© 2021 Fannie Mae 

DRAFT

Financial Supplement 

Q1 2021

April 30, 2021
© 2021 Fannie Mae Q1 2021 Financial Supplement 2

DRAFT

▪ Some of the terms and other information in this presentation are defined and discussed more fully in Fannie Mae's Form 10-Q for the quarter ended March 31, 2021

(“Q1 2021 Form 10-Q”) and Form 10-K for year ended December 31, 2020 ("2020 Form 10-K"). This presentation should be reviewed together with the Q1 2021 

Form 10-Q and the 2020 Form 10-K, which are available at www.fanniemae.com in the “About Us—Investor Relations—SEC Filings” section. Information on or 

available through the company's website is not part of this supplement.

▪ Forward-Looking Statements: In this Financial Supplement, the company has presented forward-looking statements, including statements regarding the 

company's financial and business results, and mortgage market and economic conditions. Actual outcomes could be materially different from what is set forth in 

these forward-looking statements due to a variety of factors, including those described in "Forward-Looking Statements" and "Risk Factors" in the company's First 

Quarter 2021 Form 10-Q and its 2020 Form 10-K.

▪ Some of the information in this presentation is based upon information from third-party sources such as sellers and servicers of mortgage loans. Although Fannie 

Mae generally considers this information reliable, Fannie Mae does not independently verify all reported information. 

▪ Due to rounding, amounts reported in this presentation may not sum to totals indicated (i.e. 100%), or amounts shown as 100% may not reflect the entire population.

▪ Unless otherwise indicated "Q1 YTD 2021" data is as of March 31, 2021 or for the first three months of 2021. Data for prior years is as of December 31 or for the full 

year indicated.

▪ Note references are to endnotes, appearing on pages 26 to 30. 

▪ Terms used in presentation

CAS: Connecticut Avenue Securities®

CIRTTM: Credit Insurance Risk TransferTM

CRT: Credit risk transfer 

DSCR: Weighted-average debt service coverage ratio

DTI ratio: Debt-to-income (“DTI”) ratio refers to the ratio of a borrower’s outstanding debt obligations (including both mortgage debt and certain other long-term and 

significant short-term debts) to that borrower’s reported or calculated monthly income, to the extent the income is used to qualify for the mortgage

DUS®: Fannie Mae’s Delegated Underwriting and Servicing program

FHFA: The Federal Housing Finance Agency

HARP®: Home Affordable Refinance Program®, registered trademarks of the Federal Housing Finance Agency, which allowed eligible Fannie Mae borrowers with 

high LTV ratio loans to refinance into more sustainable loans

LTV ratio: Loan-to-value ratio

MSA: Metropolitan statistical area

MTMLTV ratio: Mark-to-market loan-to-value ratio, which refers to the current unpaid principal balance of a loan at period end, divided by the estimated current 

home price at period end

OLTV ratio: Origination loan-to-value ratio, which refers to the unpaid principal balance of a loan at the time of origination of the loan, divided by the home price at 

origination of the loan

Refi PlusTM: Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers

REO: Real estate owned by Fannie Mae because it has foreclosed on the property or obtained the property through a deed-in-lieu of foreclosure

TCCA: Temporary Payroll Tax Cut Continuation Act of 2011

UPB: Unpaid principal balance
© 2021 Fannie Mae Q1 2021 Financial Supplement 3

DRAFT Table of Contents

Overview

Corporate Financial Highlights 5

Guaranty Book of Business Highlights 6

Single-Family Credit Characteristics 7

Multifamily Credit Characteristics 8

Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance 9

Portfolio, Capital and Liquidity Management 10

Key Market Economic Indicators 11

Single-Family Business

Single-Family Highlights 13

Credit Characteristics of Single-Family Conventional Loan Acquisitions 14

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 15

Single-Family Credit Risk Transfer 16

Single-Family Conventional Guaranty Book of Business in Forbearance 17

Single-Family Problem Loan Statistics 18

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 19

Single-Family Cumulative Default Rates 20

Multifamily Business

Multifamily Highlights 22

Credit Characteristics of Multifamily Loan Acquisitions 23

Credit Characteristics of Multifamily Guaranty Book of Business 24

Multifamily Serious Delinquency Rates and Credit Losses 25

Endnotes

Endnotes 27
© 2021 Fannie Mae 

DRAFT

Overview
© 2021 Fannie Mae Q1 2021 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) Q1 2021 Q4 2020 Variance Q1 2020 Variance

Net interest income(1) $6,742 $7,086 $(344) $5,347 $1,395

Fee and other income 87 159 (72) 120 (33)

Net revenues 6,829 7,245 (416) 5,467 1,362

Investment gains (losses), net 45 263 (218) (158) 203

Fair value gains (losses), net 784 (880) 1,664 (276) 1,060

Administrative expenses (748) (803) 55 (749) 1

Credit-related income (expense) 770 1,400 (630) (2,663) 3,433

TCCA fees (731) (697) (34) (637) (94)

Other expenses, net (634) (819) 185 (406) (228)

Income before federal income taxes 6,315 5,709 606 578 5,737

Provision for federal income taxes (1,322) (1,139) (183) (117) (1,205)

Net income $4,993 $4,570 $423 $461 $4,532

Total comprehensive income $4,966 $4,566 $400 $476 $4,490

Net worth $30,225 $25,259 $4,966 $13,945 $16,280

Net worth ratio(27) 0.7 % 0.6 % 0.4 %

Summary of Q1 2021 Financial Results Q1 Key Highlights

$5.0 billion first quarter 2021 net income, 

with net worth reaching $30.2 billion

as of March 31, 2021

Fair value gains (losses)

• Largest driver of the $423 million increase in net 

income compared with the prior quarter was a 

$1.7 billion shift from $880 million fair value 

losses in the fourth quarter of 2020 to 

$784 million fair value gains in the first quarter of 

2021. The shift from fair value losses in the prior 

quarter to fair value gains in the first quarter of 

2021 resulted largely from the company’s 

implementation of hedge accounting in January 

2021.

Partially offset by:

Credit-related income

• Decreased by $630 million in the first quarter of 

2021 compared with the fourth quarter of 2020. 

Credit-related income in the first quarter of 2021 

was primarily driven by higher actual and 

forecasted home prices, partially offset by higher 

actual and projected interest rates.

