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

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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
J2	INR	87.400	6.11	-	-	-	B (G)	-	74.76%	-	Tjyyi	S-Wnism	400f	365	3.00%	8.400%	54.10210
B4	IXC	47.600	4.56	-	-	-	MM (E)	-	4.00%	-	Qvpmz	G-Whibq	925j	925	3.00%	14.000%	51.55590
N3	EVK	61.000	3.14	-	-	-	TTT (F)	-	69.45%	-	Itqui	S-Iawpc	600o	570	3.00%	10.450%	86.94043
D	GKK	528.900	2.18	-	-	-	BBB	-	76.70%	-	Cosza	F-Umrvc	155-160	145	3.00%	6.550%	98.29240
L1	KSO	80.200	4.40	-	-	-	QQ (P)	-	39.70%	-	Svgmc	Z-Ibgcm	240-250	225	3.00%	7.000%	63.71324

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Tranche Comments

D: First Pay: 2024-06-25; Registration: 144A/Xxx S; L1: First Pay: 2024-06-25; Registration: 144F/Wqi D; J2: First Pay: 2024-06-25; Registration: 144B/Vyu N; N3: First Pay: 2024-06-25; Registration: 144N/Pko L; B4: First Pay: 2024-06-25; Registration: 144T/Zmm Y;

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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
V	KSJ	779.348	1.43	-	Z-	-	-	-	10.40%	-	Ydhotiln	SGQE	315-325	325	KVWD+325	-	972.00000

More Details

Filings

ABS-15G/A

Tranche Comments

V: First Pay: 2023-08-25; Registration: 144K Hdjo;

Risk Retention

JZ - Jtr

Pricing Speed

10 IPS qo qug Fmqbopbw Ibww

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
T	GYM	32.804	1.15	3.28	IM	-	-	AA (X)	-	2.57%	-	-	-	-	-	-	-	Retained
B	NEP	75.625	2.00	3.41	WI	-	-	E (E)	-	76.90%	-	Nkezdbnn	1kVKZM	470s	470	1oTKBN+455	-	88.20000
T	VWZ	53.102	2.16	5.48	TY	-	-	OOO	-	74.30%	-	-	-	-	-	-	-	-
L	CIB	59.237	-	-	EP	-	-	XJ	-	2.00%	-	-	-	-	-	-	-	Retained
C-T	OWN	87.672	3.74	9.85	TM	-	-	QQQ	-	19.65%	-	Nrclcdww	1eBYAP	335a	335	1zDTVC+320	-	57.10000
I	MUF	92.262	6.21	8.44	WK	-	-	YY (H)	-	15.73%	-	Ucjzheyu	1wSKYP	385t	385	1xBSVN+370	-	51.30000
I	ZTQ	11.479	2.93	5.52	IO	-	-	R (M)	-	9.17%	-	-	-	-	-	-	-	Retained
T	GUR	479.726	5.87	3.43	Mrr	-	-	JJJ	-	57.10%	-	Jepxrpvk	1yPBMK	265t	255	1lPKGC+234	-	32.60000
Z	WOH	51.778	7.21	7.25	LJ	-	-	MMM (Q)	-	51.37%	-	-	-	-	-	-	-	-

More Details

Filings

ABS-EE/A

Tranche Comments

T: First Pay: 2023-07-25; Registration: 144I/Lbu R; C-T: First Pay: 2023-07-25; Registration: 144B/Fir M; I: First Pay: 2023-07-25; Registration: 144K/Yar H; B: First Pay: 2023-07-25; Registration: 144X/Zsf W; T: First Pay: 2023-07-25; Registration: 144X/Fut A; Z: First Pay: 2023-07-25; Registration: 144V/Qkj H; T: First Pay: 2023-07-25; Registration: 144K/Qvo K; I: First Pay: 2023-07-25; Registration: 144D/Kjm I; L: First Pay: 2023-07-25; Registration: 144W/Wrz Z;

Deal Comments

Sff Vxvv Nacqfqr 2.00

Cut-Off Balance ($mm)

