Connecticut Avenue Securities Investor Presentation
Loss/Severity Statistical Summary (Group 1)
Loss/Severity Summary Characteristics by Origination Year (Group 1)
(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
Default UPB ($M)¹
Default Rate (%)
1999-
2001
$1,903
0.6%
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Total
$1,948 $4,711
0.8% 1.5%
$3,888
3.0%
$9,301 $10,686 $12,324
6.7% 9.3% 8.9%
$6,628
4.2%
$2,149 $617
$292
$222
$154
$116
$80
$53 $55,071
0.8%
0.3%
0.2%
0.1%
0.1%
0.1%
0.0%
0.0%
1.8%
EXPENSES:
Delinquent Interest
12%
12%
11%
11%
11%
11%
11%
12%
9%
9%
8%
7%
7%
7%
7%
5%
11%
Total Liquidition
13%
15%
14%
13%
10%
9%
9%
10%
11%
13%
14%
14%
14%
13%
13%
10%
11%
Exp.
Foreclosure
5%
Property
4%
ཧིཾ། ཝཾ
5%
5%
4%
3%
3%
3%
3%
3%
4%
4%
4%
5%
4%
5%
1
4%
3%
4%
4%
3%
3%
2%
2%
3%
3%
4%
5%
5%
5%
5%
4%
4%
3%
Preservation
Asset Recovery
0%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
0%
0%
0%
1%
Misc. Holding
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
1%
0%
1%
Expenses/Credits
Associated Taxes
3%
4%
4%
4%
3%
386
3%
3%
Total Costs
125%
127%
125%
124%
121%
121%
121%
do do
3%
3%
4%
4%
96
3%
3%
3%
3%
26
3%
122%
120%
122%
122%
120%
121%
120%
120% 115%
122%
PROCEEDS:
Net Sales Proceeds
77%
77%
82%
77%
69%
63%
64%
67%
78%
83%
85%
86%
89%
90%
88%
90%
70%
Credit Enhancement
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
90
0%
0%
0%
0%
0%
0%
Repurchase/Make
8%
4%
1%
1%
Whole
26
2%
4%
6%
10%
6%
36
3%
2%
1%
0%
0%
1%
216
1%
5%
Other
6%
5%
3%
2%
1%
1%
1%
1%
1%
2%
2%
2%
4%
4%
3%
2%
2%
Total Proceeds
91%
86%
87%
81%
73%
69%
71%
78%
85%
88%
89%
89%
93%
94%
92%
94%
76%
Severity
34.7%
41.2% 38.9% 43.7%
48.0%
52.0%
49.6%
43.8%
Total Net Loss ($M)
$659
$802 $1,833 $1,700 $4,462 $5,555 $6,114 $2,903
34.8% 33.4%
$747 $206
33.7%
$98
31.9% 27.9%
$71 $43
26.0% 27.1% 21.7% 45.9%
$12 $25,256
$30
$22
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 '02', '03', '09', 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
60 O 2021 Fannie Mae.View entire presentation