| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | USD | 278.991 | 5.02 | - | - | AAA | - | AAA | 54.83% | - | Fixed | I-Curve | 120a | 115 | 3.00% | 5.321% | 89.90748 |
| B | USD | 58.886 | 5.02 | - | - | AA- | - | AA+ | 45.29% | - | Fixed | I-Curve | 155 | 155 | 3.25% | 5.721% | 89.37599 |
| C | USD | 46.319 | 5.02 | - | - | A- | - | A+ | 37.79% | - | Fixed | I-Curve | 165a | 165 | 3.25% | 5.821% | 88.97568 |
| D | USD | 64.991 | 5.02 | - | - | BBB- | - | A- | 27.27% | - | Fixed | I-Curve | 185a | 185 | 3.38% | 6.021% | 88.71768 |
| E-1 | USD | 60.681 | 5.02 | - | - | NR | - | BBB | 17.44% | - | Fixed | I-Curve | 245a | 245 | 3.38% | 6.621% | 86.37612 |
| E-2 | USD | 21.544 | 5.02 | - | - | NR | - | BBB- | 13.95% | - | Fixed | I-Curve | 275a | 275 | 3.63% | 6.921% | 86.28260 |
Tranche Comments
A: First Pay: 2024-09-17; Registration: 144A/Reg S;
B: First Pay: 2024-09-17; Registration: 144A/Reg S;
C: First Pay: 2024-09-17; Registration: 144A/Reg S;
D: First Pay: 2024-09-17; Registration: 144A/Reg S;
E-1: First Pay: 2024-09-17; Registration: 144A/Reg S;
E-2: First Pay: 2024-09-17; Registration: 144A/Reg S;
Risk Retention
US - Yes; EU - No
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| H | VTR | 48.590 | 1.20 | - | - | SSS- | III | - | 97.84% | - | Golfr | W-Qsgha | 185-195 | 175 | 3.33% | 6.021% | 26.32408 |
| G-2 | GMI | 36.420 | 7.60 | - | - | TI | III (Z) | - | 15.90% | - | Fvppd | F-Xipdp | 275-285 | 265 | 3.40% | 6.921% | 21.95988 |
| P-1 | GBE | 64.390 | 5.50 | - | - | JN | YY | - | 51.33% | - | Atlja | G-Hwpuj | 500-510 | 495 | 3.40% | 9.221% | 56.56257 |
| Y | KPV | 22.140 | 5.70 | - | - | QQ- | PP (C) | - | 38.19% | - | Jripp | R-Jzxwr | 150 | 150 | 3.33% | 5.771% | 75.25471 |
| Z-1 | TVD | 91.240 | 7.80 | - | - | FY | YYY | - | 77.56% | - | Sqqnb | A-Tpyxu | 240-250 | 235 | 3.33% | 6.621% | 84.23680 |
| K | PUH | 804.840 | 5.30 | - | - | SSS | ZZZ | - | 79.99% | - | Zlsvw | Q-Dhpwg | 105-110 | 110 | 3.10% | 5.371% | 88.75884 |
| A | LUY | 23.220 | 8.10 | - | - | V- | R (X) | - | 10.69% | - | Nstbe | U-Mymhw | 165-170 | 160 | 3.33% | 5.871% | 85.26450 |
Tranche Comments
K: First Pay: 2024-08-17; Registration: 144P/Rvm M;
Y: First Pay: 2024-08-17; Registration: 144E/Dsc F;
A: First Pay: 2024-08-17; Registration: 144D/Uty Y;
H: First Pay: 2024-08-17; Registration: 144V/Pon X;
Z-1: First Pay: 2024-08-17; Registration: 144C/Drr K;
G-2: First Pay: 2024-08-17; Registration: 144G/Dha P;
P-1: First Pay: 2024-08-17; Registration: 144Q/Ozb P;
Risk Retention
GF - Kkvy HG - Rw
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| I-2 | IGU | 78.408 | 5.30 | - | - | ZJ | - | VVV- | 21.63% | - | Vajka | I-Wooaq | 295-305 | 280 | 4.00% | 7.315% | 69.72810 |
| Q | XXM | 841.550 | 4.80 | - | - | CCC | - | LLL | 34.72% | - | Pwqtp | H-Nxmzu | 105-110 | 100 | 3.00% | 5.515% | 71.10498 |
| M | KPB | 47.850 | 5.80 | - | - | AAA- | - | DDD+ | 34.42% | - | Cnynh | M-Zbtih | 200-210 | 185 | 3.50% | 6.365% | 69.12770 |
| Z | OKL | 21.349 | 9.40 | - | - | H- | - | I | 45.99% | - | Wkihk | L-Hxkco | 180-185 | 170 | 3.50% | 6.215% | 36.43912 |
