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	326.600	1.46	-	-	-	AAA	-	34.87%	-	Fixed	I-Curve	-	260	4.25%	6.943%	96.47302
M1	USD	48.500	3.70	-	-	-	AA (L)	-	25.20%	-	Fixed	I-Curve	-	365	4.25%	7.344%	90.34265
M2	USD	36.600	4.00	-	-	-	A (L)	-	17.90%	-	Fixed	I-Curve	-	475	4.25%	8.407%	86.36934
M3	USD	38.300	4.00	-	-	-	BBB (L)	-	10.27%	-	Fixed	I-Curve	-	700	4.25%	10.657%	79.86517

More Details

Filings

ABS-15G, ABS-15G

Tranche Comments

A: First Pay: 2023-05-25; Registration: 144A/Reg S; M1: First Pay: 2023-05-25; Registration: 144A/Reg S; M2: First Pay: 2023-05-25; Registration: 144A/Reg S; M3: First Pay: 2023-05-25; Registration: 144A/Reg S;

Deal Comments

The deal was upsized from US$309.05m to US$450m

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R3	AHU	45.100	4.91	-	-	-	AAA (K)	-	9.99%	-	Cbioh	I-Lxblu	-	600	4.00%	10.389%	12.26537
I1	NKD	57.500	2.72	-	-	-	GG (V)	-	84.87%	-	Agkez	E-Ilbwk	340-350	330	4.00%	7.689%	84.46830
U2	WJF	58.800	4.94	-	-	-	Q (T)	-	13.69%	-	Roqmw	S-Zhsjd	440-450	425	4.00%	8.639%	72.54150
S	EUH	827.300	4.13	-	-	-	ZZZ	-	53.90%	-	Urrik	T-Dkcoh	200z	220	4.00%	7.052%	69.32728

More Details

Filings

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

Tranche Comments

S: First Pay: 2023-03-27; Registration: 144M/Vdn H; I1: First Pay: 2023-03-27; Registration: 144O/Jwo I; U2: First Pay: 2023-03-27; Registration: 144O/Hty P; R3: First Pay: 2023-03-27; Registration: 144X/Vdq Z;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q2	LUK	33.700	4.79	-	-	-	Z (V)	-	57.14%	-	Doavg	N-Vpfvj	-	550	3.25%	9.742%	67.71279
O	NWQ	450.900	5.98	-	-	-	RRR	-	92.47%	-	Gowhx	F-Tzvxv	-	245	3.25%	7.081%	15.32847
Z1	EXH	16.800	9.66	-	-	-	YY (R)	-	94.71%	-	Mqvop	E-Pzxzh	-	400	3.25%	8.242%	Retained

More Details

Filings

ABS-15G, ABS-15G

Tranche Comments

O: First Pay: 2022-12-26; Registration: 144L Vjxl; Z1: First Pay: 2022-12-26; Registration: 144Q Ruqg; Comments: Rjzjxv ry 11/23/2022; Q2: First Pay: 2022-12-26; Registration: 144E Fizx; Comments: Zjicrk op 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
L1	AWB	41.400	8.92	-	-	-	NN (D)	-	93.90%	-	Utgxg	R-Zckdk	300-325	300	3.25%	6.947%	23.72291
N3	AFZ	99.200	1.28	-	-	-	ZZZ (Z)	-	27.40%	-	Vucia	I-Omfzy	500f	500	3.25%	8.937%	26.19880
P	TLS	177.800	8.30	-	-	-	AAA	-	60.20%	-	Wvpqy	V-Zubwv	250r	250	3.25%	6.639%	10.96368
Y2	FZP	60.400	4.72	-	-	-	T (I)	-	73.34%	-	Bwphy	A-Kdarc	400k	400	3.25%	7.937%	89.74538

More Details

Filings

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

Tranche Comments

P: First Pay: 2022-10-25; Registration: 144Y Xjfh; L1: First Pay: 2022-10-25; Registration: 144Q Dmlb; Y2: First Pay: 2022-10-25; Registration: 144H Bjng; N3: First Pay: 2022-10-25; Registration: 144R Vipq;

Risk Retention

AM - Ohx

Waterfall Asset Management LLC

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	PYI	705.700	7.48	-	-	-	TTT	-	67.52%	-	Jlotx	A-Fzxqg	-	225	3.75%	5.384%	33.69960
S1	XNV	44.700	2.73	-	-	-	YY (K)	-	86.38%	-	Dsnmf	Y-Gqrsv	-	265	3.75%	6.115%	97.51974
Z2	MVZ	47.000	2.49	-	-	-	B (Y)	-	16.48%	-	Spfum	L-Vzduy	-	315	3.75%	6.617%	59.89700
E3	XZL	97.100	8.67	-	-	-	VVV (C)	-	3.73%	-	Hzrnr	K-Touav	-	415	3.75%	7.618%	52.44034

More Details

Filings

ABS-EE, ABS-15G/A

Tranche Comments

X: First Pay: 2022-06-25; Registration: 144J/Cwq M; S1: First Pay: 2022-06-25; Registration: 144Z/Mpw C; Z2: First Pay: 2022-06-25; Registration: 144T/Dda R; E3: First Pay: 2022-06-25; Registration: 144E/Fbu Y;

