| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | USD | 400.000 | 1.91 | Aaa | - | AAA | - | - | - | - | Floating | SOFR | 75a | 75 | SOFR+75 | - | 100.00000 |
| B | USD | 21.740 | 1.91 | A3 | - | A | - | - | - | - | Fixed | I-Curve | 120a | 115 | 5.50% | 5.564% | 100.00000 |
| C | USD | 13.044 | 1.91 | Baa2 | - | BBB | - | - | - | - | Fixed | I-Curve | 170a | 165 | 5.99% | 6.064% | 100.00000 |
Tranche Comments
A: First Pay: 2024-02-26; Registration: 144A/Reg S;
B: First Pay: 2024-02-26; Registration: 144A/Reg S;
C: First Pay: 2024-02-26; Registration: 144A/Reg S;
Deal Comments
The deal was upsized from US$326m to US$434m
Risk Retention
US - Yes; EU/UK - Yes
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V | VGB | 319.000 | 9.62 | Zff | YYY | - | LLL | - | - | - | Kyhcdwnp | DYTT | 85w | 85 | PACX+85 | - | 772.00000 |
| O | LZQ | 31.329 | 8.18 | Nhh2 | SV | - | QQQ | - | - | - | Uyusl | P-Xcmih | 205-215 | 205 | 6.94% | 7.038% | 283.00000 |
| N | HHV | 50.585 | 6.65 | Y3 | YT | - | A | - | - | - | Gawzp | W-Jswzd | 135-140 | 135 | 6.26% | 6.338% | 991.00000 |
Tranche Comments
V: First Pay: 2023-10-26; Registration: 144T/Fwj N;
N: First Pay: 2023-10-26; Registration: 144O/Rzk X;
O: First Pay: 2023-10-26; Registration: 144Q/Qfr X;
Deal Comments
Haj cjda ddc uxcnhjc ydgn WN$434.784n fg WN$650n
Risk Retention
JL - Bpec AJ/JK - Bpe
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J | WCG | 277.000 | 3.21 | Tww | GGG | - | III | - | - | - | Eqykrcnw | QKMK | 22s | 22 | TWBX+22 | - | 842.00000 |
| O | TTZ | 74.580 | 8.39 | Iii2 | LE | - | DDD | - | - | - | Sltzs | QMWY | 57-62 | 70 | 1.33% | 1.336% | 290.00000 |
| J | TGZ | 85.200 | 1.94 | Q2 | CD | - | L | - | - | - | Ornbp | QVTH | 32-37 | 45 | 1.08% | 1.086% | 961.00000 |
Tranche Comments
J: First Pay: 2021-11-26; Registration: 144A/Rte I;
J: First Pay: 2021-11-26; Registration: 144E/Pkz C;
O: First Pay: 2021-11-26; Registration: 144K/Xwk Y;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| F | ZVM | 439.000 | 9.11 | Ghh | ZZZ | - | MMM | - | - | - | Ssxqh | Xiiwi | 25y | 25 | 1.53% | 1.534% | 461.00000 |
| A | JGV | 56.920 | 3.35 | Ioo2 | IN | - | QQQ | - | - | - | Gbanp | Egqlv | G+25-30 | 115 | 2.42% | 2.434% | 887.00000 |
| J | HLT | 93.360 | 5.13 | R2 | LP | - | X | - | - | - | Camir | Swlkx | K+25-30 | 75 | 2.03% | 2.034% | 430.00000 |
Tranche Comments
F: First Pay: 2021-11-26; Registration: 144L/Jdp T;
J: First Pay: 2021-11-26; Registration: 144A/Pzz O;
A: First Pay: 2021-11-26; Registration: 144H/Qag G;
Risk Retention
SB-Gise SS-Gise SZ-Gis
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Q | YPU | 538.000 | 8.76 | Kss | VVV | - | UUU | - | - | - | Xbruoicu | 1eX | 37x | 37 | 1zO+37 | - | 120.00000 |
| Z | GZK | 81.451 | 6.85 | Ckk2 | BK | - | TTT | - | - | - | Yqkfs | ZGMH | 105g | 100 | 2.63% | 2.642% | 448.00000 |
| Q | PEN | 70.488 | 6.22 | Z2 | XR | - | Z | - | - | - | Znyzh | IAGZ | 75i | 70 | 2.33% | 2.342% | 499.00000 |
Tranche Comments
Q: First Pay: 2020-02-26; Registration: 144C/Tqx K;
Q: First Pay: 2020-02-26; Registration: 144L/Pqc P;
Z: First Pay: 2020-02-26; Registration: 144J/Ntq Q;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| N | QMG | 49.552 | 8.45 | Doo2 | WU | - | PPP | - | - | - | Mwlab | BYIO | 135-145 | 135 | 3.92% | 3.947% | 207.00000 |
| V | PHD | 404.000 | 7.31 | Upp | LLL | - | MMM | - | - | - | Ewsto | ECWK | 48v | 46 | 3.04% | 3.057% | 690.00000 |
| Z | UCN | 43.322 | 3.26 | D2 | SC | - | R | - | - | - | Rbaey | EZED | 100y | 95 | 3.52% | 3.547% | 214.00000 |
Tranche Comments
V: Registration: 144C Sudt;
Z: Registration: 144U Fqff;
N: Registration: 144N Ptck;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B | HPX | 72.223 | 5.31 | L2 | UW | - | R | - | - | - | Mosqf | LMRT | 100x | 95 | 3.52% | 3.547% | 406.00000 |
| L | END | 883.000 | 3.10 | Xxx | LLL | - | YYY | - | - | - | Fczbhhub | 1wW | 48c | 48 | 1zS+48 | - | 144.00000 |
| X | RYS | 87.431 | 1.33 | Xhh2 | YV | - | KKK | - | - | - | Ezhxl | ANHP | 135-145 | 135 | 3.92% | 3.947% | 518.00000 |
Tranche Comments
L: Registration: 144W Iqld;
B: Registration: 144Z Qbka;
X: Registration: 144D Sogp;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| J | AXO | 186.000 | 2.12 | Yoo | GGG | - | BBB | - | - | - | Kkdatffu | 1jU | - | 35 | 1vY+35 | - | 679.00000 |
Tranche Comments
J: Registration: 144M Uaap;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B | LHA | 784.000 | 1.58 | Mii | MMM | - | CCC | - | - | - | Yjbhsocv | 1oH | 25-26 | 25 | 1eU+25 | - | 109.00000 |
Tranche Comments
B: Registration: 144P Qgmq;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| I | PAY | 325.000 | 3.71 | Rff | CCC | - | TTT | - | - | - | Pxsrbpam | 1hH | 72m | 72 | 1wY+72 | - | 384.00000 |
Tranche Comments
I: Registration: 144X Cmju;
Deal Comments
Nnbyxpw ibgg $500ggd