#1Fannie Mae® Connecticut Avenue Securities Investor Presentation January 2021 O 2021 Fannie Mae. Ⓡ#2Disclaimers Copyright© 2021 by Fannie Mae. Forward-Looking Statements. This presentation and the accompanying discussion contain a number of estimates, forecasts, expectations, beliefs, and other forward-looking statements, which may include statements regarding future benefits of investing in Fannie Mae products, future macroeconomic conditions, future actions by and plans of the Federal Reserve, Fannie Mae's future business plans, strategies and activities and the impact of those plans, strategies and activities. These estimates, forecasts, expectations, beliefs and other forward-looking statements are based on the company's current assumptions regarding numerous factors and are subject to change. Actual outcomes may differ materially from those reflected in these forward-looking statements due to a variety of factors, including, but not limited to, those described in "Forward-Looking Statements" and "Risk Factors" in our quarterly report on Form 10-Q for the quarter ended September 30, 2020 and our annual report on Form 10-K for the year ended December 31, 2019. Any forward-looking statements made by Fannie Mae speak only as of the date on which they were made. Fannie Mae is under no obligation to, and expressly disclaims any obligation to, update or alter its forward-looking statements, whether as a result of new information, subsequent events, or otherwise. No Offer or Solicitation Regarding Securities. This document is for general information purposes only. No part of this document may be duplicated, reproduced, distributed or displayed in public in any manner or by any means without the written permission of Fannie Mae. The document is neither an offer to sell nor a solicitation of an offer to buy any Fannie Mae security mentioned herein or any other Fannie Mae security. Fannie Mae securities are offered only in jurisdictions where permissible by offering documents available through qualified securities dealers or banks. No Warranties; Opinions Subject to Change; Not Advice. This document is based upon information and assumptions (including financial, statistical, or historical data and computations based upon such data) that we consider reliable and reasonable, but we do not represent that such information and assumptions are accurate or complete, or appropriate or useful in any particular context, including the context of any investment decision, and it should not be relied upon as such. Opinions and estimates expressed herein constitute Fannie Mae's judgment as of the date indicated and are subject to change without notice. They should not be construed as either projections or predictions of value, performance, or results, nor as legal, tax, financial, or accounting advice. No representation is made that any strategy, performance, or result illustrated herein can or will be achieved or duplicated. The effect of factors other than those assumed, including factors not mentioned, considered or foreseen, by themselves or in conjunction with other factors, could produce dramatically different performance or results. We do not undertake to update any information, data or computations contained in this document, or to communicate any change in the opinions, limits, requirements and estimates expressed herein. Investors considering purchasing a Fannie Mae security should consult their own financial and legal advisors for information about such security, the risks and investment considerations arising from an investment in such security, the appropriate tools to analyze such investment, and the suitability of such investment in each investor's particular circumstances. Fannie Mae securities, together with interest thereon, are not guaranteed by the United States and do not constitute a debt or obligation of the United States or of any agency or instrumentality thereof other than Fannie Mae. Opinions, analyses, estimates, forecasts, and other views of Fannie Mae's Economic & Strategic Research (ESR) group included in these materials should not be construed as indicating Fannie Mae's business prospects or expected results, are based on a number of assumptions, and are subject to change without notice. How this information affects Fannie Mae will depend on many factors. Although the ESR group bases its opinions, analyses, estimates, forecasts, and other views on information it considers reliable, it does not guarantee that the information provided in these materials is accurate, current, or suitable for any particular purpose. Changes in the assumptions or the information underlying these views, including assumptions about the duration and magnitude of shutdowns and social distancing, could produce materially different results. The analyses, opinions, estimates, forecasts, and other views published by the ESR group represent the views of that group as of the date indicated and do not necessarily represent the views of Fannie Mae or its management. © 2021 Fannie Mae.#3Contents Fannie Mae overview Credit risk management Program overview CAS deal structure overview Historical comparative analysis Investor resources Appendix 4 7 11 19 50 63 72 3 2021 Fannie Mae.#4Who We Are We are America's Housing Partner. Fannie Mae sits at the very heart of the U.S. housing industry. We purchase qualifying mortgages from lenders, bundle them into bonds and sell to investors. Lenders use their replenished cash to originate new mortgages, and we use ours to start the process again. This continuous flow of money promotes healthy housing market. We partner with lenders to create home purchase (single-family) and rental (multifamily) opportunities for millions of Americans across the country. 42021 Fannie Mae. in 4 single-family homes are financed by us. *Single Family, Approximate#5Our Size and Scale: Single-Family As of June 2020, U.S. Single Family 1st Lien mortgage debt outstanding totaled $10.8 trillion. Fannie Mae's share stood at approximately $3.1 trillion, nearly 29% of the market. The U.S. mortgage market is dominated by the 30-year Fixed-Rate Mortgage (FRM). Fannie Mae MBS Issuance by Product Type First Lien Mortgage Outstanding (Billions) $12,000 Fannie Total $10,000 $8,000 $6,000 $4,000 $2,000 $- Q1 2013 Q1 2014 Q1 2015 Q1 2016 Q1 2017 Q1 2018 Q1 2019 Q1 2020 *Source: Federal Reserve's Flow of Funds Fannie Mae was the largest issuer of single-family mortgage securities in the third quarter of 2020. Q3 2020 Market Share: Single-Family Mortgage-Related Securities Issuances Share Private-Label Securities 2% Billions ($) 1,000 800 600 400 200 0 * 2013 2014 2015 2016 2017 2018 2019 2020 ■30-Yr FRM 15-year FRM 20-year FRM 10-year FRM Other Fixed ■ARM As of September 30, 2020 We provided $933 billion in single family mortgage liquidity across the country in the first nine months of 2020. Ginnie Mae 23% Freddie Mac 5 2021 Fannie Mae. 34% Fannie Mae 41%#6Our Single-Family Business Providing liquidity to the housing market and investment options to rates and credit investors. $ Proceeds from sale of MBS flow back to lender to fund new loans calli Lender Fannie Mae MBS Originates loans Creates guaranteed MBS & non-guaranteed credit risk securities Delivers loans Services loans Pays guaranty fee Securitizes loans. Guarantees principal & interest on MBS in exchange for guaranty fee 62021 Fannie Mae. $ Interest Rate Investor Purchases MBS & assumes interest rate risk $ Credit Risk Securities Credit Investor Purchases credit risk securities & assumes portion of credit risk#7Credit Risk Management 7 2021 Fannie Mae.#8Our Credit Risk Management Approach Lender quality ■Lenders undergo a rigorous approval process prior to doing business with Fannie Mae and must meet ongoing net worth and business operational requirements. ■Lenders are subject to ongoing oversight through comprehensive operational reviews to assess the effectiveness of their quality control procedures. Loan quality Loans must be underwritten in accordance with Fannie Mae guidelines. 90% (1) of loans that we acquire are evaluated through Desktop Underwriter (DU), the industry's most widely used automated underwriting system. ■100% of Fannie Mae's single family and condominium appraisals are assessed through Collateral Underwriter (CU), our proprietary appraisal risk assessment tool. Servicing quality ■Fannie Mae sets loan servicing standards, acts as Master Servicer, and provides oversight of loan servicers. ■We set standards for loss mitigation and borrower workout options. Our proprietary servicing tool, Servicing Management Default UnderwriterTM (SMDU™), automates our servicing policies. Property management ■ We manage all property management and disposition in house, managing one of the industry's largest real- estate owned portfolios - disposing of over 1.8 million homes since 2009. ■ Our strategy is to sell non-distressed homes to owner-occupants, helping to maximize sales proceeds, stabilize neighborhoods, and preserve the value of our guaranty book. (1) Approximate 8 2021 Fannie Mae.#9Our Goal: Reducing Credit Losses Through a Fully Digital and Secured Mortgage Process Improve quality and drive efficiency by using data and eliminating manual processes throughout the entire lifecycle. 9 EarlyCheckTM Single Source Validation (pilot) ■ Desktop UnderwriterⓇ, Desktop Originator®, & Desktop Underwriter Validation Service Application Program Interfaces Collateral UnderwriterⓇ Production Execution Mortgage Technology Platform Fannie Mae Connect™ Insights Servicing Loan Quality Connect™ Pricing & Execution - Whole LoanⓇ/MBSⓇ Servicing Execution Tool™ Servicing Marketplace Loan Delivery Servicing Management Default Underwriter™ Default Management Reporting System PAST · Lots of paper Complex and manual Time consuming and costly FUTURE Reduced paper by connecting to source data Easier and more efficient Streamlined and automated O 2021 Fannie Mae.#10Credit Risk Management Highlights Fannie Mae's industry-leading technology drives improved loan quality and better outcomes. Desktop UnderwriterⓇ де 1,900(¹) Lenders/Agents +90% Loan deliveries in 2020 through DUⓇ(1) In 1H 2020, $516 BN in UPB delivered to Fannie Mae had Collateral UnderwriterⓇ Registered Lenders/ (1) Approximately 1200 lenders actively deliver loans to Fannie Mae through DU on an annual basis. Approximately 700 additional lenders are approved for DU access. 22,790+ Registered Users* 3,270+ Agents 45 Million+ Appraisals collected to date 7.4 Million+ Appraisals viewed by lenders since launch 100% of single-family and condominium appraisals go through CU as part of our QC process *Since January 2015 one or more Day 1 CertaintyⓇ components Servicing Management Default Underwriter™ ~95% of $ 1-2 hours Delinquencies covered through saved per loan with automated loss mitigation SMDU Over 1,000 servicers currently benefit from SMDU through B2B integration or through the SMDU User Interface Provides consistent decisioning for loss mitigation solutions Real Estate Owned 1.8 million+ Homes disposed of since 2009 (industry's largest distressed portfolio) HomePath.com 72+ Million Users to date Best execution approach to sell real estate based on NPV comparison to move-in ready home sold to owner occupant 100% of REO sales managed in-house: resulting in lower costs, higher sales prices, and reduced severities 10 O 2021 Fannie Mae.#11Program overview 11 O 2021 Fannie Mae.#12Fannie Mae's Connecticut Avenue Securities (CAS program) Since 2013, we've grown into the premier, award-winning mortgage credit risk transfer program in the industry, with: ■ ■ The creation of the innovative CAS REMICⓇ Industry-leading, data-driven credit risk management methodologies Thoughtful and consistent issuance approach ■ Transparent and unique investor resources ■ Maturing and liquid market Largest mortgage credit book in the industry, with innovative tools to improve the loan manufacturing process $47 billion issued under the CAS program since 2013 Transferred a portion of risk on $1.5 trillion in unpaid principal balance of mortgage loans at time of CAS issuance Transparent credit risk management process with historical research dataset of over 44 million loans 12 O 2021 Fannie Mae.#13CAS Program Highlights ◉ ■ ■ Large, geographically diversified loan pools provide broad exposure to U.S. housing market Fannie Mae serves as the credit risk manager - acting as an intermediary between the lender and investor to set standards, manage quality, mitigate losses, and maximize value Consistent structures promote liquidity and facilitate comparison of deals across time Broad Wall Street coverage, daily markets, and publishing research and analytics Pricing and trading volume available on TRACE and Bloomberg Active deal management - includes receiving ratings on previously unrated CAS bonds Transparent investor resources - including our investor analytical tool, Data Dynamics® All on-the-run CAS deals issued in or after November 2018 qualify as REMICS Deal Issuance Millions ($) 10000 8000 6000 4000 2000 Benchmark CAS Issuance 0 2013 2014 2015 2016 2017 2018 2019 2020 M-1 M-2 B B-1 Fannie Mae has issued $47 BN under the CAS program to date, and $24.1 BN in bonds remain outstanding as of September 2020. 13 O 2021 Fannie Mae.