VALUATION SERVICES, LLC LIQUIDATION ANALYSIS OF FANNIE MAE AND FREDDIE MAC PREPARED FOR GSO CAPITAL PARTNERS

March 19, 2014

This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

LIMITATIONS OF REPORT / NO THIRD PARTY RELIANCE

This report (the Report) has been prepared at the request of GSO Capital Partners, LP (GSO) based on instructions given by GSO to Alvarez & Marsal Valuation Services, LLC (A&M). This Report and the information contained herein (the Information) may not be reproduced, distributed or referenced without the prior written consent of A&M. A&M assumes no duties or obligations to any recipient of this Report by virtue of their access hereto. The limiting conditions, assumptions and disclaimers set forth on this page and through the Report are an integral part of this Report, must be reviewed in conjunction herewith, and may not be modified or distributed separately. Limitations of Report This Report has been prepared at the request of GSO for discussion purposes only to assist GSO in considering issues related to Fannie Mae and Freddie Mac. This Report does not contain the entirety of the advice and/or analysis A&M has provided to GSO as it relates to Fannie Mae and/or Freddie Mac and does not purport to contain all necessary information that may be required to evaluate any entity or transaction, regardless of how pertinent or material such information may be. In preparation of this Report, A&M relied solely on publically available information that came into its possession and has not independently verified any of the underlying source data which provided a basis for the Information (or is included herein). Accordingly, A&M makes no representation or warranty as to the accuracy, reliability or completeness of the Information or assumptions on which it is based. In addition, it is possible that the conclusions and analyses set forth in the Report would change should A&M have access to nonpublic information. While the work related to this Report (the Engagement) may include an analysis of financial accounting data, it does not include an audit, compilation or review of any kind of any financial statements nor does it constitute an examination, compilation or agreed-upon procedures in accordance with standards established by the American Institute of Certified Public Accountants. Further, any references to estimated ranges of collateral values or cash flow recoveries included in this Report are not valuations of any kind. Rather, estimates included herein are based upon the limited public financial information that came into A&Ms possession (as well as various assumptions) and are provided for informational purposes only. There will be differences between estimated and actual results, because events and circumstances frequently do not occur as expected, and those differences may be material. Accordingly, no representation or warranty is made as to, and A&M takes no responsibility for, the achievability of the expected results described in this Report and A&M does not express any opinion or other form of assurance on the financial statements or financial components referenced or relied upon herein. This Report may be subject to further work, revision and other factors which may mean that such prior versions are substantially different from any final report or advice issued. A&M does not undertake any obligation to update or provide to any party any revisions to the Information to reflect events, circumstances or changes in expectations after the date such Information was derived, developed, reviewed or created by A&M. The Information does not constitute a recommendation as to what action, if any, any person should take with respect to any securities, nor does the Information constitute a recommendation regarding the accounting, tax, financial, legal or regulatory aspects of any proposed or possible structure of any transaction. No Third Party Reliance A&M is not responsible to any party, in any way, for the future financial or operational performance of Fannie Mae and Freddie Mac or any affiliated company. This Report and any related advice or Information is provided solely for the use and benefit of GSO and only in connection with the purpose in respect of which the services are provided. In no event, regardless of whether consent has been provided, shall A&M assume any responsibility, liability or duty of care to any person or entity other than GSO (Third Party) to which any Information is disclosed or otherwise made available. This Report does not necessarily take account of those matters or issues which might be of relevance to any Third Party, A&M has not considered any such matters or issues, and any Third Party is responsible for conducting its own investigation with respect to the Information and any related transactions or activities. A&M makes no representations or warranties, express or implied, to any Third Party on which any such party may rely with respect to the Information, including without limitation, as to accuracy or completeness, the inclusion or omission of any facts or information, or as to its suitability, sufficiency or appropriateness for the purposes of any such party. A&M Firm Alvarez & Marsal Valuations Services, LLC (A&M) and certain of its affiliates make up a part of a global consulting firm, however, this Report is solely a product of A&M and not of any affiliate of A&M (notwithstanding any such affiliates involvement in the matters relating hereto). 1 of 28
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METHODOLOGY & ASSUMPTIONS

VALUATION SERVICES, LLC

OVERVIEW - METHODOLOGY & ASSUMPTIONS

Objective The objective of this analysis is to estimate the possible cash flows of FNMA and FHLMC (the GSEs) assuming an orderly liquidation over ten years, and relying only on publicly available information based on the assumptions and methodology discussed herein.1 Summary of Methodology Deconsolidated the trusts to estimate stand-alone balance sheets for FNMA as of June 30, 2013 and FHLMC September 30, 2013. Projected future cash flows of the trusts in the ordinary course to estimate future guarantee fees to the GSEs and future purchases by the GSEs of loans in the trusts that become seriously delinquent (120 days past due). Projected cash flows from the retained investment and loan portfolios. Projected cash flows for short and long term debt. Estimated the liquidation value of remaining assets and the pay down of remaining debt at the end of year ten. Key Assumptions No future securitizations or guarantees. Existing securitizations have the guarantee of the US government and run off in the ordinary course until the final payment of the last loan. The debt of FNMA and FHLMC have the guarantee of the US government, including future short term borrowings for liquidity purposes. A generally stable economic environment characterized by moderate growth, a gradually improving housing market and increasing interest rates. No material change in the policies of each GSE. No cash income tax until later years as a result of the utilization of tax attribute carry forwards; alternatively calculated cash income taxes, using a Federal statutory rate of 35%. As a result of very limited visibility into each GSEs interest rate management, we were unable to model the use of derivatives in the cash flow projections. Reduction in current run rate operating expenses to reflect no new securitizations from day one, a reduction in workout costs to normalized levels over next three years and further cost reductions as each GSEs balance sheet shrinks. Any excess or deficit of cash flows from operating and investing activities versus contractual maturities of long term debt are assumed to pay down short term debt or invested in fed funds sold or, alternatively, funded by short term debt. Year ten haircuts applied to remaining portfolios of performing loans, TDR loans and loans purchased from the trusts. Transfer of administration of remaining trusts at the end of year ten to a third party. No large settlements of litigation announced since balance sheet dates reflected in future cash flows.
1We

note that this Report presents a summary of our analysis, methodology and assumptions. Though we have made an attempt to describe those assumptions that we deem significant and relevant to the discussion in connection with which this Report is presented, it is possible that assumptions that are not disclosed herein would be considered material and therefore important to a recipient hereof in assessing the utility and reliability of the analyses.

Future validation of stand-alone balance sheet and assumptions will be necessary once access to Fannie Mae and Freddie Mac non-public information becomes available.

