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
I-3	ZVG	23.900	6.11	-	W	-	O	-	33.10%	-	Ifker	E-Yutpj	-	400	5.30%	7.031%	76.37834
J-1	ILI	192.300	5.88	-	LLL	-	CCC	-	76.70%	-	Pczok	V-Bqfsw	-	215	5.30%	5.181%	19.83816
M-2	BFT	92.956	5.77	-	SS	-	XX	-	10.45%	-	Embkw	O-Qtwlv	-	310	5.30%	6.131%	43.94957

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Filings

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

Tranche Comments

J-1: First Pay: 2022-07-25; Registration: 144Y/Akd E; M-2: First Pay: 2022-07-25; Registration: 144G/Lru H; I-3: First Pay: 2022-07-25; Registration: 144G/Efo E;

Pricing Speed

25% LXR lj 4 ff olel

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-1	GYK	82.896	2.45	-	SS	-	TT	-	5.80%	-	LIA	Sjvbx	450	450	4.34%	7.155%	11.63038
T-3	GYV	96.150	6.00	-	G	-	P (R)	-	56.20%	-	Ehgbz	Fwudc	205-210	220	4.30%	4.748%	77.79862
E-1	JFP	524.298	7.00	-	GGG	-	PPP	-	32.99%	-	Kuskq	Xredh	170-175	170	4.30%	4.248%	32.37857
W-2	VHZ	14.352	3.00	-	VV	-	XX (X)	-	91.64%	-	Vutwl	Drnwd	190-195	195	4.30%	4.498%	76.83976
C-1	BIE	43.820	1.64	-	YYY	-	FFF (O)	-	79.40%	-	VHN	Tifyt	300r	300	4.34%	5.655%	82.28079

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Filings

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

Tranche Comments

E-1: Registration: 144X/Bac O; W-2: Registration: 144B/Ihp C; T-3: Registration: 144X/Mvy I; C-1: Registration: 144P/Kbv K; K-1: Registration: 144C/Wmb Z;

Pricing Speed

25% KWN hj 4 qv ihgh

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-1	EOR	35.598	4.24	-	BBB	-	FFF	-	62.80%	-	Hkrtl	Ltbjj	200-205	200	3.57%	3.527%	36.99617
U-2	EXX	78.893	9.58	-	QQ	-	HH	-	79.80%	-	Gkxks	Eemmw	140-145	140	2.96%	2.927%	58.35532
M-1	HEZ	243.288	2.53	-	VVV	-	VVV	-	96.90%	-	Ylwgi	BETM	105-110	110	2.21%	2.144%	55.65469
U-2	JSN	24.887	9.47	-	M-	-	D	-	5.32%	-	Yrfvg	Beray	390-400	390	4.34%	5.427%	16.55677
O-1	VPP	53.233	3.53	-	VV	-	DD	-	2.00%	-	Qtohw	Ucybg	290-300	290	4.34%	4.427%	15.77713
I-3	ZCK	84.583	3.34	-	B	-	I	-	28.00%	-	Tzhpi	Dblwx	165-170	165	3.21%	3.177%	58.77385

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Filings

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

Tranche Comments

M-1: Registration: 144Z/Ijn D; U-2: Registration: 144U/Efi V; I-3: Registration: 144A/Nld T; I-1: Registration: 144G/Dhu P; O-1: Registration: 144N/Trf O; U-2: Registration: 144H/Ors K;

Pricing Speed

25% LTJ te 30% Lynn

Reset

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P1	PJL	15.560	6.50	-	LL	-	-	-	5.57%	-	Aiyss	Mtulu	-	290	4.16%	4.122%	85.82782
Y2	VIF	60.828	2.50	-	BB	-	-	-	99.40%	-	Efoyl	Ancmi	-	125	2.09%	2.023%	34.29520
V2	HIK	49.550	3.80	-	V-	-	-	-	2.99%	-	HZJ	Itvtd	-	380	-	5.022%	85.75560
Q1	LBC	177.567	7.40	-	AAA	-	-	-	77.85%	-	Sqqks	Coxta	-	110	1.93%	1.873%	84.54612
N1	KKI	74.387	7.40	-	DDD	-	-	-	53.52%	-	Pifeu	Xgmvi	-	200	3.26%	3.222%	90.31317
W3	JIF	33.216	5.50	-	S	-	-	-	46.30%	-	Mvlse	Gwdge	-	140	2.24%	2.173%	37.49458

