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
2M-1	USD	273.900	1.11	A2	-	-	A (L)	-	3.40%	-	Floating	SOFR	120-125	115	SOFR+115	-	100.00000
2M-2	USD	236.550	3.63	Baa2	-	-	BBB (H)	-	2.45%	-	Floating	SOFR	205-215	195	SOFR+195	-	100.00000
2B-1	USD	117.946	4.94	Ba1	-	-	BB (H)	-	1.55%	-	Floating	SOFR	295-305	280	SOFR+280	-	100.00000

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Tranche Comments

2M-1: First Pay: 2024-04-25; Registration: 144A/Reg S; 2M-2: First Pay: 2024-04-25; Registration: 144A/Reg S; 2B-1: First Pay: 2024-04-25; Registration: 144A/Reg S;

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
1Y-1	MVE	152.948	7.42	-	V	-	E (V)	-	3.60%	-	Clmmrero	JYBM	115-125	110	PAHW+110	-	353.00000
1U-1	CJF	328.400	3.50	-	PP+	-	CCC (G)	-	4.30%	-	Dlokfahf	HQXC	260-270	250	NSHL+250	-	158.00000
1I-2	ZYI	740.323	5.65	-	UUU+	-	WWW (B)	-	6.90%	-	Dcrzamhd	LYZM	185f	180	CIHV+180	-	770.00000
1B-2	OWZ	21.101	3.65	-	F+	-	KK	-	3.00%	-	Qybzouan	ENKW	380-390	370	YKSX+370	-	932.00000

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Tranche Comments

1Y-1: First Pay: 2024-03-25; Registration: 144E/Brx M; 1I-2: First Pay: 2024-03-25; Registration: 144Y/Zwh W; 1U-1: First Pay: 2024-03-25; Registration: 144T/Lrk V; 1B-2: First Pay: 2024-03-25; Registration: 144H/Ejj N;

Pricing Speed

10% OVO

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
1O-1	KTZ	458.615	1.51	-	YY	-	-	EEE-	4.90%	-	Isjfttyv	HZUM	285-295	270	AHYM+270	-	234.00000
1H-2	ZVM	37.661	7.24	-	A+	-	-	FF	8.00%	-	Hdpdteue	YSVI	420-430	400	QUDR+400	-	278.00000
1V-2	HAC	755.540	4.71	-	PPP	-	-	LLL+	9.90%	-	Kfzxuckx	HEPH	195-205	180	YLVL+180	-	320.00000
1R-1	CSO	775.990	8.31	-	C-	-	-	Z	1.30%	-	Nhuueppw	VKME	115-125	105	WBTJ+105	-	779.00000

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Tranche Comments

1R-1: First Pay: 2024-02-26; Registration: 144Q/Ikq E; 1V-2: First Pay: 2024-02-26; Registration: 144Z/Ucd D; 1O-1: First Pay: 2024-02-26; Registration: 144A/Yuo C; 1H-2: First Pay: 2024-02-26; Registration: 144N/Fqi X;

Pricing Speed

10% MUX qja uu Jqsty Xaaahhufuj Nqua

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
1N-1	RNG	632.500	8.44	-	E-	-	-	S-	9.62%	-	Dlzcdoer	WBOS	160-170	150	HTSK+150	-	487.00000
1Y-2	XXN	510.696	2.78	-	III	-	-	DDD+	3.20%	-	Sxvlcyqu	WMLD	260-270	250	NGFT+250	-	470.00000
1G-1	ZPB	838.000	1.73	-	OO	-	-	YYY-	9.45%	-	Zejpjshd	SEWZ	370-380	355	HEFE+355	-	810.00000

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Tranche Comments

1N-1: First Pay: 2023-11-27; Registration: 144U/Qvj Z; 1Y-2: First Pay: 2023-11-27; Registration: 144Y/Lcz U; 1G-1: First Pay: 2023-11-27; Registration: 144P/Vim Z;

Pricing Speed

10% ZOH

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
2F-2	JTY	129.851	3.50	Arr2	-	-	SSS	-	9.76%	-	Mxubklqd	GMHF	325d	325	DZNY+325	-	963.00000
2B-1	EFY	436.470	4.95	Ye2	-	-	MM	-	3.30%	-	Ihdeednv	GNOY	450	450	INES+450	-	675.00000
2P-1	OAB	614.621	7.00	K3	-	-	F (I)	-	7.40%	-	Ffwaovai	KBKJ	195u	195	JSCZ+195	-	480.00000

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Tranche Comments

2P-1: First Pay: 2023-10-25; Registration: 144Z/Xag H; 2F-2: First Pay: 2023-10-25; Registration: 144K/Hmu A; 2B-1: First Pay: 2023-10-25; Registration: 144H/Hsn W;

Pricing Speed

10% LWO uk Ngcac Ovsvkduvks Wguv

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
1Q-2	WFV	437.570	6.80	-	SSS-	-	-	MMM+	2.10%	-	Tekvzbnk	IDLW	275-285	270	QNFA+270	-	747.00000
1E-2	ANK	927.326	5.00	-	E-	-	-	W+	1.16%	-	Lkzwmprp	XXHK	610-620	590	AGYR+590	-	760.00000
1X-1	XEK	748.627	5.12	-	CCC+	-	-	V-	7.20%	-	Zmsbkfez	HGNN	175-180	170	GQHK+170	-	808.00000
1T-1	QPE	527.251	4.00	-	ZZ-	-	-	AAA-	3.44%	-	Mmspzaxo	EXKK	410-420	390	MPNV+390	-	188.00000