Net interest income

• Decreased by $344 million in the first quarter of 

2021 compared with the fourth quarter of 2020 

driven primarily by a decrease in net amortization 

income due to lower levels of single-family 

mortgage loan prepayment activity in the first 

quarter of 2021.The company expects that lower 

levels of refinancing in the future will likely result 

in fewer loan prepayments leading to lower 

amortization income in any one period as loans 

remain outstanding for longer.
© 2021 Fannie Mae Q1 2021 Financial Supplement 6

DRAFT

UPB

(Dollars in trillions)

Average Gfee (in bps)

$3.0 $3.1 $3.1 $3.2 $3.3 $0.3 $0.4 $0.4 $0.4 $0.4

43.8 44.2 44.4 44.5 44.9

71.9 72.3 73.3 74.5 75.9

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0.0

$1.0

$2.0

$3.0

$4.0

0

25

50

75

Guaranty Book of Business Highlights 

Outstanding Conventional Guaranty 

Book of Business at Period End Highlights

UPB (Dollars in billions)

Refinancings as a %

of SF Acquisitions

$570 $512

$666

$1,435

$422

$66 $65 $70 $76

$223 $156 $283

$948

$301

$281 $291

$313

$411

$99

2017 2018 2019 2020 Q1

YTD

2021

$0

$500

$1,000

$1,500

30%

45%

60%

75%

90%

Single-Family Home Purchases Multifamily Rental Units

Single-Family Refinancings Refinancings as % of SF Acquisitions

Market Liquidity Provided

UPB outstanding of single-family conventional 

guaranty book(2)

UPB outstanding of multifamily guaranty book of 

business(3)

Average charged guaranty fee on single-family 

conventional guaranty book, net of TCCA (bps)(4)

Average charged guaranty fee on multifamily 

guaranty book of business (bps)

Total liquidity provided in the first quarter of 2021 was $422 billion

Unpaid Principal Balance Units

$99B 340K

Single-Family Home Purchases

$301B 1.1M

Single-Family Refinancings

$22B 217K

Multifamily Rental Units

• Fannie Mae provided $422 billion in total liquidity in the first 

quarter of 2021, which continues to represent historically 

high volumes.

• Refinancings continued to drive acquisition volumes with 

1.1 million single-family refinance loans delivered in the first 

quarter of 2021 due to the continued low rate environment. 

The company anticipates that refinancing activity will begin 

to slow in the second half of 2021 as it expects interest rates 

will likely rise.

• The company's whole loan conduit continued to provide 

liquidity to primarily support small- to medium-sized lenders 

with $211 billion in acquisitions during the first quarter of 

2021.

• Average charged guaranty fee continued to increase for both 

our single-family and multifamily segments.
© 2021 Fannie Mae Q1 2021 Financial Supplement 7

DRAFT

Single-Family Credit Characteristics 

Credit Ratios Highlights

Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT

Weighted-Average FICO Credit Score

We

745 746 746 750 751ighted-Average MTMLTV

58% 57% 57% 58% 57%

2017 2018 2019 2020 Q1 YTD

2021

0

170

340

510

680

850

0

10

20

30

40

50

60

Weighted-Average MTMLTV Ratio(5)

Weighted-Average FICO Credit Score(6)

Serious Delinquency Rate

Credit Loss (Benefit) Ratio

(in bps)

1.7bps

0.6bps

1.2bps

(0.1)bps *—bps

0.66%

2.65%

3.20%

2.87%

2.58%

0.66% 0.59% 0.65% 0.66% 0.66%

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

0%

1%

2%

3%

4%

(3)bps

(2)bps

(1)bps

0bps

1bps

2bps

3bps

4bps

UPB

(Dollars in billions)

$927

$1,143

$1,341

$955

$822

32%

39%

46%

30%

25%

2017 2018 2019 2020 Q1 YTD

2021

$0

$500

$1,000

$1,500

0%

20%

40%

% Single-family conventional guaranty book in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(7)

Serious Delinquency ("SDQ")(8) Rate 

SDQ Rate excluding loans in forbearance

Credit Loss (Benefit) Ratio(9)

*

Represents less than 0.05 basis points

• The credit characteristics of the single-family conventional 

guaranty book of business remained strong in the first quarter of 

2021 with a weighted-average MTMLTV ratio of 57% and 

weighted-average FICO credit score of 751.

• The company has not entered into any new credit risk transfer 

transactions since Q1 2020 as it continues to evaluate their costs 

and benefits, including a reduction in the capital relief these 

transactions provide under FHFA's enterprise regulatory capital 

framework. As a result, the percentage of the single-family 

conventional guaranty book of business covered by CRT declined 

to 25% as of March 31, 2021. 

• The single-family SDQ rate decreased compared with December 

31, 2020 due to the on-going economic recovery and the decline 

in the number of the company’s single-family loans in a COVID-19 

forbearance plan. The single-family SDQ rate excluding loans in 

forbearance remained flat at 0.66%.
© 2021 Fannie Mae Q1 2021 Financial Supplement 8

DRAFT

Multifamily Credit Characteristics 

Credit Ratios Highlights

 Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT

Weighted-Average DSCR

Weighted-Average OLTV Ratio

2.1

2.0 1.92.0

2.1

67% 66% 66% 66% 66%

2017 2018 2019 2020 Q1 YTD

2021

0.0

1.0

2.0

0

10

20

30

40

50

60

70

Weighted-Average DSCR(10) Weighted-Average OLTV Ratio

Serious Delinquent Rate

Credit Loss (Benefit) Ratio, 

Net (in bps)

1.00%

1.12%

0.98%

0.66%

0.05% 0.04% 0.03% 0.03%

2.1bps

0.6bps

7.4bps

1.2bps

3.1bps

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

0.0%

0.3%

0.5%

0.8%

1.0%

1.3%

1.5%

0bps

2bps

4bps

6bps

8bps

10bps

12bps

UPB

(Dollars in billions)

$17

$37

$84

$101 $100

6%

12%

25%

26% 25%

2017 2018 2019 2020 Q1 YTD

2021

$0

$50

$100

0%

10%

20%

30%

Outstanding UPB of Multifamily loans in a CRT transaction

% Multifamily guaranty book in a CRT transaction

SDQ Rate(11)

SDQ Rate excluding loans in forbearance

Credit Loss (Benefit) Ratio, Net(12)

• The credit characteristics of the multifamily guaranty book of 

business remained strong in Q1 2021 with a weighted-average 

OLTV ratio of 66% and weighted-average DSCR of 2.1.

• As of March 31, 2021, substantially all of the multifamily guaranty 

book of business was covered by DUS loss sharing. Additionally, 

25% had back-end coverage through the company's CRT 

programs.

