Connecticut Avenue Securities Program

Transcription

1 TM Connecticut Avenue Securities Program December Fannie Mae. Trademarks of Fannie Mae. 1

2 Disclaimer This presentation contains a number of estimates, forecasts, expectations, beliefs, and other forward-looking statements, including statements regarding economic and housing market conditions, Fannie Mae s future dividend payments to Treasury, and future issuances and the projected performance of Connecticut Avenue Securities TM. These estimates, forecasts, expectations, beliefs and other forward-looking statements are based on the company s current assumptions regarding numerous factors and are subject to change. Actual outcomes may differ materially from those reflected in these forwardlooking statements due to a variety of factors, including, but not limited to, those described in Executive Summary, Forward-Looking Statements and Risk Factors in our annual report on Form 10-K for the year ended December 31, 2016 (our 2016 Form 10-K ), and Form 10-Q for the quarter ended November 30, Any forward-looking statements made by Fannie Mae speak only as of the date on which they were made. Fannie Mae is under no obligation to, and expressly disclaims any obligation to, update or alter its forward-looking statements, whether as a result of new information, subsequent events, or otherwise Fannie Mae. Trademarks of Fannie Mae. 2

3 Contents Fannie Mae s business model 4 Credit risk management 10 CAS key features and deal highlights 16 Connecticut Avenue Securities deal structure overview 20 Historical loan performance 33 Investor distribution and security performance 48 Investor resources 54 Appendix 60 A. How mortgage insurance works-high LTV deals B. CAS deal summaries and comparisons C. Credit risk management D. Additional resources 78 1/31/ Fannie Mae. Trademarks of Fannie Mae. 3

4 Fannie Mae s business model 2017 Fannie Mae. Trademarks of Fannie Mae. 4

5 First Lien Mortgages Outstanding (Billions) In Billions Our size and scale As of June 2017, U.S. 1 st Lien mortgage debt outstanding totaled $9.8 trillion. Fannie Mae s share stood at over $2.8 trillion, approximately 30% of the market. The U.S. mortgage market is dominated by the 30-year Fixed-Rate Mortgage (FRM). $12,000 $10,000 $8,000 $6,000 $4,000 $2,000 $ Fannie Mae Issuance by Product Type *Source: Federal Reserve s Flow of Funds Fannie Mae Total MDO 0 3Q year FRM 15-year FRM 20-year FRM 10-year FRM Other Fixed ARM Fannie Mae was the largest issuer of single-family mortgage securities year to date.* Fannie Mae s book of business is geographically dispersed across the United States Other 64% California 20% Texas 6% Florida 6% Third Quarter 2017 Issuance* by Institution *Based on Fannie Mae, Freddie Mac and Ginnie Mae securitization data through Q Data includes ARM and FRM. New York 5% *Source: Fannie Mae Q Credit Supplement 1/31/ Fannie Mae. Trademarks of Fannie Mae. 5

6 Fannie Mae s credit guaranty business model Fannie Mae s business model and industry-leading credit risk management capabilities facilitate the transfer of both interest rate risk and credit risk to the private markets. When Fannie Mae issues fully guaranteed single-family MBS, we retain all of the credit (mortgage default) risk associated with losses on the underlying mortgage loans. In return for taking on that risk, we receive a guaranty fee paid from a portion of the loans interest payments, which is passed through to us by the lender that delivered the loan to us. When we issue credit risk transfer securities, we transfer some of the retained credit risk to private market investors. However, the purchasers of the credit-linked debt do not own the underlying loans. Such ownership interest belongs to the MBS investor. Funding loans through issuance of Fannie Mae MBS Proceeds from sale of MBS flow back to lender Lender Originates loans Fannie Mae Guarantees MBS backed by loans MBS Interest Rate Investor Purchases MBS Delivers loans Services loans Pays guaranty fee Securitizes loans Guarantees principal & interest on MBS Sold to investor Credit- Linked Debt Credit Investor Assumes portion of credit risk 2017 Fannie Mae. Trademarks of Fannie Mae. 6

7 Credit Risk Transfer To ensure the success of our Credit Risk Transfer (CRT) programs, Fannie Mae sets standards, provides credit risk management oversight, and maintains stability through all business cycles. LENDER Lenders leverage Fannie Mae s proprietary suite of credit risk management tools to manufacture loans Desktop Underwriter the most broadly used automated underwriting system in the industry Collateral Underwriter Fannie Mae s proprietary appraisal valuation tool Early Check assists lenders in identifying and correcting potential eligibility and/or data issues FANNIE MAE Fannie Mae s industry expertise ensures loan delivery quality and offers multiple avenues for credit risk sharing Industry leading credit risk management technology and expertise An established operational infrastructure and large scale aggregation capabilities Robust strategy and development of a market for credit risk Innovative credit risk sharing vehicles including Connecticut Avenue Securities TM (CAS), and Credit Insurance Risk Sharing TM (CIRT TM ) INVESTOR Investors have shown an appetite for credit risk, and Fannie Mae s credit risk in particular, given the strong collateral characteristics and Fannie Mae s role as a standard setter in the market Investors in Fannie Mae s CRT vehicles benefit from Broad exposure to national U.S. housing market Consistent high-quality underwriting standards Fannie Mae s comprehensive credit risk management process Ongoing, programmatic issuance Loan-level data disclosures and extensive historical datasets As the largest guarantor in the U.S. housing market, Fannie Mae leads the industry in setting standards on managing and transferring credit risk. Fannie Mae retains a portion of all risk transferred 2017 Fannie Mae. Trademarks of Fannie Mae. 7

8 About Fannie Mae Background Government-Sponsored Enterprise (GSE) chartered by the United States Congress in 1938 Our charter permits us to purchase and securitize mortgage loans secured by either a single-family or multifamily property, but does not permit us to originate loans or lend money directly to consumers in the primary mortgage market Business Fannie Mae has a Single-Family guaranty business and a Multifamily guaranty business, both of which collect guarantee fees for assuming and managing the credit risk on our book of business, and a Capital Markets group that is responsible for managing the Company s mortgage portfolio Conservatorship and United States (U.S.) Treasury agreement Since September of 2008, Fannie Mae has been under Conservatorship with the Federal Housing Finance Agency (FHFA) acting as Conservator Upon entering conservatorship, FHFA and the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement (SPSPA) on our behalf so that we could continue to fulfill our mission of providing liquidity and support to the housing market Upon entering into the agreement, the U.S. Treasury stated that the holders of senior debt, subordinated debt, and mortgage backed securities issued or guaranteed by these GSEs are protected by the SPSPA without regard to when those securities were issued or guaranteed 1 Our public mission is to support liquidity and stability in the secondary mortgage market, where existing mortgage-related assets are purchased and sold, and to increase the supply of affordable housing. 1) Source: 1/31/ Fannie Mae. Trademarks of Fannie Mae. 8

9 Payments under the Treasury agreement Upon entering conservatorship Fannie Mae, through FHFA and the U.S. Treasury, entered into the SPSPA that permitted Fannie Mae to continue to fulfill our mission of providing liquidity and support to the housing finance market Through this agreement, the U.S. Treasury stated that the holders of senior debt, subordinated debt, and mortgage backed securities issued or guaranteed by these GSEs are protected by the SPSPA without regard to when those securities were issued or guaranteed 1 We received a total of $116.1B of funding from Treasury to support our operations and have $117.6B of funding remaining under the agreement. Fannie Mae has not received funds from Treasury under the SPSPA since the first quarter of 2012 The Director of FHFA has directed Fannie Mae to make dividend payments to Treasury on the senior preferred stock on a quarterly basis Dividend payments do not offset funds drawn under the SPSPA Quarterly dividend payments equal any net worth as of the prior quarter end minus a capital reserve amount, currently $600 million The capital reserve amount will be reduced to $0 in 2018 Through the third quarter of 2017, we have paid a total of $165.8 billion in dividends to Treasury, $49.7 billion more than the $116.1 billion we have received from Treasury to date We paid Treasury $3.1 billion dividend in September 2017 due to FHFA declaring a dividend in this amount 1) Source: Fannie Mae. Trademarks of Fannie Mae. 9

10 Credit risk management 2017 Fannie Mae. Trademarks of Fannie Mae. 10

11 Single-family credit risk management In contrast to legacy Non-Agency RMBS transactions, investors in CAS deals benefit from Fannie Mae s ongoing credit risk management. Fannie Mae s comprehensive and proactive risk management approach aims to strengthen loan performance and reduce losses. This approach focuses on ensuring lender, loan, and servicing quality throughout the loan lifecycle. Lender Quality Loan Quality Property Management and Disposition Servicing Quality Loans included in the CAS Reference Pools have all been securitized into Fannie Mae s guaranteed MBS, and are therefore subject to the same origination, underwriting, quality control, and servicing standards as other loans guaranteed by Fannie Mae Fannie Mae. Trademarks of Fannie Mae. 11

12 Credit risk management overview As the largest credit risk manager in the industry, we have built a comprehensive approach to credit risk management aided by cutting-edge analytical tools and grounded in cohesive end-toend processes Beginning in 2008, we took action to significantly strengthen our underwriting and eligibility standards to improve the quality of loans delivered to us The changes we ve made and continue to make help to make mortgage lending safer by providing more complete and accurate information about the key factors in underwriting a loan from the value of the home being purchased to the borrower s income and credit history We have pioneered the industry-preferred automated underwriting system, a cutting-edge appraisal analytics tool, and built the largest loss mitigation platform in the industry We leverage in-depth market data, research, and analysis to manage our book of business and provide that information to our lenders in order to improve the end-to-end loan manufacturing process We stand side-by-side with our credit risk investors and strive to provide the greatest possible transparency into the tools and processes that make us the market leader in single-family residential mortgage credit risk management Fannie Mae. Trademarks of Fannie Mae. 12

13 Our credit risk management approach Lender quality Loan quality Servicing quality Property management and disposition Lenders undergo a rigorous approval process prior to doing business with Fannie Mae and must meet ongoing net worth and business operational requirements Lenders are subject to ongoing oversight through comprehensive operational reviews to assess the effectiveness of their quality control procedures Loans must be underwritten in accordance with Fannie Mae guidelines. Over 90% (1) of loans that we acquire are evaluated through Desktop Underwriter, DU, the industry s most widely used automated underwriting system 100% of Fannie Mae s single-family and condo appraisals are assessed through Collateral Underwriter, our proprietary appraisal risk assessment tool, to identify potential appraisal quality issues Fannie Mae sets loan servicing standards, acts as Master Servicer, and provides oversight of loan servicers We set standards for loss mitigation and borrower workout options. Our proprietary servicing tool, Servicing Management Default Underwriter TM (SMDU TM ) automates our servicing policies We conduct all property management and disposition in house, managing the industry s largest real-estate owned portfolio disposing of over 1.5 million homes since 2009 Our strategy is to sell non-distressed homes to owner-occupants, helping to maximize sales proceeds, stabilize neighborhoods, and preserve the value of our guaranty book Our full range of credit risk management capabilities is driven by innovation and analytics and informed by continuous feedback across the loan lifecycle (1) Estimate of 2016 new acquisitions, excluding loans acquired under Fannie Mae s Refi Plus and HARP initiatives 2017 Fannie Mae. Trademarks of Fannie Mae. 13

14 Key credit risk management highlights Desktop Underwriter Collateral Underwriter approx. 1,861 Lenders/ agents USERS >90% Loan Deliveries in 2016 thru DU (1) 20,000+ Users 2,300+ Lenders/ agents USERS since Jan Million Appraisals collected to Date >2 million Appraisals have been viewed by lenders since launch Key credit risk management highlights Beginning in Q4 2016, we offer Direct 3rd Party Data Validation of borrower income, assets, and employment information Over half of our lenders actively use CU during origination process 100% of single-family and condominium loans go through CU as part of our QC process Servicing Management Default Underwriter Single Family Real Estate 85% of ALL delinquencies covered New automated loss mitigation functionality saves 1-2 hours per loan Allowed over 131,000 borrowers to start trial modifications in 2016 Created an interface that will give > 1,000 mid-size and smaller servicers system access (1) 2016 new acquisitions, excluding loans acquired under Fannie Mae s Refi Plus and HARP initiatives Industry s largest distressed portfolio disposed of >1.5 million homes since 2009 Best execution approach to sell real estate based on an NPV comparison to a move-in ready home sold to an owner occupant 100% of REO sales are managed in-house: resulting in lower costs; higher sales prices, and reduced severities 11.8 Million visits in YTD Fannie Mae. Trademarks of Fannie Mae. 14

