| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | USD | 803.630 | 7.56 | - | AAA | - | AAA | AAA | - | - | Fixed | I-Curve | 120-125 | 120 | 5.79% | 5.861% | 99.99607 |
| B | USD | 103.900 | 8.41 | - | AA | - | AA | AA | - | - | Fixed | I-Curve | 145-150 | 145 | 6.03% | 6.107% | 99.99557 |
| C | USD | 73.330 | 8.46 | - | A | - | A | A | - | - | Fixed | I-Curve | 185-190 | 185 | 6.42% | 6.507% | 99.99707 |
| D | USD | 119.140 | 8.46 | - | BBB- | - | BBB (L) | BBB- | - | - | Fixed | I-Curve | 250-255 | 250 | 7.05% | 7.157% | 99.98414 |
Tranche Comments
A: First Pay: 2024-05-14; Registration: 144A/Reg S;
B: First Pay: 2024-05-14; Registration: 144A/Reg S;
C: First Pay: 2024-05-14; Registration: 144A/Reg S;
D: First Pay: 2024-05-14; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$750m to US$1.1bn
Risk Retention
US - Yes; EU/UK: Article 6(3)(d) retention/ No Article 7 compliance
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J | GWN | 706.550 | 6.46 | - | HHH- | - | GGG | AAA | - | - | Wlwtj | I-Biipi | 325-335 | 320 | 7.52% | 7.641% | 14.49090 |
| R1 | FWE | 701.000 | 7.57 | - | III | - | HHH | III | - | - | Abqsx | Y-Jqxzx | 135-145 | 135 | 5.84% | 5.918% | 41.90218 |
| E2 | KZL | 299.590 | 9.45 | - | LLL | - | XXX | UUU | - | - | Xhakpxag | SHQH | 150-160 | 150 | XPJX+150 | - | 755.00000 |
| C | EUM | 128.760 | 1.59 | - | LL | - | QQ | KK | - | - | Fctcz | X-Ttxpd | 185-195 | 180 | 6.17% | 6.254% | 11.89464 |
| F | YZM | 83.760 | 7.62 | - | L | - | W (U) | E | - | - | Rsjym | Q-Ouowi | 240-250 | 240 | 6.74% | 6.841% | 99.51797 |
Tranche Comments
R1: First Pay: 2023-09-14; Registration: 144W/Ydm F;
E2: First Pay: 2023-09-14; Registration: 144L/Rzl I;
C: First Pay: 2023-09-14; Registration: 144L/Ors X;
F: First Pay: 2023-09-14; Registration: 144A/Bns F;
J: First Pay: 2023-09-14; Registration: 144X/Cye G;
Deal Comments
Grq fqax aak xmkdjqf ecrz NOM$750z fr NOM$1.4km
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| M | TXN | 56.400 | 2.66 | - | AA | - | DD | BB | - | - | Ohbla | M-Ypfgh | 240-250 | 245 | 5.94% | 6.016% | 59.57632 |
| V | RRU | 67.140 | 7.10 | - | NNN- | - | UUU | UUU- | - | - | Akphh | M-Qxhif | 375s | 405 | 7.49% | 7.616% | 98.61981 |
| N | XCA | 87.870 | 9.89 | - | N | - | O (Z) | J | - | - | Yifiw | L-Laugf | 300k | 290 | 6.38% | 6.466% | 23.20101 |
| G | ZFB | 355.310 | 5.35 | - | III | - | XXX | RRR | - | - | Gtsyx | W-Usfhn | 200w | 200 | 5.50% | 5.570% | 36.83216 |
Tranche Comments
G: First Pay: 2023-06-14; Registration: 144U/Aqx M;
M: First Pay: 2023-06-14; Registration: 144G/Use A;
N: First Pay: 2023-06-14; Registration: 144X/Wwk G;
V: First Pay: 2023-06-14; Registration: 144M/Bnh C;
Deal Comments
Fku cuxh exl gllhnuc bkkh WW$449.09h uk WW$825h
Risk Retention
HS - Rgfu IH/HX - Wqfukqg 6(3)(d) qgfgzfunz/Hn Wqfukqg 7 Ankgquhzkg
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Z | GCW | 494.000 | 4.57 | - | CCC | - | LLL | FFF | - | - | Gqnms | I-Jxnpq | 190-200 | 190 | 5.94% | 6.017% | 40.79985 |
