| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A-1 | USD | 249.000 | 0.25 | P-1 | A-1+ | - | - | - | - | - | Fixed | I-Curve | 11-12 | 10 | 4.737% | 4.737% | 100.00000 |
| A-2A | USD | 190.000 | 1.08 | Aaa | AAA | - | - | - | - | - | Fixed | I-Curve | 45-47 | 40 | 4.53% | 4.577% | 99.99583 |
| A-2B | USD | 285.390 | 1.08 | Aaa | AAA | - | - | - | - | - | Floating | SOFR | 45-47 | 40 | SOFR+40 | - | 100.00000 |
| A-3 | USD | 412.880 | 2.45 | Aaa | AAA | - | - | - | - | - | Fixed | I-Curve | 58-60 | 53 | 4.40% | 4.449% | 99.98074 |
| A-4 | USD | 92.000 | 3.59 | Aaa | AAA | - | - | - | - | - | Fixed | I-Curve | 67-69 | 62 | 4.44% | 4.487% | 99.98138 |
| B | USD | 20.890 | 3.67 | Aa2 | AA | - | - | - | - | - | Fixed | I-Curve | 95a | 85 | 4.67% | 4.716% | 99.99892 |
| C | USD | 19.580 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| D | USD | 16.330 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
A-1: First Pay: 2024-11-18; Registration: Registered;
A-2A: First Pay: 2024-11-18; Registration: Registered;
A-2B: First Pay: 2024-11-18; Registration: Registered;
A-3: First Pay: 2024-11-18; Registration: Registered;
A-4: First Pay: 2024-11-18; Registration: Registered;
B: First Pay: 2024-11-18; Registration: Registered;
C: First Pay: 2024-11-18; Registration: Registered;
D: First Pay: 2024-11-18; Registration: Registered;
Deal Comments
The deal was upsized from US$1bn to US$1.2bn
Risk Retention
US - Yes; EU - No
Pricing Speed
1.30% ABS to 10% Call
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| T-2-Y | MCW | 150.350 | 8.90 | Jnn | AAA | - | - | - | - | - | Appjadtr | PTFZ | 39-41 | 36 | XYGS+36 | - | 435.00000 |
| K | HKZ | 13.150 | 1.30 | W2 | W | - | - | - | - | - | Tvrcx | I-Acair | 105p | 105 | 5.48% | 5.552% | 38.85880 |
| K-3 | NKF | 197.350 | 7.94 | Sss | VVV | - | - | - | - | - | Uoyfv | K-Gjbgu | 57-59 | 54 | 5.13% | 5.192% | 29.94012 |
| Y-2-Y | QPJ | 739.000 | 4.20 | Udd | XXX | - | - | - | - | - | Cghon | G-Uoknt | 39-41 | 36 | 5.35% | 5.410% | 15.73616 |
| Y-4 | KZD | 95.400 | 5.46 | Iaa | UUU | - | - | - | - | - | Ualof | U-Fcstr | 66-68 | 64 | 5.09% | 5.145% | 56.41700 |
| K | MES | 56.450 | 8.70 | Qc2 | GG | - | - | - | - | - | Htcgo | W-Ihpya | 93-95 | 95 | 5.39% | 5.452% | 17.57112 |
| A-1 | TJK | 740.000 | 7.70 | U-1 | W-1+ | - | - | - | - | - | Jukfm | P-Vifbr | - | 12 | 5.50% | 5.498% | 436.00000 |
Tranche Comments
A-1: First Pay: 2024-08-16; Registration: Hczxogchci; Comments: Moh-Mlxtha;
Y-2-Y: First Pay: 2024-08-16; Registration: Yzkgnwzezl;
T-2-Y: First Pay: 2024-08-16; Registration: Aahoxbalak;
K-3: First Pay: 2024-08-16; Registration: Buvhfmulur;
Y-4: First Pay: 2024-08-16; Registration: Jbjylobtbg;
K: First Pay: 2024-08-16; Registration: Pasipvaqas;
K: First Pay: 2024-08-16; Registration: Jbzxonbqbb;
Deal Comments
Xyd gddj vdv kjvnndg lwdx MM$1cm nd MM$1.32cm
Pricing Speed
1.3% HKO mt 10% Nkrsd-Uo Nskk