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PROJECTION OF CASH FLOWS OF TRUSTS

Information from the June 2013 10Q for FNMA and the September 2013 10Q for FHLMC was relied on to model the cash flows of mortgage loans as follows:

Legacy Fixed New Singlefamily Legacy ARM New Mortgage Loans Legacy Fixed New Multifamily Legacy ARM New

Legacy Book (originations pre-2009) vs. New Book (originations 2009 and after). In order to project cash flows of the trusts, we started with the opening balances of the above buckets, calculated the contractual amortization, estimated prepayments and those loans which will become seriously delinquent (120 days past due) which are then purchased at par by each GSE, using assumptions as discussed in the following sections. We then projected guarantee fees by applying the guarantee fee (G Fee) assumptions, as discussed in the following sections, to the quarterly balances of the mortgage loans in the trusts.
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PROJECTION OF CASH FLOWS FROM SERIOUSLY DELINQUENT LOANS PURCHASED BY GSES AT PAR FROM THE TRUSTS
Loans are purchased from the trusts when they become seriously delinquent (120 days past due). In estimating loans which will become seriously delinquent in the trusts, we applied a delinquency factor of two times defaults. This factor was estimated by analyzing the relationship of foreclosures, short sales and deeds in lieu of foreclosure to total loans going through workouts, as disclosed in the SEC filings of both GSEs. Of the delinquent loans purchased from the trusts, we assume that one-half will default,* no interest will be collected for two years, and then a recovery (net of severity) will be realized. We assume that the other half of the delinquent loans purchased from the trusts that do not default will go through a workout for one year, during which no interest is collected, and then go through troubled debt restructuring (TDR) and earn interest at a lower rate per the restructured terms. Cash flows are projected on restructured loans utilizing the prepayment, default and severity assumptions discussed in the following sections. We assume that a certain percentage of the TDR loans (see chart below) will default the year after being restructured. The recovery (net of severity) on these loans is reflected in the cash flows at the end of the second year. For defaulted loans, the loss is determined by applying the severity assumptions discussed in the following sections. The losses are aggregated in accumulated severity, which reduces the amount of loans on the balance sheet.
2/3 FNMA 4/5 FHLMC

Performing TDR

Troubled Debt Restructuring

1/2

Delinquent Loans
1/2

1/3 FNMA 1/5 FHLMC

TDR Defaults after 1 Year

Default

Net of Loss Proceeds Realized in 2 Years

*Defaults are defined as loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, short sales, sales to third parties and deed in lieu of foreclosure.
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SINGLE-FAMILY PREPAYMENT ASSUMPTIONS

Year FNMA BASE New
HISTORICAL

FHLMC BASE New 18.97% 15.04% 11.19% 11.19%

10%

Legacy 27.75% 25.07% 20.91% 22.99%

19%

Legacy 27.20% 24.29% 19.52% 19.52%

18% 16% 15% 15% 15% 15% 15% 15% 15% 15%

Q2 2013* Q3 2013* Q4 2013* Remainder 2013

2014

18.30% 14.16% 10.91% 12.54%

10%

10% 2015 10% 17% 15% 10% 2016 10% 15% 10% 2017 10% 2018 10% 15% 10% 10% 15% 10% 2019 2020 10% 15% 10% 15% 10% 2021 10% 15% 10% 2022 10% 2023 10% 15% 10% * Source: Historical CPR is from Mortgage-Backed Securities Online based on FNMA/FHLMC factors.
We believe the Legacy Book will prepay faster than the New Book due to its higher origination interest rate.

We calculated historical prepayments from June 2013 to December 2013 for New Book and Legacy Book using vintage years data. Given the assumption of gradually increasing interest rates, we project a slight downward trend from the historical prepayments for both the Legacy Book and New Book. For multifamily we assume little to no prepayments due to yield-maintenance provisions, other prepayment fees and lock-out periods in multifamily loans.

PROJECTED

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SINGLE-FAMILY DEFAULT ASSUMPTIONS

FNMA SINGLE-FAMILY BASE SCENARIO Year 2008 2009 2010 2011 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 FY2013 Cumulative Defaults as of Q3/Q4 2013 Remainder 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
Total Projected Defaults

FHLMC SINGLE-FAMILY BASE SCENARIO New Book 0.00% 0.00% 0.00% 0.02% 0.07% 0.00% 0.02% 0.01% 0.03% 0.06% 0.15% 0.07% 0.11% 0.15% 0.20% 0.27% 0.35% 0.31% 0.28% 0.25% 0.23% 0.20% 2.42% Legacy Book N/A N/A N/A 1.16% 1.05% 0.24% 0.21% 0.21% N/A N/A 5.55% 0.86% 0.68% 0.54% 0.42% 0.33% 0.26% 0.21% 0.16% 0.13% 0.10% 0.08% 3.78% New Book N/A N/A N/A 0.03% 0.07% 0.02% 0.02% 0.03% N/A N/A N/A 0.11% 0.14% 0.15% 0.17% 0.19% 0.20% 0.18% 0.17% 0.15% 0.13% 0.12% 1.71%

Legacy Book 0.60% 1.00% 1.70% 1.50% 1.00% 0.20% 0.20% 0.30% 0.22% 0.92% 7.82% 0.90% 0.72% 0.57% 0.45% 0.36% 0.28% 0.23% 0.18% 0.14% 0.11% 0.09% 4.03%

Note: Defaults are defined as loan liquidation other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, short sales, sales to third parties and deed in lieu of foreclosure. We relied on cumulative defaults by vintage year, where available, to calculate annual historical defaults. For projected years, we continued to trend lower for the Legacy Book, as is normally the case given its stage of the default curve. For the New Book, we increased annual defaults to a peak in 2018 and then trended defaults lower, as is typical of a default curve. Historically, Fannie Mae has experienced higher defaults compared to Freddie Mac, which is the case for both the Legacy Book and New Book default assumptions.
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PROJECTED

HISTORICAL

MULTIFAMILY DEFAULT ASSUMPTIONS

BLEND Year 2009 2010 2011 2012 YTD Q3 2013 Remainder 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 0.28% 0.61% 0.53% 0.35% 0.26% 0.30% 0.29% 0.28% 0.25% 0.23% 0.21% 0.18% 0.17% 0.15% 0.13% 0.12% 0.40% 0.36% 0.32% 0.29% 0.26% 0.24% 0.21% 0.19% 0.17% 0.15% 0.14% 0.20% 0.22% 0.24% 0.22% 0.20% 0.18% 0.16% 0.14% 0.13% 0.12% 0.10% BASE CASE Legacy New

Fannie Mae multifamily historical annual default rates were calculated in a manner similar to single family defaults. Projected defaults for the Legacy Book are assumed to continue to trend down, while New Book defaults trend up to a peak in 2015 before trending down. We have very little visibility into the multifamily book of Freddie Mac. Consequently, we relied on Fannie Mae assumptions for Freddie Mac. (Note that multifamily is 5.2 percent and 4.2 percent of the total guarantee books of Fannie Mae and Freddie Mac, respectively).

