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Class | CCY | SZE(M) | WAL | WALX | MO | SP | FI | DR | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
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A-FX | USD | 104.860 | 4.94 | - | - | AAA | - | AAA | - | 49.50% | 30.3% | Fixed | Swaps | 85a | 111 | 3.66% | 3.000% | 102.99602 |
B-FX | USD | 38.760 | 4.94 | - | - | AA- | - | - | - | 30.90% | 41.5% | Fixed | Swaps | 135a | 240 | 3.88% | 4.290% | 97.90563 |
C-FX | USD | 19.590 | 4.94 | - | - | A- | - | - | - | 21.50% | 47.2% | Fixed | Swaps | 160a | 300 | 3.75% | 4.890% | 95.34939 |
D-FX | USD | 24.020 | 4.94 | - | - | BBB- | - | - | - | 9.90% | 54.1% | Fixed | Swaps | 215a | - | 3.75% | - | - |
E-FX | USD | 20.570 | 4.94 | - | - | BB | - | - | - | - | 60.1% | Fixed | Swaps | 275a | - | 3.75% | - | - |
X-FX | USD | 143.620 | - | - | - | AAA | - | - | - | - | - | Fixed | - | - | - | 0.354% | - | Int. Only |
VRR-FX | USD | 10.940 | - | - | - | - | - | - | - | - | 60.1% | Fixed | - | - | - | 0.000% | - | - |
A-FLPB | USD | 150.530 | 1.97 | - | - | AAA | - | AAA | - | 42.30% | 35.9% | Floating | 1mL | 90a | 110 | 1mL+110 | - | 100.00000 |
B-FLPB | USD | 34.940 | 1.97 | - | - | AA- | - | - | - | 28.90% | 44.3% | Floating | 1mL | 120a | 175 | 1mL+175 | - | 100.00000 |
C-FLPB | USD | 25.290 | 1.97 | - | - | A- | - | - | - | 19.30% | 50.3% | Floating | 1mL | 140a | 250 | 1mL+250 | - | 100.00000 |
D-FLPB | USD | 31.030 | 1.97 | - | - | BBB- | - | - | - | 7.40% | 57.7% | Floating | 1mL | 225a | 325 | 1mL+325 | - | 100.00000 |
E-FLPB | USD | 19.230 | 1.97 | - | - | BB | - | - | - | - | 62.3% | Floating | 1mL | 350a | 400 | 1mL+387.15 | - | 99.43257 |
X-FLPBNCP | USD | 91.260 | - | - | - | - | - | - | - | - | - | Fixed | - | - | - | 0.000% | - | Int. Only |
VRR-FLPB | USD | 13.740 | 1.97 | - | - | - | - | - | - | - | 62.3% | Fixed | - | - | - | 3.34% | - | - |
A-FLPC | USD | 108.620 | 1.97 | - | - | AAA | - | AAA | - | 46.40% | 33.0% | Floating | 1mL | 80a | 80 | 1mL+80 | - | 100.00000 |
B-FLPC | USD | 25.150 | 1.97 | - | - | AA- | - | - | - | 33.90% | 40.6% | Floating | 1mL | 110a | 115 | 1mL+115 | - | 100.00000 |
C-FLPC | USD | 18.240 | 1.97 | - | - | A- | - | - | - | 24.90% | 46.1% | Floating | 1mL | 125a | 130 | 1mL+130 | - | 100.00000 |
D-FLPC | USD | 22.380 | 1.97 | - | - | BBB- | - | - | - | 13.90% | 52.9% | Floating | 1mL | 200a | 225 | 1mL+225 | - | 100.00000 |
E-FLPC | USD | 28.130 | 1.97 | - | - | BB- | - | - | - | - | 61.4% | Floating | 1mL | 340a | 340 | 1mL+340 | - | 100.00000 |
X-FLPCNCP | USD | 65.760 | 1.97 | - | - | BBB- | - | - | - | - | - | Fixed | - | - | - | 0.00% | - | Int. Only |
X-FLPCCP | USD | 65.760 | 1.97 | - | - | BBB- | - | - | - | - | - | Fixed | - | - | - | 0.87% | - | Int. Only |
VRR-FLPC | USD | 10.660 | - | - | - | - | - | - | - | - | 61.4% | - | - | - | - | - | - | - |
Tranche Comments
A-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
B-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
C-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
D-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
E-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
X-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
VRR-FX: Registration: 144A/Reg S; Comments: Priced on 7/24/2017;
A-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
B-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
C-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
D-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
E-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
X-FLPBNCP: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
VRR-FLPB: Registration: 144A/Reg S; Comments: Priced on 7/20/2017;
A-FLPC: Registration: 144A/Reg S;
B-FLPC: Registration: 144A/Reg S;
C-FLPC: Registration: 144A/Reg S;
D-FLPC: Registration: 144A/Reg S;
E-FLPC: Registration: 144A/Reg S;
X-FLPCNCP: Registration: 144A/Reg S;
X-FLPCCP: Registration: 144A/Reg S;
VRR-FLPC: Registration: 144A/Reg S;
Risk Retention
Vertical (Pool A)