• The multifamily SDQ rate continued to decrease in Q1 2021, 

primarily driven by loans that received forbearance that are now in 

a forbearance repayment plan or have been modified or otherwise 

reinstated. The multifamily SDQ rate excluding loans in 

forbearance remained flat in Q1 2021. 0.09%
© 2021 Fannie Mae Q1 2021 Financial Supplement 9

DRAFT

Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance

Single-Family Delinquency Status of 

Loans in Forbearance(13)

Multifamily Delinquency Status of 

Loans in Forbearance(13)

UPB

(Dollars in billions)

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$50

$100

$150

$200

Single-Family Loan Forbearance Status(14)

As of March 31, 2021

Multifamily Loan Forbearance Status(16)

As of March 31, 2021

31.8%

20.4%

1.6%

25.0%

18.1%

3.1%

Active Forbearance Other(55) Paid off

Reinstated Payment Deferral Modification(15)

16.9%

50.5%

21.5%

5.1%

6.0%

Active Forbearance(17) Defaulted(18) Liquidations

Reinstated(19) Repayment Plan

$5.4B UPB 

 Forbearance 

1,349,509

Total Loans 

COVID-related 

Forbearance 

UPB

(Dollars in billions)

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$2

$4

Total SDQ(8) Current Total SDQ(11) Current
© 2021 Fannie Mae Q1 2021 Financial Supplement 10

DRAFT Portfolio, Capital and Liquidity Management

Sources of Net Interest Income and Retained 

Mortgage Portfolio Balance Net Worth and Estimated Capital Requirement

Aggregate Indebtedness of Fannie Mae(22) Other Investments Portfolio ("OIP")

% Net Interest Income

Retained Mortgage Portfolio

(D

79% 79%

ollars in billions)

85%

92%

21% 21% 96%

15%

8% 4%

$230.8

$179.2

$153.6 $162.7 $157.2

2017 2018 2019 2020 Q1 YTD

2021

0%

25%

50%

75%

100%

$0

$200

$400

% Net interest income from guaranty book of business(20) Net Worth(57) Remaining Treasury 

funding 

commitment is 

$113.9 billion

% Net interest income from portfolios(21) Estimated Common Equity Tier 1 Capital Requirement(28)

Retained mortgage portfolio, at end of period Estimated Other Tier 1 and Tier 2 Capital Requirement(28)

(Dollars in billions)

$58.4 $42.3 $23.5

$170.7 $233.9 $266.4 $277.8 $272.2

$229.1

$276.2 $289.9 $290.0 $275.1

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$80.5

$54.5 $37.5 $38.3 $26.5

$25.5

$12.7 $28.2

$14.1

$44.7

$96.0 $136.0

$130.5

$105.6

$133.0

$176.0 $186.2 $197.0

$146.2

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$50

$100

$150

$200

Cash and cash equivalents(23)

Federal funds sold and securities purchased under agreements to resell or similar 

arrangements

U.S. Treasury securities

Short-term debt

Long-term debt

Treasury Debt Limit

 $300

(Dollars in billions)

$25.3 $30.2

$185 $190

$135 $140

$50 $50

12/31/20 03/31/21

$0

$100

$200
© 2021 Fannie Mae Q1 2021 Financial Supplement 11

DRAFT

Rate (as of period end)

4.1% 3.9% 3.6%

6.7% 6.0%

2.4% 3.0% 2.2%

(3.5)%

6.4%

2017 2018 2019 2020 Q1

YTD

2021

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

2.74% 2.41%

0.67%

1.74%

3.46% 3.11%

1.80% 2.04%

4.44%

4.06%

3.50% 3.17%

3/31/2018 3/31/2019 3/31/2020 3/31/2021

Top 10 States by UPB(26)

State

One Year Home Price 

 Growth Rate Q1 2021

Share of Single-Family 

Conventional Guaranty 

Book

CA 12.40% 19.4%

TX 11.02% 6.6%

FL 12.40% 5.9%

NY 11.71% 4.7%

WA 17.67% 4.0%

NJ 15.75% 3.5%

IL 9.12% 3.3%

CO 14.11% 3.3%

VA 11.77% 3.2%

NC 12.86% 2.8%

State Growth Rate:

Home Price Growth

5.8% 5.1% 4.4%

10.6%

3.4%

2017 2018 2019 2020 Q1 YTD

2021

0%

2%

4%

6%

8%

10%

12%

5.0 to 9.9% 10% and above

Benchmark Interest Rates U.S. GDP Growth (Decline) Rate and

Unemployment Rate(25)

One Year Home Price Growth Rate Q1 2021(26)

United States 12.7% Single-Family Home Price Growth Rate(26)

30-year FRM rate Growth (decline) in GDP, annualized change U.S. unemployment rate (24) 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate
© 2021 Fannie Mae 

DRAFT

Single-Family Business
© 2021 Fannie Mae Q1 2021 Financial Supplement 13

DRAFT

Fannie Mae

40%

Freddie Mac

35%

Ginnie Mae

23%

Private-label

securities

2%

UPB

(Dollars in billions)

$2,964 $3,014 $3,086 $3,161 $3,237

43.8 44.2 44.4 44.5 44.9

Q1

2020

Q2

2020

Q3

2020

Q4

2020

Q1

2021

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$69

$92

$125 $125 $99

$122

$259

$266 $301

$301

49.4

46.7 44.9 45.8 48.0

$191

$351

$391

$426

$400

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights

Q1 2021

$5,894M

Net interest income

$64M 

Investment gains, net

$740M

Fair value gains, net

$679M

Credit-related 

income

$4,394M

Net income

Single-Family Conventional 

Loan Acquisitions(2)

Single-Family Conventional 

Guaranty Book of Business(2)

Single-Family Mortgage-Related Securities 

Share of Issuances Q1 2021 Highlights

Refinance

Purchase

Average charged guaranty fee on new single-family conventional acquisitions, net

of TCCA (bps)(4)

Average single-family conventional guaranty book

Average charged guaranty fee on single-family conventional guaranty book,

net of TCCA (bps)(4)

• The average single-family conventional guaranty book of 

business increased during the quarter by 2.4%.

• Acquisition volume decreased by $26 billion in Q1 2021 

compared with Q4 2020 driven by lower purchase

volume largely due to seasonality.

• The average charged guaranty fee on Q1 2021

acquisitions increased from Q4 2020 driven by the 

implementation of the adverse market refinance fee in 

December 2020 which applied to the majority of 

refinance acquisitions in Q1 2021.

• The company's share of mortgage-related securities 

issuances remained strong relative to the overall market.
© 2021 Fannie Mae Q1 2021 Financial Supplement 14

DRAFT

Share of Acquisitions

56%

65%

52%

30% 25%

20%

12%

28%

51% 55%

22% 22%

20% 19% 20%

2017 2018 2019 2020 Q1 YTD

2021

0%

25%

50%

75%

100% Weighted-Average FICO Credit Score

% FICO Credit Score < 680

745 743 749 760 761

10.6% 11.2%

7.3%

4.0% 4.0%

2017 2018 2019 2020 Q1

YTD

2021

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Credit Characteristics of Single-Family Conventional Loan Acquisitions

Certain Credit Characteristics of Single-Family Conventional Loans

by Acquisition Period

Q1 YTD 2021 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q1 2020 Q2 2020 Q3 2020 Q4 2020

Full Year 

2020 Q1 2021

OLTV Ratio 

>95%

HomeReady®(30)FICO Credit

Score < 680(6)

DTI Ratio 

> 43%(29)

Total UPB (Dollars in billions) $190.5 $351.3 $391.4 $425.6 $1,358.8 $400.5 $7.8 $11.2 $17.9 $80.4

