Waterfall Asset Management LLC

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Waterfall Asset Management LLC

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

More Details

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
T	GZW	272.300	5.23	-	-	-	AAA	-	71.90%	-	Tfhfk	S-Cmchi	155-160	145	3.00%	6.550%	32.70670
D2	WER	66.200	5.70	-	-	-	T (G)	-	79.85%	-	Tgkpa	L-Ijllp	400q	365	3.00%	8.400%	78.57349
T3	WWK	12.000	4.74	-	-	-	WWW (B)	-	18.45%	-	Wjfgb	M-Gkpjj	600r	570	3.00%	10.450%	84.94114
D4	BRD	85.900	2.25	-	-	-	RR (D)	-	8.00%	-	Mobjp	Q-Pmcan	925r	925	3.00%	14.000%	47.47040
P1	UNF	86.200	6.23	-	-	-	KK (O)	-	82.30%	-	Tjtuk	I-Unzda	240-250	225	3.00%	7.000%	58.48226

More Details

Tranche Comments

T: First Pay: 2024-06-25; Registration: 144Y/Upq V; P1: First Pay: 2024-06-25; Registration: 144V/Rvx O; D2: First Pay: 2024-06-25; Registration: 144H/Ncp C; T3: First Pay: 2024-06-25; Registration: 144D/Lcx K; D4: First Pay: 2024-06-25; Registration: 144M/Qbe H;

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	RTQ	989.846	8.23	-	L-	-	-	-	62.60%	-	Zqkyehnx	HASO	315-325	325	BBPJ+325	-	669.00000

More Details

Filings

ABS-15G/A

Tranche Comments

R: First Pay: 2023-08-25; Registration: 144P Cdiq;

Risk Retention

GK - Bgr

Pricing Speed

10 FCK xu xuc Zsxvuukw Fkww

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	WALX	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	BCI	140.905	8.10	5.44	Vdd	-	-	YYY	-	46.90%	-	Ejumfvqk	1cGVIS	265r	255	1aKTQL+234	-	53.20000
U	MWD	64.982	6.41	5.41	HI	-	-	OO (Z)	-	71.92%	-	Qccuqbzl	1rXPGY	385y	385	1oWGJI+370	-	25.80000
S	FYW	89.115	1.59	7.73	TQ	-	-	SSS (D)	-	18.98%	-	-	-	-	-	-	-	-
D	FTB	60.922	1.42	8.31	DI	-	-	WW (O)	-	5.74%	-	-	-	-	-	-	-	Retained
F	EUB	19.409	1.52	1.37	EZ	-	-	FFF	-	47.50%	-	-	-	-	-	-	-	-
O-E	AUF	76.675	3.80	7.70	XN	-	-	UUU	-	41.82%	-	Choqpjnd	1oTDBW	335a	335	1dUWTS+320	-	51.80000
E	HFA	28.366	3.00	6.68	NU	-	-	F (S)	-	68.50%	-	Rakzaqey	1uDXKD	470h	470	1yLSKE+455	-	22.80000
X	CIE	59.648	7.38	5.24	KH	-	-	G (L)	-	6.48%	-	-	-	-	-	-	-	Retained
P	NMD	81.804	-	-	VO	-	-	YQ	-	1.00%	-	-	-	-	-	-	-	Retained

More Details

Filings

EX-103

Tranche Comments

D: First Pay: 2023-07-25; Registration: 144X/Xmv J; O-E: First Pay: 2023-07-25; Registration: 144H/Xvh X; U: First Pay: 2023-07-25; Registration: 144Q/Joz F; E: First Pay: 2023-07-25; Registration: 144W/Lvv D; F: First Pay: 2023-07-25; Registration: 144C/Brm P; S: First Pay: 2023-07-25; Registration: 144M/Pjp C; D: First Pay: 2023-07-25; Registration: 144T/Xyr F; X: First Pay: 2023-07-25; Registration: 144X/Xnz X; P: First Pay: 2023-07-25; Registration: 144V/Tet I;

Deal Comments

Zph Xyjj Copupki 2.00

Cut-Off Balance ($mm)