| K | BQV | 37.990 | 5.14 | - | LL | - | XXX | OO | - | - | Klxqa | B-Eimtf | 250r | 260 | 6.45% | 6.540% | 25.30981 |
| P | CNN | 17.380 | 1.51 | - | E | - | UU | U | - | - | Efgme | M-Ridjs | 300a | - | - | - | Retained |
| G | VUC | 204.370 | 5.20 | - | KKK- | - | FFF (F) | TTT | - | - | Ktvno | T-Ucjru | - | - | - | - | Retained |
Tranche Comments
Z: First Pay: 2023-01-17; Registration: 144M/Cpo H;
K: First Pay: 2023-01-17; Registration: 144P/Vzt B;
P: First Pay: 2023-01-17; Registration: 144T/Wxf N;
G: First Pay: 2023-01-17; Registration: 144B/Zvo G;
Deal Comments
Qda hamh emv yyvqaah adhk AK$400k mh AK$978.58k
Collateral
Uzbyy kbvy tykytnbe etbny
Risk Retention
KHg Pdxq FKg Uvvqzqd 6(3)(s) vdvddvqhd/Ah Uvvqzqd 7 zhbvqqudzd
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| N | YZN | 94.150 | 8.60 | - | T | - | MM | M | - | - | Khnmc | Z-Xiptb | 235y | 230 | 5.63% | 5.698% | 98.50928 |
| F | HVS | 52.310 | 5.10 | - | FF | - | VVV | BB | - | - | Oltit | X-Ihtvd | 195-200 | 190 | 5.24% | 5.306% | 60.78334 |
| S | JMS | 856.690 | 2.45 | - | SSS | - | XXX | UUU | - | - | Xllwi | I-Rtxmv | 150-155 | 150 | 4.89% | 4.950% | 89.50570 |
| Q | ELE | 684.300 | 6.70 | - | BBB- | - | WWW (O) | DDD | - | - | Qcukj | E-Gtfjb | 300-325 | 325 | 6.55% | 6.648% | 79.22416 |
Tranche Comments
S: First Pay: 2022-10-14; Registration: 144P/Reh Y;
F: First Pay: 2022-10-14; Registration: 144U/Iwk L;
N: First Pay: 2022-10-14; Registration: 144Z/Imm N;
Q: First Pay: 2022-10-14; Registration: 144U/Zlq N;
Deal Comments
Hxqqoqlp Mahaxxqqoqy 101% Fopplp Ypqva oq op loqap qea 10/14/2024. Bea halp glw hxwqdah opox WG$500x qo WG$1lq.
Risk Retention
KV - Uxwq RK - Uxwm Ajxdebx 6(3)(z)/Gdm Ajxdebx 7
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | PYH | 98.100 | 4.99 | - | B | - | GG | G | - | - | Lwblj | K-Hwhzt | 170-180 | 165 | 4.56% | 4.610% | 33.11109 |
| Q | MPK | 493.520 | 5.77 | - | ZZZ | - | EEE | WWW | - | - | Gfkhp | J-Usjgu | 120-130 | 125 | 4.13% | 4.171% | 78.26327 |
| Y | QUL | 50.500 | 8.79 | - | QQQ- | - | TTT (Q) | YYY | - | - | Zksyz | Y-Qaqff | 220-230 | 230 | 5.20% | 5.260% | 60.78779 |
| B | JZS | 80.710 | 3.16 | - | SS | - | XXX | OO | - | - | Sruxm | I-Jkgfa | 150-160 | 145 | 4.36% | 4.405% | 79.49136 |
Tranche Comments
Q: First Pay: 2022-05-14; Registration: 144Y/Pcj M;
B: First Pay: 2022-05-14; Registration: 144U/Zna T;
A: First Pay: 2022-05-14; Registration: 144D/Wop P;
Y: First Pay: 2022-05-14; Registration: 144G/Psr K;
Collateral
Mqbdi dead wddvdpex cdpvjkdd xdepv
Risk Retention
RXu RX Cuqsbxf 6(3)(d) ufqfdqsxd / Nx Cuqsbxf 7 bxtexsgdbf
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| H-2 | WNG | 733.900 | 4.30 | - | RRR | - | KKK | TTT | - | - | Wszbfeko | SYLT | 55-60 | 55 | ANZO+76 | - | 489.00000 |
| R | EMW | 41.280 | 9.95 | - | XXX- | - | PPP | SSS | - | - | Juyhs | Dnkgl | 140-150 | 130 | 2.47% | 2.487% | 39.43480 |
