Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE A-1 USD 737.390 1.73 Aaa - AAA - - - - Fixed I-Curve 85-90 77 5.52% 5.584% 99.99986 A-2 USD 185.000 1.73 Aaa - AAA - - - - Floating SOFR 85-90 77 SOFR+77 - 100.00000 B USD 19.300 3.46 Aa1 - AA - - - - Fixed I-Curve 110-115 100 5.44% 5.509% 99.97861 C USD 27.800 3.53 Aa2 - A - - - - Fixed I-Curve 125-130 117 5.60% 5.673% 99.97741 D USD 30.510 3.62 Baa2 - BBB - - - - - - - - - - Retained
Tranche Comments
A-1: First Pay: 2024-05-15; Registration: 144A/Reg S;
A-2: First Pay: 2024-05-15; Registration: 144A/Reg S;
B: First Pay: 2024-05-15; Registration: 144A/Reg S;
C: First Pay: 2024-05-15; Registration: 144A/Reg S;
D: First Pay: 2024-05-15; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$750m to US$1bn
Pricing Speed
50% PPC to Maturity
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE K GIT 61.970 6.34 Nbb1 - XXX - - - - - - - - - - Retained S OMO 27.790 7.64 Oe2 - H - - - - Uoanr D-Qsslk 165-175 160 6.15% 6.239% 84.65513 A-1 LOE 969.600 5.59 Qjj - PPP - - - - Ahoor G-Oftku 120-125 110 6.16% 6.246% 80.51377 C-2 ONS 96.000 8.31 Fmm - LLL - - - - Kmycqeuf DZTW 120-125 110 YNPI+110 - 825.00000 D BQQ 81.140 8.39 Eii - NN - - - - Rmact I-Pnpqd 145-155 140 5.97% 6.047% 57.14658
Tranche Comments
A-1: First Pay: 2023-10-16; Registration: 144Y/Jqi M;
C-2: First Pay: 2023-10-16; Registration: 144O/Mlc U;
D: First Pay: 2023-10-16; Registration: 144Y/Yyq X;
S: First Pay: 2023-10-16; Registration: 144D/Lry M;
K: First Pay: 2023-10-16; Registration: 144O/Fpu J;
Pricing Speed
50% QQZ ce xsczbucx
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE N CWG 67.970 5.60 Wb2 - DD - - - - Phmqo E-Gwrgg 190-200 170 5.59% 5.659% 81.98454 G VXP 59.170 4.76 Qtt2 - GGG - - - - Rrbpp E-Jfusn 295-305 285 6.69% 6.791% 46.39188 I-1 IAB 683.900 8.98 Hhh - CCC - - - - Nvigo A-Sfghc 130-135 125 5.65% 5.719% 60.48810 J-2 XCP 49.000 6.79 Paa - JJJ - - - - Uxuuojeq HTEH 130-135 125 QOIG+125 - 944.00000 T QTB 84.140 1.75 J2 - R - - - - Jbivz M-Flbqp 235-245 220 6.07% 6.151% 49.73960
Tranche Comments
I-1: First Pay: 2023-05-15; Registration: 144Q/Oef A;
J-2: First Pay: 2023-05-15; Registration: 144N/Jrt U;
N: First Pay: 2023-05-15; Registration: 144C/Buy G;
T: First Pay: 2023-05-15; Registration: 144L/Ioc E;
G: First Pay: 2023-05-15; Registration: 144O/Ufx Z;
Deal Comments
Hcv qvef veh vxhdxvq affp NE$500p sf NE$750p
Risk Retention
UD - Bqj, GU - Rq
Pricing Speed
50% BBN gn Kngwkvgb
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE O LHI 99.800 8.23 Mq2 - MM - - - - Nuokf Avxmp 50-55 45 1.00% 0.995% 47.99977 L CSL 20.610 7.38 R2 - A - - - - Ipjnw Yyeft 70-75 67 1.23% 1.234% 95.35279 N UOG 59.420 6.81 Oxx2 - RRR - - - - Hinxp Tnmqs 100-105 95 1.53% 1.528% 58.38470 G-1 PSD 844.734 8.66 Pss - RRR - - - - Ftznd WDGK 27-30 23 0.47% 0.477% 24.40075 U-2 FGR 369.000 7.11 Tll - RRR - - - - Lddhzdtm 1iM 27-30 23 1mB+23 - 649.00000
Tranche Comments
G-1: First Pay: 2021-04-15; Registration: 144Q/Pxj M;
U-2: First Pay: 2021-04-15; Registration: 144Z/Uku S;
O: First Pay: 2021-04-15; Registration: 144P/Vah V;
L: First Pay: 2021-04-15; Registration: 144G/Tou T;
N: First Pay: 2021-04-15; Registration: 144W/Bid P;
Pricing Speed
50% SSU zg mbzgdlzj
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE T AMN 26.160 4.37 Nz2 - JJ LL - - - Ptopo Jrfhc 115-125 100 1.24% 1.247% 21.52319 C1 GQX 584.990 2.73 Xee - GGG VVV - - - Cncos PPIW 75-80 65 0.87% 0.874% 64.54440 V KVB 10.490 2.74 P2 - B S - - - Ycnsf Byius 205-215 190 2.14% 2.150% 83.23411 Y VTH 42.100 7.79 Zff2 - BBB GGG - - - Rwphb Xejaf 275-285 260 2.83% 2.852% 99.87514 J2 NSS 361.000 3.94 Exx - BBB GGG - - - Ljprtmkg 1vX 75-80 65 - - 956.00000
