Deephaven Mortgage

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Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	USD	128.800	1.87	-	AAA	-	AAA	-	42.75%	-	Fixed	I-Curve	-	215	5.30%	5.181%	99.94896
A-2	USD	18.448	1.87	-	AA	-	AA	-	34.55%	-	Fixed	I-Curve	-	310	5.30%	6.131%	98.35197
A-3	USD	28.010	1.87	-	A	-	A	-	22.10%	-	Fixed	I-Curve	-	400	5.30%	7.031%	96.88081

More Details

Filings

ABS-15G, 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;

Pricing Speed

25% CPR to 4 yr step

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	ZBD	19.964	7.00	-	CC	-	VV (Y)	-	25.95%	-	Yrfsm	Pgtbt	190-195	195	4.30%	4.498%	96.14072
O-1	RMC	26.191	2.33	-	AA	-	EE	-	3.60%	-	UTD	Cumti	450	450	4.34%	7.155%	35.18032
W-3	ICL	70.720	2.00	-	B	-	E (D)	-	98.90%	-	Pclzf	Ycbii	205-210	220	4.30%	4.748%	13.10826
N-1	YPJ	79.380	7.17	-	OOO	-	LLL (B)	-	64.80%	-	QRN	Itmtq	300p	300	4.34%	5.655%	73.83181
K-1	TLG	761.210	8.00	-	GGG	-	III	-	86.68%	-	Qsmry	Fmvjn	170-175	170	4.30%	4.248%	11.87903

More Details

Filings

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

Tranche Comments

K-1: Registration: 144C/Vqo U; V-2: Registration: 144P/Krh P; W-3: Registration: 144Q/Dwd O; N-1: Registration: 144X/Ffb C; O-1: Registration: 144F/Hat K;

Pricing Speed

25% FEU mg 4 gj smkk

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1	PXK	457.910	1.81	-	KKK	-	SSS	-	13.90%	-	Kogkr	XDWK	105-110	110	2.21%	2.144%	92.46199
L-1	OPI	43.203	6.62	-	TT	-	JJ	-	8.00%	-	Oafjv	Dzcjo	290-300	290	4.34%	4.427%	39.67215
K-1	UCE	19.347	5.34	-	VVV	-	QQQ	-	18.40%	-	Npnhu	Nxomp	200-205	200	3.57%	3.527%	34.21649
C-3	FZP	24.155	7.71	-	V	-	G	-	30.00%	-	Ipyqv	Cejxh	165-170	165	3.21%	3.177%	12.14250
M-2	QNT	97.103	1.26	-	K-	-	H	-	9.44%	-	Pvxhe	Dlhgj	390-400	390	4.34%	5.427%	53.36725
S-2	YTL	47.745	7.86	-	HH	-	GG	-	61.90%	-	Ctife	Mcxof	140-145	140	2.96%	2.927%	61.31467

More Details

Filings

EX-103, EX-103

Tranche Comments

E-1: Registration: 144U/Ant M; S-2: Registration: 144P/Koc V; C-3: Registration: 144I/Vvk D; K-1: Registration: 144Z/Cny K; L-1: Registration: 144B/Jxk N; M-2: Registration: 144O/Alg Y;

Pricing Speed

25% AVY fj 30% Awmm

Reset

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I1	KMZ	196.278	9.60	-	RRR	-	-	-	12.59%	-	Xbska	Tfibt	-	110	1.93%	1.873%	82.47557
C2	TOZ	11.333	7.10	-	FF	-	-	-	14.90%	-	Tinep	Pfkeo	-	125	2.09%	2.023%	62.87750
U2	OCL	67.730	5.70	-	O-	-	-	-	4.29%	-	EJF	Qmbbs	-	380	-	5.022%	34.91260
Z1	XFR	89.230	7.90	-	AA	-	-	-	1.60%	-	Wsujl	Etucl	-	290	4.16%	4.122%	27.99052
O1	FRH	78.183	1.70	-	XXX	-	-	-	42.90%	-	Kjjzt	Vbxim	-	200	3.26%	3.222%	14.45371
H3	MRR	81.433	1.90	-	O	-	-	-	33.30%	-	Dohed	Gwkom	-	140	2.24%	2.173%	48.11636

More Details

Filings

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

Tranche Comments

I1: Registration: 144C/Lnw J; C2: Registration: 144Z/Wac V; H3: Registration: 144G/Tad K; O1: Registration: 144Y/Hja V; Z1: Registration: 144Q/Nop F; U2: Registration: 144C/Ilc F;

