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Connecticut Avenue Securities Investor Presentation

CAS 2020-R02 G-fee Adequacy Analysis Base scenario: Assumes Reference Pool Loans and Uncovered Q-REMIC Loans prepay at the same rate Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Uncovered Loans 10% CPR Moderate scenario: Assumes Uncovered Q- REMIC Loans prepay faster than covered loans Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Uncovered Loans 25% CPR 80.00 60.00 40.00 Annualized (in bps) 20.00 0.00 Annualized (in bps) 80.00 60.00 40.00 20.00 0.00 1 21 41 61 81 101 121 141 161 181 201 221 241 1 21 41 61 81 101 121 141 161 181 201 221 241 CAS Margin Net G-Fee CAS Margin Net G-Fee Implications: Even under an assumed Stress Scenario, the Net G-Fee is more than sufficient to cover the CAS margin in order to generate "good REIT income" This analysis also supports the opinion that the transaction is not a swap, since the IO securities contributed from the Q-REMIC (i.e., the Net G- Fee) are sufficient to cover the CAS margin Stress scenario: Assumes 100% of Uncovered Q- REMIC Loans pay off in first remittance month Net Guarantee Fee Income vs. CAS Margin Reference Pool Loans 10% CPR; Exclude Uncovered Loans Annualized (in bps) 60 40 20 20 79 © 2021 Fannie Mae. 0 1 21 41 61 81 101 121 141 161 181 201 221 241 -CAS Margin Net G-Fee

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