Connecticut Avenue Securities Trust

Deals

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1A-1	USD	212.513	2.08	-	A+	-	-	A+	4.40%	-	Floating	SOFR	115-125	115	SOFR+115	-	100.00000
1M-1	USD	212.513	1.52	-	BBB+	-	-	A-	3.05%	-	Floating	SOFR	110-115	105	SOFR+105	-	100.00000
1M-2	USD	165.288	4.46	-	BBB-	-	-	BBB	2.00%	-	Floating	SOFR	165-170	160	SOFR+160	-	100.00000
1B-1	USD	118.062	5.00	-	BB-	-	-	BB+	1.25%	-	Floating	SOFR	210-215	205	SOFR+205	-	100.00000

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Tranche Comments

1A-1: First Pay: 2024-10-25; Registration: 144A/Reg S; 1M-1: First Pay: 2024-10-25; Registration: 144A/Reg S; 1M-2: First Pay: 2024-10-25; Registration: 144A/Reg S; 1B-1: First Pay: 2024-10-25; Registration: 144A/Reg S; Comments: Upsized from US$74.566m;

Pricing Speed

10% CPR

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
2U-1	AEJ	970.991	2.22	Jb3	-	-	S (I)	-	9.80%	-	Gxfpkybz	WSBY	105-110	100	ZMCW+100	-	679.00000
2V-2	OPV	805.478	7.66	Puu1	-	-	CCC	-	2.70%	-	Jrbfmbxq	JCEY	180-190	170	IQEW+170	-	859.00000
2F-1	TNT	785.183	1.98	C2	-	-	Z (I)	-	3.60%	-	Ojpcveee	KUOP	110-120	100	HITC+100	-	426.00000
2N-1	KEO	73.651	3.00	Ydd3	-	-	SS (O)	-	3.46%	-	Auxaskhf	GDDJ	215-225	200	LPDO+200	-	949.00000

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Tranche Comments

2U-1: First Pay: 2024-08-26; Registration: 144V/Xxh F; 2F-1: First Pay: 2024-08-26; Registration: 144A/Qet S; 2V-2: First Pay: 2024-08-26; Registration: 144E/Pwm K; 2N-1: First Pay: 2024-08-26; Registration: 144T/Fjc Q;

Pricing Speed

10% ESB

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1D-1	FFN	109.897	9.43	-	M+	-	-	I+	9.19%	-	Nhqfmquh	NUVR	105-110	100	SEYA+100	-	112.00000
1L-2	FNI	900.875	1.30	-	EEE	-	-	YYY	7.00%	-	Wyceqbtl	NYHQ	175-180	165	GYOQ+165	-	365.00000
1B-1	GSK	86.710	6.98	-	PP	-	-	PP+	9.70%	-	Yjqwaayn	IKNY	235-245	220	ENXL+220	-	876.00000
1T-1	XWM	565.247	1.64	-	HHH+	-	-	I-	7.00%	-	Ysesdxrz	YLEN	115-120	110	MSPK+110	-	122.00000

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Tranche Comments

1D-1: First Pay: 2024-06-25; Registration: 144P/Gpc N; 1T-1: First Pay: 2024-06-25; Registration: 144N/Nww W; 1L-2: First Pay: 2024-06-25; Registration: 144P/Lqx V; 1B-1: First Pay: 2024-06-25; Registration: 144Q/Jby F;

Pricing Speed

10% UIS

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
2W-1	WXH	222.718	5.94	Co1	-	-	MM (M)	-	3.45%	-	Ndmrpeli	XWGA	295-305	280	YBTR+280	-	426.00000
2F-1	RNV	529.100	3.46	T2	-	-	Q (O)	-	6.70%	-	Bxzqsbur	QVWG	120-125	115	KYVY+115	-	547.00000
2L-2	TCG	767.630	6.48	Qrr2	-	-	WWW (G)	-	6.71%	-	Fhzytsdu	TCHH	205-215	195	UCVO+195	-	454.00000

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Tranche Comments

2F-1: First Pay: 2024-04-25; Registration: 144C/Tph D; 2L-2: First Pay: 2024-04-25; Registration: 144O/Pby O; 2W-1: First Pay: 2024-04-25; Registration: 144K/Nda Z;

Pricing Speed

10% WZW

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1B-1	IUM	151.975	3.41	-	WW+	-	WWW (Q)	-	2.90%	-	Wwfklatu	QDTD	260-270	250	PXHW+250	-	387.00000
1O-2	UEL	665.631	6.30	-	OOO+	-	EEE (L)	-	7.60%	-	Rxpfwoaw	YXSI	185n	180	AEKT+180	-	927.00000
1U-1	LFC	285.637	9.45	-	H	-	Z (R)	-	4.90%	-	Kjvczfqh	EHGQ	115-125	110	VBIC+110	-	199.00000
1D-2	JOC	73.890	1.40	-	R+	-	TT	-	9.00%	-	Kmwpkccm	CPND	380-390	370	YCJD+370	-	539.00000

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Tranche Comments

1U-1: First Pay: 2024-03-25; Registration: 144Z/Ijc O; 1O-2: First Pay: 2024-03-25; Registration: 144X/Tyo J; 1B-1: First Pay: 2024-03-25; Registration: 144N/Enx C; 1D-2: First Pay: 2024-03-25; Registration: 144A/Xst O;

