Connecticut Avenue Securities Investor Presentation
Historical Loss Performance Re-weighted
to CAS 2020-R01 Profile
5%
4.65%
CAS 2020-R01 G1 Comped Loss Performance with Pipeline Consideration (60.01-80 LTV Loans)
Min. Credit
Enhancement
4%
3%
2.85%
2%
0.95%
1%
0.20%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Net Loss
Comped Pipeline
Estimated Mod Loss -
M2 Attach
M1 Attach
B1 Attach
Min. CE
M1 Attach
M2 Attach
B1 Attach
1.
2.
3.
Bars reflect historical cumulative loss performance re-weighted to the CAS 2020-R01 G1profile across FICO/CLTV/Risk Layer distribution
Estimated Mod Loss re-weighted to the CAS 2020-R01 G1profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: Investor property, cash-out refinance, DTI > 45 (rounded) and single
borrower)
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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