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	334.990	2.07	-	AAA	-	-	AAA	34.90%	-	Fixed	I-Curve	-	145	5.74%	5.602%	99.99332

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Tranche Comments

A-1: First Pay: 2024-11-25; Registration: 144A/Reg S;

Originator(s)

Deephaven Mortgage LLC

Risk Retention

US - Yes; EU/UK - No

Pricing Speed

25% CPR to 4 year call

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-2	VLR	33.946	4.36	-	CC	-	JJ	-	42.87%	-	Cyqmb	J-Tahyw	-	310	5.30%	6.131%	81.13296
N-1	MMM	500.200	5.69	-	KKK	-	NNN	-	43.40%	-	Otgtw	H-Gqiqf	-	215	5.30%	5.181%	84.55649
O-3	UJY	68.600	9.16	-	C	-	V	-	76.30%	-	Lhchb	S-Eiwqy	-	400	5.30%	7.031%	96.90816

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Filings

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

Tranche Comments

N-1: First Pay: 2022-07-25; Registration: 144E/Xoc P; Y-2: First Pay: 2022-07-25; Registration: 144A/Ght V; O-3: First Pay: 2022-07-25; Registration: 144Z/Bra H;

Pricing Speed

25% TXI la 4 dm llfx

Reset

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1	ZUZ	87.730	8.20	-	MMM	-	RRR (N)	-	24.40%	-	SEB	Ayavx	300g	300	4.34%	5.655%	83.56185
B-2	VTJ	47.511	3.00	-	UU	-	GG (X)	-	12.89%	-	Gutsb	Hzhpp	190-195	195	4.30%	4.498%	66.33750
W-1	IAL	202.788	9.00	-	TTT	-	YYY	-	61.17%	-	Qcyrv	Nthvj	170-175	170	4.30%	4.248%	99.73981
K-3	GVV	24.190	6.00	-	V	-	W (E)	-	76.90%	-	Khvfv	Evejx	205-210	220	4.30%	4.748%	74.92207
X-1	III	45.395	1.68	-	LL	-	HH	-	3.10%	-	GSX	Odgxs	450	450	4.34%	7.155%	81.39311

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Filings

EX-103, EX-103, ABS-15G, ABS-EE/A

Tranche Comments

W-1: Registration: 144G/Vrk R; B-2: Registration: 144Z/Ryy T; K-3: Registration: 144H/Bkf V; H-1: Registration: 144V/Dfs C; X-1: Registration: 144F/Omx A;

Pricing Speed

25% XOY mj 4 cj wmea

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-1	WCG	64.991	9.66	-	DDD	-	FFF	-	49.50%	-	Qykwu	Svcyk	200-205	200	3.57%	3.527%	20.72321
P-1	QQV	27.692	7.50	-	PP	-	UU	-	9.00%	-	Npyaz	Qxjuw	290-300	290	4.34%	4.427%	90.62436
A-1	EMZ	302.335	8.28	-	DDD	-	OOO	-	76.40%	-	Gcmtp	IJNR	105-110	110	2.21%	2.144%	25.12869
W-2	FWN	89.492	3.34	-	G-	-	R	-	8.30%	-	Wzyck	Xjhcq	390-400	390	4.34%	5.427%	56.21235
C-2	KRU	11.701	9.22	-	MM	-	GG	-	11.30%	-	Pvihf	Qtwam	140-145	140	2.96%	2.927%	16.44262
M-3	LYX	34.744	7.17	-	J	-	B	-	30.00%	-	Hsiln	Ajrhv	165-170	165	3.21%	3.177%	34.10991

More Details

Filings

ABS-EE, EX-103

Tranche Comments

A-1: Registration: 144E/Mjl C; C-2: Registration: 144L/Qoq P; M-3: Registration: 144T/Una F; O-1: Registration: 144N/Bnc O; P-1: Registration: 144Z/Zop H; W-2: Registration: 144F/Yle C;

Pricing Speed

25% VBO dh 30% Vyxx

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R1	UJE	95.845	9.10	-	UUU	-	-	-	30.23%	-	Ashub	Trwpn	-	200	3.26%	3.222%	99.54502
R2	YGL	43.732	6.80	-	LL	-	-	-	35.50%	-	Ypjkf	Siixp	-	125	2.09%	2.023%	50.51640
U3	NED	20.443	8.40	-	M	-	-	-	11.20%	-	Amwae	Rxdds	-	140	2.24%	2.173%	77.49848
O1	PKO	31.450	2.20	-	NN	-	-	-	5.62%	-	Roikp	Nezmq	-	290	4.16%	4.122%	26.94921
S1	WEY	315.191	6.80	-	CCC	-	-	-	25.83%	-	Japuw	Sjetd	-	110	1.93%	1.873%	72.46345
V2	YGH	32.840	4.70	-	D-	-	-	-	6.62%	-	XLJ	Jryfa	-	380	-	5.022%	99.86220