Weighted-Average OLTV Ratio 74% 72% 71% 70% 71% 68% 97% 80% 71% 70%

OLTV Ratio > 95% 3% 3% 3% 2% 2% 2% 100% 19% 0% 2%

Weighted-Average FICO® Credit Score(6) 753 759 762 762 760 761 753 752 658 752

FICO Credit Score < 680(6) 6% 4% 4% 4% 4% 4% 0% 6% 100% 5%

DTI Ratio > 43%(29) 25% 20% 19% 20% 21% 20% 16% 34% 24% 100%

Fixed-rate 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%

Owner Occupied 92% 93% 92% 91% 92% 91% 100% 100% 96% 88%

HomeReady®(30) 3% 2% 2% 3% 2% 3% 27% 100% 4% 5%

Weighted-Average OLTV Ratio

Or

75% 77% 76%

igination LTV > 95%

71% 68%

4.9%

7.5% 6.6%

2.0% 2.0%

2017 2018 2019 2020 Q1

YTD

2021

0%

20%

40%

60%

80%

100%

0%

5%

10%

15%

20%

25%

Origination Loan-to-Value Ratio FICO Credit Score(6) Acquisitions by Loan Purpose

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Refi Plus(31) including HARP Other Refinance

Cash-out Refinance Purchase
© 2021 Fannie Mae Q1 2021 Financial Supplement 15

DRAFT

% of UPB in Conventional Guaranty

Book of Business

SDQ Rate

100.00%

2.00% 2.00%

96.00%

2.58%

5.66%

9.65%

2.13%

Total 2004

and

Prior

2005-

2008

2009-

2021

0%

25%

50%

75%

100%

0%

5%

10%

Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business 

by Origination Year and Loan Features(2)(32)

As of March 31, 2021 Origination Year Certain Loan Features

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier

2009-

2017 2018 2019 2020 2021

OLTV 

Ratio > 95%

HomeReady®(30)

FICO Credit 

Score <

680(6)

 Refi Plus 

Including

HARP(31)

DTI Ratio 

> 43%(29)

Total UPB (Dollars in billions) $3,272.0 $127.9 $1,169.8 $149.3 $301.4 $1,242.6 $281.0 $172.2 $94.3 $285.1 $197.6 $734.6

Average UPB $188,447 $88,499 $144,004 $181,462 $220,914 $269,545 $281,816 $158,934 $177,688 $144,432 $115,695 $199,698

Share of Single-Family Conventional Guaranty Book 100% 4% 36% 4% 9% 38% 9% 5% 3% 9% 6% 23%

Loans in Forbearance by UPB(38) 2.7% 8.8% 3.6% 7.3% 4.9% 0.7% 0.0% 5.3% 4.5% 8.2% 4.4% 5.0%

Share of Loans with Credit Enhancement(33) 38% 11% 50% 75% 58% 25% 18% 78% 82% 40% 43% 42%

Serious Delinquency Rate(8) 2.58% 7.58% 2.70% 5.70% 3.66% 0.47% 0.0% 5.14% 3.81% 7.60% 3.39% 4.43%

Weighted-Average OLTV Ratio 73% 75% 75% 77% 76% 71% 68% 105% 88% 77% 85% 75%

OLTV Ratio > 95% 5% 8% 7% 10% 8% 3% 2% 100% 36% 10% 29% 7%

Amortized OLTV Ratio(34) 66% 56% 60% 73% 74% 70% 68% 94% 85% 68% 67% 69%

Weighted-Average Mark-to-Market LTV Ratio(5) 57% 43% 43% 62% 65% 66% 68% 72% 75% 55% 43% 59%

Weighted-Average FICO Credit Score(6) 751 696 749 734 746 760 761 728 740 649 727 738

FICO Credit Score < 680(6) 9% 38% 10% 16% 9% 4% 5% 16% 10% 100% 22% 13%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted-Average FICO Credit Score

FICO Credit Score < 680

745 746 746 750 751

11.8% 11.5%

10.5%

9.0% 8.7%

2017 2018 2019 2020 Q1

YTD

2021

0

250

500

750

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

% MTMLTV >100%

58% 57% 57% 58% 57%

1.0%

0.4% 0.3% 0.1% 0.1%

2017 2018 2019 2020 Q1

YTD

2021

0%

10%

20%

30%

40%

50%

60%

70%

0%

2.5%

5%

7.5%

10%

Mark-to-Market Loan-to-Value

(MTMLTV) Ratio(5) FICO Credit Score(6) SDQ Rate by Vintage(8) as of March 31, 2021

% MTMLTV > 100%

Weighted-Average MTMLTV

% FICO Credit Score < 680

Weighted-Average FICO Credit Score

SDQ Rate

% of UPB in Conventional Guaranty Book of 

Business by Origination Year
© 2021 Fannie Mae Q1 2021 Financial Supplement 16

DRAFT

UPB

(Dollars in billions)

$40

$76

$102 $86 $82 $67

$189

$240

$265

$206

$290

$58

$44

$45

$73

$57

$239

$331

$410

$338

$445

$182

$0

2015 2016 2017 2018 2019 2020 Q1 YTD 2021

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$1,371

$1,224

$1,067

$955

$822

46%

40%

35%

30%

25%

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

0%

20%

40%

2019 2020 Q1 YTD 2021

Credit Enhancement 

Outstanding UPB (dollars in billions)

Outstanding 

UPB

% of Book(35)

Outstanding

Outstanding 

UPB

% of Book(35)

Outstanding

Outstanding 

UPB

% of Book(35)

Outstanding

Primary mortgage insurance &

other(36) $653 22% $681 21% $677 21%

Connecticut Avenue Securities(37) $919 31% $608 19% $525 16%

Credit Insurance Risk

Transfer(7) $275 10% $216 7% $189 6%

Lender risk-sharing(37) $147 5% $131 4% $108 3%

(Less: loans covered by multiple 

credit enhancements) ($438) (15)% ($304) (9)% ($257) (8)%

Total single-family loans with 

credit enhancement $1,556 53% $1,332 42% $1,242 38%

Single-Family Credit Risk Transfer Issuance

Single-Family Credit Risk Transfer Single-Family Loans with Credit Enhancement

% Single-family conventional guaranty book in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(7)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2021 Fannie Mae Q1 2021 Financial Supplement 17

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of Loans in Forbearance

as of March 31, 2021(13) Single-Family Loan Forbearance Exits

Certain Credit Characteristics of Single-Family Loans in Forbearance(39)