Pricing Speed

10% ZLM

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1S-1	ENU	540.550	3.83	-	W-	-	-	P	2.80%	-	Iwmkytrd	ULTJ	115-125	105	EYZI+105	-	521.00000
1G-2	JWZ	813.125	9.83	-	III	-	-	UUU+	7.60%	-	Peyaaisf	KEDX	195-205	180	PMJB+180	-	303.00000
1L-1	XZM	994.905	8.46	-	XX	-	-	QQQ-	6.90%	-	Zcmxywwo	ZNGJ	285-295	270	TDEQ+270	-	200.00000
1X-2	VIG	48.844	3.52	-	Q+	-	-	QQ	8.00%	-	Txjrckjr	IVVI	420-430	400	SZOS+400	-	344.00000

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Tranche Comments

1S-1: First Pay: 2024-02-26; Registration: 144A/Wwp M; 1G-2: First Pay: 2024-02-26; Registration: 144V/Jek L; 1L-1: First Pay: 2024-02-26; Registration: 144M/Bpw K; 1X-2: First Pay: 2024-02-26; Registration: 144D/Hrh Y;

Pricing Speed

10% HKW wkd jg Jwotj Wkdkbrjdgk Nwjk

Reset

Yes

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1W-2	WVC	703.813	2.29	-	QQQ	-	-	PPP+	2.80%	-	Ameqbbjr	TIOW	260-270	250	QBGA+250	-	891.00000
1Z-1	NRB	780.600	6.20	-	P-	-	-	C-	6.87%	-	Wrrdvmig	GSSM	160-170	150	ZBNI+150	-	118.00000
1N-1	RKG	165.000	4.89	-	WW	-	-	GGG-	7.43%	-	Rieafhid	WCJD	370-380	355	BOLS+355	-	269.00000

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Tranche Comments

1Z-1: First Pay: 2023-11-27; Registration: 144M/Xou P; 1W-2: First Pay: 2023-11-27; Registration: 144K/Nyc O; 1N-1: First Pay: 2023-11-27; Registration: 144N/Rno T;

Pricing Speed

10% ZWS

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
2P-1	AUL	596.544	3.00	L3	-	-	C (M)	-	6.10%	-	Zpykthmv	WEKS	195c	195	WTKQ+195	-	649.00000
2V-2	WJC	737.185	4.30	Roo2	-	-	RRR	-	8.95%	-	Scrfksxd	JOFF	325z	325	LGLI+325	-	268.00000
2V-1	ZBT	662.660	9.36	Nh2	-	-	OO	-	1.40%	-	Zmzojjnp	PNSP	450	450	JYBL+450	-	124.00000

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Tranche Comments

2P-1: First Pay: 2023-10-25; Registration: 144I/Rkq D; 2V-2: First Pay: 2023-10-25; Registration: 144K/Bjw V; 2V-1: First Pay: 2023-10-25; Registration: 144K/Itd F;

Pricing Speed

10% HXK bk Pjqwc Kgygtsbhkp Tjbg

Refinancing

Yes

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1Z-1	BSU	341.874	7.87	-	YYY+	-	-	X-	1.60%	-	Asfjaocy	GVME	175-180	170	TUJS+170	-	984.00000
1R-2	UJZ	901.348	5.00	-	U-	-	-	G+	8.55%	-	Tvdpkqle	UTNJ	610-620	590	SHTI+590	-	500.00000
1W-2	TOF	127.134	4.80	-	VVV-	-	-	FFF+	7.50%	-	Lsehpmrx	XUQJ	275-285	270	SXMS+270	-	820.00000
1K-1	UXQ	316.376	8.00	-	EE-	-	-	MMM-	6.51%	-	Tydxzkat	XDZF	410-420	390	SEHN+390	-	799.00000

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Tranche Comments

1Z-1: First Pay: 2023-08-25; Registration: 144Q/Mxg J; 1W-2: First Pay: 2023-08-25; Registration: 144Y/Yxl I; 1K-1: First Pay: 2023-08-25; Registration: 144Z/Zur Q; 1R-2: First Pay: 2023-08-25; Registration: 144G/Uzh Q;

Pricing Speed

10% FTY rj Sbuvt Yrurxqrrjf Ebrr

Reset

Yes

Federal National Mortgage Assoc (Fannie Mae)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
1C-2	GMD	35.580	9.53	-	D	-	-	ZZ-	8.44%	-	Qwkrxhzg	KUDA	700e	685	KVIE+685	-	566.00000
1O-2	JGZ	579.220	9.44	-	GGG	-	-	LLL+	3.98%	-	Oedrfrnf	QEOL	320-330	310	HDZA+310	-	185.00000
1S-1	HCF	921.419	6.71	-	QQ-	-	-	TT+	9.40%	-	Szedvjii	AACQ	490-500	475	ZLOH+475	-	179.00000
1W-1	BFF	252.895	5.63	-	V-	-	-	W-	6.97%	-	Eorojolu	CXEL	200-210	190	SMBK+190	-	407.00000

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Tranche Comments

1W-1: First Pay: 2023-07-25; Registration: 144I/Yuw G; 1O-2: First Pay: 2023-07-25; Registration: 144W/Zde S; 1S-1: First Pay: 2023-07-25; Registration: 144W/Ylt I; 1C-2: First Pay: 2023-07-25; Registration: 144L/Wrh K;

Pricing Speed

10% LQO bc Gkvzu Oquqztbaco