#1Investor Presentation Single-Family Credit Risk Transfer January 2024 HHI Fannie Mae H H#2Disclaimers Copyright© 2024 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, 2023 and annual report on Form 10-K for the year ended December 31, 2022. 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. 2 © 2024 Fannie Mae#3Contents Single-Family Business and Credit Risk Management Connecticut Avenue Securities® (CAS) Overview Credit Insurance Risk Transfer™ (CIRT ™) Overview Historical Comparative Analysis Investor Resources Appendix DU Model Updates 2017-2020 Commodity Futures Trading Commission Considerations Summary of Key Tax, Legal & Regulatory Considerations How MI Works Workout Hierarchy and Modification Losses Payment Deferral Comparison Temporary Interest Rate Buydowns Modern Valuation Spectrum Value Acceptance (Appraisal Waiver) Overview 3 © 2024 Fannie Mae 4 11 26 37 43 49#4Single-Family Business and Credit Risk Management#5Billions ($B) Our Size and Scale: Single-Family The U.S. mortgage market is dominated by the 30-year Fixed-Rate Mortgage (FRM) Fannie Mae Issuance by Product Type¹ . الس. 2023 YTD 1,400 1,200 1,000 800 600 400 200 0 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 30-Yr FRM ■15-year FRM ■20-year FRM ■10-year FRM Other Fixed ■ARM 1 Through September 30, 2023 2 Includes HELOCS 3 Source: Federal Reserve's Flow of Funds 5 © 2024 Fannie Mae . . Fannie Mae provided approximately $246 billion in Single-Family mortgage liquidity across the country in the first nine months of 2023. As of June 30, 2023, U.S. Single Family mortgage debt outstanding totaled $13.82 trillion. Fannie Mae's share stood at approximately $3.6 trillion, representing 26%.³#6Who We Are We create opportunities for people to buy, refinance, or rent a home. Fannie Mae sits at the very heart of the U.S. housing industry. We purchase eligible mortgages from lenders and bundle them into mortgage-backed securities that we guarantee 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 a healthy housing market. We estimate that, as of December 31, 2022, approximately 1 in 4 single- family homes in the U.S. with mortgages were financed by Fannie Mae. 6 We partner with lenders to create home purchase and refinance (single-family) and rental (multifamily) opportunities for millions of borrowers and renters across the country. © 2024 Fannie Mae *Single Family, Approximate#7Our Single-Family Business Providing liquidity to the housing market and investment options to rates and credit investors. $ Lender Originates loans 7 © 2024 Fannie Mae Proceeds from sale of MBS flow back to lender to fund new loans Fannie Mae 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 !||es| MBS Credit Risk Securities $ Interest Rate Investor Purchases MBS & assumes interest rate risk $ Credit Investor Purchases credit risk securities & assumes portion of credit risk#8Credit Risk Transfer Overview Program benefits: • • Benchmark issuer Large, geographically diversified loan pools. Innovative credit risk management tools Program transparency Unique online investor tools and resources We have transferred over to $97 billion in single-family credit risk to private market participants since 2013, transferring a portion of the credit risk on over $3.2 Trillion of UPB at Issuance* Connecticut Avenue SecuritiesⓇ (CAS) The benchmark for U.S. mortgage credit $63.4 billion issued since program inception* Covering over $2.1 Trillion in UPB at issuance* Credit Insurance Risk Transfer™ (CIRT™) Attracts diversified insurers/ reinsurers $25.2 billion of coverage committed since program inception* Covering roughly $865 billion in UPB at issuance* * Issuance amount as of September 30, 2023. 8 © 2024 Fannie Mae#9Our 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. 96% (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 (SMDUTM), 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 - dispositioning 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 loan deliveries in 2022 through DU Click to learn more about our approach to Credit Risk Management 9 © 2024 Fannie Mae#10Credit Risk Management Highlights Fannie Mae's industry-leading technology drives improved loan quality and better outcomes. Desktop Underwriter Collateral Underwriter 10 94% 1,790(1) Lenders/Agents Loan deliveries in 2023 through DUⓇ(1) In Q3 2023, approximately 84% ($75B) of the single-family loans (by UPB) acquired by Fannie Mae had one or more Day 1 CertaintyⓇ components (1) Approximately 1,200 lenders actively deliver loans to Fannie Mae through DU on an annual basis. Approximately 590 additional lenders are approved for DU access. 64.3 Million+ Appraisals collected from August 2011 to date 10.7 Million+ Appraisals viewed by lenders since launch in January 2015 100% of single-family and condominium appraisals go through CU as part of our QC process Servicing Management Default Underwriter™ ~96% of Delinquencies covered through SMDU as of November 9, 2023 Over 1,300 servicers currently benefit from SMDU through B2B integration or through the SMDU User Interface ■ Provides consistent decisioning for loss mitigation solutions As of September 30, 2023. © 2024 Fannie Mae Real Estate Owned 1.8 million+ Homes disposed of since 2009 Best execution approach to sell real estate based on NPV comparison to move-in ready home sold to owner occupant Evolution within our REO repair strategy has increased repair rates and investment over time, resulting in increased access for owner occupants to purchase move-in-ready homes.#11Connecticut Avenue Securities® (CAS) Overview#122024 CAS Issuance Calendar • Calendar highlights periods in 2024 during which Fannie Mae may issue Connecticut Avenue Securities. Fannie Mae may choose not to issue in some or all periods. Issuance volumes and utilization of available issuance windows continue to be dependent on business factors and market conditions. Month(s) January/February March/April May/June July/August Potential CAS REMICⓇ Transactions ☑ ☑ V ✓ 12 September/October November/December © 2024 Fannie Mae ☑ ☑ ☑ > ☑#13Fannie Mae's Connecticut Avenue Securities (CAS program) Since 2013, we've built an award-winning mortgage credit risk transfer program, with: • • • • The creation of the innovative CAS REMIC Industry-leading, data-driven credit risk management methodologies Transparent and unique investor resources Maturing and liquid market Large, geographically diverse mortgage credit book, with innovative tools to improve the loan manufacturing process with over $64 billion issued under the CAS program since 2013 Transferred a portion of risk on over $2.1 trillion in unpaid principal balance of mortgage loans at time of CAS issuance Transparent credit risk management process with historical research dataset of over 55 million loans 13 Issuance amount as of December 31, 2023. © 2024 Fannie Mae#14CAS Evolution: Transforming the CRT Sector 2013 ■ CAS 1.0: Fixed severity loss framework • CAS 2013-C01 through CAS 2015-C03 • ⚫ Legal maturity: 10-years Optional call: 10% clean-up call • Corporate debt ■ Class M-1 and Class M-2 notes Group 1 loans (60-80% LTVs) 2014 ■ Introduced transactions with Group 2 loans (80-97% LTVs) 2015 ■ CAS 2.0: Actual loss framework CAS 2015-C04 and forward • Legal maturity: 12.5 years • Optional call: 10-year call option or 10% clean-up 2016 ■ Issued Class B Notes: sold portion of the first loss position 2017 ■ Issued Class B-1 Notes: retained first 50 bps of loss ■ Received ratings on previously unrated M-2 classes 2018 ■ CAS 3.0: CAS REMIC • CAS 2018-R07 and forward • All classes issued as REMICS 2019 ■ CAS 2019-R04 and forward: • Legal maturity: 20-years • Optional Call: 7-year starting with CAS 2019-R04 or 10% clean- up ■ Issued HARP transaction: 14 © 2024 Fannie Mae CAS 2019-HRP1 2020 ■ Issued Seasoned B Tranche Transaction: CAS 2020-SBT1 • Re-reference of CAS 2015-C04 through CAS 2016-C07 2021 ■ Issued Class B-2 Notes: retained a first loss piece Legal maturity: 20-years ■ Optional Call: 5-years or 10% clean-up ■ Transitioned to SOFR-based transactions ■ Received ratings for 16 unrated classes from 13 transactions between 2017-2019 ■ Conducted seasoned CAS Note tender offer 2022 Optimizing structure to conform to the Enterprise Regulatory Capital Framework (ERCF)#15CAS Bond Ratings M-1 Rating Transition Matrix At Issuance Rating AA A+ A A- BBB+ BBB BBB- BB+ BB BB- 1 1 4 1 4 1 1 3 4 1 2 6 1 4 3 1 3 1 8 3 3 2 2 2 3 5 18 4 1 6 18 1 5 7 4 7 M-2 Rating Transition Matrix 54 B+ M1 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B Current Rating* At Issuance Rating A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- M2 AAA+ 2 4 6 AAA AAA- 2 1 1 3 2 1 1 2 623212 16 1 AA+ 3 AA AA- 2 2 A+ A 3 1 1 A- BBB+ 15 14 © 2024 Fannie Mae 31 14 1 1 BBB BBB- BB+ BB BB- B+ 1 B B- Current Rating* At Issuance All CAS M-1 and M-2 bonds have current ratings the same as or higher than their rating at issuance. Additional Ratings In 2023*, CAS bonds have received 118 upgrades on M1, M2 and B1 bonds. Upgrade No Change Downgrade * Current ratings as of 01/16/24#16CAS REMIC and Direct Debt NAIC Designations for 2022 ■ ◉ ■ 11 M-1 bonds and 46 M-2 bonds received designations of NAIC 1 for the 2022 filing year. 44 M-2 bonds maintained their NAIC 1 rating from last year and 2 received an upgraded rating of NAIC 1. Our 2022 CAS REMIC transactions received NAIC designations for the first time for the 2022 filing year. 45 40 55253225250 Total M-1 and M-2 CAS NAIC Designations 2022 15 10 15 