Connecticut Avenue Securities Investor Presentation
Risk-adjusted Performance of HomeReady
in Line with Cohort
Distribution of HomeReady loans differs from non-
HomeReady loans
HomeReady has greater concentration in higher CLTV
and lower FICO
Adjusted for profile, HomeReady loans perform in line
with non-HomeReady loans
HomeReady performance explained by loan
attributes (CLTV, FICO, risk layers)
Non-HomeReady UPB Distribution
CLTV
Non-HomeReady
FICO
Risk Layers
< 660
660-700 700-740
> 740
Total
0
1%
2%
4%
12% 18%
1
1%
3%
6%
16%
26%
<=80
2
1%
2%
3%
7%
14%
3
0%
1%
1%
1%
3%
4
0%
0%
0%
0%
0%
0
0%
1%
2%
5%
8%
1
0%
1%
2%
5%
8%
81-90
2
0%
0%
0%
1%
1%
3
0%
0%
0%
0%
0%
4
0%
0%
0%
0%
0%
0
0%
1%
3%
5%
10%
1
0%
1%
3%
6%
10%
91-97
2
0%
0%
0%
1%
1%
3
0%
0%
0%
0%
0%
4
Ever 60 Days Delinquent % by Loan Age
0%
0%
0%
0%
0%
Total
5%
12%
23%
60%
100%
9.0%
HomeReady UPB Distribution
8.0%
HomeReady
FICO
7.0%
CLTV
Risk Layers
< 660
660-700 700-740
> 740
Total
0
1%
1%
1%
1%
3%
6.0%
1
1%
2%
1%
4%
9%
<=80
2
5.0%
0%
1%
0%
1%
3%
3
0%
0%
0%
0%
0%
4.0%
4
0%
0%
0%
0%
0%
0
0%
1%
1%
2%
4%
3.0%
1
1%
2%
3%
6%
11%
2.0%
81-90
2
0%
0%
1%
2%
3%
3
0%
0%
0%
0%
0%
1.0%
4
0%
0%
0%
0%
0%
0
1%
3%
5%
5%
14%
0.0%
1
1%
6%
12%
22%
42%
2
4
6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48
91-97
2
0%
1%
4%
7%
12%
3
Loan Age (Months)
0%
0%
0%
0%
0%
4
0%
0%
0%
0%
0%
Non-Home Ready
HomeReady
Non-HomeReady (adjusted to HomeReady profile)
Total
6%
16%
29%
49%
100%
Source: Fannie Mae CAS at-issuance and monthly remittance files. Loans originated since 2H2016 and referenced in CAS deals. Loans are bucketed by CLTV, FICO, and risk layers.
Risk layers defined as DTI > 45 (rounded to the nearest integer), single borrower, cash-out refinance, and investor property. Risk-adjusted performance is derived by scaling non-
HomeReady performance by HomeReady UPB distribution across buckets. Loans in hurricane areas have been excluded.
46
O 2021 Fannie Mae.View entire presentation