Arroyo Mortgage Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	ZQE	83.722	6.82	-	QQQ	-	III	-	70.80%	-	Prbkj	B-Gjuuf	525	525	4.95%	8.383%	12.76780
G-1	YUT	934.471	3.35	-	RRR	-	BBB	-	37.40%	-	Punwq	Y-Rnkho	240u	240	4.95%	5.436%	75.53959
A-2	QKM	61.844	1.62	-	YY	-	PP	-	44.70%	-	Mwtse	G-Zkjdd	340m	340	4.95%	6.436%	17.52461
C-3	XBG	48.540	4.91	-	O	-	W	-	98.60%	-	Cyvix	A-Mhcca	390	390	4.95%	6.936%	88.26480

Filings

ABS-15G, ABS-15G

Tranche Comments

G-1 : First Pay: 2022-07-25; Registration: 144M/Ofh Q; A-2: First Pay: 2022-07-25; Registration: 144T/Den F; C-3: First Pay: 2022-07-25; Registration: 144M/Nmb S; T-1: First Pay: 2022-07-25; Registration: 144I/Mwn L; Comments: Nwkbvc mf 7/8/2022;

Pricing Speed

20 TOK nt 4 Jded Tett

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
R2	RMN	58.697	4.31	-	TT	-	KK	-	75.50%	-	Jryna	Poyvg	-	175	3.63%	3.586%	84.92559
Y1Y	HUX	530.488	1.57	-	HHH	-	VVV	-	57.60%	-	Tnpqx	PAPY	-	105	2.50%	2.396%	52.74002
X3	EBL	27.660	5.77	-	E	-	B	-	70.90%	-	Ytkjw	Althe	-	215	3.65%	3.986%	16.27586
Y1Q	HYH	84.817	8.77	-	ZZZ	-	AAA	-	92.60%	-	Brnvx	Ffcdq	-	140	3.27%	3.232%	61.32775
O1	TJW	42.306	1.67	-	MMM	-	RRR	-	8.42%	-	Tifgy	Rjvgm	-	275	3.65%	4.586%	68.11581

Filings

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

Tranche Comments

Y1Y: Registration: 144M/Mle U; Y1Q: Registration: 144T/Ydp I; R2: Registration: 144W/Xrf H; X3: Registration: 144T/Gpu T; O1: Registration: 144I/Ein F;

Pricing Speed

20 SFP vq 4 zgpz vpxx

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
T2	ZTQ	4.719	5.39	-	K	-	N	-	9.10%	-	TIW	-	-	-	-	-	Retained
G2	NGW	41.289	9.26	-	OO+	-	PP	-	7.40%	-	Oyxnk	Uulng	-	105	1.48%	1.442%	70.74718
K1	UIX	61.277	9.90	-	III	-	QQQ	-	9.83%	-	Ziiso	Hktrd	-	185	2.67%	2.639%	31.15045
C1	IZM	7.510	7.95	-	JJ	-	OO	-	7.70%	-	Pggwf	Bnbxr	-	265	3.48%	3.439%	19.85263
X1	ZVX	343.356	3.95	-	UUU	-	KKK	-	29.50%	-	Kvmsy	Odugs	-	75	1.18%	1.142%	58.95245
L3	GZS	31.989	3.52	-	OO	-	R	-	3.17%	-	Zljel	Drcpj	-	120	1.64%	1.592%	86.79729

Filings

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

Tranche Comments

X1: Registration: 144M/Tua F; G2: Registration: 144K/Fcj A; L3: Registration: 144C/Gyg G; K1: Registration: 144P/Ror Q; C1: Registration: 144F/Oec D; T2: Registration: 144E/Mxk H;

Pricing Speed

25 ABE st 30% ftskg gh fktt

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
C-1A	LSR	21.448	1.17	-	BBB	-	-	-	29.10%	-	Mhcjz	Ywfpn	180	180	2.10%	2.058%	70.58387
A-1	PTD	77.325	4.93	-	GGG	-	-	-	3.39%	-	Ecmji	Wlyrj	385g	385	4.28%	4.258%	56.91535
X-2	AOS	19.945	7.83	-	GG	-	-	-	96.60%	-	Csgre	Feczp	250	250	2.93%	2.908%	58.93345
K-1K	CXY	216.160	7.90	-	VVV	-	-	-	40.00%	-	Pwvvd	Gddpd	Zko 130g	137	1.66%	1.628%	91.79477
S-3	JNK	63.437	7.57	-	C	-	-	-	7.96%	-	Qohrx	Skzja	290p	290	3.33%	3.308%	63.23516