15 Summary of single-family business changes since the global financial crisis As the largest guarantor of U.S. mortgages, we play a major role in setting the standards for the housing finance market. Underwriting and Eligibility Credit Loss Management Innovation Changed guidelines to eliminate certain higher risk products such as interest-only loans and 40-year loans and to eliminate newly originated Alt-A and low documentation loans Revised eligibility guidelines to reduce amount of risk layering (i.e., combining multiple higher risk elements on a single loan such as a low credit score with a high debt ratio) Require homebuyer education and counseling for certain products Revised servicing protocols to establish quality contact with delinquent borrowers more quickly Introduced more effective modification programs for qualified distressed borrowers Enhanced servicer training and oversight and implemented new servicer metrics, incentives and compensatory fees Created industry s largest platform for management and sale of Real Estate Owned properties, creating significant efficiencies in marketing and selling properties Created cutting-edge data driven tools to support underwriting, property valuation, quality control, servicing and real estate owned management Innovative analytics leverage Fannie Mae s vast trove of data to improve loan manufacturing quality and identify defects earlier in the process 2017 Fannie Mae. Trademarks of Fannie Mae. 15

16 CAS key features and deal highlights 2017 Fannie Mae. Trademarks of Fannie Mae. 16

17 Fannie Mae s Connecticut Avenue Securities TM (CAS) program Since 2013, our award-winning CAS program has grown to be the premier mortgage credit risk transfer program in the industry, established through: Industry-leading, innovative credit-risk management methodologies Thoughtful issuance approach Transparent and unique investor resources Maturing and liquid market The Benchmark for U.S. mortgage credit Proprietary credit risk management tools and processes manage credit risk on the largest mortgage credit book in the industry Innovative tools that improve the loan manufacturing process A benchmark issuer with a transparent issuance calendar $28.4 billion issued since 2013 Transferring a significant portion of risk on $942B in unpaid principal balance of mortgage loans Historical research dataset of over 36 million loans Transparent webpages detailing our comprehensive credit risk management process Loan-level disclosures Unique Data Dynamics TM tool enabling analysis of loan-level data and deal performance 1/31/ Fannie Mae. Trademarks of Fannie Mae. 17

18 Deal Issuance Millions ($) Program benefits and issuance volumes Large, geographically diversified loan pools provide broad exposure to U.S. housing market Fannie Mae acts as credit risk manager throughout the program acting as an intermediary between the lender and investor to set standards, manage quality, mitigate losses, and maximize value Ongoing, programmatic issuance and consistent structures Broad Wall Street coverage, making daily markets and publishing research and analytics Pricing and trading volume available on TRACE and Bloomberg Active deal management including seeking and receiving ratings on previously unrated CAS bonds CAS Issuance YTD M-1 M-2 B B-1 Transparent investor resources including our investor analytical tool Data Dynamics Fannie Mae has issued $28.4 BN under the CAS program to date, and $22.4 BN in bonds remain outstanding as of November 21, Fannie Mae. Trademarks of Fannie Mae. 18

19 2018 issuance calendar The calendar below highlights periods in 2018 during which Fannie Mae may issue Connecticut Avenue Securities Fannie Mae may choose not to issue in some periods, or in certain limited issuance windows, may choose to issue up to two deals. Issuance volumes and utilization of available issuance windows continue to be dependent on market conditions Month February/March* April/May* June July/August* September/October* December Issuance Window Early February to early March Late April to late May Mid- to late June Late July to late August Late September to late October Early December *Issuance windows in which Fannie Mae may issue up to two CAS deals, subject to market conditions 2017 Fannie Mae. Trademarks of Fannie Mae. 19

20 Connecticut Avenue Securities deal structure overview 2017 Fannie Mae. Trademarks of Fannie Mae. 20

21 Sample transaction overview CAS 2017-C07 Group 1 (February 2017-April 2017) $ billion in offered notes (1) Loan Offered Notes Expected Credit Tranche Expected Ratings Expected WAL Expected Principal Class Group ($MM) Support (%) Thickness (%) 10 CPR (yrs) 10 CPR 1M-1 1 $ % 0.95% BBB-sf/BBB+(sf) M-2 1 $ % 2.05% Bsf/BB-(sf) B-1 1 $ % 0.50% NR/NR B-2 1 $ % 0.50% NR/NR N/A N/A (1) The Maturity Date for all classes will be February Note: WALs at 10 CPR to Optional Redemption CAS 2017-C07 Group 2 collateral (April 2017-June 2017) Loan Offered Notes Expected Credit Tranche Expected Ratings Expected Expected Principal Class Group ($MM) Support (%) Thickness (%) (Fitch/KBRA) 10 CPR (yrs) 10 CPR 2M-1 2 $ % 0.85% BBB-sf/BBB(sf) M-2 2 $ % 2.40% Bsf/B(sf) B-1 2 $ % 0.50% NR/NR B-2 2 $ % 0.50% NR/NR N/A N/A Loan Group 1: Loans with 60.01% % original loan-to-value ratios Loan Group 2: Loans with 80.01% % original loan-to-value ratios 2017 Fannie Mae. Trademarks of Fannie Mae. 21

22 CAS 2017-C07 structural overview Reference Pool February 2017* April 2017 Acquisition for Loan Group 1 April 2017 June 2017 Acquisition for Loan Group 2 Group 1 Loans Original LTV % Class 1A-H 96.00% thick 4.00% credit support Class 1M % thick 3.05% credit support Class 1M % thick 1.00% credit support Class 1B % thick 0.50% credit support Class 1M-1H (5% vertical slice) Class 1M-2H (5% vertical slice) Class 1B-1H (5% vertical slice) Class 1B-2H 0.50% thick; 0% credit support All H tranches are reference tranches only and will not be issued *February 2017 acquisitions targeted for CAS were randomly divided, with 50% allocated to CAS 2017-C06 and the remaining 50% allocated to CAS 2017-C07 Group 2 Loans Original LTV % Class 2A-H 95.75% thick 4.25% credit support Class 2M % thick 3.40% credit support Class 2M % thick 1.00% credit support Class 2B % thick 0.50% credit support Class 2M-1H (5% vertical slice) Class 2M-2H (5% vertical slice) Class 2B-1H (5% vertical slice) Class 2B-2H 0.50% thick; 0% credit support The Reference Pool is subdivided into two loan groups by original LTV Each loan group serves as a reference for a separate set of securities Notes are par-priced uncapped LIBOR floaters 12.5-year legal final maturity; Fannie Mae optional 10% clean up call and call starting in year 10 The minimum credit enhancement to unlock unscheduled principal is 4.50% for Group 1 and Group 2 Credit events are based on actual losses 1M-2 and 2M-2 classes will offer exchange features with rated exchangeable notes Fannie Mae will retain 100% of each first loss tranche and at least 5% of all offered tranches Fannie Mae. Trademarks of Fannie Mae. 22

23 Losses Losses CAS 2017-C07 exchangeable notes Class 1M-2 $ Bsf / BB- (sf) Credit Enhancement: 1.00% Class 2M-2 $ Bsf / B (sf) Credit Enhancement: 1.00% Principal Principal 1M-2A/1M-2B/1M-2C Option Class 1M-2A $ BBsf / BBB(sf) Credit Enhancement: 2.37% Class 1M-2B $ BB-sf / BB+(sf) Credit Enhancement: 1.69% Class 1M-2C $ Bsf / BB-(sf) Credit Enhancement: 1.00% 2M-2A/2M-2B/2M-2C Option Class 2M-2A $ BBsf / BBB-(sf) Credit Enhancement: 2.60% Class 2M-2B $ BB-sf / BB(sf) Credit Enhancement: 1.80% Class 2M-2C $ Bsf / B(sf) Credit Enhancement: 1.00% Tranching and coupon stripping to provide optionality to meet investor needs 1M-2A, 1M-2B and 1M-2C are LIBOR floaters with a margin that is equal to the 1-M2, and the 2M-2A, 2M- 2B and 2M-2C are LIBOR floaters with a margin that is equal to the 2M-2 To reduce the coupon, each exchangeable class can be stripped down to exchange into four P&I tranches, each with a different margin and corresponding fixed IO Multiple options to combine the floating rate and IO classes are available to meet various investor needs Exchangeable notes-upgrade to investment grade Tranching and coupon stripping to provide optionality to meet investor needs Deal Exchangeable Class Rating agency At issuance Current rating CAS 2016-C01 1M-2A Moody's/Kroll Ba1/BBB- Baa2 (upgrade)/bbb- 2M-2A Moody's/Kroll Ba1/BB+ Baa3 (upgrade)/bb+ CAS 2016-C02 1M-2A Moody's/Kroll Ba1/BBB Baa2 (upgrade)/bbb 2017 Fannie Mae. Trademarks of Fannie Mae. 23

24 Losses Losses Cash flow waterfall CAS cash flow structure is designed to be similar to typical RMBS transaction cash flows Principal payments and losses applied to the notes mirror the principal payments and losses experienced on the loans in the underlying Reference Pool Principal Payments are first allocated pro rata between the senior notes and the subordinate notes, then are applied sequentially to the subordinate notes starting with M-1 The deal must meet specified credit enhancement and delinquency tests in order for the subordinate notes to receive unscheduled principal payments (i.e., prepayments) Losses are applied in reverse sequential order starting with class B-2 Principal payments and losses are allocated pro rata between the sold notes and the retained vertical slice Loan Group 1 ( LTV) Loan Group 2 ( LTV) Class 1A-H Class 2A-H Class 1M-1 Class 1M-1H Class 2M-1 Class 2M-1H Principal Class 1M-2 Class 1M-2H Principal Class 2M-2 Class 2M-2H Class 1B-1 Class 1B-1H Class 2B-1 Class 2B-1H Class 1B-2H Class 2B-2H Senior Notes: A class Subordinate Notes: M classes, B classes Retained Vertical Slice: 1M-1H, 1M-2H, 1B-1H, 1B-2H, 2M-1H, 2M-2H, 2B-1H, 2B-2H 2017 Fannie Mae. Trademarks of Fannie Mae. 24

25 Credit events and allocation of losses Allocation of principal loss amounts Allocation of modification loss amounts 1 Class B2 - Principal 1 Class B2 - Interest 2 Class B1 - Principal 2 Class B2 - Principal 3 Class M2 - Principal 3 Class B1 - Interest 4 Class M1 - Principal 4 Class B1 - Principal 5 Class M2 - Interest 6 Class M2 - Principal 7 Class M1- Interest 8 Class M1 - Principal 2017 Fannie Mae. Trademarks of Fannie Mae. 25

26 Actual loss calculation principal losses Losses at Disposition (+) Loan Balance UPB at time of removal from reference pool (including any prior principal forgiveness amount) (+) Total Liquidation Costs Foreclosure Expense Property Preservation Expense Asset Recovery Expense Miscellaneous Holding Expenses/Credits Associated Taxes (+) Accrued Interest Unpaid interest from Last Paid Installment date through Disposition Date on interestbearing UPB, based on net Note rate (Note Rate net of servicing fee or 35 bps, whichever is greater) (-) Total Proceeds Net Sales Proceeds Credit Enhancement Proceeds (Mortgage Insurance Proceeds) Repurchase/ Make Whole Proceeds Other Proceeds Expenses and proceeds associated with a credit event are passed through to noteholders 90 days after the disclosed Disposition Date (e.g., property sale date). Any remaining trailing expenses and proceeds are passed through on a monthly basis thereafter as received Fannie Mae. Trademarks of Fannie Mae. 26

