Certificateholder Distribution Summary03:43:52 PM 1-866-846-4526 Contact: Series 2015-C03 8480 Stagecoach Circle Wells Fargo Bank, N.A. Credit-Linked Notes Certificateholder Distribution

07-Aug-2019

Distribution Date:

Telephone:

Page 1

Credit-Linked Notes

Connecticut Avenue Securities

26-Aug-2019

Customer Service - CTSLink

Securities Administration Services

1-866-846-452603:43:52 PM

Contact:

Series 2015-C03

8480 Stagecoach Circle

Wells Fargo Bank, N.A.Credit-Linked Notes

Certificateholder Distribution Summary

This report is compiled by Wells Fargo Bank, N.A. from information provided by third parties. Wells Fargo Bank, N.A. has not independently confirmed the accuracy of the information.

All Record Dates are based upon the governing documents and logic set forth as of closing.

Totals

CumulativeRealizedLossesClass

07/31/2019 0.00000 % 12,233,758,657.76 165,818,188.53 0.00 12,067,940,469.23 165,818,188.53 0.00 0.00 08/23/2019 3.76600 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00 07/31/2019 0.00000 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00 08/23/2019 7.26600 % 420,053,059.62 6,950,835.67 0.00 413,102,223.95 9,663,818.36 2,712,982.69 0.00 07/31/2019 0.00000 % 22,108,098.19 365,834.16 0.00 21,742,264.03 365,834.16 0.00 0.00 07/31/2019 0.00000 % 101,825,884.01 0.00 141,460.26 101,684,423.75 0.00 0.00 11,324,184.25 07/31/2019 0.00000 % 8,009,223,504.23 142,474,626.22 0.00 7,866,748,878.00 142,474,626.22 0.00 0.00 08/23/2019 3.76600 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00 07/31/2019 0.00000 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00 08/23/2019 7.26600 % 242,957,457.07 6,713,715.82 0.00 236,243,741.25 8,282,897.05 1,569,181.23 0.00 07/31/2019 0.00000 % 12,787,592.45 353,363.35 0.00 12,434,229.10 353,363.35 0.00 0.00 07/31/2019 0.00000 % 146,591,009.97 0.00 199,077.12 146,391,932.85 0.00 0.00 14,201,374.15

21,189,305,263.30 322,676,563.75 4,282,163.92 340,537.38 20,866,288,162.16 326,958,727.67 25,525,558.40

TotalDistribution

EndingCertificateBalance

PrincipalDistributionCUSIP

1A-H1M-1

1M-1H1M-2

1M-2H1B-H2A-H2M-1

2M-1H2M-2

2M-2H2B-H

CurrentRealized

LossInterest

Distribution

NA30711XBA1

NA30711XBB9

NANANA

30711XBC7NA

30711XBD5NANA

BeginningCertificateBalance

CertificatePass-Through

Rate

RecordDate


Frederick, MD 21701-4747www.ctslink.com

07-Aug-2019

Distribution Date:

Telephone:

Page 2

Credit-Linked Notes


26-Aug-2019



1-866-846-452603:43:52 PM

Contact:

Series 2015-C03



Principal Distribution Statement

143,536,168.58 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

6,009,581.82 0.00 0.00 316,294.39 0.00 0.00

0.00 0.00 141,460.26 128,360,563.93 0.00 0.00

0.00 0.00 0.00 0.00 0.00 0.00

6,040,160.03 0.00 0.00 317,912.06 0.00 0.00

0.00 0.00 199,077.12

284,580,680.81 0.00 340,537.38

Accretion

UnscheduledPrincipal

Distribution

1A-H 12,233,758,657.76 22,282,019.95 165,818,188.53 12,067,940,469.23 165,818,188.53 0.44379345 1M-1 0.00 0.00 0.00 0.00 0.00 0.00000000

1M-1H 0.00 0.00 0.00 0.00 0.00 0.00000000 1M-2 420,053,059.62 941,253.86 6,950,835.67 413,102,223.95 6,950,835.67 0.64131470