#14Credit Enhancement Levels Have Increased With Seasoning % Cumulative Prepay Deals are structured to result in bond de-levering as loans pay down 2016-2019 CAS M2 Bond Changes in Credit Enhancement 50% 120% 40% 30% 20% 10% 0% 3 4 7 7 10 11 13 14 15 19 20 20 22 23 25 27 28 30 30 33 33 34 36 37 39 40 42 43 46 46 50 50 50 Months since Issuance Source: Fannie Mae, Bloomberg 14 O 2021 Fannie Mae. % Cum Prepay % Change in CE (RHS) 110% % Chg in Credit Enhancement 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0%#15CAS Direct Debt NAIC Designations for 2020 All M1 bonds rated by NAIC in 2019 have paid off - 100% of which were rated NAIC 1. Ten direct debt bonds consisting of Exchangeable or RCR cohorts received upgrades for 2020. Thirty M2 bonds maintained their NAIC 1 rating from last year. Direct Debt M-2 Classes by NAIC Designation Direct Debt M2 Classes by NAIC rating Number of Bonds 30 24 25 20 15 10 5 0 1-3 Years 15 O 2021 Fannie Mae. 6 5 4 Weighted Average Life (WAL) NAIC 1 NAIC 2 NAIC 3 3-6 Years 15% 12% 73% ■ NAIC 1 ■ NAIC 2 ■ NAIC 3 ■NAIC 4 Note: The current WALS were run on December 31, 2020. NAIC designations as of the 2020 filing year. CAS direct debt transactions received favorable NAIC designations for the 2020 filing year#16the same as or higher than their rating at issuance. CAS Bond Ratings – At Issuance vs Current - ■ All CAS M1 bonds and 63 M2 bonds have current ratings M1 Rating Transition Matrix At Issuance Rating A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ M1 3 1 4 AAA 1 3 4 AA+ 1 1 3 135129 2 2 1 AA 3 1 AA- 3 2 A+ 1 3 A 1 11 4315 A- BBB+ BBB BBB- BB+ BB BB- B+ B M2 Rating Transition Matrix Current Rating* A A- BBB+ BBB BBB- BB+ At Issuance Rating BB BB- B+ B B- M2 A+ 2 1 1 1 2 2 1 3 1 1 2 1 3 4 1 4 1 1 6 3 2 1 A A- BBB+ 223 455 4 BBB BBB- BB+ BB BB- B+ B B- 16 * - Current ratings as of 12/31/20 © 2021 Fannie Mae. Current Rating* Upgrade No Change Downgrade#17CAS REMIC NAIC Breakpoints for 2020 ■ The NAIC has applied its approved modeling process to all 2018 and 2019 CAS REMICS ■ The NAIC breakpoint grids for the CAS REMIC M-2 Classes are below *Note: DEAL NOTE CLASS CAS 2018-R07 1M2 CUSIP 20753QAE9 TYPE* NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 ZERO LOSS AVR 99.44 101.59 106.36 118.08 134.14 N CAS 2019-R01 2M2 20754FAK8 AVR 97.08 99.18 103.84 115.28 130.96 N CAS 2019-R02 1M2 20753KAB8 AVR 99.83 101.99 106.78 118.54 134.67 N CAS 2019-R03 1M2 20753MAF5 AVR CAS 2019-R04 2M2 20753TAB9 AVR 98.24 99.68 101.84 100.37 106.62 118.36 134.47 N 105.08 116.66 132.53 N CAS 2019-R05 1M2 20754HAE8 AVR 99.93 102.1 106.89 118.66 134.81 N CAS 2019-R06 2M2 20754JABO AVR 96.54 98.62 103.25 114.63 130.23 N CAS 2019-R07 1M2 20753WAF3 AVR 97.87 99.99 104.68 116.22 132.03 N CAS 2018-R07 1M2 20753QAE9 NON-AVR 99.24 100.1 101.91 106.3 123.25 N CAS 2019-R01 2M2 20754FAK8 NON-AVR 96.89 97.72 99.49 103.78 120.32 N CAS 2019-R02 1M2 20753KAB8 NON-AVR 99.63 100.49 102.31 106.72 123.73 N CAS 2019-R03 1M2 20753MAF5 NON-AVR 99.48 100.34 102.15 106.56 123.54 N CAS 2019-R04 2M2 20753TAB9 NON-AVR 98.04 98.89 100.68 105.02 121.76 N CAS 2019-R05 1M2 CAS 2019-R06 2M2 20754HAE8 NON-AVR 99.73 20754JABO NON-AVR 96.34 100.59 102.41 106.83 123.85 N 97.17 98.93 103.2 119.64 N CAS 2019-R07 1M2 20753WAF3 NON-AVR 97.68 98.52 100.3 104.63 121.3 N AVR = Applies to NAIC reporting entities that maintain an Asset Valuation Reserve (AVR), generally life and health insurance companies Non-AVR Applies to NAIC reporting entities that do not maintain an Asset Valuation Reserve, generally property & casualty and HMO insurance companies 17 © 2021Fannie Mae. Note: Items in yellow reflect the current designations Fannie Mae received breakpoints on all CAS REMIC transactions issued in 2018 and 2019#18CRT Quarterly Trading Volume and Turnover Billions $20.00 $18.00 $16.00 CRT Trading Volume $42B of secondary trading in CAS bonds in the last 12 months, over one times float of $24.1B* $14.00 $12.00 $10.00 $8.00 $6.00 $4.00 $2.00 $- 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 CAS trading volume (Quarterly) 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 STACR trading volume (Quarterly) 3Q20 60% CRT Turnover 50% 40% 30% 20% 10% 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 Source: Fannie Mae trading survey, Bloomberg *As of September 2020 **Note: total quarterly trading volume/average quarterly outstanding UPB 18 © 2021 Fannie Mae. 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 CAS STACR 3Q20#19CAS Benchmark Program to Date Investor Distribution 2020 M1 2020 M2 99 34% 2020 B1 53% Percentage (by allocation) 6% 2013 2014 2015 2016 2017 2018 2019 2020 3% 1% Asset Manager 64% 61% 80% 83% 82% 81% 92% 90% Depository Institution/Bank 5% 11% 2% 0% 0% 0% 0% 1% Hedge Fund/Private Equity 19% 18% 6% 6% 8% 5% 7% 3% Insurance Company 12% 10% 12% 11% 10% 14% 1% 6% REIT 0% 0% 0% 1% 0% 0% 0% 0% 90% 15% 15% Percentage (by allocation) 2013 2014 2015 2016 2017 2018 2019 2020 Asset Manager 35% 50% 36% 42% 41% 35% 53% 42% Depository Institution/Bank 1% 6% 0% 0% 0% 0% 0% 0% 42% Hedge Fund/Private Equity 63% 42% 57% 49% 46% 54% 39% 34% Insurance Company 0% 0% 0% 1% 3% 0% 0% 9% REIT 1% 2% 7% 8% 10% 11% 7% 15% Percentage (by allocation) Asset Manager Hedge Fund/Private Equity 33% Insurance Company REIT Asset Manager 19 © 2021 Fannie Mae. Depository Institution/Bank 2017 2018 2019 2020 45% 43% 24% 33% 50% 52% 67% 53% 1% 0% 0% 0% 4% 5% 9% 15% Hedge Fund/Private Equity Insurance Company REIT *Asset Manager includes pension funds, mutual funds, sovereign wealth funds, foundations/endowments, and state/local governments. Source: Fannie Mae and dealers, primary issuance only Numbers may not foot due to rounding.#20CAS Deal Structure Overview 20 20 O 2021 Fannie Mae.#21CAS REMIC Overview ☐ Investor Benefits Better treatment under REIT income and asset tests for tax purposes ■ Removes tax impediments for non-U.S. investors to enable participation in non-rated tranches ☐ ◉ Helps insulate investors from potential future counterparty risk exposure to Fannie Mae Simplifies and aligns tax treatment of CAS with other mortgage related securities Fannie Mae Benefits Supports expansion of the CAS program investor base Achieves insurance accounting treatment for CAS, which aligns the timing of the recognition of CAS benefits with credit losses Enabling REMIC eligibility In order to facilitate this change, a REMIC tax election is made for a majority of single-family loans we acquire and securitize in MBS, beginning with loans in MBS pools issued on and after May 1, 2018 ■ Extensive industry outreach indicates market agreement that there is no impact to MBS ■ SIFMA's TBA Committee voted on the new structure proposal, identifying no issues that would impair the TBA eligibility The nature of our MBS, remittances, and cash flows to MBS investors, are unchanged Starting with 2018-R07, all on-the-run CAS deals in or after November 2018 qualify as REMICS 21 O 2021 Fannie Mae.#22CAS REMIC Key Deal Features Most of the features of the existing CAS structure are unchanged: ◉ Loan eligibility Capital structure ☐ - Actual loss calculations Modification loss calculations High LTV Refinance program provisions (i.e., continuance of coverage for loans that refinance under the High LTV Refi program) ☐ Timing of cash flows and loss allocations. Final maturity date/call date Offered as par-priced uncapped LIBOR floater Risk retention features CFTC Considerations: Like the previous CAS debt transactions, the CAS REMIC has been structured in a manner that does not involve any swaps; therefore the transaction is not considered a Commodity Pool 22 O 2021 Fannie Mae.#23CAS REMIC Structure Mirrors Legacy CAS Program 1 Credit and prepayment performance of the underlying mortgage loans determines performance of CAS securities REMIC regular interests that are associated with the loans are conveyed to the ĊAS REMIC ☐ Underlying Loan Pool Loans acquired by Fannie Mae and deposited into MBS ☐ Fannie Mae makes REMIC election on loans Loans in covered pool meet ◉ CAS Eligibility Criteria (2 Fannie Mae™ CAS REMIC Trust 2 CAS REMIC Notes Class A Fannie Mae retains senior-most risk position CAS REMIC Trust issues CAS securities: receives cash proceeds, which are deposited into Collateral Account Class M-1 Sold to investors Class M-1H Fannie Mae retains min 5% vertical slice Bankruptcy Remote Trust 3 Collateral Account CAS REMIC Trust pays interest to investors and repays principal less credit losses Class M-2 Sold to investors Class M-2H Fannie Mae retains min 5% vertical slice Class B-1 Sold to investors Class B-1H Fannie Mae retains min 5% vertical slice If underlying mortgage loans experience losses, CAS notes are written down by a corresponding amount, starting with Class B and continuing in reverse sequential order. O 2021 Fannie Mae. 23 Class B-2 Retained by Fannie Mae#24CAS 2020-R01 Transaction Overview Est. $1.033 billion in offered notes (1) 10% CPR to Early Redemption 20% CPR to Early Redemption Expected Class Loan Group Offered Notes (Est. $MM) Credit Support (%) Tranche Thickness (%) Ratings (Fitch/KBRA) Expected WAL Expected Principal Expected Expected WAL Principal (yrs) (yrs) Window Window 1M-1 1 $303.085 2.85% 1.10% BBB-sf/BBB+ (sf) 2.58 1-48 1.37 1-25 1M-2 1 $523.509 0.95% 1.90% Bsf/BB (sf) 6.25 48-84 3.94 25-79 1B-1 1 $206.648 0.20% 0.75% NR/NR 7.01 84-84 6.98 79-84 1B-2 1 $0.000 0.00% 0.20% N/A N/A N/A N/A N/A (1) The Maturity Date for all classes will be January 2040. First Early Redemption Date will be January 2027. Transaction Timeline* January 2020 SMT W T S FL 1 2 3 4 5 10 6 7 8 9 10 11 Tape Release Pre-Marketing Broad Investor Call 12 13 14 15 16 17 18 Execution 19 20 21 22 23 24 25 Closing 26 27 28 29 30 30 31 *All dates are approximate 24 © 2021 Fannie Mae. Deal timing: Loan Data File: January 6, 2020 Pre-Marketing: January 8 - 10, 2020 CAS 2020-R01 Broad Investor Call: January 10, 2020 CAS 2020-R01 Execution: January 13 - 14, 2020 Closing and Settlement: January 23, 2020#25CAS 2020-R02 Transaction Overview Est. $1.134 billion in offered notes (1) 10% CPR to Early Redemption Expected Class Loan Group Offered Notes (Est. $MM) Tranche Thickness Credit Support (%) (%) Ratings (S&P/KBRA) Expected Expected WAL (yrs) Principal Window 2M-1 2 $276.657 3.35% 1.00% BBB-(sf) BBB (sf) 2.02 1-38 2M-2 2 $567.147 1.30% 2.05% B+(sf)/ BB- (sf) 5.67 38-84 2B-1 2 $290.490 0.25% 1.05% 2B-2 2 $0.000 0.00% 0.25% NR / NR N/A 6.95 84-84 N/A N/A (1) The Maturity Date for all classes will be January 2040. First Early Redemption Date will be January 2027. Transaction Timeline* January 2020 February 2020 SMT W T F S S M T W T F S 1 2 3 4 1 5 6 7 8 9 10 11 2 3 4 5 60 7 8 9 12 13 14 15 16 17 18 10 10 11 12 13 14 15 Deal timing: Loan Data File: January 27, 2020 Pre-Marketing: January 29 - 31, 2020 CAS 2020-R02 Broad Investor Call: January 31, 2020 19 20 21 22 23 24 25 16 17 18 19 21 20 22 26 27 28 29 30 31 23 29 29 CAS 2020-R02 Execution: February 3 - 4, 2020 Closing and Settlement: February 12, 2020 *All dates are approximate 25 © 2021 Fannie Mae. 24 25 26 27 28 Tape Release Pre-Marketing Broad Investor Call Execution Closing#26CAS 2020-R01 Structural Overview (Group 1) Reference Pool June 2019 - August 2019* (Loans with REMIC election) Group 1 Loans Original LTV 60.01 - 80.00% Class 1A-H 96.05% thick 3.95% credit support (initial) 4.65% credit support (required) Class 1M-1 1.10% thick 2.85% credit support Class 1M-2 1.90% thick 0.95% credit support Class 1B-1 0.75% thick 0.20% credit support Class 1B-2H 0.20% thick; 0.00% credit support Class 1M-1H (5% vertical slice) Class 1M-2H (5% vertical slice) Class 1B-1H (5% vertical slice) All H tranches are reference tranches only and will not be issued ■ 20-year legal final maturity; Fannie Mae optional call starting in year 7 ■ Reference Pool contains only 60.01-80.00% LTV loans ■Loans acquired October 2018-August 2019 and securitized into MBS pools issued in July 2019-September 2019 Notes are par-priced uncapped LIBOR floaters ■Fannie Mae optional 10% clean up call ■ Minimum credit enhancement to unlock unscheduled principal is 4.65% ■ Credit events are based on actual losses ■1M-2 class will offer exchange features with rated exchangeable notes ■ All classes are issued as REMICS and treated as debt-for-tax ■ Fannie Mae will retain 100% of the first loss tranche and at least 5% of all offered tranches. Retention is in line with requirements of Regulation (EU) 2017/2402 Section 5.1(d) regarding retention of material net economic interest *A small portion of loans in the Reference Pool (less than 5% by loan count and UPB) were acquired between October 2018 and May 2019 26 O 2021 Fannie Mae.#27CAS 2020-R02 Structural Overview (Group 2) 27 Reference Pool June 2019 - September 2019* (Loans with REMIC election) Group 2 Loans Original LTV 80.01 - 97.00% Class 2A-H 95.65% thick 4.35% credit support (initial) 4.95% credit support (required) Class 2M-1 1.00% thick 3.35% credit support Class 2M-2 2.05% thick 1.30% credit support Class 2B-1 1.05% thick 0.25% credit support Class 2B-2H 0.25% thick; 0.00% credit support Class 2M-1H (5% vertical slice) Class 2M-2H (5% vertical slice) Class 2B-1H (5% vertical slice) All H tranches are reference tranches only and will not be issued ■ 20-year legal final maturity; Fannie Mae optional call starting in year 7 ■ Reference Pool contains only 80.01-97.00% LTV loans ■Loans acquired from November 2018- September 2019 and securitized into MBS pools issued in July 2019-September 2019 ■ Classes are par-priced uncapped LIBOR floaters ■Fannie Mae optional 10% clean up call ■Minimum credit enhancement to unlock unscheduled principal is 4.95% ■ Credit events are based on actual losses ■2M-2 class will offer exchange features with rated exchangeable notes ■ All classes are issued as REMICS and treated as debt-for-tax ■ Fannie Mae will retain 100% of the first loss tranche and at least 5% of all offered classes. Retention is in line with requirements of Regulation (EU) 2017/2402 Section 5.1(d) regarding retention of material net economic interest *A small portion of loans in the Reference Pool (less than 5% by loan count and UPB) were acquired between November 2018 and May 2019) O 2021 Fannie Mae.#28CAS 2020-R01 Exchangeable Notes (Group 1) Class 1M-2 $523.509 Bsf / BB (sf) Credit Enhancement: 0.95% Principal 1M-2A/1M-2B/1M-2C Option Class 1M-2A $174.503 BB+sf / BBB (sf) Credit Enhancement: 2.22% Class 1M-2B $174.503 BB-sf/ BBB- (sf) Credit Enhancement: 1.58% Class 1M-2C $174.503 Bsf / BB (sf) Credit Enhancement: 0.95% Losses 1M-2A, 1M-2B and 1M-2C are LIBOR floaters with a margin equal to the 1M-2 Tranching and coupon stripping provide optionality to meet investor needs To reduce the coupon, each exchangeable class can be stripped down to exchange into four P&I tranches, each with a different margin and corresponding fixed IO Multiple combinations of the floating rate and IO classes are available to meet various investor needs REIT-Targeted Exchangeable Notes: The introduction of the CAS REMIC added new exchangeable notes giving REIT investors the option to convert 1M-2 and/or 1B-1 notes into separate interest components that distinguish income that counts favorably toward the REIT income test ("good REIT income") from other income The exchange of the original note would create two pari passu notes: one that receives only good REIT income and another that receives all other income 28 O 2021 Fannie Mae.#29CAS 2020-R02 Exchangeable Notes (Group 2) Class 2M-2 $567.147 B+ (sf) / BB- (sf) Credit Enhancement: 1.30% Principal 2M-2A/2M-2B/2M-2C Option Class 2M-2A $189.049 BB+(sf) BBB- (sf) Credit Enhancement: 2.67% Class 2M-2B $189.049 BB-(sf)/BB+ (sf) Credit Enhancement: 1.98% Losses Tranching and coupon stripping provide optionality to meet investor needs ☐ Class 2M-2C $189.049 B+(sf)/ BB- (sf) Credit Enhancement: 1.30% 2M-2A, 2M-2B and 2M-2C are LIBOR floaters with a margin equal to the 2M-2 To reduce the coupon, each exchangeable class can be stripped down to exchange into four P&I tranches, each with a different margin and corresponding fixed IO Multiple combinations of the floating rate and IO classes are available to meet various investor needs REIT-Targeted Exchangeable Notes: The introduction of the CAS REMIC added new exchangeable notes giving REIT investors the option to convert 2M-2 and/or 2B-1 notes into separate interest components that distinguish income that counts favorably toward the REIT income test ("good REIT income") from other income The exchange of the original note would create two pari passu notes: one that receives only good REIT income and another that receives all other income 29 O 2021 Fannie Mae.