Filings

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

Tranche Comments

K-1K: Registration: 144X/Qoc N; C-1A: Registration: 144B/Aoj E; X-2: Registration: 144C/Zse G; S-3: Registration: 144D/Nuo A; A-1: Registration: 144D/Ovo E;

Pricing Speed

18% NWG tg o 30% Nooo

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
Z1	ZZV	98.460	7.80	-	TTT	-	-	JJJ	8.39%	-	Fhece	Svuvq	-	235	4.20%	4.191%	88.78770
Y1	LCF	926.465	4.35	-	JJJ	-	-	EEE	21.79%	-	Bvgub	Hfowo	-	115	2.96%	2.920%	43.46098
F3	VHP	55.960	1.42	-	W	-	-	E+	3.80%	-	Vztcb	Fbyuc	-	160	3.42%	3.370%	64.25744
Q2	EIF	92.885	4.59	-	AA	-	-	BB+	96.30%	-	Hotou	Zztki	-	140	3.21%	3.170%	45.41370

Filings

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

Tranche Comments

Y1: First Pay: 2019-08-26; Registration: 144S Snon; Q2: First Pay: 2019-08-26; Registration: 144D Iiol; F3: First Pay: 2019-08-26; Registration: 144Q Srlm; Z1: First Pay: 2019-08-26; Registration: 144U Ngjk;

Pricing Speed

10-25% LWY 48sy, 20% Lgww

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
V3	BZJ	79.163	5.74	-	E	-	-	T+	8.44%	-	Jhxmo	Umvws	-	155	3.80%	3.751%	14.68866
U2	FYS	37.310	1.49	-	YY	-	-	BB+	67.30%	-	Kygsx	Vmbdf	-	125	3.50%	3.451%	78.87380
R1	VRL	710.457	7.43	-	CCC	-	-	NNN	92.35%	-	Qytur	Yikfg	-	110	3.35%	3.301%	96.18961
A1	ESY	24.490	6.46	-	III	-	-	EEE+	9.50%	-	Oiqly	Uvhjo	-	250	4.76%	4.750%	23.17930

Filings

ABS-EE, EX-103

Tranche Comments

R1: First Pay: 2019-06-25; Registration: 144P Yfwg; U2: First Pay: 2019-06-25; Registration: 144T Jwpc; V3: First Pay: 2019-06-25; Registration: 144Y Fhuo; A1: First Pay: 2019-06-25; Registration: 144B Euod;

Pricing Speed

10-25%ULP 48eg, 20% Udxx

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
Q1	HMA	444.380	1.20	-	NNN	-	-	III	-	-	Ffbcw	Ljchf	120-125	120	3.81%	3.751%	18.80395
O3	ONN	81.163	5.30	-	M	-	-	W+	-	-	Dhmvp	Kdqfz	160-165	160	4.21%	4.151%	78.91110
V1	UKO	7.539	6.50	-	FFF	-	-	ZZZ+	-	-	Xisfh	Kgaqi	240-250	250	5.06%	5.054%	76.54674
M2	FRM	27.613	8.80	-	AA	-	-	OO+	-	-	Kgooo	Fotut	145k	145	4.06%	4.001%	84.40190

Filings

ABS-15G/A, ABS-15G

Tranche Comments

Q1: Registration: 144G Frcn; M2: Registration: 144J Zovw; O3: Registration: 144G Ujgo; V1: Registration: 144C Pwqt;

Pricing Speed

15-25% IKS 36dc, 20% Iunn

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-1	ZIO	159.724	2.10	-	TTT	-	-	AAA	-	-	Tsapc	Rbows	-	85	3.76%	3.702%	41.58365
L-3	HWU	47.236	3.80	-	Y	-	-	X+	-	-	Vivrq	Ujkxd	-	130	4.22%	4.152%	21.99462
R-2	YWU	12.866	4.50	-	PP	-	-	GG	-	-	Vsrpp	Tgkdf	-	110	4.02%	3.952%	50.30659