27 Modification losses Modification Borrower Impact Loss to Investor Interest Rate Reduction Principal Forbearance Term Extension Reduces monthly interest rate borrower pays on loan obligation Mortgage payments are temporarily suspended to reduce monthly mortgage payments for a specific period of time; the portion of suspended principal does not bear interest and is due at termination of the loan The loan term is extended to reduce borrower monthly payments Losses passed through based on the difference between the modified and original note rate paid on the outstanding loan balance Loss reflects foregone interest on non interest bearing portion of UPB No loss impact to investor Principal Forgiveness* The outstanding principal loan balance is subject to a one time principal reduction based on established eligibility criteria At time of principal forgiveness, no modification losses will be passed through to noteholders The forgiven UPB amount will be treated as unscheduled principal at the time of the modification If the modified loan subsequently becomes subject to a credit event, the amount of the principal forgiveness will be included in the credit event net loss (realized loss calculation) Modification losses are passed through to noteholders on a monthly basis once a permanent modification takes effect. No losses are incurred during a modification trial period (typically 3 months). *Fannie Mae does not anticipate that any loans referenced in CAS deals will be eligible for Principal Forgiveness *Principal Forgiveness Eligibility Criteria: Fannie Mae. Trademarks of Fannie Mae. 27

28 Acquisition profile Source: Fannie Mae Data, as of November 2017 activity date 2017 Fannie Mae. Trademarks of Fannie Mae. 28

29 CAS 2017-C07 G1 reference pool selection process February 2017* April 2017 Total Acquisitions of $109.0BN Original UPB Reserved for Reinsurance Random Division Fully amortizing, generally 25-year and 30-year fixed rate**, 1-4 unit, first lien, conventional Not Refi Plus / Not HARP 60% < Loan-to-Value < 80% 0 x 30 payment history since acquisition In an MBS as of the cut-off date Not a hurricane-related exclusion loan Not subject to a repurchase request as of Cut-Off Date Not subject to any form of risk sharing with the loan seller and/or servicer Approximately 50% of February 2017 acquisitions + 100% of March 2017 April 2017 (random division) Connecticut Avenue Securities: $20.63BN Current UPB *** *February 2017 acquisitions targeted for CAS were randomly divided, with 50% allocated to CAS 2017-C07 **All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. *** Current UPB Reflects CAS 2017-C07 Sept 2017 Book Profile. Numbers may not foot due to rounding. Fannie Mae acquires HARP loans under its Refi Plus initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers Fannie Mae. Trademarks of Fannie Mae. 29

30 CAS 2017-C07 G2 reference pool selection process April 2017 June* 2017 Total Acquisitions of $121.34BN Original UPB Reserved for Reinsurance Random Division Fully amortizing, generally 25-year and 30-year fixed rate**, 1-4 unit, first lien, conventional Not Refi Plus / Not HARP 80% < Loan-to-Value < 97% 0 x 30 payment history since acquisition In an MBS as of the cut-off date Not a hurricane-related exclusion loan Not subject to a repurchase request as of Cut-Off Date Not subject to any form of risk sharing with the loan seller and/or servicer 100% of April May approximately 50% of June 2017 acquisitions Connecticut Avenue Securities: $13.33BN Current UPB *** *June 2017 acquisitions targeted for CAS were randomly divided, with 50% allocated to CAS 2017-C07 **All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. *** Current UPB Reflects CAS 2017-C07 Sept 2017 Book Profile. Numbers may not foot due to rounding. Fannie Mae acquires HARP loans under its Refi Plus initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers Fannie Mae. Trademarks of Fannie Mae. 30

31 Private Mortgage Insurance on high LTV loans All loans in CAS deals with original loan-to-value ratios greater than 80% are required to have mortgage insurance (MI) in place provided by one of 8 approved and active Mortgage Insurance Companies Borrower-paid MI: the borrower makes a monthly payment as part of his/her mortgage payment Approximately 85% (1) of MI is borrower-paid. Monthly MI payment is typically 7% - 7.5% (2) of the borrower s total mortgage payment at loan inception. MI can be canceled by borrower once loan reaches a certain LTV Lender-paid MI: the lender pays for the MI upfront and charges the borrower a higher interest rate Approximately 15% (1) of MI is lender-paid. Lender-paid MI cannot be cancelled because the payment is built into the mortgage rate. If a loan goes to disposition, the MI company is obligated to pay Fannie Mae a claim based on the MI coverage percentage. This payment is passed through to the CAS investor as additional disposition proceeds and reduces the loss LTV Range Standard MI Coverage % % % % % Note: most loans have standard coverage; however, levels may differ on some loans this is disclosed on the loan-level deal file If the MI company fails to pay a claim per their contractual obligation, Fannie Mae will step in and cover the MI contractual benefit amount on that loan. Investors are not exposed to MI Company counterparty risk (1) Figures represent breakdown of MI payments from CAS 2017-C04 deal (2) Given the following key assumptions: 90% LTV, 740 FICO, MGIC Mortgage Insurance rates (44 bps for a 740 FICO loan) No Curtailment 2017 Fannie Mae. Trademarks of Fannie Mae. 31

32 Guidelines for loans with LTV greater than 95% Standard Guidelines: Fannie Mae s standard guidelines allow for LTV/CLTV up to 97% under the following circumstances: Must be underwritten through DU; Loan purpose is for a purchase or a limited cash-out refinance (i.e., rate/term refinance) of an existing Fannie Mae loan; Property is a 1-unit primary residence At least one borrower on the loan is a first-time homebuyer HomeReady : Designed for creditworthy low- to moderate-income borrowers Replaced Fannie Mae s existing community lending program, My Community Mortgage, in late 2015 Allows for LTV up to 97% under the following circumstances: Must be underwritten through DU; Loan purpose is for a purchase or a limited cash-out refinance (i.e., rate/term refinance) of an existing Fannie Mae loan; Property is a 1-unit primary residence Borrower income is not more than 100% of area median income, or subject property is located in a lowincome census tract LTV>90% allows for lower MI coverage than standard loans to reduce borrowers monthly payments Typically requires 25% MI for loans % LTV versus 30-35% MI coverage for standard loans Fannie Mae charges lower loan-level price adjustments for HomeReady loans to help reduce cost to borrower DU applies the same risk assessment to HomeReady as all other loans underwritten through DU Some product flexibilities allowed with prudent underwriting (See Appendix) Example: Documented income from non-borrower householder members may be considered as a compensating factor in DU to allow for DTI up to 50% Note: non-borrower income is not included in the DTI ratio 2017 Fannie Mae. Trademarks of Fannie Mae. 32

33 Historical loan performance 2017 Fannie Mae. Trademarks of Fannie Mae. 33

34 Group 1 ( OLTV) - historical acquisition profile LTV Historical Loan Acquisition Profile Orig year Loan Count Original UPB WA Note Rate WA Fico WA DTI WA OLTV WA OCLTV % 2nd Lien 1 % Investor % Refi 2 % TPO 3 % CA WA Risk Layers ,038 $8.4B 7.77% % 4.0% 35.2% 52.1% 15.0% ,663 $76.0B 8.09% % 4.3% 29.6% 57.1% 16.2% ,358,192 $211.3B 6.96% % 4.6% 67.7% 56.0% 20.1% ,401,199 $229.1B 6.48% % 5.0% 70.2% 57.5% 20.0% ,798,899 $309.1B 5.74% % 4.8% 75.5% 58.9% 20.6% ,741 $128.2B 5.83% % 4.1% 57.5% 60.6% 16.5% ,414 $137.2B 5.83% % 4.0% 56.8% 63.1% 11.5% ,515 $115.0B 6.41% % 5.3% 53.7% 64.7% 9.5% ,552 $138.3B 6.33% % 6.8% 58.7% 67.7% 10.4% ,327 $158.2B 6.03% % 8.5% 57.8% 62.7% 18.6% ,089,924 $260.4B 4.99% % 3.9% 70.8% 51.0% 20.5% ,816 $193.3B 4.74% % 6.3% 59.5% 56.3% 28.0% ,262 $148.0B 4.58% % 9.2% 55.8% 58.6% 29.4% ,019,597 $250.8B 3.85% % 8.8% 65.1% 56.3% 29.6% ,168 $204.5B 4.05% % 10.5% 53.2% 49.5% 29.7% ,444 $135.0B 4.47% % 11.5% 41.4% 46.4% 27.8% ,034 $179.6B 4.13% % 10.6% 51.5% 41.9% 27.3% ,256 $134.2B 3.95% % 8.7% 52.0% 40.9% 26.0% 0.46 Only loans with LTV between are included. Excludes loans with CLTV >97 Statistics weighted by origination UPB 1 Loans with CLTV more than 3 % greater than LTV are assumed to have second liens. 2 Includes both Rate/Term and Cashout Refinances. 3 Includes Broker and Correspondent originations. 4 Risk Layers defined as: Investor Property, DTI>45, FICO<680, & Cash-out Refinance Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 34

35 Group 1: historical loss performance re-weighted to CAS 2017-C07 profile Realized Loss Performance Rem. CAS Window (Months) 2 Default Pipeline Implications CAS 2017-C07 G1 Equivalent Perf. (Not Including Default Pipeline)5 Total Comped Loss Remaining 12.5 Year Rem. CAS Unsold REO Active D180 Orig Year UPB Pool Factor Net Loss Mod Loss 1 Total Loss Window % 2 % 3 % 4 Net Loss 6 Mod Loss B 0.50% 0.13% 0.02% 0.15% % 0.01% 0.02% 0.08% 0.01% 0.09% B 0.90% 0.19% 0.03% 0.22% % 0.01% 0.02% 0.12% 0.02% 0.13% B 1.90% 0.28% 0.05% 0.33% % 0.02% 0.05% 0.20% 0.03% 0.23% B 5.00% 0.49% 0.11% 0.60% % 0.03% 0.11% 0.38% 0.08% 0.46% B 6.80% 1.18% 0.27% 1.45% % 0.06% 0.20% 0.79% 0.18% 0.97% B 9.00% 3.01% 0.65% 3.66% % 0.12% 0.32% 2.12% 0.43% 2.55% B 8.40% 4.52% 1.17% 5.69% % 0.15% 0.40% 2.99% 0.76% 3.76% B 9.30% 4.04% 1.33% 5.37% % 0.18% 0.45% 2.50% 0.81% 3.30% B 7.00% 1.61% 0.68% 2.29% % 0.12% 0.29% 1.17% 0.53% 1.70% B 13.50% 0.23% 0.02% 0.25% % 0.04% 0.12% 0.31% 0.04% 0.35% B 20.80% 0.07% 0.00% 0.07% % 0.03% 0.08% 0.13% 0.01% 0.14% B 27.60% 0.03% 0.00% 0.03% % 0.02% 0.08% 0.06% 0.00% 0.06% B 54.70% 0.01% 0.00% 0.01% % 0.01% 0.05% 0.03% 0.00% 0.03% B 57.30% 0.01% 0.00% 0.01% % 0.01% 0.06% 0.01% 0.00% 0.01% B 53.50% 0.00% 0.00% 0.00% % 0.01% 0.10% 0.00% 0.00% 0.00% B 75.50% 0.00% 0.00% 0.00% % 0.00% 0.06% 0.00% 0.00% 0.00% B 90.00% 0.00% 0.00% 0.00% % 0.00% 0.02% 0.00% 0.00% 0.00% 1. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications) 2. Calculated as average loan age subtracted from 150 months (CAS maturity) 3. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB 4. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB 5. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2017-C07 G1 6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.38% WAC of the CAS pool 7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2017-C07 G Fannie Mae. Trademarks of Fannie Mae. 35