16 0-1 Years 4 42 1-3 Years WAL ■NAIC 1 NAIC 2 NAIC 3 Note: The current WALS were run on January 4, 2023 NAIC designations as of the 2022 filing year © 2024 Fannie Mae 2 7 3-6 Years REMIC and Direct Debt M-1 Classes by NAIC rating 8% ■ NAIC 1 ■ NAIC 2 ■ NAIC 3 92% REMIC and Direct Debt M-2 Classes by NAIC rating 3% 17% ■ NAIC 1 ■ NAIC 2 79% ■ NAIC 3 CAS REMIC and direct debt transactions received favorable NAIC designations for the 2022 filing year. View the full list of NAIC designations here#1717 Billions CRT Quarterly Trading Volume and Turnover Quarterly CRT Trading Volume* $20.00 $16.00 $12.00 $8.00 $20.1BN of secondary trading in CAS bonds in the last 12 months, approximately one times float of $21.0BN* $4.00 T 1 $- 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 ■CAS trading volume (Quarterly) 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 I STACR trading volume (Quarterly) Quarterly CRT Turnover** 60% 50% 40% 30% 20% 10% 1Q17 2017 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 STACR *Through June 2023 **Note: total quarterly trading volume/average quarterly outstanding UPB Source: Fannie Mae trading survey, Bloomberg CAS © 2024 Fannie Mae#18CAS Benchmark Program Investor Distribution Through 2023* M-1 M-2 2013 2014 B-1 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD⭑ 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD* 2016 2017 2018 2019 Money Manager Hedge Fund Insurance *As of December 31, 2023 Source: Fannie Mae and dealers, primary issuance only 2020 2021 2022 2023 YTD⭑ Sovereign Wealth Fund Pension/State or Local Government For additional details on CAS Benchmark Program Investor Distribution data, please visit: https://capitalmarkets.fanniemae.com/media/document/xlsx/cas-program-investor-distribution.xlsx 18 © 2024 Fannie Mae B-2 2021 2022 2023 YTD* REIT Bank/Credit Union 267 unique investors since program inception* 62 new investors since returning to market in 2021*#19CAS 2023-R08 G1 Reference Pool Selection Process October 2022 - December 2022 Total Acquisitions of $85.5BN Original UPB Random Division Loans have REMIC election and were securitized in MBS issued in October 2022- June 2023* 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 A randomly selected subset of October 2022 to December 2022 Loans Connecticut Avenue Securities: $18.88 BN Current UPB ⭑⭑⭑ Note: No more than one loan made to a given borrower is included in the reference pool, except for investor loans, in which case no more than two loans to the same borrower are included. *October 2022 - December 2022 acquisitions were pooled into REMIC-eligible MBS in October 2022 - June 2023 **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 2023-R08 August 2023 Book Profile. Numbers may not foot due to rounding 19 © 2024 Fannie Mae Reserved for Reinsurance#20CAS 2023-R08 Transaction Overview Est. $609.275 million in offered notes (1) Credit Support Offered Notes Class Loan Group (Est. MM) Attach (%) Detach (%) (S&P/KBRA) Expected WAL (yrs) Expected Ratings 10% CPR to Early Redemption Date Expected Principal Window 1M-1 1 $278.010 3.75% 5.30% A- (sf)/A- (sf) 1.35 1-35 1M-2 1 $206.265 2.60% 3.75% BBB (sf) / BBB+ (sf) 4.16 35-60 1B-1 1 $125.000 1.55% 2.60% BB (sf) BBB- (sf) 4.93 60-60 1B-2H(2) 1 Not Offered 1.00% 1.55% N/A N/A N/A 1B-3H(2) 1 Not Offered 0.00% N/A N/A (1) The Maturity Date for all classes will be October 2043. First Early Redemption Date will be October 2028. 1.00% (2) 1B-2H and 1B-3H are reference tranches, not offered notes, and are included solely to illustrate the structure of the transaction. Transaction Timeline* November 2023 S M T W T F N/A S 1 2 3 4 Tape Release 56 7 8 9 100 Pre-Marketing 11 Execution 12 13 14 15 16 17 18 Closing 19 20 21 22 23 24 25 26 27 28 29 30 *All dates are approximate 20 © 2024 Fannie Mae Deal timing: Loan Data File: November 9, 2023 Pre-Marketing: November 14-15, 2023 CAS 2023-R08 Execution: November 16, 2023 Closing and Settlement: November 20, 2023#21CAS 2023-R08 Structural Overview (Group 1) Reference Pool October 2022 - December 2022 (Loans with REMIC election) Group 1 Loans Original LTV 60.01 - 80.00% Class 1A-H 94.70% thick 5.30% credit support (initial) 5.30% credit support (required) Class 1M-1 1.55% thick 3.75% credit support Class 1M-2 1.15% thick 2.60% credit support Class 1B-1 1.05% thick 1.55% credit support Class 1B-2H 0.55% thick Class 1M-1H (5.00% vertical slice) Class 1M-2H (5.00% vertical slice) Class 1B-1H (36.95% vertical slice) 1.00% credit support Class 1B-3H 1.00% thick 0.00% credit support All H tranches are reference tranches only and will not be issued • Loans acquired in October 2022 - December 2022 and securitized into MBS pools • issued in October 2022 - June 2023 Reference Pool contains only 60.01-80.00% LTV loans 20-year legal final maturity; Fannie Mae optional call starting in year 5 • Fannie Mae optional 10% clean up call Notes are par-priced uncapped SOFR-based floaters Minimum credit enhancement to unlock unscheduled and scheduled principal is 5.30% Delinquency test trigger must be satisfied to unlock unscheduled and scheduled principal • Credit events are based on actual losses 1M-2 class and 1B-1 class will offer exchange features with rated exchangeable notes • The Class 1M-1 and 1M-2 Notes will be ERISA eligible • All classes are issued as REMICS and treated as debt-for-tax • Fannie Mae will retain 100% of the 1B-2H and 1B-3H tranches and at least 5.00% of all offered tranches. Retention is in line with requirements of Regulation (EU) 2017/2402 Section 5.1(d) and Article 6.3(a) of the UK Securitization Regulation regarding retention of material net economic interest 21 © 2024 Fannie Mae#22CAS REMIC Structure Credit and prepayment performance of the underlying mortgage loans determines performance of CAS securities · - - Hypothetical Structure - CAS REMIC Notes in Blue Reference Pool Fannie Mae acquires and makes a REMIC election on loans Loans are deposited into MBS Loans in reference pool meet CAS Eligibility Criteria 1 REMIC regular interests that are associated with the loans are conveyed to the CAS REMIC Class A-H Fannie Mae retains senior-most risk position CAS REMIC 2 Issuer issues Class M-1, M-2, B-1 and B-2 Notes. Class M-1 Sold to investors Trust (Issuer) Bankruptcy Receives cash proceeds Fannie Mae Remote Trust 3 Issuer pays interest (uncapped SOFR floater) Issuer repays principal less credit Class M-1H Fannie Mae retains 5%+ vertical slice Class M-2 Sold to investors Class M-2H Fannie Mae retains 5%+ vertical slice Collateral Account Class B-1 and applicable modification losses Sold to investors Earnings on Eligible Investments in Collateral Account contributes to interest on Notes and proceeds from liquidation of Eligible Investments covers return amounts to Fannie Mae and pays principal on Notes 22 © 2024 Fannie Mae Class B-2 Sold to investors Class B-1H Fannie Mae retains 5%+ vertical slice Class B-2H Fannie Mae retains 5%+ vertical slice Class B-3H Fannie Mae retains first loss position Loss Allocation#23Cash Flow Waterfall Principal Loan Group 1 (60.01 - 80.00 LTV) Class 1M-1 Class A-H Class 1M-1H Class 1M-2 Class 1M-2H Class 1B-1 Class 1B-2H Class 1B-3H Class 1B-1H Senior Notes: A-H class Mezzanine Notes: M classes Subordinate Notes: B classes Retained Vertical Slice: 1M-1H, 1M-2H, 1B-1H 23 © 2024 Fannie Mae Losses • 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, mezzanine notes, and subordinate notes, then are applied sequentially to the mezzanine notes and subordinate notes starting with 1M-1 • Deal must meet specified credit enhancement and delinquency tests for the subordinate notes to receive unscheduled and scheduled principal payments ⚫ Losses are applied in reverse sequential order beginning with class 1B-3H • • 1B-2H and 1B-3H will both have class coupons for use in connection with the allocation of Modification Loss Amounts Principal payments and losses are allocated pro rata between the sold notes and the retained vertical slice#24Credit Events and Allocation of Losses 24 Allocation of principal loss amounts Allocation of modification loss amounts 1 Class B3H - Principal 1 Class B3H-Interest 2 Class B2 - Principal 2 Class B3H - Principal 3 Class B1 - Principal 3 Class B2 - Interest + Class M2 - Principal 4 Class B2 - Principal 15 Class M1 - Principal 5 Class B1 - Interest 6 Class B1 - Principal 7 Class M2 - Interest 8 Class M2 - Principal 9 Class M1- Interest 10 Class M1 - Principal © 2024 Fannie Mae#25Actual 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. 25 © 2024 Fannie Mae#26Credit Insurance Risk TM Transfer™ (CIRT ™M) Overview#272024 CIRT Issuance Calendar • Calendar highlights periods in 2024 during which Fannie Mae may execute Credit Insurance Risk Transfer. • Fannie Mae anticipates acquiring approximately $2-2.5 billion of CIRT coverage in 2024. • Fannie Mae may choose not to execute in some or all periods. • Coverage volumes and utilization of available execution windows continue to be dependent on business factors and market conditions. 27 © 2024 Fannie Mae Quarter Low LTV Deal(s) Q1 2024 Q2 2024 Q3 2024 Q4 2024 Note: Subject to change. K High LTV Deal(s) ☑#28Mortgage Credit Risk Transferred under the CIRT Program CIRT Risk Transferred ($ in Millions) 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 ........ 