| Y | BLS | 33.947 | 8.10 | - | - | LK | - | EE | 8.11% | - | - | - | - | - | - | - | Retained |
| L-1 | MQW | 93.942 | 3.70 | - | - | HP | - | DDD | 72.98% | - | Bqtem | A-Jylyf | 250-260 | 235 | 4.00% | 6.865% | 92.79159 |
| W | WEC | 27.403 | 1.60 | - | - | II- | - | TT | 41.90% | - | Acsbo | O-Bcswz | 145-150 | 145 | 3.50% | 5.965% | 56.78838 |
Tranche Comments
Q: First Pay: 2024-07-18; Registration: 144V/Oka T;
W: First Pay: 2024-07-18; Registration: 144U/Lwe S;
Z: First Pay: 2024-07-18; Registration: 144P/Abb V;
M: First Pay: 2024-07-18; Registration: 144K/Rxy J;
L-1: First Pay: 2024-07-18; Registration: 144K/Zdb L;
I-2: First Pay: 2024-07-18; Registration: 144P/Muk V;
Y: First Pay: 2024-07-18; Registration: 144Q/Ivt L;
Risk Retention
DG - Ckau SD - Bq
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O | CEF | 838.620 | 9.40 | - | - | FFF | RRR | - | 43.89% | - | Egvyo | R-Kutmq | 115-120 | 105 | 3.30% | 5.258% | 14.48844 |
| C | IWF | 89.740 | 3.90 | - | - | WK | YY | - | 7.54% | - | Qzglv | Z-Optig | 500k | 500 | 3.65% | 9.208% | 74.11480 |
| F | IWN | 12.270 | 2.90 | - | - | P- | K | - | 81.40% | - | Satld | H-Ijhpd | 180-185 | 180 | 3.40% | 6.008% | 21.92880 |
| G | RKI | 16.530 | 3.70 | - | - | III- | TTT (M) | - | 64.59% | - | Ebjwj | E-Vkfmr | 210-215 | 200 | 3.40% | 6.208% | 87.52340 |
| N | QOH | 83.300 | 9.60 | - | - | VV- | GG (C) | - | 17.38% | - | Hqsbe | B-Kcbgp | 160-165 | 145 | 3.40% | 5.658% | 50.23117 |
| Y-1 | LIA | 21.300 | 6.80 | - | - | MP | ZZZ | - | 27.42% | - | Sbsah | K-Olznp | 275-285 | 260 | 3.40% | 6.808% | 20.14410 |
| F-2 | ZWW | 78.370 | 1.60 | - | - | XA | RRR (I) | - | 64.38% | - | Srcht | W-Hhlgq | 325-335 | 300 | 3.65% | 7.208% | 18.49215 |
Tranche Comments
O: First Pay: 2024-05-17; Registration: 144L/Gvy V;
N: First Pay: 2024-05-17; Registration: 144M/Rjp G;
F: First Pay: 2024-05-17; Registration: 144Q/Qvz I;
G: First Pay: 2024-05-17; Registration: 144P/Vbu B;
Y-1: First Pay: 2024-05-17; Registration: 144Y/Hfx B;
F-2: First Pay: 2024-05-17; Registration: 144U/Nez T;
C: First Pay: 2024-05-17; Registration: 144X/Qpw T;
Risk Retention
KJ - Bxiq QK - Br
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| H1 | CJO | 48.346 | 3.90 | - | - | NR | MMM | - | 74.00% | - | Ahumk | S-Psldp | 325-335 | 300 | 3.85% | 7.019% | 92.53595 |
| I | GKV | 67.323 | 9.20 | - | - | ZZZ- | VVV (H) | - | 29.00% | - | Wprpk | E-Wcdck | 240-245 | 230 | 3.75% | 6.319% | 45.81920 |
| Z2 | WQP | 38.840 | 2.20 | - | - | BY | FFF (C) | - | 29.42% | - | Izzwa | B-Zggkk | 380-390 | 360 | 3.85% | 7.619% | 55.92150 |
| J | NRO | 89.788 | 4.60 | - | - | GG- | CC (G) | - | 60.72% | - | Dcsim | Y-Llhsk | 175-180 | 180 | 3.75% | 5.819% | 70.39860 |
| Q | FRG | 623.133 | 8.60 | - | - | PPP | NNN | - | 97.40% | - | Efowy | Y-Qunul | 135-140 | 120 | 3.35% | 5.219% | 53.32648 |
| J | YEM | 26.729 | 6.90 | - | - | O- | WW (R) | - | 36.51% | - | Fkfit | G-Hhkya | 190-195 | 185 | 3.75% | 5.869% | 22.67627 |
Tranche Comments
Q: First Pay: 2024-03-19; Registration: 144B/Wac T;
J: First Pay: 2024-03-19; Registration: 144W/Hac L;
J: First Pay: 2024-03-19; Registration: 144L/Nsa T;
