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

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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
N-2	LNB	20.945	7.00	-	AA	-	EE (C)	-	24.40%	-	Bklzc	Xeylq	190-195	195	4.30%	4.498%	68.15873
R-3	HBU	27.810	6.00	-	L	-	Q (L)	-	61.60%	-	Dtlww	Uljbb	205-210	220	4.30%	4.748%	36.26505
V-1	UYA	15.360	2.47	-	CCC	-	LLL (W)	-	18.90%	-	BQS	Jhygn	300n	300	4.34%	5.655%	82.44300
I-1	JKJ	564.718	4.00	-	FFF	-	MMM	-	42.26%	-	Jcwqf	Stwvu	170-175	170	4.30%	4.248%	20.50411
R-1	RPY	49.215	6.10	-	FF	-	XX	-	8.30%	-	XHN	Lnbzh	450	450	4.34%	7.155%	72.36871

More Details

Filings

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

Tranche Comments

I-1: Registration: 144N/Zup M; N-2: Registration: 144X/Klc N; R-3: Registration: 144V/Gjk B; V-1: Registration: 144C/Jyl X; R-1: Registration: 144K/Uzx L;

Pricing Speed

25% SZQ ta 4 ji ltiw

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-2	JVL	35.172	4.57	-	J-	-	E	-	6.44%	-	Grupy	Oyaux	390-400	390	4.34%	5.427%	44.47998
X-1	YEZ	14.256	6.98	-	EE	-	HH	-	9.00%	-	Krisc	Mjgny	290-300	290	4.34%	4.427%	46.64631
N-1	BCA	172.574	5.56	-	EEE	-	YYY	-	95.90%	-	Xttgm	IPAH	105-110	110	2.21%	2.144%	92.94237
B-2	NHQ	27.647	9.20	-	KK	-	OO	-	28.30%	-	Ravkz	Ekqan	140-145	140	2.96%	2.927%	51.90986
N-3	OZN	48.566	2.60	-	D	-	G	-	14.00%	-	Gchbt	Rudrh	165-170	165	3.21%	3.177%	32.93740
V-1	WTO	84.728	9.18	-	AAA	-	EEE	-	38.80%	-	Kwlol	Wizfo	200-205	200	3.57%	3.527%	49.89213

More Details

Filings

ABS-15G, ABS-15G

Tranche Comments

N-1: Registration: 144P/Ekf N; B-2: Registration: 144B/Cff M; N-3: Registration: 144X/Hag C; V-1: Registration: 144D/Lpo S; X-1: Registration: 144H/Cfj R; D-2: Registration: 144V/Liq V;

Pricing Speed

25% EOR qz 30% Epgg

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z3	VLM	37.959	2.10	-	V	-	-	-	20.60%	-	Joxjm	Ehllw	-	140	2.24%	2.173%	65.77246
R1	HQT	504.501	2.70	-	FFF	-	-	-	35.60%	-	Romni	Evxfe	-	110	1.93%	1.873%	44.23565
G1	XNE	83.154	2.80	-	BBB	-	-	-	12.26%	-	Pmbeo	Trjbq	-	200	3.26%	3.222%	50.29685
J2	MBO	44.760	7.80	-	J-	-	-	-	9.58%	-	VFI	Zievv	-	380	-	5.022%	14.58560
G1	RGQ	58.510	2.10	-	CC	-	-	-	8.30%	-	Voxxs	Ptncg	-	290	4.16%	4.122%	55.22443
I2	TLR	56.533	5.50	-	JJ	-	-	-	20.30%	-	Qpmft	Himdd	-	125	2.09%	2.023%	30.23970

More Details

Filings

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

Tranche Comments

R1: Registration: 144G/Eek J; I2: Registration: 144I/Ona J; Z3: Registration: 144V/Ucu H; G1: Registration: 144I/Ptt K; G1: Registration: 144H/Ofp W; J2: Registration: 144E/Ast W;

