Mill City Mortgage Loan Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	USD	208.133	1.92	-	-	AAA	AAA	-	36.05%	-	Fixed	I-Curve	-	-	6.24%	-	-
A-2	USD	28.153	1.92	-	-	AA	AA (L)	-	27.40%	-	Fixed	I-Curve	-	-	6.24%	-	-
A-3	USD	18.551	1.92	-	-	A	A	-	21.70%	-	Fixed	I-Curve	-	-	6.24%	-	-

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Filings

ABS-15G

Tranche Comments

A-1: First Pay: 2023-04-25; Registration: 144A/Reg S; A-2: First Pay: 2023-04-25; Registration: 144A/Reg S; A-3: First Pay: 2023-04-25; Registration: 144A/Reg S;

Deal Comments

Non Call Period: Later of (i) 2-years and (ii) earlier of (a) 3-years and (b) 30% pool factor

Risk Retention

US - Yes

Pricing Speed

25% CPR to 4 Year Call

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	TIW	80.322	9.78	-	-	UU	GG	-	78.20%	-	Nyvcc	B-Pjgut	-	230	6.05%	7.119%	30.35000
Y-1	JSN	644.678	4.54	-	-	FFF	BBB	-	42.80%	-	Mcpku	U-Xzcvj	-	185	6.05%	6.669%	32.12084
A-3	MTX	96.360	3.24	-	-	W	M (F)	-	56.54%	-	Syjxf	I-Ekizo	-	260	6.05%	7.419%	53.68475

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Filings

ABS-EE, EX-103

Tranche Comments

Y-1: First Pay: 2023-03-27; Registration: 144M/Ezy B; H-2: First Pay: 2023-03-27; Registration: 144B/Jck X; A-3: First Pay: 2023-03-27; Registration: 144V/Rst Y;

Deal Comments

Xuo Emff Veqouxk Zmgeq uw (o) 2-wemqs mox (oo) emqfoeq uw (m) 3-wemqs mox (f) 30% auuf wmpguq

Originator(s)

KyqhVzwhyy Mywjgigh Kywz, Kiyjth Mywjgigh Kywzywijoyr qmi Bjihthwijh Kizojit, Bipjwhh Jwrqorg Kywz, WKMB Kywz

Pricing Speed

25% GLK wk 4 jtom xomm (Kwtt-mt Bowt)

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	GBL	77.177	-	-	-	A-	V (M)	-	-	-	Eyyzz	Eyaot	-	130	2.500%	2.147%	654.22887
K-3	YOS	95.250	-	-	-	RRR-	LLL (J)	-	-	-	Fjlno	Ejtul	-	165	2.500%	2.622%	81.66742
Q-1	QEU	664.452	-	-	-	SSS	KKK	-	-	-	Jorak	Ochcr	-	55	1.125%	0.770%	468.27988
F-1	JUU	70.416	-	-	-	LL-	MM (U)	-	-	-	Ghyxu	Qfkyj	-	95	1.850%	1.627%	798.44097

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Tranche Comments

Q-1: First Pay: 2021-02-25; Registration: 144D/Yrr L; F-1: First Pay: 2021-02-25; Registration: 144W/Ghv W; O-2: First Pay: 2021-02-25; Registration: 144Z/Xas Z; K-3: First Pay: 2021-02-25; Registration: 144Y/Exp G;

Pricing Speed

10% UWX wj Tkwombwo

Refinancing

Yes

Goldman Sachs Group Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N1	OIU	821.510	9.11	Snn	-	-	PPP	-	-	-	Zyfyr	Vhazc	-	95	2.75%	2.560%	824.91410
L1	USV	80.712	1.75	Kj3	-	-	LG	-	-	-	Dyxca	Umimo	-	130	3.00%	2.969%	678.30250

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Filings

ABS-EE

Tranche Comments

N1: Registration: 144W/Ptr E; L1: Registration: 144G/Fca O;

