Connecticut Avenue Securities Investor Presentation
CAS 2020-R01 Exchangeable Notes (Group 1)
Class 1M-2
$523.509
Bsf / BB (sf)
Credit Enhancement: 0.95%
Principal
1M-2A/1M-2B/1M-2C Option
Class 1M-2A
$174.503
BB+sf / BBB (sf)
Credit Enhancement: 2.22%
Class 1M-2B
$174.503
BB-sf/ BBB- (sf)
Credit Enhancement: 1.58%
Class 1M-2C
$174.503
Bsf / BB (sf)
Credit Enhancement: 0.95%
Losses
1M-2A, 1M-2B and 1M-2C are LIBOR floaters with a margin equal to the 1M-2
Tranching and coupon stripping
provide optionality to meet
investor needs
To reduce the coupon, each exchangeable class can be stripped down to exchange into four P&I tranches, each
with a different margin and corresponding fixed IO
Multiple combinations of the floating rate and IO classes are available to meet various investor needs
REIT-Targeted Exchangeable Notes:
The introduction of the CAS REMIC added new exchangeable notes giving REIT investors the option to convert 1M-2
and/or 1B-1 notes into separate interest components that distinguish income that counts favorably toward the REIT
income test ("good REIT income") from other income
The exchange of the original note would create two pari passu notes: one that receives only good REIT income and
another that receives all other income
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