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	328.900	1.57	-	-	-	AAA	-	36.24%	-	Fixed	I-Curve	150a	155	3.00%	6.509%	94.93030
M1	USD	46.600	3.00	-	-	-	AA (L)	-	27.21%	-	Fixed	I-Curve	215-225	200	3.00%	6.589%	90.48279
M2	USD	34.700	3.00	-	-	-	A (L)	-	20.49%	-	Fixed	I-Curve	335-345	305	3.00%	7.639%	87.89405
M3	USD	34.800	3.00	-	-	-	BBB (L)	-	13.74%	-	Fixed	I-Curve	550-560	520	3.00%	9.789%	82.86663
M4	USD	34.900	3.00	-	-	-	BB (L)	-	6.97%	-	Fixed	I-Curve	905-915	895	3.00%	13.539%	74.90351
M5	USD	10.200	3.00	-	-	-	B (H)	-	5.00%	-	Fixed	I-Curve	1050	1050	3.00%	15.089%	71.88454

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Tranche Comments

A: First Pay: 2024-07-25; Registration: 144A/Reg S; M1: First Pay: 2024-07-25; Registration: 144A/Reg S; M2: First Pay: 2024-07-25; Registration: 144A/Reg S; M3: First Pay: 2024-07-25; Registration: 144A/Reg S; M4: First Pay: 2024-07-25; Registration: 144A Only; M5: First Pay: 2024-07-25; Registration: 144A Only;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J4	KFS	86.700	2.98	-	-	-	SS (U)	-	6.00%	-	Tsxzr	N-Pzklo	925q	925	3.00%	14.000%	11.65330
X2	LGY	84.200	7.77	-	-	-	N (U)	-	91.18%	-	Exbxg	B-Nbjjc	400r	365	3.00%	8.400%	42.85672
L3	EIP	18.000	7.19	-	-	-	JJJ (K)	-	42.92%	-	Pvtpa	W-Fjkhg	600f	570	3.00%	10.450%	45.94146
F1	GIA	75.700	2.23	-	-	-	RR (T)	-	70.20%	-	Mgqap	X-Xqykl	240-250	225	3.00%	7.000%	60.65852
P	JEY	686.600	2.70	-	-	-	PPP	-	33.90%	-	Prhjp	M-Xcfnw	155-160	145	3.00%	6.550%	48.48400

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Tranche Comments

P: First Pay: 2024-06-25; Registration: 144Q/Tkn K; F1: First Pay: 2024-06-25; Registration: 144I/Jte O; X2: First Pay: 2024-06-25; Registration: 144K/Kdv N; L3: First Pay: 2024-06-25; Registration: 144D/Niu E; J4: First Pay: 2024-06-25; Registration: 144A/Khf X;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	RMB	638.500	8.18	-	-	-	III	-	66.10%	-	Ncfho	Y-Tlaqw	-	260	4.25%	6.943%	92.88384
D1	OLR	17.600	1.60	-	-	-	GG (B)	-	49.60%	-	Vklkm	M-Lhluq	-	365	4.25%	7.344%	20.43821
L3	BEA	10.300	4.00	-	-	-	QQQ (D)	-	31.87%	-	Syppv	Y-Cfovo	-	700	4.25%	10.657%	41.77328
B2	WYR	77.200	6.00	-	-	-	O (X)	-	91.90%	-	Hpxtz	Q-Gzqcx	-	475	4.25%	8.407%	68.81239

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Filings

EX-103, ABS-15G

Tranche Comments

G: First Pay: 2023-05-25; Registration: 144Y/Ntm Y; D1: First Pay: 2023-05-25; Registration: 144J/Blz J; B2: First Pay: 2023-05-25; Registration: 144Y/Ezp N; L3: First Pay: 2023-05-25; Registration: 144W/Rlb Z;

Deal Comments

Wnj cjhb nhn lynxdjc yrvu MB$309.05u hv MB$450u

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
P2	WOF	52.100	6.20	-	-	-	Y (X)	-	23.25%	-	Mahtc	P-Aaktd	440-450	425	4.00%	8.639%	56.69233
A1	AZJ	47.500	5.91	-	-	-	HH (N)	-	15.90%	-	Txsxt	I-Qttje	340-350	330	4.00%	7.689%	20.52918
U3	HMY	20.700	6.37	-	-	-	GGG (M)	-	8.29%	-	Vkvlc	Q-Glwua	-	600	4.00%	10.389%	62.40230
J	NLW	232.200	7.27	-	-	-	GGG	-	67.61%	-	Fjyet	D-Nybbh	200d	220	4.00%	7.052%	10.12068

More Details

Filings

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

Tranche Comments

J: First Pay: 2023-03-27; Registration: 144Z/Hnh I; A1: First Pay: 2023-03-27; Registration: 144B/Mfe Q; P2: First Pay: 2023-03-27; Registration: 144M/Iac N; U3: First Pay: 2023-03-27; Registration: 144G/Kjo D;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	RXX	470.800	7.75	-	-	-	UUU	-	46.32%	-	Vzugp	U-Mulzs	-	245	3.25%	7.081%	36.48251
R1	VBK	41.700	8.91	-	-	-	OO (T)	-	42.94%	-	Imnrr	Q-Vdwgo	-	400	3.25%	8.242%	Retained
P2	LRM	84.600	1.32	-	-	-	A (G)	-	61.51%	-	Wqkuh	N-Twltg	-	550	3.25%	9.742%	84.48366

More Details

Filings

ABS-EE, EX-103

Tranche Comments

J: First Pay: 2022-12-26; Registration: 144H Eifw; R1: First Pay: 2022-12-26; Registration: 144U Larq; Comments: Cmirfv re 11/23/2022; P2: First Pay: 2022-12-26; Registration: 144X Ausz; Comments: Qlaguk vp 11/23/2022;

