Connecticut Avenue Securities Investor Presentation
Group 2 (80.01-97.00 OLTV) - Historical
Acquisition Profile
80-97 LTV Historical FRM25-30 Loan Acquisition Profile
Loan Original WA Note
% 2nd
%
Orig year
Count
UPB
Rate
WA FICO
WA DTI
WA OLTV WA OCLTV
Lien¹
Investor
% Refi²
% TPO³
% CA
WA Risk
Layers
1999
48,439
$6.1B
7.87%
700
36.0
92.1
92.1
0.0%
1.4%
12.4%
51.3%
11.3%
0.59
2000
394,365 $50.9B
8.21%
703
37.0
92.2
92.2
0.0%
1.9%
10.9%
54.7%
10.8%
0.62
2001
642,765 $89.5B
7.08%
701
35.8
91.1
91.2
0.1%
2.5%
38.7%
54.8%
10.8%
0.69
2002
525,263
$74.7B
6.65%
701
36.5
91.1
91.1
0.1%
3.5%
37.3%
56.9%
9.6%
0.75
2003
515,762
$76.2B
5.85%
702
36.2
90.8
90.9
0.3%
3.3%
42.7%
58.2%
7.6%
0.76
2004
214,946
$32.1B
5.97%
699
38.7
91.3
91.3
0.3%
3.9%
29.3%
57.6%
4.5%
0.89
2005
168,374
$27.0B
5.97%
703
40.1
90.7
90.8
0.3%
4.4%
34.6%
59.0%
2.2%
0.95
2006
131,800
$22.6B
6.55%
704
41.3
90.6
90.6
0.3%
4.9%
35.6%
61.0%
2.0%
1.00
2007
214,760
$41.2B
6.50%
703
41.8
90.6
90.6
0.4%
5.7%
43.5%
67.5%
4.6%
1.05
2008
262,878 $55.8B
6.19%
731
40.9
90.9
90.9
0.3%
3.4%
29.6%
62.9%
13.3%
0.64
2009
160,045
$34.8B
5.02%
755
33.7
89.9
89.9
0.5%
0.0%
41.5%
45.8%
8.8%
0.11
2010
121,651
$27.6B
4.72%
760
32.8
90.3
90.4
0.5%
0.0%
32.1%
54.9%
10.3%
0.03
2011
161,989
$36.1B
4.59%
759
33.4
91.3
91.3
0.3%
0.1%
27.0%
59.6%
12.3%
0.04
2012
322,236
$73.9B
3.87%
758
33.0
91.4
91.4
0.4%
0.1%
33.4%
55.1%
13.5%
0.05
2013
416,179
$94.1B
4.16%
751
34.2
92.0
92.1
0.4%
0.1%
22.3%
50.0%
13.2%
0.07
2014
379,750
$85.5B
4.49%
743
35.1
91.9
92.0
0.3%
0.2%
15.1%
45.3%
12.5%
0.12
2015
462,797
$108.3B
4.17%
745
34.7
92.0
92.0
0.3%
0.2%
17.5%
42.7%
11.8%
0.08
2016
549,210 $132.5B
3.89%
745
34.8
92.0
92.0
0.3%
0.2%
17.0%
42.8%
12.0%
0.09
2017
547,874
2018
567,481
$132.6B 4.29%
$141.6B
743
36.4
92.4
92.4
0.3%
0.4%
8.9%
49.1%
11.7%
0.17
4.80%
742
38.5
92.7
92.8
0.3%
0.4%
5.4%
51.1%
10.7%
0.32
2019
2Q20
646,534 $178.3B 4.20%
372,588 $108.9B 3.56%
745
37.4
92.1
92.2
0.2%
0.3%
20.4%
54.4%
13.4%
0.30
750
35.9
91.3
91.3
0.2%
0.2%
37.4%
38.5%
13.2%
0.18
Only loans with LTV between 80-97 are included. Excludes loans with CLTV >97
Statistics weighted by origination UPB
1. Loans with CLTV more than 3% greater than LTV are assumed to have second liens.
2. Includes both Rate/Term and Cash-out Refinances.
3. Includes Broker and Correspondent originations.
4. Risk Layers defined as: Investor Property, Cash-out Refinance, DTI > 45 (rounded to the nearest integer) & FICO < 680
Source: Fannie Mae October 2020 Data Release
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