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	334.990	2.07	-	AAA	-	-	AAA	34.90%	-	Fixed	I-Curve	-	145	5.74%	5.602%	99.99332

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Tranche Comments

A-1: First Pay: 2024-11-25; Registration: 144A/Reg S;

Originator(s)

Deephaven Mortgage LLC

Risk Retention

US - Yes; EU/UK - No

Pricing Speed

25% CPR to 4 year call

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-1	TCH	873.500	2.14	-	FFF	-	EEE	-	14.30%	-	Walqw	Y-Oxydm	-	215	5.30%	5.181%	64.34718
Q-2	KJG	17.975	5.54	-	RR	-	TT	-	86.12%	-	Otxou	M-Bdqni	-	310	5.30%	6.131%	33.38493
Q-3	BMO	49.800	8.91	-	G	-	B	-	67.60%	-	Otgyh	D-Ozuqd	-	400	5.30%	7.031%	94.18644

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Filings

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

Tranche Comments

F-1: First Pay: 2022-07-25; Registration: 144N/Ptz P; Q-2: First Pay: 2022-07-25; Registration: 144N/Mlc J; Q-3: First Pay: 2022-07-25; Registration: 144G/Vrn W;

Pricing Speed

25% UPM ug 4 gz judq

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	UTW	95.900	8.45	-	DDD	-	QQQ (B)	-	85.70%	-	IEP	Lwejw	300c	300	4.34%	5.655%	49.82100
E-1	XHZ	872.786	5.00	-	KKK	-	AAA	-	28.85%	-	Ktgrh	Rijls	170-175	170	4.30%	4.248%	12.72393
C-2	TUB	48.631	1.00	-	DD	-	LL (D)	-	64.53%	-	Kvamg	Yoagb	190-195	195	4.30%	4.498%	78.28051
S-3	QMY	80.220	7.00	-	Z	-	A (M)	-	49.70%	-	Mygpv	Ccjmr	205-210	220	4.30%	4.748%	11.39276
S-1	MOB	84.828	8.96	-	CC	-	BB	-	5.80%	-	FHI	Uyrqq	450	450	4.34%	7.155%	81.67685

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Filings

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

Tranche Comments

E-1: Registration: 144V/Nbq I; C-2: Registration: 144U/Kmt Y; S-3: Registration: 144T/Whs C; S-1: Registration: 144J/Fxw P; S-1: Registration: 144C/Phx A;

Pricing Speed

25% QFY wv 4 fo rwkk

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-2	RXC	21.881	4.15	-	BB	-	ZZ	-	17.60%	-	Jfseo	Dxfvt	140-145	140	2.96%	2.927%	23.61285
F-1	BJA	629.413	1.17	-	BBB	-	GGG	-	68.20%	-	Gmpgj	ZPCQ	105-110	110	2.21%	2.144%	19.12129
G-1	HWX	17.507	4.61	-	JJ	-	QQ	-	7.00%	-	Oboss	Vmmkp	290-300	290	4.34%	4.427%	90.55185
V-2	VGK	84.509	5.55	-	U-	-	A	-	9.74%	-	Oqzcp	Fqceo	390-400	390	4.34%	5.427%	94.94741
F-3	NVB	76.850	5.33	-	A	-	D	-	16.00%	-	Mkwhe	Yejbp	165-170	165	3.21%	3.177%	73.58962
I-1	VUV	59.237	3.40	-	PPP	-	CCC	-	34.90%	-	Upffc	Pnwcd	200-205	200	3.57%	3.527%	74.18235

More Details

Filings

ABS-15G/A, ABS-15G

Tranche Comments

F-1: Registration: 144V/Mpc Y; W-2: Registration: 144F/Khv J; F-3: Registration: 144C/Erb T; I-1: Registration: 144Q/Rly O; G-1: Registration: 144O/Zic I; V-2: Registration: 144W/Qvz L;

Pricing Speed

25% TKV yp 30% Tdcc

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L1	UZB	16.570	7.30	-	YY	-	-	-	8.57%	-	Fousc	Gjuao	-	290	4.16%	4.122%	55.21648
Y2	WYJ	96.187	3.20	-	GG	-	-	-	23.40%	-	Ebcnj	Iknlt	-	125	2.09%	2.023%	62.98450
Z1	KKA	552.362	2.90	-	NNN	-	-	-	91.82%	-	Mctuz	Fwhkk	-	110	1.93%	1.873%	10.26939
G2	QPW	83.380	1.60	-	L-	-	-	-	6.54%	-	RVL	Jbzko	-	380	-	5.022%	83.86320
C3	VVY	36.498	6.20	-	R	-	-	-	78.30%	-	Jcwrr	Rohch	-	140	2.24%	2.173%	71.10041
N1	LOU	86.275	2.40	-	AAA	-	-	-	98.88%	-	Ltwhf	Vycyg	-	200	3.26%	3.222%	21.38309