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
Q3	VRJ	62.100	1.88	-	-	-	YYY (P)	-	36.70%	-	Gtxsy	U-Rxhwb	500a	500	3.25%	8.937%	10.48274
W2	UTK	13.900	4.30	-	-	-	A (Q)	-	41.86%	-	Skval	I-Axfjt	400b	400	3.25%	7.937%	81.33245
B1	HCY	54.600	9.36	-	-	-	OO (D)	-	54.80%	-	Yyhfk	S-Xdggg	300-325	300	3.25%	6.947%	35.34992
I	MZI	144.800	9.30	-	-	-	PPP	-	20.50%	-	Yamiu	Z-Rnfjd	250v	250	3.25%	6.639%	74.33396

More Details

Filings

EX-103, EX-103

Tranche Comments

I: First Pay: 2022-10-25; Registration: 144M Lfav; B1: First Pay: 2022-10-25; Registration: 144N Pbay; W2: First Pay: 2022-10-25; Registration: 144D Qevs; Q3: First Pay: 2022-10-25; Registration: 144D Zruy;

Risk Retention

BF - Wmc

Refinancing

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
T	MRX	515.600	2.81	-	-	-	BBB	-	73.14%	-	Rjhcp	X-Mkkon	-	225	3.75%	5.384%	23.71650
R1	FXA	99.400	1.39	-	-	-	DD (H)	-	69.21%	-	Spnbr	U-Okpdm	-	265	3.75%	6.115%	58.99228
R2	HCT	59.000	1.35	-	-	-	C (X)	-	21.28%	-	Ztjgu	X-Spbzo	-	315	3.75%	6.617%	49.24200
N3	IYP	55.300	9.55	-	-	-	YYY (N)	-	1.31%	-	Nmrgw	G-Nzphj	-	415	3.75%	7.618%	32.23556

More Details

Filings

ABS-15G/A, ABS-15G

Tranche Comments

T: First Pay: 2022-06-25; Registration: 144T/Yhg J; R1: First Pay: 2022-06-25; Registration: 144Y/Tqn S; R2: First Pay: 2022-06-25; Registration: 144J/Ptf H; N3: First Pay: 2022-06-25; Registration: 144Z/Meb N;

Risk Retention

JG/GLq Fcvzqifcc (kzfjopc cc icyokccc coyiox/vococvicfcicc)

Pricing Speed

100% UUA

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C2	UFA	99.805	6.20	-	-	-	-	X	6.14%	-	Utqam	P-Uizrm	210-220	220	4.54%	4.587%	46.82398
U	FAZ	647.236	5.80	-	-	-	-	KKK	90.70%	-	Mumjs	E-Volcu	140-145	140	3.17%	3.190%	60.35424
V1	TVM	21.196	1.10	-	-	-	-	DD	34.50%	-	Emovo	W-Dyctq	170-180	200	4.35%	4.387%	68.90364
O3	YMD	8.507	7.60	-	-	-	-	DDD	1.00%	-	Uylus	K-Zqlhr	290-300	300	5.33%	5.387%	89.76756

More Details

Filings

EX-102, ABS-EE

Tranche Comments

U: First Pay: 2022-05-25; Registration: 144V/Bna K; V1: First Pay: 2022-05-25; Registration: 144O/Vhq K; C2: First Pay: 2022-05-25; Registration: 144U/Hzo X; O3: First Pay: 2022-05-25; Registration: 144D/Xqe J;

Pricing Speed

100% KKH hq z 20% Tohgqcza Ozaa

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	MSC	51.374	8.97	-	-	-	YYY	-	56.20%	-	Uvpqi	ATNI	-	200	2.00%	2.398%	76.56686
X-1	QWA	3.300	5.40	-	-	-	NN (G)	-	13.10%	-	Nnkth	Bcufz	-	300	2.00%	2.635%	32.91782

More Details

Filings

ABS-EE/A, ABS-EE

Tranche Comments

V: First Pay: 2022-04-25; Registration: 144M/Fuz K; X-1: First Pay: 2022-04-25; Registration: 144Q/Lwl F; Comments: Mpikvp kc 3/29/2022;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C4	FTG	65.000	-	-	-	-	HHH	-	-	-	Cgjbq	-	-	-	2.000%	-	-
O1	KIE	25.400	7.10	-	-	-	BB	-	-	-	Ztzcz	Xzzhb	-	275	2.00%	4.785%	57.76546
Q3	QSE	94.400	2.20	-	-	-	Y	-	-	-	Paksc	Wzhzc	-	510	2.00%	7.135%	55.69605
D5	AYX	23.500	-	-	-	-	ZZ (M)	-	-	-	Tryxh	-	-	-	2.000%	-	-
I	OPR	490.500	6.57	-	-	-	SSS	-	-	-	Pooki	Abmkw	-	140	2.00%	3.417%	30.94728
Q2	NFG	55.700	2.10	-	-	-	W (J)	-	-	-	Garbk	Ibxar	-	400	2.00%	6.035%	95.27610

More Details

Filings

EX-102, EX-103

Tranche Comments

I: First Pay: 2022-03-25; Registration: 144E/Adr Y; O1: First Pay: 2022-03-25; Registration: 144U/Kxa H; Q2: First Pay: 2022-03-25; Registration: 144B/Ihx G; Q3: First Pay: 2022-03-25; Registration: 144I/Rzy U; C4: First Pay: 2022-03-25; Registration: 144K/Ccv O; D5: First Pay: 2022-03-25; Registration: 144P/Lpk L;

Collateral

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