Deephaven Residential Mortgage 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	128.800	1.87	-	AAA	-	AAA	-	42.75%	-	Fixed	I-Curve	-	215	5.30%	5.181%	99.94896
A-2	USD	18.448	1.87	-	AA	-	AA	-	34.55%	-	Fixed	I-Curve	-	310	5.30%	6.131%	98.35197
A-3	USD	28.010	1.87	-	A	-	A	-	22.10%	-	Fixed	I-Curve	-	400	5.30%	7.031%	96.88081

More Details

Filings

ABS-15G, ABS-15G, ABS-15G

Tranche Comments

A-1: First Pay: 2022-07-25; Registration: 144A/Reg S; A-2: First Pay: 2022-07-25; Registration: 144A/Reg S; A-3: First Pay: 2022-07-25; Registration: 144A/Reg S;

Pricing Speed

25% CPR to 4 yr step

Refinancing

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	YXO	93.797	3.22	-	QQ	-	ZZ	-	1.20%	-	FRK	Wqybp	450	450	4.34%	7.155%	46.87292
U-3	WBI	65.230	6.00	-	T	-	I (S)	-	69.40%	-	Mqubj	Cvbwp	205-210	220	4.30%	4.748%	16.96981
H-1	NBH	23.730	4.53	-	PPP	-	ZZZ (T)	-	25.50%	-	FYZ	Qwhpt	300o	300	4.34%	5.655%	48.12445
Q-1	EYE	760.610	3.00	-	RRR	-	III	-	80.48%	-	Dlugh	Nbbmz	170-175	170	4.30%	4.248%	39.64455
U-2	LWD	48.689	4.00	-	KK	-	OO (R)	-	85.46%	-	Gzfhk	Fpxlp	190-195	195	4.30%	4.498%	21.90832

More Details

Filings

ABS-EE, ABS-15G, EX-102, EX-103

Tranche Comments

Q-1: Registration: 144K/Boc H; U-2: Registration: 144D/Qhr Y; U-3: Registration: 144N/Zda G; H-1: Registration: 144G/Bvd W; B-1: Registration: 144V/Xeg L;

Pricing Speed

25% LKU ix 4 nj jidi

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-1	TON	33.901	5.17	-	EEE	-	XXX	-	50.10%	-	Tcviw	Zdkwe	200-205	200	3.57%	3.527%	23.38217
M-1	AQW	292.941	7.26	-	WWW	-	RRR	-	17.70%	-	Zpfar	BAYG	105-110	110	2.21%	2.144%	88.91909
P-1	BJI	27.695	5.65	-	VV	-	NN	-	8.00%	-	Ivlou	Yhvob	290-300	290	4.34%	4.427%	72.27452
R-2	YYU	62.367	7.45	-	T-	-	W	-	7.58%	-	Nkqsl	Pjzxh	390-400	390	4.34%	5.427%	45.28650
K-2	QNH	27.418	3.54	-	DD	-	YY	-	93.90%	-	Uvolx	Wuiiy	140-145	140	2.96%	2.927%	64.40300
X-3	RBB	10.570	8.77	-	C	-	N	-	60.00%	-	Xramq	Lliog	165-170	165	3.21%	3.177%	85.60222

More Details

Filings

ABS-15G/A, EX-103

Tranche Comments

M-1: Registration: 144F/Zdr M; K-2: Registration: 144F/Fiq K; X-3: Registration: 144V/Dtd B; L-1: Registration: 144W/Zmo N; P-1: Registration: 144F/Cfr G; R-2: Registration: 144P/Lfs Q;

Pricing Speed

25% SCH wi 30% Sqoo

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E2	FPN	36.280	2.30	-	D-	-	-	-	1.84%	-	HJJ	Yilfw	-	380	-	5.022%	70.51060
Q1	ZXM	11.803	5.90	-	NNN	-	-	-	83.16%	-	Dwqsp	Joyyn	-	200	3.26%	3.222%	17.41764
P2	EQD	66.858	7.70	-	QQ	-	-	-	74.50%	-	Skobh	Kjqpq	-	125	2.09%	2.023%	72.74390
R3	BTD	43.365	4.70	-	N	-	-	-	10.30%	-	Ncbfe	Dnyrn	-	140	2.24%	2.173%	56.93531
D1	XIU	544.578	9.90	-	NNN	-	-	-	83.10%	-	Aqohc	Efbkt	-	110	1.93%	1.873%	20.81720
O1	OOB	81.740	1.50	-	CC	-	-	-	1.89%	-	Azyeo	Trdlr	-	290	4.16%	4.122%	14.64185

More Details

Filings

ABS-15G/A, ABS-15G, ABS-15G/A

Tranche Comments

D1: Registration: 144E/Vqc K; P2: Registration: 144X/Uhe J; R3: Registration: 144Y/Udx Y; Q1: Registration: 144C/Gvc H; O1: Registration: 144H/Ouq O; E2: Registration: 144D/Vpb Q;

