Connecticut Avenue Securities Investor Presentation
CAS 2020-R02 Exchangeable Notes (Group 2)
Class 2M-2
$567.147
B+ (sf) / BB- (sf)
Credit Enhancement: 1.30%
Principal
2M-2A/2M-2B/2M-2C Option
Class 2M-2A
$189.049
BB+(sf) BBB- (sf)
Credit Enhancement: 2.67%
Class 2M-2B
$189.049
BB-(sf)/BB+ (sf)
Credit Enhancement: 1.98%
Losses
Tranching and coupon stripping
provide optionality to meet
investor needs
ā
Class 2M-2C
$189.049
B+(sf)/ BB- (sf)
Credit Enhancement: 1.30%
2M-2A, 2M-2B and 2M-2C are LIBOR floaters with a margin equal to the 2M-2
To reduce the coupon, each exchangeable class can be stripped down to exchange into four P&I tranches, each
with a different margin and corresponding fixed IO
Multiple combinations of the floating rate and IO classes are available to meet various investor needs
REIT-Targeted Exchangeable Notes:
The introduction of the CAS REMIC added new exchangeable notes giving REIT investors the option to convert 2M-2 and/or
2B-1 notes into separate interest components that distinguish income that counts favorably toward the REIT income test
("good REIT income") from other income
The exchange of the original note would create two pari passu notes: one that receives only good REIT income and another
that receives all other income
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