#30Cash Flow Waterfall 30 ■ CAS cash flow structure is similar to typical RMBS transaction cash flows ◉ Principal payments and losses applied to the notes mirror the activity on the loans in the underlying Reference Pool ■ Principal Payments are first allocated pro rata between senior notes and subordinate notes, then are applied sequentially to the subordinate notes starting with M-1 ■ " Deal must meet specified credit enhancement and delinquency tests for the subordinate notes to receive unscheduled principal payments Losses are applied in reverse sequential order beginning with class B-2H Principal payments and losses are allocated pro rata between the sold notes and the retained vertical slice Principal Loan Group 1 (60.01 - 80.00 LTV) Class M-1 Class A-H Class M-1H Class M-2 Class M-2H Class B-1 Class B-2H Class B-1H Losses Senior Notes: A class | Mezzanine Notes: M classes | Subordinate Notes: B classes | Retained Vertical Slice: 1M-1H, 1M-2H, 1B-1H O 2021 Fannie Mae.#31Credit Events and Allocation of Losses Allocation of principal loss amounts Allocation of modification loss amounts 1 Class B2 - Principal 1 Class B2 - Interest 2 Class B1 - Principal 2 Class B2 - Principal 3 Class M2 - Principal 3 Class B1 Interest + Class M1 - Principal 4 Class B1 - Principal 5 Class M2 - Interest 6 Class M2 - Principal 7 Class M1- Interest 8 Class M1 - Principal 31 O 2021 Fannie Mae.#32Actual Loss Calculation - Principal Losses Losses at Disposition (+) Loan Balance (+) Total Liquidation Costs (+) Accrued Interest (-) Total Proceeds UPB at time of removal from reference pool (including any prior principal forgiveness amount) Foreclosure Expense Property Preservation Expense Asset Recovery Expense Miscellaneous Holding Expenses/Credits Associated Taxes Unpaid interest from Last Paid Installment date through Disposition Date on interest-bearing UPB, based on net Note rate (Note Rate net of servicing fee or 35 bps, whichever is greater) Net Sales Proceeds Credit Enhancement Proceeds (Mortgage Insurance Proceeds) Repurchase/ Make Whole Proceeds Other Proceeds Expenses and proceeds associated with a credit event are passed through to noteholders 90 days after the disclosed Disposition Date (e.g., property sale date). Any remaining trailing expenses and proceeds are passed through on a monthly basis thereafter as received. 32 O 2021 Fannie Mae.#33Modification Losses Modification Interest Rate Reduction Principal Forbearance Term Extension Principal Forgiveness* Borrower Impact Reduces monthly interest rate borrower pays on loan obligation Mortgage payments are suspended for a specific period of time; the portion of suspended principal does not bear interest and is due at termination of the loan Loan term is extended to reduce borrower monthly payments Outstanding principal loan balance is subject to a one time principal reduction based on established eligibility criteria Loss to Investor Losses passed through based on the difference between the modified and original note rate paid on the outstanding loan balance Loss reflects foregone interest on non interest bearing portion of UPB No loss to investor ■ At time of principal forgiveness, no modification losses will be passed through to noteholders ▪ The forgiven UPB amount will be treated as unscheduled principal at the time of the modification ■ If the modified loan subsequently experiences a credit event, the amount of the principal forgiveness will be included in the credit event net loss (realized loss calculation) Modification losses are passed through to noteholders on a monthly basis once a permanent modification takes effect. No losses are incurred during a modification trial period (typically 3 months). *Fannie Mae does not anticipate that any loans referenced in CAS deals will be eligible for Principal Forgiveness *Principal Forgiveness Eligibility Criteria: http://www.fhfa.gov/Media/PublicAffairs/Pages/FHFA-Announces-PRM-Program-and-Further-Enhancements-to-NPL-Sales-Reqts.aspx 33 O 2021 Fannie Mae.#34Collateral Account: Mechanics and Eligible Investments ☐ ☐ Collateral account Fannie Mae will deposit CAS REMIC note issuance proceeds into a collateral account held by the Bankruptcy Remote Trust Funds held in collateral account are used to return principal to CAS investors, as well as to compensate Fannie Mae for actual loan losses Third-party investment manager will invest funds subject to a pre-defined list of eligible investment criteria designed to meet the dual objectives of preservation of capital and timely liquidity (e.g. Short term US gov't obligations, money market funds, etc.) Investment guidelines designed to meet Rating Agency criteria to support up to a AAA future rating on CAS notes Eligible investment guidelines Eligible Investments are limited to: ■ United States government obligations (guaranteed/backed or issued by the U.S government) without specified rating limits, if the obligations are scheduled to mature before the next Payment Date ☐ Repurchase obligations with a term scheduled to mature prior to next Payment Date on obligations issued or fully guaranteed by the U.S. government, entered into with a depository institution or trust company incorporated under the laws of the U.S. or any state thereof, provided that at time of investment the short-term issuer rating of such institutions shall have a credit rating of at least 'A1', 'P1', 'F1+' or equivalent from at least one U.S. nationally recognized statistical rating organization (NRSRO) Money market funds (MMF): investments in U.S. government money market funds or other liquidity products similar to U.S. government money market funds, provided they are designed to meet the dual objective of preservation of capital and timely liquidity 34 O 2021 Fannie Mae.#35CAS 2020-R01 G1 Reference Pool Selection Process Oct 2018 - August 2019 Total Acquisitions of $446BN Original UPB Reserved for Reinsurance Random Division Loans have REMIC election and were securitized in MBS issued in July 2019 – September 2019* Fully amortizing, generally 25-year and 30-year fixed rate**, 1-4 unit, first lien, conventional Not Refi Plus™ / Not HARP 60% Loan-to-value < 80% 0 x 30 payment history since acquisition Not subject to a repurchase request as of Cut-Off Date Not subject to any form of risk sharing with the loan seller and/or servicer 100% of October 2018 - August 2019 Available Loans Connecticut Avenue Securities: $29.0BN Current UPB *** *October 2018 - August 2019 acquisitions were pooled into REMIC-eligible MBS in July 2019 - September 2019. **All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. *** Current UPB Reflects CAS 2020-R01 November 2019 Book Profile. Numbers may not foot due to rounding. Fannie Mae acquires HARP loans under its Refi Plus™ initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers. 35 O 2021 Fannie Mae.#36CAS 2020-R02 G2 Reference Pool Selection Process November 2018 - September 2019 Total Acquisitions of $473BN Original UPB Reserved for Reinsurance Random Division Loans have REMIC election and were securitized in MBS issued in July 2019 - September 2019* Fully amortizing, generally 25-year and 30-year fixed rate**, 1-4 unit, first lien, conventional Not Refi Plus™ / Not HARP Loan-to-value > 80% 0 x 30 payment history since acquisition Not subject to a repurchase request as of Cut-Off Date Not subject to any form of risk sharing with the loan seller and/or servicer 100% of November 2018 – September 2019 Available Loans Connecticut Avenue Securities: $29.1BN Current UPB *** *November 2018 - September 2019 acquisitions were pooled into REMIC-eligible MBS in July 2019 - September 2019. **All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. *** Current UPB Reflects CAS 2020-R02 November 2019 Book Profile. Numbers may not foot due to rounding. Fannie Mae acquires HARP loans under its Refi Plus™ initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers. 36 O 2021 Fannie Mae.#37Acquisition Profile 60.01-80.00 LTV CAS Eligible Loan Acquisition Profile Orig Date Original UPB ($M) $ Aug-19 Sep-19 18,709 $ 21,246 $ 23,631 $ 23,193 $ Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 23,766 $ 22,629 $ 22,523 $ 34,597 $ 56,906 $ 58,230 $ 63,722 $ 64,917 $ 78,888 $ 69,145 WA Note Rate 4.1% 4.0% 3.9% 3.9% 3.9% 3.9% 3.9% 3.8% 3.5% 3.4% 3.4% 3.3% 3.2% 3.0% WA FICO 753 754 757 755 753 753 752 756 759 761 762 763 764 765 WA DTI 35.3% 35.0% 34.4% 34.8% 35.2% 35.4% 35.5% 34.8% 33.8% 33.2% 33.2% 33.2% 33.2% 33.0% WA OLTV 69.6% 69.3% 68.8% 68.2% 68.5% 68.2% 68.1% 68.3% 68.0% 67.3% 66.6% 66.7% 66.7% 66.5% WA CLTV 70.0% 69.8% 69.2% 68.7% 69.0% 68.7% 68.6% 68.7% 68.4% 67.9% 67.3% 67.4% 67.3% 67.0% % Purchase 47.3% 41.9% 32.7% 32.0% 32.9% 32.0% 29.0% 26.6% 22.9% 17.7% 17.9% 23.4% 26.0% 26.8% % CA 20.4% 21.5% 23.2% 22.5% 23.3% 24.6% 25.4% 26.9% 26.6% 25.9% 27.3% 28.3% 28.7% 29.6% WA Risk Layers¹ 0.57 0.55 0.52 0.56 0.59 0.61 0.64 0.59 0.50 0.48 0.46 0.43 0.43 0.42 % Investor 7.5% 6.9% 6.2% 6.7% 6.5% 7.0% 7.2% 7.5% 6.5% 5.2% 5.3% 5.1% 6.1% 6.5% % FICO <680 7.1% 6.3% 5.3% 5.8% 6.0% 6.4% 6.6% 5.6% 4.6% 4.0% 4.0% 4.0% 4.1% 3.8% % Cashout 26.0% 26.3% 27.3% 29.4% 31.7% 32.1% 34.4% 31.8% 27.1% 27.1% 26.1% 22.7% 20.9% 20.8% %DTI 46-50 16.4% 15.4% 13.9% 14.6% 15.5% 16.1% 15.8% 14.3% 12.3% 11.5% 11.3% 11.6% 11.5% 11.2% 80.01-97.00 LTV CAS Eligible Loan Acquisition Profile Orig Date Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Original UPB ($M) $ 13,020 $ 13,093 $ 12,662 $ 11,353 $ 11,731 $ 11,199 $ 10,947 $ Mar-20 16,589 $ Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 WA Note Rate 4.1% 4.0% 3.9% 3.9% 3.9% 3.9% 3.9% 3.8% 3.5% 25,360 $ 23,611 $ 3.5% 25,154 $ 27,285 $ 31,093 $ 25,648 3.4% 3.3% 3.2% 3.0% WA FICO 746 747 750 750 748 749 749 750 751 750 750 750 749 750 WA DTI 37.0% 36.7% 36.4% 36.4% 36.7% 36.8% 36.7% 36.1% 35.6% 35.5% 35.7% 35.9% 35.9% 35.9% WA OLTV 92.6% 92.4% 91.7% 91.7% 91.7% 91.6% 91.6% 91.5% 91.2% 91.2% 91.5% 91.8% 91.7% 91.7% WA CLTV 92.6% 92.4% 91.7% 91.7% 91.7% 91.7% 91.6% 91.5% 91.3% 91.2% 91.5% 91.8% 91.8% 91.7% % Purchase 84.3% 80.8% 71.3% 70.9% 72.3% 72.9% 70.2% 66.8% 61.4% 58.1% 64.5% 72.3% 74.1% 76.0% % CA 9.6% 10.1% 11.7% 10.7% 12.3% 13.5% 14.0% 13.4% 12.5% 11.5% 12.4% 12.6% 12.6% 13.3% WA Risk Layers¹ 0.23 0.22 0.20 0.20 0.20 0.21 0.20 0.17 0.16 0.16 0.16 0.17 0.17 0.17 % Investor 0.2% 0.2% 0.3% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 0.1% 0.1% 0.1% 0.1% 0.2% % FICO <680 5.6% 5.4% 4.3% 4.1% 4.1% 4.3% 4.0% 3.5% 3.3% 3.5% 3.9% 4.4% 4.7% 4.8% % Cashout 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% %DTI 46-50 17.2% 16.0% 15.2% 15.2% 15.6% 16.0% 15.8% 13.8% 12.9% 12.2% 12.2% 12.6% 12.4% 12.4% Risk Layers defined as: Investor Property, Cash-out Refinance, DTI > 45 (rounded to the nearest integer), & FICO < 680 Source: Fannie Mae Data, as of September 2020 activity date 37 O 2021 Fannie Mae.#38CAS 2020-R01 Group 1 and CAS 2019-R07 Group 1 Reference Pool Summary CAS 2020-R01 G1 Reference Period - Acquisition Months Oct 2018 - Aug 2019 Average Original Principal Balance MBS Pooling Months Number of Reference Obligations Aggregate Original Principal Balance Aggregate Current Principal Balance 105,274 $29,330,684,000 $29,003,350,855 $278,613 Jul 2019 Sep 2019 CAS 2019-R07 G1 May 2018 - Jun 2019 Apr 2019 - Jun 2019 102,286 $26,566,028,000 $26,271,425,532 Cohort CAS 2020-R01 G1 | CAS 2019-R07 G1 Delta FICO < 660 3.78% 4.75% -0.97% FICO 660; CLTV > 80 0.05% 0.04% 0.01% FICO <660; CLTV > 75 1.89% 2.17% -0.28% $259,723 Average Current Principal Balance $275,503 FICO <660; Risk Layer > 0 2.80% 3.69% -0.90% $256,843 Gross Mortgage Rate 4.28% 4.61% FICO <660; Risk Layer > 1 0.95% 1.43% -0.48% Weighted Average Remaining Term 355.7 356.1 Weighted Average Original Term 359.4 359.4 FICO 660; Risk Layer> 2 0.07% 0.15% -0.08% Weighted Average Loan Age 3.6 3.3 Weighted Average Original LTV 75.4% 75.5% CLTV 80 2.35% 2.30% 0.05% Weighted Average Original CLTV 75.9% 75.9% CLTV > 75 55.80% 56.05% -0.24% Weighted Average DTI 36.0% 36.6% Weighted Average FICO 750 747 Risk Layer>0 68.61% 71.83% -3.22% % Refinance % Cash-out % No Cash-out 50.3% 45.7% Risk Layer>1 24.66% 28.51% -3.84% 24.2% 26.6% Risk Layer>2 3.44% 4.53% -1.09% 26.1% 19.1% %Owner Occupied 89.1% 86.1% LTV<70 22.26% 22.15% 0.11% % SF/PUD 90.4% 89.0% 46-50 DTI 17.41% 19.34% -1.93% Top 5 Geographic Concentration California 21.34% Texas -6.44% Colorado 5.54% Florida 5.43% California 20.94% Texas - 7.10% Florida 6.76% Colorado 4.59% Washington - 5.02% Washington - 4.56% Risk Layer is defined as investor property, cash-out refinance, 46-50 DTI (rounded to nearest integer) and single borrower. The CAS 2020-R01 pool profile is available on Data Dynamics: http://www.fanniemae.com/DataDynamics 38 O 2021 Fannie Mae.#39CAS 2020-R02 Group 2 and CAS 2019-R06 Group 2 Reference Pool Summary CAS 2020-R02 G2 Reference Period - Acquisition Months Nov 2018 - Sep 2019 MBS Pooling Months Jul 2019 - Sep 2019 Number of Reference Obligations Aggregate Original Principal Balance Aggregate Current Principal Balance 110,537 $29,424,705,000 $29,121,892,280 CAS 2019-R06 G2 May 2018 - June 2019 Jan 2019 - June 2019 130,696 $33,156,617,000 $32,818,049,500 Cohort CAS 2020-R02 G2 CAS 2019-R06 G2 Delta FICO < 660 3.11% 3.71% -0.60% FICO 660; CLTV > 95 0.63% 0.88% -0.24% < FICO 660; CLTV > 90 2.00% 2.43% -0.44% Average Original Principal Balance $266,145 $253,693 Average Current Principal Balance FICO <660; Risk Layer > 0 1.29% 1.77% -0.48% $263,458 $251,102 Gross Mortgage Rate 4.18% 4.67% < FICO 660; Risk Layer > 1 0.08% 0.13% -0.05% Weighted Average Remaining Term 356.5 356.5 Weighted Average Original Term 359.8 FICO <660; Risk Layer> 2 0.00% 0.00% 0.00% 359.9 Weighted Average Loan Age 3.3 3.4 CLTV > 95 20.30% 23.11% -2.81% Weighted Average Original LTV 92.3% 92.8% CLTV > 90 59.39% 63.48% -4.09% Weighted Average Original CLTV 92.3% 92.8% Weighted Average DTI 37.6% 38.3% Risk Layer>0 60.74% 62.23% -1.50% Weighted Average FICO 743 742 % Refinance % Cash-out % No Cash-out %Owner Occupied % SF/PUD Risk Layer>1 11.53% 12.98% -1.45% 17.3% 9.4% 0.0% 0.0% Risk Layer>2 0.02% 0.04% -0.02% 17.3% 9.4% LTV <90 40.76% 36.71% 4.05% 97.0% 95.9% 89.9% 88.9% 46-50 DTI 19.04% 21.59% -2.55% Top 5 Geographic Concentration California 12.31% California 12.16% Texas - 7.22% Florida 6.25% Washington - 4.26% Colorado 3.77% Texas - 8.30% Florida 7.45% Washington - 4.30% Arizona 3.51% Risk Layer is defined as investor property, cash-out refinance, 46-50 DTI (rounded to nearest integer) and single borrower. The CAS 2020-R02 pool profile is available on Data Dynamics: 39 © 2021 Fannie Mae. http://www.fanniemae.com/DataDynamics#40700 710 720 FICO Jan-15 Mar-15 May-15 730 740 750 760 Total Mortgage Origination Volume and FICO Credit profile fluctuates with the origination cycle 770 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 Source: Fannie Mae. Origination estimates for aggregate market. 