Pricing Speed

25% YAX ri 30% Ybbb

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-1	WOZ	722.604	6.50	-	III	-	-	-	37.50%	-	Rujlb	Kjbtf	-	75	1.19%	1.158%	54.57049
I-1	OAN	69.611	8.61	-	KK	-	-	-	9.84%	-	Btyeu	Teyws	-	235	3.27%	3.237%	51.12180
O-1	XXH	98.120	7.75	-	NNN	-	-	-	4.75%	-	Pkxco	Yuitp	-	150	2.42%	2.387%	30.25307
L-2	BNU	75.131	5.91	-	I-	-	-	-	3.70%	-	Pglsx	Myjcx	-	320	4.13%	4.087%	10.15197
X-2	JCZ	24.960	1.80	-	DD	-	-	-	98.40%	-	Emggz	Tryrl	-	95	1.40%	1.358%	91.64216
N-3	IVU	76.116	1.50	-	D+	-	-	-	35.17%	-	Offkl	Zkrtv	-	110	1.55%	1.508%	31.47062

More Details

Filings

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

Tranche Comments

C-1: Registration: 144Y/Wvl Z; X-2: Registration: 144I/Qun S; N-3: Registration: 144G/Poa Y; O-1: Registration: 144C/Jhh F; I-1: Registration: 144L/Mfi I; L-2: Registration: 144M/Piq L;

Pricing Speed

25% XZW un 30% Xsll

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-1	TOG	479.263	6.00	-	JJJ	-	-	-	20.85%	-	Vytep	Mbgpe	70s	65	0.90%	0.871%	95.18331
I-1	QMQ	5.384	6.80	-	JJ	-	-	-	2.66%	-	Ymopa	Xcjht	250y	250	3.17%	3.139%	51.58478
V-2	UKZ	29.239	7.00	-	YY	-	-	-	31.60%	-	Slfxy	Mewmh	90-95	95	1.21%	1.171%	97.10889
L-1	YMQ	62.634	4.60	-	YYY	-	-	-	28.63%	-	Miroa	Knhdo	165-170	155	2.22%	2.189%	77.81176
D-3	IBF	13.640	3.00	-	U	-	-	-	46.52%	-	Ljrjt	Sgnjx	105-110	100	1.26%	1.221%	63.89161
U-2	QEJ	2.951	2.40	-	P-	-	-	-	5.20%	-	Ugbjj	Dkcgo	325m	325	3.93%	3.889%	32.73607

More Details

Filings

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

Tranche Comments

F-1: First Pay: 2021-06-25; Registration: 144U/Glg G; V-2: First Pay: 2021-06-25; Registration: 144Q/Zov Y; D-3: First Pay: 2021-06-25; Registration: 144K/Amj P; L-1: First Pay: 2021-06-25; Registration: 144D/Oez E; I-1: First Pay: 2021-06-25; Registration: 144M/Aff A; U-2: First Pay: 2021-06-25; Registration: 144V/Nzb A;

Pricing Speed

25% KIH mg 30% Kdbb

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-2	KYI	6.200	8.61	-	UU	-	-	-	81.10%	-	Wzgzy	ANQA	80d	75	0.97%	0.940%	78.64460
N-1	GZC	4.224	7.80	-	MM	-	-	-	97.71%	-	Uhczh	Rqecq	270u	265	3.10%	3.066%	52.93950
A-3	OCF	50.582	7.80	-	T	-	-	-	35.00%	-	Vajhj	TCNU	95-100	90	1.13%	1.090%	61.60124
G-2	TUI	3.490	5.20	-	T-	-	-	-	8.50%	-	Rzwid	Leycf	360y	350	3.96%	3.916%	24.17296
F-3	NEI	3.915	8.30	-	PU	-	-	-	7.00%	-	-	-	-	-	-	-	Retained
L-1	PEX	37.925	8.20	-	DDD	-	-	-	59.20%	-	Dbkwr	UYNH	55-60	50	0.72%	0.690%	54.90890
A-1	UYP	5.887	7.40	-	ZZZ-	-	-	-	53.60%	-	Dzzlv	Czkvh	170g	165	2.09%	2.066%	33.77062

More Details

Tranche Comments

L-1: First Pay: 2021-03-25; Registration: 144N/Oyl J; A-2: First Pay: 2021-03-25; Registration: 144U/Dto U; A-3: First Pay: 2021-03-25; Registration: 144T/Krc R; A-1: First Pay: 2021-03-25; Registration: 144Y/Foy A; N-1: First Pay: 2021-03-25; Registration: 144M/Bic S; G-2: First Pay: 2021-03-25; Registration: 144X/Ztr R; F-3: First Pay: 2021-03-25; Registration: 144I/Ldm E;

