Connecticut Avenue Securities Investor Presentation
Historical Loss Performance Re-weighted
to CAS 2020-R02 Profile
CAS 2020-R02 G2 Comped Loss Performance with Pipeline Consideration (80.01-97.00 LTV Loans)
6%
5%
4.95%
4%
3.35%
3%
2%
1.30%
1%
0.25%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Net Loss
Comped Pipeline
Estimated Mod Cost -
M2 Attach
M1 Attach
Min. CE
B1 Attach
Min. Credit
Enhancement
M1 Attach
M2 Attach
B1 Attach
12
1.
2.
Bars reflect historical cumulative loss performance re-weighted to the CAS 2020-R02 G2 profile across FICO/CLTV/Risk Layer distribution
Estimated Mod Loss re-weighted to the CAS 2020-R02 G2 profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: Investor property, cash-out refinance, DTI > 45 (rounded) and single
borrower)
3. Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution
Source: Fannie Mae Data Dynamics. http://www.fanniemae.com/DataDynamics
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