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| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A-1 | USD | 81.138 | 0.29 | - | - | F1+ | - | K1+ | 32.50% | - | Fixed | I-Curve | 22-24 | 20 | 5.567% | 5.567% | 100.00000 |
| A-2 | USD | 171.497 | 1.55 | - | - | AAA | - | AAA | 32.50% | - | Fixed | I-Curve | 120-130 | 105 | 5.59% | 5.661% | 99.99206 |
| B | USD | 12.540 | 2.63 | - | - | AA | - | AA+ | 29.10% | - | Fixed | I-Curve | 150-160 | 135 | 5.58% | 5.647% | 99.99585 |
| C | USD | 27.292 | 2.91 | - | - | A | - | A+ | 21.70% | - | Fixed | I-Curve | 185-200 | 165 | 5.81% | 5.886% | 99.98635 |
| D | USD | 21.944 | 3.00 | - | - | BBB | - | BBB+ | 15.75% | - | Fixed | I-Curve | 285-300 | 265 | 6.77% | 6.875% | 99.97678 |
| E | USD | 20.838 | 3.00 | - | - | BB | - | BB+ | 10.10% | - | Fixed | I-Curve | 620-635 | 605 | 8.50% | 10.275% | 95.96703 |
Tranche Comments
A-1: First Pay: 2024-03-15; Registration: 144A/Reg S;
A-2: First Pay: 2024-03-15; Registration: 144A/Reg S;
B: First Pay: 2024-03-15; Registration: 144A/Reg S;
C: First Pay: 2024-03-15; Registration: 144A/Reg S;
D: First Pay: 2024-03-15; Registration: 144A/Reg S;
E: First Pay: 2024-03-15; Registration: 144A Only;
Risk Retention
US - Yes; EU - No
Pricing Speed
5% CPR to 15% Call
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| U | ISW | 61.468 | 2.47 | - | - | - | VV | CC | - | - | Xaxkb | U-Zcbgc | 515-525 | 525 | 6.00% | 8.282% | 63.59397 |
| C | AOG | 11.720 | 9.60 | - | - | - | II | II | - | - | Atmxs | E-Mtdla | 210-220 | 220 | 5.15% | 5.215% | 23.64670 |
| N-1 | FFF | 436.180 | 7.31 | - | - | - | HHH | TTT | - | - | Garqy | F-Rjgvu | 140-150 | 150 | 3.76% | 3.790% | 25.77680 |
| B | EEL | 40.981 | 3.58 | - | - | - | O | M | - | - | Zpfit | M-Tdgwu | 240-250 | 250 | 5.46% | 5.524% | 70.48265 |
| J | PXX | 12.435 | 6.10 | - | - | - | HHH | FFF | - | - | Rkpuf | P-Ftnvz | 315-325 | 325 | 6.00% | 6.282% | 89.30853 |
| X-2 | HQB | 33.000 | 8.35 | - | - | - | UUU | AAA | - | - | Ovyza | S-Wxmpi | 190-200 | 200 | 4.88% | 4.934% | 27.23730 |
Tranche Comments
N-1: First Pay: 2022-07-15; Registration: 144K/Efq X;
X-2: First Pay: 2022-07-15; Registration: 144V/Wub Y;
C: First Pay: 2022-07-15; Registration: 144V/Xfe O;
B: First Pay: 2022-07-15; Registration: 144B/Utj W;
J: First Pay: 2022-07-15; Registration: 144P/Alr Y;
U: First Pay: 2022-07-15; Registration: 144V Nfoh;
| Class | CCY | SZE(M) | WAL | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| T-2 | GWH | 37.400 | 4.42 | - | - | - | WWW | FFF | - | - | Qnqvp | BEJI | 55b | 52 | 0.74% | 0.749% | 16.75134 |
| S | IBL | 16.170 | 8.46 | - | - | - | BB | BB | - | - | Qzwkq | Zuids | 95-105 | 85 | 1.21% | 1.218% | 45.91667 |
| E | OOB | 53.923 | 9.50 | - | - | - | III | EEE | - | - | Lhhls | Litme | 140-150 | 130 | 1.69% | 1.703% | 42.73227 |
| V | GQQ | 15.707 | 8.40 | - | - | - | II | LL | - | - | Ocgfr | Wohng | 415-425 | 400 | 4.36% | 4.403% | 56.19651 |
| B | BPY | 87.629 | 2.15 | - | - | - | N | T | - | - | Gnyyq | Fompf | 110-120 | 100 | 1.39% | 1.395% | 40.82489 |
| L-1 | QHJ | 612.600 | 1.50 | - | - | - | BBB | VVV | - | - | Ljkfz | ELHB | 37-40 | 35 | 0.50% | 0.501% | 21.74188 |
Tranche Comments
L-1 : First Pay: 2021-06-15; Registration: 144B/Twd F;
T-2: First Pay: 2021-06-15; Registration: 144O/Ryv J;
S: First Pay: 2021-06-15; Registration: 144J/Jks K;
B: First Pay: 2021-06-15; Registration: 144V/Gtm S;
E: First Pay: 2021-06-15; Registration: 144K/Ujs J;
V: First Pay: 2021-06-15; Registration: 144T Rkgm;