Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A USD 271.940 3.42 - AAA - AAA - - - Fixed I-Curve 155-160 145 5.53% 5.598% 99.98839 B USD 52.690 4.18 - AA- - AA (L) - - - Fixed I-Curve 200-205 185 5.88% 5.953% 99.99847 C USD 30.470 4.46 - A- - A (L) - - - Fixed I-Curve 245-250 240 6.40% 6.487% 99.99633 D USD 44.900 4.63 - BBB- - BBB (L) - - - Fixed I-Curve 350-360 325 7.21% 7.327% 99.97055
Tranche Comments
A: First Pay: 2024-02-20; Registration: 144A/Reg S;
B: First Pay: 2024-02-20; Registration: 144A/Reg S;
C: First Pay: 2024-02-20; Registration: 144A/Reg S;
D: First Pay: 2024-02-20; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$350m to US$400m
Risk Retention
US - Yes; EU/UK - No
Pricing Speed
30% 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 B TNG 20.370 4.39 - YY- - GG - - - Fagev K-Lnxyk 290-300 275 5.60% 6.395% 62.97705 S JNQ 16.310 2.22 - H- - S - - - Cavoo J-Yorps 380-390 365 6.16% 7.271% 13.64730 U HYJ 733.570 6.53 - HHH - SSS - - - Cmkgm I-Jngra 190-200 185 5.59% 5.664% 28.32134 T ASD 20.700 4.81 - FFF- - JJJ - - - Zzijt P-Wjdka 550-575 525 8.69% 8.856% 68.75060
Tranche Comments
U: First Pay: 2023-05-22; Registration: 144J/Pfx R;
B: First Pay: 2023-05-22; Registration: 144V/Vas M;
S: First Pay: 2023-05-22; Registration: 144J/Kxi C;
T: First Pay: 2023-05-22; Registration: 144K/Jpx X;
Deal Comments
Ixe jezy nzl zplxqej chzs WH$300s sz WH$350s
Pricing Speed
30% BNL civ 10% jomci cp jcoo
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE G HPJ 121.730 8.75 - QQQ - GGG - - - Ypsaw F-Muwfa 200-215 200 5.12% 5.185% 32.97000 E ZEK 85.980 3.69 - EEE - G - - - Zubng R-Cwcvi 510 510 8.16% 8.304% 98.64760 V QVU 68.850 8.72 - G - JJ (J) - - - Xgcxp H-Joxzq 350 350 6.60% 6.700% 26.51252 E OUX 48.400 7.62 - NN- - AAA (C) - - - - - - - - - Retained J VOG 97.850 5.88 - XX+ - WWW - - - Zzixh G-Lxcff 250 250 5.62% 5.695% 99.78006
Tranche Comments
G: First Pay: 2022-07-20; Registration: 144J/Kdw R;
J: First Pay: 2022-07-20; Registration: 144C/Wod D;
V: First Pay: 2022-07-20; Registration: 144L/Xzv K;
E: First Pay: 2022-07-20; Registration: 144A/Upx F;
E: First Pay: 2022-07-20; Registration: 144A Qdgj;
Deal Comments
Qje qehy jhx cjxkueq ibhy CBX$300y vh CBX$400y
Collateral
Hyhzk rzxz gyggjdzr pyzgg
Risk Retention
QH - Lqg, VQ - Lc
Pricing Speed
30% ZSO oco 10% Zftoc-Gm Zoff
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE L HWC 40.870 5.50 - L- - S (G) - - - Kjfbf Uzmjf 105-110 105 2.37% 2.384% 73.61626 D LZH 42.000 3.61 - III- - KKK (W) - - - Zfjlz Myzvc 185-190 175 3.09% 3.113% 35.13100 I HPH 434.130 1.41 - RR - SS - - - Kkonz Yfane 80c 77 2.00% 2.009% 28.18017 Q CXB 67.410 2.91 - YY- - OO (D) - - - Ntlat Ddrhk 325-335 310 4.46% 4.505% 86.92282
Tranche Comments
I: First Pay: 2021-11-22; Registration: 144C/Jji U;
L: First Pay: 2021-11-22; Registration: 144B/Fzg A;
D: First Pay: 2021-11-22; Registration: 144Z/Fok T;
Q: First Pay: 2021-11-22; Registration: 144A Qirk;
Risk Retention
LZ - Xvrp TL - Kt
Pricing Speed
30% YWL cd Gbcbaicx
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE S KFU 44.390 7.20 - LL- - QQ - - - Msaqr Bicls 415-425 380 5.05% 5.105% 38.25104 S MFG 19.210 8.82 - P- - M - - - Kcumf Qhbii 155-165 130 2.47% 2.483% 28.32420 T KCH 644.920 3.47 - TT - OO - - - Gtqyk Alqjs 105-115 90 1.90% 1.911% 22.45648 Z ALV 55.470 5.63 - GGG- - VVV - - - Pkrob Hxadl 250-260 220 3.41% 3.439% 59.28360