40 O 2021 Fannie Mae. Origination Month Quarterly Volume (RHS) May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20 Average FICO $0 50 $200 $400 $600 $800 $1,200 $1,000 $ Billion#4141 O 2021 Fannie Mae. 770 760 750 740 730 720 710 700 690 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 Fannie Mae Total Market May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20 Freddie Mac, and Ginnie Mae. Origination month is derived from first payment date Source: Fannie Mae, MBS issuance data. Includes 25-year and 30-year fixed rate loans. Total Market reflects issuance data from Fannie Mae, 30% Sep-14 Nov-14 Jan-15 Mar-15 WA FICO Total Market Credit Profile Trend WA DTI 42% 40% 38% 36% 34% 32% May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Fannie Mae Total Market Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20#42DU Model Updates DU Timeline DTI %> 45 40% July 2017: DU 10.1 35% Enabled loans with DTI ratios above 45% (up to 50%) to rely on DU's 30% comprehensive risk assessment 25% Removed DU model overlays with set maximum LTV ratio and minimum reserves requirements for those loans 20% 15% Dynamic Credit Management 10% March 2018: DU 10.2 5% Revised DU's risk assessment to limit risk layering 0% Fewer DU Approve recommendations on loans that have multiple higher-risk characteristics December 2018: DU 10.3 Enhanced DU's management of multiple risk layers Six months of reserves for cash-out refinances with DTI over 45% to address increase in high DTI acquisitions July 2019 Certain new loan casefiles submitted to DU will receive an Ineligible recommendation when multiple high-risk factors are present 25% 20% Sep-00 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-00 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-09 Sep-10 % > 50* Sep-08 Sep-09 Sep-10 Sep-11 Sep-11 Sep-12 Sep-12 Sep-13 Sep-13 Sep-14 Sep-14 Sep-15 Sep-15 Sep-16 Sep-16 Sep-17 Sep-17 Sep-18 Sep-18 Sep-19 Sep-19 Sep-20 Sep-20 15% We have updated the DU eligibility assessment to better align the mix of business delivered to Fannie Mae with the composition of business in the overall market 10% April 2020 Revised DU's risk and eligibility assessments to result in modest reduction of loan casefiles with high-risk factors receiving an Approve/Eligible recommendation 42 © 2021 Fannie Mae. 5% 0% *Rounded to nearest integer#4318% 16% 14% 12% 10% 8% 6% 4% 2% 0% 43 © 2021 Fannie Mae. 120% 100% 80% 60% 40% 20% 0% 1999 2000 2001 2002 2003 Group 1/Group 2 Loss Comparison Group 1 Proceeds as % of Defaulted UPB Group 2 Proceeds as % of Defaulted UPB ■CE Proceeds Sales Proceeds ■RMW* 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Default Rate A 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 *RMW Repurchase Make Whole proceeds **Other = Amounts other than sales proceeds including redemption proceeds received from the mortgagor Group 1 Group 2 2014 2015 2016 2017 2018 2019 2014 2015 Other** 2016 2017 2018 50% 40% 30% 20% 10% 0% 1999 2000 2001 60% 2002 2003 2004 2005 2006 2019 2007 2008 2009 2010 Group 1 Group 2 120% 100% 80% 60% 40% 20% 0% 1999 2000 2001 2002 2003 2004 2005 2006 ■CE Proceeds ■Sales Proceeds RMW* Severity Rate 2011 2012 2013 2014 2015 2016 2017 2018 2019 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Other**#44Private Mortgage Insurance on High LTV Loans All loans in CAS deals with original loan-to-value ratios greater than 80% are required to have mortgage insurance (MI) in place provided by one of eight approved and active Mortgage Insurance Companies Borrower-paid MI: the borrower makes a monthly payment as part of his/her mortgage payment • Approximately 84% (1) of MI is borrower-paid. Monthly MI payment is typically 7.0% - 7.5% (2) of the borrower's total mortgage payment at loan inception. MI can be canceled by borrower once loan reaches 78% LTV (and can be canceled by the borrower in other circumstances). Lender-paid MI: the lender pays for the MI upfront and charges the borrower a higher interest rate • Approximately 16% (1) of MI is lender-paid. Lender-paid MI cannot be cancelled because the payment is built into the mortgage rate. If a loan goes to disposition, the MI company is obligated to pay Fannie Mae a claim based on the MI coverage percentage. This payment is passed through to the CAS investor as additional disposition proceeds and reduces the loss. LTV Range (%) Standard MI Coverage (%) 95.01 97.00% 35.0% 90.01 95.00% 30.0% 85.01 90.00% 25.0% 80.01 85.00% 12.0% Example CAS Loss Calculation $ (100,000.00) Defaulted UPB Delinquent Interest Liquidation Expenses MI Claim Amount Net Sales Proceeds Gross Loss MI Proceeds CAS Investor Net Loss $ (5,000.00) $ (5,000.00) $(110,000.00) $ 80,000.00 $ (30,000.00) $ 27,500.00 (MI Coverage: 25%) $ (2,500.00) Note: most loans have "standard" coverage; however, levels may differ on some loans - this is disclosed on the loan-level deal file If the MI company fails to pay a claim per their contractual obligation, Fannie Mae will step in and cover the MI contractual benefit amount on that loan. Investors are not exposed to MI Company counterparty risk. (1) Figures represent breakdown of MI payments from CAS 2018-C04 deal (2) Given the following key assumptions: 90% LTV, 740 FICO, MGIC Mortgage Insurance rates (44 bps for a 740 FICO loan), No Curtailment 44 © 2021 Fannie Mae.#45HomeReadyⓇ Fannie Mae's flagship affordable lending product Designed to serve creditworthy borrowers and to help fulfill our affordable housing mission and regulatory housing goals while maintaining strong, sustainable credit standards HomeReady helps to improve housing affordability by reducing borrower costs: Reduced MI requirements for LTV>90 result in lower monthly payment ■ Lower loan-level price adjustments (LLPAs) help to reduce the rate and/or fees charged to the borrower Borrower Eligibility Changes - July 2019 Fannie Mae announced changes to the income limits for eligible Home Ready borrowers, beginning with new casefiles submitted to Desktop Underwriter on or after July 20, 2019: Eligibility Change Borrower income limit requirements Properties in low-income census tracts Share of CAS 2020-R02 HomeReady UPB Prior to July 20, 2019 Borrowers' total annual qualifying income may not exceed 100% of the area median income (AMI) for the property's location No limitation on borrower income if subject property is located in a low- income census tract 94.8% New applications on or after July 20, 2019 Borrowers' total annual qualifying income may not exceed 80% of the area median income (AMI) for the property's location Borrowers' total annual qualifying income may not exceed 80% of the area median income (AMI) for the property's location 5.2% 45 O 2021 Fannie Mae.#46Risk-adjusted Performance of HomeReady in Line with Cohort Distribution of HomeReady loans differs from non- HomeReady loans HomeReady has greater concentration in higher CLTV and lower FICO Adjusted for profile, HomeReady loans perform in line with non-HomeReady loans HomeReady performance explained by loan attributes (CLTV, FICO, risk layers) Non-HomeReady UPB Distribution CLTV Non-HomeReady FICO Risk Layers < 660 660-700 700-740 > 740 Total 0 1% 2% 4% 12% 18% 1 1% 3% 6% 16% 26% <=80 2 1% 2% 3% 7% 14% 3 0% 1% 1% 1% 3% 4 0% 0% 0% 0% 0% 0 0% 1% 2% 5% 8% 1 0% 1% 2% 5% 8% 81-90 2 0% 0% 0% 1% 1% 3 0% 0% 0% 0% 0% 4 0% 0% 0% 0% 0% 0 0% 1% 3% 5% 10% 1 0% 1% 3% 6% 10% 91-97 2 0% 0% 0% 1% 1% 3 0% 0% 0% 0% 0% 4 Ever 60 Days Delinquent % by Loan Age 0% 0% 0% 0% 0% Total 5% 12% 23% 60% 100% 9.0% HomeReady UPB Distribution 8.0% HomeReady FICO 7.0% CLTV Risk Layers < 660 660-700 700-740 > 740 Total 0 1% 1% 1% 1% 3% 6.0% 1 1% 2% 1% 4% 9% <=80 2 5.0% 0% 1% 0% 1% 3% 3 0% 0% 0% 0% 0% 4.0% 4 0% 0% 0% 0% 0% 0 0% 1% 1% 2% 4% 3.0% 1 1% 2% 3% 6% 11% 2.0% 81-90 2 0% 0% 1% 2% 3% 3 0% 0% 0% 0% 0% 1.0% 4 0% 0% 0% 0% 0% 0 1% 3% 5% 5% 14% 0.0% 1 1% 6% 12% 22% 42% 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48 91-97 2 0% 1% 4% 7% 12% 3 Loan Age (Months) 0% 0% 0% 0% 0% 4 0% 0% 0% 0% 0% Non-Home Ready HomeReady Non-HomeReady (adjusted to HomeReady profile) Total 6% 16% 29% 49% 100% Source: Fannie Mae CAS at-issuance and monthly remittance files. Loans originated since 2H2016 and referenced in CAS deals. Loans are bucketed by CLTV, FICO, and risk layers. Risk layers defined as DTI > 45 (rounded to the nearest integer), single borrower, cash-out refinance, and investor property. Risk-adjusted performance is derived by scaling non- HomeReady performance by HomeReady UPB distribution across buckets. Loans in hurricane areas have been excluded. 46 O 2021 Fannie Mae.#47CAS 2020-R02 G2 (80.01-97 LTV) HomeReady® Loan Profile HomeReady Loan Profile: Range of OLTV Current UPB WA LTV WA CLTV WA DTI WA FICO Risk Layers* 80.01-85 7.9% 84.0% 84.1% 39.6% 736 0.37 85.01-90 14.7% 89.5% 89.5% 39.5% 743 0.34 90.01-95 27.3% 94.6% 94.6% 40.3% 740 0.36 95.01-97 50.1% 97.0% 97.0% 40.0% 740 0.30 All 100.0% 94.2% 94.2% 40.0% 740 0.33 Approximately 0.12% by loan count of HomeReady loans in the reference pool were underwritten through DUⓇ using boarder income. *Risk Layers in this view are defined as an investor property, cash-out refinance, DTI > 45 (rounded to the nearest integer), and FICO < 680. 47 O 2021 Fannie Mae.#48Standard Selling Guide vs HomeReady Product feature Maximum LTV (Refer to Fannie Mae Eligibility Matrix for full list) Maximum DTI Rental income from subject property and boarder income Non-occupant co-borrower (such as a parent) Mortgage Insurance Gifts, grants, Community Seconds, cash-on-hand and sweat equity as a source of funds for down payment and closing costs Standard guide 50% 95% LTV for 1-unit properties, principal residence Up to 97% LTV allowed for First-Time Homebuyers. LTV >95% must be underwritten through DU LCOR transactions LTV>95-97% must be owned or securitized by Fannie Mae. Documented rental income from subject property is allowed for 2-4 unit properties and investment properties Boarder income generally not allowed Permitted, with criteria for amount of down payment and DTI required from occupant borrower Required for LTV > 80% Reduced MI coverage allowed for approved lenders with pricing adjustment Gifts, grants, and Community Seconds are allowed as sources of down payment and closing costs with appropriate documentation Cash-on-hand and sweat equity generally not allowed HomeReady - Purchase and LCOR* Only Same as standard Same as standard Documented rental income not eligible for investment properties Rental income from a 1-unit property with accessory unit permitted Documented boarder income (e.g., rent paid by roommate) may be allowed if it meets guidelines. Same as standard MI coverage percentage reduced for loans with LTV >90% Same as standard, plus: Cash-on-hand may be allowed with appropriate documentation Minimum borrower contribution required from borrower's own funds (whether or not gifts, grants etc, are also present) Non-traditional credit Manufactured housing up to 95% and HomeStyle® Renovation (approved lenders) up to 95% LTV<=80%: 0% LTV >80%: 1-unit property principal residence: 0% 2-4 unit property: 5% Allowed with appropriate documentation May be allowed up to 95%, manufactured housing must be underwritten through DU 48 O 2021 Fannie Mae. " Sweat equity may be allowed under qualifying programs - max LTV is 95% and borrower must contribute at least 3% from own funds for down payment -if so, Same as standard for LTV <=80%: 0% • LTV >80%: 1-unit principal residence property: 0% 2-4 unit property: 3% Same as standard Same as standard *LCOR = Limited Cash-Out Refinance (aka "rate/term" refi)#49High LTV Refinance Eligibility Timeline The CAS program has been designed so that the impact of a borrower's ability to refinance an underwater loan is consistent across all CAS deals Loan time period Acquired on or before 5/31/2009 6/1/2009 through 9/30/2017 Note date on or after 10/1/2017 Borrower Options Do borrowers have the ability to refinance a loan where the LTV based on current property value exceeds standard Fannie Mae eligibility? Applicable refinance program name Borrower Options Yes HARP / Refi Plus CAS Treatment CAS Treatment How does the borrower's refinance option (or lack thereof) impact CAS Deals? N/A, no eligible loans are included in CAS deals Applicable CAS Deals Applicable CAS Reference Pool time period 49 © 2021 Fannie Mae. None No Yes None High LTV Refinance Option Loan remains in CAS deal because borrower does not have ability to refi CAS 2013-C01 through CAS 2018-C01 When borrower exercises high LTV refinance option, loan remains in CAS deal CAS 2018-C02- forward N/A 7/1/2012 through 9/30/2017 10/1/2017 - forward#50High Loan-to-value (HLTV) Refinance Option The HLTV Refinance Option is a proactive approach that provides refinance opportunities to borrowers with existing Fannie Mae mortgages who are making their mortgage payments on time but whose LTV ratio for a new mortgage loan exceeds the maximum allowed for standard limited cash-out refinance options in the Selling Guide. HLTV Program Eligibility Requirements Existing mortgage loan is owned by Fannie Mae and has an Origination Date on or after October 1, 2017 Mortgage loan is 15 months seasoned Mortgage loan is current " No 30-day mortgage delinquencies during the most recent six-month period, and no more than one 30-day delinquency in months 7-12 Borrower can refinance under this option more than once as long as all other requirements are met Applicability to CAS ■ Loans that are refinanced through the HLTV Refinance Option will remain in the reference pool for their respective CAS transactions ☐ " Interest rate reductions will not constitute Modification Events and will not impact CAS investors Principal reductions due to borrower prepayments or lender incentives made under the HLTV Program will be treated as partial prepayments. Principal forgiveness is not part of the HLTV Program Loan reporting will reflect any changes to terms made pursuant to the HLTV Program Because these loans represent a replacement of existing risk, a “continuance of coverage" approach for CAS deals provides for this risk to remain with existing CAS investors. 50 © 2021 Fannie Mae.#5151 Historical Comparative Analysis O 2021 Fannie Mae.