36 Historical loss performance re-weighted to CAS 2017-C07 profile 5% 4% 4.50% 4.00% 2017-C07 Group 1 Comped Loss Performance with Pipeline Consideration ( LTV Loans) Minimum Credit Enhancement M1 Detach 3% 3.05% M1 Attach 2% 1% M2 Attach 0% 0.50% Net Loss Mod Loss Comped Pipeline M2 Attach M1 Attach M1 Detach B1 Attach Minimum CE B1 Attach B2 Attach 1. Bars reflect historical cum loss performance re-weighted to the CAS 2017-C07 G1 profile across FICO/CLTV/Risk Layer distribution 2. Mod Loss re-weighted to the CAS 2017-C07 G1 profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: cashout refinance, investor property, DTI>45 and single borrower) 3. Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution Source: Fannie Mae Data Dynamics Fannie Mae. Trademarks of Fannie Mae. 36

37 % of Origination UPB 5.00% 4.50% Group 1: historical loss performance re-weighted to CAS C07 profile Group 1 ( OLTV) Comped Historical Loss Minimum Credit Enhancement 4.00% 3.50% 3.00% 2.50% M1 Detach M1 Attach 2.00% 1.50% 1.00% 0.50% 0.00% Months From First Payment M2 Attach B1 Attach B2 Attach y2000 y2001 y2002 y2003 y2004 y2005 y2006 y2007 y2008 y2009 y2010 y2011 y2012 y2013 M2 Attach M1 Attach M1 Detach B1 Attach Min CE 1. Curves reflect historical cum loss performance re-weighted to the CAS 2017-C07 Group 1 profile across FICO/CLTV/Risk Layer distribution 2. Comped loan modification concession (mod loss) for a given vintage has been distributed evenly across each point on the respective curve 3. A projected terminal loss has been calculated for all vintages with fewer than 150 months of activity. Projected terminal loss calculated by adding 25% of the default pipeline to the cumulative loss (default pipeline defined as foreclosed loans without a property disposition and loans that were in D180 delinquency as of the most recent available activity record) Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 37

38 Historical loss performance re-weighted to Group 1 CAS profiles Fixed severity Actual loss 1. Dots reflect historical total loss performance re-weighted to all of Group 1 CAS profiles across FICO/CLTV/Risk Layer distribution 2. For deals up to and including CAS 2015 C03, total loss is calculated in accordance with the fixed severity schedule; for the others, total loss is calculated from actual net, modification and pipeline losses Source: Fannie Mae Data Dynamics Fannie Mae. Trademarks of Fannie Mae. 38

39 Loss/Severity statistical summary (Group 1) Loss/Severity Summary Characteristics by Origination Year (Group 1) (Reflects loan status in performance dataset for activity through June 2017) Loan Population: loans with zero balance code of '02', '03', '09', '15' with non-null Disposition dates Origination Year Total Default UPB ($M) 1 $1,812 $1,804 $4,312 $3,569 $8,712 $10,075 $11,459 $6,053 $1,795 $434 $163 $107 $53 $20 $7 $50,375 Default Rate (%) 0.6% 0.8% 1.4% 2.8% 6.3% 8.8% 8.3% 3.8% 0.7% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 1.7% EXPENSES: Delinquent Interest 12% 12% 11% 11% 10% 11% 11% 11% 9% 8% 8% 6% 6% 6% 4% 11% Total Liquidition Exp. 12% 13% 13% 12% 9% 8% 8% 9% 9% 11% 11% 10% 10% 9% 5% 10% Foreclosure 5% 5% 4% 4% 3% 2% 2% 3% 2% 3% 3% 3% 3% 3% 3% 3% Property Preservation 4% 4% 4% 3% 3% 2% 2% 2% 3% 3% 4% 4% 4% 3% 1% 3% Asset Recovery 0% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 0% 1% 0% 0% 1% Misc. Holding Expenses/Credits 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 1% 0% 0% 0% 1% Associated Taxes 3% 4% 4% 3% 3% 2% 2% 3% 3% 3% 3% 2% 2% 2% 1% 3% Total Costs 124% 125% 124% 123% 119% 120% 120% 120% 118% 119% 119% 116% 116% 114% 109% 120% PROCEEDS: Net Sales Proceeds 76% 76% 82% 77% 69% 63% 63% 67% 77% 83% 84% 86% 90% 92% 91% 69% Credit Enhancement 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% Repurchase/Make Whole 8% 5% 1% 1% 2% 4% 7% 10% 7% 4% 3% 1% 1% 0% 0% 5% Other 6% 4% 3% 2% 1% 1% 1% 1% 1% 2% 1% 3% 2% 3% 7% 2% Total Proceeds 91% 85% 86% 80% 72% 68% 71% 78% 85% 88% 88% 89% 93% 96% 99% 75% Severity 33.4% 40.1% 37.7% 42.7% 47.4% 51.5% 48.7% 42.1% 32.6% 30.8% 31.3% 27.2% 23.0% 18.9% 10.2% 45.2% Total Net Loss ($M) $605 $724 $1,626 $1,525 $4,132 $5,188 $5,584 $2,548 $586 $133 $51 $29 $12 $4 $1 $22,749 1 Default UPB, expenses and proceeds in this view are for completed foreclosures only. These are defined as loans with a zero balance code of '09', '03', '02', or '15' and non-null disposition dates. Default rate is calculated as the sum of default UPB divided by the origination UPB. Expense and proceed line items are a percentage of default UPB. Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 39

40 Group 2 ( OLTV) - historical acquisition profile LTV Historical Loan Acquisition Profile Orig year Loan Count Original UPB WA Note Rate WA Fico WA DTI WA OLTV WA OCLTV % 2nd Lien 1 % Investor % Refi 2 % TPO 3 % CA WA Risk Layers ,172 $6.0B 7.87% % 1.4% 12.2% 51.3% 11.2% ,070 $50.8B 8.21% % 1.9% 10.7% 54.7% 10.8% ,520 $89.0B 7.08% % 2.5% 38.4% 54.8% 10.9% ,034 $74.2B 6.65% % 3.5% 37.0% 56.9% 9.6% ,404 $75.5B 5.85% % 3.3% 42.3% 58.3% 7.7% ,038 $31.9B 5.97% % 3.9% 28.8% 57.7% 4.5% ,094 $26.8B 5.97% % 4.4% 34.2% 59.1% 2.3% ,247 $22.5B 6.55% % 4.9% 35.5% 61.0% 2.0% ,877 $41.1B 6.50% % 5.8% 43.4% 67.6% 4.6% ,651 $55.6B 6.19% % 3.4% 29.4% 62.9% 13.3% ,604 $34.5B 5.02% % 0.0% 41.1% 45.7% 8.9% ,206 $27.3B 4.72% % 0.0% 31.6% 54.8% 10.4% ,352 $35.8B 4.59% % 0.0% 26.4% 59.6% 12.4% ,013 $73.2B 3.87% % 0.0% 32.8% 55.1% 13.6% ,398 $93.5B 4.16% % 0.1% 21.9% 50.0% 13.2% ,434 $84.7B 4.49% % 0.2% 14.8% 45.1% 12.5% ,192 $107.1B 4.17% % 0.2% 17.1% 42.5% 11.8% ,788 $78.4B 3.95% % 0.2% 15.3% 40.3% 12.0% 0.09 Only loans with LTV between are included. Excludes loans with CLTV >97 Statistics weighted by origination UPB 1 Loans with CLTV more than 3 % greater than LTV are assumed to have second liens. 2 Includes both Rate/Term and Cashout Refinances. 3 Includes Broker and Correspondent originations. 4 Risk Layers defined as: Investor Property, DTI>45, FICO<680, & Cash-out Refinance Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 40

41 Group 2: historical loss performance re-weighted to CAS 2017-C07 profile Realized Loss Performance Rem. CAS Window (Months) 2 Default Pipeline Implications CAS 2017-C07 G2 Equivalent Perf. (Not Including Default Pipeline)5 Total Comped Loss Remaining 12.5 Year Rem. CAS Unsold REO Active D180 Orig Year UPB Pool Factor Net Loss Mod Loss 1 Total Loss Window % 2 % 3 % 4 Net Loss 6 Mod Loss B 0.70% 0.14% 0.04% 0.18% % 0.02% 0.02% 0.04% 0.02% 0.06% B 1.30% 0.27% 0.06% 0.33% % 0.02% 0.04% 0.11% 0.03% 0.14% B 2.80% 0.48% 0.12% 0.60% % 0.04% 0.08% 0.24% 0.06% 0.29% B 6.50% 0.89% 0.22% 1.11% % 0.09% 0.18% 0.52% 0.13% 0.65% B 8.50% 1.75% 0.43% 2.18% % 0.18% 0.33% 0.94% 0.23% 1.17% B 10.80% 3.55% 0.80% 4.35% % 0.26% 0.51% 1.95% 0.42% 2.37% B 10.20% 4.72% 1.39% 6.11% % 0.37% 0.63% 2.44% 0.67% 3.11% B 11.90% 4.85% 2.00% 6.85% % 0.46% 0.80% 2.30% 0.97% 3.27% B 9.10% 1.97% 1.25% 3.22% % 0.27% 0.48% 0.98% 0.79% 1.77% B 13.90% 0.28% 0.04% 0.32% % 0.07% 0.12% 0.30% 0.07% 0.37% B 22.80% 0.06% 0.01% 0.07% % 0.05% 0.09% 0.08% 0.01% 0.09% B 29.00% 0.02% 0.00% 0.02% % 0.05% 0.10% 0.02% 0.01% 0.03% B 52.60% 0.01% 0.00% 0.01% % 0.04% 0.09% 0.01% 0.00% 0.01% B 53.20% 0.01% 0.00% 0.01% % 0.04% 0.14% 0.01% 0.00% 0.01% B 56.00% 0.00% 0.00% 0.00% % 0.04% 0.18% 0.00% 0.00% 0.00% B 78.70% 0.00% 0.00% 0.00% % 0.02% 0.13% 0.00% 0.00% 0.00% B 92.50% 0.00% 0.00% 0.00% % 0.00% 0.04% 0.00% 0.00% 0.00% 1. Reflects interest income forgone due to loan modifications (includes both interest rate and principal forbearance modifications) 2. Calculated as average loan age subtracted from 150 months (CAS maturity) 3. Calculated as default UPB for foreclosed loans that have yet to be disposed divided by total vintage origination UPB 4. Calculated as last UPB for loans that were in D180+ delinquency as of the last activity period in the public dataset divided by total vintage origination UPB 5. Reflects historical loss rates re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2017-C07 G2 6. In addition to the re-weighting, historical loss rates used in the comp process have been revised to reflect the ~4.39% WAC of the CAS pool 7. Reflects historical mod loss re-weighted to reflect the FICO, CLTV, & Risk Layer Count distribution of CAS 2017-C07 G Fannie Mae. Trademarks of Fannie Mae. 41

42 Historical loss performance re-weighted to CAS 2017-C07 profile 5% 4% 3% 2017-C07 Group 2 Comped Loss Performance with Pipeline Consideration ( LTV Loans) Minimum Credit Enhancement M1 Detach M1 Attach 2% 1% 0% -1% Net Loss Mod Loss Comped Pipeline M2 Attach M1 Attach M1 Detach B1 Attach Minimum CE M2 Attach B1 Attach B2 Attach 1. Bars reflect historical cum loss performance re-weighted to the CAS 2017-C07 G2 profile across FICO/CLTV/Risk Layer distribution 2. Mod Loss re-weighted to the CAS 2017-C07 G2 profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: cashout refinance, investor property, DTI>45 and single borrower) 3. Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution Source: Fannie Mae Data Dynamics. 1/31/ Fannie Mae. Trademarks of Fannie Mae. 42

