Connecticut Avenue Securities Investor Presentation
Historical Loss Performance Re-weighted to CAS
Profiles (Group 1)
G1 Deals: Total Loss Rate Comped to 2006 Vintage Year
% of Origination UPB
0
1
2
4
5
Fixed Severity
Actual Loss
3.
1.
2.
CAS 2013-C01
62
© 2021 Fannie Mae.
CAS 2014-C01
CAS 2014-C02 G1
CAS 2014-C03 G1
CAS 2014-C04 G1
CAS 2015-C01 G1
CAS 2015-C02 G1
CAS 2015-C03 G1
CAS 2015-C04 G1
CAS 2016-C01 G1
CAS 2016-C02 G1
CAS 2016-C03 G1
CAS 2016-C04 G1
CAS 2016-C06 G1
CAS 2017-C01 G1
CAS 2017-C03 G1
CAS 2017-C05 G1
CAS 2017-C06 G1
CAS 2017-C07 G1
CAS 2018-C01 G1
■M1
■M2
■B
Retained B
Total Loss Rate
Dots reflect historical total loss performance re-weighted to all of Group 1 CAS profiles across FICO/CLTV/Risk Layer distribution
For deals up to and including CAS 2015-C03, total loss is calculated in accordance with the fixed severity schedule; for the others, total loss is calculated from actual net, modification
and pipeline losses
Total loss rate is based on a 150 months maturity for deals up to and including CAS 2019-R03 and based on a 240 months maturity for CAS 2019-R05 and onward
CAS 2018-C03 G1
CAS 2018-C05 G1
CAS 2018-C06 G1
CAS 2018-R07 G1
CAS 2019-R02 G1
CAS 2019-R03 G1
CAS 2019-R05 G1
CAS 2019-R07 G1
CAS 2020-R01 G1View entire presentation