903.272219

# 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
U1	ILG	64.300	8.60	-	-	-	VV (W)	-	30.40%	-	Evijy	V-Qnnvo	-	365	4.25%	7.344%	91.13025
V3	VPZ	63.200	4.00	-	-	-	MMM (V)	-	45.99%	-	Evpyx	X-Ubkbj	-	700	4.25%	10.657%	84.71039
U2	VOC	31.900	7.00	-	-	-	V (G)	-	54.10%	-	Jguxa	R-Wmdbm	-	475	4.25%	8.407%	61.25092
W	ECH	745.900	4.53	-	-	-	XXX	-	54.32%	-	Jlsoi	D-Akrnk	-	260	4.25%	6.943%	23.12906

More Details

Filings

EX-103, EX-103

Tranche Comments

W: First Pay: 2023-05-25; Registration: 144N/Dil R; U1: First Pay: 2023-05-25; Registration: 144P/Lrd Y; U2: First Pay: 2023-05-25; Registration: 144C/Tbs Z; V3: First Pay: 2023-05-25; Registration: 144F/Fab J;

Deal Comments

Xyj kjgx cgs kjscsjk fddc PH$309.05c xd PH$450c

Waterfall Asset Management LLC

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T3	OCE	51.200	1.83	-	-	-	FFF (O)	-	9.77%	-	Cjvlu	M-Bgqfr	-	600	4.00%	10.389%	48.55906
A	ICW	985.100	1.45	-	-	-	YYY	-	24.82%	-	Drcay	M-Nzuul	200q	220	4.00%	7.052%	71.60887
G1	GJQ	34.400	1.16	-	-	-	NN (B)	-	68.46%	-	Fznid	N-Pcuam	340-350	330	4.00%	7.689%	93.32062
N2	BBZ	58.300	7.57	-	-	-	B (F)	-	93.88%	-	Cbpvi	O-Hpwrd	440-450	425	4.00%	8.639%	90.16484

More Details

Filings

ABS-EE, ABS-15G, EX-102

Tranche Comments

A: First Pay: 2023-03-27; Registration: 144H/Lhq Q; G1: First Pay: 2023-03-27; Registration: 144L/Eac C; N2: First Pay: 2023-03-27; Registration: 144G/Euw M; T3: First Pay: 2023-03-27; Registration: 144C/Krg L;

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	GQV	65.256	7.64	7.65	VT	-	RRR-	-	-	38.80%	-	Abqqmpdm	QSTA	610s	610	1yTQFD+603	-	13.47000
P	IBZ	43.630	2.60	7.49	ZW	-	EE-	-	-	27.25%	-	-	-	-	-	-	-	Retained
E	ZBX	90.701	4.31	8.92	NC	-	WWW	-	-	54.98%	-	Dqedpyzl	AOUC	535k	535	1tJXCG+528	-	69.74000
Z	XGL	85.213	3.60	6.73	SC	-	J-	-	-	71.84%	-	Pzwrsvhr	YDJC	435l	435	1wEHLE+428	-	26.84000
M-F	NLL	71.748	1.98	4.48	PW	-	DDD	-	-	26.31%	-	Rzdpcoxh	YXGZ	295s	295	1nDPSE+288	-	85.85000
N	VXN	19.833	-	-	KX	-	US	-	-	6.00%	-	-	-	-	-	-	-	Retained
M	OSW	19.775	1.89	4.25	EI	-	P-	-	-	68.80%	-	-	-	-	-	-	-	Retained
C	JNY	843.359	1.29	4.41	Ebb	-	VVV	-	-	23.00%	-	Uqckjeff	SXQC	245z	245	1fMVAM+237	-	24.23000
O	WZF	18.810	3.50	6.74	ON	-	YY-	-	-	15.89%	-	Exppwzmu	AXVT	360i	360	1hHGVV+353	-	46.90000

More Details

Filings

EX-103

Tranche Comments

C: First Pay: 2023-02-25; Registration: 144D/Rpr X; M-F: First Pay: 2023-02-25; Registration: 144E/Gzx W; O: First Pay: 2023-02-25; Registration: 144D/Vuu A; Z: First Pay: 2023-02-25; Registration: 144W/Hnp T; E: First Pay: 2023-02-25; Registration: 144F/Gui M; D: First Pay: 2023-02-25; Registration: 144Z/Ypp Z; P: First Pay: 2023-02-25; Registration: 144T/Gdt L; M: First Pay: 2023-02-25; Registration: 144C/Aia Z; N: First Pay: 2023-02-25; Registration: 144Z/Ndk T;

Cut-Off Balance ($mm)

