Connecticut Avenue Securities Investor Presentation
CAS 2020-R02 G2 Excluded Loans Performance Summary
Initial cohort pool loan performance summary: Performance of loans that met the CAS eligibility criteria at acquisition but
were excluded from the CAS 2020-R02 reference Pool due to delinquency history, payoff, or QC removal
Category
Loan
Count
Original Loan Balance
Initial Cohort
112,140
$29,881,057,000
Less loans that did not satisfy the delinquency criteria, less loans that
paid-in-full, less quality control removals
1,603
$456,352,000
Eligible Loans
Reference Pool
Excluded loan summary (by Loan Count):
110,537
110,537
$29,424,705,000
$29,424,705,000
Worst DQ
Current Status
(1)
Total
Status Since
Acquisition
Current
D30
D60
D90
D120
D150
D180
>D180/Default
Paid in Full QC Removal Repurchase
258
1
0
267
Current
8
0
0
0
0
0
0
0
D30
799
435
0
0
0
0
0
0
4
0
0
1,238
D60
18
8
55
55
0
0
0
0
0
0
0
0
81
D90
3
1
0
9
0
0
0
0
0
0
0
13
D120
0
0
0
0
4
0
0
0
0
0
0
4
D150
0
0
0
0
0
0
0
0
0
0
0
0
D180
0
0
0
0
0
0
0
0
0
0
0
0
>D180
0
0
0
0
0
0
0
0
0
0
0
0
All
828
444
55
9
4
0
0
0
262
1
0
1,603
(1)
The above table takes into account acquisition eligibility criteria prior to the consideration of delinquency and other Cut-Off Date eligibility requirements, which could
understate such Cut-Off Date eligibility exclusions
(2)
Loans remain subject to Fannie Mae's post-purchase QC process as of December 2019 and are therefore excluded from eligibility
81
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