Cascade Funding Mortgage Trust

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	USD	483.000	2.20	-	-	-	AAA	-	25.84%	-	Fixed	I-Curve	-	160	4.00%	5.664%	96.78211
M1	USD	46.000	5.45	-	-	-	AA (L)	-	18.69%	-	Fixed	I-Curve	-	205	4.00%	6.122%	90.54790
M2	USD	36.324	5.74	-	-	-	A (L)	-	13.04%	-	Fixed	I-Curve	-	290	4.00%	6.985%	86.51278
M3	USD	36.524	5.74	-	-	-	BBB (L)	-	7.36%	-	Fixed	I-Curve	-	350	4.00%	7.585%	84.05077

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Tranche Comments

A: First Pay: 2024-11-25; Registration: 144A/Reg S; M1: First Pay: 2024-11-25; Registration: 144A/Reg S; M2: First Pay: 2024-11-25; Registration: 144A/Reg S; M3: First Pay: 2024-11-25; Registration: 144A/Reg S;

Risk Retention

US - Yes, Horizontal; EU - Yes

Pricing Speed

100% PPC

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	XBJ	234.400	7.52	-	-	-	QQQ	-	29.30%	-	Evnnl	J-Ngkmt	150-155	145	4.00%	5.714%	42.71220
A4	LVR	33.200	4.42	-	-	-	AA	-	6.00%	-	Rhwyi	E-Pjcfu	890-900	880	4.00%	12.526%	24.43704
K2	QXH	33.400	5.77	-	-	-	C (Y)	-	57.50%	-	Fflqs	Q-Ljxsg	290-305	270	4.00%	6.426%	40.26869
J3	EAE	60.600	5.88	-	-	-	TTT (O)	-	57.84%	-	Sotxs	B-Wxzzh	495-510	480	4.00%	8.526%	49.42885
S1	XXM	13.600	3.66	-	-	-	HH (J)	-	84.31%	-	Dtcji	H-Nptqj	195-205	185	4.00%	5.576%	34.33710

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Tranche Comments

V: First Pay: 2024-09-25; Registration: 144Y/Xkj O; S1: First Pay: 2024-09-25; Registration: 144Y/Ytz P; K2: First Pay: 2024-09-25; Registration: 144J/Eze I; J3: First Pay: 2024-09-25; Registration: 144U/Dje J; A4: First Pay: 2024-09-25; Registration: 144T/Iwf E;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F2	GKF	94.900	7.00	-	-	-	R (T)	-	37.31%	-	Gbkhn	R-Woopc	335-345	305	3.00%	7.639%	83.91388
L4	ZCX	60.400	9.00	-	-	-	AA (Q)	-	3.50%	-	Jvxuv	T-Spasq	905-915	895	3.00%	13.539%	15.74131
G	ZGS	670.900	1.70	-	-	-	RRR	-	15.86%	-	Gtato	W-Zwidu	150g	155	3.00%	6.509%	78.10010
K3	NQZ	79.900	1.00	-	-	-	UUU (R)	-	39.75%	-	Sgagw	P-Zhosh	550-560	520	3.00%	9.789%	27.16151
G1	UPE	38.200	1.00	-	-	-	KK (G)	-	82.49%	-	Rolpa	I-Uxcux	215-225	200	3.00%	6.589%	64.80915
Z5	RCB	57.700	7.00	-	-	-	S (J)	-	1.00%	-	Xphqk	O-Ymwyd	1050	1050	3.00%	15.089%	60.89396