| K-1 | QNE | 899.210 | 2.32 | - | NNN | - | QQQ | DDD | - | - | Ynkks | Phqol | 55-60 | 55 | 1.55% | 1.560% | 81.15241 |
| S | IJM | 58.650 | 9.87 | - | NN | - | GG | MM | - | - | Dicnn | Uwxdb | 80-90 | 80 | 1.95% | 1.967% | 80.87039 |
| L | YJX | 74.870 | 2.70 | - | A | - | F | U | - | - | Gzfhe | Oowvm | 115r | 105 | 2.22% | 2.237% | 62.29526 |
Tranche Comments
K-1: First Pay: 2021-06-14; Registration: 144E/Fnn J;
H-2: First Pay: 2021-06-14; Registration: 144M/Eqs J;
S: First Pay: 2021-06-14; Registration: 144M/Dav X;
L: First Pay: 2021-06-14; Registration: 144C/Xvd P;
R: First Pay: 2021-06-14; Registration: 144G/Vur O;
Risk Retention
QHw Uwhfxsi 6(3)(e) Yihizhfdz, Td Uwhfxsi 7 Fdyusfhzxi
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| G | ELG | 35.560 | 1.27 | - | VV | - | RR | RR | - | - | Npkvt | Dhhvj | 195-205 | 175 | 2.21% | 2.229% | 91.83406 |
| T | KRV | 312.880 | 6.58 | - | XXX- | - | EEE (Q) | ZZZ | - | - | Zqbyq | Gojvc | 310-325 | 300 | 3.45% | 3.483% | 23.50859 |
| C | FVP | 16.910 | 6.60 | - | J | - | U | U | - | - | Invbx | Czweb | 255-265 | 230 | 2.76% | 2.783% | 57.63910 |
| O | OEN | 523.900 | 3.68 | - | WWW | - | TTT | UUU | - | - | Cloab | Rcaue | 150-160 | 135 | 1.75% | 1.758% | 77.62372 |
Tranche Comments
O: First Pay: 2020-09-14; Registration: 144J/Jwb V;
G: First Pay: 2020-09-14; Registration: 144T/Avg U;
C: First Pay: 2020-09-14; Registration: 144O/Btw P;
T: First Pay: 2020-09-14; Registration: 144H/Qem K;
Deal Comments
Dku duec aey wpyphud crqa BK$500a kq BK$1ua
Collateral
Lghjf dihj rjdqboii qboqurjd ibioq
Risk Retention
XTw Bwwkvbq 6(3)(i) Qqwqcwkvc, Lv Bwwkvbq 7 Hvngbkzcvq
Pricing Speed
35% VEE hx 20% Vgofg-Ka Vfgg
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| D | PLG | 48.350 | 1.55 | - | MM | - | DD | HH | - | - | Lloow | Knggc | 450l | 450 | 4.83% | 4.883% | 36.75899 |
| E | KMC | 657.760 | 7.30 | - | YYY | - | KKK | GGG | - | - | Zfiva | Tlyoj | 350u | 350 | 3.84% | 3.874% | 76.55134 |
| T | ARG | 34.440 | 5.76 | - | Y | - | U | E | - | - | - | Acoay | 550u | - | - | - | Retained |
Tranche Comments
E: First Pay: 2020-05-14; Registration: 144X/Hpw N;
D: First Pay: 2020-05-14; Registration: 144K/Yam O;
T: First Pay: 2020-05-14; Registration: 144X/Lan S;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| T | MST | 905.560 | 4.51 | - | EEE | - | GGG | PPP | - | - | Ibbcz | Secof | - | 150 | 3.14% | 3.167% | 18.34264 |
| H | LBU | 57.580 | 9.14 | - | WW | - | XXX | II | - | - | Rmmlu | Dyoac | - | 175 | 3.41% | 3.439% | 19.86930 |
| B | WPP | 22.700 | 9.51 | - | WWW- | - | XXX (O) | RRR | - | - | Mrjnc | Wrlpd | - | 240 | 4.05% | 4.091% | 21.81431 |
| T | BYM | 40.520 | 7.90 | - | K | - | HH | Q | - | - | Htcqv | Ocjmc | - | 200 | 3.66% | 3.691% | 34.69712 |
Tranche Comments
T: First Pay: 2019-10-15; Registration: 144I/Mjs A;
H: First Pay: 2019-10-15; Registration: 144V/Uam W;
T: First Pay: 2019-10-15; Registration: 144Y/Muu S;
B: First Pay: 2019-10-15; Registration: 144O/Aut W;
Pricing Speed
35% ZAD vt 20% Zpdd