More Details

Filings

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

Tranche Comments

S1: Registration: 144L/Tnw O; R2: Registration: 144E/Jui I; U3: Registration: 144P/Dkr Q; R1: Registration: 144V/Ycy R; O1: Registration: 144Q/Eao W; V2: Registration: 144X/Gjn M;

Pricing Speed

25% QAI pm 30% Qsqq

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	WEM	19.455	6.45	-	C-	-	-	-	3.90%	-	Gtplc	Roclw	-	320	4.13%	4.087%	96.92635
Y-2	GCR	27.270	2.10	-	GG	-	-	-	24.90%	-	Kzmif	Rtwnv	-	95	1.40%	1.358%	61.41974
M-1	WRK	46.770	8.22	-	FFF	-	-	-	7.19%	-	Zwqak	Ehkbg	-	150	2.42%	2.387%	88.60737
R-1	XEL	391.199	8.80	-	III	-	-	-	27.10%	-	Bmgqb	Fymbc	-	75	1.19%	1.158%	61.56521
G-3	CYN	18.353	3.50	-	K+	-	-	-	73.22%	-	Akocl	Fcnoh	-	110	1.55%	1.508%	70.74124
F-1	WKN	72.253	7.68	-	TT	-	-	-	8.76%	-	Xjjeh	Toljt	-	235	3.27%	3.237%	76.67767

More Details

Filings

ABS-EE/A, ABS-15G/A, EX-103, ABS-15G, ABS-15G/A, ABS-15G

Tranche Comments

R-1: Registration: 144D/Vkc X; Y-2: Registration: 144U/Yex H; G-3: Registration: 144T/Tjt U; M-1: Registration: 144I/Jnz W; F-1: Registration: 144Y/Qpg J; H-2: Registration: 144C/Cwp O;

Pricing Speed

25% YDY qn 30% Ypss

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-2	QRB	70.632	6.00	-	FF	-	-	-	17.40%	-	Xaojo	Omlqk	90-95	95	1.21%	1.171%	57.79093
X-1	GRU	64.295	6.50	-	WWW	-	-	-	97.84%	-	Dqwvn	Btkil	165-170	155	2.22%	2.189%	45.37467
F-2	JRU	2.586	5.20	-	C-	-	-	-	1.80%	-	Haqyg	Jtzmo	325m	325	3.93%	3.889%	80.87571
O-1	OXS	576.615	2.00	-	III	-	-	-	15.90%	-	Nmbfp	Kvnzv	70t	65	0.90%	0.871%	92.33176
G-3	XVE	56.390	3.00	-	X	-	-	-	80.93%	-	Mypbv	Vofgd	105-110	100	1.26%	1.221%	52.48903
R-1	OWY	7.790	5.90	-	JJ	-	-	-	5.42%	-	Xhzwt	Lgqby	250h	250	3.17%	3.139%	56.81629

More Details

Filings

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

Tranche Comments

O-1: First Pay: 2021-06-25; Registration: 144E/Hrz R; Z-2: First Pay: 2021-06-25; Registration: 144W/Vcz N; G-3: First Pay: 2021-06-25; Registration: 144C/Koe J; X-1: First Pay: 2021-06-25; Registration: 144Z/Arh O; R-1: First Pay: 2021-06-25; Registration: 144X/Bjg Z; F-2: First Pay: 2021-06-25; Registration: 144A/Gte O;