0 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 Limit of Liability The CIRT Program has provided over $25.8B in coverage since program inception. Note: As of December 31, 2023 28 © 2024 Fannie Mae Large, geographically diversified loan pools provide broad exposure to U.S. housing market Fannie Mae acts as an intermediary between the lender and investor to set standards, manage quality, mitigate losses, and maximize value Transparent pricing provided on our webpage for all transactions - along with key deal documents and transaction data Powerful investor resources - including proprietary analytical tool Data Dynamics®#29Reinsurance Deal Structure 29 Lender 1 Lender 2 Fannie Mae has Sole Beneficial Interest in Trust Trust Agreement Reinsurer A Premium Ceded Fannie Mae Premium Paid Reinsurer B Lender 3 Lender 4 Loans owned or guaranteed Aggregate XOL Insurance Policy Interest & Liability Agreement Protected Cell Quota Share Reinsurance Treaty Reinsurer C Lender X Loans delivered to FNMA under (Mortgage Selling and Servicing Contract) © 2024 Fannie Mae Loss Recoveries Loss Recoveries "Cut Through” Endorsement to Quota Share ("QS") Reinsurance Agreement Reinsurer X#30CIRT 2023-9 Loan Pool Selection Process October 2022 through December 2022 Total Acquisitions Selection of Acquisitions (random division based upon recent acquisition period) Random Division Proportional allocation for CAS Fully amortizing, generally 25-year and 30-year fixed-rate¹, 1-4-unit, first lien, conventional Not Refi Plus™ / Not HARP² 80% <Loan-to-value < 97% 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 Other exclusions may apply A randomly selected subset of October 2022 to December 2022 Loans UPB covered at Issuance CIRT 2023-9: $11.52 Billion 1. All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. 2. Fannie Mae acquires HARP loans under its Refi Plus™ initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers. 30 © 2024 Fannie Mae#31Insurance Policy Structural Overview Illustration (CIRT 2023-9) 4.00% detachment Loan Pool $11.52 billion loans, 80-97 LTV Acquired Oct-Dec 2022 Catastrophic losses (retained by Fannie Mae) Key Features: ■ ■ ☐ Simple loss structure Structured with retention layer and an aggregate limit of liability Fannie Mae retains first loss (retention) layer If retention layer is exhausted, reinsurers cover actual losses up to aggregate limit of liability ■ Actual loss is determined after property disposition 2.35% 1.65% attachment Aggregate limit of liability (transferred to reinsurers) $271 million First loss layer (retained by Fannie Mae) $190 million ■ Limit may step down on first anniversary and monthly thereafter depending on level of delinquencies and pool paydowns Partial collateralization of risk exposure, based upon external ratings of reinsurer Termination option at any time on/after a specified anniversary date (typically 60 months) with a fee paid to reinsurers "Clean up" call once covered balance <=10% initial covered balance without a termination fee 31 © 2024 Fannie Mae#3232 Remaining Limit of the Initial Pool UPB (%) Limit of Liability Step Down Expected Scenario - Illustration 4.20% 4.00% 3.80% 3.60% 3.40% 3.20% 3.00% 2.80% 2.60% 2.40% 2.20% 2.00% 1.80% 1.60% 1.40% 1.20% Balance Paydown Remaining Limit (%) 100% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% 0 12 24 36 48 88 © 2024 Fannie Mae Termination Option 80% 60% 40% UPB Outstanding (%) Step down typically begins at Month 12 following the effective date and monthly thereafter Remaining Limit of Liability will be reduced based on the paydown of the covered pool and balance of delinquent loans Limit step down beneficial to reinsurers as collateral requirement declines Fannie Mae has early termination option, typically at Month 60, or thereafter 20% 0% 60 72 84 96 108 120 132 144 150 Months Since Inception#33Comparison of Typical CIRT Bulk Deals and Front-End Deals Bulk Deal Loan Acquisitions Period Fill-up Period 2-12 months prior to inclusion in pool N/A Covered Loans 15-30 YR FRM Front-End Deal Future acquisition months (can also include loans acquired within the last 12 months) 12-15 months 30 YR FRM Limit of Liability Determination Limit of Liability Step Down Monthly Premium Loan Profile Restrictions Reinsurer Collateral At the time of policy execution May begin 12 months following effective date and monthly thereafter Based on competitive bids; locked in at time of execution Follows standard eligibility; covered loans are disclosed prior to pricing Collateral amount due at time of execution Limit % determined at the time of policy execution; limit $ determined at the end of the fill-up period May begin 18 months following effective date and monthly thereafter Based on competitive bids for a sample pool of loans, with pricing true-up at end of fill-up period Follows standard eligibility; pricing based upon an indicative reference pool; may include restrictions on final risk attributes of the pool Collateral posted as covered loan pool is delivered 33 © 2024 Fannie Mae#34Summary of Key Recent CIRT Deal Terms CIRT Transaction Name Year Product Deal Type OLTV Term (years) Effective Date Covered Loan Acquisition Period Initial Step Down (anniversary month) Total Initial Principal Balance Aggregate Retention Limit of Liability 2023-9 2023 2023-8 2023-7 2023-6 2023-5 2023-4 2023 2023 2023 2023 2023 241 360 month FRM 241 - 360 month FRM 241 - 360 month FRM 241 - 360 month FRM 241-360 month FRM 241-360 month FRM Bulk Bulk Bulk Bulk Bulk Bulk >80-97 >60-80 >80-97 >60-80 >80-97 >60-80 12.5 12.5 09/01/23 10/2022-12/2022 08/01/23 9/2022-12/2022 12.5 05/01/23 7/2022-9/2022 12.5 05/01/23 4/2022-8/2022 12.5 04/01/23 3/2022-6/2022 12.5 03/01/23 3/2022-5/2022 12 12 12 12 12 12 $ 11,519,596,467 $ $ $ 190,073,342 $ 270,710,517 $ 8,397,593,117 $ 117,566,304 $ 344,301,318 $ 16,935,416,887 $ 262,498,962 $ 397,982,297 $ 9,646,251,436 $ 125,401,269 $ 390,673,183 $ 18,060,305,539 $ 243,814,125 $ 424,417,180 $ 12,862,034,563 135,051,363 501,619,348 Retention % 1.65% 1.40% 1.55% 1.30% 1.35% 1.05% Limit % 2.35% 4.10% 2.35% 4.05% 2.35% 3.90% Annual Premium (bps) 8.16 10.44 11.40 12.48 10.08 12.00 Termination Date 02/29/36 01/31/36 10/31/35 10/31/35 09/30/35 08/31/35 Time-based Cancellation Option (beginning anniversary month) 60 60 60 60 60 60 Above is a summary of CIRT deal terms that, in some cases, may approximate the definitive terms of CIRT transactions posted on the Fannie Mae website: https://capitalmarkets.fanniemae.com/credit-risk-transfer/single-family-credit-risk-transfer/credit-insurance-risk-transfer/cirt-pricing Definitive deal terms are included in the published deal documents for each CIRT transaction. 34 © 2024 Fannie Mae#35Insurance Policy Key Terms - Sample (CIRT 2023-9) Insurance Structure: Covered Loans: Initial Principal Balance: Limit of Liability: Retention/First Loss Risk: Monthly Premium Rate: Step-Down of Limit Liability: Aggregate excess of loss credit insurance Portfolio of 21 to 30-year fixed-rate residential mortgage loans acquired between October 1, 2022, and December 31, 2022 $11.52 Billion 2.35% of the total Initial Principal Balance ($271M) 1.65% of the total Initial Principal Balance ($190M) 0.0068% of remaining UPB At 12 month following effective date, and each month thereafter, limit of liability shall be reduced to the lesser of: a) the Remaining Limit of Liability at such date, or b) the greater of: i. The following target Limit percentages: a) At 12-23 months after the effective date: total current UPB x 115% of limit of liability %; b) ii. At 24 and greater months after the effective date: total current UPB x limit of liability%, or The following non-performing triggers: 35 © 2024 Fannie Mae Cancellation: a) At 12-23 months after the effective date: 650% of (SDQ+REO) UPB, b) At 24-35 months after the effective date: 425% of (SDQ+REO) UPB, At 36-59 months after the effective date: 300% of (SDQ+REO) UPB, d) At 60 and greater months after the effective date: 200% of (SDQ+REO) UPB 12.5-year term. Fannie Mae may terminate coverage on/after the 5-year anniversary, and early termination fee paid if early termination option exercised between 5-year and 10-year anniversary. Also subject to a 10% clean-up call, and if exercised no termination fee will be paid.