Connecticut Avenue Securities Investor Presentation
Group 2: Historical Loss Performance Re-
weighted to CAS 2020-R02 Profile (Group 2)
Group 2 (80.01-97.00 OLTV) Comped Historical Loss
% of Origination UPB
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
0
12
24
36
48
60
72
84
96
108
120
132
144
156
168
180
Months From First Payment
2000
2001
2002
2006
2007
2008
2012
2013
M2 Attach
2003
2009
M1 Attach
2004
2010
2005
2011
Min. CE
B1 Attach
123
1.
2.
Curves reflect historical cum loss performance re-weighted to the CAS 2020-R02 Group 2 profile across FICO/CLTV/Risk Layer distribution
Comped loan modification concession (mod loss) for a given vintage has been distributed evenly across each point on the respective curve
3.
A projected terminal loss has been calculated for all vintages with fewer than 180 months of activity. Projected terminal loss calculated by adding 25% of the default pipeline to the
cumulative loss (default pipeline defined as foreclosed loans without a property disposition and loans that were in D180 delinquency as of the most recent available activity record)
Source: Fannie Mae January 2020 Data Release
59
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