Connecticut Avenue Securities Investor Presentation
Group 1: Historical Loss Performance Re-
weighted to CAS 2020-R01 Profile
CAS 2020-R01 G1 Equivalent Perf.
Realized Loss Performance
Default Pipeline Implications
(Not Including Default Pipeline)¹
Remaining
20 Year Net
Rem. CAS
Window
Rem. CAS
Unsold REO
Total
Comped
Orig Year
UPB
Pool Factor
Loss
Mod Loss² Total Loss
(Months)³
Window %³
%4
Active D180%5
Net Loss
Mod Loss
Loss
2000
0.3B
0.38%
0.17%
0.03%
0.20%
15.2
6.3%
0.00%
0.01%
0.08%
0.01%
0.09%
2001
1.4B
0.68%
0.23%
0.04%
0.27%
26.8
11.2%
0.01%
0.01%
0.12%
0.02%
0.14%
2002
3.3B
1.42%
0.34%
0.06%
0.40%
39.4
16.4%
0.01%
0.02%
0.20%
0.04%
0.24%
2003
11.4B
3.64%
0.56%
0.13%
0.69%
49.6
20.7%
0.02%
0.05%
0.39%
0.08%
0.47%
2004
6.6B
5.07%
1.27%
0.31%
1.59%
62.1
25.9%
0.04%
0.10%
0.79%
0.19%
0.98%
2005
9.5B
6.85%
3.15%
0.75%
3.90%
74.6
31.1%
0.08%
0.16%
2.07%
0.45%
2.52%
2006
7.7B
6.70%
4.73%
1.34%
6.07%
86.6
36.1%
0.09%
0.18%
2.93%
0.80%
3.73%
2007
10.3B
7.38%
4.28%
1.52%
5.81%
98.8
41.2%
0.12%
0.21%
2.47%
0.85%
3.32%
2008
8.5B
5.33%
1.75%
0.78%
2.53%
110.2
45.9%
0.08%
0.15%
1.18%
0.56%
1.74%
2009
25.8B
9.80%
0.27%
0.03%
0.30%
121.5
50.6%
0.03%
0.07%
0.33%
0.05%
0.38%
2010
30.4B
15.56%
0.09%
0.01%
0.10%
135.4
56.4%
0.02%
0.05%
0.16%
0.01%
0.17%
2011
31.2B
20.86%
0.06%
0.00%
0.06%
147.2
61.3%
0.01%
0.05%
0.09%
0.01%
0.10%
2012
110.2B
43.39%
0.02%
0.00%
0.02%
158.9
66.2%
0.01%
0.04%
0.04%
0.00%
0.04%
2013
92.3B
44.71%
0.01%
0.00%
0.02%
169.9
70.8%
0.01%
0.06%
0.02%
0.00%
0.02%
2014
53.9B
39.56%
0.01%
0.00%
0.01%
183.1
76.3%
0.02%
0.10%
0.01%
0.00%
0.01%
2015
105.2B
57.91%
0.00%
0.00%
0.01%
194.4
81.0%
0.01%
0.09%
0.00%
0.00%
0.00%
2016
163.4B
74.25%
0.00%
0.00%
0.00%
207.0
86.2%
0.01%
0.08%
0.00%
0.00%
0.00%
2017
152.6B
82.50%
0.00%
0.00%
0.00%
218.8
91.2%
0.01%
0.08%
0.00%
0.00%
0.00%
1. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020 R01 G1
2. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications)
3. Calculated as average loan age subtracted from 240 months (CAS maturity)
4. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB
6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.28% WAC of the CAS pool
5. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB
7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020-R01 G1
54 O 2021 Fannie Mae.View entire presentation