#36Illustration of Property Disposition and Loss to CIRT Structure Default (2 missed payments) Mediation 36 © 2024 Fannie Mae Foreclosure Date Property Disposition Date $100k Home Foreclosure Proceedings (Typically initiated on 3rd missed payment) REO Process (95% LTV) Equity $95k Unpaid Principal Balance ☐ (UPB)(1) ☐ Loss Applied to CIRT Structure Delinquent Accrued Interest (2) Maintenance & Preservation (2),(3) Legal Costs (2),(3) Real Estate Taxes/Fees(2),(3) $15k Interest and expenses $33k Primary MI Recovery (30% of (UPB + DQ Int + Expenses)) $2k Net Loss TO CIRT Structure $75k $108k Proceeds Total from property Proceeds sale (1) Loss covered by Mortgage Insurance (2) The covered loss may be curtailed based upon eligibility under MI policy (3) The covered loss may be estimated under MI factor#37Historical Comparative Analysis#38CRT-Eligible Profile Summary > 60-97 LTV Historical FRM30 Loan Acquisition Profile Orig Year Original UPB WA Note Rate WA FICO WA DTI WA OLTV WA OCLTV % Purchase % CA WA Risk Layers¹ % Investor % FICO <680 % Cash-out % DTI 46-502 1999-2004 $1,289.3B 6.50% 712 34.8 79.0 79.6 42% 17% 0.81 4.2% 28.1% 25.8% 22.7% 2005-2008 $694.7B 6.17% 723 39.2 78.4 80.2 48% 12% 0.94 5.9% 23.4% 32.3% 32.8% 2009-2013 $1,321.2B 4.41% 760 33.3 78.1 79.0 45% 24% 0.33 6.0% 3.7% 16.2% 7.6% 2014-2017 $1,191.1B 4.18% 746 34.9 81.8 82.3 65% 20% 0.36 6.4% 9.2% 15.0% 5.7% 2018-2021 $2,324.6B 3.58% 750 35.7 81.1 81.3 54% 18% 0.43 4.4% 6.5% 16.5% 15.9% 2022-2Q2023 $499.B 5.19% 748 38.1 83.1 83.2 81% 13% 0.50 6.1% 7.1% 13.9% 23.0% Source: Fannie Mae October 2023 data release CAS/CIRT Eligible Loan Issuance Profile Issue Qtr Original UPB WA Note Rate WA FICO WA DTI WA OLTV WA OCLTV % Purchase % CA WA Risk Layers % Investor % FICO < 680 % Cash-out % DTI 46-50² 1Q 2020 $122.0B 3.92% 751 36.1 81.0 81.3 48% 20% 0.43 4.3% 5.1% 17.8% 15.8% 2Q 2020 $211.0B 3.51% 755 34.6 80.4 80.7 38% 18% 0.36 4.0% 4.0% 15.6% 12.4% 3Q 2020 $227.7B 3.22% 756 34.5 80.7 81.0 47% 18% 0.33 3.7% 4.2% 12.8% 11.9% 4Q 2020 $244.7B 2.99% 756 34.4 79.9 80.2 45% 19% 0.36 4.6% 4.6% 14.3% 12.0% 1Q 2021 $222.1B 2.90% 754 34.5 79.2 79.5 40% 20% 0.39 5.6% 5.2% 16.4% 12.2% 2Q 2021 $219.8B 3.09% 752 35.1 80.6 80.8 51% 18% 0.40 3.1% 6.2% 17.1% 13.8% 3Q 2021 $177.5B 3.14% 747 35.9 80.8 81.1 58% 18% 0.45 1.8% 8.1% 19.1% 16.4% 4Q 2021 $167.4B 3.17% 746 36.2 80.2 80.3 56% 16% 0.55 5.0% 8.5% 24.2% 17.4% 1Q 2022 $153.6B 3.44% 745 37.0 80.8 81.0 60% 17% 0.60 5.6% 8.7% 26.2% 19.3% 2Q 2022 $125.4B 4.48% 746 37.6 82.8 82.9 76% 13% 0.54 6.6% 8.2% 18.1% 21.3% 3Q 2022 $97.4B 5.45% 747 38.4 83.7 83.8 86% 12% 0.48 6.1% 7.5% 10.5% 24.4% 4Q 2022 $64.3B 5.98% 749 38.7 83.9 84.1 89% 11% 0.46 6.4% 6.0% 8.1% 25.7% 1Q 2023 $52.9B 6.37% 750 39.0 84.1 84.3 90% 13% 0.44 6.3% 5.2% 6.2% 26.6% 2Q 2023 $71.1B 6.36% 755 38.1 84.0 84.2 92% 11% 0.38 5.3% 4.7% 4.8% 22.9% 3Q 2023 $69.6B 6.67% 757 38.4 83.8 84.0 93% 11% 0.37 5.1% 4.2% 4.2% 23.9% Source: Fannie Mae Issuance Data through September 2023. Only loans with LTV between 60-97 are included. Excludes loans with CLTV>97. Statistics weighted by origination UPB. 1. Risk Layers defined as: Investor Property, DTI 46-50 (rounded to the nearest integer), FICO<680, & Cash-out Refinance 2. Rounded to the nearest integer 38 © 2024 Fannie Mae#39CRT-Eligible Profile Summary 60.01-80.00 LTV CAS/CIRT Eligible Loan Issuance Profile Original UPB ($M) $ Nov-22 10,346 $ Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 9,591 $ 9,789 $ 7,665 $ 8,888 $ 9,261 $ 12,761 $ WA Interest Rate 6.1% 6.5% 6.5% 6.4% 6.3% 6.4% 6.4% WA FICO 752 752 752 754 753 753 760 13,895 $ 6.4% 760 12,921 $ 11,457 $ Sep-23 11,707 $ Oct-23 11,939 $ Nov-23 Dec-23 10,182 $ 8,488 6.5% 6.7% 6.8% 7.0% 7.2% 7.4% 760 758 759 759 760 758 WA DTI 38.0% 38.2% 38.4% 38.1% 38.0% 37.8% 37.2% 37.1% 37.5% 37.6% 37.5% 37.8% 38.1% 38.2% WA LTV 75.6% 75.6% 75.5% 75.8% 75.8% 76.2% 75.5% 75.6% 75.7% 75.7% 75.6% 75.7% 75.6% 75.6% WA CLTV 75.8% 75.9% 75.8% 76.1% 76.0% 76.3% 75.8% 76.0% 76.0% 76.0% 75.9% 75.9% 75.8% 75.8% % Purchase 79.5% 81.5% 81.0% 84.1% 81.6% 84.2% 85.8% 86.4% 88.5% 88.2% 87.8% 89.1% 89.1% 89.3% % CA 11.5% 11.6% 14.5% 12.8% 13.9% 11.8% 11.6% 11.8% 12.1% 12.1% 11.8% 11.5% 12.9% 10.5% WA Risk Layers 0.60 0.58 0.61 0.53 0.54 0.50 0.50 0.45 0.44 0.47 0.48 0.46 0.45 0.49 % Investor 12.1% 11.8% 13.9% 11.2% 11.0% 10.3% 11.2% 9.1% 8.6% 9.6% 10.6% 8.9% 7.5% 10.2% % FICO 680 7.3% 7.3% 7.3% 6.2% 5.5% 5.1% 6.6% 5.5% 5.1% 6.0% 5.4% 5.6% 5.0% 6.1% % Cashout 16.2% 13.6% 13.8% 9.8% 13.0% 10.7% 9.5% 8.6% 7.4% 8.1% 8.6% 7.2% 7.0% 6.7% % DTI 46-50 24.7% 25.2% 26.4% 25.9% 24.3% 23.7% 22.5% 21.5% 23.0% 23.4% 23.2% 24.1% 25.7% 25.8% % Moderate Temp BD 1.8% 4.6% 5.5% 5.5% 6.1% 4.9% 4.0% 3.2% 2.7% 2.6% 2.7% 3.3% 4.2% 5.1% % Significant Temp BD 0.0% 0.2% 0.3% 0.5% 0.5% 0.5% 0.3% 0.3% 0.3% 0.3% 0.2% 0.2% 0.4% 0.7% 80.01-97.00 LTV CAS/CIRT Eligible Loan Issuance Profile Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23 Original UPB ($M) $ 9,526 $ 9,926 $ 9,288 $ 7,399 $ 9,831 $ 11,480 $ 11,290 $ 12,385 $ 11,933 $ 10,795 $ 10,781 $ 10,686 $ 8,685 $ 8,274 WA Interest Rate 6.0% 6.3% 6.4% 6.4% 6.2% 6.3% 6.4% 6.3% 6.5% 6.7% 6.8% 7.0% 7.2% 7.3% WA FICO 747 747 746 747 750 751 752 755 756 754 756 756 757 755 WA DTI 39.6% 39.9% 40.0% 39.8% 39.5% 39.1% 38.9% 38.8% 39.1% 39.3% 39.5% 39.5% 40.0% 40.0% WA LTV 92.5% 92.8% 92.5% 92.5% 92.5% 92.4% 92.7% 92.5% 92.4% 92.7% 92.6% 92.4% 92.2% 92.7% WA CLTV 92.6% 92.8% 92.5% 92.5% 92.6% 92.5% 92.7% 92.5% 92.4% 92.7% 92.7% 92.5% 92.2% 92.7% % Purchase 98.6% 98.5% 98.2% 97.8% 98.1% 98.3% 98.5% 98.2% 98.6% 98.8% 98.9% 98.8% 98.5% 98.5% % CA 10.0% 8.7% 12.8% 10.7% 13.0% 10.4% 9.4% 9.3% 10.0% 9.4% 9.2% 9.7% 10.5% 9.0% WA Risk Layers 0.32 0.34 0.35 0.33 0.29 0.27 0.29 0.26 0.27 0.28 0.29 0.29 0.31 0.31 % Investor 0.7% 0.5% 0.6% 0.5% 0.5% 0.5% 0.4% 0.4% 0.3% 0.3% 0.4% 0.3% 0.3% 0.3% % FICO < 680 4.4% 4.5% 4.7% 4.7% 3.1% 2.2% 5.3% 3.1% 2.7% 3.2% 2.8% 3.0% 2.8% 3.1% % 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 27.3% 28.9% 29.6% 28.0% 25.5% 24.1% 23.5% 22.7% 23.9% 24.7% 25.7% 26.0% 28.2% 27.3% % Moderate Temp BD 3.0% 6.9% 10.0% 9.8% 9.9% 7.5% 6.9% 5.3% 4.5% 4.1% 4.5% 5.3% 6.8% 7.9% % Significant Temp BD 0.0% 0.1% 0.3% 0.5% 0.4% 0.3% 0.3% 0.2% 0.1% 0.2% 0.2% 0.2% 0.3% 0.4% Note: CRT eligible loans using MBS issuance data. Source: Fannie Mae MBS issuance data. 39 © 2024 Fannie Mae 1. Risk Layers defined as: Investment Property, Cash-out Refinance, DTI 46-50 (rounded to the nearest integer), and FICO <680. 2. CRT-eligible criteria defined as: fixed-rate, 1-4 units, origination LTV (60,97], origination CLTV (60,97], origination DTI (0,50], original loan term (300,360], conventional, non-reperforming.#4040 © 2024 Fannie Mae FICO 710 700 690 680 Sep-00 Sep-01 730 720 Sep-02 Sep-03 Sep-04 Sep-05 780 770 760 750 740 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Total Volume (RHS) Origination Month Purchase FICO Sep 2000 Sep 2023 - Source: Fannie Mae. Origination estimates for aggregate market Total Mortgage Origination Volume and FICO Credit profile typically fluctuates with the origination cycle When origination capacity is tight, credit profile is strongest Lower origination volumes mean lenders have more capacity to underwrite to the full credit box Overall profile is heavily levered to profile of refinancings, as purchase profile is more stable Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Sep-22 Sep-23 Refi FICO Average FICO $500 $450 $400 $350 $300 $250 $200 $150 $100 $50 $0 Total Volume in Billions 720 FICO 750 745 740 735 730 725 Sep-15 Jan-16 May-16 Sep-16 Jan-17 Total Volume (RHS) 755 770 765 760 May-17 Sep-17 Jan-18 May-18 Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 Jan-21 Origination Month Purchase FICO Sep 2015 Sep 2023 Refi FICO Average FICO May-21 Sep-21 Jan-22 May-22 Sep-22 Jan-23 May-23 Sep-23 $600 $500 $400 $300 $200 $100 $0 Total Volume Billions#41DU Model Updates: 2021-2023 Sep 2021: DU 11.0 ☐ Updated the credit score used by DU in the eligibility assessment for loan casefiles with more than one borrower by using an average median credit score when determining if a loan casefile meets the minimum credit score requirement of 620. DU to consider a borrower's positive rent payment history in the credit risk assessment. Lender must obtain a 12-month Verification of Asset (VOA) report. May result in additional loans receiving Approve/Eligible in DU Mar 2022: DU 11.0 Implemented a desktop appraisal option. Must be a purchase transactions secured by a one-unit principal residences, and LTV ratio is <=90%. Apr 2022: DU 11.0 – Removed the minimum representative credit score requirement of 620 for Refi Now™ loans. Jul 2022: DU 11.0 – Updated risk and eligibility assessment in response to changing market conditions. May yield a reduction in loan case files receiving Approval/Eligible, with most noticeable reduction on cash-out refinance transactions when multiple high-risk factors are present. Aug 2022: DU 11.0 DU to issue employment documentation messages specific to RefiNow when the requirements are different than standard documentation requirements. Asset documentation flexibility extended to RefiNow loan casefiles. Dec 2022: DU 11.0 Enhancements to support loans where no borrower has traditional credit. Principal residence, purchase or limited cash-out refinance, LTV/CLTV <=95%, DTI up to 50%. Cashflow assessment required via 12- month asset verification report. May result in additional loans receiving Approve/Eligible in DU Jan 2023: DU 11.1 Fine tune DU's ability to assess risk. May yield a reduction in loans case files receiving Approve/Eligible with most notable reduction of loans with high LTV and DTI ratios with multiple high-risk factors. Certain loans meeting specific housing goals or Duty to Serve initiatives are excluded. Updates to improve DU's ability to identify rent payment history on a third- party asset verification report. Learn more: singlefamily.fanniemae.com/applications-technology/desktop- underwriter-desktop-originator 41 © 2024 Fannie Mae#42Pandemic-Related Hardships Resolving Refi wave and strong housing market enabled a significant portion of COVID-affected borrowers to prepay CAS and CIRT Active Loans as of Feb-2020 100% Entered Forbearance 10% of Feb-20 loans Did Not Enter Forbearance 90% of Feb-20 loans Entered Forbearance Became Delinquent 82% (8% of Feb-20 loans) Did Not Become Delinquent 18% (2% of Feb-20 loans) Became Delinquent Prepay 49% (4% of Feb-20 loans) Current (Self-Cure) 11% (1% of Feb-20 loans) Repay Plan 0% (0% of Feb-20 loans) Payment Deferral 29% (2% of Feb-20 loans) Trial/Perm Mod 8% (1% of Feb-20 loans) Active Forbearance 1% (0% of Feb-20 loans) Delinquent - No Workout 1% (0% of Feb-20 loans) Other ZB Event 2% (0% of Feb-20 loans) Prepay 67% (1% of Feb-20 loans) Source: Fannie Mae. Shows CAS and CIRT combined performance through Aug 31, 2023. Outcomes only shown for loans active as