As of March 31, 2021 Origination Year

Categories are not mutually exclusive Total 

2008 &

Earlier

2009-

2017 2018 2019 2020 2021

Total UPB (Dollars in billions) $88.1 $11.3 $41.9 $10.9 $14.8 $9.1 $0.1

Average UPB $204,970 $138,606 $193,115 $230,620 $273,307 $306,459 $348,140

Share of Single-Family Conventional Guaranty Book

based on Loan Count 2.5% 0.5% 1.2% 0.3% 0.3% 0.2% 0.0%

Share of Single-Family Conventional Guaranty Book

based on UPB(40) 2.7% 0.3% 1.3% 0.3% 0.5% 0.3% 0.0%

MTMLTV Ratio >80% without Mortgage Insurance 1.4% 0.8% 0.3% 0.1% 0.1% 0.1% 0.0%

DTI Ratio > 43%(29) 41.4% 5.3% 17.5% 6.7% 7.7% 4.2% 0.0%

FICO Credit Score < 680(6) 26.6% 6.3% 11.9% 3.7% 3.3% 1.4% 0.0%

OLTV Ratio >95% 10.4% 1.3% 4.8% 1.7% 2.0% 0.6% 0.0% UP

B

(Dollars in billions)

Number of Loans (in thousands)

$8.1

$4.9 $4.8

$16.8

$53.5

44K

25K 25K

86K

249K

Current 30 to 59

days

DLQ

60 to 89

days

DLQ

90 to

180 

days

DLQ

180+

days

DLQ

$0.0

$20.0

$40.0

$60.0

0K

100K

200K

29.9%

2.3%

36.7%

26.6%

4.5%

Payment Deferral Other(55) Modification(15)

Reinstated Paid Off

919,917

Loans Exited 

Forbearance 

in 2020 and Q1 

2021
© 2021 Fannie Mae Q1 2021 Financial Supplement 18

DRAFT

UP

B

(Dollars in billions)

Number of Loan Workouts

(in thousands)

$13.8 $16.6 $7.7 $5.3

$56.0

$17.1

100.6K

118.1K

56.3K

299.2K

92.0K

2017 2018 2019 2020 Q1 YTD

2021

$0

$10

$20

$30

$40

$50

$60

$70

$80

$90

$100

0K

50K

100K

150K

200K

250K

300K

REO Ending Inventory

(Units in thousands)

26

20 18

8 7

2017 2018 2019 2020 Q1 YTD

2021

0

10

20

30

40

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(8)

Average 

Months to

Foreclosure(41)

CA 2.31% 28

TX 3.08% 22

FL 3.60% 39

NY 4.34% 62

WA 1.85% 18

NJ 4.04% 31

IL 3.02% 23

CO 1.76% 26

VA 2.34% 16

NC 2.16% 24

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of March 31, 2021(8) Top 10 States by UPB

Single-Family Loan Workouts Single-Family REO Ending Inventory

1.00% to 1.99%

2.00% to 2.99%

3.00% and above

Other(42) Total Loan Workouts

Modifications(43) Payment Deferrals

$19.0

$9.3

$16.7 $19.0

$62.9
© 2021 Fannie Mae Q1 2021 Financial Supplement 19

DRAFT

24.8%

16.2%

17.4%

12.7%

23.8%

5.1%

63.2%

4.7%

3.5%

19.4%

3.3% 5.9%

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business

% of Single-Family Conventional Guaranty Book of Business(35) % of Single-Family Credit Losses(44) and 

Redesignation Write-Offs For the Period Ended 

Certain Product Features

Categories are not mutually exclusive 2017 2018 2019 2020

Q1 YTD 

2021 2017 2018 2019 2020

Q1 YTD 

2021

Credit losses and redesignation write-offs

by period (Dollars in millions) $2,963 $2,457 $1,719 $514 $51 100.0% 100.0% 100.0% 100.0% 100.0%

Alt-A(45) 2.5% 1.9% 1.5% 1.1% 1.0% 21.9% 22.4% 16.6% 14.0% 14.6%

Interest-only 1.2% 0.8% 0.5% 0.3% 0.3% 15.7% 15.4% 11.5% 9.1% 12.1%

Origination LTV Ratio >95% 6.6% 6.8% 6.9% 5.7% 5.3% 16.9% 14.9% 16.0% 14.4% 4.5%

FICO Credit Score < 680 and OLTV Ratio > 95%(6) 1.6% 1.4% 1.3% 0.9% 0.9% 8.7% 8.7% 9.4% 8.8% 0.6%

FICO Credit Score < 680(6) 11.8% 11.4% 10.5% 9.0% 8.7% 45.4% 46.3% 43.1% 41.4% 54.3%

Refi Plus including HARP 13.2% 11.4% 9.5% 6.7% 6.0% 15.9% 13.2% 15.8% 16.6% 31.6%

Vintage 2017 2018 2019 2020

Q1 YTD 

2021 2017 2018 2019 2020

Q1 YTD 

2021

2009 - 2021 90% 92% 94% 96% 96% 23% 20% 27% 33% 60%

2005 - 2008 6% 5% 4% 2% 2% 65% 66% 61% 54% 32%

2004 & Prior 4% 3% 2% 2% 2% 12% 14% 12% 13% 8%

$51M $3.3T UPB

% of Q1 YTD 2021 Single-Family Credit Losses and 

Redesignation Write-Offs by State(44)(46)

% of Single-Family Conventional Guaranty Book of 

Business by State as of March 31, 2021

All Other States New Jersey Florida

New York California Illinois

All Other States New Jersey Florida

New York California Illinois
© 2021 Fannie Mae Q1 2021 Financial Supplement 20

DRAFT

Time Since Beginning of Origination Year

Cumulative Default Rate

2004* 2005* 2006* 2007* 2008* 2009** 2010** 2011**

2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019**

2020** 2021**

Yr1

Yr

2

Yr

3

Yr4

Yr

5

Yr

6

Yr

7

Yr

8

Yr

9

Yr10

Yr11

Yr12

Yr13

Yr14

Yr 15

Yr 16

Yr 17

Yr 18

0%

2%

4%

6%

8%

10%

12%

14%

16%

Single-Family Cumulative Default Rates

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(47)

2007

2009

2006

2012 2011 2010

 * Loans originated prior to 2009 represent only 4% of the single-family conventional guaranty book of business as of March 31, 2021.

**As of March 31, 2021, cumulative default rates on the loans originated in each individual year from 2009-2021 were less than 1%.

2004

2008

2005
© 2021 Fannie Mae 

DRAFT

Multifamily Business
© 2021 Fannie Mae Q1 2021 Financial Supplement 22

DRAFT

UPB

(Dollars in billions)

$345.4 $357.8 $366.8 $384.5 $399.1

71.9 72.3 73.3 74.5 75.9

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

UPB

(Dollars in billions)

$14.1

$19.6

$15.2

$27.1

$21.5

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$5

$10

$15

$20

$25

$30

Multifamily Highlights

• New Multifamily business volume was $21.5 billion in Q1 

2021. 

• FHFA established a 2021 multifamily volume cap of $70 

billion of which 50% must be mission-driven, focused on 

certain affordable and underserved market segments, and 

20% must be affordable to residents earning 60% of area 

median income or below. 

• The multifamily guaranty book of business increased by 

$14.6 billion in Q1 2021 to $399.1 billion and the average 

charged fee continued to increase to 75.9 bps.

