Deephaven Residential Mortgage Trust

Deals

ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A-1USD128.8001.87-AAA-AAA-42.75%-FixedI-Curve-2155.30%5.181%99.94896
A-2USD18.4481.87-AA-AA-34.55%-FixedI-Curve-3105.30%6.131%98.35197
A-3USD28.0101.87-A-A-22.10%-FixedI-Curve-4005.30%7.031%96.88081
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
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
I-2HYS70.4549.00-TT-YY (T)-39.37%-PxbxlAowgx190-1951954.30%4.498%33.75145
U-1XBR93.8602.62-VVV-ZZZ (I)-10.90%-NWYXhilv300w3004.34%5.655%36.96698
P-1WRE962.8841.00-WWW-JJJ-29.23%-KvxzgGezeh170-1751704.30%4.248%97.45321
P-3LYX52.3407.00-I-Q (P)-11.30%-WyfauPcryt205-2102204.30%4.748%13.23078
J-1KCJ22.1827.86-OO-YY-3.80%-IERKfdeg4504504.34%7.155%91.57941
Tranche Comments
P-1: Registration: 144G/Oow R; I-2: Registration: 144T/Wok Q; P-3: Registration: 144M/Rqi V; U-1: Registration: 144O/Kvk E; J-1: Registration: 144H/Nly C;
Pricing Speed
25% MDT hu 4 fx khvk
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
W-1TYI23.6288.17-MMM-MMM-90.40%-FnalzCzlem200-2052003.57%3.527%27.34795
D-2WWG78.3837.27-D--K-7.94%-PqgtzRwiqo390-4003904.34%5.427%60.72164
H-1AEO847.5819.71-TTT-DDD-40.70%-IuatpNGGM105-1101102.21%2.144%25.97540
W-2TBM81.4756.13-HH-VV-40.40%-YzagtUremr140-1451402.96%2.927%53.90118
Z-3LUE61.3671.79-R-Y-94.00%-YvskqNldzy165-1701653.21%3.177%44.76628
Z-1VBZ39.8884.44-TT-TT-6.00%-IktegMnniz290-3002904.34%4.427%80.91952
Tranche Comments
H-1: Registration: 144M/Gqy F; W-2: Registration: 144P/Pmg Y; Z-3: Registration: 144H/Tsp G; W-1: Registration: 144Q/Uxv P; Z-1: Registration: 144W/Cji E; D-2: Registration: 144Q/Nbh G;
Pricing Speed
25% BLR ej 30% Bhpp
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
Q3YAS75.5384.70-R---74.20%-RtongMhehd-1402.24%2.173%87.84667
R1OPE16.4904.90-PP---4.37%-YhlyiHoqjh-2904.16%4.122%72.45718
K1NPY225.4004.60-CCC---36.32%-IibxdJoaad-1101.93%1.873%27.14155
T2BFE47.9384.40-FF---31.80%-CabymNwlwd-1252.09%2.023%56.47270
R1HPX66.5578.90-HHH---44.91%-OligpChulh-2003.26%3.222%12.32680
T2XGS89.7602.70-C----7.38%-YVGYqivn-380-5.022%78.28300
Tranche Comments
K1: Registration: 144V/Rkn F; T2: Registration: 144O/Jdm X; Q3: Registration: 144O/Dyi M; R1: Registration: 144X/Qvs X; R1: Registration: 144A/Qvg L; T2: Registration: 144A/Uwc H;
Pricing Speed
25% LMF wr 30% Lqmm
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
O-1FCO82.9866.60-KK---6.82%-VqnpeRjvec-2353.27%3.237%37.14829
L-2ISD49.9019.21-D----6.40%-JwvjkIynpp-3204.13%4.087%31.61901
U-3ZBU12.6321.30-F+---55.86%-EztedVubht-1101.55%1.508%63.93884
Q-2JTH89.5304.10-YY---69.92%-RmhwcLwqfh-951.40%1.358%15.11035
C-1BQY77.6106.71-VVV---8.57%-EvrisQkqfe-1502.42%2.387%88.67263
S-1ITN434.1039.60-QQQ---89.80%-UyvizRwumi-751.19%1.158%25.99812
Tranche Comments
S-1: Registration: 144K/Lxn P; Q-2: Registration: 144M/Usl J; U-3: Registration: 144A/Ico T; C-1: Registration: 144P/Whu I; O-1: Registration: 144H/Ymo S; L-2: Registration: 144C/Cev V;
Pricing Speed
25% FOE mk 30% Fcjj
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
H-3UAV38.9604.00-W---89.71%-WpzccHzqct105-1101001.26%1.221%43.73316
T-2AZT35.5182.00-EE---19.90%-PjbabGovys90-95951.21%1.171%92.36641
F-1QPM11.1225.20-EEE---58.31%-WnrtyOgtod165-1701552.22%2.189%68.55482
X-1JFR209.9385.00-BBB---19.34%-TktwbRzjwp70d650.90%0.871%59.64421
W-1ZJE7.7097.10-GG---1.81%-DnffaRhfcd250v2503.17%3.139%17.10189
A-2WKE3.5276.30-K----7.50%-BkzhkLmwgf325c3253.93%3.889%67.17920
Tranche Comments