Pricing Speed

25% VAP xg 30% Srxugbxq Pbybbrxugb

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-1	KZU	550.876	2.64	-	-	XXX	-	-	-	-	Obbbh	TPYS	140j	135	1.69%	1.622%	40.21754
J-3	OEO	10.762	4.40	-	-	S	-	-	-	-	Sknwb	Exazp	275r	250	2.86%	2.823%	52.44217
U-1	PYR	6.950	5.50	-	-	II	-	-	-	-	Ijzqr	GEU	600-625	-	5.88%	5.883%	529.12000
F-1	QWB	54.860	5.20	-	-	FFF-	-	-	-	-	Vjkpm	Ojgru	400-425	375	4.11%	4.073%	702.00000
X-2	QJA	56.216	1.60	-	-	Q	-	-	-	-	Gpgxr	GEL	-	-	5.88%	7.635%	34.99900
U-2	UYT	76.655	7.81	-	-	TT	-	-	-	-	Tgtwx	Jiuit	240-250	225	2.59%	2.561%	93.20002

More Details

Filings

ABS-EE/A, EX-102

Tranche Comments

W-1: First Pay: 2020-08-25; Registration: 144J/Qhd A; U-2: First Pay: 2020-08-25; Registration: 144H/Llt S; J-3: First Pay: 2020-08-25; Registration: 144A/Hsp N; F-1: First Pay: 2020-08-25; Registration: 144P/Afo K; U-1: First Pay: 2020-08-25; Registration: 144E/Wxc Y; X-2: First Pay: 2020-08-25; Registration: 144Q/Zfn F;

Pricing Speed

25% NZY Dz 30% Yywszbhv Yysykywszb

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z2	BBP	36.376	4.81	-	SS	-	ZZ	-	91.75%	-	Rhyfi	CCBL	100t	95	2.49%	2.419%	42.28300
O3	NJH	28.701	9.18	-	K+	-	D	-	39.70%	-	Ovzja	KUWI	110f	110	2.65%	2.569%	24.57015
L1	GUP	38.797	6.10	-	RR	-	AA	-	3.80%	-	Iahyv	Iybxe	225c	220	3.66%	3.627%	37.56345
A1	JBY	604.220	8.51	-	PPP	-	YYY	-	85.38%	-	Bzkek	XTZK	80d	80	2.34%	2.269%	21.78715
X1	YAP	96.339	5.30	-	QQQ	-	III	-	61.90%	-	Yuurv	Njyqt	155-165	155	3.01%	2.977%	14.43240
R2	YUG	10.590	4.90	-	B-	-	Y (V)	-	2.40%	-	Mmwou	IZZ	4.50%y	-	4.54%	4.500%	23.19335

More Details

Filings

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

Tranche Comments

A1: First Pay: 2020-03-25; Registration: 144H/Wep A; Z2: First Pay: 2020-03-25; Registration: 144H/Tuh V; O3: First Pay: 2020-03-25; Registration: 144K/Xkz N; X1: First Pay: 2020-03-25; Registration: 144O/Yfb B; L1: First Pay: 2020-03-25; Registration: 144Y/Mzo K; R2: First Pay: 2020-03-25; Registration: 144P/Kky D;

Pricing Speed

25% HDY ah 30% HCMM

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-3	CSB	70.420	1.50	-	W	-	-	P	-	-	Graeg	MONK	130-135	125	3.05%	2.957%	54.54854
M-1	XJW	23.718	5.30	-	VV	-	-	NN	-	-	Ggctv	Vciye	225k	225	3.99%	3.947%	26.73954
Y-1	VJP	135.405	8.89	-	FFF	-	-	UUU	-	-	Gwxzs	CTCR	100r	100	2.79%	2.707%	95.74472
W-1	NAS	88.638	8.60	-	DDD	-	-	ZZZ	-	-	Zlypo	Blkpu	160-165	175	3.48%	3.447%	53.89462
A-2	HOH	14.300	5.40	-	R-	-	-	W-	-	-	Vphwr	QKN	5.00-5.25%	-	4.92%	4.875%	10.84781
N-2	KWB	81.333	9.75	-	QQ	-	-	AA	-	-	Rrywp	GOYO	120h	115	2.95%	2.857%	43.88589

More Details

Filings

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

Tranche Comments

Y-1: Registration: 144C/Nra M; N-2: Registration: 144Q/Gde E; A-3: Registration: 144Q/Wnt O; W-1: Registration: 144D/Xxd E; M-1: Registration: 144E/Ulk S; A-2: Registration: 144A/Fbl X;