 Q1 2021

$848M

Net interest income

$25M

Fee and other 

income

$44M

Fair value gains, net

$91M

Credit-related 

income

$599M

Net income

Multifamily New Business Volume Multifamily Guaranty Book of Business(3)

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

$29.2 $29.1 $29.0 $29.0 $28.7

$74.8 $74.1 $73.4 $72.1 $71.3

30% 29% 28%

26% 25%

$104.0 $103.2 $102.4 $101.1 $100.0

Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021

$0

$25

$50

$75

$100

$10%

$15%

$20%

$25%

$30%

$35%

$40%

Average charged guaranty fee on multifamily guaranty book of 

business, at end of period (bps)

UPB outstanding of multifamily guaranty book of business

UPB outstanding of multifamily loans in a 

Multifamily Connecticut Avenue SecuritiesTM

transaction

% Multifamily guaranty book in a Multifamily 

CRT transaction

UPB outstanding of multifamily loans in a 

Multifamily CIRT transaction
© 2021 Fannie Mae Q1 2021 Financial Supplement 23

DRAFT

Share of Acquisitions

80%

89% 93% 93% 92%

20%

11% 7% 7% 8%

2017 2018 2019 2020 Q1

YTD

2021

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(3)

Categories are not mutually exclusive 2017 2018 2019 2020 Q1 YTD 2021

Total UPB (Dollars in billions) $67.1 $65.4 $70.2 $76.0 $21.5

Weighted-Average OLTV Ratio 67% 65% 66% 64% 65%

Loan Count 3,861 3,723 4,113 5,051 1,529

% Lender Recourse(48) 100% 100% 100% 99% 100%

% DUS(49) 98% 99% 100% 99% 99%

% Full Interest-Only 26% 33% 33% 38% 33%

Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions 58% 58% 59% 58% 59%

Weighted-Average OLTV Ratio on Non-Full Interest-Only Acquisitions 70% 68% 69% 68% 69%

% Partial Interest-Only(50) 57% 53% 56% 50% 57%

Share of Acquisitions

41%

32% 33% 29% 33%

59%

68% 66% 70% 67%

2017 2018 2019 2020 Q1

YTD

2021

0%

20%

40%

60%

80%

100%

$1.8B

$1.6B

$1.5B

$0.7B

$0.6B

$0.6B

$0.5B

$0.5B

$0.5B

$0.5B

Share of 

Acquisitions:

41%

Total UPB:

$8.8B

Origination Loan-to-Value 

Ratio(3)

Top 10 MSAs by Q1 YTD 2021

Acquisition UPB(3) Acquisitions by Note Type(3)

% OLTV ratio less than or equal to 70%

% OLTV ratio greater than 70% and less than or equal to 80%

% OLTV ratio greater than 80%

New York Chicago

Dallas Atlanta

Los Angeles Philadelphia

Phoenix Washington, D.C.

San Diego Houston

Variable-rate

Fixed-rate
© 2021 Fannie Mae Q1 2021 Financial Supplement 24

DRAFT

Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(3)

As of March 31, 2021 Acquisition Year Asset Class or Targeted Affordable Segment

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier 2009-2016 2017 2018 2019 2020 2021

Conventional

/Co-op(51)

Seniors

Housing(51)

Student

Housing(51)

Manufactured

Housing(51)

Privately Owned

with Subsidy(52)

Total UPB (Dollars in billions) $399.1 $8.4 $105.7 $56.8 $61.6 $69.3 $75.8 $21.5 $350.2 $17.2 $14.7 $17.0 $39.2

% of Multifamily Guaranty Book 100% 2% 27% 14% 16% 17% 19% 5% 88% 4% 4% 4% 10%

Loan Count 29,484 3,324 8,997 3,125 3,431 4,031 5,047 1,529 26,602 671 676 1,535 3,670

Average UPB (Dollars in millions) $13.5 $2.5 $11.8 $18.2 $17.9 $17.2 $15.0 $14.1 $13.2 $25.6 $21.8 $11.1 $10.7

Loans in Forbearance by UPB(38) 0.2% 0.1% 0.3% 0.6% 0.1% 0.3% 0.0% 0.0% 0.1% 0.3% 2.9% 0.0% 0.1%

Weighted-Average OLTV Ratio 66% 68% 67% 67% 65% 66% 64% 65% 66% 66% 66% 65% 69%

Weighted-Average DSCR(10) 2.1 2.8 2.0 2.0 1.8 2.0 2.4 2.3 2.1 1.8 1.8 2.1 2.3

% Fixed rate 91% 28% 92% 88% 92% 94% 93% 92% 92% 64% 84% 94% 80%

% Full Interest-Only 31% 28% 22% 29% 35% 33% 38% 33% 32% 13% 27% 24% 21%

% Partial Interest-Only(50) 52% 17% 48% 55% 53% 56% 50% 57% 50% 57% 64% 57% 43%

% Small Balance Loans(53) 44% 90% 50% 30% 27% 35% 36% 34% 45% 15% 26% 51% 52%

% DUS(49) 99% 91% 99% 98% 100% 100% 99% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(11) 0.66% 0.61% 0.97% 1.51% 0.61% 0.45% 0.03% 0.00% 0.33% 5.17% 3.97% 0.02% 0.29%

Credit Characteristics of Multifamily Guaranty Book of Business

$34.5B

$25.6B

$16.7B $18.1B

$12.2B

$11.4B

$10.5B

$9.9B

$9.8B

$9.8B

Share of Book

of Business: 

39.7%

Total Top 10 

UPB:

$158.5B

$3.0B

$10.0B

$14.1B

$17.6B

$26.5B

$327.9B

Total UPB:

$399.1B 

UPB by Maturity Year 

as of March 31, 2021(3)

Top 10 MSAs by UPB 

as of March 31, 2021(3)

Multifamily Guaranty Book of Business

by Note Type(3)

New York Houston

Los Angeles Phoenix

Dallas Chicago

Washington, D.C. San Francisco

Atlanta Seattle

2021 2024

2022 2025

2023 Other

Share of Book of Business

82% 85% 88% 90% 91%

18% 15% 12% 10% 9%

2017 2018 2019 2020 Q1

YTD

2021

0%

20%

40%

60%

80%

100%

Variable-rate

Fixed-rate
© 2021 Fannie Mae Q1 2021 Financial Supplement 25

DRAFT

Serious Delinquency Rate

0.63%

0.71%

0.59%

0.24%

0.10%

0.05% 0.07% 0.05%

0.11%

0.06%

0.04%

0.98%

0.66%

0.39%

0.56%

0.50%

0.18%

0.07%

0.99%

0.67%

1.36%

1.20%

0.92%

0.55%

0.34%

0.15%

0.21% 0.21%

0.08%

0.33% 0.29%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Q1

2021

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Multifamily Serious Delinquency Rates and Credit Losses