1M-2H 22,108,098.19 49,539.77 365,834.16 21,742,264.03 365,834.16 0.64131470 1B-H 101,825,884.01 0.00 141,460.26 101,684,423.75 0.00 0.89979361 2A-H 8,009,223,504.23 14,114,062.29 142,474,626.22 7,866,748,878.00 142,474,626.22 0.40927861 2M-1 0.00 0.00 0.00 0.00 0.00 0.00000000

2M-1H 0.00 0.00 0.00 0.00 0.00 0.00000000 2M-2 242,957,457.07 673,555.79 6,713,715.82 236,243,741.25 6,713,715.82 0.58990294

2M-2H 12,787,592.45 35,451.30 353,363.35 12,434,229.10 353,363.35 0.58990294 2B-H 146,591,009.97 0.00 199,077.12 146,391,932.85 0.00 0.91156933

48,326,315,223.00 21,189,305,263.30 38,095,882.96 323,017,101.13 20,866,288,162.16 322,676,563.75 0.43177900

TotalPrincipal

Distribution

ScheduledPrincipal

Distribution

27,192,696,144.00 254,975,000.00 13,420,442.00

644,149,000.00 33,902,644.00

113,008,608.00 19,221,011,441.00

257,451,000.00 13,550,205.00

400,479,000.00 21,078,432.00

160,593,307.00

EndingCertificatePercentage


Totals


OriginalFace

Amount

TotalPrincipalReductionClass

RealizedLoss



07-Aug-2019

Distribution Date:

Telephone:

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Credit-Linked Notes


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Contact:

Series 2015-C03



Principal Distribution Factors Statement

NOTE: All classes per $1,000 denomination.

0.44379345 443.79345120 6.09789436 0.00000000 0.00000000 5.27848242 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.64131470 641.31470196 10.79072648 0.00000000 0.00000000 9.32949026 0.64131470 641.31470189 10.79072653 0.00000000 0.00000000 9.32949035 0.89979361 899.79361351 1.25176535 1.25176535 0.00000000 0.00000000 0.40927861 409.27861170 7.41244167 0.00000000 0.00000000 6.67813785 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.58990294 589.90294435 16.76421440 0.00000000 0.00000000 15.08233897 0.58990294 589.90294439 16.76421425 0.00000000 0.00000000 15.08233914 0.91156933 911.56932742 1.23963522 1.23963522 0.00000000 0.00000000

TotalPrincipal

Distribution

TotalPrincipalReduction

RealizedLoss Accretion

6.09789436 0.81941194 449.89134556 27,192,696,144.00 0.00000000 0.00000000 0.00000000 254,975,000.00 0.00000000 0.00000000 0.00000000 13,420,442.00

10.79072648 1.46123624 652.10542843 644,149,000.00 10.79072653 1.46123618 652.10542841 33,902,644.00 0.00000000 0.00000000 901.04537886 113,008,608.00 7.41244167 0.73430383 416.69105337 19,221,011,441.00 0.00000000 0.00000000 0.00000000 257,451,000.00 0.00000000 0.00000000 0.00000000 13,550,205.00

16.76421440 1.68187543 606.66715875 400,479,000.00 16.76421425 1.68187558 606.66715864 21,078,432.00 0.00000000 0.00000000 912.80896264 160,593,307.00

EndingCertificatePercentage

UnscheduledPrincipal

Distribution


OriginalFace

Amount

1A-H1M-1

1M-1H1M-2

1M-2H1B-H2A-H2M-1

2M-1H2M-2

2M-2H2B-H


ScheduledPrincipal

DistributionClass



07-Aug-2019

Distribution Date:

Telephone:

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Credit-Linked Notes


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Contact:

Series 2015-C03



Interest Distribution Statement

(1) Amount also includes Coupon Cap or Basis Risk Shortfalls, if applicable.

