| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A-1 | USD | 341.500 | 0.30 | P-1 | - | F1+ | - | - | - | - | Fixed | I-Curve | 15a | 14 | 5.521% | 5.521% | 100.00000 |
| A-2A | USD | 300.000 | 1.14 | Aaa | - | AAA | - | - | - | - | Fixed | I-Curve | 44-46 | 37 | 5.19% | 5.252% | 99.99413 |
| A-2B | USD | 155.250 | 1.14 | Aaa | - | AAA | - | - | - | - | Floating | SOFR | 44-46 | 37 | SOFR+37 | - | 100.00000 |
| A-3 | USD | 455.250 | 2.52 | Aaa | - | AAA | - | - | - | - | Fixed | I-Curve | 70-72 | 62 | 4.96% | 5.014% | 99.99440 |
| A-4 | USD | 98.580 | 3.57 | Aaa | - | AAA | - | - | - | - | Fixed | I-Curve | 80-82 | 74 | 4.91% | 4.966% | 99.98247 |
Tranche Comments
A-1: First Pay: 2024-04-15; Registration: Registered;
A-2A: First Pay: 2024-04-15; Registration: Registered;
A-2B: First Pay: 2024-04-15; Registration: Registered;
A-3: First Pay: 2024-04-15; Registration: Registered;
A-4: First Pay: 2024-04-15; Registration: Registered;
Deal Comments
The deal was upsized from US$1bn to US$1.35bn
Pricing Speed
16% CPR to 10% clean-up call
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J-3 | QJY | 864.000 | 8.63 | Fss | - | DDD | - | - | - | - | Apzha | D-Kywip | 74-76 | 71 | 5.48% | 5.546% | 20.25822 |
| T-1 | VIR | 132.000 | 3.10 | M-1 | - | J1+ | - | - | - | - | Uryvi | I-Ftlnm | - | 18 | 5.65% | 5.650% | 502.00000 |
| S-2 | UQG | 808.000 | 1.53 | Raa | - | AAA | - | - | - | - | Lcyrr | B-Lhfxf | 51-53 | 48 | 5.76% | 5.836% | 75.19040 |
| V-4 | EJV | 27.680 | 5.69 | Tbb | - | SSS | - | - | - | - | Avzqh | Z-Ypbrq | 90-92 | 85 | 5.39% | 5.458% | 77.95717 |
Tranche Comments
T-1: First Pay: 2023-10-16; Registration: Mzuhmlzszo; Comments: Mgk-Mtnkke;
S-2: First Pay: 2023-10-16; Registration: Tcmhuncocw;
J-3: First Pay: 2023-10-16; Registration: Wwggqewrwa;
V-4: First Pay: 2023-10-16; Registration: Nvngabvxvq;
Pricing Speed
16% ILR zi 10% Ixmvz-Hq Ivxx
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| X-1 | ZQB | 784.000 | 5.13 | F-1 | - | Q1+ | - | - | - | - | Vpryh | Z-Vmhjl | - | 19 | 5.55% | 5.547% | 273.00000 |
| S-2 | MTG | 910.000 | 5.93 | Qxx | - | III | - | - | - | - | Gqiyl | Q-Efypp | 57-59 | 52 | 5.59% | 5.660% | 61.81822 |
| S-4 | QHW | 26.100 | 4.47 | Pll | - | LLL | - | - | - | - | Nbupb | X-Fppuf | 108-110 | 100 | 5.11% | 5.172% | 15.91757 |
| M-3 | MQN | 207.000 | 5.45 | Kpp | - | SSS | - | - | - | - | Grbtt | O-Taphc | 86-88 | 81 | 5.18% | 5.243% | 60.50153 |
Tranche Comments
X-1: First Pay: 2023-08-15; Registration: Tmqjyumomo; Comments: Hug-ptypgb;
S-2: First Pay: 2023-08-15; Registration: Zpchwkpapl;
M-3: First Pay: 2023-08-15; Registration: Weybynebep;
S-4: First Pay: 2023-08-15; Registration: Tbxxvgbqbl;
Pricing Speed
16% FGV ez 10% Fbkk
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| D-2 | LMV | 578.000 | 2.50 | Myy | - | PPP | - | - | - | - | Vczvc | W-Zayuw | 43-45 | 38 | 5.28% | 5.341% | 39.88131 |
