Connecticut Avenue Securities Investor Presentation
CAS 2020-R01 Structural Overview (Group 1)
Reference Pool
June 2019 - August 2019*
(Loans with REMIC election)
Group 1 Loans
Original LTV 60.01 - 80.00%
Class 1A-H
96.05% thick
3.95% credit support (initial)
4.65% credit support (required)
Class 1M-1
1.10% thick
2.85% credit support
Class 1M-2
1.90% thick
0.95% credit support
Class 1B-1
0.75% thick
0.20% credit support
Class 1B-2H
0.20% thick;
0.00% credit support
Class 1M-1H
(5% vertical
slice)
Class 1M-2H
(5% vertical
slice)
Class 1B-1H
(5% vertical
slice)
All H tranches are reference tranches only and will not be issued
■ 20-year legal final maturity; Fannie Mae optional call starting in year 7
■ Reference Pool contains only 60.01-80.00% LTV loans
■Loans acquired October 2018-August 2019 and securitized into MBS pools
issued in July 2019-September 2019
Notes are par-priced uncapped LIBOR floaters
■Fannie Mae optional 10% clean up call
■ Minimum credit enhancement to unlock unscheduled principal is 4.65%
■ Credit events are based on actual losses
■1M-2 class will offer exchange features with rated exchangeable notes
■ All classes are issued as REMICS and treated as debt-for-tax
■ Fannie Mae will retain 100% of the first loss tranche and at least 5% of all
offered tranches. Retention is in line with requirements of Regulation (EU)
2017/2402 Section 5.1(d) regarding retention of material net economic
interest
*A small portion of loans in the Reference Pool (less than 5% by loan count and UPB) were acquired between October 2018 and May 2019
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