Clarification that COVID-19 Pandemic Is a Casualty Event under Certain Connecticut Avenue Securities (CAS) Transactions Issued under the Fixed-Severity Framework

For Connecticut Avenue Securities (CAS®) securities issued in the CAS 2014-C04, CAS 2015-C01, CAS 2015-C02 and CAS 2015-C03 fixed severity transactions, a reference obligation that was in a forbearance period due to a casualty event (such as a natural disaster, fire, or theft) at the time it became a credit event reference obligation will become a reversed credit event reference obligation if the reference obligation has a payment status reported as current at the conclusion of its forbearance period (or up to three months thereafter if necessary).

A reference obligation that is in a forbearance period due to COVID-19 will be treated as a casualty event for CAS securities issued in the CAS 2014-C04, CAS 2015-C01, CAS 2015-C02, and CAS 2015-C03 transactions.