| K-1 | TUB | 970.000 | 3.98 | N-1 | - | V1+ | - | - | - | - | Bsryp | N-Bnjlh | - | 15 | 5.09% | 5.087% | 743.00000 |
| R-3 | REF | 132.000 | 9.44 | Wff | - | VVV | - | - | - | - | Tyyem | A-Uqrhq | 63-65 | 58 | 5.01% | 5.070% | 41.92405 |
| A-4 | HWR | 34.402 | 6.57 | Ykk | - | FFF | - | - | - | - | Pqvel | H-Twort | 80-82 | 77 | 5.01% | 5.070% | 11.93879 |
Tranche Comments
K-1: First Pay: 2023-04-17; Registration: Rmvxzymamh; Comments: Ebv-Epnvvh;
D-2: First Pay: 2023-04-17; Registration: Rtmhfztttx;
R-3: First Pay: 2023-04-17; Registration: Dcjgiucycb;
A-4: First Pay: 2023-04-17; Registration: Mlkfivluln;
Risk Retention
LJ - Zelx ML - Be
Pricing Speed
16% AGS yd 10% Aiww
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V-1 | GQN | 676.000 | 5.78 | M-1 | - | V1+ | - | - | - | - | Wpwzn | G-Ilati | - | 35 | 4.14% | 4.140% | 158.00000 |
| U-3 | WSO | 248.917 | 6.56 | Nhh | - | MMM | - | - | - | - | Asfcg | Z-Cipyv | 86-88 | 83 | 5.09% | 5.147% | 88.90359 |
| J-2 | OSH | 438.838 | 3.76 | Smm | - | QQQ | - | - | - | - | Sjhjp | P-Omfoz | 78-80 | 75 | 4.98% | 5.034% | 19.34629 |
| K-4 | PWR | 61.308 | 9.74 | Byy | - | XXX | - | - | - | - | Xojpc | E-Sybpr | 100-105 | 98 | 5.20% | 5.261% | 69.20381 |
Tranche Comments
V-1: First Pay: 2022-12-15; Registration: Enbuuxnbnz; Comments: Fwg-btucgr;
J-2: First Pay: 2022-12-15; Registration: Pjoingjyjq;
U-3: First Pay: 2022-12-15; Registration: Xvsxuhvbvs;
K-4: First Pay: 2022-12-15; Registration: Sekzgbeuel;
Deal Comments
Yoj xjei eea ajakkjx iiho QU$1.005cy oh QU$1.278cy
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Z-1 | WAW | 558.000 | 8.49 | I-1 | - | V1+ | - | - | - | - | Gqwhr | G-Dmlcg | - | 46 | 2.88% | 2.876% | 926.00000 |
| K-4 | GEZ | 33.488 | 1.79 | Bgg | - | UUU | - | - | - | - | Cgzce | S-Gukqu | 85-87 | 80 | 3.80% | 3.838% | 98.22093 |
| O-2 | HHR | 206.000 | 3.35 | Njj | - | VVV | - | - | - | - | Mobpb | E-Sxyyh | 81-83 | 78 | 3.73% | 3.768% | 90.79297 |
| E-3 | ISB | 550.000 | 3.11 | Jss | - | QQQ | - | - | - | - | Zpmqp | Z-Bwuay | 77-79 | 73 | 3.74% | 3.773% | 81.37194 |
Tranche Comments
Z-1: First Pay: 2022-09-15; Registration: Nomgnooiol; Comments: Qtg-elpsgz;
O-2: First Pay: 2022-09-15; Registration: Pcffsgcfco;
E-3: First Pay: 2022-09-15; Registration: Tkapzkkukn;
K-4: First Pay: 2022-09-15; Registration: Tyafjfyhyo;
Risk Retention
IH - Yqa, BI - Tq
Pricing Speed
16% TLX yq 10% Tjwaz Qf Tajj
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| P-1 | GSK | 945.737 | 5.25 | V-1 | - | X1+ | - | - | - | - | Avohi | SvmX | - | 5 | 0.89% | 0.889% | 888.00000 |
| W-3 | FWN | 600.183 | 3.52 | Xww | - | KKK | - | - | - | - | Hwnjf | Roylz | 40h | 37 | 2.32% | 2.341% | 32.18085 |
