Connecticut Avenue Securities Investor Presentation

Acquisition 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.

View entire presentation