#52Group 1 (60.01-80.00 OLTV) - Historical Acquisition Profile 60-80 LTV Historical FRM25-30 Loan Acquisition Profile Orig year Loan Count WA Note % 2nd % Original UPB Rate WA FICO WA DTI WA OLTV WA OCLTV Lien¹ Investor % Refi² % TPO³ % CA 1999 64,769 $8.5B 7.77% 713 34.4 75.9 76.0 0.7% 4.0% 35.6% 52.0% 15.0% WA Risk Layers 0.71 2000 553,544 $76.5B 8.09% 715 35.2 76.1 76.5 2.7% 4.3% 30.0% 57.0% 16.2% 0.69 2001 1,375,223 $213.7B 6.96% 714 33.7 75.1 75.6 3.7% 4.6% 68.0% 55.9% 20.0% 0.84 2002 1,423,564 $232.4B 6.48% 717 33.9 74.6 75.3 5.0% 4.9% 70.6% 57.4% 19.9% 0.84 2003 1,832,743 $314.3B 5.74% 718 33.7 74.1 75.0 7.0% 4.7% 75.9% 58.7% 20.4% 0.83 2004 736,673 $129.7B 5.83% 715 36.6 74.9 76.8 14.9% 4.1% 57.9% 60.4% 16.4% 0.93 2005 718,429 $138.4B 5.83% 719 38.2 74.9 77.5 20.2% 4.0% 57.1% 63.0% 11.4% 1.00 2006 569,439 $115.5B 6.41% 719 39.3 75.3 78.0 21.5% 5.2% 53.9% 64.7% 9.5% 1.03 2007 651,559 $139.0B 6.33% 720 39.1 75.3 77.9 20.6% 6.8% 58.9% 67.6% 10.4% 1.05 2008 702,901 $159.3B 6.03% 742 38.2 75.1 76.6 12.3% 8.5% 58.0% 62.6% 18.5% 0.82 2009 1,104,879 $263.4B 4.99% 761 34.7 74.5 75.6 9.0% 3.8% 71.1% 51.0% 20.3% 0.55 2010 791,575 $195.7B 4.74% 763 33.1 74.9 76.0 9.5% 6.2% 59.9% 56.3% 27.8% 0.36 2011 638,631 $149.5B 4.58% 762 33.3 75.1 76.1 8.8% 9.1% 56.2% 58.5% 29.2% 0.37 2012 1,033,055 $253.9B 3.85% 765 31.9 74.6 75.6 8.8% 8.7% 65.5% 56.3% 29.3% 0.32 2013 865,971 $206.4B 4.05% 757 33.2 75.1 76.2 8.9% 10.5% 53.6% 49.4% 29.5% 0.39 2014 589,469 $136.9B 4.47% 747 34.6 75.9 76.9 8.6% 11.4% 41.9% 46.5% 27.8% 0.48 2015 752,586 $182.9B 4.13% 748 34.1 75.3 76.3 8.0% 10.6% 52.0% 42.1% 27.1% 0.49 2016 898,858 $227.0B 3.90% 750 34.0 74.9 75.7 5.7% 8.8% 54.5% 43.5% 25.8% 0.48 2017 788,577 $194.9B 4.32% 744 35.7 75.5 76.2 4.9% 10.6% 43.5% 47.9% 22.4% 0.62 2018 704,102 $176.1B 4.86% 743 37.6 75.7 76.2 3.6% 10.8% 38.8% 49.0% 19.1% 0.76 2019 860,010 $241.6B 4.22% 750 35.8 75.0 75.5 3.1% 7.4% 56.3% 53.7% 22.2% 0.66 2Q20 622,881 $186.6B 3.58% 757 34.2 74.2 74.6 3.2% 5.9% 74.6% 40.3% 22.0% 0.49 Only loans with LTV between 60-80 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 52 O 2021 Fannie Mae.#53Group 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 53 © 2021 Fannie Mae.#54Group 1: Historical Loss Performance Re- weighted to CAS 2020-R01 Profile CAS 2020-R01 G1 Equivalent Perf. Realized Loss Performance Default Pipeline Implications (Not Including Default Pipeline)¹ Remaining 20 Year Net Rem. CAS Window Rem. CAS Unsold REO Total Comped Orig Year UPB Pool Factor Loss Mod Loss² Total Loss (Months)³ Window %³ %4 Active D180%5 Net Loss Mod Loss Loss 2000 0.3B 0.38% 0.17% 0.03% 0.20% 15.2 6.3% 0.00% 0.01% 0.08% 0.01% 0.09% 2001 1.4B 0.68% 0.23% 0.04% 0.27% 26.8 11.2% 0.01% 0.01% 0.12% 0.02% 0.14% 2002 3.3B 1.42% 0.34% 0.06% 0.40% 39.4 16.4% 0.01% 0.02% 0.20% 0.04% 0.24% 2003 11.4B 3.64% 0.56% 0.13% 0.69% 49.6 20.7% 0.02% 0.05% 0.39% 0.08% 0.47% 2004 6.6B 5.07% 1.27% 0.31% 1.59% 62.1 25.9% 0.04% 0.10% 0.79% 0.19% 0.98% 2005 9.5B 6.85% 3.15% 0.75% 3.90% 74.6 31.1% 0.08% 0.16% 2.07% 0.45% 2.52% 2006 7.7B 6.70% 4.73% 1.34% 6.07% 86.6 36.1% 0.09% 0.18% 2.93% 0.80% 3.73% 2007 10.3B 7.38% 4.28% 1.52% 5.81% 98.8 41.2% 0.12% 0.21% 2.47% 0.85% 3.32% 2008 8.5B 5.33% 1.75% 0.78% 2.53% 110.2 45.9% 0.08% 0.15% 1.18% 0.56% 1.74% 2009 25.8B 9.80% 0.27% 0.03% 0.30% 121.5 50.6% 0.03% 0.07% 0.33% 0.05% 0.38% 2010 30.4B 15.56% 0.09% 0.01% 0.10% 135.4 56.4% 0.02% 0.05% 0.16% 0.01% 0.17% 2011 31.2B 20.86% 0.06% 0.00% 0.06% 147.2 61.3% 0.01% 0.05% 0.09% 0.01% 0.10% 2012 110.2B 43.39% 0.02% 0.00% 0.02% 158.9 66.2% 0.01% 0.04% 0.04% 0.00% 0.04% 2013 92.3B 44.71% 0.01% 0.00% 0.02% 169.9 70.8% 0.01% 0.06% 0.02% 0.00% 0.02% 2014 53.9B 39.56% 0.01% 0.00% 0.01% 183.1 76.3% 0.02% 0.10% 0.01% 0.00% 0.01% 2015 105.2B 57.91% 0.00% 0.00% 0.01% 194.4 81.0% 0.01% 0.09% 0.00% 0.00% 0.00% 2016 163.4B 74.25% 0.00% 0.00% 0.00% 207.0 86.2% 0.01% 0.08% 0.00% 0.00% 0.00% 2017 152.6B 82.50% 0.00% 0.00% 0.00% 218.8 91.2% 0.01% 0.08% 0.00% 0.00% 0.00% 1. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020 R01 G1 2. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications) 3. Calculated as average loan age subtracted from 240 months (CAS maturity) 4. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB 6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.28% WAC of the CAS pool 5. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB 7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020-R01 G1 54 O 2021 Fannie Mae.#55Group 2: Historical Loss Performance Re- weighted to CAS 2020-R02 Profile Realized Loss Performance Default Pipeline Implications CAS 2020-R02 G2 Equivalent Perf. (Not Including Default Pipeline)¹ Remaining 20 Year Net Orig Year UPB Pool Factor Loss Mod Loss² 2 Total Loss Rem. CAS Window (Months)³ Rem. CAS Unsold REO Total Comped Window %³ 3 4 5 % Active D180% Net Loss Mod Loss' Loss 2000 0.3B 0.51% 0.20% 0.05% 0.25% 12.0 5.0% 0.02% 0.01% 0.06% 0.02% 0.08% 2001 0.9B 1.00% 0.34% 0.08% 0.42% 23.5 9.8% 0.01% 0.02% 0.15% 0.04% 0.19% 2002 1.5B 2.04% 0.59% 0.14% 0.73% 35.8 14.9% 0.03% 0.04% 0.29% 0.08% 0.37% 2003 3.6B 4.68% 1.03% 0.26% 1.29% 46.8 19.5% 0.05% 0.08% 0.62% 0.16% 0.78% 2004 2.0B 6.22% 1.93% 0.52% 2.45% 59.0 24.6% 0.09% 0.14% 1.13% 0.30% 1.43% 2005 2.2B 8.01% 3.81% 0.95% 4.76% 71.5 29.8% 0.15% 0.20% 2.28% 0.55% 2.83% 2006 1.8B 7.88% 5.11% 1.63% 6.75% 83.6 34.8% 0.17% 0.23% 2.86% 0.88% 3.74% 2007 3.8B 9.23% 5.29% 2.34% 7.62% 96.5 40.2% 0.25% 0.28% 2.72% 1.25% 3.97% 2008 3.8B 6.72% 2.20% 1.45% 3.65% 107.0 44.6% 0.13% 0.18% 1.25% 1.04% 2.29% 2009 3.3B 9.55% 0.32% 0.06% 0.38% 118.2 49.3% 0.04% 0.05% 0.41% 0.10% 0.51% 2010 4.3B 15.71% 0.08% 0.01% 0.10% 132.4 55.2% 0.03% 0.06% 0.11% 0.02% 0.13% 2011 7.2B 20.02% 0.04% 0.01% 0.05% 144.5 60.2% 0.03% 0.06% 0.05% 0.03% 0.08% 2012 28.3B 38.33% 0.02% 0.00% 0.02% 156.1 65.0% 0.02% 0.07% 0.04% 0.00% 0.04% 2013 35.2B 37.46% 0.02% 0.01% 0.02% 167.5 69.8% 0.03% 0.09% 0.02% 0.01% 0.03% 2014 31.7B 37.19% 0.01% 0.01% 0.02% 180.1 75.0% 0.05% 0.16% 0.01% 0.01% 0.02% 2015 59.8B 55.54% 0.01% 0.00% 0.01% 191.5 79.8% 0.04% 0.17% 0.01% 0.00% 0.01% 2016 91.0B 72.66% 0.00% 0.00% 0.00% 203.8 84.9% 0.04% 0.16% 0.00% 0.00% 0.00% 2017 92.4B 80.14% 0.00% 0.00% 0.00% 215.8 89.9% 0.03% 0.15% 0.00% 0.00% 0.00% 1. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020 R02 G2 2. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications) 3. Calculated as average loan age subtracted from 240 months (CAS maturity) 4. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB 5. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB 6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.18% WAC of the CAS pool 7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2020-R02 G2 55 © 2021 Fannie Mae.#56Historical Loss Performance Re-weighted to CAS 2020-R01 Profile 5% 4.65% CAS 2020-R01 G1 Comped Loss Performance with Pipeline Consideration (60.01-80 LTV Loans) Min. Credit Enhancement 4% 3% 2.85% 2% 0.95% 1% 0.20% 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Net Loss Comped Pipeline Estimated Mod Loss - M2 Attach M1 Attach B1 Attach Min. CE M1 Attach M2 Attach B1 Attach 1. 2. 3. Bars reflect historical cumulative loss performance re-weighted to the CAS 2020-R01 G1profile across FICO/CLTV/Risk Layer distribution Estimated Mod Loss re-weighted to the CAS 2020-R01 G1profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: Investor property, cash-out refinance, DTI > 45 (rounded) and single borrower) Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution Source: Fannie Mae Data Dynamics. http://www.fanniemae.com/DataDynamics 56 © 2021 Fannie Mae.#57Historical Loss Performance Re-weighted to CAS 2020-R02 Profile CAS 2020-R02 G2 Comped Loss Performance with Pipeline Consideration (80.01-97.00 LTV Loans) 6% 5% 4.95% 4% 3.35% 3% 2% 1.30% 1% 0.25% 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Net Loss Comped Pipeline Estimated Mod Cost - M2 Attach M1 Attach Min. CE B1 Attach Min. Credit Enhancement M1 Attach M2 Attach B1 Attach 12 1. 2. Bars reflect historical cumulative loss performance re-weighted to the CAS 2020-R02 G2 profile across FICO/CLTV/Risk Layer distribution Estimated Mod Loss re-weighted to the CAS 2020-R02 G2 profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: Investor property, cash-out refinance, DTI > 45 (rounded) and single borrower) 3. Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution Source: Fannie Mae Data Dynamics. http://www.fanniemae.com/DataDynamics 57 O 2021 Fannie Mae.#58Group 1: Historical Loss Performance Re- weighted to CAS 2020-R01 profile (Group 1) Group 1 (60.01-80.00 OLTV) Comped Historical Loss % of Origination UPB 123 3. 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 0 12 24 36 48 60 72 84 96 108 120 132 144 156 168 180 Months From First Payment 2000 2001 2002 2003 2006 2007 2008 2009 2012 2013 M2 Attach - COD M1 Attach 2004 2010 2005 2011 B1 Attach Min. CE Curves reflect historical cum loss performance re-weighted to the CAS 2020-R01 Group 1 profile across FICO/CLTV/Risk Layer distribution Comped loan modification concession (mod loss) for a given vintage has been distributed evenly across each point on the respective curve A projected terminal loss has been calculated for all vintages with fewer than 240 months of activity. Projected terminal loss calculated by adding 25% of the default pipeline to the cumulative loss (default pipeline defined as foreclosed loans without a property disposition and loans that were in D180 delinquency as of the most recent available activity record) Source: Fannie Mae October 2019 Data Release 58 O 2021 Fannie Mae.#59Group 2: Historical Loss Performance Re- weighted to CAS 2020-R02 Profile (Group 2) Group 2 (80.01-97.00 OLTV) Comped Historical Loss % of Origination UPB 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% 0 12 24 36 48 60 72 84 96 108 120 132 144 156 168 180 Months From First Payment 2000 2001 2002 2006 2007 2008 2012 2013 M2 Attach 2003 2009 M1 Attach 2004 2010 2005 2011 Min. CE B1 Attach 123 1. 2. Curves reflect historical cum loss performance re-weighted to the CAS 2020-R02 Group 2 profile across FICO/CLTV/Risk Layer distribution Comped loan modification concession (mod loss) for a given vintage has been distributed evenly across each point on the respective curve 3. A projected terminal loss has been calculated for all vintages with fewer than 180 months of activity. Projected terminal loss calculated by adding 25% of the default pipeline to the cumulative loss (default pipeline defined as foreclosed loans without a property disposition and loans that were in D180 delinquency as of the most recent available activity record) Source: Fannie Mae January 2020 Data Release 59 © 2021 Fannie Mae.#60Loss/Severity Statistical Summary (Group 1) Loss/Severity Summary Characteristics by Origination Year (Group 1) (Reflects loan status in performance dataset for activity through Q2 2020) Loan Population: loans with zero balance code of '02', '03', '09', '15' with non-null Disposition dates Origination Year Default UPB ($M)¹ Default Rate (%) 1999- 2001 $1,903 0.6% 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Total $1,948 $4,711 0.8% 1.5% $3,888 3.0% $9,301 $10,686 $12,324 6.7% 9.3% 8.9% $6,628 4.2% $2,149 $617 $292 $222 $154 $116 $80 $53 $55,071 0.8% 0.3% 0.2% 0.1% 0.1% 0.1% 0.0% 0.0% 1.8% EXPENSES: Delinquent Interest 12% 12% 11% 11% 11% 11% 11% 12% 9% 9% 8% 7% 7% 7% 7% 5% 11% Total Liquidition 13% 15% 14% 13% 10% 9% 9% 10% 11% 13% 14% 14% 14% 13% 13% 10% 11% Exp. Foreclosure 5% Property 4% ཧིཾ། ཝཾ 5% 5% 4% 3% 3% 3% 3% 3% 4% 4% 4% 5% 4% 5% 1 4% 3% 4% 4% 3% 3% 2% 2% 3% 3% 4% 5% 5% 5% 5% 4% 4% 3% Preservation Asset Recovery 0% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 0% 0% 0% 1% Misc. Holding 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 0% 1% Expenses/Credits Associated Taxes 3% 4% 4% 4% 3% 386 3% 3% Total Costs 125% 127% 125% 124% 121% 121% 121% do do 3% 3% 4% 4% 96 3% 3% 3% 3% 26 3% 122% 120% 122% 122% 120% 121% 120% 120% 115% 122% PROCEEDS: Net Sales Proceeds 77% 77% 82% 77% 69% 63% 64% 67% 78% 83% 85% 86% 89% 90% 88% 90% 70% Credit Enhancement 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 90 0% 0% 0% 0% 0% 0% Repurchase/Make 8% 4% 1% 1% Whole 26 2% 4% 6% 10% 6% 36 3% 2% 1% 0% 0% 1% 216 1% 5% Other 6% 5% 3% 2% 1% 1% 1% 1% 1% 2% 2% 2% 4% 4% 3% 2% 2% Total Proceeds 91% 86% 87% 81% 73% 69% 71% 78% 85% 88% 89% 89% 93% 94% 92% 94% 76% Severity 34.7% 41.2% 38.9% 43.7% 48.0% 52.0% 49.6% 43.8% Total Net Loss ($M) $659 $802 $1,833 $1,700 $4,462 $5,555 $6,114 $2,903 34.8% 33.4% $747 $206 33.7% $98 31.9% 27.9% $71 $43 26.0% 27.1% 21.7% 45.9% $12 $25,256 $30 $22 1. Default UPB, expenses and proceeds in this view are for completed foreclosures only. These are defined as loans with a zero balance code of '02', '03', '09', or '15' and non-null disposition dates. Default rate is calculated as the sum of default UPB divided by the origination UPB. Expense and proceed line items are a percentage of default UPB. Source: Fannie Mae October 2020 Data Release 60 O 2021 Fannie Mae.#61Loss/Severity Statistical Summary (Group 2) Loss/Severity Summary Characteristics by Origination Year (Group 2) (Reflects loan status in performance dataset for activity through Q2 2020) Loan Population: loans with zero balance code of '02', '03', '09', '15' with non-null Disposition dates Origination Year 1999- 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Total Default UPB ($M)¹ $2,665 Default Rate (%) 1.8% $1,893 $2,925 2.5% 3.8% $2,003 6.2% $3,045 $3,305 $6,966 11.3% 14.6% 16.9% $5,196 $639 $193 $145 $172 $230 $221 $172 $125 $29,893 9.3% 1.8% 0.7% 0.4% 0.2% 0.2% 0.3% 0.2% 0.1% 2.8% EXPENSES: Delinquent Interest 11% 11% 11% 11% 11% 12% 12% 11% 388 8% 7% 7% 6% 6% 7% 6% 5% 11% Total Liquidition 12% 13% 14% 14% 12% 11% 10% 9% 9% 10% 12% 13% 13% 12% 11% 10% 11% Exp. Foreclosure 5% 5% 5% 4% 4% 3% 3% 3% 2% 3% 386 4% 16 4% 4% 3% 3% 3% 3% Property 4% 4% 4% 4% 3% 3% 2% 2% 3% 3% 4% 5% 4% 4% 4% 4% 3% Preservation Asset Recovery 0% 0% 1% 1% 1% 0% 0% 1% 1% 1% 1% 1% 0% 0% 0% 0% 1% Misc. Holding 1% 1% 1% 2% 2% 2% 1% 1% 1% 1% 1% 1% 1% 1% 1% 16 1% 1% Expenses/Credits Associated Taxes 2% 3% 3% 3% 3% 3% 3% 2% 2% 2% 3% 3% 3% 3% 2% 2% 3% Total Costs 123% 124% 125% 125% 123% 123% 122% 120% 116% 117% 119% 119% 119% 118% 117% 115% 122% PROCEEDS: Net Sales Proceeds 76% 71% 72% 67% 61% 57% 57% 62% 74% 80% 83% 83% 80% 80% 80% 79% 63% Credit Enhancement 24% 23% 21% 22% 23% 24% 23% 22% 19% 20% 21% 22% 25% 25% 22% 23% 23% Repurchase/Make 5% 4% 2% 2% 3% 5% 7% 10% 4% 2% 1% 1% 1% 0% 0% 1% 5% Whole Other 3% 3% 3% 3% 2% 2% 2% 2% 2% 1% 1% 16 2% 36 3% 3% 3% 2% 2% Total Proceeds 107% 100% 97% 93% 88% 87% 89% 95% 98% 103% 106% 107% 109% 108% 105% 105% 92% Severity 16.1% Total Net Loss ($M) $428 23.9% 27.7% 32.0% 34.7% $453 $811 $641 35.8% 32.2% $1,056 $1,183 $2,244 24.5% 18.5% $1,271 $118 13.8% 12.9% 11.9% 10.1% $27 $19 $21 $23 $23 10.6% 11.6% $20 9.8% 30.1% $12 $8,351 1. Default UPB, expenses and proceeds in this view are for completed foreclosures only. These are defined as loans with a zero balance code of '09', '03', '02', or '15' and non-null disposition dates. Default rate is calculated as the sum of default UPB divided by the origination UPB. Expense and proceed line items are a percentage of default UPB. Source: Fannie Mae October 2020 Data Release 61 © 2021 Fannie Mae.#62Historical Loss Performance Re-weighted to CAS Profiles (Group 1) G1 Deals: Total Loss Rate Comped to 2006 Vintage Year % of Origination UPB 0 1 2 4 5 Fixed Severity Actual Loss 3. 1. 2. CAS 2013-C01 62 © 2021 Fannie Mae. CAS 2014-C01 CAS 2014-C02 G1 CAS 2014-C03 G1 CAS 2014-C04 G1 CAS 2015-C01 G1 CAS 2015-C02 G1 CAS 2015-C03 G1 CAS 2015-C04 G1 CAS 2016-C01 G1 CAS 2016-C02 G1 CAS 2016-C03 G1 CAS 2016-C04 G1 CAS 2016-C06 G1 CAS 2017-C01 G1 CAS 2017-C03 G1 CAS 2017-C05 G1 CAS 2017-C06 G1 CAS 2017-C07 G1 CAS 2018-C01 G1 ■M1 ■M2 ■B Retained B Total Loss Rate Dots reflect historical total loss performance re-weighted to all of Group 1 CAS profiles across FICO/CLTV/Risk Layer distribution For deals up to and including CAS 2015-C03, total loss is calculated in accordance with the fixed severity schedule; for the others, total loss is calculated from actual net, modification and pipeline losses Total loss rate is based on a 150 months maturity for deals up to and including CAS 2019-R03 and based on a 240 months maturity for CAS 2019-R05 and onward CAS 2018-C03 G1 CAS 2018-C05 G1 CAS 2018-C06 G1 CAS 2018-R07 G1 CAS 2019-R02 G1 CAS 2019-R03 G1 CAS 2019-R05 G1 CAS 2019-R07 G1 CAS 2020-R01 G1#63Historical Loss Performance Re-weighted to CAS Profiles (Group 2) G2 Deals: Total Loss Rate Comped to 2006 Vintage Year % of Origination UPB 1 2 4 (сл 5 6 Fixed Severity 1. 