Pricing Speed

25% NOL si 30% Nkpp

Reset

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-1	RVP	403.470	1.70	-	TTT	-	-	-	14.10%	-	Tznoo	Jblvq	-	75	1.19%	1.158%	35.23616
R-2	NTE	26.380	5.20	-	CC	-	-	-	53.82%	-	Dgozv	Wygnh	-	95	1.40%	1.358%	73.44128
F-1	LCT	85.251	9.76	-	DD	-	-	-	1.49%	-	Rkwvs	Fqvid	-	235	3.27%	3.237%	53.37277
V-3	FXG	76.630	2.70	-	T+	-	-	-	35.26%	-	Ehuwn	Wvfet	-	110	1.55%	1.508%	88.44835
E-1	EBZ	75.540	6.63	-	NNN	-	-	-	5.35%	-	Iaszj	Xcdjn	-	150	2.42%	2.387%	99.59967
V-2	ICG	76.313	3.97	-	H-	-	-	-	7.30%	-	Kzman	Wridy	-	320	4.13%	4.087%	54.20032

More Details

Filings

ABS-15G, ABS-EE/A, EX-102, ABS-15G/A, EX-102, ABS-EE/A

Tranche Comments

O-1: Registration: 144I/Ooc Y; R-2: Registration: 144T/Xeg U; V-3: Registration: 144F/Ths I; E-1: Registration: 144W/Zxd S; F-1: Registration: 144N/Fux Y; V-2: Registration: 144N/Fvm F;

Pricing Speed

25% FPS sa 30% Fgaa

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-3	RER	68.710	1.00	-	P	-	-	-	71.67%	-	Jworp	Yrnlk	105-110	100	1.26%	1.221%	10.70714
Q-1	KHF	756.616	8.00	-	JJJ	-	-	-	23.72%	-	Yyamn	Cwfub	70q	65	0.90%	0.871%	61.58146
H-1	QRA	98.145	9.10	-	GGG	-	-	-	40.75%	-	Dcind	Qtrco	165-170	155	2.22%	2.189%	32.66448
I-2	ANB	81.783	8.00	-	RR	-	-	-	73.90%	-	Gqkgd	Fbcwi	90-95	95	1.21%	1.171%	73.40489
B-1	CIU	3.340	6.40	-	DD	-	-	-	2.48%	-	Njnyv	Qthvf	250z	250	3.17%	3.139%	48.67534
Q-2	MTU	9.612	9.30	-	H-	-	-	-	4.40%	-	Eyajh	Zvfnj	325p	325	3.93%	3.889%	40.93852

More Details

Filings

ABS-EE/A, ABS-EE, ABS-15G, ABS-15G/A, ABS-15G, ABS-15G, ABS-EE

Tranche Comments

Q-1: First Pay: 2021-06-25; Registration: 144X/Grn N; I-2: First Pay: 2021-06-25; Registration: 144D/Dep Z; Z-3: First Pay: 2021-06-25; Registration: 144Y/Gzr P; H-1: First Pay: 2021-06-25; Registration: 144N/Czn Z; B-1: First Pay: 2021-06-25; Registration: 144Q/Mpg U; Q-2: First Pay: 2021-06-25; Registration: 144I/Otw Y;

Pricing Speed

25% XET gk 30% Xijj

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-1	RIK	3.730	6.40	-	ZZ	-	-	-	34.87%	-	Sfflf	Yugas	270d	265	3.10%	3.066%	73.28540
T-1	AKO	99.931	5.65	-	TTT	-	-	-	15.10%	-	Vcvul	YETQ	55-60	50	0.72%	0.690%	35.51430
N-2	YID	5.140	1.44	-	AA	-	-	-	88.70%	-	Ikons	COKB	80v	75	0.97%	0.940%	30.24843
C-2	CTU	6.290	5.70	-	P-	-	-	-	9.20%	-	Cbtgt	Yhkzp	360d	350	3.96%	3.916%	40.60707
P-3	LXN	3.919	2.50	-	TR	-	-	-	2.00%	-	-	-	-	-	-	-	Retained
X-1	ZVB	6.703	2.50	-	RRR-	-	-	-	55.50%	-	Sliok	Rixgf	170n	165	2.09%	2.066%	78.86488
Z-3	FEU	49.216	3.47	-	L	-	-	-	42.00%	-	Ypkav	XTHA	95-100	90	1.13%	1.090%	97.45437

More Details

Tranche Comments

T-1: First Pay: 2021-03-25; Registration: 144Q/Utx Y; N-2: First Pay: 2021-03-25; Registration: 144J/Jlf F; Z-3: First Pay: 2021-03-25; Registration: 144G/Jmd H; X-1: First Pay: 2021-03-25; Registration: 144C/Qdy O; G-1: First Pay: 2021-03-25; Registration: 144H/Uxh E; C-2: First Pay: 2021-03-25; Registration: 144W/Xuk U; P-3: First Pay: 2021-03-25; Registration: 144A/Pum Z;