108.562115

# of Loans

# of Properties

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
Q2	OTS	45.700	2.00	-	-	-	C (Y)	-	75.40%	-	Uysqf	X-Lbumi	-	475	4.25%	8.407%	17.26114
Q1	XOG	57.400	4.50	-	-	-	UU (N)	-	96.30%	-	Vivnc	N-Xuytf	-	365	4.25%	7.344%	49.15514
O	EPM	358.700	4.40	-	-	-	GGG	-	20.76%	-	Dlnfc	R-Nymvi	-	260	4.25%	6.943%	18.28177
Y3	MPI	16.100	8.00	-	-	-	CCC (W)	-	20.95%	-	Gzplm	S-Ppdqt	-	700	4.25%	10.657%	80.75818

More Details

Filings

EX-103, ABS-15G/A

Tranche Comments

O: First Pay: 2023-05-25; Registration: 144T/Pxv N; Q1: First Pay: 2023-05-25; Registration: 144P/Bil P; Q2: First Pay: 2023-05-25; Registration: 144H/Plp W; Y3: First Pay: 2023-05-25; Registration: 144D/Nrw S;

Deal Comments

Myv vvfe nfb gxbpsvv hcrh CO$309.05h fr CO$450h

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M1	WEW	71.900	4.27	-	-	-	TT (W)	-	50.10%	-	Bfvxy	D-Dpkhd	340-350	330	4.00%	7.689%	58.16336
I2	XBN	89.300	5.68	-	-	-	F (D)	-	28.28%	-	Qcgkn	B-Hdkhv	440-450	425	4.00%	8.639%	59.66766
H	NYK	222.200	6.65	-	-	-	CCC	-	98.63%	-	Jvzfg	B-Gbhox	200q	220	4.00%	7.052%	12.69207
W3	NGQ	16.100	2.41	-	-	-	QQQ (F)	-	9.15%	-	Lfpap	H-Zadyi	-	600	4.00%	10.389%	17.45555

More Details

Filings

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

Tranche Comments

H: First Pay: 2023-03-27; Registration: 144D/Yna N; M1: First Pay: 2023-03-27; Registration: 144Y/Dju V; I2: First Pay: 2023-03-27; Registration: 144A/Wku A; W3: First Pay: 2023-03-27; Registration: 144T/Qsq C;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	WALX	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	PHZ	236.358	8.50	1.53	Tyy	-	CCC	-	-	31.00%	-	Zsdxaczj	SNTA	245n	245	1sPPAR+237	-	97.82000
S	LQM	15.450	9.67	4.84	QQ	-	K-	-	-	48.77%	-	Uuwuceie	DIHZ	435x	435	1yCPUS+428	-	81.89000
Y	KEU	26.807	5.34	3.12	HK	-	HHH-	-	-	38.60%	-	Dmeurxbi	ABQK	610p	610	1lJHDR+603	-	11.18000
P	GUK	17.171	6.49	6.55	BU	-	P-	-	-	17.50%	-	-	-	-	-	-	-	Retained
U-P	BPA	98.739	7.56	7.82	EO	-	ZZZ	-	-	42.81%	-	Deepltws	ZXBD	295e	295	1mUADP+288	-	19.25000
E	BKO	90.940	6.70	8.57	BO	-	XX-	-	-	61.86%	-	Bwdvshsj	KKKU	360r	360	1tJSNE+353	-	62.62000
L	JQE	43.654	5.13	6.45	TW	-	TT-	-	-	72.49%	-	-	-	-	-	-	-	Retained
G	BVS	88.401	-	-	JD	-	LY	-	-	8.00%	-	-	-	-	-	-	-	Retained
N	PJI	82.209	2.95	1.77	TL	-	VVV	-	-	92.95%	-	Phpvlsfj	JDQK	535i	535	1cYMTH+528	-	38.13000

More Details

Filings

EX-103

Tranche Comments

U: First Pay: 2023-02-25; Registration: 144X/Ulb T; U-P: First Pay: 2023-02-25; Registration: 144A/Zag Y; E: First Pay: 2023-02-25; Registration: 144X/Cak M; S: First Pay: 2023-02-25; Registration: 144E/Vod J; N: First Pay: 2023-02-25; Registration: 144M/Fmz G; Y: First Pay: 2023-02-25; Registration: 144Q/Mzv G; L: First Pay: 2023-02-25; Registration: 144L/Qpz O; P: First Pay: 2023-02-25; Registration: 144F/Trz W; G: First Pay: 2023-02-25; Registration: 144F/Wjt T;

Cut-Off Balance ($mm)

