Arroyo Mortgage Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	MLI	43.205	8.85	-	NN	-	AA	-	36.17%	-	Atabt	R-Fakbv	340t	340	4.95%	6.436%	99.87725
I-1	NPG	872.296	2.58	-	XXX	-	CCC	-	31.70%	-	Nrsjf	X-Dmrhb	240a	240	4.95%	5.436%	74.44567
E-3	OMZ	72.905	5.82	-	I	-	L	-	83.30%	-	Ucvhj	P-Tnhib	390	390	4.95%	6.936%	97.47980
W-1	HQB	75.723	6.39	-	QQQ	-	ZZZ	-	25.90%	-	Ovfju	P-Qzbcy	525	525	4.95%	8.383%	79.61192

Filings

ABS-EE/A, ABS-EE

Tranche Comments

I-1 : First Pay: 2022-07-25; Registration: 144Y/Mxg D; O-2: First Pay: 2022-07-25; Registration: 144P/Pfz A; E-3: First Pay: 2022-07-25; Registration: 144U/Rvy S; W-1: First Pay: 2022-07-25; Registration: 144M/Bsz K; Comments: Mlozgi ao 7/8/2022;

Pricing Speed

20 JCO uo 4 Kqtk Jtaa

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
Q3	EQG	29.230	8.89	-	G	-	W	-	12.20%	-	Jmvsf	Hylwm	-	215	3.65%	3.986%	24.68837
I1I	MOD	645.128	2.32	-	WWW	-	VVV	-	60.60%	-	Wmvxp	IRZR	-	105	2.50%	2.396%	58.43348
A1P	VQM	16.640	4.41	-	VVV	-	WWW	-	18.80%	-	Kjnsx	Qhjeo	-	140	3.27%	3.232%	23.97959
P1	GGB	89.676	6.86	-	GGG	-	GGG	-	5.38%	-	Drxhh	Ugqfy	-	275	3.65%	4.586%	47.63181
C2	MLR	61.663	8.28	-	WW	-	DD	-	23.90%	-	Otpwy	Wrici	-	175	3.63%	3.586%	77.92361

Filings

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

Tranche Comments

I1I: Registration: 144A/Zfv H; A1P: Registration: 144W/Zfm E; C2: Registration: 144U/Xhg Z; Q3: Registration: 144T/Xhu J; P1: Registration: 144B/Vbf M;

Pricing Speed

20 QNA vt 4 ozmo imss

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
I1	TJS	70.522	4.97	-	MMM	-	VVV	-	4.49%	-	Wrlqg	Nhlti	-	185	2.67%	2.639%	84.39384
L3	OHH	18.763	9.21	-	YY	-	R	-	9.55%	-	Zcgmp	Rhmiq	-	120	1.64%	1.592%	75.75210
O1	OSY	8.657	3.50	-	DD	-	PP	-	1.30%	-	Gurtb	Rhqbb	-	265	3.48%	3.439%	83.75664
N2	TYC	8.976	7.70	-	I	-	S	-	6.80%	-	DGM	-	-	-	-	-	Retained
H1	YZR	436.372	6.26	-	QQQ	-	WWW	-	12.90%	-	Ugigp	Vvcoe	-	75	1.18%	1.142%	63.27683
P2	VKA	57.608	3.69	-	CC+	-	TT	-	3.20%	-	Dmutv	Wrikn	-	105	1.48%	1.442%	42.35888

Filings

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

Tranche Comments

H1: Registration: 144N/Zsi Q; P2: Registration: 144F/Uik Y; L3: Registration: 144X/Czf F; I1: Registration: 144O/Ztg B; O1: Registration: 144M/Uah I; N2: Registration: 144A/Tjc L;

Pricing Speed

25 CPY ri 30% ojykf fp okjj

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
H-1H	QNC	731.520	3.61	-	MMM	-	-	-	97.00%	-	Yobug	Kuhnf	Kic 130i	137	1.66%	1.628%	71.98768
N-3	KSD	28.473	3.13	-	U	-	-	-	6.62%	-	Jtxue	Keimd	290r	290	3.33%	3.308%	25.35092
Q-2	YSC	40.396	3.83	-	QQ	-	-	-	90.20%	-	Pzupv	Vregs	250	250	2.93%	2.908%	58.41351
C-1	YNP	82.657	6.59	-	NNN	-	-	-	7.66%	-	Kubam	Covce	385k	385	4.28%	4.258%	97.79075
Z-1J	KTP	53.833	2.22	-	LLL	-	-	-	73.20%	-	Gnhqs	Nkfku	180	180	2.10%	2.058%	10.34246

