PTY | 542.000 | 8.64 | Dmm | - | UUU | - | - | - | - | Rttzw | MNPB | 27-29 | 24 | 2.84% | 2.867% | 43.48915 |
Tranche Comments
L-1: First Pay: 2019-04-10; Registration: 144B/Whn A;
N-2: First Pay: 2019-04-10; Registration: 144L/Qhq I;
Q-3: First Pay: 2019-04-10; Registration: 144T/Jpa H;
G-4: First Pay: 2019-04-10; Registration: 144Y/Azm W;
M-5: First Pay: 2019-04-10; Registration: 144G/Mfw T;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| U-4 | CUH | 703.500 | 3.44 | Fjj | - | LLL | - | - | - | - | Chtjo | Qjmjf | 48-50 | 45 | 3.39% | 3.418% | 48.39330 |
| N-1 | NXR | 642.000 | 3.41 | F-1 | - | C1+ | - | - | - | - | Etbls | ZXC | 2.45-.50% | - | 2.40% | 2.400% | 770.00000 |
| G-2 | AGS | 114.000 | 3.68 | Dll | - | AAA | - | - | - | - | Ocvhy | IOKL | 26-28 | 24 | 2.92% | 2.947% | 44.60494 |
| D-3 | OZU | 634.000 | 6.20 | Zgg | - | YYY | - | - | - | - | Splxo | Wkqvk | 36-38 | 33 | 3.20% | 3.225% | 92.40290 |
| O-5 | CKG | 16.600 | 8.34 | Gll | - | NNN | - | - | - | - | Yopms | Mqxux | 66-68 | 63 | 3.61% | 3.641% | 11.98342 |
Tranche Comments
N-1: Registration: 144A Bddk;
G-2: Registration: 144L Znmx;
D-3: Registration: 144J Fmff;
U-4: Registration: 144S Nciw;
O-5: Registration: 144T Skro;
Pricing Speed
4% JXJ, 10% Jqvv