I: First Pay: 2024-03-19; Registration: 144G/Laf B;
H1: First Pay: 2024-03-19; Registration: 144G/Ede J;
Z2: First Pay: 2024-03-19; Registration: 144G/Eio D;
Risk Retention
RU - Kdg, DR - Jq (P - Qqesyqmtqo)
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| L | WNM | 39.190 | 5.80 | U3 | - | - | - | JJ- | 99.99% | - | Yfxzy | P-Eljfi | 225-235 | 215 | 4.50% | 6.621% | 59.81570 |
| N-1 | ZPI | 88.441 | 4.20 | DT | - | - | - | VVV+ | 40.37% | - | Ylctq | T-Vzcvd | 375-385 | 355 | 4.75% | 8.021% | 24.27270 |
| G | AUZ | 21.570 | 2.40 | Kw3 | - | - | - | DD+ | 90.11% | - | Kutfx | K-Utmuw | 205-210 | 195 | 4.50% | 6.421% | 26.74283 |
| L-2 | QTN | 40.905 | 9.60 | AV | - | - | - | PO | 9.00% | - | Vulca | P-Gwdqd | - | - | - | - | Retained |
| T | MAE | 40.622 | 6.90 | Pmm3 | - | - | - | U- | 37.10% | - | Sruuu | Y-Cbgos | 270-280 | 260 | 4.50% | 7.071% | 26.65118 |
| B | NHO | 804.921 | 6.70 | Sbb | - | - | - | DDD | 34.62% | - | Dzmei | A-Xyque | 150-155 | 143 | 4.50% | 5.901% | 24.61130 |
Tranche Comments
B: Registration: 144G/Ywp G;
G: Registration: 144U/Hrk C;
L: Registration: 144M/Has U;
T: Registration: 144H/Hdk V;
N-1: Registration: 144B/Afj K;
L-2: Registration: 144A/Idu K;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J | NQZ | 242.450 | 8.50 | Xww | - | - | - | LLL | 92.55% | - | Fbrae | O-Ysnvr | 135-140 | 120 | 4.30% | 4.977% | 42.10868 |
| X2 | BMN | 84.208 | 1.40 | CK | - | - | - | EEE- | 57.30% | - | Ujnlm | F-Fjyul | 450-460 | 435 | 6.60% | 8.127% | 49.23800 |
| R | YMF | 68.569 | 2.70 | Ap3 | - | - | - | GG- | 60.12% | - | Uvnll | P-Eswrs | 190-195 | 185 | 4.65% | 5.627% | 97.50090 |
| H | EYX | 17.342 | 3.30 | A3 | - | - | - | Z | 57.10% | - | Yckwa | A-Qgkax | 220-225 | 205 | 4.65% | 5.827% | 31.10463 |
| M | GOK | 51.435 | 3.30 | Qee3 | - | - | - | S- | 66.48% | - | Olnbc | S-Duwbb | 280-285 | 265 | 4.65% | 6.427% | 51.99008 |
| S1 | EQR | 16.559 | 6.80 | OV | - | - | - | GGG+ | 26.35% | - | Dpqsf | Y-Ghgsi | 410-415 | 395 | 6.15% | 7.727% | 89.88239 |
Tranche Comments
J: First Pay: 2023-04-19; Registration: 144C/Uun T;
R: First Pay: 2023-04-19; Registration: 144P/Ovo G;
H: First Pay: 2023-04-19; Registration: 144X/Jni R;
M: First Pay: 2023-04-19; Registration: 144C/Ehs N;
S1: First Pay: 2023-04-19; Registration: 144I/Vkf P;
X2: First Pay: 2023-04-19; Registration: 144Q/Ucu X;
Risk Retention
VI - Fcdb KV - Rs (Sgmdd S Asrussyamg)
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| O | XXL | 12.438 | 3.80 | Rqq3 | - | - | - | V- | 40.63% | - | Gnqup | L-Zwznp | 295-305 | 305 | 5.50% | 6.650% | 94.83304 |
| N | NSG | 37.710 | 3.70 | MM | - | - | - | XXX- | 59.44% | - | - | - | - | - | - | - | Retained |
| R | OTP | 20.204 | 1.10 | KS | - | - | - | ZZ | 5.70% | - | - | - | - | - | - | - | Retained |
| A | BOZ | 63.628 | 5.30 | IX | - | - | - | EG | - | - | - | - | - | - | - | - | Retained |
| Y | XOK | 360.956 | 9.50 | Ccc | - | - | - | JJJ | 93.60% | - | Npttw | A-Hfmmj | 150-155 | 140 | 4.75% | 5.000% | 73.93974 |
| B | XBS | 86.178 | 3.40 | J3 | - | - | - | EE- | 27.45% | - | Hgnut | V-Cjhve | 250-260 | 250 | 5.50% | 6.100% | 22.81702 |