2. CAS 2014-C02 G2 63 O 2021 Fannie Mae. CAS 2014-C03 G2 CAS 2014-C04 G2 CAS 2015-C01 G2 CAS 2015-C02 G2 CAS 2015-C03 G2 CAS 2015-C04 G2 CAS 2016-C01 G2 CAS 2016-C03 G2 CAS 2016-C05 G2 CAS 2016-C07 G2 CAS 2017-C02 G2 CAS 2017-C04 G2 ■M1 M2 B Retained B ●Total Loss Rate Dots reflect historical total loss performance re-weighted to all of Group 2 CAS profiles across FICO/CLTV/Risk Layer distribution For deals up to and including CAS 2015 C03, total loss is calculated in accordance with the fixed severity schedule; for the others, total loss is calculated from actual net, modification and pipeline losses CAS 2017-C06 G2 CAS 2017-C07 G2 CAS 2018-C02 G2 CAS 2018-C04 G2 Actual Loss CAS 2018-C06 G2 CAS 2019-R01 G2 CAS 2019-R04 G2 CAS 2019-R06 G2 CAS 2020-R02 G2#64Investor resources 64 O 2021 Fannie Mae.#65COVID-19 Investor Resources Fannie Mae remains committed to helping market participants easily access the investor resources and communications related COVID-19. Investor Resources Webpage focused on COVID-19 Investor resources including Single-Family Investor Update FAQs, announcements, and Lender Letters. May 14, 2020 Visit the site. Paul Me Webinar Replays An overview of Fannie Mae's temporary selling, servicing, and collateral policies related to COVID-19. Access the replay. Fannie Mae Credit Risk Transfer Commentary and News Search News and Announcements: Search Commentary and News Searchable repository of all news and announcements impacting CRT investors. Read more. CRT Forbearance Dashboard User Guide Data Dynamics May 26,2020 Fate Mar Data Dynamics Enhancements New dashboards to view performance of loans in temporary payment forbearance or modification, and analyze historical outcomes for those loans. View user guide. Sign up to receive the latest news and insights via email 65 O 2021 Fannie Mae.#66Fannie Mae is Committed to ESG ■ Board level committee established to govern Environmental, Social and Governance performance Rating Agency Scores: BBB from MSCI and 65 out of 100 from Sustainalytics Commitment to transparency through annual Multifamily Green Bond Impact Report до Environmental $95+ billion Green securities, including $84 billion Green Multifamily MBS and $11 billion GeMS issued since inception through October 2020 528,000 metric tons Greenhouse gas emissions reduced per year through multifamily green- financed properties 7.7 billion Gallons of water saved in multifamily green-financed buildings through 2019 Social $126 million Tenant costs saved, or an average of $178 per family per year 180,000 jobs Well-paid jobs created or supported through the construction and retrofitting of 770,000 apartment units Governance 50% Board members who are women or minorities and 50% of board committees are chaired by women. Fannie Mae outlines its corporate governance guidelines, code of conduct, risk management practices, supply chain monitoring, data privacy policy and more on its webpages Our commitment to ESG is a natural fit with our mission. Visit fanniemae.com/esg to learn more 66 © 2021 Fannie Mae.#67Data DynamicsⓇ The only free platform that allows investors to gain insights into historical loan performance trends, issuance profiles, and monthly performance - exclusively for Fannie Mae's CAS and CIRT programs. Data Dynamics Single-Family Connecticut Avenue Securities (CAS) CAS L REPORTS MESSAGES DOWNLOAD DATA RESOURCES ADMIN 29 Deal Issuance Data Analyze the risk profile of Connecticut Avenue Securities (CAS) reference pools at issuance and as of the most recent remittance period. | Historical Comparative Analysis G SIGN OUT View historical performance by vintage Disclaimer Contact Us reweighted by the FICO, CLTV, and risk layer Deal Performance Data Analyze the performance of Connecticut Avenue Securities (CAS) reference pools from issuance through the most recent remittance period. Geographic Deal Map Interactive view into deal characteristics and performance by state or 3-digit zip code. NEW: Forbearance & Modification Dashboards: enables users to access snapshots of performance on active population of loans in temporary payment forbearance or modification Access Transparency Insights ■ Available 24x7 at no cost. Access at-issuance and ongoing monthly performance data directly through new API (application programming interface) functionality. ■ Support and training via 1:1 demos, webinars, and investor relations helpline ■ View all CAS and CIRT data, and our historical loan performance dataset supporting the programs ■ ■ Export/download data or charts to combine with other tools or share with portfolio managers and risk departments Unique insight into risk and performance trends through dynamic, drillable analysis Quick access to potential impacts of events (e.g., natural disasters) Access today at www.fanniemae.com/datadynamics 67 O 2021 Fannie Mae.#68Data Dynamics: Powerful Insights and Capabilities Dynamic drillable analysis enables investors to keep abreast of their investments and emerging trends. " Aggregate performance of a specific portfolio ■ ■ Compare credit profile of a new deal to outstanding deals View delinquency performance of credit tails and how loans move between states of delinquency from period to period Observe loan disposition characteristics and trends Analyze potential impacts of market events (e.g. natural disasters) Download Functionality View a standardized deal file for all remittance months for every since inception Download at-issuance and on-going file data by date range, deal type, or simple search Access the new issue reference pool file during pre-marketing ■ Export data for additional analysis ■ Drill into forbearance and modification data ...and much more. 68 O 2021 Fannie Mae.#69Historical Loan-level Performance Data Gain insights into historical performance trends and relationships to credit performance via our dataset. Access our historical monthly loan performance data on a portion of our single-family mortgage loans ■ Includes a subset of our 30-year and less, fully amortizing, full documentation, conventional fixed-rate mortgage acquisitions since January 2000 ■ Updated on a quarterly basis to include a new quarter of acquisitions and performance ■ Inclusive of loans modified through HARP®, supporting market analysis of high loan-to-value refinance assistance programs 69 Key features: ■ Utilize Data Dynamics to see aggregated loan-level data Download the entire dataset with one- click, capturing over 50 data elements per loan Self-serve with abundant investor resources including file layout, glossary, FAQs, web tutorials, and statistical summaries to support download of dataset Fannie Mae Dala Dynamics Teport Manu Historical Performance Data Dashboard Und Pedo Pe Origination Prof Halance Loss/Severity Summary Relative Performance Roll Forformance France Curve Addr Historical Origination Profile by Orig. Vintage Cohort Group Ong. Vintage 2001 230 A 2304 2500 וונג Purpess Обпаратер . A Ing Els "Go г T LTV Reports Resources GLTY En Norr Br 5 Dp 5 A Origration Org Lour % of Orig D catelom Count M Originations மாற WAFCO T WA CITY WADHI Cen Glossary Download S Additional Fa DaHLoMY תי CAP Гараск $12.123 3445 124% 15% 121 5.14 545717 ME TIN TTAN 7815 id% 84/2313 S 10000 5217 43.99 14208 22 728% 1.2% 33.3% 20 3.J 31% 15.1% EX 79 200 100005 55767 32 THE 401 337 GPS GA9% 379% ARS 33 T 18.7% EVE ** 17590 100.JON 21 132 23 152504 37% 51.9% 22.89 4.3% 34.2% 233% C 300305 311 스 NOT AGR 733 3 70% деть 34675 13% THE 434% 1.15 15 245/35 34 220 215% 298 EAS 12 12522500 100.00% VI 139 2 F22% 14.3% 133 BUTPU 411% LJS 120 2308 341 +4917 SHAGG 11720 344,16 TAG 767 21.3% 370 30 1 2 19 AVA 3:22 117 2355 100.00% 543343 37.330 ana 353% 50% 33.0% 451% L 31.5% 23.3% ER 5433 141 364777 TX31 FX 717 367 35 1 £73 X 5/5/17 215.225 41958 22% 5.1 2312 Ma 15 326 682 225 5949 10.29 HIS 565% 活廳 1815 354% H 2014 3402413 374 2201406 100.00% 1031 21903 224 724% 13.3% 22.07% 30% 8.3% 15.2% 25 1% E.C S415 Ca BLX 751 773% 740% 7% 33% ETT 5.77 Scan 623 >3891 235 S212 1 X 308778 75% 7 100% 3165 3.73% 37 1 173 100 5342 133 15.05 2211 THE P 16.2% 38.25 4.17% 5.5% 19.3% CRA 42 CENTED by LG giration AHS: Ganesan 5224124 LOLLAPARAK LAYS A POOL OF SITEWASH BAZITAT Garrenrinerest fare: Loan Dover at Peerte en Huer un esa connon mas in www.fanniemae.com/loanperformance © 2021 Fannie Mae.#70CAS Loan-level Data Disclosure Fannie Mae makes over 100 loan-level disclosure fields available to support CAS analysis Fields include key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data, such as (not limited to): HomeReady Program Indicator, and High Loan-to-Value Refinance First Time Home Buyer Indicator Property Type Loan and Borrower Characteristics Number of Borrowers Original Debt to Income Ratio Collateral Characteristics Number of Units Servicing Data Loan Term Characteristics Occupancy Type Servicer Name Cancellation Indicator Original Loan to Value Ratio (LTV) and Combined LTV Ratio (CLTV) Metropolitan Statistical Area Loan Payment History Indicator Borrower FICO and Co-Borrower FICO scores (at origination, deal issuance, and ongoing) Three digit zip code Property Inspection Waiver Flag(1) Reason and Date as to why a loan balance went to zero Current Loan Delinquency Status Loan Age Mortgage Insurance Modification Flag Original and Current Interest Rate Original Loan Term Original and Current UPB Origination Date Disposition Data Last Paid Installment Date Foreclosure Date Detailed Proceed Fields Original and Current List Price and Date Disposition Date Detailed Expense Fields Maturity Date (1) Available beginning with CAS 2017-C07 70 O 2021 Fannie Mae.#71Resources for EU investors Fannie Mae's webpage helps European Union institutional investors and those managing funds subject to EU regulations comply with EU securitization regulation Information and resources that Fannie Mae already makes publicly available for all investors is organized in an easy-to-navigate format according to applicable sections of EU Regulation 2017/2402 Download monthly loan-level data in ESMA- template format directly from Data Dynamics®, Fannie Mae's free CRT data analytics tool Mapping file helps investors with reporting obligations by mapping CAS data fields to ESMA templates Article 5 - Due Diligence Requirements Article 6 - Risk Retention Requirements Article 7 - Transparency Requirements ☑ Article 8 - Ban on Re-securitizations Article 9 - Criteria for credit-granting 71 O 2021 Fannie Mae. www.fanniemae.com/portal/funding-the-market/credit-risk/european-investors-cas-resources.html#7272 O 2021 Fannie Mae. Contact Us Information is available for investors and potential investors about Fannie Mae's products, the company's financial performance, and disciplined management of credit risk and interest rate risk. For more information, please contact us: Credit [email protected] 800-2FANNIE (800-232-6643) @fanniemae f www.facebook.com/fanniemae g+ @fanniemae.com By Mail: Fannie Mae c/o Treasurer's Office, Fixed-Income Securities Marketing, 1100 15th Street NW Washington, DC 20005 Fannie Mae is headquartered in Washington, D.C. and operates regional offices in Chicago, Plano, and Philadelphia. Headquarters 1100 15th Street NW Washington, DC 20005#7373 Appendix CAS REMIC Tools for REITS CAS 2020-R02 G-fee adequacy analysis Appraisal waiver How MI works CAS deal summaries and comparisons 76 80 60 81 98 86 87 88 O 2021 Fannie Mae.#74Commodity Futures Trading Commission (CFTC) Considerations ◉ CAS REMIC structure allows transaction to be created in a manner that does not involve swaps Transaction documents are traditional commercial transactions ◉ None of the transaction documents will utilize an ISDA or similar agreement The substance of all transaction documents will be commercial (securities and capital contribution) agreements Outside counsel to Fannie Mae and the Issuer will deliver an opinion letter that the transaction does not involve any swaps Since the transaction does not involve any swaps, the Issuer is not considered a commodity pool and, therefore, does not need to register with the CFTC 74 O 2021 Fannie Mae.#75Swaps Analysis ◉ - CAS REMIC structure allows transaction to be created in a manner that does not involve swaps • • For the first CAS REMIC deal, CAS 2018-R07, Fannie received an opinion letter from Eversheds Southerland (US) LLP regarding its swaps analysis. Fannie Mae will receive similar opinion letters for each subsequent issuance Eversheds concluded that the transactions between Fannie Mae and the CAS REMIC Trust are not security-based swaps since they are based on a reference pool of mortgages Eversheds concluded that the both the Capital Contribution Agreement (CCA) and the Collateral Administration Agreement (CAA) between Fannie and CAS REMIC Trust are commercial transactions and therefore should not be treated as swaps The sources of payments on the Notes consist of: (i) investment earnings and liquidation proceeds of short-term, liquid investments held in the Cash Collateral Account; (ii) amounts received in respect of REMIC interests issued by separate REMIC trusts previously established by Fannie Mae and assigned by Fannie Mae to the Issuer; and (iii) additional capital contributions made by Fannie Mae pursuant to the CCA and the CAA, each as further described in the 2019-R05 term sheet Eversheds determined that both the CCA and the CAA should be considered as commercial transactions, supported by the following facts: Fannie Mae's and the Trust's payment obligations are not severable from the transaction No OTC trading (or similar) market exists for the obligations under the CCA and CAA Fannie's contribution of the IO securities from the Q-REMIC have been sized specifically to satisfy all payments under the CAA and are contributed to the Trust for tax (REMIC and REIT eligibility) and securitization structuring purposes For further details/analysis, refer to the CAS REMIC overview on pages 61-64 and the Good REIT Income slides on pages 69-72 The CCA and CAA lack various other characteristics that are common in swap transactions, such as: Is not documented like a swap . Does not possess the characteristics of a swap (no exchange of payments, no netting, no credit exposure) 75 O 2021 Fannie Mae.