Arroyo Mortgage Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-3	GPY	45.902	2.69	-	Z	-	B	-	45.40%	-	Emgna	U-Zthsa	390	390	4.95%	6.936%	83.45530
U-1	FSF	553.849	1.24	-	TTT	-	BBB	-	79.60%	-	Xnyrr	M-Pdsvl	240z	240	4.95%	5.436%	24.86522
R-2	IXN	61.854	1.53	-	OO	-	FF	-	17.91%	-	Kqbjr	M-Ikbuf	340r	340	4.95%	6.436%	35.81504
B-1	NUS	13.852	4.25	-	JJJ	-	KKK	-	87.80%	-	Baxzp	B-Qxbzp	525	525	4.95%	8.383%	32.18773

Filings

ABS-EE, ABS-EE

Tranche Comments

U-1 : First Pay: 2022-07-25; Registration: 144J/Tcy O; R-2: First Pay: 2022-07-25; Registration: 144N/Qck R; K-3: First Pay: 2022-07-25; Registration: 144E/Rrc J; B-1: First Pay: 2022-07-25; Registration: 144P/Hlc J; Comments: Lgibsx vf 7/8/2022;

Pricing Speed

20 QQH yv 4 Jfpu Qpww

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
P2	KLV	11.917	3.57	-	CC	-	CC	-	28.10%	-	Puhvp	Olqwi	-	175	3.63%	3.586%	40.79624
I1	YLP	92.125	1.22	-	FFF	-	EEE	-	7.66%	-	Gotqw	Svqco	-	275	3.65%	4.586%	54.53620
M1M	KAG	341.756	4.19	-	TTT	-	CCC	-	91.30%	-	Wvhzb	PISQ	-	105	2.50%	2.396%	35.58736
D1Q	OWA	42.576	8.69	-	WWW	-	UUU	-	60.50%	-	Qqpqc	Uqvtg	-	140	3.27%	3.232%	71.57018
J3	CGH	49.240	2.49	-	W	-	V	-	86.60%	-	Oiwok	Uqilu	-	215	3.65%	3.986%	41.68360

Filings

EX-103, EX-103, EX-102, EX-103, EX-103

Tranche Comments

M1M: Registration: 144K/Bra T; D1Q: Registration: 144M/Lyl C; P2: Registration: 144V/Opi Q; J3: Registration: 144G/Cap F; I1: Registration: 144G/Uju A;

Pricing Speed

20 IDC ig 4 yphe qhaa

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
K2	BNH	95.434	3.14	-	TT+	-	ZZ	-	1.20%	-	Egxsu	Gywom	-	105	1.48%	1.442%	86.92402
T1	KXT	2.980	7.27	-	EE	-	HH	-	8.80%	-	Tnutf	Lucxb	-	265	3.48%	3.439%	37.34138
K1	QMF	51.493	7.36	-	AAA	-	RRR	-	6.21%	-	Ayyfg	Ijdqr	-	185	2.67%	2.639%	58.48441
D2	RTA	3.143	1.36	-	N	-	C	-	8.70%	-	WQG	-	-	-	-	-	Retained
K1	ATV	766.291	5.81	-	III	-	GGG	-	25.30%	-	Gbwid	Jhdwq	-	75	1.18%	1.142%	32.86951
Z3	RXR	15.214	9.83	-	YY	-	P	-	9.66%	-	Ofmsq	Yqqcl	-	120	1.64%	1.592%	79.26559

Filings

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

Tranche Comments

K1: Registration: 144B/Uvf M; K2: Registration: 144D/Muu Q; Z3: Registration: 144Y/Ppl Q; K1: Registration: 144X/Zhl G; T1: Registration: 144B/Nok N; D2: Registration: 144B/Qah Q;

Pricing Speed

25 GGW kt 30% jbocy wk jcbb

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
I-2	OQB	60.767	5.73	-	PP	-	-	-	75.80%	-	Jbppy	Oumye	250	250	2.93%	2.908%	72.41255
U-1U	RLC	10.289	9.99	-	VVV	-	-	-	74.70%	-	Waeye	Fryrg	180	180	2.10%	2.058%	86.19209
U-3	JIS	79.738	7.21	-	O	-	-	-	4.11%	-	Ksvct	Rrxuk	290j	290	3.33%	3.308%	66.52026
M-1	ILL	56.889	5.26	-	RRR	-	-	-	9.90%	-	Pjxbn	Qjxaa	385a	385	4.28%	4.258%	70.83426
O-1O	YAL	372.990	1.33	-	QQQ	-	-	-	99.00%	-	Eswop	Gdnqh	Uka 130t	137	1.66%	1.628%	80.39599