0.9%

1.1%

0.8%

0.3%

0.1%

—% —% —%

0.1% —% —% —% —%

0.7%

1.1%

0.9%

0.3%

0.1%

—% —% —%

0.1% —% —% —% —%

0.2%

1.1%

1.4%

0.1%

—% —% —% —% —% —%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 - 2019 2020 Q1 YTD 2021

0%

0.5%

1%

1.5%

2%

Serious Delinquency Rates(11)(49)

Delinquency Status of Active Loans that 

Received a Forbearance 

as of March 31, 2021(56)

DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through Q1 YTD 2021(49)(54)

DUS Credit Loss Rate, Net Multifamily Total Credit Loss Rate, Net Non-DUS Credit Loss Rate, Net

DUS Serious Delinquency Rate Multifamily Total Serious Delinquency Rate Non-DUS Serious Delinquency Rate

UP

B

(Dollars in billions)

$1.2 $1.4

$2.5

$5.1

Current 30 to 59

days

DLQ

60+

days 

DLQ

Total

$0.0

$2.0

$4.0

$6.0
© 2021 Fannie Mae 

DRAFT

Endnotes
© 2021 Fannie Mae Q1 2021 Financial Supplement 27

DRAFT

(1) Prior period amounts have been adjusted to reflect the change in presentation related to yield maintenance fees. As of January 1, 2020, all yield maintenance fees have been 

reported in interest income. For consolidated loans, the portion of the fee passed through to the holders of the trust certificates are classified as interest expense. 

(2) Single-family conventional loan population consists of: (a) single-family conventional mortgage loans of Fannie Mae; (b) single-family conventional mortgage loans underlying 

Fannie Mae MBS other than loans underlying Freddie Mac securities that Fannie Mae has resecuritized; and (c) other credit enhancements that Fannie Mae provided on singlefamily mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae single-family mortgage-related securities held in the retained mortgage portfolio for 

which Fannie Mae does not provide a guaranty. Conventional refers to mortgage loans and mortgage-related securities that are not guaranteed or insured, in whole or in part, by 

the U.S. government or one of its agencies. 

(3) The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other 

credit enhancements that the company provided on multifamily mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in the retained mortgage 

portfolio for which Fannie Mae does not provide a guaranty. Data reflects the latest available information as of March 31, 2021. 

(4) Represents, on an annualized basis, the sum of the base guaranty fees during the period for the company's single-family conventional guaranty arrangements plus the recognition 

of any upfront cash payments relating to these guaranty arrangements based on an estimated average life at the time of acquisition. Excludes the impact of a 10 basis point 

guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by the company.

(5) The average estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property at period end, which 

the company calculates using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available. 

(6) FICO credit score is as of loan origination, as reported by the seller of the mortgage loan.

(7) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $2.0 billion outstanding as of March 31, 2021. 

(8) Single-family serious delinquency rate (or “SDQ rate”) refers to single-family loans that are 90 days or more past due or in the foreclosure process, expressed as a percentage of 

the company’s single-family conventional guaranty book of business, based on loan count. Single-family SDQ rate for loans in a particular category (such as origination year, loan 

feature or state), refers to SDQ loans in the applicable category, divided by the number of loans in the single-family conventional guaranty book of business in that category.

(9) Calculated based on the amount of write-offs, recoveries and foreclosed property income or expenses annualized divided by the average single-family conventional guaranty book 

of business during the period.

(10) Weighted-average debt service coverage ratio, or "DSCR", is calculated using the most recent property financial operating statements. When operating statement information is 

not available, the DSCR at the time of acquisition is used. If both are unavailable, the underwritten DSCR is used. Although the company uses the most recently available results 

from their multifamily borrowers, there is a lag in reporting, which typically can range from three to six months, but in some cases may be longer. Accordingly, the financial 

information Fannie Mae has received from borrowers may not reflect the most recent impacts of the COVID-19 pandemic. Co-op loans are excluded from this metric.

(11) Multifamily serious delinquency rate (or “SDQ rate”) refers to multifamily loans that are 60 days or more past due, expressed as a percentage of the company’s multifamily 

guaranty book of business, based on unpaid principal balance. Multifamily SDQ rate for loans in a particular category (such as acquisition year, asset class or targeted affordable 

segment), refers to SDQ loans in the applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that category.

(12) Credit loss (benefit) ratio, net represents the annualized net credit loss or benefit for the period divided by the average unpaid principal balance of the multifamily guaranty book of 

business for the period. Net credit benefits are the result of recoveries on previously written-off amounts. Net credit losses include expected benefit of freestanding loss-sharing 

benefit, primarily multifamily DUS lender-risk sharing transactions.

Endnotes
© 2021 Fannie Mae Q1 2021 Financial Supplement 28

DRAFT

Endnotes

(13) Pursuant to the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), for purposes of reporting to the credit bureaus, servicers must report a borrower 

receiving a COVID-19-related payment accommodation, such as a forbearance plan or loan modification, as current if the borrower was current prior to receiving the 

accommodation and the borrower makes all required payments in accordance with the accommodation. For purposes of the company's disclosures regarding delinquency 

status, loans receiving COVID-19-related payment forbearance are reported as delinquent according to the contractual terms of the loan.

(14) As a part of the company's relief programs, the company has authorized servicers to permit payment forbearance to borrowers experiencing a COVID-19-related financial 

hardship for up to 12 months without regard to the delinquency status of the loan, and for borrowers already in forbearance as of February 28, 2021, for a total of up to 18 

months, provided that the forbearance does not result in the loan becoming greater than 18 months delinquent. The company estimates that, through March 31, 2021, 

approximately 8% of the single-family loans, based on loan count, in the single-family conventional guaranty book of business as of March 31, 2020 have been in a 

COVID-19-related forbearance at some point between then and March 31, 2021.

(15) Includes loans that are in trial modifications. As of March 31, 2021, 89% of loans that received a forbearance and subsequently received a completed modification were 

current.

(16) Displays the status and percentage of UPB as of current period end of the multifamily loans in the guaranty book of business as well as loans that had liquidated prior to 

period end that have received a forbearance. Since the COVID-19 pandemic was declared a national emergency in March 2020, Fannie Mae has broadly offered 

forbearance to affected multifamily borrowers. Nearly all of the multifamily loans in forbearance were associated with a COVID-19-related financial hardship.

(17) Includes loans that are in the process of extending their forbearance. 

(18) Includes loans that are no longer in forbearance and are not on a repayment plan. Loans in this population may proceed to other loss mitigation activities, such as 

foreclosure or modification.

(19) Represents loans that are no longer in forbearance but are current according to the original terms of the loan, or have been modified and are performing under the 

modification.

(20) Guaranty fee income includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011, 

the incremental revenue from which is remitted to Treasury and not retained by the company. 

(21) Includes interest income from assets held in the company’s retained mortgage portfolio and other investments portfolio, as well as other assets used to generate lender 

liquidity. Also includes interest expense on the company’s outstanding corporate debt and Connecticut Avenue Securities® debt.