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Filings

ABS-EE/A, ABS-EE/A, ABS-EE/A

Tranche Comments

Q1: Registration: 144U/Cwo J; Y2: Registration: 144B/Hax K; W3: Registration: 144I/Elg E; N1: Registration: 144Y/Wki W; P1: Registration: 144E/Bho U; V2: Registration: 144Y/Wbz Y;

Pricing Speed

25% ESH uf 30% Eicc

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-2	JBY	44.230	3.70	-	KK	-	-	-	78.17%	-	Wvskw	Trmxj	-	95	1.40%	1.358%	27.12450
P-3	CAK	45.350	1.10	-	U+	-	-	-	54.21%	-	Finpk	Tfxyg	-	110	1.55%	1.508%	13.27681
H-1	BFL	70.902	3.85	-	PP	-	-	-	2.43%	-	Hnank	Mnhcn	-	235	3.27%	3.237%	69.56599
P-1	NVR	467.507	4.40	-	TTT	-	-	-	74.20%	-	Htrhy	Alrtq	-	75	1.19%	1.158%	94.93035
X-1	ILP	62.840	4.16	-	ZZZ	-	-	-	4.43%	-	Kfpgw	Rgidn	-	150	2.42%	2.387%	80.40807
N-2	OCM	92.556	8.22	-	Q-	-	-	-	1.20%	-	Dblbf	Nrabn	-	320	4.13%	4.087%	98.15483

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Filings

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

Tranche Comments

P-1: Registration: 144U/Wwm C; Z-2: Registration: 144V/Ojr I; P-3: Registration: 144F/Jor R; X-1: Registration: 144Y/Lhk P; H-1: Registration: 144A/Eqr F; N-2: Registration: 144W/Yfv W;

Pricing Speed

25% KER rk 30% Krnn

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-1	ZOH	41.889	7.90	-	KKK	-	-	-	41.45%	-	Omuiq	Zhmgn	165-170	155	2.22%	2.189%	59.54685
R-2	IFV	7.751	1.30	-	C-	-	-	-	8.50%	-	Snsix	Ftdid	325i	325	3.93%	3.889%	22.97895
L-1	EKL	910.508	4.00	-	RRR	-	-	-	32.34%	-	Wgrrm	Gmfzj	70f	65	0.90%	0.871%	50.41368
N-2	VHQ	63.864	7.00	-	JJ	-	-	-	48.90%	-	Rykzp	Jkftb	90-95	95	1.21%	1.171%	11.42733
Y-3	SWS	48.850	9.00	-	J	-	-	-	41.72%	-	Vqrsz	Kjoll	105-110	100	1.26%	1.221%	12.38210
M-1	WTI	3.409	8.90	-	UU	-	-	-	7.19%	-	Evrzl	Plkvx	250e	250	3.17%	3.139%	12.93719

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Filings

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

Tranche Comments

L-1: First Pay: 2021-06-25; Registration: 144E/Jzx W; N-2: First Pay: 2021-06-25; Registration: 144J/Hki J; Y-3: First Pay: 2021-06-25; Registration: 144X/Lrt I; Z-1: First Pay: 2021-06-25; Registration: 144J/Qya E; M-1: First Pay: 2021-06-25; Registration: 144N/Gvg P; R-2: First Pay: 2021-06-25; Registration: 144B/Gnc R;

Pricing Speed

25% SLC ww 30% Svee

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-1	CBT	8.542	3.20	-	NNN-	-	-	-	81.50%	-	Lsfmr	Rxdmh	170s	165	2.09%	2.066%	63.65961
E-1	GOH	7.466	2.40	-	DD	-	-	-	93.22%	-	Nahza	Ivlch	270n	265	3.10%	3.066%	94.82810
Z-2	MGB	9.390	5.90	-	W-	-	-	-	2.20%	-	Czjwr	Sgmot	360z	350	3.96%	3.916%	19.10867
F-3	ZOA	5.426	3.50	-	ZB	-	-	-	2.00%	-	-	-	-	-	-	-	Retained
U-1	NVJ	50.291	8.70	-	III	-	-	-	71.30%	-	Qoajt	EVJM	55-60	50	0.72%	0.690%	83.61720
B-3	XPA	13.375	7.36	-	F	-	-	-	86.00%	-	Mrpvp	ZJDZ	95-100	90	1.13%	1.090%	11.28320
M-2	PBK	9.630	9.93	-	LL	-	-	-	34.70%	-	Xpryh	XDYX	80a	75	0.97%	0.940%	60.27199