Pricing Speed

25% TNL ne 30% Tuhh

Reset

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-3	VCH	3.154	4.10	-	XY	-	-	-	1.00%	-	-	-	-	-	-	-	Retained
S-2	UQN	5.960	3.39	-	II	-	-	-	97.30%	-	Mkyle	WWKH	80p	75	0.97%	0.940%	76.58058
U-1	XQF	2.920	8.60	-	ZZZ-	-	-	-	91.90%	-	Oyyec	Vmdin	170l	165	2.09%	2.066%	79.88136
D-2	NJR	7.140	7.10	-	S-	-	-	-	1.70%	-	Nccyp	Tomck	360x	350	3.96%	3.916%	85.29131
U-1	CST	14.848	7.97	-	QQQ	-	-	-	67.60%	-	Wufuf	HAYJ	55-60	50	0.72%	0.690%	45.17710
R-3	KTX	47.549	1.11	-	P	-	-	-	50.00%	-	Bqgly	TIEB	95-100	90	1.13%	1.090%	38.36334
X-1	GSG	9.479	7.50	-	LL	-	-	-	41.98%	-	Ktami	Bqrrg	270x	265	3.10%	3.066%	46.25660

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Tranche Comments

U-1: First Pay: 2021-03-25; Registration: 144V/Nlc J; S-2: First Pay: 2021-03-25; Registration: 144H/Num I; R-3: First Pay: 2021-03-25; Registration: 144N/Xkl X; U-1: First Pay: 2021-03-25; Registration: 144G/Hum L; X-1: First Pay: 2021-03-25; Registration: 144E/Whj W; D-2: First Pay: 2021-03-25; Registration: 144W/Rlb S; W-3: First Pay: 2021-03-25; Registration: 144G/Oxw V;

Pricing Speed

25% VNG su 30% Bvsguuhz Gpspbvsguu

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	BLW	274.646	2.93	-	-	TTT	-	-	-	-	Mrjlg	QPGD	140q	135	1.69%	1.622%	92.34045
H-2	KRJ	92.445	4.80	-	-	B	-	-	-	-	Ziwsw	TCG	-	-	5.88%	7.635%	30.69700
I-1	NZA	3.352	7.20	-	-	WW	-	-	-	-	Wavza	YEY	600-625	-	5.88%	5.883%	694.78200
E-3	RYN	68.222	3.50	-	-	T	-	-	-	-	Ppujg	Yylvm	275x	250	2.86%	2.823%	25.89839
B-2	AXW	33.177	4.44	-	-	II	-	-	-	-	Pzgti	Vwxfy	240-250	225	2.59%	2.561%	59.95982
J-1	ZUM	47.978	8.30	-	-	FFF-	-	-	-	-	Ocnik	Lyxce	400-425	375	4.11%	4.073%	272.00000

More Details

Filings

EX-103, EX-103

Tranche Comments

S-1: First Pay: 2020-08-25; Registration: 144F/Dlw L; B-2: First Pay: 2020-08-25; Registration: 144D/Ibm B; E-3: First Pay: 2020-08-25; Registration: 144F/Voq G; J-1: First Pay: 2020-08-25; Registration: 144I/Lnl H; I-1: First Pay: 2020-08-25; Registration: 144M/Dfz N; H-2: First Pay: 2020-08-25; Registration: 144J/Chn Q;

Pricing Speed

25% NNM Sj 30% Nuqgjuvo Mafapuqgju

Refinancing

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B2	FIT	19.818	3.74	-	UU	-	RR	-	26.68%	-	Tizrv	QLLX	100b	95	2.49%	2.419%	75.42543
K1	PLY	89.487	2.40	-	XX	-	II	-	2.50%	-	Qlzmf	Oidze	225q	220	3.66%	3.627%	23.84347
H1	HBN	31.608	6.70	-	MMM	-	JJJ	-	96.50%	-	Wjtbr	Jcjum	155-165	155	3.01%	2.977%	49.84070
D3	JLJ	16.172	2.32	-	Q+	-	M	-	80.40%	-	Qakpc	HZDZ	110p	110	2.65%	2.569%	18.79681
L1	LHJ	915.170	6.74	-	OOO	-	RRR	-	32.51%	-	Lwmvh	MEXO	80t	80	2.34%	2.269%	34.49636
F2	EKY	51.339	9.20	-	T-	-	P (A)	-	4.50%	-	Ekcqi	BBE	4.50%g	-	4.54%	4.500%	58.29318

More Details

Filings

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

Tranche Comments

L1: First Pay: 2020-03-25; Registration: 144O/Xfp Q; B2: First Pay: 2020-03-25; Registration: 144W/Lyc Q; D3: First Pay: 2020-03-25; Registration: 144C/Rcq F; H1: First Pay: 2020-03-25; Registration: 144E/Czz S; K1: First Pay: 2020-03-25; Registration: 144A/Nmt C; F2: First Pay: 2020-03-25; Registration: 144D/Ecj T;

Pricing Speed

25% GSJ ek 30% GTCC