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

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1	AHX	33.280	5.44	-	HHH	-	BBB (U)	-	56.10%	-	UXQ	Tcuyh	300t	300	4.34%	5.655%	52.66286
N-1	OZL	372.527	9.00	-	AAA	-	YYY	-	55.46%	-	Vanhq	Xaval	170-175	170	4.30%	4.248%	25.73480
J-3	VOH	83.960	7.00	-	D	-	Z (R)	-	69.30%	-	Zllec	Xorbj	205-210	220	4.30%	4.748%	27.63846
Q-2	BJD	14.241	4.00	-	FF	-	KK (M)	-	69.19%	-	Draqm	Dcjde	190-195	195	4.30%	4.498%	76.16649
E-1	SKS	34.897	8.85	-	OO	-	XX	-	8.40%	-	GQQ	Htiqm	450	450	4.34%	7.155%	54.42640

More Details

Filings

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

Tranche Comments

N-1: Registration: 144Z/Zea P; Q-2: Registration: 144G/Epc L; J-3: Registration: 144V/Epn X; E-1: Registration: 144K/Eve G; E-1: Registration: 144M/Ozs S;

Pricing Speed

25% DOC uk 4 nj cubj

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-1	JKX	82.861	1.60	-	QQQ	-	GGG	-	27.20%	-	Oatbf	Buijc	200-205	200	3.57%	3.527%	36.53040
R-1	WTN	21.730	1.23	-	SS	-	FF	-	4.00%	-	Scgps	Hivcf	290-300	290	4.34%	4.427%	31.45044
C-1	JEF	466.406	8.72	-	FFF	-	TTT	-	61.90%	-	Qcgus	YCVY	105-110	110	2.21%	2.144%	46.37252
A-2	NMT	72.699	6.66	-	F-	-	P	-	5.99%	-	Ysatr	Mntfz	390-400	390	4.34%	5.427%	56.79270
K-3	XNN	34.717	9.11	-	B	-	M	-	30.00%	-	Kwuba	Dxymq	165-170	165	3.21%	3.177%	14.74332
E-2	EWQ	74.214	7.49	-	NN	-	GG	-	38.80%	-	Aoomc	Ilzuh	140-145	140	2.96%	2.927%	69.58372

More Details

Filings

EX-102, ABS-15G/A

Tranche Comments

C-1: Registration: 144A/Ohq G; E-2: Registration: 144Z/Pla L; K-3: Registration: 144N/Qax B; K-1: Registration: 144B/Myo H; R-1: Registration: 144P/Wak P; A-2: Registration: 144C/Pwo J;

Pricing Speed

25% YTP pf 30% Yxww

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D1	JEC	89.100	1.90	-	PP	-	-	-	8.23%	-	Zcbkw	Ilgqy	-	290	4.16%	4.122%	37.80661
T1	LGH	459.186	8.50	-	WWW	-	-	-	96.18%	-	Tbpnc	Ylhcl	-	110	1.93%	1.873%	27.95326
W2	GOF	66.581	2.50	-	VV	-	-	-	96.20%	-	Mcsyo	Ryvle	-	125	2.09%	2.023%	59.35600
X3	VUI	25.538	5.80	-	E	-	-	-	83.30%	-	Yqsij	Ukvge	-	140	2.24%	2.173%	52.62224
W1	HEF	91.132	9.40	-	UUU	-	-	-	70.87%	-	Mugba	Zvear	-	200	3.26%	3.222%	47.42660
G2	IIE	80.920	6.80	-	D-	-	-	-	6.68%	-	QWL	Vikba	-	380	-	5.022%	41.76980

More Details

Filings

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

Tranche Comments

T1: Registration: 144J/Mie L; W2: Registration: 144M/Yqq I; X3: Registration: 144F/Zid P; W1: Registration: 144L/Dhr I; D1: Registration: 144Y/Vvo S; G2: Registration: 144L/Zlx K;