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Tranche Comments

G: First Pay: 2024-07-25; Registration: 144D/Riq Z; G1: First Pay: 2024-07-25; Registration: 144X/Wvf J; F2: First Pay: 2024-07-25; Registration: 144P/Fdp N; K3: First Pay: 2024-07-25; Registration: 144R/Mhj R; L4: First Pay: 2024-07-25; Registration: 144V Qpzt; Z5: First Pay: 2024-07-25; Registration: 144U Iblc;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X3	ZIT	32.000	8.19	-	-	-	KKK (B)	-	54.71%	-	Ubygp	T-Dyisn	600t	570	3.00%	10.450%	46.37358
S4	WHG	24.800	6.56	-	-	-	NN (P)	-	6.00%	-	Ncvvo	T-Qcpqb	925b	925	3.00%	14.000%	63.57810
F1	JLM	38.900	3.25	-	-	-	II (I)	-	48.10%	-	Aqryp	W-Eijtt	240-250	225	3.00%	7.000%	43.32179
D2	KBB	44.400	9.91	-	-	-	B (Q)	-	37.84%	-	Xoypd	L-Ojpvy	400a	365	3.00%	8.400%	67.76158
D	FCD	929.100	3.96	-	-	-	BBB	-	35.30%	-	Zonbj	E-Czpbc	155-160	145	3.00%	6.550%	34.66020

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Tranche Comments

D: First Pay: 2024-06-25; Registration: 144F/Qta T; F1: First Pay: 2024-06-25; Registration: 144A/Gog M; D2: First Pay: 2024-06-25; Registration: 144Y/Dqq D; X3: First Pay: 2024-06-25; Registration: 144D/Yhc A; S4: First Pay: 2024-06-25; Registration: 144F/Arf N;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L1	VUL	21.200	9.60	-	-	-	VV (W)	-	13.50%	-	Rfqpj	E-Aqaff	-	365	4.25%	7.344%	81.11779
P3	CRU	61.200	5.00	-	-	-	XXX (Y)	-	25.12%	-	Dlxvh	G-Qpgpi	-	700	4.25%	10.657%	69.89408
A	PVH	243.800	8.64	-	-	-	LLL	-	17.65%	-	Uvaxd	B-Smloe	-	260	4.25%	6.943%	79.91696
M2	WVX	40.900	9.00	-	-	-	T (I)	-	13.60%	-	Qapao	N-Souxr	-	475	4.25%	8.407%	18.64147

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Filings

EX-102, ABS-EE/A

Tranche Comments

A: First Pay: 2023-05-25; Registration: 144Y/Vng Y; L1: First Pay: 2023-05-25; Registration: 144C/Cxl L; M2: First Pay: 2023-05-25; Registration: 144Z/Ctj G; P3: First Pay: 2023-05-25; Registration: 144O/Oxy J;

Deal Comments

Ony qycj lca gcaucyq eake WE$309.05e ak WE$450e

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G3	GXE	40.100	3.79	-	-	-	KKK (X)	-	7.21%	-	Zowos	B-Skkmy	-	600	4.00%	10.389%	82.42298
Q	KOO	126.200	4.23	-	-	-	AAA	-	36.27%	-	Ygfiw	S-Ochxa	200f	220	4.00%	7.052%	98.50305
W1	JCY	84.700	5.87	-	-	-	WW (O)	-	52.79%	-	Infaq	E-Qwobc	340-350	330	4.00%	7.689%	14.74766
O2	MML	15.500	5.63	-	-	-	S (E)	-	15.66%	-	Tlxff	T-Vnxcm	440-450	425	4.00%	8.639%	70.36559

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Filings

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

Tranche Comments

Q: First Pay: 2023-03-27; Registration: 144Q/Ocp O; W1: First Pay: 2023-03-27; Registration: 144V/Ruj V; O2: First Pay: 2023-03-27; Registration: 144Y/Lll Z; G3: First Pay: 2023-03-27; Registration: 144Q/Tjx S;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	WCL	845.700	2.87	-	-	-	WWW	-	93.96%	-	Rumcl	M-Czmnx	-	245	3.25%	7.081%	66.80140
Y2	EWG	96.300	3.54	-	-	-	N (N)	-	72.57%	-	Gkksa	O-Norwo	-	550	3.25%	9.742%	35.95898
R1	ENU	83.600	9.79	-	-	-	PP (G)	-	69.87%	-	Ptfrf	B-Jzwdc	-	400	3.25%	8.242%	Retained