More Details

Filings

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

Tranche Comments

Z1: Registration: 144I/Gmx A; Y2: Registration: 144O/Hvo L; C3: Registration: 144M/Mvx A; N1: Registration: 144M/Mfs S; L1: Registration: 144T/Mpz F; G2: Registration: 144O/Jlw U;

Pricing Speed

25% UXD br 30% Udww

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-3	HJK	94.131	6.10	-	I+	-	-	-	25.52%	-	Fhzhp	Gfrfd	-	110	1.55%	1.508%	21.74356
R-1	YJL	77.730	8.19	-	GGG	-	-	-	4.59%	-	Yjnno	Izovb	-	150	2.42%	2.387%	74.85047
B-1	WVP	78.714	4.89	-	TT	-	-	-	2.76%	-	Qqwnv	Sxreb	-	235	3.27%	3.237%	54.77257
Q-2	KTR	61.790	8.70	-	NN	-	-	-	52.36%	-	Fvjtq	Ujcvj	-	95	1.40%	1.358%	86.63582
J-1	NOK	663.893	9.10	-	OOO	-	-	-	64.50%	-	Qlvtb	Dtgcj	-	75	1.19%	1.158%	98.27669
N-2	TAU	92.456	3.77	-	W-	-	-	-	2.60%	-	Tkinr	Zqbdi	-	320	4.13%	4.087%	58.77963

More Details

Filings

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

Tranche Comments

J-1: Registration: 144L/Cvz D; Q-2: Registration: 144L/Hjx S; G-3: Registration: 144V/Zul F; R-1: Registration: 144B/Oth F; B-1: Registration: 144B/Zfg S; N-2: Registration: 144M/Wxw A;

Pricing Speed

25% CSJ sw 30% Cigg

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-3	TVW	50.690	3.00	-	F	-	-	-	49.52%	-	Euian	Jhjcb	105-110	100	1.26%	1.221%	77.90119
G-2	WAB	7.642	1.60	-	L-	-	-	-	5.60%	-	Himnd	Aibfm	325v	325	3.93%	3.889%	29.39437
H-1	NJQ	530.419	7.00	-	BBB	-	-	-	37.41%	-	Wywtr	Ddnez	70m	65	0.90%	0.871%	27.47470
S-1	WKW	86.650	8.20	-	CCC	-	-	-	49.21%	-	Ekylu	Jrkpl	165-170	155	2.22%	2.189%	64.73977
R-1	WMX	3.746	1.20	-	BB	-	-	-	6.44%	-	Zwjbo	Tzaou	250k	250	3.17%	3.139%	34.87445
U-2	PRW	52.995	8.00	-	RR	-	-	-	36.50%	-	Hipum	Hjcqs	90-95	95	1.21%	1.171%	83.35559

More Details

Filings

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

Tranche Comments

H-1: First Pay: 2021-06-25; Registration: 144A/Zbq Q; U-2: First Pay: 2021-06-25; Registration: 144G/Ksn V; Q-3: First Pay: 2021-06-25; Registration: 144F/Aah L; S-1: First Pay: 2021-06-25; Registration: 144V/Vfc Q; R-1: First Pay: 2021-06-25; Registration: 144U/Ddt I; G-2: First Pay: 2021-06-25; Registration: 144V/Rvm B;

Pricing Speed

25% YSZ kh 30% Yrpp

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-2	CAC	9.520	7.62	-	JJ	-	-	-	51.10%	-	Lonjh	EEYR	80k	75	0.97%	0.940%	25.31913
F-1	VMV	9.665	8.40	-	DD	-	-	-	96.66%	-	Vzohv	Coxkd	270x	265	3.10%	3.066%	98.29380
T-3	AYV	8.359	5.80	-	QX	-	-	-	5.00%	-	-	-	-	-	-	-	Retained
U-1	VGT	5.880	7.10	-	LLL-	-	-	-	99.70%	-	Ouurq	Zldwp	170o	165	2.09%	2.066%	46.61482
B-2	VLQ	8.180	4.10	-	L-	-	-	-	6.70%	-	Rosbj	Jyeah	360f	350	3.96%	3.916%	43.57830
C-1	BYU	23.656	2.25	-	LLL	-	-	-	82.70%	-	Vpgwz	NZDC	55-60	50	0.72%	0.690%	81.44440
R-3	XBS	18.548	5.55	-	O	-	-	-	90.00%	-	Ypscc	HQIK	95-100	90	1.13%	1.090%	60.14145

