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
G1G	YUI	306.241	7.89	-	WWW	-	KKK	-	76.40%	-	Rsqri	QPDW	-	105	2.50%	2.396%	83.47488
R1	XXN	55.942	5.17	-	GGG	-	GGG	-	4.65%	-	Mkbjz	Dnebx	-	275	3.65%	4.586%	85.29686
C1U	HMS	47.912	8.34	-	HHH	-	NNN	-	73.50%	-	Mshky	Bljlh	-	140	3.27%	3.232%	56.35277
P2	CIK	55.504	8.71	-	CC	-	NN	-	97.20%	-	Iprnz	Vkkpj	-	175	3.63%	3.586%	14.76798
J3	NXU	62.450	7.14	-	F	-	W	-	15.90%	-	Mwuor	Mtbvw	-	215	3.65%	3.986%	65.32506

More Details

Filings

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

Tranche Comments

G1G: Registration: 144X/Dae Y; C1U: Registration: 144E/Ffv Z; P2: Registration: 144A/Rqm W; J3: Registration: 144V/Cqi X; R1: Registration: 144N/Zco L;

Pricing Speed

20 KPZ hz 4 vvkh jkjj

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
W1	VZP	260.658	3.45	-	TTT	-	DDD	-	84.10%	-	Huwsx	Inboq	-	75	1.18%	1.142%	28.22227
M2	MOW	60.467	7.79	-	TT+	-	AA	-	3.50%	-	Ohulj	Pxfzk	-	105	1.48%	1.442%	12.60949
G3	QKE	86.947	1.91	-	AA	-	C	-	3.72%	-	Vtcrf	Phfwb	-	120	1.64%	1.592%	23.39122
V1	COT	26.452	1.31	-	RRR	-	BBB	-	5.24%	-	Kuvab	Cjxxq	-	185	2.67%	2.639%	65.89124
W1	EOS	4.649	6.12	-	MM	-	LL	-	1.10%	-	Gmlkc	Kjwih	-	265	3.48%	3.439%	70.48841
R2	AUQ	5.609	6.32	-	Q	-	N	-	2.10%	-	JYS	-	-	-	-	-	Retained

More Details

Filings

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

Tranche Comments

W1: Registration: 144L/Qpz E; M2: Registration: 144G/Gco N; G3: Registration: 144Y/Yqa Z; V1: Registration: 144I/Pbz U; W1: Registration: 144K/Avn D; R2: Registration: 144M/Rzo P;

Pricing Speed

25 JVH sx 30% tvzcw at tcvv

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
F-3	PAG	84.747	2.31	-	V	-	-	-	3.31%	-	Lgkcz	Ebxih	290p	290	3.33%	3.308%	66.41738
A-2	PJW	45.568	9.84	-	YY	-	-	-	23.90%	-	Rctjl	Aqjul	250	250	2.93%	2.908%	23.11170
H-1	NYM	58.127	8.32	-	PPP	-	-	-	7.45%	-	Pltfc	Sfcbb	385v	385	4.28%	4.258%	84.38616
V-1V	QNN	906.930	3.51	-	XXX	-	-	-	70.00%	-	Qgkoo	Ixbvq	Pvh 130c	137	1.66%	1.628%	39.78511
M-1I	XVH	23.221	7.54	-	QQQ	-	-	-	52.70%	-	Gknvb	Qjldd	180	180	2.10%	2.058%	33.40288

More Details

Filings

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

Tranche Comments

V-1V: Registration: 144P/Cwa L; M-1I: Registration: 144W/Wqq D; A-2: Registration: 144F/Tku J; F-3: Registration: 144J/Qlz G; H-1: Registration: 144B/Kul Z;

Pricing Speed

18% IOK is f 30% Ifxx

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
M2	YNH	25.896	6.69	-	TT	-	-	EE+	59.70%	-	Xqwrs	Nlioj	-	140	3.21%	3.170%	40.53451
H3	WMZ	33.513	9.51	-	G	-	-	Q+	9.38%	-	Xuyfq	Jdlmn	-	160	3.42%	3.370%	57.24767
W1	PCO	191.888	2.80	-	UUU	-	-	KKK	80.30%	-	Gjima	Rmwbr	-	115	2.96%	2.920%	80.18904
P1	FAV	95.870	1.10	-	NNN	-	-	XXX	3.17%	-	Yzipi	Szuuo	-	235	4.20%	4.191%	10.95910

More Details

Filings

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

Tranche Comments

W1: First Pay: 2019-08-26; Registration: 144L Ebhd; M2: First Pay: 2019-08-26; Registration: 144D Qfbw; H3: First Pay: 2019-08-26; Registration: 144U Wgpt; P1: First Pay: 2019-08-26; Registration: 144G Hotx;

Pricing Speed

10-25% HYQ 48uj, 20% Hrvv

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
D3	GBF	28.862	8.56	-	X	-	-	C+	6.57%	-	Zchit	Wgwjq	-	155	3.80%	3.751%	77.48571
E1	XYS	47.440	8.48	-	NNN	-	-	AAA+	9.40%	-	Mhwtl	Rqxfc	-	250	4.76%	4.750%	13.36078
T1	CTI	473.440	4.29	-	VVV	-	-	VVV	47.73%	-	Olfsm	Inzhi	-	110	3.35%	3.301%	32.49332
Y2	TSK	18.670	7.72	-	II	-	-	ZZ+	46.10%	-	Hlvxi	Gogea	-	125	3.50%	3.451%	52.57110

More Details

Filings

ABS-15G/A, ABS-15G

Tranche Comments

T1: First Pay: 2019-06-25; Registration: 144E Qhrn; Y2: First Pay: 2019-06-25; Registration: 144B Dtfk; D3: First Pay: 2019-06-25; Registration: 144Y Ucqd; E1: First Pay: 2019-06-25; Registration: 144L Bqfv;

Pricing Speed

10-25%TBX 48iy, 20% Tfii

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
F1	FTM	657.730	9.70	-	GGG	-	-	III	-	-	Rcnur	Mfwmd	120-125	120	3.81%	3.751%	11.14904
R3	YYZ	69.156	9.20	-	U	-	-	F+	-	-	Frmjy	Stefn	160-165	160	4.21%	4.151%	20.30080
E1	WAR	6.891	8.90	-	SSS	-	-	RRR+	-	-	Fnxnh	Gvqmb	240-250	250	5.06%	5.054%	66.78592
N2	OGE	19.819	8.30	-	FF	-	-	XX+	-	-	Vvcpb	Wuyic	145p	145	4.06%	4.001%	29.81660

More Details

Filings

ABS-15G/A, EX-102

Tranche Comments

F1: Registration: 144A Yzin; N2: Registration: 144E Tdkh; R3: Registration: 144C Pkrw; E1: Registration: 144D Warc;

Pricing Speed

15-25% DSN 36pt, 20% Dyyy

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
Q-2	HFW	76.800	1.60	-	HH	-	-	NN	-	-	Iwsng	Qlqxs	-	110	4.02%	3.952%	70.94227
N-3	WAQ	21.667	1.20	-	N	-	-	I+	-	-	Stxkd	Ogwng	-	130	4.22%	4.152%	65.49261
X-1	OZR	942.677	2.60	-	AAA	-	-	AAA	-	-	Dcgha	Oexdi	-	85	3.76%	3.702%	77.90315