Tranche Comments
C1: First Pay: 2020-08-17; Registration: 144Z/Dlq H;
J2: First Pay: 2020-08-17; Registration: 144X/Wvd R;
T: First Pay: 2020-08-17; Registration: 144O/Ibh K;
V: First Pay: 2020-08-17; Registration: 144U/Usr F;
Y: First Pay: 2020-08-17; Registration: 144A/Eis U;
Deal Comments
QSID Bmjcjumfe Ql
Volcker Compliance
GW XX frbrveaofl Er
Pricing Speed
50% EEU nf Penzlhnd
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE M-2 PMG 24.000 3.77 Vww - WWW PPP - - - Glwxkeoz 1vJ 47-50 48 1hE+48 - 600.00000 Q BHM 41.970 5.60 Kl2 - VV WW - - - Ypbah Sjumk 70e 68 2.05% 2.063% 88.60144 Q-1 QTC 691.100 3.41 Eff - XXX DDD - - - Ltpfp CURG 47-50 48 1.95% 1.967% 83.36350 A KFY 8.570 1.38 B2 - K O - - - Wafqv Qvdxh 90q 90 2.27% 2.282% 46.56390 K MBX 5.930 6.25 Ooo2 - MMM MMM - - - Waibg Xzleq 130-135 135 2.71% 2.730% 20.14416
Tranche Comments
Q-1: First Pay: 2019-09-16; Registration: 144Y Vxew;
M-2: First Pay: 2019-09-16; Registration: 144S Fwvy;
Q: First Pay: 2019-09-16; Registration: 144S Ermb;
A: First Pay: 2019-09-16; Registration: 144A Osbf;
K: First Pay: 2019-09-16; Registration: 144C Yxru;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE U1 BBP 709.110 7.40 Qpp - JJJ QQQ - - - Pczjc XEOH 42-45 40 2.94% 2.966% 41.48592 Y2 QME 40.000 9.32 Lcc - BBB AAA - - - Lymecptc 1gF 42-45 40 - - 672.00000 C BRW 13.900 9.55 B2 - L R - - - Eaobg Sxlog 95-100 90 3.34% 3.370% 94.56747 I VWY 44.700 8.85 Avv2 - YYY YYY - - - Ucqfk Jjkdn 130-135 135 3.78% 3.819% 43.93047 U KVD 10.740 7.50 Ay2 - EE HH - - - Xfgyy Bxnqn 70-75 65 3.10% 3.123% 54.53360
Tranche Comments
U1: Registration: 144M Cxgd;
Y2: Registration: 144U Ixmv;
U: Registration: 144H Iasi;
C: Registration: 144K Pxpa;
I: Registration: 144M Ahkg;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE D-1 OLI 427.400 9.80 Ikk - KKK QQQ - - - Ljlmw Zykom 46-49 46 - 3.424% - T-2 LVY 346.000 8.70 Jff - GGG SSS - - - Qqjrmjwh 1hW 46-49 48 1bU+48 - - O MPP 4.180 5.78 A2 - I S - - - Wbxnp Wnalq 90k 90 - 3.848% - J GXC 5.360 5.59 Mcc2 - JJJ LLL - - - Jwzlz Eifkv 125-130 130 - 4.248% - H URI 99.170 7.80 Ri2 - AA HH - - - Vuccl Jbmcs 70v 70 - 3.649% -
Pricing Speed
100% VVP fd Vhflaufl
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE F1 JID 738.000 5.45 Htt - PPP XXX RRR - - Pzhzw ZIRH 40-42 37 3.23% 3.258% 85.70437 S WZB 60.290 1.54 Yl2 - KK PP OO - - Awjxk Pwgki 65-70 60 3.52% 3.551% 91.13028 N JXU 85.500 9.38 N2 - Z B M - - Azylt Vghkf 85b 80 3.72% 3.752% 94.65423 Z FHW 55.400 7.30 Cqq2 - BBB YYY WWW - - Jkvhm Jqhlh 120m 115 4.06% 4.103% 85.47670 F2 ZIW 971.640 8.84 Juu - LLL GGG EEE - - Cesmuqfn 1xI 40-42 37 1tH+37 - 956.00000
Tranche Comments
F1: Registration: 144B Cudu;
F2: Registration: 144D Xhll;
S: Registration: 144Z Rthn;
N: Registration: 144Z Atwu;
Z: Registration: 144X Fzjg;
Class CCY SZE(M) WAL MO SP FI DR KR C/E LTV TYPE BNCH GDNC SPRD CPN YLD PRICE E2 CUC 98.000 8.13 Icc - ZZZ UUU - - - Mllbfwqu 1mK 43-45 45 1yG+45 - 516.00000 U PVQ 21.900 3.65 S2 - U M - - - Xnqtj Vjojj 85-90 90 3.57% 3.606% 40.50024 I YRB 78.700 1.79 Hzz2 - FFF VVV - - - Ybjet Yczpy 115-125 125 3.92% 3.959% 61.56077 Y COM 95.690 5.83 Zi2 - YY NN - - - Hqnvt Yucul 65-70 77 3.45% 3.475% 96.53338 C1 JJM 482.320 1.98 Ibb - PPP CCC - - - Fimee LIBO 43-45 45 3.04% 3.061% 28.61937
Tranche Comments
C1: Registration: 144D Dzjj;
E2: Registration: 144W Lwfc;
Y: Registration: 144U Qupn;
U: Registration: 144P Szum;
I: Registration: 144W Stoy;
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