Filings

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

Tranche Comments

H-1H: Registration: 144T/Avh I; Z-1J: Registration: 144I/Rmw P; Q-2: Registration: 144Y/Ksu L; N-3: Registration: 144W/Mvw B; C-1: Registration: 144J/Iyq K;

Pricing Speed

18% SOW wk x 30% Sxll

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
N3	RSJ	54.855	6.22	-	P	-	-	N+	8.13%	-	Hgmah	Umqod	-	160	3.42%	3.370%	37.52572
K1	INT	61.236	2.90	-	WWW	-	-	III	6.81%	-	Obroy	Xtalj	-	235	4.20%	4.191%	69.76470
P2	NEI	90.636	5.36	-	KK	-	-	LL+	11.50%	-	Rnjgl	Sdflc	-	140	3.21%	3.170%	29.20748
D1	FVJ	707.681	3.40	-	FFF	-	-	OOO	67.97%	-	Zglsl	Njdjq	-	115	2.96%	2.920%	44.82246

Filings

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

Tranche Comments

D1: First Pay: 2019-08-26; Registration: 144H Ojpi; P2: First Pay: 2019-08-26; Registration: 144T Gnvf; N3: First Pay: 2019-08-26; Registration: 144D Vkmy; K1: First Pay: 2019-08-26; Registration: 144X Btlz;

Pricing Speed

10-25% ZYA 48jp, 20% Zioo

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
G3	MVZ	51.942	7.51	-	K	-	-	M+	2.88%	-	Zqvva	Lghda	-	155	3.80%	3.751%	68.41722
T1	YVU	883.197	4.21	-	RRR	-	-	KKK	20.97%	-	Sunze	Ggmet	-	110	3.35%	3.301%	26.80259
Y2	JIN	50.460	9.38	-	YY	-	-	BB+	90.20%	-	Jospv	Cmfrv	-	125	3.50%	3.451%	80.45700
E1	NRL	65.240	5.50	-	HHH	-	-	HHH+	2.90%	-	Yutgj	Utnes	-	250	4.76%	4.750%	83.43986

Filings

EX-102, ABS-EE/A

Tranche Comments

T1: First Pay: 2019-06-25; Registration: 144L Hddm; Y2: First Pay: 2019-06-25; Registration: 144Y Mvtd; G3: First Pay: 2019-06-25; Registration: 144Q Lfrr; E1: First Pay: 2019-06-25; Registration: 144T Magn;

Pricing Speed

10-25%MMA 48dq, 20% Mvpp

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
I1	VPJ	918.120	7.30	-	XXX	-	-	QQQ	-	-	Htjlz	Uxgod	120-125	120	3.81%	3.751%	21.97769
B3	TWR	58.540	2.20	-	K	-	-	N+	-	-	Tmqqh	Slhnc	160-165	160	4.21%	4.151%	60.92700
N1	FKW	2.277	3.10	-	GGG	-	-	WWW+	-	-	Ihycw	Xjfqk	240-250	250	5.06%	5.054%	18.56391
O2	ZRF	81.912	1.40	-	VV	-	-	MM+	-	-	Wztay	Fhavx	145o	145	4.06%	4.001%	49.88690

Filings

EX-103, EX-103

Tranche Comments

I1: Registration: 144U Mtfx; O2: Registration: 144X Iuwk; B3: Registration: 144R Lqjx; N1: Registration: 144Q Veth;

Pricing Speed

15-25% LPV 36fz, 20% Lspp

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
R-1	WMF	421.401	9.90	-	SSS	-	-	NNN	-	-	Jvmld	Erbkp	-	85	3.76%	3.702%	23.69649
O-2	PBM	99.431	8.90	-	OO	-	-	KK	-	-	Rjlwd	Slzvn	-	110	4.02%	3.952%	11.69732
H-3	BRZ	79.708	8.90	-	Y	-	-	A+	-	-	Dnhga	Eyrfc	-	130	4.22%	4.152%	27.47354