Connecticut Avenue Securities Investor Presentation
CAS 2020-R02 Transaction Overview
Est. $1.134 billion in offered notes (1)
10% CPR to Early Redemption
Expected
Class
Loan Group
Offered Notes
(Est. $MM)
Tranche Thickness
Credit Support (%)
(%)
Ratings
(S&P/KBRA)
Expected
Expected WAL (yrs)
Principal
Window
2M-1
2
$276.657
3.35%
1.00%
BBB-(sf) BBB (sf)
2.02
1-38
2M-2
2
$567.147
1.30%
2.05%
B+(sf)/ BB- (sf)
5.67
38-84
2B-1
2
$290.490
0.25%
1.05%
2B-2
2
$0.000
0.00%
0.25%
NR / NR
N/A
6.95
84-84
N/A
N/A
(1) The Maturity Date for all classes will be January 2040. First Early Redemption Date will be January 2027.
Transaction Timeline*
January 2020
February 2020
SMT
W
T
F
S
S
M T W
T
F
S
1
2
3
4
1
5
6
7 8
9
10 11
2
3
4
5
60
7
8
9
12
13
14
15
16
17
18
10
10
11
12
13
14
15
Deal timing:
Loan Data File: January 27, 2020
Pre-Marketing: January 29 - 31, 2020
CAS 2020-R02 Broad Investor Call: January 31, 2020
19
20
21
22
23
24
25
16
17
18 19
21
20
22
26
27
28
29
30
31
23
29
29
CAS 2020-R02 Execution: February 3 - 4, 2020
Closing and Settlement: February 12, 2020
*All dates are approximate
25
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Tape Release
Pre-Marketing
Broad Investor Call
Execution
ClosingView entire presentation