X-1: First Pay: 2021-06-25; Registration: 144A/Lqg I; T-2: First Pay: 2021-06-25; Registration: 144O/Hfl J; H-3: First Pay: 2021-06-25; Registration: 144X/Yjx X; F-1: First Pay: 2021-06-25; Registration: 144L/Njh Z; W-1: First Pay: 2021-06-25; Registration: 144J/Dmi X; A-2: First Pay: 2021-06-25; Registration: 144E/Asx P;
Pricing Speed
25% ZNQ tq 30% Zjss
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
Y-1ENG5.9329.40-FF---50.61%-XmxriOrrxu270h2653.10%3.066%25.69270
Z-3NHL8.3188.30-BF---5.00%-------Retained
N-1TTH66.6663.93-WWW---42.90%-LspeoIEML55-60500.72%0.690%65.59490
V-2TZH8.6406.78-OO---44.40%-OjgryCHOA80b750.97%0.940%40.62033
P-3FGO99.7614.74-S---53.00%-WuuquPYIB95-100901.13%1.090%82.10880
B-2NNJ7.4506.10-F----1.80%-KkwppCdmov360c3503.96%3.916%38.45617
P-1XIY5.5755.70-III----63.10%-KvtszKjyij170s1652.09%2.066%76.80898
Tranche Comments
N-1: First Pay: 2021-03-25; Registration: 144B/Zeb S; V-2: First Pay: 2021-03-25; Registration: 144E/Pit Z; P-3: First Pay: 2021-03-25; Registration: 144X/Ldm E; P-1: First Pay: 2021-03-25; Registration: 144Q/Djr M; Y-1: First Pay: 2021-03-25; Registration: 144I/Cbi V; B-2: First Pay: 2021-03-25; Registration: 144N/Zyj R; Z-3: First Pay: 2021-03-25; Registration: 144J/Bah A;
Pricing Speed
25% HYD fh 30% Pufjhjhw Dlilpufjhj
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
N-2BRB87.2968.78--II----MzqukEqrfi240-2502252.59%2.561%88.64275
Z-1HOR846.6478.53--UUU----NnjfrTTQM140f1351.69%1.622%45.49627
Z-2QKS96.8415.40--L----QgpjdTPK--5.88%7.635%35.52600
T-3XLM14.5826.20--S----DwbrwLqihh275a2502.86%2.823%31.28450
K-1NMY80.6961.70--GGG-----PhbriBobkv400-4253754.11%4.073%224.00000
L-1KVX1.4428.70--CC----KllceUBP600-625-5.88%5.883%749.87100
Tranche Comments
Z-1: First Pay: 2020-08-25; Registration: 144A/Tmv M; N-2: First Pay: 2020-08-25; Registration: 144A/Dbm M; T-3: First Pay: 2020-08-25; Registration: 144B/Dtf T; K-1: First Pay: 2020-08-25; Registration: 144Z/Arg P; L-1: First Pay: 2020-08-25; Registration: 144L/Nwi Q; Z-2: First Pay: 2020-08-25; Registration: 144L/Ail G;
Pricing Speed
25% JDW Fu 30% Jpyiubjx Wevegpyiub
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
H2VWK37.7607.50-Y--C (E)-6.10%-EsjanVLM4.50%w-4.54%4.500%17.52264
Q2UZH54.9095.45-EE-EE-38.69%-NcjbcILWH100b952.49%2.419%73.58811
Z3LYD79.9595.31-E+-Z-41.10%-SjmzePRJR110k1102.65%2.569%11.70043
K1VRC428.7503.32-III-NNN-12.84%-NatpeBNKS80s802.34%2.269%33.19146
R1WQC11.4418.30-EE-DD-6.20%-TtmjtLejbv225n2203.66%3.627%55.82610
L1ZCZ99.6386.60-OOO-GGG-63.60%-MroszDxybm155-1651553.01%2.977%34.91630
Tranche Comments
K1: First Pay: 2020-03-25; Registration: 144B/Weu U; Q2: First Pay: 2020-03-25; Registration: 144I/Xhy G; Z3: First Pay: 2020-03-25; Registration: 144X/Gnp H; L1: First Pay: 2020-03-25; Registration: 144H/Iou B; R1: First Pay: 2020-03-25; Registration: 144C/Ztd J; H2: First Pay: 2020-03-25; Registration: 144J/Etg U;
Pricing Speed
25% VGW kr 30% VNUU
ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
L-1FAB35.8653.60-OOO--YYY--BsanwCdzto160-1651753.48%3.447%64.13063
T-1KXW58.6258.20-XX--UU--EiyjaRdvye225w2253.99%3.947%17.24229
V-2TPP19.3436.14-YY--CC--XwqekAEUQ120f1152.95%2.857%60.63486
Q-1QLN477.9004.50-FFF--OOO--XfjgkBEAW100p1002.79%2.707%11.55676
E-3XUP43.6206.68-L--R--ZvfznUERL130-1351253.05%2.957%42.60975
Q-2WZN22.2002.50-T---I---KtgyeQLG5.00-5.25%-4.92%4.875%44.12968
Tranche Comments
Q-1: Registration: 144T/Dco V; V-2: Registration: 144N/Yyy H; E-3: Registration: 144O/Vbi E; L-1: Registration: 144E/Vyh N; T-1: Registration: 144C/Ovd J; Q-2: Registration: 144Y/Tct L;

B&I

BWICS & Inventory

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TRACE

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Research