Connecticut Avenue Securities Investor Presentation
CAS 2020-R02 Structural Overview (Group 2)
27
Reference Pool
June 2019 - September 2019*
(Loans with REMIC election)
Group 2 Loans
Original LTV 80.01 - 97.00%
Class 2A-H
95.65% thick
4.35% credit support (initial)
4.95% credit support (required)
Class 2M-1
1.00% thick
3.35% credit support
Class 2M-2
2.05% thick
1.30% credit support
Class 2B-1
1.05% thick
0.25% credit support
Class 2B-2H
0.25% thick;
0.00% credit support
Class 2M-1H
(5% vertical
slice)
Class 2M-2H
(5% vertical
slice)
Class 2B-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 80.01-97.00% LTV loans
■Loans acquired from November 2018- September 2019 and securitized
into MBS pools issued in July 2019-September 2019
■ Classes are par-priced uncapped LIBOR floaters
■Fannie Mae optional 10% clean up call
■Minimum credit enhancement to unlock unscheduled principal is 4.95%
■ Credit events are based on actual losses
■2M-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 classes. 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 November 2018 and May 2019)
O 2021 Fannie Mae.View entire presentation