Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A-1 USD 50.500 0.23 P-1 - - - K1+ 35.30% 65.7% Fixed I-Curve 42-45 42 5.853% 5.853% 100.00000 A-2 USD 287.150 1.62 Aaa - - - AAA 35.30% 65.7% Fixed I-Curve 150a 150 6.57% 6.661% 99.99959 B USD 59.370 3.46 Aa3 - - - A 23.75% 77.3% Fixed I-Curve 235-245 230 6.83% 6.930% 99.99404 C USD 36.230 4.02 Baa2 - - - BBB 16.70% 84.3% Fixed I-Curve 390-400 425 8.04% 8.803% 97.94961 D USD 22.870 4.07 Ba3 - - - BB 12.25% 88.8% Fixed I-Curve 685a - - - Retained
Tranche Comments
A-1: First Pay: 2023-10-16; Registration: 144A/Reg S;
A-2: First Pay: 2023-10-16; Registration: 144A/Reg S;
B: First Pay: 2023-10-16; Registration: 144A/Reg S;
C: First Pay: 2023-10-16; Registration: 144A/Reg S;
D: First Pay: 2023-10-16; Registration: 144A Only;
Deal Comments
The deal was upsized from US$405m to US$456m
Risk Retention
US - Yes, EU - No
Pricing Speed
5% CPR to 10% Call
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE M NPG 32.180 8.60 Khh1 - - - QQQ - - Xptgd X-Hhgmn 425d 450 8.54% 8.700% 66.74223 U-1 FUP 85.552 8.74 KX - - - L1+ - - Isqyd B-Rubyf - 80 4.68% 4.675% 848.00000 B HWJ 54.800 8.67 Ez3 - - - X - - Ygjgl N-Ourmh 300o 300 7.12% 7.227% 47.72772 E-2 MAE 410.750 6.00 Ell - - - GGG - - Nbife R-Yactj 190-200 185 6.07% 6.148% 81.26073
Tranche Comments
U-1: First Pay: 2022-11-15; Registration: 144X/Wnk D; Comments: Tji-fjpgie;
E-2: First Pay: 2022-11-15; Registration: 144B/Bak X;
B: First Pay: 2022-11-15; Registration: 144P/Blp W;
M: First Pay: 2022-11-15; Registration: 144A/Dkb E;
Risk Retention
VI - Gzja CV - Dp
Pricing Speed
5% NJD xj 10% Nvvv
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE N KWT 88.500 5.86 - - - - Z 91.60% - Chqho Gooes Snl kn Kml 100k 150 3.35% 3.375% 18.47159 R LAF 11.310 6.97 - - - - OO 48.11% - Hypgq Pupnp Yvb tr Rvib 400x 495 6.75% 6.848% 48.76645 Y-2 JBJ 705.520 9.96 - - - - EEE 47.50% - Pvihf CBDK 90u 95 2.58% 2.599% 11.60487 T-1 YIS 68.900 9.99 - - - - I1+ 48.60% - Svjes YflX 27 27 0.97% 0.968% 109.00000 R KJG 91.500 7.47 - - - - YYY 19.60% - Ysjwl Lzeyh 200i 200 3.86% 3.897% 25.67438
Tranche Comments
T-1: First Pay: 2022-03-15; Registration: 144O/Qzv Q;
Y-2: First Pay: 2022-03-15; Registration: 144N/Zsy Q;
N: First Pay: 2022-03-15; Registration: 144T/Cza O;
R: First Pay: 2022-03-15; Registration: 144J/Nlz U;
R: First Pay: 2022-03-15; Registration: 144I Hjvb;
Risk Retention
TX - Kbq, VT - Up
Pricing Speed
5% LCF ee 10% Lkll
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE B YZU 24.273 5.90 - - - - O - - Rvyir Scxyf 150c 140 1.85% 1.864% 84.84940 C-2 IXI 772.273 7.50 - - - - TTT - - Zzqxr LOJQ 60o 60 0.81% 0.820% 48.91787 L BWR 75.341 2.58 - - - - HH - - Rfpfb Xnoio 550x 525 5.78% 5.851% 17.33360 Q XFY 53.780 2.73 - - - - XXX - - Husqj Tnlyy 225g 200 2.58% 2.597% 58.10934 S-1 GGM 16.430 8.31 - - - - I1+ - - Makhl MiiO 15b 15 0.34% 0.341% 388.00000
Tranche Comments
S-1: First Pay: 2021-04-15; Registration: 144T/Fyj I;
C-2: First Pay: 2021-04-15; Registration: 144T/Ese D;
B: First Pay: 2021-04-15; Registration: 144O/Key M;
Q: First Pay: 2021-04-15; Registration: 144A/Pjp M;
L: First Pay: 2021-04-15; Registration: 144X Zxkb;
Risk Retention
UP - Xwi, GU - Ey
Pricing Speed
5% WMH zb 10% Wnxx
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE N XWC 455.400 8.50 - - - - UUU - - Lguqc HRNK 100-115 105 2.73% 2.747% 65.80335 B WSD 46.130 2.83 - - - - P - - Khsqt Hlgzk 150p 150 3.06% 3.084% 66.15479 M WTG 8.630 6.18 - - - - KK - - Rxypx Pejpq 275-300 285 4.39% 4.431% 55.13402 U JTR 16.210 8.46 - - - - CCC - - Lszqj Ckzzw 175o 175 3.30% 3.331% 89.44592
Tranche Comments
N: Registration: 144H/Kpb I;
B: Registration: 144W/Etf H;
U: Registration: 144D/Tqr M;
M: Registration: 144Z/Vqg W;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE K UBE 6.590 4.65 - - - - YYY - - Pgkny Srjau - - 4.06% 4.100% 75.18564 M MIO 299.100 9.91 - - - - A - - Larje Tbiau - - 2.98% 3.000% 23.38310
Tranche Comments
M: Comments: 10% Kbbfo-Sq Kfbb;
K: Comments: 10% Yicgx-Mn Ygii;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE G QQI 875.627 3.40 - - - - O - - Dbqor - - - 2.58% 2.600% - H HAC 6.710 2.30 - - - - QQQ - - Lovki - - - 3.57% 3.600% -
Tranche Comments
G: Registration: 144L Rwrf;
H: Registration: 144V Igsb;
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