PROJECTED

HISTORICAL

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SINGLE-FAMILY SEVERITY
FNMA SINGLE-FAMILY BASE SCENARIO Legacy Book New Book FHLMC SINGLE-FAMILY BASE SCENARIO Legacy Book

Year Q2 2012 Q3 2012 FY 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 FY 2013 Remainder 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

ALL 30.59% 29.83% 30.71% 27.18% 24.93% 22.16% N/A 24.22% 24.93%

ALL 37.90% 39.95% 39.05% 38.55% 36.15% 34.70% 34.15% N/A 34.70%

New Book

HISTORICAL

37.70% 34% 31% 27% 25% 22% 20% 20% 20% 20% 20%

19.88% 18% 16% 15% 15% 15% 15% 15% 15% 15% 15%

41.30% 37% 33% 30% 27% 24% 22% 20% 20% 20% 20%

32.26% 29% 26% 24% 21% 19% 17% 15% 15% 15% 15%

We expect the Legacy Book to experience a higher severity than the New Book due to differences in underwriting criteria and housing prices at the time of origination using the blended severity rate and the worst severity rate during the period from 2008 through 2011, we estimated severity rates for the Legacy Book and the New Book. Historically, Freddie Mac has experienced a higher severity rate than Fannie Mae. Severity rates trend down for both the Legacy Book and the New Book as a result of the assumption of a gradually improving housing market.

PROJECTED

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MULTIFAMILY SEVERITY
FNMA MULTI FAMILY BASE SCENARIO FHLMC MULTI FAMILY BASE SCENARIO New Book

HISTORICAL

Year FY 2012 Q1 2013 Q2 2013 Q3 2013 FY 2013 Remainder 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Legacy Book ALL 37.43% 34.49% 30.07% 21.00% 23.56% 22.00% 33% 31% 30% 28% 27% 26% 25% 25% 25% 25% 25%

Legacy Book

New Book

11% 10% 10% 9% 9% 9% 9% 9% 9% 9% 9%

32% 30% 29% 27% 26% 25% 25% 25% 25% 25% 25%

11% 11% 10% 10% 9% 9% 9% 9% 9% 9% 9%

The Fannie Mae Credit Supplement provides multifamily credit losses for the Legacy Book, which are three times that of the New Book, and the Legacy Book and New Books each approximate 50 percent of the multifamily portfolio. The Freddie Mac Loss Summary report of states that foreclosures prior to 2008 experienced a severity rate of 11 percent, which was applied to the New Book. Foreclosures after 2008 experienced a severity rate of 32 percent, which was applied to the Legacy Book. The severity rate is assumed to continue to trend down as a result of gradually rising multifamily housing prices.

PROJECTED

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GUARANTEE FEE ASSUMPTIONS

(in basis points) Total Single Family Legacy Book New Book Total Multifamily Legacy Book New Book Fannie Mae 32.4 30.9 33.2 56.3 39.1 72.2 Freddie Mac 30.6 22.7 34.0 30.3

In order to calculate the G Fee on the total single family Fannie Mae guarantee book, we relied on the effective G Fee of 35.8 basis points for the single family guarantee book, as disclosed in the Fannie Mae June 2013 10Q, and applied an adjustment for the portion of the G Fee to be paid to the U.S. Treasury. We relied on the single family effective G Fee from the 2008 10K for the Legacy Book and calculated the G Fee for New Book based on the percentage of New Book to total guarantee book. We calculated the G Fee for the Legacy Book and New Book of Freddie Mac using the G Fee by vintage years, as disclosed in the September 2013 10Q. We calculated the Fannie Mae multifamily G Fee assumptions in a manner similar to that applied to the single family G Fee for Fannie Mae, but relied on the effective G Fee rate for the total multifamily book of 58.4 basis points, as disclosed in the June 2013 10 Q. We relied on the effective G Fee of 30.8 basis points from the Freddie Mac September 2013 10Q, adjusted for our estimate to be paid to the U.S. Treasury, for the Freddie Mac New Book G Fee applicable to the multifamily book. A substantial portion of New Book are K Certificates (with loss sharing to third parties), which have a lower G Fee. We estimate the Legacy portion of the multifamily guarantee book is deminimis.

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PROJECTION OF CASH FLOWS FROM RETAINED LOAN AND INVESTMENT PORTFOLIOS

Cash flows from performing and TDR loans on the opening balance sheet are projected by calculating the contractual amortization and applying the prepayment, delinquency, default and severity assumptions previously discussed to the same buckets, where available. Interest income is projected relying on average yield information disclosed in SEC filings. For variable interest loans, the LIBOR forward curve was applied. For those TDR loans which we estimated had been restructured over the past year, additional severity was calculated for the portion of restructured loans that default within one year of restructuring. Cash flows from investments in agency MBS on the opening balance sheet are projected by calculating the contractual amortization and applying the prepayment assumptions previously discussed using the same buckets, where available. Interest income is projected relying on average yield information disclosed in SEC filings. We have very little visibility into non-agency investments in Alt-A, Subprime, and Option Arm securities, as well as CMBS. There is reference in the SEC filings to these investments being senior tranches. As a result, we have reflected these investments at the lower of cost or market value in the opening balance sheet (thereby reflecting any loss reserves recorded as of the balance sheet date) and applied conservative assumptions (see chart below), to opening balance sheet amounts in order to project cash flows. For variable interest securities, the LIBOR forward curve was applied. The losses resulting from applying severity assumptions on loan and non-agency investments are aggregated in accumulated severity, which reduces the amount of loans and investments on the balance sheet of each GSE.
Freddie Mac - Non-Agency Investment Assumptions Maturity Sept. 30 Balances (000's) (Alt-A, Subprime, Option ARMS) CMBS* 43,265 34,676 5.74% 3.20% 8.0 4.0 5.0% 0.0% 8.0% 3.0% 55.0% 30.0% WAC in Years Prepay Default Severity

Fannie Mae - Non-Agency Investment Assumptions Maturity June 30 Balances (000's) (Alt-A, Subprime, Option ARMS) CMBS* 24,138 17,435 5.40% 3.20% 8.0 4.0 5.0% 0.0% 8.0% 3.0% 50.0% 30.0% WAC in Years Prepay Default Severity

* CMBS are variable interest rate securities.

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PROJECTION OF CASH FLOWS USED FOR DEBT SERVICE

Long Term Debt We were able to obtain the details of the long term debt for FNMA and FHLMC at the security level from each GSEs website. This information included terms such as maturity date and interest rate. We modeled out the repayment of long term debt based on the contractual maturity date of each debt security. Long term debt includes fixed rate, variable rate, step interest and zero coupon securities. Interest expense was projected for each debt security in accordance with its contractual terms. For variable interest debt the LIBOR forward curve was used.

Short Term Debt Interest on short term debt has been 13 basis points, which approximates the fed funds rate. Interest expense on short term debt was projected using the fed funds forward curve.