#76Summary of Key Tax, Legal and Regulatory Considerations Issuer Topic CAS direct debt Fannie Mae Registration Offering Restrictions Regulation S Sales to REITS Tax treatment Exempt under Fannie Mae Charter Act Within the U.S.: Notes offered only to "Qualified Institutional Buyers" as defined in Rule 144A under the Securities Act. Outside the U.S.: Notes offered only to non-U.S. persons pursuant to Regulation S of the Securities Act. CAS are deemed to be government securities for purposes of the REIT tax tests, so are qualifying assets for REITs, but generally are less attractive because they do not produce qualifying real property income for REITs. M1 and M2 are debt for tax B1 is a contingent notional principal contract for tax CAS REMIC CAS REMIC Trust, a wholly-owned, non-consolidated subsidiary of Fannie Mae. Fannie Mae is sponsor and depositor Exempt under 144A Within the U.S.: Notes offered only to "Qualified Institutional Buyers" as defined in Rule 144A under the Securities Act. Outside the U.S.: Notes offered only to non-U.S. persons pursuant to Regulation S of the Securities Act. A REMIC security will be a qualified REIT asset and will produce qualified income for REITS. All tranches are treated as debt for tax 76 © 2021 Fannie Mae.#77Tax, Legal and Regulatory Summary (cont.) Topic Sale of B piece CFTC/Commodity Pool Operator Investment Company Act of 1940 Volcker Rule ERISA eligibility CAS direct debt B piece is generally subject to 30% withholding tax if sold to non-U.S. investors. CAS REMIC B piece is treated as debt-for-tax and therefore NOT subject to withholding tax if sold to overseas investors Registration as a Commodity Pool Operator (CPO) Registration as a Commodity Pool Operator (CPO) is is not required. not required. Fannie Mae, as an instrumentality or 'government entity' of the United States, is exempt from registration pursuant to Section 2(b) of the Act. Exempt from the 1940 Act since Fannie Mae is the issuer. Securities are exempt from Volcker Rule since they are not issued in reliance upon an exemption under Section 3(c)(1) or 3(c)(7) of the 1940 Act. Non-rated and below investment grade rated notes are ERISA eligible because they represent either (i) debt for tax or (ii) equity in an operating company (Fannie Mae). As an entity wholly owned by Fannie Mae, the SPV is exempt from registration pursuant to Section 2(b) of the Act. The SPV will be exempt from the Act pursuant to Section 2(b). CAS REMIC notes therefore will not constitute interests in a "covered fund" for purposes of the Volcker Rule since the Volcker Rule applies only to securities issued in reliance on Sections 3(c) (1) or 3(c)(7) of the Act. The M1 and M2 notes will be ERISA-eligible because they are both able to meet certain criteria to be characterized as debt-for-tax independent of the REMIC election. The B1 is not expected to be ERISA- eligible. 77 © 2021 Fannie Mae.#78REMIC Functionality in Data Dynamics 2 Fannie Mae Data Dynamics® Reports Home Tools for REIT Investors Reports Resources 3 Welcome to Fannie Mae's CAS REMIC™ MREIT investor reports, aimed to support our mortgage REIT investors in better understanding their investments in our Connecticut Avenue Securities (CAS) program. The CAS REMIC was designed in part to enable further mREIT participation in the program, providing favorable treatment under the REIT income and asset tests for tax purposes. These reports support mREIT investors in monitoring the recognition of REIT income for tax purposes ("Good REIT Income"). In addition to these reports, Fannie Mae has added new exchangeable notes to its CAS REMIC offerings that may be used to convert certain classes into interest components that distinguish income that counts favorably for purposes of the REIT income test from other income. Refer to the specific CAS offering documents for more detail here. These tools are applicable to CAS deals issued beginning with CAS 2018 R07 and forward, or the "R" series. Previous CAS deals were issued as debt of Fannie Mae, and are identified by a different offering series with a "C" designation, or the "C" series (e.g., CAS 2018 C06). We value your feedback. Share it here. Net Guarantee Fee Reporting and Analysis This tool provides additional reporting to help REIT investors analyze the net guarantee fee income available to CAS REMIC trusts. View Report 78 O 2021 Fannie Mae.#79CAS 2020-R02 G-fee Adequacy Analysis Base scenario: Assumes Reference Pool Loans and Uncovered Q-REMIC Loans prepay at the same rate Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Uncovered Loans 10% CPR Moderate scenario: Assumes Uncovered Q- REMIC Loans prepay faster than covered loans Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Uncovered Loans 25% CPR 80.00 60.00 40.00 Annualized (in bps) 20.00 0.00 Annualized (in bps) 80.00 60.00 40.00 20.00 0.00 1 21 41 61 81 101 121 141 161 181 201 221 241 1 21 41 61 81 101 121 141 161 181 201 221 241 CAS Margin Net G-Fee CAS Margin Net G-Fee Implications: Even under an assumed Stress Scenario, the Net G-Fee is more than sufficient to cover the CAS margin in order to generate "good REIT income" This analysis also supports the opinion that the transaction is not a swap, since the IO securities contributed from the Q-REMIC (i.e., the Net G- Fee) are sufficient to cover the CAS margin Stress scenario: Assumes 100% of Uncovered Q- REMIC Loans pay off in first remittance month Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Exclude Uncovered Loans Annualized (in bps) 60 40 20 20 79 © 2021 Fannie Mae. 0 1 21 41 61 81 101 121 141 161 181 201 221 241 -CAS Margin Net G-Fee#80CAS 2020-R01 G1 Excluded Loans Performance Summary Initial cohort pool loan performance summary: Performance of loans that met the CAS eligibility criteria at acquisition but were excluded from the CAS 2020-R01 reference Pool due to delinquency history, payoff, or QC removal Category Loan Count Original Loan Balance Initial Cohort 107,962 $30,151,778,000 Less loans that did not satisfy the delinquency criteria, less loans that paid-in-full, less quality control removals 2,688 $821,094,000 Eligible Loans Reference Pool Excluded loan summary (by Loan Count): 105,274 105,274 $29,330,684,000 $29,330,684,000 Worst DQ Status Since Acquisition Current Status (1) Total Current D30 D60 D90 D120 D150 D180 >D180/Default Paid in Full QC Removal Repurchase Current 16 0 0 0 0 0 0 0 1,097 0 0 1,113 D30 767 730 0 0 0 0 0 0 8 0 0 1,505 D60 19 0 39 0 0 0 0 0 1 0 0 59 D90 2 0 0 9 0 0 0 0 0 0 0 11 D120 0 0 0 0 0 0 0 0 0 0 0 0 D150 0 0 0 0 0 0 0 0 0 0 0 0 D180 0 0 0 0 0 0 0 0 0 0 0 0 >D180 0 0 0 0 0 0 0 0 0 0 0 0 All 804 730 39 9 0 0 0 0 1,106 0 0 2,688 (1) The above table takes into account acquisition eligibility criteria prior to the consideration of delinquency and other Cut-Off Date eligibility requirements, which could understate such Cut-Off Date eligibility exclusions (2) Loans remain subject to Fannie Mae's post-purchase QC process as of December 2019 and are therefore excluded from eligibility 80 © 2021 Fannie Mae.#81CAS 2020-R02 G2 Excluded Loans Performance Summary Initial cohort pool loan performance summary: Performance of loans that met the CAS eligibility criteria at acquisition but were excluded from the CAS 2020-R02 reference Pool due to delinquency history, payoff, or QC removal Category Loan Count Original Loan Balance Initial Cohort 112,140 $29,881,057,000 Less loans that did not satisfy the delinquency criteria, less loans that paid-in-full, less quality control removals 1,603 $456,352,000 Eligible Loans Reference Pool Excluded loan summary (by Loan Count): 110,537 110,537 $29,424,705,000 $29,424,705,000 Worst DQ Current Status (1) Total Status Since Acquisition Current D30 D60 D90 D120 D150 D180 >D180/Default Paid in Full QC Removal Repurchase 258 1 0 267 Current 8 0 0 0 0 0 0 0 D30 799 435 0 0 0 0 0 0 4 0 0 1,238 D60 18 8 55 55 0 0 0 0 0 0 0 0 81 D90 3 1 0 9 0 0 0 0 0 0 0 13 D120 0 0 0 0 4 0 0 0 0 0 0 4 D150 0 0 0 0 0 0 0 0 0 0 0 0 D180 0 0 0 0 0 0 0 0 0 0 0 0 >D180 0 0 0 0 0 0 0 0 0 0 0 0 All 828 444 55 9 4 0 0 0 262 1 0 1,603 (1) The above table takes into account acquisition eligibility criteria prior to the consideration of delinquency and other Cut-Off Date eligibility requirements, which could understate such Cut-Off Date eligibility exclusions (2) Loans remain subject to Fannie Mae's post-purchase QC process as of December 2019 and are therefore excluded from eligibility 81 O 2021 Fannie Mae.#82Credit Bureau Data: FICO Tail Progression Tri-Merge at Orig Equifax at Aqsn Equifax at Issue CAS 2018-C05 Group 1 743 740 743 % <620 0.00% 1.48% 1.60% % <660 6.02% 7.02% 6.72% CAS 2018-C06 Group 1 741 740 741 % <620 0.00% 1.44% 1.61% % <660 6.77% 7.17% 7.07% CAS 2018-C06 Group 2 743 735 733 % <620 0.00% 1.22% 2.12% % <660 3.86% 6.81% 8.36% CAS 2018-R07 Group 1 742 739.5 740 % <620 0.00% 1.54% 1.72% % <660 6.88% 7.50% 7.63% CAS 2019-R01 Group 2 743 735 732 % <620 0.00% 1.27% 2.45% % <660 3.90% 6.77% 8.89% CAS 2019-R02 Group 1 745 741 742 % <620 0.00% 1.36% 1.84% % <660 5.94% 6.65% 7.19% CAS 2019-R03 Group 1 743 740 % <620 0.00% 1.52% 741 1.85% % <660 6.52% 7.33% 7.72% CAS 2019-R04 Group 2 742 733 730 % <620 0.00% 1.37% 2.94% % <660 4.14% 7.31% 9.80% CAS 2019-R05 Group 1 741 739 740 % <620 0.00% 1.60% 1.87% % <660 6.52% 7.73% 7.65% CAS 2019-R06 Group 2 742 733 732 % <620 0.00% 1.26% 2.00% % <660 3.69% 6.76% 8.17% CAS 2019-R07 Group 1 747 744 745 % <620 0.00% 1.16% 1.39% % <660 4.75% 5.65% 5.93% CAS 2020-R01 Group 1 750 746 748 % <620 0.00% 0.96% 1.31% % <660 3.78% 4.97% 5.27% CAS 2020-R02 Group 2 743 735 734 % <620 0.00% 1.13% 1.83% % <660 3.11% 6.22% 7.57% 82 O 2021 Fannie Mae. At loan delivery, Fannie Mae requires the following versions of the classic FICO score for both DU and manually underwritten mortgage loans: Equifax BeaconⓇ 5.0 ExperianⓇ/Fair Isaac Risk Model V2SM TransUnion FICO® Risk Score, Classic 04 The representative score is then calculated as the median of these three scores for each borrower, therefore the Current FICO fields in CAS disclosures (Equifax) should not be directly compared to the FICO as of the Origination Date (Tri-Merge) Fannie Mae provides updated Equifax-only FICO scores on a monthly basis for all of our CAS offerings so that investors can track the ongoing borrower and co-borrower credit profiles At deal issuance, Fannie Mae provides the Equifax-only FICO score so that investors have a benchmark against which to compare the ongoing monthly Equifax scores The Equifax At-Issuance FICO scores are provided for informational purposes only, and are not used to establish loan eligibility ■ For information on Equifax monthly supplemental borrower and co-borrower credit performance offerings, visit www.Equifax.com/business/capital-markets or email [email protected]#83Appraisal Waiver As part of Fannie Mae's commitment to simplify the complexity of mortgage origination by creating efficiencies and delivering innovations that improve the loan manufacturing process, we updated our appraisal waiver offering, formerly known as Property Inspection Waiver, by integrating Desktop Underwriter (DU) and Collateral Underwriter (CU). By using CU's industry-leading analytics, we can offer appraisal waivers for certain lower-risk eligible loans. Step One Step Two Step Three Step Four DU File Submission DU Eligibility Exclusion Checks CU Eligibility Exclusion Checks Appraisal Waiver Offered Subject property generally has a prior appraisal that was analyzed by CU. ☐ ■ CU will evaluate the prior appraisal for overvaluation or property eligibility issues. If any of these issues exist, an appraisal waiver will not be granted. CU will use the prior appraised value along with Fannie Mae's Home Price Index to assess the reasonableness of the estimated property value provided by the lender in DU. If estimated property value is reasonably supported, the loan may be eligible for a waiver, subject to additional eligibility requirements. The majority of transactions will continue to require an appraisal. Fannie Mae has offered appraisal waivers for many years, and we have observed no material differences in performance for loans with the waiver versus comparable risk loans that obtained an appraisal. ■ Waiver rates have been included on CAS deal files as a loan-level field since October 2017. In March 2020, Fannie Mae enhanced its Uniform Mortgage Backed Securities (UMBS) and Mortgage-Backed Securities (MBS) disclosures to include a new attribute, "Property Valuation Method," which indicates the method by which the value of the subject mortgaged property was obtained, including appraisal waivers. The new attribute applied to all Fannie Mae single-family securities - both fixed- rated and adjustable-rate – with issue dates on or after January 1, 2017. This enhancement is for active loans only and not loans that were previously paid off or liquidated for other reasons. 83 © 2021 Fannie Mae. CAS deal files include a loan-level waiver identifier#84How MI Works: Typical Loan Possible Claim Outcomes MI Coverage "Percentage Option" Settlement Property Sale Conveyance Rescission - MI elects to pay amount equal to Total indebtedness * MI coverage % Indebtedness-Defaulted UPB + DQ Interest + Allowable Expenses CAS Investor sustains net loss after MI benefit is recognized Fannie Mae disposes of property prior to MI's settlement of the claim MI responsible for payment equal to the lesser of the loss sustained by Fannie Mae or the amount calculated under the Percentage Option CAS deal could sustain a loss if amount recovered from MI is less than loss amount because MI caps expenses and accrued interest MI opts to acquire the property from Fannie Mae by paying amount equal to Total Indebtedness (subject to MI limits on expenses) Fannie Mae transfers property deed to MI company CAS deal sustains no loss (unless MI limits on expenses apply) MI QC review uncovers R&W breach and rescinds coverage Fannie Mae will seek make-whole recoveries from the seller/servicer for amount equivalent to MI proceeds that are otherwise contractually due. If Fannie Mae also identifies a R&W breach, seller/servicer may be responsible for the entire loss. CAS investor will receive benefit equal to the amount of make-whole recoveries collected by Fannie Mae Post-crisis, MI benefits were reduced in some cases due to a Deferred Payment Obligation (DPO) imposed by MI regulators In this event, Fannie Mae will step in and make the CAS investor whole for the full MI claim amount due MI Factor: Fannie Mae recently began to streamline the MI claims process, whereby foreclosure expenses are determined by applying a numerical factor to all applicable claim amounts. The factor is established based on Fannie Mae's historical data on foreclosure expenses paid on MI claims and is intended to have no material impact to the overall levels of mortgage insurance proceeds. It is designed to simplify and accelerate MI claim calculations and increase certainty of payment amount. This process is in effect with a limited number of MI providers and it is our intention to expand in the future. The same factors will be used for all participating MI's and will apply to all claim payments regardless of when the loan was originated. 84 © 2021 Fannie Mae.