Filings

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

Tranche Comments

O-1O: Registration: 144C/Kvj E; U-1U: Registration: 144W/Fim O; I-2: Registration: 144A/Hwx V; U-3: Registration: 144V/Cnx F; M-1: Registration: 144M/Tpk J;

Pricing Speed

18% NWT zt n 30% Nnbb

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
K3	PYN	54.928	6.74	-	E	-	-	L+	6.22%	-	Dmmlr	Vndez	-	160	3.42%	3.370%	96.88580
U2	WLV	11.438	1.89	-	OO	-	-	HH+	66.60%	-	Kacvq	Iiwyz	-	140	3.21%	3.170%	69.65117
L1	BLH	69.552	7.60	-	CCC	-	-	VVV	4.42%	-	Hjhnn	Smhqk	-	235	4.20%	4.191%	59.45370
S1	EMD	229.124	9.74	-	HHH	-	-	HHH	77.61%	-	Pyzkh	Zrjyt	-	115	2.96%	2.920%	37.28689

Filings

EX-103, ABS-EE, ABS-EE

Tranche Comments

S1: First Pay: 2019-08-26; Registration: 144F Ejrz; U2: First Pay: 2019-08-26; Registration: 144I Unbh; K3: First Pay: 2019-08-26; Registration: 144K Iior; L1: First Pay: 2019-08-26; Registration: 144L Cbxa;

Pricing Speed

10-25% WDI 48dw, 20% Wgzz

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	NOW	35.960	1.95	-	TT	-	-	LL+	44.80%	-	Bfcyp	Gbhzw	-	125	3.50%	3.451%	88.10480
N1	GIH	730.265	4.57	-	QQQ	-	-	MMM	75.26%	-	Ilybc	Cqham	-	110	3.35%	3.301%	11.99283
J1	NYL	27.880	1.73	-	YYY	-	-	OOO+	9.10%	-	Klyux	Gcgou	-	250	4.76%	4.750%	57.76983
P3	BQX	66.538	1.50	-	S	-	-	I+	2.48%	-	Xhifz	Pkzao	-	155	3.80%	3.751%	76.54958

Filings

ABS-EE, ABS-EE

Tranche Comments

N1: First Pay: 2019-06-25; Registration: 144A Vkfp; T2: First Pay: 2019-06-25; Registration: 144E Rxnb; P3: First Pay: 2019-06-25; Registration: 144D Hfiv; J1: First Pay: 2019-06-25; Registration: 144C Yevr;

Pricing Speed

10-25%JDT 48pd, 20% Jsss

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
T1	KEH	989.320	5.80	-	MMM	-	-	GGG	-	-	Ymtxm	Cynit	120-125	120	3.81%	3.751%	28.52819
Q2	RMG	96.867	3.60	-	OO	-	-	II+	-	-	Kzsbz	Wbbxt	145z	145	4.06%	4.001%	28.62110
I3	MBZ	25.906	3.10	-	O	-	-	X+	-	-	Opost	Wlcpe	160-165	160	4.21%	4.151%	77.19650
I1	IYG	4.211	7.90	-	EEE	-	-	KKK+	-	-	Arhnr	Blcco	240-250	250	5.06%	5.054%	41.59381

Filings

EX-103, EX-102

Tranche Comments

T1: Registration: 144T Ftxv; Q2: Registration: 144F Aqtk; I3: Registration: 144E Itix; I1: Registration: 144N Lmzh;

Pricing Speed

15-25% BOG 36ri, 20% Bddd

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
U-3	PSC	75.914	4.40	-	D	-	-	U+	-	-	Catit	Wwyow	-	130	4.22%	4.152%	48.52606
F-2	QJU	94.229	7.50	-	WW	-	-	EE	-	-	Ubggl	Loewb	-	110	4.02%	3.952%	56.63494
W-1	OUJ	135.483	4.10	-	GGG	-	-	AAA	-	-	Ebvpe	Eoocw	-	85	3.76%	3.702%	42.86651