Connecticut Avenue Securities Investor Presentation

CAS REMIC Structure Mirrors Legacy CAS Program 1 Credit and prepayment performance of the underlying mortgage loans determines performance of CAS securities REMIC regular interests that are associated with the loans are conveyed to the ĊAS REMIC ☐ Underlying Loan Pool Loans acquired by Fannie Mae and deposited into MBS ☐ Fannie Mae makes REMIC election on loans Loans in covered pool meet ◉ CAS Eligibility Criteria (2 Fannie Mae™ CAS REMIC Trust 2 CAS REMIC Notes Class A Fannie Mae retains senior-most risk position CAS REMIC Trust issues CAS securities: receives cash proceeds, which are deposited into Collateral Account Class M-1 Sold to investors Class M-1H Fannie Mae retains min 5% vertical slice Bankruptcy Remote Trust 3 Collateral Account CAS REMIC Trust pays interest to investors and repays principal less credit losses Class M-2 Sold to investors Class M-2H Fannie Mae retains min 5% vertical slice Class B-1 Sold to investors Class B-1H Fannie Mae retains min 5% vertical slice If underlying mortgage loans experience losses, CAS notes are written down by a corresponding amount, starting with Class B and continuing in reverse sequential order. O 2021 Fannie Mae. 23 Class B-2 Retained by Fannie Mae

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