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OTHER ASSUMPTIONS
Cash is reduced pro-rata as the balance sheet of each GSE shrinks. Non-performing loans, net of severity, calculated using Q2, 2013 total severity of 24.9 percent and Q3, 2013 total severity of 34.7 percent for FNMA and FHLMC, respectively, in the opening balance sheet is realized over the next three years. Other Real Estate Owned (OREO) property on the opening balance sheet is realized over the next three quarters. We have very little visibility into Other Assets net of Other Liabilities of $8.6 billion and $2.6 billion for FNMA and FHLMC, respectively. Consequently, we assumed they are realized equally over the next ten years. The historical run-rate of operating expenses for each GSE was reduced by one third of Salaries & Benefits, onehalf of professional services over the next three years, and then further reduced pro-rata as the balance sheet of each GSE shrinks.

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SUMMARY RESULTS
VALUATION SERVICES, LLC

PROJECTED CASH FLOWS

Based on our analysis, the ten year cash flows generated for each GSE are estimated as follows:
10 Year Total Cash Flows
(USD in millions)

Fannie Mae 2014 - 2023

Freddie Mac 2014 2023 $93,763 26,364 (38,460) (8,828) (1,564) $71,276 $132,917 35,011 297,228 (37,253) 23,488 2,630 $454,021 ($525,698) ($401)

Interest Income Guaranty Fees Interest Expense Administrative Expenses Cash Income Taxes Net Cash Flows from Operating Activities Principal Payments, Prepayments and Recoveries on Retained Loan Portfolio Recovery from NPLs and OREO Principal Payments, Prepayments and Recoveries (1) on Retained Investment Portfolio Purchases of Loans from MBS Trusts Principal Payments, Prepayments and Recoveries Related to MBS Trusts Realization of Other Assets / Liabilities Net Cash Flows From Investing Activities Net Cash Flows From Financing Activities (2) Net Increase (Decrease) in Cash (3)

$108,971 48,515 (49,534) (11,952) $95,999 $207,586 82,677 203,317 (77,331) 50,254 8,588 $475,091 ($563,637) $7,454

(1) Includes recoveries from non-agency investment securities. (2) Represents paydown of Long Term Debt, Short Term Debt and Dividends Payable. (3) Represents release of cash from cash and cash equivalents, restricted cash, loans held for sale and from fed funds sold / purchased.

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BALANCE SHEET
The following shows the change in the balance sheet of each GSE at the end of the ten year period:
Balance Sheet
(USD in millions)

Fannie Mae Jun 30, 2013 (1) $65,674 230,424 110,000 137,340 72,340 10,266 444 330,419 48,679 8,588 $683,784 10,243 102,799 500,441 $613,483 70,301 $683,784 Jun 30, 2023 $73,572 23,646 (2) 22,459 17,295 27,076 (12,064) 54,766 15,079 $167,064 49,846 $49,846 117,217 $167,064

Freddie Mac Sep 30, 2013 (1) $39,359 333,915 69,800 74,153 30,572 4,368 10,475 189,368 23,930 2,630 $589,202 30,436 136,030 379,638 $546,104 43,098 $589,202 Sep 30, 2023 $49,433 29,869 (2) 830 10,206 13,765 (6,263) 18,538 97,839 20,406 $20,406 77,433 $97,839

Cash, Cash Equivalents & Fed Funds Sold Retained Investment Portfolio Retained Loan Portfolio Retained TDR Loan Portfolio Non-Performing Loans (NPLs) Other Real Estate Loans (OREO) MBS Trusts Loans Held For Sale Accumulated Severity Mortgage Loans Deferred Tax Assets Other Assets Net Total Assets Dividend Payable Short Term Debt Long Term Debt Total Liabilities Total Equity Total Debt + Equity

(1) The opening balance sheet eliminates assets and liabilities identified as those of the consolidated trusts in the SEC filings of the GSEs and reflects adjustments made to (i) include accrued dividend paid to U.S. Treasury the next quarter (ii) reflect retained investment and loan portfolios per segment disclosures in SEC filings (iii) eliminate interest receivable and payable and restricted cash of unconsolidated trusts (iv) reflect nonperforming loans, net of severity of $23.03 billion and $16.2 billion calculated using Q2 2013 and Q3 2013 total severity of 24.93% and 34.7% for Fannie Mae and Freddie Mac, respectively and (v) reflect investment in non-agency securities at lower of cost or market. (2) Retained Investment Portfolio balance, net of severity of $3,461 million for Fannie Mae and $6,818 million for Freddie Mac in 2023. This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

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LIQUIDATION PROCEEDS
As previously discussed, our analysis assumed all cash flows generated through operating and investing activities were used to repay maturities of long term debt, repay short term debt and invest in fed funds sold. At the end of year ten, net assets are liquidated and the proceeds are used to repay remaining debt. The net liquidation proceeds for each GSE are as follows:

Year 2023 Liquidation Proceeds

(USD in millions)

Fannie Mae Book Value Liquidation Value $73,572 23,646 19,676 15,565 15,084 50,325 147,543 (49,954) (49,954) $97,589

Freddie Mac Book Value $49,433 29,869 10,077 8,460 18,538 Liquidation Value $49,433 29,869 9,069 7,614 16,684 95,986 (22,200) (22,200) $73,786

Cash, Cash Equivalents & Fed Funds Sold Investment in Securities Performing Loans Retained Portfolio: Conforming Loans (1) Performing Loans Retained Portfolio: TDR (2) MBS Trusts (2) Mortgage Loans Total Assets Short Term Debt Long Term Debt (3) Total Debt Net Liquidation Proceeds (4)

$73,572 23,646 20,711 17,295 16,760 54,766

(1) Liquidation Value represents a 5% discount to book value. (2) Liquidation Value represents a 10% discount to book value. (3) Includes additional zero coupon interest through 2023 of $107.9 million for Fannie Mae and $1,793 million for Freddie Mac (4) Net Liquidation Proceeds would be $61,429 million for Fannie Mae and $47,583 million for Freddie Mac if cash income taxes are applied, calculated at the 35% Federal statutory rate. 18 of 28
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Fannie Mae Supplemental Schedules

VALUATION SERVICES, LLC

GSO Capital Partners LP

Liquidation Analysis of Federal National Mortgage Association (Fannie Mae) Estimate of Fannie Mae Balance Sheet as of June 30, 2013 US$ in millions
Fannie Mae (Consolidated) Assets Cash And Cash Equivalents Restricted Cash Federal Funds Sold And Securities Purchased Under Agreements To Resell Or Similar Arrangements Investments In Securities Mortgage Loans Of Fannie Mae Of Consolidated Trust Acquired Property, Net Accrued Interest Receivable Deferred Tax Assets, Net Other Net Assets Total Assets Liabilities Accrued Dividends Accrued Interest Payable Debt Of Fannie Mae Of Consolidated Trust Total Liabilities Total Equity Total Liabilities & Equity $ $ 10,613 603,240 2,637,295 3,251,148 13,243 3,264,391 $ $ (8,275) (2,637,295) (2,645,570) (107,807) (2,753,377) $ $ 10,243 (2,338) 7,905 164,865 172,770 $ $ 10,243 603,240 613,483 70,301 683,784 $ 279,475 2,696,579 10,266 8,997 48,679 8,222 3,264,391 $ (2,696,579) (7,725) 366 (2,753,377) $ 40,678 (1,272) 172,770 $ 320,153 10,266 48,679 8,588 683,784 $ 24,718 53,930 37,800 95,725 $ (48,774) (665) $ (2,000) 135,364 $ 24,718 3,156 37,800 230,424 Remove Consolidated Trusts Other Adjustments (1)

