Connecticut Avenue Securities Investor Presentation

CAS REMIC NAIC Breakpoints for 2020 ■ The NAIC has applied its approved modeling process to all 2018 and 2019 CAS REMICS ■ The NAIC breakpoint grids for the CAS REMIC M-2 Classes are below *Note: DEAL NOTE CLASS CAS 2018-R07 1M2 CUSIP 20753QAE9 TYPE* NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 ZERO LOSS AVR 99.44 101.59 106.36 118.08 134.14 N CAS 2019-R01 2M2 20754FAK8 AVR 97.08 99.18 103.84 115.28 130.96 N CAS 2019-R02 1M2 20753KAB8 AVR 99.83 101.99 106.78 118.54 134.67 N CAS 2019-R03 1M2 20753MAF5 AVR CAS 2019-R04 2M2 20753TAB9 AVR 98.24 99.68 101.84 100.37 106.62 118.36 134.47 N 105.08 116.66 132.53 N CAS 2019-R05 1M2 20754HAE8 AVR 99.93 102.1 106.89 118.66 134.81 N CAS 2019-R06 2M2 20754JABO AVR 96.54 98.62 103.25 114.63 130.23 N CAS 2019-R07 1M2 20753WAF3 AVR 97.87 99.99 104.68 116.22 132.03 N CAS 2018-R07 1M2 20753QAE9 NON-AVR 99.24 100.1 101.91 106.3 123.25 N CAS 2019-R01 2M2 20754FAK8 NON-AVR 96.89 97.72 99.49 103.78 120.32 N CAS 2019-R02 1M2 20753KAB8 NON-AVR 99.63 100.49 102.31 106.72 123.73 N CAS 2019-R03 1M2 20753MAF5 NON-AVR 99.48 100.34 102.15 106.56 123.54 N CAS 2019-R04 2M2 20753TAB9 NON-AVR 98.04 98.89 100.68 105.02 121.76 N CAS 2019-R05 1M2 CAS 2019-R06 2M2 20754HAE8 NON-AVR 99.73 20754JABO NON-AVR 96.34 100.59 102.41 106.83 123.85 N 97.17 98.93 103.2 119.64 N CAS 2019-R07 1M2 20753WAF3 NON-AVR 97.68 98.52 100.3 104.63 121.3 N AVR = Applies to NAIC reporting entities that maintain an Asset Valuation Reserve (AVR), generally life and health insurance companies Non-AVR Applies to NAIC reporting entities that do not maintain an Asset Valuation Reserve, generally property & casualty and HMO insurance companies 17 © 2021Fannie Mae. Note: Items in yellow reflect the current designations Fannie Mae received breakpoints on all CAS REMIC transactions issued in 2018 and 2019

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