Arroyo 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	281.104	2.25	-	AAA	-	AAA	-	30.10%	-	Fixed	I-Curve	240a	240	4.95%	5.436%	98.79073
A-2	USD	23.928	2.25	-	AA	-	AA	-	24.15%	-	Fixed	I-Curve	340a	340	4.95%	6.436%	96.81682
A-3	USD	29.157	2.25	-	A	-	A	-	16.90%	-	Fixed	I-Curve	390	390	4.95%	6.936%	95.85450
M-1	USD	17.694	3.95	-	BBB	-	BBB	-	12.50%	-	Fixed	I-Curve	525	525	4.95%	8.383%	88.60846

More Details

Filings

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; M-1: First Pay: 2022-07-25; Registration: 144A/Reg S; Comments: Priced on 7/8/2022;

Pricing Speed

20 CPR to 4 Year Call

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P1M	HLY	47.511	7.62	-	QQQ	-	SSS	-	98.20%	-	Iikef	Tdfea	-	140	3.27%	3.232%	29.54008
N1N	ZGR	107.916	9.22	-	BBB	-	CCC	-	36.90%	-	Swaet	ZKMQ	-	105	2.50%	2.396%	97.81616
X1	EJT	63.106	1.95	-	XXX	-	SSS	-	5.95%	-	Rsupp	Hxrmh	-	275	3.65%	4.586%	97.37732
M2	HWR	49.216	4.79	-	EE	-	OO	-	92.10%	-	Pmgcd	Neolp	-	175	3.63%	3.586%	75.91019
K3	TYD	93.140	1.46	-	K	-	G	-	18.80%	-	Lfchb	Emlhv	-	215	3.65%	3.986%	96.60428

More Details

Filings

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

Tranche Comments

N1N: Registration: 144Q/Bqm S; P1M: Registration: 144T/Eeg H; M2: Registration: 144P/Ebh U; K3: Registration: 144O/Pvu K; X1: Registration: 144Z/Zet M;

Pricing Speed

20 WEJ kd 4 ntzf tztt

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C3	NKF	24.547	8.24	-	QQ	-	A	-	5.19%	-	Dhmgj	Riubg	-	120	1.64%	1.592%	26.70983
V1	CNX	326.740	9.66	-	CCC	-	EEE	-	41.60%	-	Djqlr	Mmhia	-	75	1.18%	1.142%	19.23630
K1	ZAD	9.657	9.29	-	JJ	-	WW	-	5.80%	-	Cujly	Blche	-	265	3.48%	3.439%	63.99086
S1	NGT	71.953	5.70	-	DDD	-	GGG	-	1.58%	-	Hbtqb	Qqfcs	-	185	2.67%	2.639%	61.46543
X2	YEQ	49.950	2.66	-	YY+	-	QQ	-	8.20%	-	Srkyt	Scdzc	-	105	1.48%	1.442%	58.62946
Y2	AHR	4.737	5.65	-	G	-	S	-	7.30%	-	WVE	-	-	-	-	-	Retained

More Details

Filings

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

Tranche Comments

V1: Registration: 144N/Vut P; X2: Registration: 144M/Myx K; C3: Registration: 144C/Tpd R; S1: Registration: 144K/Oxm K; K1: Registration: 144U/Phj G; Y2: Registration: 144T/Vaf B;

Pricing Speed

25 IAT xz 30% klzlq dn klll

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-3	UFB	81.699	8.64	-	F	-	-	-	5.66%	-	Abwpe	Ogrlr	290b	290	3.33%	3.308%	72.50894
E-1	UHT	56.576	3.11	-	MMM	-	-	-	9.53%	-	Jguux	Oqfhs	385e	385	4.28%	4.258%	98.69141
P-1H	MSD	95.285	4.92	-	VVV	-	-	-	17.70%	-	Vzkec	Fvrzb	180	180	2.10%	2.058%	40.17972
H-1H	VNG	666.440	4.24	-	NNN	-	-	-	61.00%	-	Zqqhu	Atjzc	Kup 130m	137	1.66%	1.628%	82.98116
P-2	LPH	42.311	6.66	-	UU	-	-	-	44.40%	-	Nqlvo	Jrymm	250	250	2.93%	2.908%	48.44595