of Feb 29, 2020. Excludes cancelled CIRT deals, fixed severity CAS deals, and HARP/lender recourse deals. Note: Percentages calculated using loan count 42 © 2024 Fannie Mae Did Not Become Delinquent Current 32% (1% of Feb-20 loans) Other 1% (0% of Feb-20 loans)#43Investor Resources#44Data Dynamics® Our free platform allows investors to gain insights into historical loan performance trends, issuance profiles, and monthly performance - exclusively for Fannie Mae's CAS and CIRT programs. The tool is continuously enhanced based on investor feedback and new disclosures. Enhancements include: • • • CRT Transition Matrix: Access three matrices to analyze month-over-month transitions in Forbearance, Workout, and Delinquency status for loans that are referenced in our CAS transactions. Payment Forbearance Dashboard: View performance on the active population of loans in forbearance and analyze historical loan cohorts that were ever in forbearance for CAS. CAS Structural and Delinquency Test Monitor: View the monthly status of CAS deal-level credit enhancement and delinquency tests. Access today at https://datadynamics.fanniemae.com Beginning month: October 2020 Beginning month: October 2020 Deal Performance Summary Structural and Delinquency De... Loss Severity Summary DQ Transitions Transition Matrix Roll Performance CAS Transition Matrix Performance Curves Forb Perf Forb Outco > Click on any cell or header to filter all views to the selected cohort View toggle Dcal Beginning month. (All) Orig. Date (ALL) FICO (All) LTV (All) CLTV (ATI) DTI (All) Risk Layers (All) Remittance Period Jan 2021 Product All Purpose All Occupancy No. of Borrowers All All First Time Buyer All HomeReady Regions of Interest All Forbearance status ⑦ Never in Forbearance Ever in Forbearance Grand Total Workout status © Active Forbearance Repayment Plan Never Forbearance Evar in Forbearance 95.32% 0.13% 86.04% 96.60% 9.53% State All Ending month: November 2020 (Jan 2021 Remit) Prepay 4.54% 2.92% 4.38% Zip 3 All All Credit Event Removal 0.00% 0.00% Grand Total 100.00% 0.47% 0.01% 100.00% 0.05% 0.00% 100.00% Ending month: November 2020 (Jan 2021 Remit) Ever in Never in Active Forbearance Repayment Plan Payment Trial Mod Deferral Forbearance- Forbearance- Propay Credit Event Removal Grand Total No Workout No Workout 83.28% 0.21% 6.76% 0.45% 6.14% 1.05% 1.29% 0.82% 0.01% 100.00% 2.54% 75.52% 4.13% 0.21% 12.54%6 2.70% 2.20% 0.06% 100.00% Payment Deferral 1.33% 0.01% 95.32% 0.019 0.05% 0.01% 3.24% 0.03% 0.00% 100.00% Trial Mod 3.51% 0.54% 73.86% 12.95% 7.46%) 0.80% 0.89% 100.00% Ever in Forbearance - No Workout 2.49% 0.06% 1.35% 0.43% 90.49% 5.10% 0.06% 0.01% 100.00% Never in Forbearance - No Workout 0.15% 0.00% 0.00% 0.01% 95.27% 4.57% 0.00% 0.00% 100.00% Grand Total 4.53% 0.07% 2.18% 0.13% 85.37% 4,38% 0.05% 0.00% 100.00% Delinquency status 3.28% Ending month: November 2020 (Jan 2021 Remit) Current 30-59d DLQ 60-89d DLQ 90-119d DLQ 120-149d DLQ 150-179d DLQ 180d- DLQ Prepay Credit Event Current 94.80% 0.62% 0.00% 0.00% 0.01% 0.00% 0.02% 4.55% 0.00% Removal 0.00% Grand Total 100.00% S 30-594 DLO 21 6004 0.0006 0.0206 0.01.06 0.1186 32006 0.0106 100.00% 31.5106 27.2606 44 © 2024 Fannie Mae#45% of Loans Outcomes Vary by Length of Delinquency For borrowers who have exited forbearance, outcomes are correlated to the number of missed payments Outcomes by Max Months DQ in Forbearance 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 Max Months DQ in Forbearance 19 20 21 22 23 24 25 26 0 27 27 28 29 30 Prepay Current Repay Plan PD-Curr Trial Mod Perm Mod - Curr PD-DQ Perm Mod DQ DQ Other Zero Bal Event Mar-20 Loans (RHS) 45 © 2024 Fannie Mae Source: Fannie Mae. Shows CAS and CIRT combined performance through August 31, 2023. Shows outcomes for loans that were active on Feb 29, 2020, entered forbearance since Mar 1, 2020, and have exited forbearance by August 31, 2023. Excludes cancelled CIRT deals, fixed severity CAS deals, and HARP/lender recourse deals. Percentages calculated using loan count Loans#46Historical 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 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 Loan performance data is also available through Application Programming Interfaces (APIs). Instructions for accessing the APIs are available in Data Dynamics under the Resources section in the Historical Performance tile Multifamily Loan Performance Data added in August 2019 Learn more at www.fanniemae.com/loanperformance Fannie Mae Data Dynamics + Report Man Historical Performance Data Dashboard an Origination Frotic Historical Perfoman Loss/Severity Summary Relative Perfo Bell Ferformance Performance Curves Add'l Filters Historical Origination Profile by Orig. Vintage Cohort GRUD Werka 18 T Ong.Cla Ph rin Product Pure Опиратер All K Clarion % Ong. Melage in an Cont 513135 7549353 100.30% +37 DATSAP Pr 2300 SENTE AO HA 2004 $374105 $ T 100 т LTV . Reports Resources Open Glossy Addisonalite GLTV T Bak Lega e of Barrow Frstar S Dp 45 " 35397 K WWFOO WALIV La BAN BR CAN 1.98 115.365 12 11.5% 11.8% 34.4% 1345 35% 15% 111% M 7745 35 t 11284 1% 12 870 40-SOU 140.2013 128% cus 300% x 11.1% 18 * 338% 2015 18546 21% 2 122 #135 24% 342% 2155 501 NOTICE 123 70% 27% 34.75 4131 4.00 1448211 1/4.99 5/3% % Sh 142% 1.15 P 12 63300 5945033 1252,500 334395 100% $11593 100 NEJ 103041 725 715 327% 30 4.9% 120 TOON 51135 21588 198,108 2229 14.9% K 41.1% 112% 120 M 3 Je 7175 3375 ALAN 14 82217 23 10000 542 343 ヨリム3 QU MIC BCPK 33 4515 313% 2195 12 2010 $47 ה 5000 56377 KXFX01 204 ACK 368 2025 31 3635 3111 873 1. 5842 215.00 BLUS SUP 2.1% 22.3% 2155 2212 SEAN 103 260190 0 2012 +500 F 226 182 5396 202% 3115 365% 11% 25% XF 5483415 221-406 10000% 1.310,581 218,905 184 12.4% 5.5% 32% 383% 15.2% 25.1% LO 281- 81174 +16 5 753 2144 773% 34.7% TH 77 542110 100.00% 5315 213 13451 728502 25.0% 15.8% 330% 12% 0.1% 212% EX вне 灵婚 55 14138 334 33 тел 21d4 334% 173 飯 3 314186 877 383573 100.00% 5347432 1,538955 22 118 25.0 62% 38.2% 4.17% 15% 113% K Byg, vintage Group.ation ALAGADEMIK LAPIOCA Parapan A MOD 40 - DHce pe à Manger or AWS ALPES TO SUNGAIDUS A 46 © 2024 Fannie Mae#47CRT Loan-level Data Disclosure Fannie Mae makes over 100 loan-level disclosure fields available to support CRT analysis - Fields include key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data, such as (not limited to): Loan and Borrower Characteristics Collateral Characteristics Servicing Data Loan Term Characteristics Property Type Number of Borrowers Number of Units Occupancy Type Servicer Name Mortgage Insurance Cancellation Indicator Original and Current Interest Rate Original and Current UPB HomeReady Program Indicator, and First Time Home Buyer Indicator Original Debt to Income Ratio Original Loan to Value Ratio (LTV) and Combined LTV Ratio (CLTV) Metropolitan Statistical Area Loan Payment History Modification Flag Original Loan Term Origination Date Foreclosure Date High Loan-to-Value Refinance 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 Maturity Date Disposition Data Last Paid Installment Date Original and Current List Price and Date Detailed Proceed Fields Disposition Date Detailed Expense Fields 1. Available beginning with CAS 2017-C07 and CIRT 2017-7. All prior deals will reflect null values. 47 © 2024 Fannie Mae#48CAS Resources for EU & UK investors Fannie Mae's webpage is designed to help European Union and United Kingdom institutional investors and those managing funds subject to EU/UK regulations. ☐ 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 New! In response to European Union (EU) additional guidance published in October 2022, beginning on May 25, 2023, Fannie Mae started providing monthly loan-level and deal-level data in ESMA Annex 2 and Annex 12 template formats directly in Data Dynamics® The data will be provided on a go-forward basis for all benchmark CAS deals beginning with CAS 2019-R01* 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 Visit www.fanniemae.com/eu-resources and www.fanniemae.com/uk-resources for more information *For CAS 2019-HRP1, one data element on Annex 2, Original Obligor Identifier, has not been provided due to borrower privacy concerns. 48 © 2024 Fannie Mae#49Appendix DU Model Updates 2017 - 2020 Commodity Futures Trading Commission Considerations (CAS) Summary of Key Tax, Legal & Regulatory Considerations (CAS) How MI Works Workout Hierarchy and Modification Losses Payment Deferral Comparison Temporary Interest Rate Buydowns Modern Valuation Spectrum Value Acceptance (Appraisal Waiver) Overview 50 51 52 52 54 58 60 50 63 49 64 65#50DU Model Updates: 2017-2020 July 2017: DU 10.1 ■ Enabled loans with DTI ratios above 45% (up to 50%) to rely on DU's comprehensive risk assessment. Removed DU model overlays with set maximum LTV ratio and minimum reserves requirements for those loans. May result in additional loans receiving Approve/Eligible in DU. March 2018: DU 10.2 ■ ■ Revised DU's risk assessment to limit risk layering. May yield a reduction in Approve/Eligible recommendation 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. May yield a reduction in loan case files most notably for loans with multiple risk factors. July 2019: DU 10.3 ☐ Certain new loan casefiles submitted to DU will receive an Ineligible recommendation when multiple high-risk factors are present. Updated the DU eligibility assessment to better align the mix of business delivered to us with the composition of business in the overall market. April 2020: DU 10.3 In response to changing market conditions and economic uncertainty surrounding COVID 19 Pandemic and support sustainable homeownership we revised DU's risk and eligibility assessments to result in modest reduction of loan casefiles with high-risk factors receiving an Approve/Eligible recommendation. Learn more: singlefamily.fanniemae.com/applications-technology/desktop-underwriter-desktop-originator 50 © 2024 Fannie Mae#51CAS REMIC: Commodity 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 International Swaps and Derivatives Association (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 51 © 2024 Fannie Mae#52CAS: Summary of Key Tax, Legal and Regulatory Considerations Issuer Topic CAS Direct Debt Fannie Mae Registration Exempt under Fannie Mae Charter Act. CAS REMIC CAS REMIC Trust, a wholly-owned, non-consolidated subsidiary of Fannie Mae. Fannie Mae is sponsor and depositor. Exempt under Rule 144A. Offering Restrictions Regulation S Sales to REITS Tax Treatment 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. 