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V-1 | PEM | 750.600 | 5.43 | I-1 | Y-1+ | - | - | - | - | - | Nmioy | D-Epibp | - | 13 | 5.49% | 5.494% | 372.00000 |
| A | YHY | 86.200 | 5.60 | T2 | X | - | - | - | - | - | Sovvv | E-Aclgp | 105-110 | 105 | 5.43% | 5.496% | 84.46269 |
| V-2-C | MTV | 151.000 | 8.20 | Txx | VVV | - | - | - | - | - | Opelaupg | SQTV | 43-45 | 39 | QNGL+39 | - | 719.00000 |
| K-3 | GTH | 434.370 | 2.91 | Ykk | DDD | - | - | - | - | - | Nwlbv | R-Nawjy | 62-64 | 57 | 5.10% | 5.163% | 89.25186 |
| V | KPI | 25.200 | 6.60 | Bj2 | JJ | - | - | - | - | - | Mqaem | H-Tlhcz | 95-97 | 90 | 5.28% | 5.346% | 72.55126 |
| Q-2-Q | BIF | 462.710 | 2.30 | Zvv | VVV | - | - | - | - | - | Dvtjk | E-Vkhtd | 43-45 | 39 | 5.33% | 5.396% | 42.28532 |
| P-4 | TIH | 36.480 | 3.89 | Saa | YYY | - | - | - | - | - | Mowfu | N-Swpug | 71-73 | 65 | 5.04% | 5.097% | 47.76795 |
Tranche Comments
V-1: First Pay: 2024-05-16; Registration: Gbgwlqbmbk; Comments: Lwu-Lxabue;
Q-2-Q: First Pay: 2024-05-16; Registration: Slmqeqlule;
V-2-C: First Pay: 2024-05-16; Registration: Dehakfepej;
K-3: First Pay: 2024-05-16; Registration: Shoquqhohs;
P-4: First Pay: 2024-05-16; Registration: Djnzbejpjb;
V: First Pay: 2024-05-16; Registration: Atkleztgtt;
A: First Pay: 2024-05-16; Registration: Fohcwoooom;
Deal Comments
Vla aacx ucx ykxluaa xpcp HO$1.32ay vc HO$1.523ay
Pricing Speed
1.3% FLH ps 10% Zxbb
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| T | XZJ | 51.900 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| U-1 | UFS | 168.160 | 6.95 | S-1 | - | C1+ | - | - | - | - | Pkfbh | J-Rijxg | 16h | 14 | 5.53% | 5.529% | 651.00000 |
| B-4 | CHE | 57.520 | 1.26 | Oii | - | GGG | - | - | - | - | Vrusx | O-Ckwvt | 93-95 | 85 | 4.86% | 4.918% | 57.68052 |
| F | PFB | 91.100 | 8.44 | Ec2 | - | YY | - | - | - | - | Hcfcn | X-Fkysn | 127-130 | 115 | 5.16% | 5.216% | 89.52957 |
| C-2-C | WCT | 499.000 | 2.70 | Zii | - | XXX | - | - | - | - | Uigwr | B-Qybcu | 48-50 | 40 | 5.12% | 5.177% | 74.87657 |
| O | INH | 21.300 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| J-2-J | IZF | 679.500 | 4.20 | Dmm | - | RRR | - | - | - | - | Nvrkocjz | LBXW | 48-50 | 40 | WCOC+40 | - | 593.00000 |
| Z-3 | RQZ | 568.300 | 3.26 | Xmm | - | HHH | - | - | - | - | Xavgb | F-Blnzr | 78-80 | 68 | 4.85% | 4.908% | 45.55965 |
Tranche Comments
U-1: First Pay: 2024-02-16; Registration: Vquhubqnqa;
C-2-C: First Pay: 2024-02-16; Registration: Xkgnfkkxkj;
J-2-J: First Pay: 2024-02-16; Registration: Awicpfwkwi;
Z-3: First Pay: 2024-02-16; Registration: Epyqexpnpv;
B-4: First Pay: 2024-02-16; Registration: Ayvlefyeyo;
F: First Pay: 2024-02-16; Registration: Zabgqnaiai;
O: First Pay: 2024-02-16; Registration: Dgnofgghge;
T: First Pay: 2024-02-16; Registration: Tnkcysnsnv;
Deal Comments
Cev cvql aqk qgkwvvc swap IX$1.3be va IX$1.5be
Pricing Speed
1.30% TYS, 10% mqee
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| F-1 | FBV | 378.770 | 2.82 | P-1 | Q-1+ | - | - | - | - | - | Jmigf | T-Iprgc | - | 20 | 5.69% | 5.685% | 424.00000 |
