Connecticut Avenue Securities Investor Presentation

Deal Summaries & Comparison - Group 2 2017-C02 2017-C04 2017-C06 2017-C07 2018-C02 2018-C04 2018-C06 2019-R01 2019-R04 2019-R06 2020-R02 Pricing Date 3/15/2017 5/23/2017 8/15/2017 11/14/2017 3/6/2018 6/26/2018 10/2/2018 2/5/2019 6/25/2019 10/2/2019 2/3/2020 Pricing (1 Month M1: 115 bps M1: 85 bps M1: 75 bps M1: 65 bps M1: 65 bps M1: 75 bps LIBOR +) M2: 365 bps B1: 550 bps M2: 285 bps B1: 505 bps M2: 280 bps B1: 445 bps M2: 250 bps B1: 445 bps M2: 220 bps B1: 400 bps M2: 255 bps B1: 450 bps M1: 55 bps M2: 210 bps B1: 410 bps M1: 85 bps M2: 245 bps B1: 435 bps M1: 75 bps M1: 75 bps M1: 75 bps M2: 210 bps B1: 525 bps M2: 210 bps B1: 375 bps M2: 200 bps B1: 300 bps Size M1: $379.9 mm M2: $759.8 mm B1: $189.9 mm M1: $257.8 mm M2: $601.5 mm B1: $143.2 mm M1: $117.9 mm M2: $360.9 mm B1: $73.6 mm M1: $107.7 mm M2: $303.9 mm B1: $63.3 mm M1: $188.8 mm M2: $667.2 mm B1: $151.1 mm M1: $187.9 mm M2: $598.9 mm B1: $152.6 mm M1: $70.0 mm M2: $230.0 mm B1: $70.0 mm M1: $186.7 mm M2: $586.8 mm B1: $186.7 mm M1: $234.3 mm M2: $538.8 mm B1: $257.7mm M1: $233.8 mm M2: $732.7 mm B1: $327.4mm M1: $276.7 mm M2: $567.1 mm B1: $290.5mm M1: 3.00% M1: 3.10% M1: 3.45% M1: 3.40% M1: 3.75% M1: 3.70% M1: 3.50% M1: 3.40% Credit M2: 1.00% M2: 1.00% M2: 1.00% M2: 1.00% M2: 1.10% M2: 1.15% M2: 1.20% M2: 1.20% M1: 3.65% M2: 1.35% Enhancement B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B-1: 0.50% B1: 0.50% B1: 0.25% M1: 3.65% M2: 1.30% B1: 0.25% M1: 3.35% M2: 1.30% B1: 0.25% Minimum Credit Enhancement Test Credit enhancement greater than 4.25% Credit Credit enhancement greater than 4.25% enhancement Credit enhancement Credit enhancement greater than 4.50% greater than 4.50% greater than 4.50% Credit enhancement greater than 4.50% Credit enhancement greater than 4.20% Credit enhancement greater than 4.10% Credit enhancement greater than 5.00% Credit enhancement greater than 4.85% Credit enhancement greater than 4.95% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% Vertical Slice M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% Retained B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% Ratings Fitch/KBRA M1: BBB- sf/BBB(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA M1: BBB- sf/BBB(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA Fitch/KBRA M1: BBB - sf/B+ (sf) M1: BBB-sf/BBB (sf) M2: Bsf/B+ (sf) B1: Unrated M2: Bsf/B (sf) B1: Unrated Fitch/KBRA M1: BBB- sf/BBB+(sf) M2: Bsf/B+(sf) B1: Unrated Fitch/Morningstar M1: BBB-sf/A+ M2: Bsf/BB+ B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ (sf) M2: Bsf/B+(sf) B1: Unrated Fitch/KBRA M2: Bsf/BBB B1: Unrated Fitch/Morningstar Fitch/Morningstar S&P/Morningstar M1: BBB-sf/A M1: BBB-sf/BBB+ M1: BBB-(sf)/A- M2: Bsf/BB M2: B(sf)/BB+ B1: Unrated B1: Unrated M1: BBB-(sf)/BBB (sf) M2: B+ (sf)/BB- (sf) B1: Unrated Lead/Co Lead JPM/BNP JPM/CITI BAR/MS BAML/NOM JPM/BNP CITI/JPM NOM/BAR BAML/CITI Acquisition Period May 2016/Sep 2016 Oct 2016/Dec 2016 January 2017/March 2017 April 2017/June 2017 June 2017/September 2017 October 2017/January 2018 Feb 2018/March May 2018/August BAML/NOM Aug 2018/December BAML/MS BAML/BAR 2018 2018 Jan 2019/June 2019 2018 Nov 2018/September 2019 Loan Count 170,672 125,573 66,489 56,296 112,133 103,753 43,325 115,586 102,543 130,696 110,537 UPB 88 $39.9 BN $30.1 BN $15.5 BN $13.3 BN $26.5 BN $24.7 BN $10.5 BN $28.4 BN $25.1 BN $33.2 BN $29.4 BN © 2021 Fannie Mae.

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