Pricing Speed

25% QUS bm 30% Qnhh

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	RIU	291.631	9.80	-	SSS	-	-	-	81.70%	-	Zjsla	Aefak	-	75	1.19%	1.158%	39.53449
O-1	WTB	64.350	8.91	-	XXX	-	-	-	9.72%	-	Fitku	Tmlfq	-	150	2.42%	2.387%	43.67902
P-2	OQA	74.450	1.80	-	EE	-	-	-	86.97%	-	Dufjh	Oyllh	-	95	1.40%	1.358%	55.29664
A-3	AVL	30.283	1.60	-	R+	-	-	-	67.45%	-	Wgwbt	Zctdl	-	110	1.55%	1.508%	82.10984
W-1	TFO	62.354	2.68	-	HH	-	-	-	6.56%	-	Qkwkl	Hvfha	-	235	3.27%	3.237%	73.64490
P-2	NHP	75.562	7.17	-	H-	-	-	-	6.80%	-	Wfjtg	Guzqj	-	320	4.13%	4.087%	55.81530

More Details

Filings

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

Tranche Comments

T-1: Registration: 144W/Tth B; P-2: Registration: 144Z/Mif Z; A-3: Registration: 144H/Gex R; O-1: Registration: 144H/Cun Q; W-1: Registration: 144T/Qmb J; P-2: Registration: 144Y/Drc I;

Pricing Speed

25% BCZ rk 30% Bann

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	UND	85.261	3.00	-	PP	-	-	-	39.70%	-	Dyiwo	Fvzld	90-95	95	1.21%	1.171%	21.92247
Z-1	BQN	87.457	4.40	-	CCC	-	-	-	16.91%	-	Xiisi	Mgxxb	165-170	155	2.22%	2.189%	63.79420
Z-1	ZXB	7.244	2.80	-	CC	-	-	-	3.44%	-	Jspob	Pvbbg	250h	250	3.17%	3.139%	47.32071
P-1	VIY	937.494	2.00	-	EEE	-	-	-	81.15%	-	Fuqsd	Qzlpn	70e	65	0.90%	0.871%	41.58621
W-3	ZWK	30.280	3.00	-	X	-	-	-	96.74%	-	Pwfjt	Nheat	105-110	100	1.26%	1.221%	37.59767
W-2	BWR	2.568	2.80	-	O-	-	-	-	8.60%	-	Xlmjf	Arzve	325d	325	3.93%	3.889%	80.94596

More Details

Filings

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

Tranche Comments

P-1: First Pay: 2021-06-25; Registration: 144Z/Tex A; V-2: First Pay: 2021-06-25; Registration: 144W/Crr U; W-3: First Pay: 2021-06-25; Registration: 144Q/Kok H; Z-1: First Pay: 2021-06-25; Registration: 144J/Ang V; Z-1: First Pay: 2021-06-25; Registration: 144K/Ubs T; W-2: First Pay: 2021-06-25; Registration: 144L/Rdg E;

Pricing Speed

25% MBQ mb 30% Mtjj

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-2	ONX	5.160	8.20	-	K-	-	-	-	8.50%	-	Amlbo	Xdiro	360o	350	3.96%	3.916%	48.19277
W-3	OFF	8.673	5.40	-	GI	-	-	-	9.00%	-	-	-	-	-	-	-	Retained
R-1	OEV	8.962	2.90	-	SSS-	-	-	-	10.30%	-	Fhfct	Slftc	170j	165	2.09%	2.066%	52.98680
F-2	WBL	5.980	2.24	-	OO	-	-	-	28.80%	-	Klykc	LVPK	80d	75	0.97%	0.940%	93.43796
N-1	CTI	7.839	7.40	-	VV	-	-	-	85.76%	-	Mjrvr	Drzuu	270t	265	3.10%	3.066%	26.29020
H-1	FID	38.492	5.89	-	WWW	-	-	-	85.40%	-	Fyalc	VLVG	55-60	50	0.72%	0.690%	18.99870
R-3	NVL	59.841	8.46	-	E	-	-	-	31.00%	-	Hfmoe	LDEA	95-100	90	1.13%	1.090%	48.42192

More Details

Tranche Comments

H-1: First Pay: 2021-03-25; Registration: 144T/Iih K; F-2: First Pay: 2021-03-25; Registration: 144Z/Icz I; R-3: First Pay: 2021-03-25; Registration: 144W/Mzm J; R-1: First Pay: 2021-03-25; Registration: 144B/Vpm I; N-1: First Pay: 2021-03-25; Registration: 144C/Vtu Q; N-2: First Pay: 2021-03-25; Registration: 144O/Ebf J; W-3: First Pay: 2021-03-25; Registration: 144D/Vln R;

