CMS Case Study

Securities Purchased: Stress and Principal Cashflow Tables

# 3

Description

Cusip

Sector

FN-FM4870 2 11/01/50 FNMA CONV 30 YR SF

3140X8MU8

Fixed MBS N/A/N/A

Par

Coupon

Maturity

S&P/Moody Rt

2,194,008 104.8750 2,200,000

2.00

11/01/50

Market Price Original Face Current Factor

Delay Days

24

Historical Speeds

Pool Size Issue Date

Orig/WAM/Seas

169,668,839 11/01/2020

358 / 356 / 2

Gross WAC

0.9973

2.89

1Mo, 3Mo, 6Mo

1.14, Na, Na Na, Na, 1.15

Factor Date

12/01/20

1Yr, 2Yr, Life

Geography

AvgLoanSize / LTV 355,663 / 75% Number of Loans 478

Down 100 2,385,026

Down 50 2,353,578

Down 25 2,329,176

Base

Up 25

Up 50

Up 300

Market Value

2,300,966

2,267,971

2,230,115

1,780,293 -22.63% 11.98 / 8.88 9.78 / 0.46 1.53 / 4.22

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield

3.65%

2.29%

1.23%

0.00%

-1.43%

-3.08%

3.92 / 3.94 2.33 / -1.19 0.69 / -0.24

5.52 / 5.33 4.87 / -0.38 1.05 / 0.62

6.56 / 6.17 5.02 / -1.00 1.19 / 0.99

7.63 / 6.99 5.19 / -1.53 1.29 / 1.29

8.35 / 7.49 6.02 / -1.32 1.35 / 1.54

8.91 / 7.84 6.62 / -1.09 1.38 / 1.78

Gain (Loss) CPR / PSA

84,060

52,612

28,209

0

(32,995)

(70,851)

(520,673)

20.76

14.16

11.35

9.14

7.92

7.08

3.57

Yr1 (AsOf 12/16/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7

493,083 383,784 298,454 231,882 179,980 139,548 108,075

351,411 296,906 250,671 211,472 178,254 150,122 126,310

291,093 254,370 222,137 193,858 169,056 147,315 128,265

243,654 218,589 195,996 175,638 157,298 140,783 125,916

217,466 197,959 180,116 163,800 148,883 135,248 122,790

199,435 183,392 168,568 154,874 142,227 130,548 119,766

124,092 119,319 114,719 110,286 106,013 101,896 97,928

# 4

Description

Cusip

Sector

FN-CA8249 1.5 12/01/50 FNMA CONV 30 YR SF

3140QGEX1

Fixed MBS N/A/N/A

Par

Coupon

Maturity

S&P/Moody Rt

2,200,000 101.7188 2,200,000

1.50

12/01/50

Market Price Original Face Current Factor

Delay Days

24

Historical Speeds

Pool Size Issue Date

Orig/WAM/Seas

64,728,228 12/01/2020

359 / 358 / 1

Gross WAC

1.0000

2.47

1Mo, 3Mo, 6Mo

-2.29, Na, Na Na, Na, -2.29

Factor Date

12/01/20

1Yr, 2Yr, Life

Geography

AvgLoanSize / LTV 337,724 / 75% Number of Loans 192

Down 100 2,340,030

Down 50 2,297,609

Down 25 2,269,890

Base

Up 25

Up 50

Up 300

Market Value

2,237,814

2,201,701

2,161,906

1,714,778 -23.37% 11.43 / 8.61 9.92 / 0.45 1.33 / 4.19

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield

4.57%

2.67%

1.43%

0.00%

-1.61%

-3.39%

3.98 / 3.99 3.08 / -1.29 1.03 / -0.12

5.98 / 5.74 5.66 / -0.25 1.18 / 0.71

7.10 / 6.65 5.76 / -0.83 1.23 / 1.01

7.79 / 7.17 5.90 / -1.33 1.25 / 1.25

8.35 / 7.55 6.71 / -1.03 1.27 / 1.48

8.93 / 7.93 7.14 / -0.87 1.28 / 1.71

Gain (Loss) CPR / PSA

102,217

59,795

32,077

0

(36,113)

(75,908)

(523,036)

20.32

12.70

10.07

8.75

7.81

6.93

3.98

Yr1 (AsOf 12/16/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7

487,270 380,884 297,467 232,104 180,923 140,879 109,573

323,477 277,761 238,337 204,357 175,083 149,875 128,182

266,945 236,513 209,423 185,317 163,875 144,809 127,864

238,571 214,717 193,143 173,636 156,005 140,075 125,685

218,366 198,750 180,807 164,399 149,398 135,687 123,160

199,450 183,466 168,690 155,032 142,411 130,751 119,981

136,040 129,861 123,940 118,266 112,830 107,622 102,632

# 5

Description

Cusip

Sector

FN-FM5265 2 01/01/51 FNMA CONV 30 YR SF

3140X8Z75

Fixed MBS

Par

Coupon

Maturity

2,200,000 104.4375 2,200,000

2.00

1/01/51

Market Price Original Face Current Factor

Delay Days

24

Historical Speeds

Pool Size Issue Date

Orig/WAM/Seas

70,178,076 12/01/2020

359 / 359 / 0

1.0000

1Mo, 3Mo, 6Mo

Na, Na, Na Na, Na, Na

Factor Date

12/01/20

1Yr, 2Yr, Life

Geography

AvgLoanSize / LTV 340,879 / 79% Number of Loans 206

Down 100 2,364,404

Down 50 2,341,026

Down 25 2,321,307

Base

Up 25

Up 50

Up 300

Market Value

2,297,625

2,269,368

2,237,870

1,810,665 -21.19% 11.15 / 8.33 9.55 / 0.32 1.54 / 4.21

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield

2.91%

1.89%

1.03%

0.00%

-1.23%

-2.60%

2.90 / 2.95 1.90 / -0.93 0.41 / -0.58

4.17 / 4.10 3.77 / -0.64 0.87 / 0.41

5.06 / 4.86 4.02 / -1.08 1.05 / 0.84

6.09 / 5.69 4.38 / -1.47 1.20 / 1.20

7.02 / 6.40 5.13 / -1.30 1.30 / 1.49

7.58 / 6.78 5.72 / -1.11 1.35 / 1.73

Gain (Loss) CPR / PSA

66,779

43,401

23,682

0

(28,257)

(59,755)

(486,960)

27.97

19.44

15.71

12.56

10.40

9.29

4.44

Yr1 (AsOf 12/16/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7

649,198 458,861 324,025 228,582 161,080 113,380 79,707

465,548 368,576 291,561 230,434 181,949 143,521 113,085

385,241 319,472 264,730 219,191 181,330 149,870 123,747

317,422 273,442 235,398 202,502 174,071 149,510 128,305

270,917 239,465 211,539 186,752 164,760 145,255 127,963

247,019 221,241 198,045 177,180 158,417 141,550 126,392

142,599 135,528 128,784 122,351 116,215 110,364 104,783

12/11/2020

Raymond James

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