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

0.00

RemainingUnpaidInterest

Shortfall(1)

TotalInterest

Distribution

Non-Supported

InterestShortfallClass

N/A1A-HN/A1M-1N/A1M-1H

07/25/19 - 08/25/191M-2N/A1M-2HN/A1B-HN/A2A-HN/A2M-1N/A2M-1H

07/25/19 - 08/25/192M-2N/A2M-2HN/A2B-H

Totals

0.00 12,067,940,469.23 0.00 0.00 0.00 12,233,758,657.76 0.00000 % 0.00 0.00 0.00 0.00 0.00 0.00 3.76600 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00000 %

2,712,982.69 413,102,223.95 0.00 2,712,982.69 0.00 420,053,059.62 7.26600 % 0.00 21,742,264.03 0.00 0.00 0.00 22,108,098.19 0.00000 % 0.00 101,684,423.75 0.00 0.00 0.00 101,825,884.01 0.00000 % 0.00 7,866,748,878.00 0.00 0.00 0.00 8,009,223,504.23 0.00000 % 0.00 0.00 0.00 0.00 0.00 0.00 3.76600 % 0.00 0.00 0.00 0.00 0.00 0.00 0.00000 %

1,569,181.23 236,243,741.25 0.00 1,569,181.23 0.00 242,957,457.07 7.26600 % 0.00 12,434,229.10 0.00 0.00 0.00 12,787,592.45 0.00000 % 0.00 146,391,932.85 0.00 0.00 0.00 146,591,009.97 0.00000 %

0.00 0.00 4,282,163.92 0.00

EndingCertificate/NotionalBalance

CurrentInterest

Shortfall(1)

4,282,163.92

Payment ofUnpaidInterest

Shortfall(1)Accrual

Days

CurrentAccruedInterest

N/AN/AN/A32

N/AN/AN/AN/AN/A32

N/AN/A

BeginningCertificate/NotionalBalanceAccrual Dates

CurrentCertificate

Rate



07-Aug-2019

Distribution Date:

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Contact:

Series 2015-C03



Interest Distribution Factors Statement

(1) Amount also includes Coupon Cap or Basis Risk Shortfalls, if applicable.

NOTE: All classes per $1,000 denomination.

Non-Supported

InterestShortfall

0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 3.76600 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 7.26600 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 3.76600 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 7.26600 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000 0.00000000 0.00000 % 0.00000000 0.00000000

CurrentInterest

Shortfall(1)

Payment ofUnpaidInterest

Shortfall(1)

CurrentAccruedInterestClass

1A-H1M-1

1M-1H1M-2

1M-2H1B-H2A-H2M-1

2M-1H2M-2

2M-2H2B-H

0.00000000 0.00000000 0.00000000 443.79345120 27,192,696,144.00 449.89134556 0.00000000 0.00000000 0.00000000 0.00000000 254,975,000.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 13,420,442.00 0.00000000 4.21173159 4.21173159 0.00000000 641.31470196 644,149,000.00 652.10542843 0.00000000 0.00000000 0.00000000 641.31470189 33,902,644.00 652.10542841 0.00000000 0.00000000 0.00000000 899.79361351 113,008,608.00 901.04537886 0.00000000 0.00000000 0.00000000 409.27861170 19,221,011,441.00 416.69105337 0.00000000 0.00000000 0.00000000 0.00000000 257,451,000.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 13,550,205.00 0.00000000 3.91826096 3.91826096 0.00000000 589.90294435 400,479,000.00 606.66715875 0.00000000 0.00000000 0.00000000 589.90294439 21,078,432.00 606.66715864 0.00000000 0.00000000 0.00000000 911.56932742 160,593,307.00 912.80896264

EndingCertificate/NotionalBalance

RemainingUnpaidInterest

Shortfall(1)

BeginningCertificate/NotionalBalance

TotalInterest

Distribution

CurrentCertificate

Rate

OriginalFace

Amount



07-Aug-2019

Distribution Date:

Telephone:

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Series 2015-C03

Certificateholder Account Statement



0.00 0.00

0.00

PREPAYMENT/CURTAILMENT INTEREST SHORTFALL

Total Prepayment/Curtailment Interest ShortfallServicing Fee Support

Non-Supported Prepayment/Curtailment Interest Shortfall



0.00

17,965,882.07

0.00

0.00 0.00

0.00

19,166.66

17,946,715.41

CERTIFICATE ACCOUNT

Beginning Balance

DepositsPayments of Interest and Principal

Reserve Funds and Credit Enhancements

Proceeds from Repurchased LoansGains & Subsequent Recoveries (Realized Losses)

Total Deposits

WithdrawalsReserve Funds and Credit Enhancements

Total Administration Fees

Payment of Interest and Principal

Total Withdrawals (Pool Distribution Amount)