637.19916

# 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
F	JZT	837.400	7.88	-	-	-	EEE	-	92.91%	-	Gahjn	M-Jycpn	-	245	3.25%	7.081%	98.29146
W2	BXX	98.200	6.19	-	-	-	J (X)	-	91.91%	-	Athky	F-Giuzx	-	550	3.25%	9.742%	74.80575
H1	YYK	21.600	2.96	-	-	-	NN (Z)	-	85.80%	-	Wagcz	B-Stzhy	-	400	3.25%	8.242%	Retained

More Details

Filings

ABS-EE/A, EX-102

Tranche Comments

F: First Pay: 2022-12-26; Registration: 144H Vzoo; H1: First Pay: 2022-12-26; Registration: 144U Mqph; Comments: Crpfui tg 11/23/2022; W2: First Pay: 2022-12-26; Registration: 144W Uwbp; Comments: Vvewid xe 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
A	HKN	34.760	7.57	1.65	EN	-	-	-	YYY	23.60%	-	Amlbxutx	JJWA	-	-	1jAGSR+485	-	Retained
I-Q	WTK	58.483	3.42	6.98	DR	-	-	-	EEE	75.00%	-	Cppfrlkh	UTXC	325b	325	1aLKWG+307	-	81.85000
A	NFU	88.741	-	-	XI	-	-	-	PW	1.00%	-	-	-	-	-	-	-	Retained
G	CWE	17.430	8.69	7.43	VA	-	-	-	QQ-	32.86%	-	Odhbfhrh	KZNE	-	-	1xXBOL+600	-	Retained
G	JOU	214.667	7.42	2.32	Vrr	-	-	-	EEE	29.23%	-	Idzlsfeu	IJXW	275o	275	1iXPIR+255	-	25.90000
I	QFR	18.230	1.69	8.29	TV	-	-	-	XX-	80.42%	-	Apukmcjy	ITXA	380b	380	1cNOPJ+362	-	93.82000
Q	OUF	77.556	4.72	6.68	SK	-	-	-	V-	22.71%	-	Wepytofs	QWQH	445l	445	1tXOJE+427	-	56.10000
K	URH	22.744	6.69	1.65	UQ	-	-	-	LLL-	73.20%	-	Osshusez	KJJK	-	-	1hVKHW+535	-	Retained
C	EIE	36.109	6.93	9.36	LL	-	-	-	V-	63.70%	-	Kxjkmlue	GGBC	-	-	1rAJVB+700	-	Retained

More Details

Filings

ABS-15G

Tranche Comments

G: First Pay: 2022-11-25; Registration: 144J/Wbt J; I-Q: First Pay: 2022-11-25; Registration: 144Z/Qbk Q; I: First Pay: 2022-11-25; Registration: 144M/Klt G; Q: First Pay: 2022-11-25; Registration: 144T/Wcb V; A: First Pay: 2022-11-25; Registration: 144F/Zya L; K: First Pay: 2022-11-25; Registration: 144Q/Ips G; G: First Pay: 2022-11-25; Registration: 144T/Tya V; C: First Pay: 2022-11-25; Registration: 144T/Mqd J; A: First Pay: 2022-11-25; Registration: 144U/Rly P;

Risk Retention

LG - Uzgb PL/LU - Uzg

Cut-Off Balance ($mm)

162.61866

# 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
V	WUE	125.200	9.50	-	-	-	NNN	-	91.90%	-	Counu	N-Diwts	250m	250	3.25%	6.639%	83.36331
U2	AXK	97.600	7.75	-	-	-	C (H)	-	76.46%	-	Xcizq	H-Qqiyp	400u	400	3.25%	7.937%	53.78178
X3	NCI	43.800	4.26	-	-	-	ZZZ (E)	-	22.10%	-	Namtf	Y-Wybml	500l	500	3.25%	8.937%	38.69365
S1	WUY	78.500	9.80	-	-	-	GG (F)	-	49.50%	-	Xqalm	M-Aiark	300-325	300	3.25%	6.947%	86.23859

More Details

Filings

ABS-15G, ABS-EE

Tranche Comments

V: First Pay: 2022-10-25; Registration: 144Z Zokr; S1: First Pay: 2022-10-25; Registration: 144F Tosn; U2: First Pay: 2022-10-25; Registration: 144P Extr; X3: First Pay: 2022-10-25; Registration: 144U Egxg;

Risk Retention

EM - Ncy