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 A REMIC security will be a qualified REIT asset and will produce the REIT tax tests, so are qualifying assets for REITs, but qualified income for REITs. 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. All tranches are treated as debt for tax. 52 © 2024 Fannie Mae#53CAS: Summary of Key Tax, Legal and Regulatory Considerations (cont.) Topic Sale of B Piece CFTC/Commodity Pool Operator (CPO) 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. Registration as a CPO is 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). 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 CPO is not required. 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. In 2023 issuances, the B1 bond is not expected to be ERISA-eligible. 53 © 2024 Fannie Mae#54How MI Works: Typical Loan MI Coverage acquired by Lender Fannie Mae's requirement for MI Coverage Percent determined by Original LTV Loan Origination Last Paid Installment Servicer Informs MI of 60-day DQ Foreclosure Date Fannie Mae files claim within 60 days of Foreclosure = MI Benefit Settled with the "Percentage Option" (Default UPB + DQ Interest Allowable Expenses) x MI Coverage % Claim Paid Property Disposition Date Potential MI Cancellation due to: Loan balance amortizes to 78% of original property value (automatic) Loan balance reduced to ≤ 80% of original property value (borrower initiated) Loan balance reduced to ≤ 80% of current property value (borrower initiated) Loan must be current and meet other requirements Foreclosure Expenses Accrued DQ Interest* Foreclosure Costs** Asset Recovery Costs** Associated Taxes** Misc.** * The covered loss may be curtailed based upon eligibility under MI policy ** The covered loss may be estimated under MI factor Accrued Disposition Expenses Residual loss (net of MI Benefit) applied to CIRT structure 90 days after property disposition Property Preservation Associated Taxes Misc. The claim must be "perfected" (received all required documentation) within 120 days of claim filing, and settled within 180 days of the "perfect date." 54 © 2024 Fannie Mae#55How MI Works Disaster event / Physical Damage Under MI Master policies, an MI claim can be denied if there is material physical damage to the property that was the principal cause of default. The damage could be the result of natural disaster (e.g., flood, earthquake, hurricane, etc.) or otherwise (e.g., defects in construction, fire, environmental impairment). Physical damage means any injury, physical damage or impairment to a property that the MI reasonably estimates to be in excess of the greater of $5,000 or 2% of the original property value, whether caused by accident, natural disaster or otherwise. If physical damage is the principal cause of default and manifested itself after the MI issued its commitment, the MI can deny the claim. Physical damage is deemed to be the principal cause of default if: 1) the property has not been restored; and 2) there was no hazard insurance or insufficient hazard insurance to restore the property; or 3) there was sufficient hazard insurance, but a claim was not filed, or a claim was filed but the proceeds have not been received, or the proceeds have been received but not applied to restore the property. If the MI provides notification of its intent to deny the claim and we promptly notify the MI of our intent to restore the property and actually restore it within 180 days (or up to 1 year if certain requirements are met), the MI cannot deny the claim. If physical damage is not the principal cause of default, the MI may curtail (but not deny) the claim in accordance with policy parameters that depend on whether the MI can reasonably estimate the cost of restoration. 55 © 2024 Fannie Mae#56MI Factor Streamline calculation of MI claims, accelerate payment, and reduce uncertainty . Investors in CAS and CIRT transactions can now expect timelier, more predictable settlement of MI claims with no expected material impact on aggregate proceeds received MI Factor is used to determine only the foreclosure/property preservation cost component of an MI claim, which typically represents approximately 5% of the claim but requires the most work for all parties involved Current practice of using actual foreclosure/property preservation costs to determine a claim amount is replaced by a calculation that applies a numerical factor to the property value or default UPB (shown below) (1) Factor applied to a given loan determined by using a grid that allows consideration of relevant loan characteristics that impact foreclosure/property preservation costs Factor was developed by back-testing against 13 years of claim data covering a number of economic environments. We found costs can be predicted with great accuracy using four loan attributes: disposition types, geography clusters, statistically-derived home value buckets, and property type buckets To capture changing market dynamics, Fannie Mae will evaluate the selection of loan attributes and determination of factors annually MI Factor Calculation of Foreclosure/Property Preservation Costs 56 © 2024 Fannie Mae Fixed Foreclosure Costs Variable Foreclosure Costs Property Value or Defaulted X Fixed Cost Factor + UPB Property Value or Defaulted UPB X Min(Days between LPI Date and Foreclosure Date, Allowable Days) Variable X Cost Factor 1Property value is used for Short Sales whereas default UPB is used for REO and Third-Party Sales claims.#57Comparing MI Options Key Feature Buyer of MI MI Premium Paid By Can borrower lower mortgage payment through MI cancellation? BPMI Lender Borrower Yes LPMI Lender Lender No MI Cancellation Provision Length / Term of Coverage Policy Origination Guidelines Loan Quality Reviews Claim Filing ■ Must be automatically canceled, e.g., when LTV ratio scheduled to reach 78% May be canceled by borrower based upon paydown of loan or property appreciation Terminates upon cancellation (see MI cancellation provisions above) Approved MI companies, selected by borrower/lender Fannie Mae and MI guidelines Fannie Mae and MI guidelines Fannie Mae files claims None coverage exists for life of loan - Life of Loan Approved MI Companies, selected by lender Fannie Mae and MI guidelines Fannie Mae and MI guidelines Fannie Mae files claims 57 © 2024 Fannie Mae#58Workout Hierarchy Programs to help both servicers and borrowers manage delinquent mortgage loans and avoid foreclosure. Forbearance Agreement between the mortgage servicer and the homeowner to pause or reduce monthly mortgage payments for a certain period, allowing homeowners to resolve their short-term hardship. Reinstatement Retention Options Repayment Plan Payment Deferral Homeowner is able to resume making their regular monthly payments following a delinquency (or forbearance plan) and can repay the missed amounts all at once. Homeowners repay the missed amounts over a fixed period. They make their repayments along with their regular mortgage payment on a monthly basis. Designed to assist borrowers who have resolved a temporary hardship by deferring missed payments to the end of the loan term or earlier if the home is sold, property is transferred, or the loan is refinanced or otherwise paid off.* Liquidation Options Fannie Mae Flex Modification Credit Events Designed to assist borrowers who are experiencing a permanent or long-term hardship, the Flex Modification offers payment relief through a combination of potential interest rate reduction, extension of the loan term, and possible principal forbearance. Only interest rate reduction/principal forbearance resulting from a Flex Modification may entail modification losses. When retention is not a viable option, liquidation options include short sale, or Mortgage Release™ (Deed-in-Lieu of Foreclosure); or the loan is liquidated after the servicer refers the mortgage loan to foreclosure in accordance with applicable law. *CAS: Payment deferrals are currently not treated as modification events in the structure. *CIRT: Beginning with CIRT 2023-1, Payment Deferral is a covered modification expense in the CIRT structure. Losses associated with payment deferrals are a covered modification loss in the CIRT structure. © 2024 Fannie Mae 58#59Fannie Mae Flex Modification Payment Reduction Levers Modification Losses Modification Interest Rate Reduction Principal Forbearance Term Extension Principal Forgiveness* Borrower Impact Reduces monthly interest rate borrower pays on loan obligation Deferral of a portion of the unpaid principal balance as part of a loan modification (not as part of a Payment Deferral) until the loan's maturity date or early payoff of the mortgage 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. Recognized in Non-interest Bearing UPB field in monthly reporting.