Valuation Date: June 30, 2013 Page 1 of 1

Fannie Mae (Stand alone)

Footnotes: (1) Other adjustments made (i) to include accrued dividend paid to U.S. Treasury in Q3 2013 (ii) to reflect retained investment and loan portfolios per segment disclousures in SEC filings (iii) eliminate interest receivable and payable and restricted cash of unconsolidated trusts (iv) to reflect nonperforming loans, net of severity of $23.03 billion calculated using Q2 2013 severity of 24.93% (v) to reflect investment in non-agency securities at lower of cost or market.

20 of 28
This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

GSO Capital Partners LP

Liquidation Analysis of Federal National Mortgage Association (Fannie Mae) Entity Cash Inflows & Outflows Yearly Summary US$ in millions
LTM Jun 30, '14 Cash From Operations Interest Income Mortgage Loans - Performing Investment Securities Interest Income - TDR - Performing Total Interest Income $ 12,011 $ 8,941 20,952 10,158 $ 7,198 117 17,473 8,779 $ 5,888 307 14,974 7,630 $ 4,769 369 12,768 6,541 $ 3,816 406 10,763 5,508 $ 3,113 430 9,052 4,583 $ 2,534 447 7,564 3,757 $ 2,033 441 6,230 3,007 $ 1,637 422 5,066 2,387 1,347 395 4,129 LTM Jun 30, '15 LTM Jun 30, '16 LTM Jun 30, '17 LTM Jun 30, '18 LTM Jun 30, '19 LTM Jun 30, '20 LTM Jun 30, '21 LTM Jun 30, '22

Schedule 1
Valuation Date: June 30, 2013 Page 1 of 2
LTM Jun 30, '23 Total

64,360 41,276 3,334 108,971

Guaranty Fees Other fees Interest Expense Interest on Short Term Debt Interest on Long Term Debt Total Interest Expense Administrative Expenses Salaries and Benefits (1) Professional Services Fees (2) Occupancy Expenses Other Administrative Expenses Total Administrative Expenses Expenses Related to Derivatives Hedging Net Cash Flows from Operations Cash Taxes Net After-Tax Cash Flows from Operations (3) $

8,725 -

7,522 -

6,536 -

5,661 -

4,901 -

4,217 -

3,584 -

2,971 -

2,423 -

1,976 -

48,515 -

(129) (9,188) (9,317)

(57) (7,281) (7,338)

(6,819) (6,819)

(14) (5,804) (5,818)

(634) (3,992) (4,626)

(970) (3,234) (4,204)

(231) (2,915) (3,146)

(2,823) (2,823)

(2,751) (2,751)

(2,692) (2,692)

(2,035) (47,500) (49,534)

(1,132) (785) (165) (197) (2,278) 18,082 18,082 $

(996) (639) (137) (163) (1,936) 15,722 15,722 $

(861) (493) (110) (131) (1,596) 13,095 13,095 $

(734) (390) (92) (110) (1,326) 11,284 11,284 $

(640) (340) (80) (96) (1,156) 9,882 9,882 $

(557) (295) (70) (83) (1,005) 8,060 8,060 $

(476) (252) (60) (71) (859) 7,144 7,144 $

(398) (210) (50) (59) (716) 5,662 5,662 $

(326) (172) (41) (48) (586) 4,151 4,151 $

(280) (141) (33) (40) (494) 2,919 2,919 $

(6,400) (3,717) (837) (998) (11,952) 95,999 95,999

Footnotes:
(1) Salaries and Benefits are reduced by 33.33% over the first three years.

Starting in the fourth year, they are calculated as a percentage of the outstanding mortgage portfolio balance.
(2) Professional Services Fees are reduced by 50.00% over the first three years.

Starting in the fourth year, they are calculated as a percentage of the outstanding mortgage portfolio balance.
(3) Net After-Tax Cash Flows from Operations estimated to be $59,839 million for the 10-year period if cash taxes were calculated using 35% Federal Statutory rate.

21 of 28
This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

GSO Capital Partners LP

Liquidation Analysis of Federal National Mortgage Association (Fannie Mae) Entity Cash Inflows & Outflows Yearly Summary US$ in millions
LTM Jun 30, '14 Cash From Investing Pricipal Payments - Conforming Loans Contractual Prepayments Total Pricipal Payments - Conforming Loans Pricipal Payments - TDR Contractual Prepayments Total Pricipal Payments - TDR Recovery from Retained Portfolio Recovery from Default Recovery from TDR Total Recovery from Retained Portfolio Recovery from Non-Perfoming Loans (NPLs) Recovery from Other Real Estate Owned (OREO) Principal Payments and Prepayments of Investment Portfolio Fannie Mae MBS Trusts Purchase of loans from MBS Trusts Proceeds from recovery - Default Proceeds from recovery - TDR Principal Payments - TDR - Performing Principal Prepayments - TDR - Performing Net Outflow Related to MBS Trusts Proceeds from Sale of Other Net Assets Net Cash Flows from Investing $ (15,113) (15,113) 859 108,013 $ (11,656) 315 54 301 (10,986) 859 80,858 $ (9,856) 6,997 0 149 817 (1,893) 859 76,867 $ (8,949) 5,770 7 190 1,076 (1,905) 859 47,385 $ (8,644) 5,136 18 221 1,255 (2,014) 859 38,169 $ (7,510) 4,830 22 244 1,380 (1,034) 859 30,788 $ (5,685) 4,762 26 262 1,477 842 859 28,521 $ (4,279) 4,177 28 265 1,497 1,689 859 26,300 $ (3,218) 3,169 27 259 1,467 1,703 859 21,445 $ (2,421) 2,384 25 246 1,401 1,635 859 16,745 27,973 10,308 45,776 179 179 24,305 36,242 1,820 27 1,847 20,091 31,081 514 34 548 26,287 400 41 440 19,122 325 46 372 12,926 278 52 330 10,853 225 48 273 9,315 164 38 202 6,406 117 29 146 5,308 5,275 21,534 26,809 5,354 15,120 20,474 5,167 10,970 16,137 5,452 8,372 13,824 6,064 6,780 12,844 4,782 5,515 10,297 2,413 4,494 6,907 1,414 3,633 5,047 1,280 2,927 4,207 1,158 2,341 3,499 $ 1,768 $ 9,634 11,402 1,663 $ 8,122 9,785 1,561 $ 7,184 8,745 1,467 $ 6,305 7,772 1,383 $ 5,535 6,918 2,529 $ 4,839 7,369 4,518 $ 4,213 8,730 5,497 $ 3,621 9,118 4,965 $ 3,103 8,068 2,641 2,658 5,298 LTM Jun 30, '15 LTM Jun 30, '16 LTM Jun 30, '17 LTM Jun 30, '18 LTM Jun 30, '19 LTM Jun 30, '20 LTM Jun 30, '21 LTM Jun 30, '22

