Connecticut Avenue Securities Investor Presentation
Group 2: Historical Loss Performance Re-
weighted to CAS 2020-R02 Profile
Realized Loss Performance
Default Pipeline Implications
CAS 2020-R02 G2 Equivalent Perf.
(Not Including Default Pipeline)¹
Remaining
20 Year Net
Orig Year
UPB
Pool Factor
Loss
Mod Loss²
2
Total Loss
Rem. CAS
Window
(Months)³
Rem. CAS
Unsold REO
Total
Comped
Window %³
3
4
5
%
Active D180%
Net Loss
Mod Loss'
Loss
2000
0.3B
0.51%
0.20%
0.05%
0.25%
12.0
5.0%
0.02%
0.01%
0.06%
0.02%
0.08%
2001
0.9B
1.00%
0.34%
0.08%
0.42%
23.5
9.8%
0.01%
0.02%
0.15%
0.04%
0.19%
2002
1.5B
2.04%
0.59%
0.14%
0.73%
35.8
14.9%
0.03%
0.04%
0.29%
0.08%
0.37%
2003
3.6B
4.68%
1.03%
0.26%
1.29%
46.8
19.5%
0.05%
0.08%
0.62%
0.16%
0.78%
2004
2.0B
6.22%
1.93%
0.52%
2.45%
59.0
24.6%
0.09%
0.14%
1.13%
0.30%
1.43%
2005
2.2B
8.01%
3.81%
0.95%
4.76%
71.5
29.8%
0.15%
0.20%
2.28%
0.55%
2.83%
2006
1.8B
7.88%
5.11%
1.63%
6.75%
83.6
34.8%
0.17%
0.23%
2.86%
0.88%
3.74%
2007
3.8B
9.23%
5.29%
2.34%
7.62%
96.5
40.2%
0.25%
0.28%
2.72%
1.25%
3.97%
2008
3.8B
6.72%
2.20%
1.45%
3.65%
107.0
44.6%
0.13%
0.18%
1.25%
1.04%
2.29%
2009
3.3B
9.55%
0.32%
0.06%
0.38%
118.2
49.3%
0.04%
0.05%
0.41%
0.10%
0.51%
2010
4.3B
15.71%
0.08%
0.01%
0.10%
132.4
55.2%
0.03%
0.06%
0.11%
0.02%
0.13%
2011
7.2B
20.02%
0.04%
0.01%
0.05%
144.5
60.2%
0.03%
0.06%
0.05%
0.03%
0.08%
2012
28.3B
38.33%
0.02%
0.00%
0.02%
156.1
65.0%
0.02%
0.07%
0.04%
0.00%
0.04%
2013
35.2B
37.46%
0.02%
0.01%
0.02%
167.5
69.8%
0.03%
0.09%
0.02%
0.01%
0.03%
2014
31.7B
37.19%
0.01%
0.01%
0.02%
180.1
75.0%
0.05%
0.16%
0.01%
0.01%
0.02%
2015
59.8B
55.54%
0.01%
0.00%
0.01%
191.5
79.8%
0.04%
0.17%
0.01%
0.00%
0.01%
2016
91.0B
72.66%
0.00%
0.00%
0.00%
203.8
84.9%
0.04%
0.16%
0.00%
0.00%
0.00%
2017
92.4B
80.14%
0.00%
0.00%
0.00%
215.8
89.9%
0.03%
0.15%
0.00%
0.00%
0.00%
1. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020 R02 G2
2. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications)
3. Calculated as average loan age subtracted from 240 months (CAS maturity)
4. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB
5. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB
6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.18% WAC of the CAS pool
7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020-R02 G2
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