^ 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) CAS: Modification losses are passed through to noteholders on a monthly basis once a permanent modification takes effect. CIRT: Modification losses flow through the CIRT structure on a monthly basis according to the Modification Loss structure outlined in the Insurance Policy. No losses are incurred during a modification trial period (typically 3 months). Starting with CIRT 2023-1, expenses associated with payment deferrals are a covered modification loss in the CIRT structure. ^Principal forborne as part of a Payment Deferral is recognized in Total Deferral Amount field in monthly reporting and does not constitute a modification loss. *Fannie Mae does not anticipate that any loans referenced in CAS deals will be eligible for Principal Forgiveness *Principal Forgiveness Eligibility Criteria: 59 © 2024 Fannie Mae http://www.fhfa.gov/Media/PublicAffairs/Pages/FHFA-Announces-PRM-Program-and-Further-Enhancements-to-NPL-Sales-Reqts.aspx#60Payment Deferral: A Comparison of Key Terms Mandatory Effective Date Hardship Delinquency • • Old Payment Deferral 01/01/2021 The financial hardship must be resolved The homeowner must be capable of continuing to make the full monthly contractual mortgage payment, and The homeowner must be unable to reinstate the mortgage or afford a repayment plan to cure the delinquency. As of the date of evaluation: • • the mortgage must be 30- or 60-days delinquent; and such delinquency status must have remained unchanged for at least three consecutive months, including the month of the evaluation (three-month rolling delinquency). New Payment Deferral As early as 07/01/2023 but no later than 10/01/2023 The financial hardship must be resolved, The homeowner must be capable of making the full monthly contractual payment, including the amount required to repay any escrow shortage amount over a term of 60 months, and The homeowner is unable to reinstate the mortgage loan or afford a repayment plan to cure the delinquency. Deferral of at least two and up to and including six months of past-due P&I payments (including advanced escrow and allowable servicing advances paid to third parties). 12 months cumulative cap of past-due P&I payments deferred over the life of the mortgage loan. No rolling DLQ or Trial Period Plan (TPP) requirements. Note: Deferred P&I payments from a previous disaster payment deferral or a COVID-19 payment deferral do not count against the cumulative cap. . • COVID Payment Deferral 02/25/2021 The financial hardship must be resolved, The homeowner must be able to continue making the full monthly contractual payment (including the amount required to repay any escrow shortage amount over a term of 60 months), and The homeowner must be unable to reinstate the mortgage loan or afford a repayment plan to cure the delinquency. However, the homeowner must: be on a COVID-19 related forbearance plan, or have experienced a financial hardship resulting from COVID-19 (for example, unemployment, reduction in regular work hours, or illness of a homeowner/co- homeowner or dependent family member) that has impacted their ability to make their full monthly contractual payment. The mortgage loan must: have been current or less than two months delinquent as of Mar. 1, 2020, the date of the National Emergency declaration related to COVID-19; and be equal to or greater than one month delinquent but less than or equal to 18 months delinquent as of the date of evaluation. • Disaster Payment Deferral 10/01/2020 The financial hardship must be resolved, The homeowner must be able to continue making the full monthly contractual payment, and The homeowner must be unable to reinstate the mortgage loan or afford a repayment plan to cure the delinquency. However, the financial hardship must be related to a disaster event that results in either: • • the property securing the mortgage loan experienced an insured loss, the property securing the mortgage loan is located in a FEMA-Declared Disaster Area eligible for Individual Assistance, or the homeowner's place of employment is located in a FEMA-Declared Disaster Area eligible for Individual Assistance. The mortgage loan must: • . have been current or less than two months delinquent at the time the disaster occurred; and be equal to or greater than one month delinquent but less than or equal to 12 months delinquent as of the date of evaluation. 60 © 2024 Fannie Mae#61Payment Deferral: A Comparison of Key Terms Origination Time Requirement Time to Maturity Previous Modifications Old Payment Deferral The mortgage must have been originated at least 12 months prior to the evaluation date of the payment deferral. Does not apply. The number of prior modifications does not impact a homeowner's eligibility for the payment deferral. The mortgage must not have been modified with a non-disaster related modification within the previous 12 months of being evaluated for eligibility for a payment deferral. New Payment Deferral The mortgage loan must have been originated at least 12 months prior to the evaluation date for a payment deferral. The mortgage loan must not be within 36 months of its maturity or projected payoff date. The number of prior mortgage loan modifications does not impact a borrower's eligibility for the payment deferral. The mortgage must not have been modified with a non-disaster/non-COVID related modification within the previous 12 months of being evaluated for eligibility for a payment deferral. COVID Payment Deferral Does not apply. Does not apply. The number of prior modifications does not impact a homeowner's eligibility for a COVID- 19 payment deferral. Disaster Payment Deferral Does not apply. 36-month limitation will also apply to disaster payment deferral. The number of prior modifications does not impact a homeowner's eligibility for a disaster payment deferral; however, the mortgage loan must not have previously received a disaster payment deferral as a result of the same disaster event. Previous TPPS The homeowner must not have failed a non- disaster related Trial Period Plan within 12 months of being evaluated for eligibility for the payment deferral. Note: Converting from a Trial Period Plan to a forbearance plan is not considered to be a failed Trial Period Plan. The borrower must not have failed a non- disaster/non-COVID related mortgage loan modification Trial Period Plan within 12 months of being evaluated for eligibility for a payment deferral. Does not apply. Does not apply. Previous Payment Deferrals The mortgage must not have received a prior payment deferral. The mortgage loan may have previously received a payment deferral; however, the mortgage loan must not have received a prior payment deferral (non-COVID, non-disaster) with an effective date within 12 months of the evaluation date. The mortgage loan may receive more than one COVID-19 payment deferral, however, no more than 18 months of cumulative past-due P&I payments may be deferred. Note: This does not include past-due P&I payments deferred with a non-COVID-19 payment deferral. The mortgage loan must not have previously received a disaster payment deferral as a result of the same disaster event. Note: The mortgage loan may have previously received a non-disaster payment deferral. 61 © 2024 Fannie Mae#62Payment Deferral: A Comparison of Key Terms Borrower Response Package (BRP) Old Payment Deferral The servicer is authorized to evaluate the homeowner for a payment deferral without receiving a complete BRP. When the servicer offers a payment deferral without receiving a complete BRP, the servicer is not required to send an Evaluation Notice, or equivalent. If the homeowner submitted a complete BRP, then the servicer must evaluate the homeowner in accordance with Servicing Guide, D2-2-05: Receiving a Borrower Response Package. The servicer is authorized to use an Evaluation Notice but must make the appropriate changes as necessary, including to the applicable Frequently Asked Questions, to reflect the terms of the payment deferral. The servicer is not required to perform an escrow analysis or revoke any escrow deposit account waiver. New Payment Deferral The servicer is authorized to evaluate the homeowner for a payment deferral without receiving a complete BRP. When the servicer offers a payment deferral without receiving a complete BRP, the servicer is not required to send an Evaluation Notice, or equivalent. If the homeowner submitted a complete BRP, then the servicer must evaluate the homeowner in accordance with Servicing Guide, D2-2-05: Receiving a Borrower Response Package. The servicer is authorized to use an Evaluation Notice but must make the appropriate changes as necessary, including to the applicable Frequently Asked Questions, to reflect the terms of the payment deferral. . COVID Payment Deferral The servicer must not require a complete Borrower Response Package (BRP) to evaluate the homeowner for a COVID-19 payment deferral if the eligibility criteria are satisfied. • Disaster Payment Deferral The servicer must not require a complete BRP to evaluate the homeowner for a disaster payment deferral if the eligibility criteria are