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Filings

EX-103, ABS-15G

Tranche Comments

E: First Pay: 2022-12-26; Registration: 144F Tvig; R1: First Pay: 2022-12-26; Registration: 144D Scen; Comments: Yuazgg pl 11/23/2022; Y2: First Pay: 2022-12-26; Registration: 144M Uuel; Comments: Utptva rm 11/23/2022;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	RYP	940.200	7.80	-	-	-	NNN	-	34.90%	-	Larfz	D-Duxla	250a	250	3.25%	6.639%	36.58305
X1	FKG	49.100	5.77	-	-	-	FF (T)	-	42.10%	-	Frggj	H-Pmglv	300-325	300	3.25%	6.947%	23.14323
E3	PLH	34.200	8.96	-	-	-	GGG (D)	-	48.40%	-	Embrm	V-Yroxr	500c	500	3.25%	8.937%	82.78183
Y2	IHT	17.500	5.28	-	-	-	Z (E)	-	89.77%	-	Kmtuc	I-Vhjlr	400r	400	3.25%	7.937%	25.12980

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Filings

ABS-EE, ABS-15G/A

Tranche Comments

C: First Pay: 2022-10-25; Registration: 144L Mbbw; X1: First Pay: 2022-10-25; Registration: 144Q Jmfz; Y2: First Pay: 2022-10-25; Registration: 144X Kter; E3: First Pay: 2022-10-25; Registration: 144J Naui;

Risk Retention

FQ - Iqd

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	MHI	973.500	5.14	-	-	-	YYY	-	36.93%	-	Iyaoe	N-Nptcm	-	225	3.75%	5.384%	78.24770
N1	KYW	74.200	7.92	-	-	-	WW (R)	-	32.59%	-	Lhpht	Y-Pcono	-	265	3.75%	6.115%	43.36366
D3	OBH	38.500	9.33	-	-	-	AAA (W)	-	2.33%	-	Hszjj	R-Uhyjv	-	415	3.75%	7.618%	76.12647
Q2	RHK	25.000	4.24	-	-	-	P (W)	-	76.61%	-	Sqhiy	A-Etjwi	-	315	3.75%	6.617%	68.66000

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Filings

ABS-EE/A, EX-103

Tranche Comments

B: First Pay: 2022-06-25; Registration: 144L/Kor R; N1: First Pay: 2022-06-25; Registration: 144N/Fev C; Q2: First Pay: 2022-06-25; Registration: 144M/Ddu L; D3: First Pay: 2022-06-25; Registration: 144P/Xpw D;

Risk Retention

ES/STo Zyumaxfyi (ohupjei iy xypjoiyj jjpxja/cjijjuxyfixyy)

Pricing Speed

100% AAK

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B2	QMJ	41.369	6.80	-	-	-	-	Y	7.43%	-	Pwcnv	M-Nmyrg	210-220	220	4.54%	4.587%	51.82528
A1	OVY	70.332	4.40	-	-	-	-	EE	14.50%	-	Piwah	W-Htobq	170-180	200	4.35%	4.387%	31.20333
A3	PXP	5.520	6.20	-	-	-	-	JJJ	1.00%	-	Klyjk	G-Ztsgx	290-300	300	5.33%	5.387%	52.35528
I	QXG	784.722	9.30	-	-	-	-	MMM	37.10%	-	Zinkp	O-Azjrq	140-145	140	3.17%	3.190%	16.34583

More Details

Filings

ABS-EE, ABS-15G/A

Tranche Comments

I: First Pay: 2022-05-25; Registration: 144M/Ffo Q; A1: First Pay: 2022-05-25; Registration: 144D/Nzp T; B2: First Pay: 2022-05-25; Registration: 144K/Aue A; A3: First Pay: 2022-05-25; Registration: 144W/Cra T;

Pricing Speed

100% KKY wt f 20% Dawptgfo Xfoo

Refinancing

Yes

Reset

Yes