Pricing Speed

25% NAP ju 30% Mbjrupyn Pqdqbbjrup

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	KUV	54.497	7.46	-	-	VV	-	-	-	-	Gzunc	Wekpr	240-250	225	2.59%	2.561%	39.50452
I-2	XTL	30.354	1.30	-	-	K	-	-	-	-	Zkcas	ZEY	-	-	5.88%	7.635%	69.86500
C-3	IOV	97.867	3.90	-	-	N	-	-	-	-	Bynjd	Yxicn	275i	250	2.86%	2.823%	42.21309
E-1	WVL	926.680	7.26	-	-	HHH	-	-	-	-	Nlban	CZMJ	140t	135	1.69%	1.622%	11.41459
V-1	TIV	6.496	1.90	-	-	GG	-	-	-	-	Ohkfi	AVS	600-625	-	5.88%	5.883%	314.97600
Z-1	GIO	54.961	5.90	-	-	DDD-	-	-	-	-	Ccing	Llnfs	400-425	375	4.11%	4.073%	851.00000

More Details

Filings

ABS-EE, ABS-15G/A

Tranche Comments

E-1: First Pay: 2020-08-25; Registration: 144D/Wyx P; O-2: First Pay: 2020-08-25; Registration: 144H/Yle I; C-3: First Pay: 2020-08-25; Registration: 144I/Wfc Y; Z-1: First Pay: 2020-08-25; Registration: 144L/Jox U; V-1: First Pay: 2020-08-25; Registration: 144K/Kut H; I-2: First Pay: 2020-08-25; Registration: 144W/Amk R;

Pricing Speed

25% TUY Xz 30% Tqhfzcku Yjrjqqhfzc

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F1	ALN	508.580	4.53	-	JJJ	-	SSS	-	52.23%	-	Lfakt	AALG	80s	80	2.34%	2.269%	45.52773
K1	VQS	91.447	8.80	-	ZZ	-	JJ	-	6.30%	-	Dshlf	Ehqpj	225a	220	3.66%	3.627%	60.25419
W2	YZA	68.294	8.60	-	HH	-	HH	-	91.66%	-	Uscwq	NBLX	100b	95	2.49%	2.419%	89.92167
S3	AMB	63.299	3.92	-	P+	-	N	-	46.30%	-	Vjrqy	NNRP	110z	110	2.65%	2.569%	53.92201
A2	YTY	48.202	9.10	-	S-	-	J (J)	-	1.20%	-	Lhbpy	GZQ	4.50%m	-	4.54%	4.500%	21.16484
E1	JOX	35.959	4.70	-	QQQ	-	RRR	-	20.70%	-	Bkcvl	Klkrr	155-165	155	3.01%	2.977%	17.31550

More Details

Filings

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

Tranche Comments

F1: First Pay: 2020-03-25; Registration: 144F/Gny M; W2: First Pay: 2020-03-25; Registration: 144C/Gmo W; S3: First Pay: 2020-03-25; Registration: 144K/Fkk H; E1: First Pay: 2020-03-25; Registration: 144D/Yeq B; K1: First Pay: 2020-03-25; Registration: 144J/Tel X; A2: First Pay: 2020-03-25; Registration: 144L/Fhm R;

Pricing Speed

25% WKS ai 30% WEPP

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-1	ZWE	156.358	1.56	-	KKK	-	-	UUU	-	-	Gytql	QQSO	100u	100	2.79%	2.707%	90.34257
N-2	TUL	34.454	7.13	-	LL	-	-	DD	-	-	Cfper	EZYU	120r	115	2.95%	2.857%	64.41606
J-2	JAF	59.200	7.70	-	D-	-	-	I-	-	-	Hcpeq	MKA	5.00-5.25%	-	4.92%	4.875%	23.95796
E-1	BIA	23.245	1.60	-	BB	-	-	BB	-	-	Awhxq	Gyjyg	225u	225	3.99%	3.947%	91.29382
P-3	GKL	63.620	3.92	-	W	-	-	G	-	-	Obnvi	VWQP	130-135	125	3.05%	2.957%	56.52983
I-1	QKS	76.415	7.20	-	QQQ	-	-	UUU	-	-	Zphaa	Atdqq	160-165	175	3.48%	3.447%	17.51362

More Details

Filings

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

Tranche Comments

Z-1: Registration: 144M/Jns X; N-2: Registration: 144G/Ppx V; P-3: Registration: 144L/Ykq K; I-1: Registration: 144X/Eqs I; E-1: Registration: 144P/Zjn Z; J-2: Registration: 144E/Rpf K;