Connecticut Avenue Securities Investor Presentation
Group 1: Historical Loss Performance Re-
weighted to CAS 2020-R01 profile (Group 1)
Group 1 (60.01-80.00 OLTV) Comped Historical Loss
% of Origination UPB
123
3.
5.0%
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
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
2003
2006
2007
2008
2009
2012
2013
M2 Attach
-
COD
M1 Attach
2004
2010
2005
2011
B1 Attach
Min. CE
Curves reflect historical cum loss performance re-weighted to the CAS 2020-R01 Group 1 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
A projected terminal loss has been calculated for all vintages with fewer than 240 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 October 2019 Data Release
58
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