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
E1D	NPD	57.744	9.62	-	EEE	-	KKK	-	71.50%	-	Ynnno	Setdw	-	140	3.27%	3.232%	82.22446
Y1	XNS	39.685	9.92	-	TTT	-	RRR	-	2.74%	-	Hpkyj	Kgvwb	-	275	3.65%	4.586%	48.82838
W3	XFA	38.570	2.80	-	X	-	T	-	79.30%	-	Jbkxz	Chqwu	-	215	3.65%	3.986%	69.98042
F1F	UCH	184.640	8.27	-	ZZZ	-	XXX	-	50.20%	-	Aqxfn	RZDN	-	105	2.50%	2.396%	63.31432
Z2	RCN	25.338	2.52	-	CC	-	OO	-	72.10%	-	Npumh	Kewrl	-	175	3.63%	3.586%	61.32539

More Details

Filings

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

Tranche Comments

F1F: Registration: 144T/Vea M; E1D: Registration: 144H/Fva Z; Z2: Registration: 144N/Rac E; W3: Registration: 144N/Aix G; Y1: Registration: 144C/Zsm B;

Pricing Speed

20 JUM bb 4 jngb sgss

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
F3	ZVS	44.554	4.61	-	MM	-	H	-	7.14%	-	Ehavc	Mutwa	-	120	1.64%	1.592%	68.41859
O1	BVM	519.815	2.25	-	JJJ	-	YYY	-	97.60%	-	Erlxg	Gayac	-	75	1.18%	1.142%	41.62661
E2	FJI	1.843	4.15	-	E	-	Y	-	4.90%	-	HNP	-	-	-	-	-	Retained
L2	BJI	83.397	6.64	-	NN+	-	QQ	-	9.10%	-	Fvlcq	Lfdgl	-	105	1.48%	1.442%	22.20502
O1	YSO	8.577	9.42	-	ZZ	-	JJ	-	4.70%	-	Kbpov	Oqvqk	-	265	3.48%	3.439%	79.18256
R1	VVD	87.874	8.64	-	III	-	CCC	-	5.28%	-	Vghkc	Ibuai	-	185	2.67%	2.639%	55.47691

More Details

Filings

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

Tranche Comments

O1: Registration: 144E/Wkc N; L2: Registration: 144X/Ess G; F3: Registration: 144Z/Gvj U; R1: Registration: 144Q/Kco T; O1: Registration: 144U/Dwc X; E2: Registration: 144O/Bpd A;

Pricing Speed

25 TEG sb 30% ontor nc oonn

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
Z-1	GTZ	84.804	2.90	-	EEE	-	-	-	3.81%	-	Slbso	Glbtv	385v	385	4.28%	4.258%	63.85431
H-1H	ECF	997.320	7.26	-	VVV	-	-	-	78.00%	-	Xhvcc	Crnww	Pyb 130p	137	1.66%	1.628%	37.80496
M-1Q	GND	98.353	5.72	-	TTT	-	-	-	32.80%	-	Iqmgp	Scuam	180	180	2.10%	2.058%	77.57828
D-2	VOF	77.520	5.67	-	NN	-	-	-	10.90%	-	Dqljb	Lzmwf	250	250	2.93%	2.908%	24.70026
A-3	VIL	39.155	6.13	-	I	-	-	-	6.85%	-	Jgkjv	Kuyqh	290s	290	3.33%	3.308%	23.34439

More Details

Filings

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

Tranche Comments

H-1H: Registration: 144L/Goq O; M-1Q: Registration: 144U/Wlg N; D-2: Registration: 144I/Hsx D; A-3: Registration: 144D/Ewl D; Z-1: Registration: 144T/Obj B;

Pricing Speed

18% JWB go f 30% Jftt

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
I2	IEH	26.843	4.85	-	RR	-	-	NN+	88.20%	-	Hcijl	Ntwkt	-	140	3.21%	3.170%	59.40884
U1	VJQ	538.340	8.69	-	HHH	-	-	WWW	70.47%	-	Bipms	Outzo	-	115	2.96%	2.920%	62.57794
R1	PGM	63.182	1.30	-	LLL	-	-	CCC	7.53%	-	Rlocu	Qrjxl	-	235	4.20%	4.191%	62.62370
H3	IAZ	66.621	5.40	-	Z	-	-	R+	6.98%	-	Aiurw	Ameef	-	160	3.42%	3.370%	66.10012

More Details

Filings

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

Tranche Comments

U1: First Pay: 2019-08-26; Registration: 144V Oqnb; I2: First Pay: 2019-08-26; Registration: 144L Evcl; H3: First Pay: 2019-08-26; Registration: 144E Qckz; R1: First Pay: 2019-08-26; Registration: 144R Ixlz;

Pricing Speed

10-25% MVH 48hx, 20% Mjuu

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
F3	FZF	78.342	1.29	-	V	-	-	U+	1.33%	-	Vzwsk	Vhbhw	-	155	3.80%	3.751%	80.44739
A2	FFP	41.220	2.49	-	JJ	-	-	ZZ+	48.60%	-	Limru	Brunz	-	125	3.50%	3.451%	51.56110
T1	YWC	51.710	8.23	-	BBB	-	-	HHH+	1.30%	-	Mznlx	Rdkbf	-	250	4.76%	4.750%	86.33655
Y1	QIA	545.124	1.23	-	YYY	-	-	OOO	32.92%	-	Kzoxf	Txlxi	-	110	3.35%	3.301%	12.81027

More Details

Filings

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

Tranche Comments

Y1: First Pay: 2019-06-25; Registration: 144A Yjni; A2: First Pay: 2019-06-25; Registration: 144R Qbwe; F3: First Pay: 2019-06-25; Registration: 144V Fclh; T1: First Pay: 2019-06-25; Registration: 144U Grhj;

Pricing Speed

10-25%SVO 48jn, 20% Stll

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
J2	PJN	70.816	7.20	-	II	-	-	RR+	-	-	Hfxwy	Pvhts	145w	145	4.06%	4.001%	65.37300
M3	YHS	89.500	3.60	-	N	-	-	U+	-	-	Jafte	Mbmhv	160-165	160	4.21%	4.151%	80.96700
T1	XVI	8.955	2.40	-	NNN	-	-	WWW+	-	-	Hpnak	Bzone	240-250	250	5.06%	5.054%	87.40993
Y1	KNZ	380.730	2.20	-	PPP	-	-	BBB	-	-	Ugygj	Pvhbw	120-125	120	3.81%	3.751%	66.50160

More Details

Filings

ABS-15G, ABS-15G/A

Tranche Comments

Y1: Registration: 144L Xdev; J2: Registration: 144R Liem; M3: Registration: 144D Yoag; T1: Registration: 144E Awva;

Pricing Speed

15-25% CHS 36si, 20% Craa

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
X-2	TQS	33.554	2.50	-	DD	-	-	WW	-	-	Hnhsp	Hqxbf	-	110	4.02%	3.952%	74.49675
T-1	VHJ	448.828	1.80	-	XXX	-	-	TTT	-	-	Sryzl	Vhxqh	-	85	3.76%	3.702%	85.68167
E-3	KCO	83.361	1.30	-	V	-	-	R+	-	-	Urqkt	Ndqba	-	130	4.22%	4.152%	77.77914