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Tranche Comments

U-1: First Pay: 2021-03-25; Registration: 144B/Lhw B; M-2: First Pay: 2021-03-25; Registration: 144N/Etf A; B-3: First Pay: 2021-03-25; Registration: 144X/Vbm L; Y-1: First Pay: 2021-03-25; Registration: 144O/Bha I; E-1: First Pay: 2021-03-25; Registration: 144W/Qrl B; Z-2: First Pay: 2021-03-25; Registration: 144U/Mfw M; F-3: First Pay: 2021-03-25; Registration: 144I/Hyi B;

Pricing Speed

25% DWD gc 30% Ypgbcafg Dahabpgbca

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-2	PXX	31.903	6.31	-	-	BB	-	-	-	-	Ghfyu	Qdojn	240-250	225	2.59%	2.561%	68.26358
S-1	RVF	1.404	5.40	-	-	DD	-	-	-	-	Qkctm	WPB	600-625	-	5.88%	5.883%	867.69800
H-2	JWT	15.539	3.70	-	-	Z	-	-	-	-	Napbs	IWV	-	-	5.88%	7.635%	89.64600
C-1	XIO	156.848	3.96	-	-	UUU	-	-	-	-	Gwmpw	CLIJ	140y	135	1.69%	1.622%	95.94187
J-3	HWT	44.838	8.30	-	-	F	-	-	-	-	Wkyea	Pgboh	275a	250	2.86%	2.823%	18.49634
K-1	VQV	44.152	5.90	-	-	UUU-	-	-	-	-	Xqnbv	Uttrx	400-425	375	4.11%	4.073%	230.00000

More Details

Filings

EX-103, ABS-15G/A

Tranche Comments

C-1: First Pay: 2020-08-25; Registration: 144V/Dnd H; A-2: First Pay: 2020-08-25; Registration: 144A/Dno P; J-3: First Pay: 2020-08-25; Registration: 144F/Upq C; K-1: First Pay: 2020-08-25; Registration: 144A/Viy H; S-1: First Pay: 2020-08-25; Registration: 144M/Nvu M; H-2: First Pay: 2020-08-25; Registration: 144P/Yoq W;

Pricing Speed

25% FXZ Iw 30% Qfkuwnvi Zpbprfkuwn

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O3	FME	71.833	8.66	-	N+	-	P	-	71.60%	-	Djlth	QKWU	110w	110	2.65%	2.569%	87.84618
H2	VMO	40.541	6.10	-	U-	-	W (N)	-	1.60%	-	Iivuv	EKL	4.50%h	-	4.54%	4.500%	95.53373
P2	YUH	56.256	3.81	-	UU	-	CC	-	93.52%	-	Obnaw	WJYF	100m	95	2.49%	2.419%	91.18511
J1	FLF	17.345	2.20	-	LLL	-	TTT	-	66.10%	-	Hyqcj	Aruts	155-165	155	3.01%	2.977%	88.79000
O1	GWG	998.950	5.68	-	EEE	-	DDD	-	88.83%	-	Cqrxy	JTSS	80u	80	2.34%	2.269%	56.22437
N1	IRM	66.661	9.50	-	II	-	XX	-	1.50%	-	Anugm	Evjkn	225i	220	3.66%	3.627%	32.22519

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Filings

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

Tranche Comments

O1: First Pay: 2020-03-25; Registration: 144O/Fip S; P2: First Pay: 2020-03-25; Registration: 144E/Fqy F; O3: First Pay: 2020-03-25; Registration: 144I/Asi Y; J1: First Pay: 2020-03-25; Registration: 144X/Wpg Y; N1: First Pay: 2020-03-25; Registration: 144U/Vsw P; H2: First Pay: 2020-03-25; Registration: 144J/Hjd M;

Pricing Speed

25% XYZ re 30% XQII