Ending Balance

17,965,882.07

17,965,882.07

0.00

*Servicer Payees include: FEDERAL NATIONAL MORTGAGE ASSOCIATION

0.00 19,166.66

0.00

ADMINISTRATION FEES

Total Administration Fees 19,166.66

Gross Servicing Fee*Global Agent FeeSupported Prepayment/Curtailment Interest Shortfall

07-Aug-2019

Distribution Date:

Telephone:

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Series 2015-C03



Additional Reporting - Deal Level

2.266000%

Informational Reporting

LIBOR



07-Aug-2019

Distribution Date:

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Series 2015-C03



Additional Reporting - Group Level

Group 1

Group 2

Group 1

173,276,318.62 15,647,682,457.09

23,272,813.58 1,509,919,363.30

149,862,044.78 14,126,795,115.58

165,818,188.53 7,316,669.83 1,273,142.39

141,460.260.00

149,740,782.52 11,812,344,603.79

14,823,069.38 1,020,416,293.92

134,718,636.02 10,777,726,935.72

142,474,626.22 7,067,079.18 1,791,693.96

199,077.120.00

Cash Reporting


Total Principal Reduction Current

Total Principal Reduction Cumulative

Scheduled Principal Current

Scheduled Principal Cumulative

Unscheduled Principal Current

Unscheduled Principal Cumulative

Senior Reduction Amount

Subordinate Reduction Amount

Calculated Recovery Principal Amount

Calculated Tranche Write-Down Amount

Calculated Tranche Write-Up Amount

Total Principal Reduction Current

Total Principal Reduction Cumulative

Scheduled Principal Current

Scheduled Principal Cumulative

Unscheduled Principal Current

Unscheduled Principal Cumulative

Senior Reduction Amount

Subordinate Reduction Amount

Calculated Recovery Principal Amount

Calculated Tranche Write-Down Amount

Calculated Tranche Write-Up Amount



07-Aug-2019

Distribution Date:

Telephone:

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Contact:

Series 2015-C03




Group 1

Group 2

132457

70822

817

70005

28,884,393,000.00

28,252,151,838.03

12,604,469,380.94

807

61775

141,137,642.66

13,508,961,734.15

7,836,087.76

0

9

0.00

1,095,438.20

10

636

1,414,602.65

112,146,407.95

0

32

0.00

6,771,920.39

0

9

0.00

1,272,856.57

1,414,602.65

113,241,846.15

327

58,355,282.16


At Issuance Loan Count

Period Beginning Loan Count

Period Reference Pool Removal Loan Count

Period Ending Loan Count

UPB at Origination

UPB at Issuance

UPB Actual Current

Period PIF Loan Count Current

PIF Loan Count Cumulative

Period PIF Loan UPB Current

PIF Loan UPB Cumulative

Period Partial Prepayment Amount

Non-D180 Credit Event Loan Count Curr

Non-D180 Credit Event Loan Count Cum

Non-D180 Credit Event Actual Balance Cur

Non-D180 Credit Event Actual Balance Cum

D180 Credit Event Loan Count Current

D180 Credit Event Loan Count Cumulative

D180 Credit Event Actual Balance Curr

D180 Credit Event Actual Balance Cum

Repurchase Prior CE Loan Count Curr

Repurchase Prior CE Loan Count Cum

Repurchase Prior Credit Event UPB Curr

Repurchase Prior Credit Event UPB Cum

Reversed Credit Event Loan Count Current

Reversed Credit Event Loan Count Cumulative

Reversed Credit Event Amount Current

Reversed Credit Event Amount Cumulative

Credit Event Amount Current

Credit Event Amount Cumulative

Total Active Modified Loan Count

Total Active Modified Loan UPB



07-Aug-2019

Distribution Date:

Telephone:

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Series 2015-C03




Group 2

Group 1

93492

46099

697

45402 20,461,154,000.00 20,074,163,385.29 8,261,818,781.50

687

47365 129,707,732.98

10,457,868,657.65 3,536,530.13

0

13

0.00 2,708,604.68

10

695 1,990,771.08

139,305,139.09 0

16

0.00 3,004,563.11

0

8

0.00 1,289,888.94 1,990,771.08

142,013,747.68 370

75,711,584.28


Structural Reporting

At Issuance Loan Count

Period Beginning Loan Count

Period Reference Pool Removal Loan Count

Period Ending Loan Count

UPB at Origination

UPB at Issuance

UPB Actual Current

Period PIF Loan Count Current

PIF Loan Count Cumulative

Period PIF Loan UPB Current

PIF Loan UPB Cumulative

Period Partial Prepayment Amount

Non-D180 Credit Event Loan Count Curr

Non-D180 Credit Event Loan Count Cum

Non-D180 Credit Event Actual Balance Cur

Non-D180 Credit Event Actual Balance Cum

D180 Credit Event Loan Count Current

D180 Credit Event Loan Count Cumulative

D180 Credit Event Actual Balance Curr

D180 Credit Event Actual Balance Cum

Repurchase Prior CE Loan Count Curr

Repurchase Prior CE Loan Count Cum

Repurchase Prior Credit Event UPB Curr

Repurchase Prior Credit Event UPB Cum

Reversed Credit Event Loan Count Current

Reversed Credit Event Loan Count Cumulative

Reversed Credit Event Amount Current

Reversed Credit Event Amount Cumulative

Credit Event Amount Current

Credit Event Amount Cumulative

Total Active Modified Loan Count

Total Active Modified Loan UPB



07-Aug-2019

Distribution Date:

Telephone:

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Contact:

Series 2015-C03




Group 1

Group 2

95.742699%

4.257301%

0.005007%

0.000000%

0.000000%

10.000000%

0.400826%

0.395819%

YES

0

0.00

95.216867%

4.783133%

0.009917%

0.000000%

0.000000%

10.000000%

0.707445%

0.697528%

YES

0

0.00

Structural Reporting

Senior Percentage

Subordinate Percentage

10% Severity Tier % [0-1%]


40% Severity Tier % [Over 2%]

Applicable Severity Percentage

Cumulative Net Credit Event Percentage

Prior Cum Net Credit Event Percentage

Minimum Credit Enhancement Test Pass?

Loan Count Credit Event Subject To Forbearance

UPB of Credit Event Subject To Forbearance

Senior Percentage

Subordinate Percentage



25% Severity Tier % [Over 3%]

Applicable Severity Percentage

Cumulative Net Credit Event Percentage

Prior Cum Net Credit Event Percentage

Minimum Credit Enhancement Test Pass?

Loan Count Credit Event Subject To Forbearance

UPB of Credit Event Subject To Forbearance




Customer Service - CTSLinkWells Fargo Bank, N.A.Securities Administration Services

Frederick, MD 21701-47478480 Stagecoach Circle

www.ctslink.com

Fax: 240-586-8675

CONNECTICUT AVENUE SECURITIES

Distribution Date: 26-Aug-2019

Contact:

Telephone: 1-866-846-4526

Credit-Linked Notes

Credit-Linked Notes

Series 2015-C038/7/2019


Reference Tranche Performance

Class Original Beginning Period Ending Period

Tranche Credit Support

Write-down Amount Write-up Amount

Calculated Calculated

0.00 0.00 3.750000% 4.260000% 4.260000%1A-H

0.00 0.00 2.800000% 4.260000% 4.260000%1M-1

0.00 0.00 2.800000% 4.260000% 4.260000%1M-1H

0.00 0.00 0.400000% 0.800000% 0.810000%1M-2

0.00 0.00 0.400000% 0.800000% 0.810000%1M-2H

141,460.26 0.00 0.000000% 0.000000% 0.000000%1B-H

0.00 0.00 4.250000% 4.780000% 4.780000%2A-H

0.00 0.00 2.900000% 4.780000% 4.780000%2M-1

0.00 0.00 2.900000% 4.780000% 4.780000%2M-1H

0.00 0.00 0.800000% 1.740000% 1.770000%2M-2

0.00 0.00 0.800000% 1.740000% 1.770000%2M-2H

199,077.12 0.00 0.000000% 0.000000% 0.000000%2B-H




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Credit-Linked Notes

Credit-Linked Notes

Series 2015-C038/7/2019


Rep and Warranty Settlement Reporting

0

0.00

0.00

0

0.00

0.00

Original Current

Origination Rep and Warranty Settlement Loan Count

Origination Rep and Warranty Settlement Amount

Origination Rep and Warranty Settlement UPB

Group 1

0

0.00

0.00

0

0.00

0.00

Original Current

Origination Rep and Warranty Settlement Loan Count

Origination Rep and Warranty Settlement Amount

Origination Rep and Warranty Settlement UPB

Group 2




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Credit-Linked Notes

Credit-Linked Notes

Series 2015-C038/7/2019

Delinquency Status - MBA Delinquency Calculation Method

DELINQUENCY

30 Days

60 Days

90 Days

120 Days

150 Days

180+ Days

No. of

Loans UPB

692

124

53

39

18

14

124,057,943.42

21,195,261.93

8,721,928.62

8,073,256.10

3,033,720.86

2,145,757.70

0.988501%

0.177130%

0.075709%

0.055710%

0.025712%

0.019999%

0.984238%

0.168157%

0.069197%

0.064051%

0.024069%

0.017024%

% of

Loans UPB

1.342761% 1.326735%940 167,227,868.63

DELINQUENCY

30 Days

60 Days

90 Days

120 Days

150 Days

180+ Days

No. of

Loans UPB

601

148

38

25

33

12

112,131,309.41

27,037,251.75

7,008,409.84

5,812,558.50

6,510,984.97

2,608,837.78

1.323730%

0.325977%

0.083697%

0.055064%

0.072684%

0.026431%

1.357223%

0.327255%

0.084829%

0.070354%

0.078808%

0.031577%

% of

Loans UPB

1.887582% 1.950047%857 161,109,352.25

Group 2

Group 1




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Credit-Linked Notes

Credit-Linked Notes

Series 2015-C038/7/2019

Realized Loss Report - Collateral

Group 1

Summary

SDA

Current Month

3 Month Average

12 Month Average 0.361%

0.223%

0.369%

MDR

Current Month 0.011%

0.018%

0.018%

3 Month Average

12 Month Average

CDR

Current Month

3 Month Average

12 Month Average

0.133%

0.221%

0.216%

Calculation Methodology:

Monthly Default Rate (MDR): Sum(Beg Scheduled Balance of Liquidated Loans) / Sum(Beg Scheduled Balance)

Condit ional Default Rate (CDR): 1-((1-MDR)^12)

SDA Standard Default Assumption: If WAS ≤ 30 then CDR / (WAS * 0.02) else if 30 < WAS ≤ 60 then CDR / 0.6 else if 60 < WAS ≤ 120 then CDR / (0.6 - ((WAS - 60) * 0.0095))

else if WAS > 120 then CDR / 0.03

Weighted Average Seasoning (WAS): sum for each loan ((Original Term - Remaining Term)*(Current Scheduled Balance/Deal Scheduled Principal Balance))




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Credit-Linked Notes

Credit-Linked Notes

Series 2015-C038/7/2019

Group 2

Realized Loss Report - Collateral

Summary

SDA

Current Month

3 Month Average

12 Month Average 0.549%

0.476%

0.568%

MDR

Current Month 0.024%

0.028%

0.027%

3 Month Average

12 Month Average

CDR

Current Month

3 Month Average

12 Month Average

0.284%

0.340%

0.329%


Monthly Default Rate (MDR): Sum(Beg Scheduled Balance of Liquidated Loans) / Sum(Beg Scheduled Balance)

Condit ional Default Rate (CDR): 1-((1-MDR)^12)

SDA Standard Default Assumpt ion: If WAS ≤ 30 then CDR / (WAS * 0.02) else if 30 < WAS ≤ 60 then CDR / 0.6 else if 60 < WAS ≤ 120 then CDR / (0.6 - ((WAS - 60) * 0.0095))

else if WAS > 120 then CDR / 0.03

Weighted Average Seasoning (WAS): sum for each loan ((Original Term - Remaining Term)*(Current Scheduled Balance/Deal Scheduled Principal Balance))

07-Aug-2019

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Realized Loss Detail Report - Loans with Losses during Current Period