43 % of Origination UPB 4.50% 4.00% Group 2: historical loss performance re-weighted to CAS C07 profile Group 2 ( OLTV) Comped Historical Loss Minimum Credit Enhancement M1 Detach 3.50% 3.00% 2.50% 2.00% 1.50% M1 Attach 1.00% 0.50% 0.00% -0.50% Months From First Payment M2 Attach B1 Attach B2 Attach y2000 y2001 y2002 y2003 y2004 y2005 y2006 y2007 y2008 y2009 y2010 y2011 y2012 y2013 M2 Attach M1 Attach M1 Detach B1 Attach Min CE 1. Curves reflect historical cum loss performance re-weighted to the CAS 2017-C07 Group 2 profile across FICO/CLTV/Risk Layer distribution 2. Comped loan modification concession (mod loss) for a given vintage has been distributed evenly across each point on the respective curve 3. A projected terminal loss has been calculated for all vintages with fewer than 150 months of activity. Projected terminal loss calculated by adding 25% of the default pipeline to the cumulative loss (default pipeline defined as foreclosed loans without a property disposition and loans that were in D180 delinquency as of the most recent available activity record) Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 43

44 Historical loss performance re-weighted to Group 2 CAS profiles Fixed severity Actual loss 1. Dots reflect historical total loss performance re-weighted to all of Group 2 CAS profiles across FICO/CLTV/Risk Layer distribution 2. For deals up to and including CAS 2015 C03, total loss is calculated in accordance with the fixed severity schedule; for the others, total loss is calculated from actual net, modification and pipeline losses Source: Fannie Mae Data Dynamics Fannie Mae. Trademarks of Fannie Mae. 44

45 Loss/Severity statistical summary (Group 2) Loss/Severity Summary Characteristics by Origination Year (Group 2) (Reflects loan status in performance dataset for activity through June 2017) Loan Population: loans with zero balance code of '02', '03', '09', '15' with non-null Disposition dates Origination Year Total Default UPB ($M) 1 $2,596 $1,805 $2,729 $1,852 $2,846 $3,082 $6,474 $4,824 $571 $153 $96 $89 $99 $52 $14 $27,282 Default Rate (%) 1.8% 2.4% 3.6% 5.8% 10.6% 13.7% 15.8% 8.7% 1.7% 0.6% 0.3% 0.1% 0.1% 0.1% 0.0% 2.7% EXPENSES: Delinquent Interest 11% 11% 10% 11% 11% 12% 11% 10% 7% 6% 7% 5% 5% 5% 3% 11% Total Liquidition Exp. 11% 12% 13% 13% 11% 10% 9% 8% 8% 9% 10% 10% 9% 8% 5% 10% Foreclosure 4% 4% 4% 4% 3% 3% 3% 2% 2% 2% 3% 3% 3% 2% 2% 3% Property Preservation 3% 4% 4% 3% 3% 2% 2% 2% 2% 3% 4% 4% 3% 3% 1% 3% Asset Recovery 0% 0% 1% 1% 1% 0% 0% 1% 1% 1% 1% 1% 0% 0% 0% 0% Misc. Holding Expenses/Credits 1% 1% 1% 2% 2% 1% 1% 1% 1% 1% 1% 1% 1% 1% 0% 1% Associated Taxes 2% 3% 3% 3% 3% 2% 2% 2% 2% 2% 2% 2% 2% 2% 1% 2% Total Costs 122% 123% 123% 124% 122% 121% 120% 118% 115% 115% 116% 116% 115% 113% 108% 121% PROCEEDS: Net Sales Proceeds 75% 71% 71% 66% 60% 56% 56% 61% 73% 80% 82% 83% 80% 80% 85% 63% Credit Enhancement 24% 23% 22% 23% 23% 24% 24% 22% 20% 21% 24% 24% 25% 24% 17% 23% Repurchase/Make Whole 5% 4% 2% 2% 3% 5% 8% 10% 4% 2% 1% 1% 0% 0% 0% 6% Other 3% 3% 2% 2% 2% 2% 2% 1% 1% 1% 1% 1% 2% 2% 2% 2% Total Proceeds 107% 101% 97% 93% 88% 87% 90% 96% 98% 104% 107% 108% 108% 106% 104% 94% Severity 15.1% 22.4% 26.2% 30.4% 33.5% 34.5% 30.8% 22.7% 16.9% 10.9% 9.0% 7.6% 6.8% 6.3% 4.2% 26.8% Total Net Loss ($M) $391 $404 $716 $563 $952 $1,063 $1,993 $1,097 $96 $17 $9 $7 $7 $3 $1 $7,319 1 Default UPB, expenses and proceeds in this view are for completed foreclosures only. These are defined as loans with a zero balance code of '02', '03', '09', or '15' and non-null disposition dates. Default rate is calculated as the sum of default UPB divided by the origination UPB. Expense and proceed line items are a percentage of default UPB. Source: Fannie Mae October 2017 Data Release 2017 Fannie Mae. Trademarks of Fannie Mae. 45

46 Group 1/Group 2 loss comparison Group 1 Proceeds as % of Defaulted UPB Group 2 Proceeds as % of Defaulted UPB 120% 100% 80% 60% 40% 20% 0% 120% 100% 80% 60% 40% 20% 0% CE Proceeds Sales Proceeds Other** RMW* Default Rate CE Proceeds Sales Proceeds Other** RMW* Severity 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 60% 50% 40% 30% 20% 10% 0% Group 1 Group 2 *RMW = Repurchase Make Whole proceeds **Other = Amounts other than sales proceeds including redemption proceeds received from the mortgagor Group 1 Group Fannie Mae. Trademarks of Fannie Mae. 46

47 Group 1/Group 2 loss comparison 2017-C07 Group 1 Comped loss performance with pipeline consideration ( LTV loans) 2017-C07 Group 2 Comped loss performance with pipeline consideration ( LTV loans) 5% 4.50% 4% 4.00% 3.05% 3% 5% 4.50% 4.25% 4% 3.40% 3% 2% 2% 1% 0.50% 0% 1% 0.50% 0% 1. Bars reflect historical cum loss performance re-weighted to the CAS 2017-C07 G1/G2 profile across FICO/CLTV/Risk Layer distribution 2. Mod Loss re-weighted to the CAS 2017-C07 G1/G2 profile across FICO/CLTV/Risk Layer distribution (risk layers defined as: cashout refinance, investor property, DTI>45 and single borrower) 3. Comped Pipeline equal to 25% of the previously defined loss pipeline re-weighted across the FICO/CLTV/Risk Layer distribution 2017 Fannie Mae. Trademarks of Fannie Mae. 47

48 Investor distribution and security performance 2017 Fannie Mae. Trademarks of Fannie Mae. 48

49 Program to date investor distribution % 2017** M-1 19% 12% 18% 10% 4% 12% 2% 5% 11% <1% 7% 10% 5% 64% 11% 61% 81% 83% 82% <1% <1% <1% 2% <1% 7% 1% 8% 3% 10% M-2 63% 35% 1% 42% 6% 50% 55% 37% <1% 48% 42% 46% 41% Investor Type M1 M2 M1 M2 M1 M2 M1 M2 M1 M2 Asset Manager* 64% 35% 61% 50% 81% 37% 83% 42% 82% 41% Depository Institution/Bank 5% 1% 11% 6% 2% <1% 0% 0% <1% 0% Hedge Fund/Private Equity 19% 63% 18% 42% 4% 55% 5% 48% 7% 46% Insurance Company 12% <1% 10% 0% 12% <1% 11% 1% 10% 3% REIT 0% <1% 0% 2% 0% 7% 1% 8% 0% 10% *Includes pensions, mutual funds, sovereign wealth funds, state/local government **Data through CAS 2017-C07 Source: Fannie Mae and dealers, primary issuance only 2017 Fannie Mae. Trademarks of Fannie Mae. 49

50 $ Millions CRT monthly average trading volume $22.6B of secondary trading in CAS bonds in the last 12 months, over one times float of approximately $21.3B. 5,000 12% 4,500 4,000 10% 3,500 8% 3,000 2,500 6% 2,000 1,500 4% 1,000 2% Q Q Q Q Q Q Q Investment Grade Non-Investment Grade Total Volume/Outstanding UPB (RHS) 0% Source: Fannie Mae Survey 2017 Fannie Mae. Trademarks of Fannie Mae. 50

51 Spread Over Index/Benchmark (bps) Connecticut Avenue Securities spreads M1 (1mL) 1M2 (1mL) 2M1 (1mL) 2M2 (1mL) CMBS BBB (vs swaps) CDX 5Y HY (vs swaps) BBB Corporates (vs swaps) *As of November 2017 Source: JP Morgan Markets, Fannie Mae 2017 Fannie Mae. Trademarks of Fannie Mae. 51

52 CAS Ratings Overview All previously non-rated CAS M2 bonds are now rated. M1 ratings distribution 60% 50% 40% 30% 20% 10% AAA AA+ AA BBB- AA- A+ A A- BBB+ BBB BB+ BB 0% Initial Ratings Distribution Current Ratings Distribution M2 ratings distribution 50% 40% 30% 20% 10% BBB BB+ BB BB- Initial Ratings Distribution BBB- B+ B B- Upgrade Ratings Distribution Not Rated 0% 2017 Fannie Mae. Trademarks of Fannie Mae. 52

53 NAIC Designations CAS transactions received favorable NAIC designations for the 2016 filing year. M1 Classes M2 Classes Designation Class Designation Class NAIC 1 CAS 2015-C04 1M1 NAIC 2 CAS 2015-C04 1M2 NAIC 1 CAS 2015-C04 2M1 NAIC 2 CAS 2015-C04 2M2 NAIC 1 NAIC 1 NAIC 1 NAIC 1 NAIC 1 NAIC 1 NAIC 1 NAIC 1 NAIC 1 CAS 2016-C01 1M1 CAS 2016-C01 2M1 CAS 2016-C02 1M1 CAS 2016-C03 1M1 CAS 2016-C03 2M1 CAS 2016-C04 1M1 CAS 2016-C05 2M1 CAS 2016-C06 1M1 CAS 2016-C07 2M1 NAIC 1 NAIC 2 NAIC 1 NAIC 2 NAIC 2 NAIC 2 NAIC 3 NAIC 2 NAIC 3 CAS 2016-C01 1M2 CAS 2016-C01 2M2 CAS 2016-C02 1M2 CAS 2016-C03 1M2 CAS 2016-C03 2M2 CAS 2016-C04 1M2 CAS 2016-C05 2M2 CAS 2016-C06 1M2 CAS 2016-C07 2M Fannie Mae. Trademarks of Fannie Mae. 53

54 New investor resources 2017 Fannie Mae. Trademarks of Fannie Mae. 54

55 Web-based credit-risk sharing resources bolster transparency Gain a comprehensive overview of our industry-leading credit risk management processes Demo our industry-leading, cutting-edge tools Desktop Underwriter Collateral Underwriter TM Servicing Management Default Underwriter TM Property Valuation and Analytics Gain confidence in our approach view consolidated third-party due diligence results Interact with and analyze Fannie Mae s historical loan performance data, deal issuance data, and ongoing disclosure data with Data Dynamics TM Drillable analysis of: Sign-up to receive Fannie Mae s Credit Risk Transfer Commentary and News delivered directly to your inbox 2017 Fannie Mae. Trademarks of Fannie Mae. 55 Credit Risk Sharing Webpage:

56 Data Dynamics illustrative analysis Cohort Default UPB Foreclosure Property Preservation Asset Recovery Misc. Taxes Forgone Interest Net Sales Credit Enhancement Repurchase / Make Whole Other Proceeds Net Loss 2006 $1,117M $41.7M $38.0M $2.9M $4.0M $22.0M $105.6M $869.8M $173.2M $54.8M $62.5M $170.3M Historical Performance Data 2007 $1,329M $48.4M $36.5M $3.6M $4.1M $28.1M $117.1M $1,015.7M $184.7M $46.1M $60.8M $259.7M 2008 $2,124M $58.9M $43.6M $5.9M $3.9M $40.3M $169.2M $1,516.6M $229.5M $92.3M $40.1M $566.9M 2009 $5,327M $107.0M $79.8M $16.5M $11.2M $82.7M $393.9M $3,356.9M $480.6M $418.4M $42.4M $1,719.7M 2010 $10,996M $238.6M $171.4M $44.1M $31.4M $178.0M $888.2M $6,818.7M $829.4M $957.5M $92.7M $3,849.9M 2011 $15,686M $348.6M $315.0M $79.8M $75.5M $286.9M $1,438.1M $9,224.1M $1,076.5M $1,241.6M $202.5M $6,485.4M 2012 $13,417M $333.6M $302.2M $85.6M $101.4M $294.8M $1,287.7M $8,546.4M $943.8M $652.8M $188.5M $5,490.9M 2013 $9,402M $290.7M $279.4M $65.8M $120.0M $278.8M $1,109.3M $6,699.6M $647.6M $248.1M $153.5M $3,797.0M 2014 $6,890M $280.0M $286.2M $47.4M $139.7M $276.9M $1,028.4M $5,141.6M $490.2M $61.4M $138.3M $3,117.3M 2015 $5,682M $273.0M $317.3M $38.3M $144.4M $275.9M $986.2M $4,458.1M $375.2M $24.8M $123.6M $2,735.4M 2016 $2,914M $129.2M $129.6M $16.3M $56.2M $125.2M $553.8M $2,295.5M $150.6M $11.5M $59.2M $1,407.1M CAS geographical analysis Historical comparative analysis Access Data Dynamics: Fannie Mae Credit Insurance Risk Transfer (CIRT) Overview 2017 Fannie Mae. Trademarks of Fannie Mae. 56

57 Data Dynamics Historical performance data Gain insights into historical loan performance trends and relationships to credit performance How do risk profiles compare across vintages? How have loans in different vintages performed over time, from a delinquency, prepay, default, severity, and loss perspective? What is the detailed breakdown of net loss, expenses and proceeds? What is the detailed breakdown of net loss across different vintages, risk profiles, and loan attributes? What was the outcome for loans of different vintages, risk profiles, or attributes? CAS transaction issuance and performance View the profile composition for outstanding deals, as well as ongoing monthly performance analysis What is the current and at-issuance risk profile of the loans underlying existing CAS deals? How has CAS deal collateral performed through each remittance period? What are recovery rates in each remittance period of 30-day, 60-day, 90-day, etc. delinquent loans? In which risk buckets is most of the UPB in each CAS deal concentrated? How does the profile and performance of each CAS deal compare to that of other CAS deals? What are the loan and performance characteristics for different geographic areas? 1/31/2018 Historical comparative analysis Gather insights into potential deal performance by comparing deals across various historical outcomes How would this specific deal have performed with its current risk profile if the reference pool was originated in a different year? (comparative deal) How does the total loss of a comparative deal compare across different vintage years? How does a specific bond's credit enhancement level compare to the historical loss experience of similar loans? What is the shape of a comparative deal s loss curve? How do they differ in shape and magnitude across different vintages? 2017 Fannie Mae. Trademarks of Fannie Mae. 57

58 Appendix D: Loan level disclosure Historical loan-level performance data Fannie Mae s Single-Family Loan Performance Dataset provides historical monthly loan performance data on a portion of our single-family book of business to promote better understanding of the credit performance of Fannie Mae mortgage loans. Includes a subset of our fully amortizing, full documentation, single-family, conventional fixed-rate mortgage acquisitions since January 2000, and is updated on a quarterly basis to include a new quarter of acquisitions (currently through Q3 2016) and performance (currently through Q2 2017) Over 50 data elements per loan, including key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data Investor resources including file layout, glossary, FAQs, web tutorials, and statistical summaries support download of the dataset Recent Enhancements Data Dynamics Features One-click download feature to ease filedownload experience Inclusion of one million loans that were modified through HARP, supporting market analysis of high loan-to-value refinance assistance programs Inclusion of fixed-rate loans with 5 year to 25 year terms Aggregate analysis of the loan-level historical data Filter dataset across several dimensions to compare risk profiles and performance View the HARP enhanced analysis at an aggregate level Fannie Mae. Trademarks of Fannie Mae. 58

59 Appendix D: Loan level disclosure CAS loan-level data disclosure Fannie Mae makes available nearly 90 loan-level disclosure fields to support analysis of its CAS deals and program A one-click download feature in Data Dynamics enables users to download all available loan-level files at one time Fields include key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data, such as (not limited to): Loan and Borrower Characteristics Collateral Characteristics Property Type Number of Borrowers Number of Units Occupancy Type HomeReady Program Indicator Original Debt to Income Ratio Original Loan to Value Ratio (LTV) and Combined LTV Ratio (CLTV) Metropolitan Statistical Area Servicing Data Servicer Name Loan Payment History Loan Term Characteristics Mortgage Insurance Cancellation Indicator Modification Flag First Time Home Buyer Indicator Borrower FICO and Co-Borrower FICO scores (at origination, deal issuance, and ongoing) Three digit zip code Property Inspection Waiver Flag (1) Reason and Date as to why a loan balance went to zero Current Loan Delinquency Status Original and Current Interest Rate Original Loan Term Loan Age Original and Current UPB Origination Date Maturity Date Disposition Data Last Paid Installment Date Foreclosure Date Detailed Proceed Fields Original and Current List Price and Date Disposition Date Detailed Expense Fields (1) Available beginning with 2017-C07 forward Insert Connecticut Presentation Avenue Title Securities Here Investor Presentation 2017 Fannie Mae. Trademarks of Fannie Mae. 59

60 Appendix A. How mortgage insurance works-high LTV loans 61 B. CAS deal summaries and comparisons 63 C. Credit risk management 67 D. Additional resources Fannie Mae. Trademarks of Fannie Mae. 60

61 Appendix A: How does mortgage insurance work- Group 2 deals How Mortgage Insurance (MI) Works I: Possible Claim Outcomes 2017 Fannie Mae. Trademarks of Fannie Mae. 61

62 Appendix A: How does mortgage insurance work- Group 2 deals How Mortgage Insurance (MI) works II: MI cancellation provisions Borrower Paid Mortgage Insurance may be cancelled under the following circumstances: 1. Automatic Termination (based on scheduled amortization): the principal balance of the mortgage loan reaches 78% of the original value of the property AND the borrower s payment is current 2. Borrower-Initiated Termination Based on Original Property Value (i.e, loan balance decrease): Outstanding balance of the loan is reduced such that the LTV ratio reaches <=80% of the original value of the property (typically due to a curtailment) AND Borrower must have an acceptable payment history: payment is current; has no payment 30 or more days past due in the last 12 months; and has no payment 60 or more days past due in the last 24 months. The servicer must warrant that the current property value is at least equal to the original property value. The servicer may choose to order a BPO, a certification of value, or a new appraisal to verify the current property value 3. Borrower-Initiated Termination Based on Current Property Value (i.e., property value increase): Servicer must establish current property value as evidenced by a new appraisal based on an interior and exterior inspection of the property and prepared in accordance with Fannie Mae s appraisal standards. LTV ratio must be: 75% or less, if the seasoning of the mortgage loan is between two and five years. 80% or less, if the seasoning of the mortgage loan is greater than five years. Borrower must have an acceptable payment history (see requirements above for borrower-initiated termination) Applicable to mortgages secured by one-unit principal residence or second home; lower LTV ratios required for other loan types 2017 Fannie Mae. Trademarks of Fannie Mae. 62

63 Appendix B: CAS Deal Summaries and comparisons Deal summaries & comparison Group C C C C C C C C C C07 Pricing Date 2/9/2016 3/22/2016 4/12/2016 7/19/ /1/2016 1/18/2017 5/2/2017 7/18/2017 8/15/ /14/2017 Pricing (1 Month LIBOR +) M1: 195 bps M2: 675 bps B: 1175 bps M1: 215 bps M2: 600 bps B: 1225 bps M1: 200 bps M2: 530 bps B: 1175 bps M1: 145 bps M2:425 bps B: 1025 bps M1: 130 bps M2:425 bps B: 925 bps M1:130 bps M2: 355 bps 1B-1: 575 bps M1:95 bps M2: 300 bps 1B-1: 485 bps M1:55 bps M2:220 bps 1B-1:360 bps M1: 75 bps M2: 265 bps 1B bps M1: 65 bps M2: 240 bps 1B-1: 400 bps Size M1: $207.6 mm M2: $333.9 mm B: $94.9 mm M1: $342.3 mm M2: $599.1 mm B: $90.1 mm M1: $157.8 mm M2: $180.3mm B: $59.0 mm M1: $500.9 mm M2: $701.2 mm B: $120.0 mm M1: $393.3 mm M2: $550.6 mm B: $80.0 mm M1: $457.3 mm M2: $685.9 mm 1B-1: $207.8 mm M1: $568.2 mm M2: $607.4 mm 1B-1: $195.9 mm M1: $353.3 mm M2: $789.7 mm 1B-1: $207.8 mm M1: $156.6 mm M2: $281.9 mm 1B-1: $78.3 mm M1: $186.2 mm M2: $401.7 mm 1B-1: $97.9 mm Credit Enhancement M-1: 2.85% M-2: 1.00% B: 0% M-1: 2.75% M-2: 1.00% B: 0% M-1: 2.60% M-2: 1.00% B: 0% M-1: 2.75% M-2: 1.00% B: 0% M-1: 2.75% M-2: 1.00% B: 0% M-1: 2.65% M-2: 1.00% 1B-1: 0.50% M-1: 2.55% M-2: 1.00% 1B-1: 0.50% M-1: 2.90% M-2: 1.00% 1B-1: 0.50% M % M-2: 1.00% 1B-1: 0.50% M-1: 3.05% M-2: 1.00% 1B-1: 0.50% Minimum Credit Enhancement Test Credit enhancement greater than 4.75% Credit enhancement greater than 4.75% Credit enhancement greater than 4.50% Credit enhancement greater than 4.75% Credit enhancement greater than 4.75% Credit enhancement greater than 4.00% Credit enhancement greater than 4.00% Credit enhancement greater than 3.75% Credit enhancement greater than 3.80% Credit enhancement greater than 4.50% Vertical Slice Retained M-1:5.00% M-2: 5.00% B: 50% M-1:5.00% M-2: 5.00% B: 75% M-1:5.00% M-2: 5.00% B: 50% M-1:5.00% M-2: 5.00% B: 72% M-1:5.00% M-2: 5.00% B: 76% M-1: 5% M-2: 5% 1B-1: 5% M-1: 5% M-2: 5% 1B-1: 5% M-1: 5% M-2: 5% 1B-1: 5% M-1: 5% M-2: 5% 1B-1: 5% M-1: 5% M-2: 5% 1B-1: 5% Ratings Moody's/KBRA M-1: Baa3(sf)/BBB(sf) M-2: Ba3(sf)/BB- (sf) B: Unrated Moody's/KBRA M-1: Baa3(sf)/BBB+(sf) M-2: B1(sf)/BB(sf) B: Unrated Fitch/KBRA M-1: BBB-(sf) / BBB(sf) M-2: B+(sf) / BB(sf) B: Unrated Moody s/kbra M-1: Baa3(sf)/BBB+(sf) M-2: B1(sf)/BB- (sf) B: Unrated Fitch/KBRA M-1: BBBsf/BBB(sf) M-2: B+sf/BB-(sf) B: Unrated Fitch/KBRA M-1: BBBsf/BBB+(sf) M-2: Bsf/BB(sf) 1B-1: Unrated Fitch/KBRA M-1: Baa3 (sf)/bbb(sf) M-2: B2(sf)/ B(high)(sf) 1B-1: Unrated Moody s/dbrs M-1: Baa3 (sf)/bbb (sf) M-2: B3 (sf)/b (high)(sf) 1B-1: Unrated Fitch/Kroll M-1: BBB sf/bbb+(sf) M-2: Bsf/BB(sf) 1B-1: Unrated Fitch/Kroll M-1: BBB-sf/BBB+ (sf) M-2: Bsf/BB- (sf) 1B-1: Unrated Lead/Co Lead JPM/Citi BAML/WF BAR/CS BAML/BAR BAML/JPM BAML/WF BAR/BAML BAML/Citi BAR/MS BAML/NOM Acquisition Period Jan 2015/Feb 2015 Mar 2015/May 2015 Jun-15 Jul 2015/Oct 2015 Nov 2015/Feb 2016 Mar 2016/Jun 2016 July 2016/October 2016 October 2016/December 2016 January 2017/February 2017 February 2017/April 2017 Loan Count 80, ,193 49, , , , , ,672 69,367 88,483 UPB $19.0 BN $36.0 BN $11.9 BN $42.1 BN $33.1 BN $43.7 BN $41.8 BN $44.4 BN $16.5 BN $20.6 BN 2017 Fannie Mae. Trademarks of Fannie Mae. 63

