CRT-Eligible Profile Summary
CAS Evolution: Transforming the CRT Sector
2013
■ CAS 1.0: Fixed severity loss
framework
• CAS 2013-C01 through CAS
2015-C03
•
⚫ Legal maturity: 10-years
Optional call: 10% clean-up call
•
Corporate debt
■ Class M-1 and Class M-2 notes
Group 1 loans (60-80% LTVs)
2014
■ Introduced transactions with
Group 2 loans (80-97% LTVs)
2015
■ CAS 2.0: Actual loss framework
CAS 2015-C04 and forward
•
Legal maturity: 12.5 years
• Optional call: 10-year call
option or 10% clean-up
2016
■ Issued Class B Notes: sold portion
of the first loss position
2017
■ Issued Class B-1 Notes: retained
first 50 bps of loss
■ Received ratings on previously
unrated M-2 classes
2018
■ CAS 3.0: CAS REMIC
• CAS 2018-R07 and forward
• All classes issued as REMICS
2019
■ CAS 2019-R04 and forward:
•
Legal maturity: 20-years
•
Optional Call: 7-year starting
with CAS 2019-R04 or 10% clean-
up
■ Issued HARP transaction:
14
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CAS 2019-HRP1
2020
■ Issued Seasoned B Tranche
Transaction:
CAS 2020-SBT1
•
Re-reference of CAS 2015-C04
through CAS 2016-C07
2021
■ Issued Class B-2 Notes: retained a
first loss piece
Legal maturity: 20-years
■ Optional Call: 5-years or 10%
clean-up
■ Transitioned to SOFR-based
transactions
■ Received ratings for 16 unrated
classes from 13 transactions
between 2017-2019
■ Conducted seasoned CAS Note
tender offer
2022
Optimizing structure to conform to
the Enterprise Regulatory Capital
Framework (ERCF)View entire presentation