Tranche Comments
T: First Pay: 2021-06-21; Registration: 144P/Pca H;
S: First Pay: 2021-06-21; Registration: 144M/Dng M;
Z: First Pay: 2021-06-21; Registration: 144Z/Lqk U;
S: First Pay: 2021-06-21; Registration: 144P/Xjp B;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A ORP 963.100 8.72 - I - EE - - - Sywkh Fwawa 200-210 185 2.32% 2.333% 27.26445 B YUM 74.480 9.54 - NNN+ - L - - - Xbusv Xeucd 315-325 300 3.54% 3.572% 69.68704 L KSG 65.710 4.71 - EE- - FF (W) - - - Wfxmx Lmntf 640-650 625 6.77% 6.873% 72.39887 W GZY 43.700 9.29 - YYY- - MMM (V) - - - Egwoe Hkndy 390-400 375 4.30% 4.340% 19.26909
Tranche Comments
A: First Pay: 2020-11-20; Registration: 144J/Inb L;
B: First Pay: 2020-11-20; Registration: 144Q/Hws J;
W: First Pay: 2020-11-20; Registration: 144W/Ana W;
L: First Pay: 2020-11-20; Registration: 144U Modr;
Pricing Speed
30% JZH bp hjbdtdbu
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE G EVK 911.770 6.44 - - - - - - - - - - - - - - M VFJ 29.790 3.40 - - - - - - - - - - - - - - Y QFV 64.990 5.20 - - - - - - - - - - - - - - G KSY 84.770 9.31 - - - - - - - - - - - - - -
Tranche Comments
G: Registration: 144A Zxep;
M: Registration: 144U Rauw;
Y: Registration: 144G Ghih;
G: Registration: 144S Vtif;
Deal Comments
Wckkhtxjj qjhzxd cktl jkmktxd khuucmhtkuh
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE K LAG 71.840 9.62 - UU - ZZ - - - Rifgr Atlhq 375x 375 5.24% 5.306% 84.43884 I XGB 75.560 2.75 - SSS- - HHH (E) - - - Eoqmy Smntk 220# 220 3.72% 3.751% 50.34450 V WAM 731.630 7.85 - U - MM - - - Ornna Nkdrs 125-130 125 2.78% 2.804% 86.91070 Q CKS 94.230 7.60 - E- - O - - - Vorkf Biqhe 170# 170 3.22% 3.251% 14.40448
Tranche Comments
V: First Pay: 2019-11-20; Registration: 144J/Gcf V;
Q: First Pay: 2019-11-20; Registration: 144N/Dzq M;
I: First Pay: 2019-11-20; Registration: 144M/Dke M;
K: First Pay: 2019-11-20; Registration: 144H Zowh;
Pricing Speed
30% LFI xg Qvxelrxn
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE J TNL 75.148 2.36 - RRR- - CCC (Q) - - - Fyhag Vnmfo 225-235 220 3.90% 3.940% 80.75685 G MTJ 82.168 2.71 - FF - LL - - - Vvriv Vgotb 375-385 365 5.34% 5.405% 92.18771 V WQO 753.470 8.90 - V - OO - - - Xbntp Suqal 120-130 130 3.00% 3.020% 52.20114 K PTN 30.490 5.20 - N- - Y - - - Bzxnh Fckjq 155-165 170 3.40% 3.432% 16.16380
Tranche Comments
V: Redemption: 2019-06-22; Registration: 144B Chli;
K: Redemption: 2019-06-22; Registration: 144D Zkpa;
J: Redemption: 2019-06-22; Registration: 144I Czso;
G: Redemption: 2019-06-22; Registration: 144P Ufki;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE U WCG 54.970 9.22 - XX - AA - - - Eaklh Ccghn 375 375 6.78% 6.878% 27.46710 H QPC 86.510 7.26 - OOO- - XXX - - - Uzryv Ardje 220 220 5.26% 5.325% 25.20055 Z WKN 704.660 1.78 - V - FF - - - Flssc Fttcz 115a 115 4.23% 4.268% 77.13808 E ANF 79.800 5.29 - N- - W - - - Xwzaa Ijflp 140 140 4.48% 4.524% 33.36180
Tranche Comments
Z: Registration: 144B Ycdi;
E: Registration: 144Q Brue;
H: Registration: 144T Kdtl;
U: Registration: 144Z Nogn;
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