10 141,460.26 141,460.27 0.001 % 0 0.000 %0.000.00 10 141,460.26 141,460.27 0.001 %10 199,077.12 199,077.12 0.002 % 0 0.000 %0.000.00 10 199,077.12 199,077.12 0.002 %

20 340,537.38 340,537.39 0.002 % 0 0.000 %0.000.00 20 340,537.38 340,537.39 0.002 %

Group 1Group 2

Total

RealizedLoss/(Gain)

Amount

Inactive Active Totals

# Loans with

Losses

LiquidatedActual

Balance

CurrentLoss

Percentage

# Loans with

Losses

EndingActual

Balance

Liquidated or Ending Actual

Balance

RealizedLoss/(Gain)

Amount

RealizedLoss/(Gain)

Amount

CurrentLoss

Percentage

# Loans with

LossesGroup

CurrentLoss

Percentage

Realized Loss Loan Detail Report - Loans with Losses during Current Period

Realized Loss/(Gain) value may include Interest Loss, Principal Loss, and Expense amounts.

* This data is currently not provided for reporting.

** The current loss for this loan is associated with a modification; for further detail please see the Modification section.

CumulativeRealized

Loss/(Gain)

Group 1 0028548731 0.000 % OR 80.00 360 12,349.40 12,349.40 136,000.00 12,349.40 Group 1 0028551255 0.000 % IL 80.00 360 4,761.91 4,761.91 52,000.00 4,761.91 Group 1 0028580612 0.000 % NC 75.00 360 7,661.21 7,661.21 83,000.00 7,661.21 Group 1 0028583882 0.000 % CA 75.00 360 38,959.44 38,959.44 431,000.00 38,959.44 Group 1 0028608561 0.000 % CA 70.00 360 31,978.63 31,978.63 355,000.00 31,978.63 Group 1 0028610170 0.000 % GA 80.00 360 8,062.04 8,062.04 87,000.00 8,062.04 Group 1 0028622589 0.000 % SC 75.00 360 8,383.80 8,383.80 90,000.00 8,383.80 Group 1 0028653963 0.000 % TX 80.00 360 8,469.93 8,469.93 91,000.00 8,469.92 Group 1 0028661111 0.000 % OH 80.00 360 10,352.98 10,352.98 112,000.00 10,352.98 Group 1 0028667741 0.000 % NC 80.00 360 10,480.93 10,480.93 113,000.00 10,480.93 Group 2 0028455637 0.000 % UT 95.00 360 31,449.99 31,449.99 342,000.00 31,449.99 Group 2 0028458956 0.000 % SC 95.00 360 13,872.81 13,872.81 152,000.00 13,872.81 Group 2 0028459141 0.000 % IN 95.00 360 5,582.09 5,582.09 61,000.00 5,582.09 Group 2 0028491334 0.000 % IL 90.00 360 27,987.56 27,987.56 304,000.00 27,987.56 Group 2 0028495824 0.000 % CA 93.00 360 21,981.79 21,981.79 240,000.00 21,981.79 Group 2 0028495896 0.000 % TX 95.00 360 25,813.05 25,813.05 279,000.00 25,813.05 Group 2 0028499780 0.000 % OH 90.00 360 6,616.93 6,616.93 72,000.00 6,616.93 Group 2 0028526928 0.000 % NM 95.00 360 21,714.41 21,714.41 241,000.00 21,714.41 Group 2 0028530715 0.000 % AR 95.00 360 14,368.12 14,368.12 157,000.00 14,368.12 Group 2 0028541464 0.000 % MN 95.00 360 29,690.37 29,690.37 322,000.00 29,690.37

LoanNumber

OriginalTerm

OriginalPrincipalBalance

RealizedLoss/(Gain)