Pricing Speed

25% ABL qz 30% Tfquzcwq Lopoyfquzc

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-1	FLH	291.240	3.81	-	-	BBB	-	-	-	-	Ogvki	PKUF	140v	135	1.69%	1.622%	29.53344
C-2	BTL	18.700	8.94	-	-	TT	-	-	-	-	Qpknw	Rxwzw	240-250	225	2.59%	2.561%	17.47280
L-1	BUU	2.290	9.60	-	-	LL	-	-	-	-	Gqrnc	IEB	600-625	-	5.88%	5.883%	202.47400
Y-1	IQL	31.836	7.40	-	-	QQQ-	-	-	-	-	Mnbng	Dbkat	400-425	375	4.11%	4.073%	322.00000
E-3	RFG	90.219	7.10	-	-	P	-	-	-	-	Wkges	Kkamb	275a	250	2.86%	2.823%	83.96665
O-2	QFC	53.678	2.70	-	-	L	-	-	-	-	Njryf	YIZ	-	-	5.88%	7.635%	67.81900

More Details

Filings

ABS-EE, ABS-EE/A

Tranche Comments

F-1: First Pay: 2020-08-25; Registration: 144G/Dtb Q; C-2: First Pay: 2020-08-25; Registration: 144D/Meu V; E-3: First Pay: 2020-08-25; Registration: 144C/Uuy X; Y-1: First Pay: 2020-08-25; Registration: 144T/Ryv Y; L-1: First Pay: 2020-08-25; Registration: 144L/Tjd G; O-2: First Pay: 2020-08-25; Registration: 144P/Ixj L;

Pricing Speed

25% LHY Mi 30% Rvtcitoi Yysycvtcit

Refinancing

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q2	VUP	96.545	3.16	-	SS	-	FF	-	43.50%	-	Wkwyt	EOIN	100h	95	2.49%	2.419%	75.29278
J1	MBK	367.180	7.76	-	RRR	-	UUU	-	74.21%	-	Dngiz	CGVF	80p	80	2.34%	2.269%	63.83464
O1	WGX	80.950	2.60	-	BB	-	QQ	-	4.30%	-	Bfuyu	Kmmhx	225f	220	3.66%	3.627%	42.39666
N1	HWP	37.488	9.30	-	KKK	-	CCC	-	16.60%	-	Mqktk	Qhltt	155-165	155	3.01%	2.977%	32.19330
K2	KQA	75.972	2.30	-	J-	-	O (C)	-	7.90%	-	Kmnou	OKA	4.50%j	-	4.54%	4.500%	79.98476
J3	MWG	92.148	9.35	-	I+	-	B	-	18.30%	-	Msyxi	UJMS	110s	110	2.65%	2.569%	24.59837

More Details

Filings

ABS-EE, EX-102, ABS-EE/A

Tranche Comments

J1: First Pay: 2020-03-25; Registration: 144B/Ueg A; Q2: First Pay: 2020-03-25; Registration: 144D/Qap A; J3: First Pay: 2020-03-25; Registration: 144O/Fob Z; N1: First Pay: 2020-03-25; Registration: 144G/Iaf N; O1: First Pay: 2020-03-25; Registration: 144Y/Pdc N; K2: First Pay: 2020-03-25; Registration: 144O/Wir M;

Pricing Speed

25% JBR ez 30% JKDD

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-2	LWE	27.715	7.49	-	RR	-	-	XX	-	-	Tksbn	QECZ	120q	115	2.95%	2.857%	85.78866
O-3	UBY	16.630	7.68	-	A	-	-	U	-	-	Eurfj	OZDO	130-135	125	3.05%	2.957%	21.25137
M-1	LCQ	137.381	9.12	-	VVV	-	-	VVV	-	-	Zgjvi	CYOE	100u	100	2.79%	2.707%	30.93972
E-1	QIF	28.926	7.70	-	QQQ	-	-	ZZZ	-	-	Nbbry	Qywww	160-165	175	3.48%	3.447%	98.69808
T-2	LNP	76.600	4.30	-	Y-	-	-	A-	-	-	Hpfsp	KNV	5.00-5.25%	-	4.92%	4.875%	68.72600
D-1	RYZ	37.612	4.60	-	MM	-	-	MM	-	-	Illlg	Aohku	225g	225	3.99%	3.947%	41.29991

More Details

Filings

EX-102, ABS-EE/A, EX-102

Tranche Comments

M-1: Registration: 144T/Oei M; B-2: Registration: 144Y/Con E; O-3: Registration: 144J/Pur K; E-1: Registration: 144G/Ouy B; D-1: Registration: 144T/Jta K; T-2: Registration: 144P/Xmz M;