653.34930

# of Loans

# of Properties

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B1	LSV	22.100	9.12	-	-	-	PP (G)	-	40.50%	-	Lwsoz	N-Jfisk	-	400	3.25%	8.242%	Retained
C2	NYT	86.700	1.69	-	-	-	X (T)	-	36.43%	-	Vtolx	A-Kbjhv	-	550	3.25%	9.742%	94.96751
X	CBD	340.900	5.11	-	-	-	XXX	-	20.48%	-	Eiujz	H-Gznzx	-	245	3.25%	7.081%	54.39686

More Details

Filings

ABS-EE, EX-103

Tranche Comments

X: First Pay: 2022-12-26; Registration: 144H Kcbf; B1: First Pay: 2022-12-26; Registration: 144Y Lwfh; Comments: Kabyzw sr 11/23/2022; C2: First Pay: 2022-12-26; Registration: 144E Wdmm; Comments: Afhaeh fj 11/23/2022;

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	WALX	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	NTJ	71.990	2.29	3.36	UA	-	-	-	AAA	14.80%	-	Eqhsquwh	ZXAB	-	-	1pTFOF+485	-	Retained
V	TVY	15.507	1.60	7.99	PP	-	-	-	PPP-	48.90%	-	Ncexzrtq	YZTK	-	-	1bUAWD+535	-	Retained
G	ZIH	25.331	-	-	ZV	-	-	-	YT	8.00%	-	-	-	-	-	-	-	Retained
J	VIX	905.884	9.11	2.79	Xhh	-	-	-	III	64.81%	-	Bdvwodlc	TPCL	275t	275	1bAUPS+255	-	47.54000
T	JRT	21.317	7.98	5.90	ZF	-	-	-	E-	72.18%	-	Xedlooxd	EYVQ	445w	445	1rEVXX+427	-	13.70000
Y	GQA	58.880	9.22	4.51	GH	-	-	-	HH-	24.36%	-	Emujmpyn	UNSE	-	-	1cXKYS+600	-	Retained
U	IND	47.568	6.52	1.82	VF	-	-	-	X-	94.48%	-	Wlbfpasi	ZXLG	-	-	1nGTKB+700	-	Retained
I-B	BGP	64.186	7.78	3.33	NN	-	-	-	LLL	37.00%	-	Ypqfefag	YTTD	325u	325	1gQEWX+307	-	61.95000
R	JIJ	96.863	8.37	8.66	SK	-	-	-	TT-	89.15%	-	Volukoms	EADA	380o	380	1kVBCT+362	-	17.43000

More Details

Filings

EX-103

Tranche Comments

J: First Pay: 2022-11-25; Registration: 144X/Vci X; I-B: First Pay: 2022-11-25; Registration: 144M/Tye U; R: First Pay: 2022-11-25; Registration: 144C/Rmx B; T: First Pay: 2022-11-25; Registration: 144T/Yrb Y; G: First Pay: 2022-11-25; Registration: 144B/Wnf R; V: First Pay: 2022-11-25; Registration: 144V/Khu L; Y: First Pay: 2022-11-25; Registration: 144F/Crv A; U: First Pay: 2022-11-25; Registration: 144A/Yas M; G: First Pay: 2022-11-25; Registration: 144Z/Kft G;

Risk Retention

BR - Ovhc WB/BG - Ovh

Cut-Off Balance ($mm)

300.20517

# of Loans

# of Properties

Waterfall Asset Management LLC

,,,

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z1	MZB	63.500	7.60	-	-	-	JJ (B)	-	36.60%	-	Pzrjs	J-Wuugv	300-325	300	3.25%	6.947%	58.36231
I2	VMC	78.700	4.96	-	-	-	H (B)	-	56.12%	-	Bfueh	P-Ekqpw	400r	400	3.25%	7.937%	92.43272
C3	BXK	75.400	8.55	-	-	-	DDD (A)	-	58.10%	-	Focmn	K-Yyjvh	500i	500	3.25%	8.937%	25.23285
T	QOI	747.500	8.10	-	-	-	XXX	-	45.30%	-	Dinau	F-Mkyvr	250k	250	3.25%	6.639%	78.84673

More Details

Filings

EX-102, EX-103

Tranche Comments

T: First Pay: 2022-10-25; Registration: 144X Xocs; Z1: First Pay: 2022-10-25; Registration: 144K Yccd; I2: First Pay: 2022-10-25; Registration: 144Z Pjtj; C3: First Pay: 2022-10-25; Registration: 144U Kksl;

Risk Retention

IN - Vxu