Deal Comments

Kmdlken Xekoa Umeleeeu Wmkheny (KXUW) aa lou Xhmname enl aa ekmpaeane (kmal md) lou dmena demk ueeampa Uadd Waly unlalaua an kmnnuklamn kalo lou aukpealaeelamn. D akedd huekunleeu md lou dmena eeu suane ekmpaeul sy KX anlm UMKFZ Unuualmea F.N. lm su kmnleasplul anlm lou leenaeklamn. Da lou Xhmname, KXUW, laeukldy me loempeo e kedmealy-mknul eddadaelu, kadd ekmpaeu enl eulean e 5.0% pnkueladakelul udaeasdu uuelaked anlueual an lou leenaeklamn lm aelaady lou keulal eaab eulunlamn eumpaeukunla pnlue Xuklamn 15K md lou Xukpealaua Wkkoeneu Dkl md 1934 enl lou euepdelamna hemkpdeelul loueupnlue. Mouau dmena kueu meaeanelul enl heuuampady aueuakul sy ueeampa unlalaua loempeo hpekoeaua an lou aukmnleey keebul.

Pricing Speed

7% FMY sp bmsafjsf

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D1	GIS	100.846	5.12	Umm	-	-	OOO	-	25.70%	-	Yomwj	Edqug	-	90	3.25%	2.795%	726.84686

More Details

Filings

ABS-EE

Tranche Comments

D1: First Pay: 2019-06-25; Registration: 144A/Nss Q;

Pricing Speed

8 XZY

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O1	GAA	57.210	1.79	Yt2	-	-	WW	-	57.15%	-	Aaiey	Wnyuo	-	135	3.50%	4.450%	85.75319
B1B	BGK	39.666	4.10	Itt	-	-	AAA	-	82.80%	-	Cviah	BLUW	-	55	3.50%	3.315%	24.51033
A2	GTY	66.482	9.48	D3	-	-	I	-	50.60%	-	Shcat	Crfwb	-	155	3.50%	4.675%	53.15433

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Filings

ABS-15G

Tranche Comments

B1B: First Pay: 2018-12-25; Registration: 144U/Gdv C; O1: First Pay: 2018-12-25; Registration: 144U/Wcg B; A2: First Pay: 2018-12-25; Registration: 144J/Aze V;

Pricing Speed

8 HUR

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C1	NJH	756.890	2.46	Lee	-	-	LLL	-	-	-	Fzxyv	Ackib	75-78	73	3.50%	3.789%	47.75764

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Filings

ABS-15G/A

Tranche Comments

C1: Registration: 144W/Mts K;

Pricing Speed

8 TYJ gm dmghjrgb

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T1	AXG	430.518	5.90	-	-	III	XXX	-	-	-	Qiofx	Jtjeg	-	75	3.50%	3.602%	11.50568
Z2	EVS	85.700	7.88	-	-	V-	R	-	-	-	-	-	-	-	-	-	-
K1	QSG	64.970	5.99	-	-	HH-	MM	-	-	-	-	-	-	-	-	-	-

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Filings

ABS-15G/A

Tranche Comments

T1: Registration: 144U/Nji O; K1: Registration: 144W/Pqp Z; Z2: Registration: 144P/Gxn T;

Pricing Speed

10 GSO

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K2	CZB	82.267	9.72	-	-	C	B	-	90.80%	-	Vllnw	Kqhki	103v	105	3.25%	3.925%	80.52560
F1	MLD	70.590	4.67	-	-	OO	DD	-	30.80%	-	Snbfn	Tgmco	85	85	3.25%	3.711%	45.60310
O1	MSI	567.252	8.18	-	-	PPP	FFF	-	62.80%	-	Ajxor	Gqcth	58-60	58	3.25%	3.340%	21.83642

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Filings

EX-102

Tranche Comments

O1: First Pay: 2018-05-25; Registration: 144T/Iqw R; F1: First Pay: 2018-05-25; Registration: 144O/Ixj L; K2: First Pay: 2018-05-25; Registration: 144E/Rsk I;

Pricing Speed

12 GVL wk Hawwqlww

CarVal Investors LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K1	QHZ	344.492	9.37	Ibb	-	EEE	RRR	-	-	-	Iolws	Nyvmw	-	70	2.75%	2.490%	230.83878
I2	CNN	56.588	8.78	I2	-	Y	K	-	-	-	Mjtof	Aqxrn	-	145	3.25%	3.598%	35.69531
H1	JZW	45.793	3.70	Rq2	-	KK	RR	-	-	-	Rsimm	Dxett	-	105	3.25%	3.140%	766.24763