#85How MI Works: MI Cancellation Provisions Borrower Paid Mortgage Insurance may be cancelled under the following circumstances: 1. Automatic Termination (based on scheduled amortization): the principal balance of the mortgage loan reaches 78% of the original value of the property AND ■ the borrower's payment is current 2. Borrower-Initiated Termination Based on Original Property Value (i.e. loan balance decrease): Outstanding balance of the loan is reduced such that the LTV ratio reaches <=80% of the original value of the property (typically due to a curtailment) AND Borrower must have an acceptable payment history: payment is current; • has no payment 30 or more days past due in the last 12 months; and • has no payment 60 or more days past due in the last 24 months The servicer must warrant that the current property value is at least equal to the original property value. The servicer may choose to order a broker price opinion (BPO), a certification of value, or a new appraisal to verify the current property value 3. Borrower-Initiated Termination Based on Current Property Value (i.e., property value increase): Servicer must establish current property value as evidenced by a new appraisal based on an interior and exterior inspection of the property and prepared in accordance with Fannie Mae's appraisal standards. ■ LTV ratio must be: ■ 75% or less, if the seasoning of the mortgage loan is between two and five years • 80% or less, if the seasoning of the mortgage loan is greater than five years Borrower must have an acceptable payment history (see requirements above for borrower-initiated termination) EPMI automatically terminates after 10 years. It is not cancellable prior to 10-year termination. Applicable to mortgages secured by one-unit principal residence or second home; lower LTV ratios required for other loan types. To note, #1 and #2, above, are provisions of the Homeowner's Protection Act of 1998. #3 is allowed under current Fannie Mae Servicing Guidelines. 85 O 2021 Fannie Mae.#86Deal Summaries & Comparison - Group 1 2017-C06 2017-C07 2018-C01 2018-C03 2018-C05 2018-C06 2018-R07 2019-R02 2019-R03 2019-R05 2019-R07 2020-R01 Pricing Date 8/15/2017 11/14/2017 2/6/2018 5/1/2018 7/26/2018 10/2/2018 10/31/2018 3/5/2019 4/9/2019 7/30/2019 10/29/2019 1/14/2020 Pricing (1 M1: 75 bps M1: 65 bps Month LIBOR +) M2: 265 bps B1: 415 bps M2: 240 bps B1: 400 bps M1: 60 bps M2: 225 bps B1: 355 bps M1: 68 bps M2: 215 bps B1: 375 bps M1: 72 bps M2: 235 bps B1: 425 bps M1: 55 bps M1: 75 bps M1: 85 bps M1: 75 bps M1: 75 bps M1: 77 bps M1: 80 bps M2: 200 bps B1: 375 bps M2: 240 bps B1: 435 bps M2: 230 bps B1: 415 bps M2: 215 bps B1: 410 bps M2: 200 bps B1: 410 bps M2: 210 bps B1: 340 bps M2: 205 bps B1: 325 bps Size M1: $156.6 mm M2: $281.9 mm B1: $78.3 mm M1: $186.2 mm M2: $401.7 mm B1: $97.9 mm M1: $384.2 mm M2: $853.7 mm B1: $256.1 mm M1: $251.4 mm M2: $606.4 mm B1: $192.3 mm M1: $204.7 mm M2: $600.5 mm B1: $177.4 mm M1: $86.6 mm M2: $353.4 mm B1: $108.2 mm M1: $149.8 mm M2: $599.2 mm B1: $172.9 mm M1: $200.5 mm M2: $614 mm B1: $188 mm M1: $204.1 mm M2: $500.1 mm B1: $153.1 mm M1: $225.7 mm M2: $542.7 mm B1: $225.7 mm M1: $249.6 mm M2: $524.1 mm B1: $224.6 mm M1: $303.1 mm M2: $523.5 mm B1: $206.7 mm Credit M1 2.80% M1: 3.05% M1: 3.10% M1: 3.20% M1: 3.35% M1: 3.70% M2: 1.00% M2: 1.00% M2: 1.10% M2: 1.15% M2: 1.15% M2: 1.25% M1: 3.85% M2: 1.25 % M1: 3.70% M1: 3.70% M1: 3.65% M2: 1.25% M2: 1.25% M2: 1.25% M1: 3.25% M2: 1.15% M1: 2.85% M2: 0.95% Enhancement B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.25% B1: 0.25% B1: 0.20% Minimum Credit Enhancement Test Credit enhancement greater than 3.80% Credit enhancement greater than 4.50% Credit enhancement greater than 4.50% Credit enhancement greater than 4.40% Credit enhancement greater than 4.40% Credit enhancement greater than 4.50% Credit enhancement greater than 4.75% Credit enhancement greater than 4.50% Credit enhancement greater than 4.70% Credit enhancement greater than 4.65% Credit enhancement greater than 4.25% Credit enhancement greater than 4.65% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% Vertical Slice M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% Retained B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% M2: 5% B1: 5% M2: 5% M2: 5% M2: 5% M2: 5% B1: 5% B1: 5% B1: 5% B1: 5% Ratings Fitch/KBRA M1: BBB- sf/BBB+(sf) M2: Bsf/BB(sf) B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ (sf) Fitch/DBRS M1: BBB-sf/BBB (high) (sf) Fitch/DBRS M1: BBB-sf/BBB (sf) M2: Bsf/BB- (sf) B1: Unrated M2: Bsf/B (high) (sf) Fitch/DBRS M1: BBB-sf/BBB (high) (sf) M2: Bsf/B (high) M2: Bsf/B (high) (sf) (sf) Fitch/KBRA Fitch/KBRA M1: BBB-sf/A (sf) M2: Bsf/BB (sf) M1: BBB-sf/A+ (sf) S&P/Morningstar S&P/Morningstar M2: Bsf/BB (sf) B1: Unrated M1: BBB+ sf/A M2: B+sf/BBB- B1: Unrated M1: BBB+ sf/A M2: B+sf/BBB- B1: Unrated B1: Unrated S&P/KBRA M1: BBB+ sf/ BBB+ sf M2: B+sf/BB sf B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ M1: BBB-sf/BBB+ (sf) (sf) Fitch/KBRA M2: Bsf/BB (sf) B1: Unrated M2: Bsf/BB (sf) B1: Unrated B1: Unrated B1: Unrated B1: Unrated Lead/Co Lead Acquisition Period BAR/MS January 2017/February 2017 BAML/NOM BAML/WF February 2017/April 2017 May 2017/August 2017 BAR/MS September 2017/November 2017 BAML/NOM NOM/BAR BAML/JPM Nomura/Wells CITI/BNP BAR/MS BAR/BAML MS/WF December 2017/March 2018 March 2018/April April 2018/June 2018 2018 May 2018/ September 2018 May 2018/ November 2018 2019 May 2018/ March May 2018/June Oct 2018/August 2019 2019 Loan Count 69,367 88,483 186.525 127,544 116,174 62,061 98,567 107,109 88,981 98,085 102,286 105,274 UPB $16.5 BN $20.6 BN $44.9 BN $31.1 BN $28.7 BN $15.2 BN $24.5 BN $26.8 BN $21.8 BN $24.0 BN $26.6 BN $29.3 BN 86 O 2021 Fannie Mae.#87Deal Summaries & Comparison - Group 1 2017-C06 2017-C07 2018-C01 2018-C03 2018-C05 2018-C06 2018-R07 2019-R02 2019-R03 2019-R05 2019-R07 2020-R01 Avg Principal Balance $240,576 $236,462 $243,826 $246,754 $249,993 $247,183 $248,404 $249,627 $243,953 $244,978 $259,723 $278,613 Avg Gross Mortgage Rate 4.08% 4.38% 4.34% 4.25% 4.28% 4.60% 4.80% 4.89% 4.95% 5.07% 4.61% 4.28% Avg Remaining Term to Stated Maturity 354 months 353 months 355 months 355 months 355 months 356 months 357 months 355 months 357 months 356 months 356 months 356 months Weighted Avg Original Term 359 months 359 months 359 months 359 months 359 months 359 months 360 months 360 months 360 months 360 months 359 months 359 months Weighted Avg Loan Age Avg Original LTV Ratio 5 months 6 months 5 months 4 months 4 months 3 months 3 months 4 months 3 months 4 months 3 months 4 months 74.91% 75.31% 75.80% 75.47% 75.29% 75.36% 75.73% 75.83% 75.75% 75.58% 75.52% 75.4% Avg Original CLTV Ratio 75.64% 76.01% 76.50% 76.12% 75.86% 75.90% 76.26% 76.36% 76.26% 76.06% 75.91% 75.9% Avg Debt-to-Income Ratio Credit Score 35% 35% 35% 36% 37% 37% 38% 37% 38% 38% 37% 36% 746 744 746 743 743 741 742 745 743 741 747 750 Loan Purpose (% UPB) 28.35% 13.21% 17.74% 18.54% 14.68% 10.06% 8.27% 9.26% 11.72% 19.07% 26.11% No cash-out refinance: 25.99% 52.76% 62.61% 53.31% 49.95% 52.93% 61.95% 66.14% 63.52% 58.61% 54.33% 49.70% Purchase: 44.98% 18.18% 24.18% 28.95% 31.51% 32.39% 27.99% 25.60% 27.22% 29.67% 26.60% 24.19% Cash-out refinance: 29.03% Percent Owner Occupied 84.87% 83.59% 84.90% 85.54% 85.63% 84.15% 84.06% 85.35% 85.53% 85.36% 86.06% 89.1% Top Three Geographic Concentration (% UPB) California: 21.78% Texas: 7.32% Florida: 5.79% California: 21.76% Texas: 7.75% Washington: 4.82% California: 20.36% Texas: 7.82% Florida: 6.27% California: 22.97% Texas: 7.02% Florida: 5.22% California: 22.43% Texas: 6.89% Florida: 6.14% Top Three Sellers (% UPB) Wells Fargo: 20.81% Quicken Loans: 6.86% SunTrust: 4.41% 87 O 2021 Fannie Mae. California: 22.45% Texas: 7.73% Florida: 7.00% California: 19.72% Texas: 8.29% Florida: 6.95% California: 17.64% Texas: 8.02% Florida: 6.70% California: 17.09% Texas: 8.16% Florida: 6.71% California: 17.53% Texas: 8.37% Florida: 7.24% California: 20.94% Texas: 7.10% Florida: 6.76% California: 21.34% Texas: 6.44% Colorado: 5.54% Wells Fargo: 15.11% Quicken Loans: 6.78% JPM Chase: 5.59% Wells Fargo: 20.10% Quicken Loans: 6.28% United Shore Financial Services: 3.91% Wells Fargo: 21.43% Quicken Loans: 9.73% JPM Chase: 4.43% Wells Fargo: 24.96% Quicken Loans: 10.03% United Shore Financial Wells Fargo: 24.60% Quicken Loans: 10.50% United Shore Wells Fargo: 25.09% Quicken Loans: 9.13% United Shore Financial Financial Wells Fargo: 24.68% Quicken Loans: 10.14% United Shore Financial Wells Fargo: 23.54% Quicken Loans: 10.44% Freedom Mortgage Corp.: Wells Fargo: 24.01% Quicken Loans: 13.02% JPM Chase: 4.89% Quicken Loans: 13.98% United Shore Financial Services: 6.21 Services: 5.11% Services: 4.65% Services: 4.58% 4.73% Wells Fargo: 20.10% Wells Fargo: 15.32% Quicken Loans: 9.86% Financial Services: 7.81% Services: 7.17% United Shore#88Deal Summaries & Comparison - Group 2 2017-C02 2017-C04 2017-C06 2017-C07 2018-C02 2018-C04 2018-C06 2019-R01 2019-R04 2019-R06 2020-R02 Pricing Date 3/15/2017 5/23/2017 8/15/2017 11/14/2017 3/6/2018 6/26/2018 10/2/2018 2/5/2019 6/25/2019 10/2/2019 2/3/2020 Pricing (1 Month M1: 115 bps M1: 85 bps M1: 75 bps M1: 65 bps M1: 65 bps M1: 75 bps LIBOR +) M2: 365 bps B1: 550 bps M2: 285 bps B1: 505 bps M2: 280 bps B1: 445 bps M2: 250 bps B1: 445 bps M2: 220 bps B1: 400 bps M2: 255 bps B1: 450 bps M1: 55 bps M2: 210 bps B1: 410 bps M1: 85 bps M2: 245 bps B1: 435 bps M1: 75 bps M1: 75 bps M1: 75 bps M2: 210 bps B1: 525 bps M2: 210 bps B1: 375 bps M2: 200 bps B1: 300 bps Size M1: $379.9 mm M2: $759.8 mm B1: $189.9 mm M1: $257.8 mm M2: $601.5 mm B1: $143.2 mm M1: $117.9 mm M2: $360.9 mm B1: $73.6 mm M1: $107.7 mm M2: $303.9 mm B1: $63.3 mm M1: $188.8 mm M2: $667.2 mm B1: $151.1 mm M1: $187.9 mm M2: $598.9 mm B1: $152.6 mm M1: $70.0 mm M2: $230.0 mm B1: $70.0 mm M1: $186.7 mm M2: $586.8 mm B1: $186.7 mm M1: $234.3 mm M2: $538.8 mm B1: $257.7mm M1: $233.8 mm M2: $732.7 mm B1: $327.4mm M1: $276.7 mm M2: $567.1 mm B1: $290.5mm M1: 3.00% M1: 3.10% M1: 3.45% M1: 3.40% M1: 3.75% M1: 3.70% M1: 3.50% M1: 3.40% Credit M2: 1.00% M2: 1.00% M2: 1.00% M2: 1.00% M2: 1.10% M2: 1.15% M2: 1.20% M2: 1.20% M1: 3.65% M2: 1.35% Enhancement B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B1: 0.50% B1: 0.25% M1: 3.65% M2: 1.30% B1: 0.25% M1: 3.35% M2: 1.30% B1: 0.25% Minimum Credit Enhancement Test Credit enhancement greater than 4.25% Credit Credit enhancement greater than 4.25% enhancement Credit enhancement Credit enhancement greater than 4.50% greater than 4.50% greater than 4.50% Credit enhancement greater than 4.50% Credit enhancement greater than 4.20% Credit enhancement greater than 4.10% Credit enhancement greater than 5.00% Credit enhancement greater than 4.85% Credit enhancement greater than 4.95% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% Vertical Slice M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% Retained B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% Ratings Fitch/KBRA M1: BBB- sf/BBB(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA M1: BBB- sf/BBB(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA Fitch/KBRA M1: BBB - sf/B+ (sf) M1: BBB-sf/BBB (sf) M2: Bsf/B+ (sf) B1: Unrated M2: Bsf/B (sf) B1: Unrated Fitch/KBRA M1: BBB- sf/BBB+(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/Morningstar M1: BBB-sf/A+ M2: Bsf/BB+ B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ (sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA M2: Bsf/BBB B1: Unrated Fitch/Morningstar Fitch/Morningstar S&P/Morningstar M1: BBB-sf/A M1: BBB-sf/BBB+ M1: BBB-(sf)/A- M2: Bsf/BB M2: B(sf)/BB+ B1: Unrated B1: Unrated M1: BBB-(sf)/BBB (sf) M2: B+ (sf)/BB- (sf) B1: Unrated Lead/Co Lead JPM/BNP JPM/CITI BAR/MS BAML/NOM JPM/BNP CITI/JPM NOM/BAR BAML/CITI Acquisition Period May 2016/Sep 2016 Oct 2016/Dec 2016 January 2017/March 2017 April 2017/June 2017 June 2017/September 2017 October 2017/January 2018 Feb 2018/March May 2018/August BAML/NOM Aug 2018/December BAML/MS BAML/BAR 2018 2018 Jan 2019/June 2019 2018 Nov 2018/September 2019 Loan Count 170,672 125,573 66,489 56,296 112,133 103,753 43,325 115,586 102,543 130,696 110,537 UPB 88 $39.9 BN $30.1 BN $15.5 BN $13.3 BN $26.5 BN $24.7 BN $10.5 BN $28.4 BN $25.1 BN $33.2 BN $29.4 BN © 2021 Fannie Mae.#89Deal Summaries & Comparison - Group 2 Avg Principal Balance Avg Gross Mortgage Rate 2017-C02 2017-C04 2017-C06 2017-C07 2018-C02 2018-C04 2018-C06 2019-R01 2019-R04 2019-R06 2020-R02 $234,300 $240,129 $233,259 $236,843 $236,333 $238,285 $245,976 $246,231 $244,292 $253,693 $266,198 3.87% 3.73% 4.26% 4.39% 4.26% 4.21% 4.34% 4.78% 4.89% 4.67% 4.18% Avg Remaining Term to Stated Maturity 354 months 355 months 356 months 356 months 356 months 355 months 355 months 355 months 354 months 357 months 356 months Weighted Avg 360 months 360 months 360 months 360 months 360 months. 360 months 360 months 360 months 360 months 360 months 360 months Original Term Weighted Avg 6 months 4 months 4 months 4 months 4 months 5 months 5 months 5 months 6 months 3 months 3 months Loan Age Avg Original LTV 92.13% 91.83% 92.21% 92.54% 92.53% 92.47% 92.50% 92.84% 92.79% 92.78% 92.31% Ratio Avg Original CLTV 92.15% 91.85% 92.24% 92.57% 92.55% 92.49% 92.52% 92.86% 92.81% 92.8% 92.33% Ratio Avg Debt-to- 35% 35% 36% 36% 36% 38% 38% 38% 38% 38% 38% Income Ratio Credit Score 746 746 743 744 743 742 743 743 742 742 743 Loan Purpose (% UPB) No cash-out refinance: 14.75% 85.25% 19.91% 80.09% 14.04% 85.96% 7.54% 92.46% 7.14% 92.86% 10.65% 89.35% 10.95% 89.05% 4.03% 95.97% 4.17% 95.83% 9.38% 90.62% 17.29% 82.71% Purchase: Cash-out refinance: Percent Owner 96.60% 96.59% 96.09% 96.65% 95.98% 95.72% 96.19% 95.91% 95.40% 95.94% 96.97% Occupied Top Three Geographic Concentration (% UPB) California: 11.22% Texas: 7.59% Florida: 5.65% California: 11.88% Texas: 6.91% Florida: 5.51% California: 11.16% Texas: 8.36% Florida: 6.56% California: 11.26% Texas: 7.58% Florida: 4.89% California: 10.86% Texas: 7.16% Florida: 5.56% California: 13.11% Texas: 7.37% Florida: 5.66% California: California: 9.82% California: 9.50% 12.29% Texas: 7.66% Florida: 7.28% Texas: 7.69% Florida: 7.01% Texas: 8.03% Florida: 7.04% California: 12.16% Texas: 8.30% Florida: 7.45% California: 12.31% Texas: 7.22% Florida: 6.25% Wells Fargo: 17.77% 5.25% Franklin American: 2.24% Top Three Sellers Quicken Loans: (% UPB) Wells Fargo: 20.44% Quicken Loans: 5.49% JPM: 2.58% Wells Fargo: 18.09% JP Morgan: 4.98% Quicken Loans: 4.26% Wells Fargo: 18.67% JP Morgan: 4.57% Quicken Loans: 3.82% Wells Fargo: 21.44% Quicken Loans: 4.82% JP Morgan: 4.69% JP Morgan: 5.22% Wells Fargo: 21.90% Quicken Loans: 6.84% Wells Fargo: 25.49% Quicken Loans: 6.96% United Shore Financial Services: 4.78% Wells Fargo: 23.38% Quicken Loans: 6.04% JP Morgan: 5.14% Wells Fargo: 22.24% Quicken Loans: 6.28% JP Morgan: 4.29% Wells Fargo: 22.87% Quicken Loans: 10.95% United Shore financial Services: 7.12% Wells Fargo: 20.74% Quicken Loans: 10.95% JP Morgan: 5.47% 89 O 2021 Fannie Mae.#9090 Thank You O 2021 Fannie Mae.