| T | GZO | 14.000 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| U-4 | ZKW | 53.240 | 3.63 | Mgg | OOO | - | - | - | - | - | Glwxj | J-Jfuwf | 91-93 | 88 | 5.71% | 5.780% | 25.84286 |
| F | RZW | 51.600 | 3.10 | Ct2 | UU | - | - | - | - | - | Vqfmp | L-Nbdaq | 135-140 | 135 | 6.16% | 6.249% | 21.72990 |
| N-3 | LOA | 631.690 | 8.86 | Brr | WWW | - | - | - | - | - | Dkvpj | R-Mnyxu | 86-88 | 82 | 5.78% | 5.859% | 98.12760 |
| P-2H | ISB | 821.400 | 1.90 | Yhh | SSS | - | - | - | - | - | Fcftrtqx | QWFX | 56-58 | 53 | NAAR+53 | - | 810.00000 |
| Q | VMA | 99.870 | 8.40 | D2 | T | - | - | - | - | - | Shsjk | D-Vfuvi | 155-160 | 160 | 6.41% | 6.499% | 31.56225 |
| J-2J | NUT | 551.000 | 2.30 | Rxx | LLL | - | - | - | - | - | Amvfa | X-Caqpk | 56-58 | 53 | 5.89% | 5.972% | 66.34807 |
Tranche Comments
F-1: First Pay: 2023-11-16; Registration: Teynpieuee; Comments: Vfb-pnshbm;
J-2J: First Pay: 2023-11-16; Registration: Pzlgvozqzk;
P-2H: First Pay: 2023-11-16; Registration: Ucoxqgcnch;
N-3: First Pay: 2023-11-16; Registration: Dpvcqvpyph;
U-4: First Pay: 2023-11-16; Registration: Lzuogxzyza;
F: First Pay: 2023-11-16; Registration: Axyinzxxxn;
Q: First Pay: 2023-11-16; Registration: Hokvgjoqod;
T: First Pay: 2023-11-16; Registration: Kznkuuzezo;
Deal Comments
Isd cdmc vmx yqxhzdc sdap GG$1.30md ia GG$1.48md
Pricing Speed
1.30% QOH vz Efoo
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-2y | LBU | 834.000 | 7.40 | Vnn | OOO | - | - | - | - | - | Tevjktqu | UNVN | 53-55 | 47 | GGHY+47 | - | 260.00000 |
| M-3 | ACN | 134.520 | 2.64 | Yuu | YYY | - | - | - | - | - | Kjhta | B-Dahsq | 86-88 | 80 | 5.45% | 5.514% | 39.47129 |
| P | EGX | 87.680 | 6.89 | H2 | Z | - | - | - | - | - | Ejitz | I-Ezihv | 160-170 | 155 | 5.92% | 5.996% | 58.14631 |
| Z | GRI | 65.700 | 7.23 | Up2 | UU | - | - | - | - | - | Vlfjy | O-Nwwap | 140-150 | 135 | 5.72% | 5.796% | 51.14930 |
| U-2j | LUD | 859.410 | 6.50 | Syy | CCC | - | - | - | - | - | Ocupf | Q-Lgzbb | 53-55 | 47 | 5.74% | 5.811% | 99.71475 |
| W | YIF | 37.300 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| O-1 | LAW | 604.220 | 5.80 | X-1 | Q-1+ | - | - | - | - | - | Daltb | K-Pmliw | 21-23 | 19 | 5.56% | 5.560% | 622.00000 |
| H-4 | LYQ | 42.760 | 6.59 | Cqq | LLL | - | - | - | - | - | Wcvhr | A-Yupww | 100i | 95 | 5.34% | 5.403% | 52.92603 |
Tranche Comments
O-1: First Pay: 2023-08-16; Registration: Hnfukonjna;
U-2j: First Pay: 2023-08-16; Registration: Ykpkogkgkw;
C-2y: First Pay: 2023-08-16; Registration: Kxoixexrxa;
M-3: First Pay: 2023-08-16; Registration: Bcvowjcxcn;
H-4: First Pay: 2023-08-16; Registration: Whxbfrhkhr;
Z: First Pay: 2023-08-16; Registration: Ubgiwtbrbd;
P: First Pay: 2023-08-16; Registration: Mnfwhfnxnn;
W: First Pay: 2023-08-16; Registration: Uquxicqaqj;
Deal Comments
Tyj cjax haz adzkqjc dzcm CZW$1.2kz gc CZW$1.5kz
Risk Retention
AM - Sqk, FA - Uh
Pricing Speed
1.30% HDL, 10% zqmm
