CRT-Eligible Profile Summary
Cash Flow Waterfall
Principal
Loan Group 1 (60.01 - 80.00 LTV)
Class 1M-1
Class A-H
Class 1M-1H
Class 1M-2
Class 1M-2H
Class 1B-1
Class 1B-2H
Class 1B-3H
Class 1B-1H
Senior Notes: A-H class
Mezzanine Notes: M classes
Subordinate Notes: B classes
Retained Vertical Slice: 1M-1H, 1M-2H, 1B-1H
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Losses
• CAS cash flow structure is similar to typical RMBS transaction
cash flows
•
•
Principal payments and losses applied to the notes mirror the activity
on the loans in the underlying Reference Pool
Principal Payments are first allocated pro rata between senior notes,
mezzanine notes, and subordinate notes, then are applied sequentially
to the mezzanine notes and subordinate notes starting with 1M-1
• Deal must meet specified credit enhancement and delinquency tests
for the subordinate notes to receive unscheduled and
scheduled principal payments
⚫ Losses are applied in reverse sequential order beginning with
class 1B-3H
•
• 1B-2H and 1B-3H will both have class coupons for use in
connection with the allocation of Modification Loss Amounts
Principal payments and losses are allocated pro rata between the sold
notes and the retained vertical sliceView entire presentation