CurrentNote Rate StateGroup

LTV atOrigination

07/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/201907/31/2019

Liquidated orEnding Actual

Balance

LiquidationEffective

Date



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Prepayment Rates

SMM CPR PSA

SMM CPR PSA

Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

Current CPR

12mo Average CPR

CPR: Current vs 12mo Average

Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

40.00%

80.00%

120.00%

160.00%

200.00%

240.00%

280.00%

Current PSA

12mo Average PSA

PSA: Current vs. 12mo Average

Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

Current CPR

12mo Average CPR


Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

40.00%

80.00%

120.00%

160.00%

200.00%

240.00%

Current PSA

12mo Average PSA


Summary

Group 1

1.347 %

1.309 %

1.029 %

15.019 %

14.621 %

11.639 %

250.323 %

243.678 %

193.976 %

1.176 %

1.175 %

0.965 %

13.235 %

13.224 %

10.956 %

220.583 %

220.398 %

182.592 %

Current Month

3 Month Average

12 Month Average 12 Month Average

3 Month Average

Current Month

12 Month Average

3 Month Average

Current Month

Current Month

3 Month Average


3 Month Average

Current Month

12 Month Average

3 Month Average

Current Month



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Prepayment Rates

Single Month Mortality (SMM): (Partial and full prepayments + Repurchases) / (Beginning Scheduled Balance - Scheduled Principal)

Conditional PrePayment Rate (CPR): 1 - ((1 - SMM)^12)

SMM CPR PSA

Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

4.00%

8.00%

12.00%

16.00%

20.00%

Current CPR

12mo Average CPR


Sep-1

8

Oct-18

Nov-1

8

Dec-1

8

Jan-

19

Feb-1

9

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-1

90.00%

40.00%

80.00%

120.00%

160.00%

200.00%

240.00%

280.00%

320.00%

Current PSA

12mo Average PSA


Group 2

1.607 %

1.512 %

1.127 %

17.666 %

16.694 %

12.654 %

294.426 %

278.238 %

210.907 %

Current Month

3 Month Average


3 Month Average

Current Month

12 Month Average

3 Month Average

Current Month

PSA Standard Prepayment Model: 100 * CPR / (0.2 * MIN(30,WAS))Weighted Average Seasoning (WAS): sum((Original Term - Remaining Term)*(Current Scheduled Balance/Deal Scheduled Principal Balance))



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Modified Payment

Modifications

BeginningScheduledBalance

Current Scheduled Balance

PriorRate

ModifiedRate

Prior Payment

No Modifications this Period

LoanNumber



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Loan Number

Current Rate

Current Payment

Loan Number

Current Rate

Current Payment

Current ScheduledBalance

Loans Repurchased

CurrentScheduled Balance

Loans Substituted

Substitutions

No Substitutions this Period

Repurchases Due to Breaches

Loan Number

Current Rate

No Repurchases Due to Breaches this Period

BeginningScheduledBalance

Current Payment

PayoffBalance

Repurchases Due To Other

Loan Number

No Repurchases Due to Other this Period

Beginning ScheduledBalance

Current Rate

Current Payment

Payoff

Balance



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Supplemental Reporting

Business Day

means a day other than (i) a Saturday or Sunday or (ii) a day on which the Corporate Trust Offices of the Global Agent (currently located at 9062 Old Annapolis Road, Columbia, Maryland 21045, Attention: Client Manager - CONN-AVE 2015-C03), DTC, the Federal Reserve Bank of New York or banking institutions in the City of New York are authorized or obligated by law or executive order to be closed.

Closing Date

means July 22, 2015.

Cut-off Date

means the close of business on May 31, 2015.

LIBOR Adjustment Date

means, with respect to any Payment Date, the second business day before the related Accrual Period begins. For this purpose, a "business day" is a day on which banks are open for dealing in foreign currency and exchange in London, New York City and Washington, D.C.

Maturity Date

means the Payment Date in July 2025.

Record Date

means, with respect to any Payment Date, (i) the Business Day immediately preceding such Payment Date, with respect to Notes issued in global form, and (ii) the last Business Day of the calendar month preceding the calendar month of such Payment Date, with respect to definitive Notes.

Payment Date

means the 25th day of each calendar month (or, if not a Business Day, the following Business Day), commencing in August 2015.

Accrual Period

means, with respect to each Payment Date, the period beginning on and including the prior Payment Date (or, in the case of the first Payment Date, the Closing Date) and ending on and including the day preceding such Payment Date.



Documents

Certificateholder Distribution Summary03:43:52 PM 1-866-846-4526 Contact: Series 2015-C03 8480 Stagecoach Circle Wells Fargo Bank, N.A. Credit-Linked Notes Certificateholder Distribution