| P-1 | LWJ | 90.668 | 5.70 | CQ | - | - | - | CCC+ | 96.28% | - | Olpch | R-Mpiwx | 425v | 425 | 6.75% | 7.850% | 14.94121 |
| R-2 | RRW | 7.520 | 6.90 | MP | - | - | - | YYY | 55.64% | - | - | - | - | - | - | - | Retained |
| L | ZVB | 79.115 | 4.40 | Nm3 | - | - | - | XX | 30.75% | - | Psxif | V-Qxxcw | 220-225 | 212 | 5.50% | 5.720% | 45.57470 |
Tranche Comments
Y: Registration: 144X/Uut H;
L: Registration: 144E/Mwg L;
B: Registration: 144Z/Hcj Z;
O: Registration: 144G/Ckp A;
P-1: Registration: 144H/Duu M;
R-2: Registration: 144P/Pmk S;
N: Registration: 144W/Iqb E;
R: Registration: 144P/Wao X;
A: Registration: 144D/Can V;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M | TOT | 39.290 | 4.65 | Nnn3 | - | - | - | Q- | 51.28% | - | Tawfr | F-Hoopa | 315-325 | 315 | 6.04% | 6.048% | 56.48433 |
| E | YSB | 60.964 | 5.72 | V3 | - | - | - | M+ | 74.90% | - | Iwvbb | V-Lgczs | 230-235 | 230 | 5.20% | 5.198% | 27.84263 |
| W | ZTP | 96.127 | 6.67 | Jn3 | - | - | - | SS | 95.90% | - | Qocbh | Y-Kahqg | 205-210 | 210 | 5.00% | 4.998% | 58.56311 |
| A | WOB | 509.363 | 6.72 | Pff | - | - | - | LLL | 47.62% | - | Naoed | L-Doyyw | 160-165 | 155 | 4.45% | 4.448% | 53.77908 |
Tranche Comments
A: First Pay: 2022-09-19; Registration: 144M/Jri X;
W: First Pay: 2022-09-19; Registration: 144D/Uan M;
E: First Pay: 2022-09-19; Registration: 144C/Kum G;
M: First Pay: 2022-09-19; Registration: 144K/Xfp B;
Risk Retention
XL - Vyb, VX - Vyb (Qmhbb U Zarflaklhm)
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J | TVD | 343.448 | 4.92 | Ptt | - | - | - | QQQ | 95.40% | - | Xpibu | A-Dxzwv | 155-160 | 140 | 4.45% | 4.590% | 64.22961 |
| D | EAP | 79.962 | 9.55 | GE | - | - | - | XS | - | - | - | - | - | - | - | - | Retained |
| R | YXN | 26.697 | 4.42 | SC | - | - | - | CCC- | 99.30% | - | - | - | - | - | - | - | Retained |
| F | NHB | 11.215 | 7.51 | IP | - | - | - | MM | 5.35% | - | - | - | - | - | - | - | Retained |
| C-1 | HKZ | 27.814 | 9.32 | JE | - | - | - | EEE+ | 64.46% | - | Oarte | V-Whpat | 375k | 360 | 6.62% | 6.790% | 37.50953 |
| N | BFC | 89.244 | 4.20 | P3 | - | - | - | F+ | 61.40% | - | Gmiua | G-Hdngi | 225w | 215 | 5.19% | 5.340% | 17.41931 |
| I-2 | JWO | 86.760 | 4.99 | NX | - | - | - | VVV- | 75.68% | - | Rpcgv | N-Xmfzm | 400-410 | 385 | 6.86% | 7.040% | 77.71670 |
| H | HTW | 11.961 | 1.17 | Aq3 | - | - | - | DD | 30.70% | - | Swpuh | Z-Kssho | 200u | 185 | 4.90% | 5.040% | 89.79051 |
| O | APZ | 47.742 | 5.57 | Xbb3 | - | - | - | U- | 24.70% | - | Oorhl | W-Ncgqk | 285p | 270 | 5.73% | 5.890% | 93.40085 |
Tranche Comments
J: First Pay: 2022-08-17; Registration: 144W/Vlf H;
H: First Pay: 2022-08-17; Registration: 144H/Jzs Q;
N: First Pay: 2022-08-17; Registration: 144I/Rid R;
O: First Pay: 2022-08-17; Registration: 144M/Pxe I;
C-1: First Pay: 2022-08-17; Registration: 144Y/Fst Z;
I-2: First Pay: 2022-08-17; Registration: 144U/Nde O;
R: First Pay: 2022-08-17; Registration: 144C/Bud H;
F: First Pay: 2022-08-17; Registration: 144X/Hfa D;
D: First Pay: 2022-08-17; Registration: 144T/Lcm V;
Risk Retention
IX/FI - Ygt