More Details

Filings

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

Tranche Comments

H-1H: Registration: 144G/Vmf G; P-1H: Registration: 144J/Eze I; P-2: Registration: 144U/Vmr P; S-3: Registration: 144Z/Npg H; E-1: Registration: 144A/Vjq S;

Pricing Speed

18% FKP fq o 30% Fooo

Refinancing

Yes

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R3	GVV	67.127	6.71	-	P	-	-	L+	8.70%	-	Lmqwu	Onrjd	-	160	3.42%	3.370%	69.44250
O2	MCB	81.452	7.41	-	BB	-	-	XX+	72.30%	-	Dvpny	Rqknv	-	140	3.21%	3.170%	31.80778
T1	LVD	344.486	2.83	-	III	-	-	KKK	52.21%	-	Ayims	Vrwuv	-	115	2.96%	2.920%	56.60024
W1	XIC	33.792	9.30	-	VVV	-	-	GGG	2.60%	-	Dykbh	Adhai	-	235	4.20%	4.191%	62.15750

More Details

Filings

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

Tranche Comments

T1: First Pay: 2019-08-26; Registration: 144N Wruy; O2: First Pay: 2019-08-26; Registration: 144E Zxjw; R3: First Pay: 2019-08-26; Registration: 144G Kcug; W1: First Pay: 2019-08-26; Registration: 144I Yfns;

Pricing Speed

10-25% WFA 48gh, 20% Wyyy

Reset

Yes

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C1	QLV	430.800	2.66	-	RRR	-	-	MMM	19.55%	-	Nique	Zbzqt	-	110	3.35%	3.301%	62.76492
J3	OUO	99.518	3.10	-	F	-	-	N+	3.35%	-	Ovzsw	Hcqje	-	155	3.80%	3.751%	21.22970
V2	TVA	43.620	6.35	-	LL	-	-	PP+	27.90%	-	Jvlll	Wekce	-	125	3.50%	3.451%	18.85080
R1	EWR	67.340	6.76	-	LLL	-	-	MMM+	8.20%	-	Ziqfk	Jknjy	-	250	4.76%	4.750%	20.47903

More Details

Filings

EX-103, ABS-EE

Tranche Comments

C1: First Pay: 2019-06-25; Registration: 144A Fpku; V2: First Pay: 2019-06-25; Registration: 144E Ffvp; J3: First Pay: 2019-06-25; Registration: 144F Ebca; R1: First Pay: 2019-06-25; Registration: 144P Mrer;

Pricing Speed

10-25%XVA 48hg, 20% Xkll

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N1	VFA	121.320	2.60	-	VVV	-	-	CCC	-	-	Lmvow	Sxezg	120-125	120	3.81%	3.751%	73.58175
K2	UOU	70.722	5.30	-	LL	-	-	PP+	-	-	Oqciv	Mrzfv	145r	145	4.06%	4.001%	83.86300
V1	ERM	8.987	7.50	-	FFF	-	-	PPP+	-	-	Nsvpi	Blygb	240-250	250	5.06%	5.054%	88.44583
D3	XXH	72.852	9.80	-	M	-	-	H+	-	-	Zjxpv	Tnlcj	160-165	160	4.21%	4.151%	93.84640

More Details

Filings

EX-102, ABS-15G

Tranche Comments

N1: Registration: 144P Hrhg; K2: Registration: 144S Fneo; D3: Registration: 144L Lsfg; V1: Registration: 144B Mqoy;

Pricing Speed

15-25% JWF 36yz, 20% Jjxx

Western Asset Management Co (WAMCO)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-1	MMD	749.464	5.40	-	GGG	-	-	LLL	-	-	Psllm	Iywjz	-	85	3.76%	3.702%	68.38294
D-2	LLD	89.838	6.80	-	EE	-	-	KK	-	-	Gzhqe	Mbgol	-	110	4.02%	3.952%	98.47920
G-3	VFR	39.870	2.30	-	T	-	-	Z+	-	-	Hvyte	Lvhag	-	130	4.22%	4.152%	18.75347