Connecticut Avenue Securities Investor Presentation
Loss/Severity Statistical Summary (Group 2)
Loss/Severity Summary Characteristics by Origination Year (Group 2)
(Reflects loan status in performance dataset for activity through Q2 2020)
Loan Population: loans with zero balance code of '02', '03', '09', '15' with non-null Disposition dates
Origination Year
1999-
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Total
Default UPB ($M)¹
$2,665
Default Rate (%)
1.8%
$1,893 $2,925
2.5% 3.8%
$2,003
6.2%
$3,045 $3,305 $6,966
11.3% 14.6% 16.9%
$5,196
$639
$193
$145
$172
$230
$221
$172
$125 $29,893
9.3%
1.8%
0.7%
0.4%
0.2%
0.2%
0.3%
0.2%
0.1%
2.8%
EXPENSES:
Delinquent Interest
11%
11%
11%
11%
11%
12%
12%
11%
388
8%
7%
7%
6%
6%
7%
6%
5%
11%
Total Liquidition
12%
13%
14%
14%
12%
11%
10%
9%
9%
10%
12%
13%
13%
12%
11%
10%
11%
Exp.
Foreclosure
5%
5%
5%
4%
4%
3%
3%
3%
2%
3%
386
4%
16
4%
4%
3%
3%
3%
3%
Property
4%
4%
4%
4%
3%
3%
2%
2%
3%
3%
4%
5%
4%
4%
4%
4%
3%
Preservation
Asset Recovery
0%
0%
1%
1%
1%
0%
0%
1%
1%
1%
1%
1%
0%
0%
0%
0%
1%
Misc. Holding
1%
1%
1%
2%
2%
2%
1%
1%
1%
1%
1%
1%
1%
1%
1%
16
1%
1%
Expenses/Credits
Associated Taxes
2%
3%
3%
3%
3%
3%
3%
2%
2%
2%
3%
3%
3%
3%
2%
2%
3%
Total Costs
123%
124%
125%
125%
123%
123%
122%
120%
116%
117%
119%
119%
119%
118%
117%
115%
122%
PROCEEDS:
Net Sales Proceeds
76%
71%
72%
67%
61%
57%
57%
62%
74%
80%
83%
83%
80%
80%
80%
79%
63%
Credit Enhancement
24%
23%
21%
22%
23%
24%
23%
22%
19%
20%
21%
22%
25%
25%
22%
23%
23%
Repurchase/Make
5%
4%
2%
2%
3%
5%
7%
10%
4%
2%
1%
1%
1%
0%
0%
1%
5%
Whole
Other
3%
3%
3%
3%
2%
2%
2%
2%
2%
1%
1%
16
2%
36
3%
3%
3%
2%
2%
Total Proceeds
107%
100%
97%
93%
88%
87%
89%
95%
98%
103%
106%
107%
109%
108%
105%
105%
92%
Severity
16.1%
Total Net Loss ($M)
$428
23.9% 27.7% 32.0% 34.7%
$453 $811 $641
35.8% 32.2%
$1,056 $1,183 $2,244
24.5% 18.5%
$1,271 $118
13.8% 12.9% 11.9% 10.1%
$27 $19
$21
$23
$23
10.6% 11.6%
$20
9.8% 30.1%
$12 $8,351
1. Default UPB, expenses and proceeds in this view are for completed foreclosures only. These are defined as loans with a zero balance code of '09', '03', '02', or '15' and non-null disposition dates. Default rate is
calculated as the sum of default UPB divided by the origination UPB. Expense and proceed line items are a percentage of default UPB.
Source: Fannie Mae October 2020 Data Release
61
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