Connecticut Avenue Securities Investor Presentation
Historical Loss Performance Re-weighted to CAS
Profiles (Group 2)
G2 Deals: Total Loss Rate Comped to 2006 Vintage Year
% of Origination UPB
1
2
4
(сл
5
6
Fixed Severity
1.
2.
CAS 2014-C02 G2
63
O 2021 Fannie Mae.
CAS 2014-C03 G2
CAS 2014-C04 G2
CAS 2015-C01 G2
CAS 2015-C02 G2
CAS 2015-C03 G2
CAS 2015-C04 G2
CAS 2016-C01 G2
CAS 2016-C03 G2
CAS 2016-C05 G2
CAS 2016-C07 G2
CAS 2017-C02 G2
CAS 2017-C04 G2
■M1
M2
B
Retained B ●Total Loss Rate
Dots reflect historical total loss performance re-weighted to all of Group 2 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
CAS 2017-C06 G2
CAS 2017-C07 G2
CAS 2018-C02 G2
CAS 2018-C04 G2
Actual Loss
CAS 2018-C06 G2
CAS 2019-R01 G2
CAS 2019-R04 G2
CAS 2019-R06 G2
CAS 2020-R02 G2View entire presentation