64 Appendix B: CAS Deal Summaries and comparisons Deal summaries & comparison Group C C C C C C C C C C07 Avg Principal Balance $240,992 $251,235 $238,725 $230,063 $230,729 $242,848 $250,317 $254,100 $240,576 $236,462 Avg Gross Mortgage Rate 4.18% 4.00% 4.03% 4.22% 4.20% 4.02% 3.82% 3.76% % Avg Remaining Term to Stated Maturity Weighted Avg Original Term 349 months 351 months 352 months 351 months 352 months 353 months 353 months 353 months 354 months 353 months 360 Months 360 Months 360 months 360 months 360 months 360 months 359 months 359 months 359 months 359 months Weighted Avg Loan Age 11 Months 9 Months 8 months 9 months 8 months 7 months 6 months 6 months 5 months 6 months Avg Original LTV Ratio 75.25% 74.92% 75.40% 75.67% 75.40% 75.20% 75.02% 74.67% 74.91% 75.31% Avg Original CLTV Ratio 76.23% 76.00% 76.50% 76.70% 76.30% 76.0% 75.73% 75.34% 75.64% 76.01% Avg Debt-to-Income Ratio 34.23% 33.77% 33.80% 34.12% 34.30% 34.10% 33.54% 33.60% 34.59% 35.07% Credit Score Loan Purpose (% UPB) No cash-out refinance: Purchase: Cash-out refinance: 34.49% 42.98% 22.52% % 37.39% 22.34% 28.57% 49.67% 21.75% 20.69% 56.98% 22.43% 23.81% 51.27% 24.92% 28.54% 47.01% 24.45% 29.31% 48.34% 22.34% 32.54% 41.16% 26.30% 25.99% 44.98% 29.03% 28.35% 52.76% 18.18% Percent Owner Occupied 84.54% 85.88% 85.20% 84.33% 85.10% 86.50% 88.15% 87.71% 84.87% 83.59% Top Three Geographic Concentration (% UPB) Top Three Sellers (% UPB) California: 29.71% Texas: 6.84% Florida: 4.78% California: 31.15% Texas: 6.50% Colorado: 4.53% Wells Fargo: Wells Fargo: 12.23% 14.45% Quicken Quicken Loans: Loans: 6.33% 6.21% JPM JPM Chase:3.95% Chase:2.90 % California: 27.40% Texas:7.30% Florida: 5.10% Wells Fargo: 12.85% Quicken Loans: 5.07% Flagstar:3.45% California: 22.80% Texas: 7.60% Florida: 5.37% Wells Fargo: 12.10% Quicken Loans: 5.24% Flagstar: 2.82% California: 22.50% Texas: 7.20% Florida: 5.9% Wells Fargo: 13.51% Quicken Loans: 6.68% JPM Chase: 2.80% California: 25.75% Texas:7.26% Florida: 5.56% Wells Fargo: 13.83% Quicken Loans: 6.55% Flagstar: 3.44% California: 24.33% Texas:6.90% Florida: 4.81% Wells Fargo: 13.78% Quicken Loans: 5.98% JPM Chase: 3.36% California: 24.23% Texas: 6.44% Colorado: 5.02% Wells Fargo: 16.57% Quicken Loans: 7.24% JPM: 3.56% California: 21.78% Texas: 7.32% Florida: 5.79% Wells Fargo: 20.81% Quicken Loans: 6.86% SunTrust: 4.41% California: 21.76% Texas: 7.75% Washington: 4.82% Wells Fargo: 15.11% Quicken Loans: 6.78% JPM Chase: 5.59% 2017 Fannie Mae. Trademarks of Fannie Mae. 64

65 Appendix B: CAS Deal Summaries and comparisons Deal summaries & comparison Group C C C C C C C C07 Pricing Date 2/9/2016 2/12/2016 8/2/ /1/2016 3/15/2017 5/23/2017 8/15/ /14/2017 Pricing (1 Month LIBOR +) M1: 210 bps M2: 695 bps M1: 220 bps M2: 590 bps B: 1275 bps M1: 135 bps M2: 445 bps B: 1075 bps M1: 130 bps M2: 435 bps B: 950 bps M1: 115 bps M2: 365 bps 2B-1: 550 bps M1: 85 bps M2: 285 bps 2B-1: 505 bps M1: 75 bps M2: 280 bps 2B-1: 445 bps M1: 65 bps M2: 250 bps 1B-1: 445 bps Size M1: $113.2 mm M2: $195.4 mm M1: $241.2 mm M2: $482.4 mm B: $45 mm M1: $385.7 mm M2: $716.3 mm B: $100 mm M1: $192.5 mm M2: $449.2 mm B: $60 mm M1: $379.9 M2: $ B-1: $189.9 M1: $257.8 M2: $ B-1: $143.2 M1: $117.9 M2: $ B-1: $73.6 M1: $107.7 mm M2: $303.9 mm 1B-1: $63.3 mm Credit Enhancement M-1: 2.90% M-2: 1.00% M-1: 3.00% M-2: 1.00% B: 0% M-1: 3.00% M-2: 1.00% B: 0% M-1: 3.10% M-2: 1.00% B: 0% M-1: 3.00% M-2: 1.00% 2B-1: 0.50% M-1: 3.10% M-2: 1.00% 2B-1: 0.50% M-1: 3.45% M-2: 1.00% 2B-1: 0.50% M-1: 3.40% M-2: 1.00% 1B-1: 0.50% Minimum Credit Enhancement Test Credit enhancement greater than 4.75% Credit enhancement greater than 4.50% Credit enhancement greater than 4.50% Credit enhancement greater than 4.25% Credit enhancement greater than 4.25% Credit enhancement greater than 4.25% Credit enhancement greater than 4.50% Credit enhancement greater than 4.50% Vertical Slice Retained M-1:5.00% M-2: 5.00% M-1:5.00% M-2: 5.00% B: 82% M-1:5.00% M-2: 5.00% B: 82% M-1: 5% M-2: 5% B: 75% M-1: 5% M-2: 5% 2B-1: 5% M-1: 5% M-2: 5% 2B-1: 5% M-1: 5% M-2: 5% 2B-1: 5% M-1: 5% M-2: 5% 1B-1: 5% Ratings Moody's/KBRA M-1: Baa3(sf)/BBB(sf) M-2: Ba3(sf)/BB-(sf) B: Unrated Fitch/Kroll M-1: BBB-(sf) / BBB(sf) M-2: B(sf) / B+(sf) B: Unrated Fitch/KBRA M-1: BBB-(sf) / BBB(sf) M-2: B(sf) / B+(sf) B: Unrated Fitch/KBRA M-1: BBB -sf/bbb(sf) M-2: Bsf/B+(sf) B: Unrated Fitch/KBRA M-1: BBBsf/BBB(sf) M-2: Bsf/B+(sf) 2B-1: Unrated Fitch/KBRA M-1: BBBsf/BBB(sf) M-2: Bsf/B+(sf) 2B-1: Unrated Fitch/Kroll M-1: BBB sf/b+ (sf) M-2: Bsf/B+ (sf) 2B-1 Unrated Fitch/Kroll M-1: BBB-sf/BBB (sf) M-2: Bsf/B (sf) 1B-1: Unrated Lead/Co Lead JPM/Citi BAR/CS JPM/WF BAR/Citi JPM/BNP JPM/Citi BAR/MS BAML/NOM Acquisition Period Jan 2015/Feb 2015 Mar 2015/June 2015 July 2015/December 2015 Jan 2016/Apr 2016 May 2016/Sep 2016 Oct 2016/Dec 2016 January 2017/March 2017 April 2017/June 2017 Loan Count 80, , ,516 96, , ,573 66,489 56,296 UPB $19.0 BN $25.3 BN $38.7 BN $22.5 BN $39.9 BN $30.1 BN $15.5 BN $13.3 BN 2017 Fannie Mae. Trademarks of Fannie Mae. 65

66 Appendix B: CAS Deal Summaries and comparisons Deal summaries & comparison Group C C C C C C C C07 Avg Principal Balance $230,712 $234,814 $228,102 $232,722 $234,300 $240,129 $233,259 $236,843 Avg Gross Mortgage Rate 4.44% 4.06% 4.21% 4.13% 3.87% 3.73% 4.26% 4.39% Avg Remaining Term to Stated Maturity Weighted Avg Original Term 349 Months 350 months 352 months 353 months 354 months 355 months 356 months 356 months 360 Months 360 months 360 months 360 months 360 months 360 months 360 months 360 months Weighted Avg Loan Age 11 Months 10 months 8 months 7 months 6 months 4 months 4 months 4 months Avg Original LTV Ratio 91.63% 91.80% 92.15% 92.05% 92.13% 91.83% 92.21% 92.54% Avg Original CLTV Ratio 91.67% 91.90% 92.17% 92.07% 92.15% 91.85% 92.24% 92.57% Avg Debt-to-Income Ratio 34.91% 34.40% 34.72% 34.86% 34.59% 34.69% 35.62% 35.55% Credit Score Loan Purpose (% UPB) No cash-out refinance: Purchase: Cash-out refinance: 21.66% 75.23% 3.11% 23.65% 76.05% 0.30% 12.40% 87.58% 0.02% 16.17% 83.83% 14.75% 85.25% 19.91% 80.09% 14.04% 85.96% 7.54% 92.46% Percent Owner Occupied 96.88% 96.70% 96.14% 96.40% 96.60% 96.59% 96.09% 96.65% Top Three Geographic Concentration (% UPB) California: 12.79% Texas: 8.52% Florida: 5.61% California: 12.00% Texas: 8.20% Florida: 5.50% California: 10.51% Texas: 8.22% Florida: 5.73% California: 11.82% Texas: 8.63% Florida: 6.55% California: 11.22% Texas: 7.59% Florida: 5.65% California: 11.88% Texas: 6.91% Florida: 5.51% California: 11.16% Texas: 8.36% Florida: 6.56% California: 11.26% Texas: 7.58% Florida: 4.89% Top Three Sellers (% UPB) Wells Fargo: 17.52% Quicken Loans: 7.29% JPM Chase:3.39% Wells Fargo: 14.16% Quicken Loans: 5.81% JPM Chase:2.04% Wells Fargo: 15.21% Quicken Loans: 5.32% Franklin American:2.61% Wells Fargo: 15.31% Quick Loans: 5.78% Franklin American: 3.22% Wells Fargo: 17.77% Quicken Loans: 5.25% Franklin American: 2.24% Wells Fargo: 20.44% Quicken Loans: 5.49% JPM: 2.58% Wells Fargo: 18.09% JP Morgan: 4.98% Quicken Loans: 4.26% Wells Fargo: 18.67% JP Morgan: 4.57% Quicken Loans: 3.82% 2017 Fannie Mae. Trademarks of Fannie Mae. 66