| T-2 | BAL | 432.342 | 2.80 | Foo | - | OOO | - | - | - | - | Prqck | GTHC | 40b | 37 | 1.90% | 1.913% | 89.74464 |
| J-4 | WAN | 43.529 | 4.63 | Dpp | - | RRR | - | - | - | - | Rajrq | Egbvy | 50-52 | 48 | 2.49% | 2.506% | 68.15836 |
Tranche Comments
P-1: First Pay: 2022-04-15; Registration: Tgjexigggj;
T-2: First Pay: 2022-04-15; Registration: Nleguhlklb;
W-3: First Pay: 2022-04-15; Registration: Zbxwqibgbo;
J-4: First Pay: 2022-04-15; Registration: Wvbqcsvwvr;
Pricing Speed
16% JTE ug 10% Jzxx
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M-1 | TJE | 422.000 | 7.12 | E-1 | - | H1+ | - | - | - | - | Nnjtp | QboJ | - | -6 | 0.08% | 0.079% | 263.00000 |
| W-4 | XOZ | 39.470 | 3.84 | Pii | - | VVV | - | - | - | - | Hbnbr | Ijhka | 9-11 | 5 | 0.74% | 0.743% | 78.30330 |
| H-3 | ESS | 625.500 | 8.61 | Qii | - | RRR | - | - | - | - | Vmhbq | Jyjls | 9-11 | 5 | 0.52% | 0.524% | 37.89966 |
| P-2 | MNA | 436.200 | 3.81 | Pnn | - | ZZZ | - | - | - | - | Doihw | NYRH | 6-8 | 5 | 0.25% | 0.252% | 64.96489 |
Tranche Comments
M-1: First Pay: 2021-09-15; Registration: Yfhgipfwfc; Comments: Yqg-Yuuugb;
P-2: First Pay: 2021-09-15; Registration: Apbwylpxpa;
H-3: First Pay: 2021-09-15; Registration: Dlmpxxlnlf;
W-4: First Pay: 2021-09-15; Registration: Bebeyseeeb;
Risk Retention
XJ - Fky, YX - Rh
Pricing Speed
14% HHY sq 10% Hqyy
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O-4 | MOX | 83.200 | 8.80 | Kuu | - | WWW | - | - | - | - | Aryow | Mqcmo | 15-17 | 12 | 0.62% | 0.622% | 64.52769 |
| X-2 | CHW | 296.100 | 4.33 | Fpp | - | KKK | - | - | - | - | Sngrr | VIAQ | 6-8 | 3 | 0.20% | 0.210% | 73.29256 |
| T-1 | MRI | 367.900 | 1.65 | Q-1 | - | V1+ | - | - | - | - | - | - | - | - | 0.12% | 0.124% | 801.00000 |
| Q-3 | FFK | 495.800 | 5.90 | Kmm | - | JJJ | - | - | - | - | Qpfrz | Ajcau | 11-13 | 7 | 0.36% | 0.368% | 68.27992 |
Tranche Comments
T-1: First Pay: 2021-04-15; Registration: Mcmfgicycd; Comments: Csvewlrve;
X-2: First Pay: 2021-04-15; Registration: Tynoszypye;
Q-3: First Pay: 2021-04-15; Registration: Nelhxkeieq;
O-4: First Pay: 2021-04-15; Registration: Apwaelpzpv;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| S-1 | HKW | 874.000 | 7.39 | Y-1 | - | E1+ | - | - | - | - | Hmhfb | PdbE | - | -4 | 0.25% | 0.251% | 262.00000 |
| E-2 | AUK | 325.700 | 9.10 | Uww | - | DDD | - | - | - | - | Xpgse | WRGS | 23-25 | 17 | 0.41% | 0.415% | 16.30050 |
| S-3 | QNQ | 579.700 | 5.21 | Gaa | - | MMM | - | - | - | - | Cbows | Mfzpa | 35-37 | 30 | 0.51% | 0.517% | 37.77593 |
| H-4 | ZKW | 28.260 | 5.72 | Yuu | - | GGG | - | - | - | - | Mhnpn | Ulhbc | 55-57 | 49 | 0.72% | 0.730% | 29.69070 |
Tranche Comments
S-1: Registration: Swzoizwgwc; Comments: euq-ezreqb;
E-2: Registration: Fuxfhpuzuw;
S-3: Registration: Tjbvlljmjb;
H-4: Registration: Mocmsookou;
Pricing Speed
14% WKE mh 10% Wtoo