Connecticut Avenue Securities Investor Presentation

Deal Summaries & Comparison - Group 1 2017-C06 2017-C07 2018-C01 2018-C03 2018-C05 2018-C06 2018-R07 2019-R02 2019-R03 2019-R05 2019-R07 2020-R01 Pricing Date 8/15/2017 11/14/2017 2/6/2018 5/1/2018 7/26/2018 10/2/2018 10/31/2018 3/5/2019 4/9/2019 7/30/2019 10/29/2019 1/14/2020 Pricing (1 M1: 75 bps M1: 65 bps Month LIBOR +) M2: 265 bps B1: 415 bps M2: 240 bps B1: 400 bps M1: 60 bps M2: 225 bps B1: 355 bps M1: 68 bps M2: 215 bps B1: 375 bps M1: 72 bps M2: 235 bps B1: 425 bps M1: 55 bps M1: 75 bps M1: 85 bps M1: 75 bps M1: 75 bps M1: 77 bps M1: 80 bps M2: 200 bps B1: 375 bps M2: 240 bps B1: 435 bps M2: 230 bps B1: 415 bps M2: 215 bps B1: 410 bps M2: 200 bps B1: 410 bps M2: 210 bps B1: 340 bps M2: 205 bps B1: 325 bps Size M1: $156.6 mm M2: $281.9 mm B1: $78.3 mm M1: $186.2 mm M2: $401.7 mm B1: $97.9 mm M1: $384.2 mm M2: $853.7 mm B1: $256.1 mm M1: $251.4 mm M2: $606.4 mm B1: $192.3 mm M1: $204.7 mm M2: $600.5 mm B1: $177.4 mm M1: $86.6 mm M2: $353.4 mm B1: $108.2 mm M1: $149.8 mm M2: $599.2 mm B1: $172.9 mm M1: $200.5 mm M2: $614 mm B1: $188 mm M1: $204.1 mm M2: $500.1 mm B1: $153.1 mm M1: $225.7 mm M2: $542.7 mm B1: $225.7 mm M1: $249.6 mm M2: $524.1 mm B1: $224.6 mm M1: $303.1 mm M2: $523.5 mm B1: $206.7 mm Credit M1 2.80% M1: 3.05% M1: 3.10% M1: 3.20% M1: 3.35% M1: 3.70% M2: 1.00% M2: 1.00% M2: 1.10% M2: 1.15% M2: 1.15% M2: 1.25% M1: 3.85% M2: 1.25 % M1: 3.70% M1: 3.70% M1: 3.65% M2: 1.25% M2: 1.25% M2: 1.25% M1: 3.25% M2: 1.15% M1: 2.85% M2: 0.95% Enhancement B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.50% B1: 0.25% B1: 0.25% B1: 0.20% Minimum Credit Enhancement Test Credit enhancement greater than 3.80% Credit enhancement greater than 4.50% Credit enhancement greater than 4.50% Credit enhancement greater than 4.40% Credit enhancement greater than 4.40% Credit enhancement greater than 4.50% Credit enhancement greater than 4.75% Credit enhancement greater than 4.50% Credit enhancement greater than 4.70% Credit enhancement greater than 4.65% Credit enhancement greater than 4.25% Credit enhancement greater than 4.65% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% M1: 5% Vertical Slice M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% M2: 5% Retained B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% B1: 5% M2: 5% B1: 5% M2: 5% M2: 5% M2: 5% M2: 5% B1: 5% B1: 5% B1: 5% B1: 5% Ratings Fitch/KBRA M1: BBB- sf/BBB+(sf) M2: Bsf/BB(sf) B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ (sf) Fitch/DBRS M1: BBB-sf/BBB (high) (sf) Fitch/DBRS M1: BBB-sf/BBB (sf) M2: Bsf/BB- (sf) B1: Unrated M2: Bsf/B (high) (sf) Fitch/DBRS M1: BBB-sf/BBB (high) (sf) M2: Bsf/B (high) M2: Bsf/B (high) (sf) (sf) Fitch/KBRA Fitch/KBRA M1: BBB-sf/A (sf) M2: Bsf/BB (sf) M1: BBB-sf/A+ (sf) S&P/Morningstar S&P/Morningstar M2: Bsf/BB (sf) B1: Unrated M1: BBB+ sf/A M2: B+sf/BBB- B1: Unrated M1: BBB+ sf/A M2: B+sf/BBB- B1: Unrated B1: Unrated S&P/KBRA M1: BBB+ sf/ BBB+ sf M2: B+sf/BB sf B1: Unrated Fitch/KBRA M1: BBB-sf/BBB+ M1: BBB-sf/BBB+ (sf) (sf) Fitch/KBRA M2: Bsf/BB (sf) B1: Unrated M2: Bsf/BB (sf) B1: Unrated B1: Unrated B1: Unrated B1: Unrated Lead/Co Lead Acquisition Period BAR/MS January 2017/February 2017 BAML/NOM BAML/WF February 2017/April 2017 May 2017/August 2017 BAR/MS September 2017/November 2017 BAML/NOM NOM/BAR BAML/JPM Nomura/Wells CITI/BNP BAR/MS BAR/BAML MS/WF December 2017/March 2018 March 2018/April April 2018/June 2018 2018 May 2018/ September 2018 May 2018/ November 2018 2019 May 2018/ March May 2018/June Oct 2018/August 2019 2019 Loan Count 69,367 88,483 186.525 127,544 116,174 62,061 98,567 107,109 88,981 98,085 102,286 105,274 UPB $16.5 BN $20.6 BN $44.9 BN $31.1 BN $28.7 BN $15.2 BN $24.5 BN $26.8 BN $21.8 BN $24.0 BN $26.6 BN $29.3 BN 86 O 2021 Fannie Mae.

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