67 Appendix C: Credit Risk Management Lender quality Lender approval process Fannie Mae conducts a comprehensive review of a prospective lender s financial condition and operational platform Lender must meet minimum net worth and capital requirements, along with having a comprehensive Quality Control (QC) program compliant with Fannie Mae guidelines Lender risk management Fannie Mae employs a dedicated team of Risk Managers across the country who provide hands-on engagement and conduct regular onsite visits. Risk Managers monitor lender performance and provide training and expertise to ensure compliance with Fannie Mae s corporate risk expectations Ongoing lender review process Ongoing and rigorous lender review process: Lender oversight team conducts ongoing comprehensive operational reviews to assess the effectiveness of a lender s QC procedures Annual on-site operational reviews conducted for all top lenders (covering approximately 60-70% of volume) and targeted reviews for higher risk lenders Counterparty Risk Management team monitors lender s ongoing financial strength Lenders undergo a rigorous approval process and continuous monitoring, designed to result in high loan quality and performance as well as reduced reliance on lender representations and warranties 2017 Fannie Mae. Trademarks of Fannie Mae. 67

68 Appendix C: Credit Risk Management Loan quality Credit policy Fannie Mae establishes underwriting and eligibility guidelines for loans sold to us and all lenders must comply with the requirements of Fannie Mae s Selling Guide Desktop Underwriter Fannie Mae s Desktop Underwriter (DU ) is the industry s most widely used automated underwriting system DU automates Fannie Mae s underwriting eligibility guidelines and credit policies, including the steps necessary to complete the processing of the loan file DU performs a comprehensive evaluation of each borrower s credit profile and other mortgage risk factors to arrive at an underwriting recommendation Collateral Underwriter Collateral Underwriter is a proprietary appraisal review application developed by Fannie Mae that performs an automated analysis of appraisals Used to identify appraisals with higher risk of property eligibility violations, overvaluation, and quality issues, along with driving QC review selection Leverages an extensive database of property records, sales transactions, market data, third-party data sources, and proprietary analytics models Provides risk messages related to property eligibility and policy compliance, data integrity, comparable selection, adjustments, and reconciliation Advanced data-driven analytics help to uncover poor practices, inconsistencies, and potential fraud across an appraiser s body of work, allowing for management of collateral risk issues at the appraiser level 2017 Fannie Mae. Trademarks of Fannie Mae. 68

69 Appendix C: Credit Risk Management Desktop Underwriter (DU) Fannie Mae s proprietary automated underwriting system that assists lenders in the underwriting of mortgage loans DU helps lenders make informed credit decisions; specifically: Evaluates mortgage delinquency risk and arrives at a risk assessment recommendation by relying on a comprehensive examination of the primary and contributory risk factors in a mortgage application Automates Fannie Mae s underwriting eligibility guidelines and credit policies for the mortgage industry, including listing the steps necessary for the lender to complete the processing of the loan file and providing objective analysis of mortgage loan applications Improves efficiency of the loan origination process and enables the efficient deployment of new policies and products to lenders In 2016, approximately 1,800 lenders used DU, and over 90% (1) of loans we acquired were evaluated through DU. (1) 2016 new acquisitions, excluding loans acquired under Fannie Mae s Refi Plus and HARP initiatives 6/1/ Fannie Mae. Trademarks of Fannie Mae. 69

70 Appendix C: Credit Risk Management Collateral Underwriter Fannie Mae s proprietary appraisal risk assessment tool, developed to support proactive management of appraisal quality Inclusive of over 24 million electronic appraisal records, receiving nearly 20,000 new appraisals per day 100% of the single-family and condo appraisals delivered to Fannie Mae are evaluated through CU Appraisal analysis Collateral Underwriter (CU ) Risk Score rates risk on a scale of 1-5 where 5 is highest risk. Appraisal quality flag notes potential issues with the appraiser s methodology. Overvaluation flag notes potentially unsupported appraised values. Messages provide specific feedback to lenders so that potential issues can be addressed prior to loan delivery to Fannie Mae Data integrity Helps to identify when an appraiser has reported potentially incorrect property or transaction characteristics. Compares specific data fields on the appraisal against previously reported data to identify discrepancies. Identifies inconsistencies within an appraiser s body of work and relative to peers. Comparable selection CU shows pertinent property and transaction characteristics for the subject and comparable properties. Appraiser-provided comparables are analyzed by CU and ranked against a pool of available sales based on physical characteristics, location, and sale date. Statistically-derived, market-specific adjustments for differences in physical features, time, and location are estimated by the model. Local Market Analytics Provides analytics like median sales price or price per square foot at a Census Block Group level. Overlays prior and current transactions of the subject property on a plot of market trends at the zip code level from the Fannie Mae Home Price Index. Advanced data-driven analytics help to uncover poor practices, inconsistencies, and potential fraud to drive a more targeted postpurchase QC process and better industry practices. 6/1/ Fannie Mae. Trademarks of Fannie Mae. 70

71 Appendix C: Credit Risk Management Loan quality Collateral Underwriter CU identifies appraisals with potential quality issues, overvaluation, and data discrepancies Fannie Mae. Trademarks of Fannie Mae. 71

72 Appendix C: Credit Risk Management Loan quality Quality reviews Loan quality reviews Fannie Mae holds lenders accountable for loan quality and actively enforces its contractual rights when a significant loan defect is uncovered Post-purchase loan file reviews are conducted to measure the quality of new acquisitions and target potential problem loans. Review selection includes: Random Sample: Statistically valid sample reviews ensure loans comply with our standards and establish a baseline defect rate Discretionary Reviews: 100% of acquisitions undergo automated data analysis tools, including Collateral Underwriter and an underwriting risk assessment tool, which drive discretionary reviews on loans with higher likelihood of a defect Non-performing loans: 100% of non-performing loans undergo a predictive model-driven analysis to select loans for in-depth review based on likelihood of defect and loss Analytical results are used to inform credit policy decisions, compare lender performance, and improve front-end QC models Fannie Mae s goal is to increase transparency to enable all parties to see and evaluate risk early in the loan origination process Fannie Mae. Trademarks of Fannie Mae. 72

73 Appendix C: Credit Risk Management Loan servicing quality Servicing policy Fannie Mae sets servicing compliance standards through its Servicing Guide, and acts as Master Servicer to provide guidance to, and oversight of loan servicers Servicers undergo a rigorous approval process and must demonstrate significant experience in both performing and delinquent loan servicing Servicer monitoring and performance management Performance Management: Servicing managers monitor servicer performance, working directly with them to manage Fannie Mae s portfolio of loans to minimize credit losses Performance Monitoring: Fannie Mae s Servicer Total Achievement and Rewards (STAR ) Program supports the industry by establishing a transparent framework to measure our servicing partners performance, consult on best practices, and create motivational incentives to improve performance Compliance Oversight: Servicer Quality and Risk reviews are designed to test a servicer s quality control processes and compliance with Fannie Mae guidelines through a combination of loan level and procedural compliance testing Fannie Mae sets standards for borrower outreach and timelines for delinquent loans and provides tools and assistance to help servicers meet these requirements Loss mitigation Fannie Mae s loss mitigation hierarchy is designed to provide the most appropriate workout option to a borrower while minimizing credit losses to Fannie Mae Servicing Management Default Underwriter (SMDU ) is Fannie Mae s proprietary loss mitigation platform used by servicers for real-time evaluation and decisioning of Fannie Mae loss mitigation programs Fannie Mae provides transparent guidelines and employs direct servicer oversight to monitor and manage performance and uphold high servicing standards Fannie Mae. Trademarks of Fannie Mae. 73

74 Appendix C: Credit Risk Management Borrower Outreach Efforts to Contact Borrower by Phone Day 36: No later than day 36, collection calls every five days until Quality Right Party Contact, Borrower Response Package received, or delinquency status resolved Day 210: Servicer must continue outbound contact attempts every 30 days for owner occupied primary residences per applicable law. For all other borrowers, servicer is authorized to continue outbound contact attempts until Quality Right Party Contact, Borrower Response Package received, or delinquency status is resolved Days 17: Payment reminder notice Efforts to Solicit Loss Mitgation by Mail Foreclosure Related Activities Day 45: Borrower Solicitation Package Day 60: Streamlined Modification Offer, borrowers who ve defaulted following a rate reset. Day 90: Streamlined Modification Offer, if eligible Day 121: Streamlined Modification Offer, if eligible Days 45-60: 1 st inspection Day 60: Breach letter Days : Pre-referral account review Days 121+: Referral to foreclosure if complete Borrower Response Package is not received Modification Related Activities When a Complete Borrower Response Package (BRP) Received Servicer has 30 days to evaluate borrower for a workout option and provide an Evaluation Notice to borrower within 5 days of decision Borrower may appeal a denial for modification within 14 days of receiving evaluation; the servicer then has an additional 30 days to review the appeal If granted modification, borrower enters in to Trial Period Plan which has a duration of 3-4 months depending on delinquency at start of trial 6/1/ Fannie Mae. Trademarks of Fannie Mae. 74

75 Appendix C: Credit Risk Management Property management and disposition Capabilities Fannie Mae manages all property dispositions in-house, leveraging our expertise and scale to maximize sales proceeds, control expenses, and reduce overall severity Full range of distressed real estate capabilities utilized for management of the industry s largest portfolio (Disposed of over 1.5 million homes since 2009) Employ a best execution disposition strategy comparing Net Present Value to our target execution: a non-distressed sale of a move-in ready home sold to an owner-occupant We leverage our extensive internal and external data to employ sophisticated decisioning tools at every step of the process Property valuation Property values are determined by an in-house team of Fannie Mae employees, including representatives in top markets throughout the country who provide market intelligence and re-inspect properties that have been already valued Fannie Mae leverages over 2,000 third party appraisers and seven national Broker Price Opinion (BPO) vendors to provide condition and value information Extensively trained in-house valuation reviewers leverage a suite of tools including appraisals, BPOs, automated valuation models (AVM) and Collateral Underwriter to determine values that drive the REO sales strategy REO sales Our 100% in-house REO sales teams oversee a 3,000 member nationwide real estate agent network strategically geographically dispersed based on volumes We employ a rigorous real estate agent selection and training process and ongoing monitoring against performance metrics We leverage our Homepath.com website, which provides comprehensive listing information and interior/exterior photos on our REO properties (average website traffic is 2.1 million visits from 1 million+ individuals monthly) Our non-distressed owner-occupant sales strategy helps to maximize sales proceeds, stabilize neighborhoods, and preserve value of our guaranty book 2017 Fannie Mae. Trademarks of Fannie Mae. 75

76 Appendix C: Credit Risk Management Property management and disposition (continued) Fannie Mae conducts and oversees property repairs on its REO inventory to maximize sales proceeds, increase financing options for buyers, and increase the likelihood of a sale to an owner occupant REO fulfillment Relocation assistance through the Cash for Keys program allows for reduced property management costs and shorter time-to-market on REO properties A sophisticated proprietary repair decision tool compares the expected financial benefits incurred by performing repairs to determine the best economic outcome for each property We leverage economies of scale through competitive bid contracts with national flooring vendors, appliance manufacturers, HVAC system providers and other suppliers Fannie Mae employs robust quality control through the entire disposition process, leveraging economies of scale via a network of 200+ contractors to maximize cost savings and efficiency in property maintenance and repairs Alternative disposition options Fannie Mae utilizes short sales and third party sales when beneficial on an NPV basis against our target REO sales execution In 2012, Fannie Mae brought short sales management in-house. Negotiating directly with the buyer s agent has resulted in annual severity cost savings and dramatically reduced timelines Investor/pool sales may be used for difficult to sell, lower value properties The property management and disposition process is focused on minimizing loss severities by maximizing sales prices and supporting neighborhood stabilization Fannie Mae. Trademarks of Fannie Mae. 76

77 Appendix C: Credit Risk Management HomePath and FirstLook HomePath is the branding used for all Fannie Mae properties and their sales transactions HomePath.com allows buyers and agents to search Fannie Mae s inventory of move-in ready foreclosed properties, access tools and resources, and get help with the buying process A convenient system allows users to search for properties based on specified criteria and submit an offer online Fannie Mae's innovative First Look marketing period was created to promote homeownership and contribute to neighborhood stabilization gives preference to owner-occupant buyers. Owner occupants generally pay more for properties and are positive contributors to neighborhood stabilization. 6/1/ Fannie Mae. Trademarks of Fannie Mae. 77