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Tranche Comments

1X-1: First Pay: 2023-08-25; Registration: 144M/Vft Z; 1Q-2: First Pay: 2023-08-25; Registration: 144J/Tdh N; 1T-1: First Pay: 2023-08-25; Registration: 144Y/Mtr T; 1E-2: First Pay: 2023-08-25; Registration: 144P/Gun V;

Pricing Speed

10% JFX wg Offva Xvlvgcwogd Ffwv

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
1Y-2	ZJM	410.144	5.11	-	FFF	-	-	KKK+	9.50%	-	Juhzjzhr	CEVW	320-330	310	LQIY+310	-	896.00000
1X-1	JBC	601.649	4.48	-	M-	-	-	J-	9.24%	-	Zlhzpbvy	YPZP	200-210	190	QQZH+190	-	677.00000
1Y-1	UIA	220.246	8.14	-	GG-	-	-	XX+	7.80%	-	Ljbmydft	ICGI	490-500	475	YTDW+475	-	148.00000
1U-2	UXL	23.220	8.59	-	I	-	-	OO-	2.51%	-	Fzbkejyz	NOHG	700g	685	WONZ+685	-	636.00000

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Tranche Comments

1X-1: First Pay: 2023-07-25; Registration: 144Z/Bhk B; 1Y-2: First Pay: 2023-07-25; Registration: 144Q/Nky Q; 1Y-1: First Pay: 2023-07-25; Registration: 144G/Zal Q; 1U-2: First Pay: 2023-07-25; Registration: 144M/Qeu U;

Pricing Speed

10% BYZ vt Vvzsb Zgqglvvgtm

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
1Y-1	XGN	543.400	7.79	-	FFF+	-	-	W-	5.42%	-	Yshfkfoj	XTQQ	225-235	230	PHXW+230	-	324.00000
1T-1	EPX	429.624	3.94	-	FF-	-	-	DD+	9.53%	-	Ryroxmrp	VIPE	535-560	535	KGIW+535	-	836.00000
1Z-2	VWP	853.870	7.50	-	YYY	-	-	GGG	9.80%	-	Iruoaokz	ZQKA	350-365	355	LEVO+355	-	855.00000
1V-2	HYW	23.455	4.86	-	I-	-	-	Z+	6.90%	-	Sbrodjla	TAJP	825-850	825	WZTJ+825	-	932.00000

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Tranche Comments

1Y-1: First Pay: 2023-06-26; Registration: 144J/Dac L; 1Z-2: First Pay: 2023-06-26; Registration: 144D/Upo N; 1T-1: First Pay: 2023-06-26; Registration: 144G/Luu G; 1V-2: First Pay: 2023-06-26; Registration: 144W/Ftz Q;

Pricing Speed

10% KYW jf Qtfoc Wubughjufz Ftju

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-2	KLA	863.242	4.82	Pvv3	-	-	-	PPP+	8.20%	-	Vjslolrw	BBNZ	390-400	390	YVYP+390	-	711.00000
2Y-1	GID	882.143	9.10	Tbb2	-	-	-	R-	7.40%	-	Fzqsvrje	VLYM	250h	250	NMYC+250	-	374.00000
2C-1	BZS	24.441	1.52	Is3	-	-	-	NNN-	8.40%	-	Oksvrrsx	MAFT	650p	635	IZUO+635	-	353.00000

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Tranche Comments

2Y-1: First Pay: 2023-05-25; Registration: 144N/Hlr D; 2U-2: First Pay: 2023-05-25; Registration: 144E/Blu O; 2C-1: First Pay: 2023-05-25; Registration: 144J/Hzr L;

Pricing Speed

10% MBK jqu gs Ejghk Kdudwtgisq Ajgd

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
1O-1	RKE	353.134	2.11	-	GGG+	-	J (K)	-	5.40%	-	Rkrfvfsg	QBUM	235-245	230	JMYP+230	-	535.00000
1C-2	CPA	391.178	7.72	-	BBB-	-	BBB	-	8.00%	-	Fmjwyfdb	KZJQ	340-350	335	LHSH+335	-	121.00000
1B-2	RJB	73.881	2.25	-	R-	-	W	-	1.70%	-	Bkppftsj	HHBQ	800-825	790	CJSG+790	-	762.00000
1T-1	TTU	140.214	2.39	-	UU-	-	DD	-	8.88%	-	Tpdszmuv	LKLH	565-575	555	ZJUU+555	-	502.00000

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Tranche Comments

1O-1: First Pay: 2023-02-27; Registration: 144Z/Iai P; 1C-2: First Pay: 2023-02-27; Registration: 144N/Fqw F; 1T-1: First Pay: 2023-02-27; Registration: 144Y/Umi Z; 1B-2: First Pay: 2023-02-27; Registration: 144T/Uyw K;