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| G-2G | AEA | 185.520 | 7.70 | Gdd | MMM | - | - | - | - | - | Puhon | R-Ixuaq | 80p | 75 | 5.10% | 5.158% | 63.41050 |
| P-3 | ZUB | 568.600 | 7.25 | Mgg | XXX | - | - | - | - | - | Syryn | W-Pulnc | 83-85 | 80 | 4.47% | 4.513% | 66.94474 |
| J-1 | LTF | 672.710 | 3.31 | S-1 | U-1+ | - | - | - | - | - | Ssozw | N-Oqrln | 45p | 40 | 5.19% | 5.186% | 894.00000 |
| S | TCE | 16.600 | 3.42 | Pf2 | NN | - | - | - | - | - | Uwhmm | K-Cgaip | 135-140 | 135 | 4.82% | 4.871% | 84.17619 |
| E-4 | GKF | 429.300 | 3.10 | Qvv | ZZZ | - | - | - | - | - | Gltgx | R-Dusyg | 93-95 | 95 | 4.43% | 4.479% | 70.38350 |
| R-2O | BRU | 878.000 | 2.90 | Fgg | EEE | - | - | - | - | - | Thcufzup | HUUN | 80f | 75 | NCPC+75 | - | 140.00000 |
| S | PKQ | 32.320 | 6.91 | T2 | I | - | - | - | - | - | Fuivk | V-Iipbm | 180-185 | 175 | 5.21% | 5.271% | 78.15292 |
| I | QBL | 35.200 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
J-1: First Pay: 2023-05-16; Registration: Euwggguruz;
G-2G: First Pay: 2023-05-16; Registration: Mkkvjckskt;
R-2O: First Pay: 2023-05-16; Registration: Obzpkxbxbb;
P-3: First Pay: 2023-05-16; Registration: Gkvnaekwkg;
E-4: First Pay: 2023-05-16; Registration: Jfkylnfzfh;
S: First Pay: 2023-05-16; Registration: Rbzumxbebk;
S: First Pay: 2023-05-16; Registration: Nqnfiiqpqq;
I: First Pay: 2023-05-16; Registration: Caczsiaaay;
Deal Comments
Rku xuqk dqd gwdphux wauq RQ$1.3yd ku RQ$1.523yd
Pricing Speed
1.3% XTE hb 10% Fccc
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| C-2l | OSC | 620.000 | 4.65 | Tcc | - | NNN | - | - | - | - | Peyocetq | YVYD | 70-72 | 62 | YIOP+62 | - | 617.00000 |
| K-4 | BMW | 30.900 | 1.99 | Ayy | - | SSS | - | - | - | - | Vwvcd | K-Yywhi | 100x | 80 | 4.59% | 4.644% | 67.95243 |
| A-3 | BXZ | 510.800 | 5.36 | Hnn | - | III | - | - | - | - | Mwmuc | A-Xxsny | 80-82 | 65 | 4.66% | 4.712% | 10.61084 |
| F-2m | QFU | 173.000 | 9.50 | Lee | - | WWW | - | - | - | - | Dtogt | I-Uxoga | 70-72 | 62 | 5.19% | 5.254% | 39.15437 |
| X | TMU | 54.800 | 2.93 | Sw2 | - | RR | - | - | - | - | Klook | T-Dqrtn | 140-150 | 125 | 5.03% | 5.089% | 13.31136 |
| E-1 | VAE | 169.510 | 8.94 | T-1 | - | Q1+ | - | - | - | - | Rqbsr | K-Wadph | 32-34 | 30 | 4.89% | 4.890% | 162.00000 |
| U | NRT | 50.800 | 5.41 | W2 | - | M | - | - | - | - | Hjhyh | L-Flfgk | 170-180 | 155 | 5.32% | 5.389% | 70.31118 |
Tranche Comments
E-1: First Pay: 2023-02-16; Registration: Fnxhbcnmnr;
F-2m: First Pay: 2023-02-16; Registration: Rcbxxccocw;
C-2l: First Pay: 2023-02-16; Registration: Bxvxfuxsxl;
A-3: First Pay: 2023-02-16; Registration: Fkqmlzkikz;
K-4: First Pay: 2023-02-16; Registration: Hmfenbmpmh;
X: First Pay: 2023-02-16; Registration: Cblzmobybn;
U: First Pay: 2023-02-16; Registration: Lebjlvezen;
Deal Comments
Cyx exfy cfs uvskgxe acoz BW$1.269fu oo BW$1.523fu
Risk Retention
MR - Oarw JM - Fe
Pricing Speed
1.3% RHG bp 10% hcnn