Schedule 1
Valuation Date: June 30, 2013 Page 2 of 2
LTM Jun 30, '23 Total

27,992 55,213 83,204

38,360 81,685 120,045

4,021 315 4,336 72,369 10,308 203,317

(77,331) 37,540 153 1,890 10,671 (27,076) 8,588 $ 475,091

Cash From Financing Long Term Debt Paydown Net Short Term Debt (4) Dividends Payable Net Cash Flows from Financing Release of Cash From Balance Sheet Cash and Cash Equivalents Restricted Cash Cash from Loans held for Sale Cash From Fed Funds Sold (Purchased) Release of Cash from Balance Sheet $ $ 4,589 $ 316 444 37,800 43,148 $ 3,460 $ 316 (8,188) (4,412) $ 3,419 $ 316 (4,699) (965) $ 2,140 $ 316 12,887 15,342 $ 1,726 $ 316 2,041 $ 1,391 $ 316 1,707 $ 1,282 $ 316 (6,173) (4,576) $ 1,165 $ 316 (28,960) (27,479) $ 941 $ 316 (24,734) (23,478) $ 729 316 (9,828) (8,783) $ $ 20,841 3,156 444 (31,895) (7,454) $ (76,827) (82,172) (10,243) (169,243) $ (92,168) $ (88,997) $ (74,011) $ (50,092) $ (40,555) $ (31,088) $ (4,484) $ (2,119) $ (10,880) $ (563,637) (71,541) (20,627) (88,997) (78,373) 4,362 (77,933) 27,841 (22,601) (17,954) (16,838) (14,250) (4,484) (2,119) (10,880) (450,595) (102,799)

Cash Distributions

- $

- $

- $

- $

- $

- $

- $

- $

- $

Footnotes:
(4) Includes $16.8 billion principal paydown of Short Term Debt in Q3'2013.

22 of 28

This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

GSO Capital Partners LP

Liquidation Analysis of Federal National Mortgage Association (Fannie Mae) Annual Balance Sheet US$ in millions

Schedule 2
Valuation Date: June 30, 2013 Page 1 of 1

Jun 30, '13 Assets Total Cash and Cash Equivalents (1) Federal Funds Sold and Securities Purchased Investments in Securities (2) Accumulated Severity Total Investments in Securities Mortgage Loans Performing Loans - Retained Portfolio: Conforming Loans Performing Loans - Retained Portfolio: TDR Non-Performing Loans (NPLs) (3) Fannie Mae MBS Trusts Loans Held For Sale Total Accumulated Severity Total Mortgage Loans Other Real Estate Loans (OREO) Deferred Tax Assets Other Assets - Net Total Assets Liabilities Dividend Payable (4) Short Term Debt Long-Term Debt Total Debt Total Liabilities $ 10,243 102,799 500,441 603,240 613,483 $ $ 110,000 137,340 72,369 444 320,153 10,266 48,679 8,588 683,784 $ $ 27,874 37,800 230,424 230,424 $

Jun 30, '14 22,970 $ 184,648 184,648

Jun 30, '15 19,194 $ 8,188 148,407 148,407

Jun 30, '16 15,460 $ 12,887 117,325 (1,038) 116,287

Jun 30, '17 13,004 $ 91,038 (1,840) 89,197

Jun 30, '18 10,963 $ 71,916 (2,439) 69,477

Jun 30, '19 9,256 $ 58,989 (2,858) 56,132

Jun 30, '20 7,659 $ 6,173 48,137 (3,138) 44,999

Jun 30, '21 6,179 $ 35,133 38,822 (3,321) 35,501

Jun 30, '22 4,922 $ 59,867 32,415 (3,424) 28,991

Jun 30, '23 3,877 69,695 27,107 (3,461) 23,646

98,598 110,531 44,396 15,113 268,639 42,350 7,729 526,336 $

88,634 90,057 20,091 26,099 (174) 224,707 36,848 6,870 444,214 $

78,043 73,919 27,992 (4,209) 175,745 32,265 6,012 358,655 $

69,723 60,095 29,897 (6,380) 153,336 28,315 5,153 289,005 $

62,365 47,251 31,911 (7,902) 133,625 24,857 4,294 243,216 $

54,624 36,955 32,945 (9,084) 115,439 22,036 3,435 206,298 $

45,564 30,048 32,103 (10,113) 97,602 19,535 2,576 178,545 $

36,173 25,001 30,414 (10,962) 80,626 17,554 1,718 176,710 $

27,904 20,794 28,711 (11,593) 65,816 16,101 859 176,555 $

22,459 17,295 27,076 (12,064) 54,766 15,079 167,064

- $ 20,627 423,614 444,240 444,240

- $ 352,073 352,073 352,073

- $ 263,075 263,075 263,075

- $ 4,362 184,702 189,064 189,064

- $ 32,203 106,769 138,972 138,972

- $ 14,250 84,167 98,417 98,417

- $ 67,329 67,329 67,329

- $ 62,845 62,845 62,845

- $ 60,727 60,727 60,727

49,846 49,846 49,846

Equity Total Debt + Equity Yearly Change in Total Assets $

70,301 683,784 $

82,096 526,336 $ -23.0%

92,141 444,214 $ -15.6%

95,579 358,655 $ -19.3%

99,941 289,005 $ -19.4%

104,243 243,216 $ -15.8%

107,881 206,298 $ -15.2%

111,216 178,545 $ -13.5%

113,864 176,710 $ -1.0%

115,829 176,555 $ -0.1%

117,217 167,064 -5.4%

Footnotes: (1) Includes Cash and Cash Equivalents and Restricted Cash. (2) Subprime, Alt-A and Option ARM securities balances are based on the lower of the cost or fair value of the securities. (3) Non-performing loans balance is net of allowance for loan losses estimated to be $24.03 billion based on a Q2 2013 severity rate of 24.93%. (4) Represents dividend payable to the U.S. Treasury in Q3 2013.