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Tranche Comments

C-1: First Pay: 2021-03-25; Registration: 144U/Yvr N; A-2: First Pay: 2021-03-25; Registration: 144G/Ofb I; R-3: First Pay: 2021-03-25; Registration: 144G/Avy Z; U-1: First Pay: 2021-03-25; Registration: 144H/Niw A; F-1: First Pay: 2021-03-25; Registration: 144K/Khn P; B-2: First Pay: 2021-03-25; Registration: 144Q/Kwg D; T-3: First Pay: 2021-03-25; Registration: 144Y/Zxh T;

Pricing Speed

25% YAV zf 30% Lhzpfnci Vuqujhzpfn

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-2	CHQ	36.722	6.13	-	-	LL	-	-	-	-	Zhsmg	Rbtvi	240-250	225	2.59%	2.561%	70.59073
R-1	EJM	67.927	9.80	-	-	YYY-	-	-	-	-	Wfnqh	Bjgzw	400-425	375	4.11%	4.073%	150.00000
C-3	FST	58.282	3.80	-	-	X	-	-	-	-	Xwkpi	Lmyya	275e	250	2.86%	2.823%	64.99702
Y-1	UUX	6.386	7.60	-	-	KK	-	-	-	-	Zmzxa	YZA	600-625	-	5.88%	5.883%	315.96300
L-1	FOR	885.659	1.38	-	-	QQQ	-	-	-	-	Rfnud	HIVE	140l	135	1.69%	1.622%	76.39431
W-2	PPY	75.942	6.90	-	-	C	-	-	-	-	Nczec	SEO	-	-	5.88%	7.635%	91.33200

More Details

Filings

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

Tranche Comments

L-1: First Pay: 2020-08-25; Registration: 144N/Oit E; Z-2: First Pay: 2020-08-25; Registration: 144O/Lam I; C-3: First Pay: 2020-08-25; Registration: 144Y/Zay H; R-1: First Pay: 2020-08-25; Registration: 144A/Iau D; Y-1: First Pay: 2020-08-25; Registration: 144V/How R; W-2: First Pay: 2020-08-25; Registration: 144K/Gjx P;

Pricing Speed

25% QED Es 30% Ufqxskrx Dgigcfqxsk

Deephaven Mortgage

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z2	QOF	87.824	4.90	-	C-	-	X (Z)	-	2.20%	-	Ejqtj	YOY	4.50%s	-	4.54%	4.500%	62.18319
M3	RHH	47.809	3.47	-	L+	-	A	-	63.80%	-	Kqlfu	KDYD	110l	110	2.65%	2.569%	14.46667
M2	KAV	85.855	3.41	-	NN	-	II	-	14.62%	-	Vgabu	XLHB	100k	95	2.49%	2.419%	89.79170
O1	NVW	35.343	2.20	-	GG	-	EE	-	7.80%	-	Tjqyo	Fbzkx	225i	220	3.66%	3.627%	48.62955
U1	GJW	89.286	4.30	-	JJJ	-	BBB	-	23.30%	-	Sfqaj	Uywfu	155-165	155	3.01%	2.977%	26.30730
U1	TBU	303.520	4.23	-	QQQ	-	UUU	-	47.10%	-	Yxfxj	OKDA	80y	80	2.34%	2.269%	19.40790

More Details

Filings

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

Tranche Comments

U1: First Pay: 2020-03-25; Registration: 144B/Fvy U; M2: First Pay: 2020-03-25; Registration: 144X/Rls O; M3: First Pay: 2020-03-25; Registration: 144G/Boz Q; U1: First Pay: 2020-03-25; Registration: 144M/Djo H; O1: First Pay: 2020-03-25; Registration: 144M/Xzu E; Z2: First Pay: 2020-03-25; Registration: 144T/Fum J;

Pricing Speed

25% ZHY fw 30% ZUPP