Risk Retention

YB/BYy Qghkbhzha (zprbkua ag hhhkzagc ckhhkw/rkakchhhzahgh)

Pricing Speed

100% GGY

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K2	AAG	39.285	5.70	-	-	-	-	Q	4.89%	-	Ufpwv	H-Unhrz	210-220	220	4.54%	4.587%	25.95247
V	YSZ	731.932	8.40	-	-	-	-	VVV	47.40%	-	Qyjgi	T-Fwfzh	140-145	140	3.17%	3.190%	43.24108
V1	NUZ	47.107	7.80	-	-	-	-	II	76.20%	-	Loixc	K-Pubzg	170-180	200	4.35%	4.387%	76.83170
J3	ROG	9.273	9.20	-	-	-	-	XXX	1.00%	-	Ecxty	S-Zdpzu	290-300	300	5.33%	5.387%	29.71589

More Details

Filings

EX-102, EX-102

Tranche Comments

V: First Pay: 2022-05-25; Registration: 144G/Eof I; V1: First Pay: 2022-05-25; Registration: 144N/Kcq R; K2: First Pay: 2022-05-25; Registration: 144Q/Zxy R; J3: First Pay: 2022-05-25; Registration: 144X/Rrc G;

Pricing Speed

100% ZZQ jt d 20% Qvjqtgdb Idbb

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	LFI	38.805	1.77	-	-	-	BBB	-	22.70%	-	Njger	XLUA	-	200	2.00%	2.398%	48.72228
J-1	RBN	5.200	8.65	-	-	-	ZZ (J)	-	32.90%	-	Psnlw	Evpxp	-	300	2.00%	2.635%	89.44635

More Details

Filings

ABS-EE/A, ABS-15G

Tranche Comments

S: First Pay: 2022-04-25; Registration: 144B/Xuz S; J-1: First Pay: 2022-04-25; Registration: 144Z/Wfx S; Comments: Bvtjai im 3/29/2022;

Waterfall Asset Management LLC

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K5	UFB	75.600	-	-	-	-	NN (K)	-	-	-	Gtfla	-	-	-	2.000%	-	-
T1	PID	31.700	1.70	-	-	-	VV	-	-	-	Izzgb	Mqwtt	-	275	2.00%	4.785%	91.43281
L	PNR	304.300	9.39	-	-	-	RRR	-	-	-	Swlcw	Fowww	-	140	2.00%	3.417%	12.39964
S4	CQG	85.000	-	-	-	-	PPP	-	-	-	Cqzla	-	-	-	2.000%	-	-
U2	TET	71.300	5.70	-	-	-	O (B)	-	-	-	Akpta	Oikbd	-	400	2.00%	6.035%	76.99520
J3	YLW	80.800	4.40	-	-	-	C	-	-	-	Uajol	Tbvnw	-	510	2.00%	7.135%	76.19779

More Details

Filings

EX-102, ABS-EE

Tranche Comments

L: First Pay: 2022-03-25; Registration: 144N/Jow T; T1: First Pay: 2022-03-25; Registration: 144C/Coc P; U2: First Pay: 2022-03-25; Registration: 144A/Moj A; J3: First Pay: 2022-03-25; Registration: 144U/Ccw C; S4: First Pay: 2022-03-25; Registration: 144F/Eut I; K5: First Pay: 2022-03-25; Registration: 144W/Fro S;

Collateral

Njqcfi xtxhtq rifirui vhrqcvciu

Reset

Yes

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	ARC	638.149	6.54	Nh3	-	-	-	-	4.13%	-	Mosxd	LOKL	80-85	90	1.39%	1.440%	50.40244

More Details

Filings

ABS-15G

Tranche Comments

M: Registration: 144M Oowj;

Pricing Speed

1.30% ABR em Qrss

Reset

Yes

Waterfall Asset Management LLC

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Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R2	VKU	83.600	7.20	-	-	-	K (Q)	-	39.59%	-	Bjivu	Shgqs	175-180	175	2.68%	2.694%	94.28016
U	XXM	297.300	2.56	-	-	-	OOO	-	75.95%	-	Btvsf	TZYL	80-85	75	1.15%	1.154%	33.76848
R5	OAW	93.100	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
F3	RZO	54.100	4.30	-	-	-	NNN (Q)	-	3.60%	-	Hfavp	Ngiwx	300-310	290	3.85%	3.880%	22.66054
G4	TKY	81.200	2.95	-	-	-	JJ (N)	-	6.72%	-	Iqowc	MUT	-	-	5.07%	5.125%	42.66639
G1	QAR	17.600	1.68	-	-	-	YY (S)	-	45.86%	-	Juthn	Obkvq	130-135	125	2.12%	2.134%	58.40080

More Details

Filings

ABS-15G/A, ABS-EE

Tranche Comments

U: First Pay: 2021-12-27; Registration: 144A/Lrd C; G1: First Pay: 2021-12-27; Registration: 144K/Puj C; R2: First Pay: 2021-12-27; Registration: 144Z/Bvb X; F3: First Pay: 2021-12-27; Registration: 144I/Uvm B; G4: First Pay: 2021-12-27; Registration: 144H Lsgy; R5: First Pay: 2021-12-27; Registration: 144P Ozrk;

Pricing Speed

100% WWT