23 of 28
This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

Freddie Mac Supplemental Schedules

VALUATION SERVICES, LLC

GSO Capital Partners LP

Liquidation Analysis of Federal Home Loan Mortgage Corp (Freddie Mac) Estimate of Freddie Mac Balance Sheet as of September 30, 2013 US$ in millions
Freddie Mac (Consolidated) Assets Cash And Cash Equivalents Restricted Cash Federal Funds Sold And Securities Purchased Under Agreements To Resell Or Similar Arrangements Investments In Securities Mortgage Loans Of Freddie Mac Of Consolidated Trust Acquired Property, Net Accrued Interest Receivable Deferred Tax Assets, Net Other Net Assets Total Assets Liabilities Dividend Payable Accrued Interest Payable Debt Of Freddie Mac Of Consolidated Trust Total Liabilities Total Equity Total Liabilities & Equity $ 515,668 1,419,909 1,942,081 33,436 1,975,517 $ (1,561,379) (1,566,074) 15,193 (1,550,881) $ 141,470 170,097 (5,531) 164,566 $ $ 6,504 $ (4,695) $ 30,436 (1,809) $ 30,436 515,668 546,104 43,098 589,202 $ 160,691 1,528,803 1,689,494 4,368 6,340 23,930 2,630 1,975,517 $ (1,550,881) $ 164,566 $ (5,127) (1,213) (1,528,803) (1,528,803) 24,309 24,309 185,000 185,000 4,368 23,930 2,630 589,202 $ 9,532 5,755 41,023 192,445 $ (5,651) (11,300) 141,470 $ 9,532 104 29,723 333,915 Remove Consolidated Trusts Other Adjustments (1)

Valuation Date: September 30, 2013 Page 1 of 1

Freddie Mac (Stand alone)

Footnotes: (1) Other adjustments made (i) to include accrued dividend paid to U.S. Treasury in Q4 2013 (ii) to reflect retained investment and loan portfolios per segment disclousures in SEC filings (iii) eliminate interest receivable and payable and restricted cash of unconsolidated trusts (iv) to reflect non performing loans, net of severity of $16.2 billion calculated using Q3 2013 severity of 34.7% (v) to reflect investment in non-agency securities at lower of cost or market.

25 of 28
This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

GSO Capital Partners LP

Liquidation Analysis of Federal Home Loan Mortgage Corp (Freddie Mac) Entity Cash Inflows & Outflows Yearly Summary US$ in millions
LTM Sep 30, '14 Cash Flow From Operations Interest Income Mortgage Loans - Performing Investment Securities Interest Income - TDR - Performing Total Interest Income Guaranty Fees Other fees Interest Expense Interest on Short Term Debt Interest on Long Term Debt Total Interest Expense Administrative Expenses Salaries and Benefits (1) Professional Services Fees (2) Occupancy Expenses Other Administrative Expenses Total Administrative Expenses Net Cash Flows from Operations Cash Taxes Net After-Tax Cash Flows from Operations (3) Footnotes:
(1) Salaries and Benefits are reduced by 33.33% over the first three years.

Schedule 1
Valuation Date: September 30, 2013 Page 1 of 2
LTM Sep 30, '15 LTM Sep 30, '16 LTM Sep 30, '17 LTM Sep 30, '18 LTM Sep 30, '19 LTM Sep 30, '20 LTM Sep 30, '21 LTM Sep 30, '22 LTM Sep 30, '23 Total

6,914 $ 11,442 18,355 4,648 -

6,202 $ 9,274 58 15,534 4,035 -

5,732 $ 7,553 165 13,450 3,524 -

5,363 $ 5,950 214 11,526 3,063 -

4,986 $ 4,587 239 9,812 2,665 -

4,355 $ 3,664 250 8,269 2,298 -

3,381 $ 2,917 251 6,549 1,961 -

2,332 $ 2,233 243 4,808 1,647 -

1,301 $ 1,708 229 3,237 1,374 -

620 1,390 211 2,221 1,150 -

41,186 50,717 1,860 93,763 26,364 -

(284) (6,375) (6,659)

(453) (5,791) (6,244)

(958) (4,828) (5,786)

(1,645) (3,439) (5,084)

(2,251) (2,409) (4,660)

(1,987) (1,785) (3,772)

(1,268) (1,485) (2,753)

(155) (1,263) (1,417)

(1,129) (1,129)

(955) (955)

(9,001) (29,459) (38,460)

(771) (516) (52) (335) (1,673) 14,671 $ 14,671 $

(679) (420) (46) (297) (1,441) 11,883 11,883 $

(587) (324) (40) (260) (1,211) 9,978 9,978 $

(520) (271) (36) (231) (1,057) 8,447 8,447 $

(476) (248) (33) (211) (968) 6,849 6,849 $

(412) (215) (28) (183) (838) 5,957 5,957 $

(325) (169) (22) (144) (661) 5,097 5,097 $

(233) (122) (16) (104) (475) 4,563 4,563 $

(148) (77) (10) (65) (300) 3,182 (790) 2,392 $

(102) (53) (6) (41) (204) 2,212 (774) 1,438 $

(4,251) (2,416) (291) (1,870) (8,828) 72,840 (1,564) 71,276

Starting in the fourth year, they are calculated as a percentage of the average outstanding mortgage portfolio balance.
(2) Professional Services Fees are reduced by 50.00% over the first three years.

Starting in the fourth year, they are calculated as a percentage of the average outstanding mortgage portfolio balance.
(3) Net After-Tax Cash Flows from Operations estimated to be $45,073 million for the 10-year period if cash taxes were calculated using 35% Federal Statutory rate.

26 of 28
This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

GSO Capital Partners LP

Liquidation Analysis of Federal Home Loan Mortgage Corp (Freddie Mac) Entity Cash Inflows & Outflows Yearly Summary US$ in millions
LTM Sep 30, '14 Cash Flow From Investing Principal Payments - Conforming Loans Contractual Prepayments Total Principal Payments - Conforming Loans Principal Payments - TDR Contractual Prepayments Total Principal Payments - TDR Recovery from Retained Portfolio Recovery from Default Recovery from TDR Total Recovery from Retained Portfolio Recovery from Non-Performing Loans (NPLs) Recovery from Other Real Estate Owned (OREO) Principal Payments and Prepayments of Investment Portfolio Freddie Mac MBS Trusts Purchase of loans from MBS Trusts Proceeds from recovery - Default Proceeds from recovery - TDR Principal Payments - TDR - Performing Principal Prepayments - TDR - Performing Net Outflow Related to MBS Trusts Proceeds from Sale of Other Net Assets Net Cash Flows from Investing $ (8,684) (8,684) 263 91,090 $ (6,661) 130 32 186 (6,313) 263 67,222 $ (5,288) 3,366 0 96 557 (1,269) 263 64,176 $ (4,336) 2,737 4 133 761 (702) 263 48,377 $ (3,680) 2,279 11 156 874 (361) 263 38,449 $ (2,861) 1,946 13 171 927 195 263 35,856 $ (2,138) 1,700 13 178 944 699 263 35,304 $ (1,580) 1,345 13 177 919 874 263 34,984 $ (1,164) 1,020 12 171 874 912 263 25,052 $ (861) 758 10 160 816 883 263 13,511 11,851 4,439 67,379 129 129 10,141 51,030 1,056 18 1,073 8,580 45,873 336 20 356 40,306 256 19 275 27,835 197 17 214 18,749 146 15 161 15,667 99 12 111 14,674 61 9 69 8,624 31 5 36 7,091 2,368 12,143 14,511 2,076 8,666 10,742 1,872 6,625 8,497 1,740 5,326 7,066 1,555 4,340 5,895 1,314 3,522 4,837 1,161 2,853 4,014 1,049 2,283 3,332 946 1,820 2,765 852 1,437 2,288 $ 118 $ 1,213 1,331 111 $ 1,119 1,230 105 $ 1,053 1,158 99 $ 989 1,088 3,627 $ 915 4,542 10,811 $ 788 11,598 13,887 $ 612 14,499 15,305 $ 424 15,730 12,165 $ 253 12,418 2,791 159 2,950 LTM Sep 30, '15 LTM Sep 30, '16 LTM Sep 30, '17 LTM Sep 30, '18 LTM Sep 30, '19 LTM Sep 30, '20 LTM Sep 30, '21 LTM Sep 30, '22 LTM Sep 30, '23