satisfied. Note: A disaster-related forbearance plan is not required for purposes of determining homeowner eligibility for a disaster payment deferral. Escrow 62 © 2024 Fannie Mae The servicer must confirm that the borrower is current on the payments of all escrow-related items for non- escrowed accounts, or analyze an existing escrow account to estimate the periodic escrow deposit required to ensure adequate funds are available to pay future charges, and spread repayment of the escrow shortage amount in equal monthly payments over a term of 60 months, unless the borrower decides to pay the shortage amount up-front or over a shorter period, not less than 12 months. The servicer must . confirm that the borrower is current on the payments of all escrow-related items for non-escrowed accounts, or analyze an existing escrow account to estimate the periodic escrow deposit required to ensure adequate funds are available to pay future charges, and spread repayment of the escrow shortage amount in equal monthly payments over a term of 60 months, unless the borrower decides to pay the shortage amount up- front or over a shorter period, not less than 12 months. If the servicer chooses to perform an escrow analysis, any escrow account shortage that is identified at the time of the disaster payment deferral must not be included in the non- interest-bearing balance, and the servicer is not required to fund any existing escrow account shortage. In addition, the servicer is not required to revoke any escrow deposit account waiver. In the event the servicer identifies an escrow shortage as the result of an escrow analysis in connection with a disaster payment deferral or as part of the next annual analysis, then the servicer must spread repayment of the escrow shortage amount in equal monthly payments over a term of up to 60 months, unless the borrower decides to pay the shortage up-front.#63Temporary Interest Rate Buydowns Mortgage loans acquired by Fannie Mae may be subject to a temporary interest rate buydown, which is used to reduce a borrower's monthly payment through a temporary reduction in the interest rate. They can be classified as "Moderate" or "Significant". • • Moderate (SFC 9) - A Moderate buydown is less than or equal to 2% and for less than or equal to 24 months Significant (SFC 14) - A Significant buydown is greater than 2% and/or for greater than 24 months Temporary Interest Rate Buydown Loans are underwritten without consideration of the bought-down rate, and the DTI reported in our disclosures reflects such rate. CRT disclosures will include a one-time loan level file posted on Data Dynamics with a buydown indicator flag denoting SFC 9 / 14 or not applicable. Example from CAS 2023-R08 G1 Offering Memorandum: Category Loan Count Unpaid Principal Balance ($)(3) Unpaid Principal Balance (%) (3) W.A. Mortgage Rate (%) W.A. Original Credit Score W.A. Original LTV Ratio (%) W.A. Debt-to- Income Ratio (%) W.A. First Time Homebuyer Ratio (%) Debt-to-Income Ratio 45% (%) Moderate Less than 239 or equal to 1% (1) 82,980,468 0.44 6.55 758 77.0 39.1 36.8 32.3 Moderate Less than 802 or equal to 2% (2) 318,551,465 1.69 6.64 759 76.7 39.0 37.8 24.4 Significant 36 Subtotal or Weighted 1,077 12,664,041 414,195,974 0.07 6.96 762 76.2 38.2 42.6 23.4 2.19 6.63 759 76.8 39.0 37.7 26.0 Average No Rate Buydown 59,268 18,465,994,544 97.81 6.09 752 75.6 37.9 27.0 24.4 Reference Pool Total 60,345 18,880,190,518 100 6.10 752 75.7 37.9 27.2 24.4 or Weighted Average (1) (2) An interest rate buydown in which the interest rate is bought down by 1% or less and for a period of 12 months or less. An interest rate buydown in which the interest rate is bought down by greater than 1% and less than or equal to 2% and for a period of greater than 12 months and less than or equal to 24 months. (3) Amounts may not add up to the totals shown due to rounding. See Temporary Interest Rate Buydowns in the Selling Guide for additional details. 63 © 2024 Fannie Mae#64The Modern Valuation Spectrum Value acceptance Data, model, and technology driven Value determination Appraisal driven حلم Value acceptance (appraisal waiver) Uses data and a modeling framework to confirm the validity of the value/sale price. For purchases and refinances; especially well-suited for low-risk refinances when the subject and market data is abundant. Value acceptance + property data NEW: Used when modeling framework confirms the validity of the value/sale price, but a prior observation of the property is lacking. Property data is collected by a trained and vetted third party (real estate agent, insurance inspector, appraiser, etc.) to provide a current observation of the property. Lender reviews data and warrants property eligibility. Implemented April 15, 2023 Automatic value certainty with rep and warrant relief Hybrid Property data collected by a trained and vetted third party (real estate agent, insurance inspector, appraiser, etc.) is passed to an appraiser to perform an enhanced version of a desktop appraisal. For loans that do not qualify for value acceptance or do not have reliable prior observations of the subject property. Desktop Appraiser completes the appraisal without physically inspecting the property, using data from various sources (agents, homeowners, MLS, tax records, etc.). Best suited for purchase transactions. Value certainty with rep and warrant relief from a CUⓇ score of 2.5 or lower Traditional Appraiser collects the property data and completes the market analysis required for the appraisal. For complex property types or situations where data is sparse. Visit https://singlefamily.fanniemae.com/valuation-modernization for more information 64 © 2024 Fannie Mae#65Value Acceptance (Appraisal 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 value acceptance (appraisal waiver) offering, formerly known as Property Inspection Waiver, by integrating Desktop Underwriter (DU) and Collateral Underwriter (CU). By using Fannie Mae's industry-leading analytics, which includes both CU and AVM (automated valuation model), we can offer value acceptance 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 Subject property generally has a prior appraisal that was analyzed by CU or UAD elements, which are evaluated in conjunction with the AVM. CU CU will evaluate the prior appraisal for overvaluation or property eligibility issues. If any of these issues exist, value acceptance (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 value acceptance (appraisal waiver), subject to additional eligibility requirements. UAD Elements Value Acceptance (Appraisal Waiver) Offered Fannie Mae will use property data sourced from UAD if any eligibility issues. If any of these issues exist, value acceptance (appraisal waiver) will not be granted. Fannie Mae will use internally sourced AVM 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 value acceptance (appraisal waiver), subject to additional eligibility requirements. We currently anticipate that the majority of transactions will continue to require an appraisal. Fannie Mae has offered value acceptance (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. In September 2020, Fannie Mae enhanced its CRT disclosures from " Property Inspection Waiver" to a new attribute, "Property Valuation Method," which indicates the method by which the value of the subject mortgaged property was obtained, including appraisal waivers 65 © 2024 Fannie Mae CAS/CIRT deal files include a loan-level waiver identifier#66Value Acceptance (Appraisal Waiver) Eligibility Transactions considered for a value acceptance offer:* ■ Loan casefiles that receive an Approve/Eligible recommendation ■ One-unit properties, including condominiums ■ Limited cash-out refinance transactions: principal residences and second homes up to 90% LTV/CLTV. Investment properties up to 75% LTV/CLTV ■ Cash-out refinance transactions: principal residences up to 70% LTV/CLTV. Second homes and investment properties up to 60% LTV/CLTV ■ Purchase transactions: principal residences and second homes up to 80% LTV/CLTV Properties in high-needs rural locations, as identified by FHFA *The majority of transactions will not receive a value acceptance offer; they will require use of one of the value determination methods involving a qualified residential appraiser as described earlier. The following are not eligible for a value acceptance offer: ■ Texas 50(a)6 loans ▪ When the lender has any reason to believe an appraisal is warranted ■ Construction and construction-to-permanent loans ■ Two-to four-unit properties, cooperative units, and manufactured homes ■ Loan casefiles in which the value of the subject property provided to DU is $1,000,000 or greater ■ HomeStyle® mortgage products (Renovation and Energy) ■ Leasehold properties Community land trust homes or other properties with resale restrictions ■ DU loan casefiles that receive an ineligible recommendation ■Loans for which the mortgage insurance provider requires an appraisal ■ Loans for which rental income from the subject property is used to qualify Visit singlefamily.fanniemae.com/originating-underwriting/appraisal-waivers for more information 66 © 2024 Fannie Mae#6767 © 2024 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. www.fanniemae.com/AskCM www.fanniemae.com/CMSign Up 800-2FANNIE (800-232-6643) Fannie Mae is headquartered in Washington DC and operates regional offices throughout the country. Headquarters 1100 15th Street, NW Washington, DC 20005