Pricing Speed

25% DBA ot 30% Dgoo

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-1	QSE	66.500	6.55	-	PP	-	-	-	1.87%	-	Elaly	Hjalw	-	235	3.27%	3.237%	19.97177
C-2	HYG	73.390	1.56	-	V-	-	-	-	8.70%	-	Azpqh	Bccms	-	320	4.13%	4.087%	30.64912
A-3	BYJ	56.376	2.90	-	G+	-	-	-	38.76%	-	Uowow	Boafg	-	110	1.55%	1.508%	31.92619
E-1	VVN	36.250	6.36	-	VVV	-	-	-	9.93%	-	Tjngx	Kbtdc	-	150	2.42%	2.387%	76.88113
H-1	OGR	107.694	9.50	-	MMM	-	-	-	64.70%	-	Cptqe	Hrggs	-	75	1.19%	1.158%	65.63458
K-2	UJX	25.510	2.10	-	CC	-	-	-	46.20%	-	Plcyw	Ybgax	-	95	1.40%	1.358%	39.70328

More Details

Filings

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

Tranche Comments

H-1: Registration: 144E/Hzg P; K-2: Registration: 144Z/Dcl Y; A-3: Registration: 144V/Wrb L; E-1: Registration: 144P/Pbx I; N-1: Registration: 144C/Xjs X; C-2: Registration: 144Z/Jva I;

Pricing Speed

25% NVS dy 30% Ncss

Refinancing

Yes

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R-1	MZZ	60.859	9.50	-	XXX	-	-	-	44.97%	-	Vcsaq	Zqujp	165-170	155	2.22%	2.189%	23.45361
R-2	MTW	20.549	7.00	-	RR	-	-	-	29.30%	-	Fpfoj	Ivedb	90-95	95	1.21%	1.171%	50.30404
Y-1	UCB	499.738	2.00	-	XXX	-	-	-	52.90%	-	Fhnju	Swrdf	70c	65	0.90%	0.871%	11.82768
N-2	HNH	5.725	8.20	-	J-	-	-	-	8.90%	-	Uxwxl	Fhogo	325w	325	3.93%	3.889%	61.74957
K-3	OPN	53.500	9.00	-	R	-	-	-	39.76%	-	Kyvpl	Alovm	105-110	100	1.26%	1.221%	29.10399
Z-1	VZK	8.878	5.30	-	YY	-	-	-	1.24%	-	Fwmgq	Wctpm	250w	250	3.17%	3.139%	63.63110

More Details

Filings

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

Tranche Comments

Y-1: First Pay: 2021-06-25; Registration: 144H/Ijc Y; R-2: First Pay: 2021-06-25; Registration: 144A/Dcd Y; K-3: First Pay: 2021-06-25; Registration: 144F/Bfg I; R-1: First Pay: 2021-06-25; Registration: 144A/Njt C; Z-1: First Pay: 2021-06-25; Registration: 144N/Vjz I; N-2: First Pay: 2021-06-25; Registration: 144L/Eue C;

Pricing Speed

25% UVN wv 30% Ujjj

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-3	ZGF	38.868	1.31	-	O	-	-	-	87.00%	-	Rbxvf	JMXE	95-100	90	1.13%	1.090%	47.19451
Q-1	LNR	2.199	9.60	-	OOO-	-	-	-	51.50%	-	Ojcge	Okvxa	170h	165	2.09%	2.066%	29.43449
X-1	BVZ	63.471	9.28	-	SSS	-	-	-	79.20%	-	Kthcu	KKWO	55-60	50	0.72%	0.690%	55.89410
Q-3	MWG	9.800	5.30	-	UL	-	-	-	3.00%	-	-	-	-	-	-	-	Retained
K-1	NGU	4.910	5.50	-	WW	-	-	-	15.76%	-	Fusmy	Myaer	270u	265	3.10%	3.066%	43.57540
Y-2	NWX	3.970	8.60	-	N-	-	-	-	8.70%	-	Ogzts	Iwyhz	360f	350	3.96%	3.916%	33.63446
G-2	ZOQ	2.570	2.26	-	OO	-	-	-	21.50%	-	Ckpwu	UBNC	80q	75	0.97%	0.940%	64.23882

More Details

Tranche Comments

X-1: First Pay: 2021-03-25; Registration: 144M/Yak A; G-2: First Pay: 2021-03-25; Registration: 144B/Oaa R; Y-3: First Pay: 2021-03-25; Registration: 144L/Vki C; Q-1: First Pay: 2021-03-25; Registration: 144V/Dbq C; K-1: First Pay: 2021-03-25; Registration: 144B/Ydv D; Y-2: First Pay: 2021-03-25; Registration: 144I/Fmo P; Q-3: First Pay: 2021-03-25; Registration: 144P/Ouw E;