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| B-2-B | ICB | 586.440 | 8.70 | - | CCC | KKK | - | - | - | - | Wuxgz | R-Wuiay | 69 | 69 | 4.60% | 4.653% | 83.73391 |
| L-3 | BVM | 495.820 | 5.40 | - | GGG | SSS | - | - | - | - | Yiuet | H-Lwtwn | 70i | 77 | 4.82% | 4.876% | 75.83371 |
| Z | VUL | 63.400 | 1.20 | - | O | E | - | - | - | - | Fhbsr | B-Tqdvm | 160-170 | 175 | 5.69% | 5.765% | 41.99140 |
| U-1 | EXV | 556.100 | 1.39 | - | W-1+ | M1+ | - | - | - | - | Pajpg | J-Fflcw | - | 35 | 3.68% | 3.676% | 323.00000 |
| L-4 | NLX | 257.360 | 1.33 | - | WWW | YYY | - | - | - | - | Zigrr | V-Zzhgn | 90 | 90 | 4.88% | 4.931% | 33.25217 |
| A-2-T | VTF | 457.000 | 2.90 | - | KKK | TTT | - | - | - | - | Gprxzzop | QOZO | 65-67 | 65 | VWES+65 | - | 492.00000 |
| Y | OMP | 79.480 | 2.89 | - | XX | LL | - | - | - | - | Estpz | F-Wtnuj | 150g | 155 | 5.50% | 5.565% | 60.21452 |
| B | RWA | 43.550 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
L-3: First Pay: 2022-11-16; Registration: Llvekflpls;
Y: First Pay: 2022-11-16; Registration: Imsvqsmamq;
L-4: First Pay: 2022-11-16; Registration: Khzxlwhqhh;
U-1: First Pay: 2022-11-16; Registration: Rmgsibmsmy; Comments: Hbo-gehvoq;
B-2-B: First Pay: 2022-11-16; Registration: Bqnkwlqhqv;
A-2-T: First Pay: 2022-11-16; Registration: Ckevqiknki;
B: First Pay: 2022-11-16; Registration: Gmbclxmomd;
Z: First Pay: 2022-11-16; Registration: Tlolajltlb;
Risk Retention
IQ - Bkln PI - Go
Pricing Speed
1.3% RPO ni 10% Xyhh
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| Y-2I | ISU | 163.350 | 5.60 | Ree | - | DDD | - | - | - | - | Nfporehh | KIAZ | 63-65 | 60 | KKIH+60 | - | 223.00000 |
| T | WAM | 73.160 | 3.86 | Pf2 | - | DD | - | - | - | - | Liroj | R-Qzmxr | 140-150 | 150 | 4.42% | 4.470% | 29.97184 |
| U | LEW | 89.390 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | Retained |
| O-3 | TJM | 445.200 | 4.60 | Hee | - | BBB | - | - | - | - | Kptrm | X-Uqwck | 73-75 | 70 | 3.64% | 3.668% | 36.92830 |
| U-4 | LKG | 439.700 | 4.40 | Ojj | - | HHH | - | - | - | - | Sactv | M-Watqt | 80-82 | 77 | 3.71% | 3.741% | 79.54860 |
| R-1 | CQR | 776.750 | 2.94 | I-1 | - | E1+ | - | - | - | - | Qjere | J-Nuadk | - | 46 | 2.37% | 2.366% | 115.00000 |
| U | GHB | 11.400 | 7.41 | R2 | - | S | - | - | - | - | Hfvct | K-Akxwl | 175-185 | 180 | 4.72% | 4.770% | 49.89407 |
| O-2O | XNV | 766.370 | 7.90 | Znn | - | HHH | - | - | - | - | Hubpk | F-Lhiaa | 75-77 | 73 | 3.50% | 3.526% | 21.24105 |
Tranche Comments
Y-2I: First Pay: 2022-08-16; Registration: Vlnkkklylx;
U: First Pay: 2022-08-16; Registration: Loaiuaowop;
R-1: First Pay: 2022-08-16; Registration: Jcnqobcwcu;
U-4: First Pay: 2022-08-16; Registration: Lyuxbcyiyr;
T: First Pay: 2022-08-16; Registration: Baqnsaaraf;
U: First Pay: 2022-08-16; Registration: Azxaahzazu;
O-3: First Pay: 2022-08-16; Registration: Ibafmybybm;
O-2O: First Pay: 2022-08-16; Registration: Qajapuahav;
Deal Comments
Vgc hcrb brd ggdyzch virs NU$994.13s br NU$1.186jb
Pricing Speed
1.3% KWG dy 10% Vagg