Schedule 1
Valuation Date: September 30, 2013 Page 2 of 2
Total

59,019 7,526 66,545

14,933 49,014 63,947

2,311 114 2,426 30,572 4,439 297,228

(37,253) 15,280 75 1,274 6,859 (13,765) 2,630 $ 454,021

Cash From Financing Long Term Debt Paydown (4) Net Short Term Debt Dividends Paid Net Cash Flows from Financing Release of Cash From Balance Sheet Cash and Cash Equivalents Restricted Cash Cash from Loans held for Sale Cash From Fed Funds Sold (Purchased) Release of Cash from Balance Sheet $ $ 1,849 $ 10 10,475 29,723 42,057 $ 1,238 $ 10 1,248 $ 1,213 $ 10 1,224 $ 912 $ 10 922 $ 723 $ 10 734 $ 669 $ 10 679 $ 651 $ 10 661 $ 640 $ 10 (22,389) (21,739) $ 444 $ 10 (18,691) (18,237) $ 237 10 (7,395) (7,148) $ $ 8,575 104 10,475 (18,753) 401 $ (70,847) (46,536) (30,436) (147,818) $ (79,251) (1,103) (80,354) $ (61,227) (14,151) (75,377) $ (58,176) 429 (57,747) $ (36,137) (9,895) (46,032) $ (19,538) (22,954) (42,492) $ (15,120) (25,942) (41,062) $ (1,930) (15,878) (17,808) $ (9,207) (9,207) $ (7,801) (7,801) $ (359,232) (136,030) (30,436) (525,698)

Cash Distributions

Footnotes:
(4) Includes $1.3 billion long term debt paid in Q3'2013.

This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.

27 of 28

GSO Capital Partners LP

Liquidation Analysis of Federal Home Loan Mortgage Corp (Freddie Mac) Annual Balance Sheet US$ in millions

Schedule 2
Valuation Date: September 30, 2013 Page 1 of 1

Sep 30, '13 Assets Total Cash and Cash Equivalents (1) Federal Funds Sold and Securities Purchased Investments in Securities (2) Accumulated Severity Total Investments in Securities Mortgage Loans Performing Loans - Retained Portfolio: Conforming Loans Performing Loans - Retained Portfolio: TDR Non-Performing Loans (NPLs) (3) Freddie Mac MBS Trusts Loans Held For Sale Total Accumulated Severity Total Mortgage Loans Other Real Estate Loans (OREO) Deferred Tax Assets Other Assets - Net Total Assets Liabilities Dividend Payable (4) Short Term Debt Long-Term Debt Total Debt $ $ 30,436 136,030 379,638 515,668 $ $ $ 69,800 74,153 30,572 10,475 185,000 4,368 23,930 2,630 589,202 $ $ 9,636 29,723 333,915 333,915 $

Sep 30, '14 7,777 $ 266,536 266,536

Sep 30, '15 6,529 $ 215,506 215,506

Sep 30, '16 5,305 $ 169,633 (2,054) 167,578

Sep 30, '17 4,383 $ 129,327 (3,639) 125,688

Sep 30, '18 3,649 $ 101,492 (4,819) 96,672

Sep 30, '19 2,970 $ 82,743 (5,643) 77,100

Sep 30, '20 2,309 $ 67,076 (6,192) 60,884

Sep 30, '21 1,659 $ 22,389 52,402 (6,549) 45,853

Sep 30, '22 1,205 $ 41,081 43,778 (6,749) 37,029

Sep 30, '23 957 48,476 36,687 (6,818) 29,869

68,469 59,642 18,721 8,684 155,516 18,795 2,367 450,991 $

67,109 48,900 8,580 14,997 (33) 139,554 14,636 2,104 378,328 $

64,878 40,403 16,266 (2,342) 119,204 11,144 1,841 305,073 $

63,434 33,337 16,968 (3,614) 110,125 8,187 1,578 249,961 $

58,617 27,442 17,329 (4,489) 98,898 5,790 1,315 206,325 $

46,805 22,605 17,133 (5,113) 81,430 3,705 1,052 166,257 $

32,144 18,591 16,434 (5,576) 61,594 1,921 789 127,497 $

16,303 15,259 15,560 (5,896) 41,226 324 526 111,977 $

3,816 12,494 14,648 (6,112) 24,845 263 104,423 $

830 10,206 13,765 (6,263) 18,538 97,839

- $ 89,494 308,791 398,286 $

- $ 88,391 229,541 317,932 $

- $ 74,240 168,314 242,554 $

- $ 74,669 110,138 184,807 $

- $ 64,774 74,002 138,776 $

- $ 41,820 54,464 96,284 $

- $ 15,878 39,343 55,222 $

- $ 37,414 37,414 $

- $ 28,207 28,207 $

20,406 20,406

Total Liabilities Equity Total Debt + Equity Yearly Change in Total Assets

$ $ $

546,104 43,098 589,202

$ $ $

398,286 $ 52,706 $ 450,991 $ -23.5%

317,932 $ 60,397 $ 378,328 $ -16.1%

242,554 $ 62,518 $ 305,073 $ -19.4%

184,807 $ 65,153 $ 249,961 $ -18.1%

138,776 $ 67,549 $ 206,325 $ -17.5%

96,284 $ 69,973 $ 166,257 $ -19.4%

55,222 $ 72,275 $ 127,497 $ -23.3%

37,414 $ 74,563 $ 111,977 $ -12.2%

28,207 $ 76,216 $ 104,423 $ -6.7%

20,406 77,433 97,839 -6.3%

Footnotes: (1) Includes Cash and Cash Equivalents and Restricted Cash. (2) Subprime, Alt-A and Option ARM securities balances are based on the lower of the cost or fair value of the securities. (3) Non-performing loans balance net of allowance for loan losses estimated to be $16.2 billion based on a Q3 2013 severity rate of 34.7%. (4) Represents dividend payable to the U.S.Treasury in Q4 2013.

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This Report should be reviewed in its entirety. The information set forth on page 1 of this Report entitled Limitations of Report/No Third Party Reliance is an integral part of this Report.