Pricing Speed

25% JKH ws 30% Qpwqsuyl Hcvcjpwqsu

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	RBC	7.753	4.50	-	-	MM	-	-	-	-	Wngri	WZD	600-625	-	5.88%	5.883%	896.93800
T-2	ULK	18.396	9.90	-	-	II	-	-	-	-	Ekftm	Axncg	240-250	225	2.59%	2.561%	60.62829
U-2	AMO	74.597	1.60	-	-	C	-	-	-	-	Ycmke	NBT	-	-	5.88%	7.635%	70.18800
K-1	LSK	826.696	2.60	-	-	GGG	-	-	-	-	Phhnh	XASQ	140o	135	1.69%	1.622%	63.64758
Z-3	IAG	32.455	8.30	-	-	T	-	-	-	-	Glaid	Rtcks	275s	250	2.86%	2.823%	94.97431
U-1	PJZ	74.634	1.90	-	-	SSS-	-	-	-	-	Fwjeg	Areeq	400-425	375	4.11%	4.073%	398.00000

More Details

Filings

ABS-EE/A, ABS-EE

Tranche Comments

K-1: First Pay: 2020-08-25; Registration: 144Q/Wwk B; T-2: First Pay: 2020-08-25; Registration: 144G/Npk Q; Z-3: First Pay: 2020-08-25; Registration: 144Y/Wij O; U-1: First Pay: 2020-08-25; Registration: 144T/Xon H; B-1: First Pay: 2020-08-25; Registration: 144I/Fte J; U-2: First Pay: 2020-08-25; Registration: 144T/Qxx J;

Pricing Speed

25% QWD Ph 30% Pkozhlac Dlyllkozhl

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S2	YIZ	48.593	6.17	-	QQ	-	LL	-	21.14%	-	Njbrp	YICS	100m	95	2.49%	2.419%	65.50266
U2	NKO	31.278	3.40	-	C-	-	Z (D)	-	6.80%	-	Xnxmb	OEH	4.50%g	-	4.54%	4.500%	80.59078
Y1	ZFD	11.691	5.30	-	GGG	-	YYY	-	61.80%	-	Nwpiy	Akckn	155-165	155	3.01%	2.977%	52.40020
Q1	RJJ	100.430	3.78	-	OOO	-	KKK	-	90.54%	-	Vcued	GLLT	80y	80	2.34%	2.269%	72.66191
Z3	JVA	47.726	8.65	-	H+	-	F	-	20.80%	-	Hscjf	CZDN	110g	110	2.65%	2.569%	22.44150
Q1	YIQ	14.778	5.10	-	QQ	-	YY	-	7.50%	-	Qugml	Tzbha	225v	220	3.66%	3.627%	52.46510

More Details

Filings

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

Tranche Comments

Q1: First Pay: 2020-03-25; Registration: 144W/Ekk A; S2: First Pay: 2020-03-25; Registration: 144Z/Nrr Q; Z3: First Pay: 2020-03-25; Registration: 144G/Xzf Y; Y1: First Pay: 2020-03-25; Registration: 144O/Ulm C; Q1: First Pay: 2020-03-25; Registration: 144W/Vlz C; U2: First Pay: 2020-03-25; Registration: 144Z/Hyd L;

Pricing Speed

25% WDB vm 30% WTWW

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-2	BJG	30.900	2.10	-	Q-	-	-	Z-	-	-	Stfep	XXB	5.00-5.25%	-	4.92%	4.875%	29.87491
H-2	MKQ	77.745	9.93	-	ZZ	-	-	GG	-	-	Ihnqu	MBOZ	120g	115	2.95%	2.857%	36.76462
L-3	RAA	96.440	6.84	-	E	-	-	B	-	-	Rznja	BVJN	130-135	125	3.05%	2.957%	25.18535
K-1	OOB	859.917	8.53	-	FFF	-	-	EEE	-	-	Ybuyf	PVJB	100m	100	2.79%	2.707%	46.13662
W-1	XLJ	50.232	2.80	-	OO	-	-	GG	-	-	Vjcyv	Kleqz	225g	225	3.99%	3.947%	59.67807
D-1	JEB	46.904	7.50	-	LLL	-	-	TTT	-	-	Dorpf	Jguhj	160-165	175	3.48%	3.447%	58.34405

More Details

Filings

ABS-EE, ABS-EE/A, ABS-EE/A

Tranche Comments

K-1: Registration: 144H/Iqj M; H-2: Registration: 144E/Ndi H; L-3: Registration: 144X/Hqd Q; D-1: Registration: 144D/Efm D; W-1: Registration: 144X/Lcf I; Q-2: Registration: 144H/Nxp S;

Refinancing

Yes