(22) Reflects the company's aggregate indebtedness at the end of each period presented measured in unpaid principal balance and excludes effects of debt basis adjustments 

and debt of consolidated trusts.

(23) Cash equivalents are comprised of overnight repurchase agreements and U.S. Treasuries that have a maturity at the date of acquisition of three months or less.

(24) Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®. These rates are reported using the latest 

available data for a given period.

(25) U.S. Gross Domestic Product ("GDP") annual growth (decline) rate for periods prior to 2021 are based on the quarterly series calculated by the Bureau of Economic 

Analysis and are subject to revision. GDP growth rate for Q1 YTD 2021 is the Advance Estimate published on April 29, 2021.

(26) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2021. Including 

subsequent data may lead to materially different results. Home price growth rate is not seasonally adjusted. UPB estimates are based on data available through the end of 

March 2021, and the top 10 states are reported by UPB in descending order. One year home price growth rate is for the 12 month period ending March 31, 2021.
© 2021 Fannie Mae Q1 2021 Financial Supplement 29

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(27) Calculated based upon net worth divided by total assets outstanding at the end of the period.

(28) Represents the company's estimate of the amount of adjusted total capital that it would have been required to hold had FHFA’s enterprise regulatory capital framework 

requirements published in December 2020 been fully applicable as of the specified date. For more information on the capital requirements, see “Business—Legislation and 

Regulation—GSE Act and Other Legislative and Regulatory Matters—Capital” in Fannie Mae's 2020 Form 10-K.

(29) Excludes loans for which this information is not readily available. From time to time, the company revises its guidelines for determining a borrower’s DTI ratio. The amount of 

income reported by a borrower and used to qualify for a mortgage may not represent the borrower’s total income; therefore, the DTI ratios reported may be higher than borrowers' 

actual DTI ratios.

(30) Refers to HomeReady® mortgage loans, a low down payment mortgage product offered by the company that is designed for creditworthy low-income borrowers. HomeReady 

allows up to 97% loan-to-value ratio financing for home purchases. The company offers additional low down payment mortgage products that are not HomeReady loans; therefore, 

this category is not representative of all high LTV ratio single-family loans acquired or in the single-family conventional guaranty book of business for the periods shown. See the 

“OLTV Ratio > 95%” category for information on the single-family loans acquired or in the single-family conventional guaranty book of business with origination LTV ratios greater 

than 95%.

(31) "Refi Plus" refers to loans acquired under Fannie Mae's Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers who were current on their loans 

and who applied prior to the initiative’s December 31, 2018 sunset date. Refi Plus had no limits on maximum LTV ratio and provided mortgage insurance flexibilities for loans with 

LTV ratios greater than 80%.

(32) Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in the single-family 

conventional guaranty book of business. Loans with multiple product features are included in all applicable categories.

(33) Percentage of loans in the single-family conventional guaranty book of business, measured by unpaid principal balance, included in an agreement used to reduce credit risk by 

requiring collateral, letters of credit, mortgage insurance, corporate guarantees, inclusion in a credit risk transfer transaction reference pool, or other agreement that provides for 

Fannie Mae's compensation to some degree in the event of a financial loss relating to the loan.

(34) Amortized origination loan-to-value ratio is calculated based on the current UPB of a loan at period end, divided by the home price at origination of the loan.

(35) Based on the unpaid principal balance of the single-family conventional guaranty book of business as of period end.

(36) Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, collateral, letters of credit, corporate guarantees, or other agreements 

to provide an entity with some assurance that it will be compensated to some degree in the event of a financial loss. Excludes loans covered by credit risk transfer transactions 

unless such loans are also covered by primary mortgage insurance.

(37) Outstanding unpaid principal balance represents the underlying loan balance, which is different from the reference pool balance for CAS and some lender risk-sharing transactions.

(38) Consists of loans that are in an active forbearance as of March 31, 2021.

(39) Calculated based on the unpaid principal balance of loans in forbearance with the specific credit characteristic and vintage divided by the total unpaid principal balance of loans in 

forbearance in that origination year at period end. 

(40) Share of single-family conventional guaranty book based on UPB was calculated based upon the unpaid principal balance of loans in forbearance by vintage divided by the total 

unpaid principal balance of the single-family conventional guaranty book of business at period end.

(41) Measured from the borrowers’ last paid installment on their mortgages to when the related properties were added to the company's REO inventory for foreclosures completed 

during the three months ended March 31, 2021. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this 

calculation.

Endnotes
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Endnotes

 (42) Includes repayment plans and foreclosure alternatives. Repayment plans reflect only those plans associated with loans that were 60 days or more delinquent. Beginning with the 

 year ended December 31, 2020, completed forbearance arrangements are excluded. 

(43) There were approximately 16,700 loans in a trial modification period that was not complete as of March 31, 2021.

(44) Percentages exclude the impact of recoveries that have not been allocated to specific loans. 

(45) For a description of Alt-A loan classification criteria, refer to the glossary in Fannie Mae’s 2020 Form 10-K. The company discontinued the purchase of newly originated Alt-A loans 

in 2009, except for those that represent the refinancing of a loan acquired prior to 2009, which has resulted in the acquisitions of Alt-A mortgage loans remaining low and the 

percentage of the book of business attributable to Alt-A to continue to decrease over time.

(46) Total amount of single-family credit losses includes those not directly associated with specific loans. Single-family credit losses by state exclude the impact of recoveries that have 

not been allocated to specific loans. Presents the five states with the highest credit losses for the applicable period among the company's top ten states by percentage of 

outstanding single-family conventional guaranty book of business. 

(47) Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of 

single-family conventional loans in the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans 

in the guaranty book of business originated in the identified year. Data as of March 31, 2021 is not necessarily indicative of the ultimate performance of the loans and performance 

may change, perhaps materially, in future periods.

(48) Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance.

(49) Under the Delegated Underwriting and Servicing ("DUS") program, Fannie Mae acquires individual, newly originated mortgages from specially approved DUS lenders using DUS 

underwriting standards and/or DUS loan documents. Because DUS lenders generally share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and 

service most loans without a pre-review by the company.

(50) Includes any loan that was underwritten with an interest-only term less than the term of the loan, regardless of whether it is currently in its interest-only period.

(51) See https://multifamily.fanniemae.com/financing-options for definitions. Loans with multiple product features are included in all applicable categories.

(52) The Multifamily Affordable Business Channel focuses on financing properties that are under an agreement that provides long-term affordability, such as properties with rent 

subsidies or income restrictions.

(53) Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide. 

(54) Cumulative net credit loss rate is the cumulative net credit losses (gains) through March 31, 2021 on the multifamily loans that were acquired in the applicable period, as a 

percentage of the total acquired unpaid principal balance of multifamily loans in the applicable period. Net credit losses include expected benefit of freestanding loss-sharing benefit, 

primarily multifamily DUS lender-risk sharing transactions.

(55) Includes loans that were delinquent upon the expiration of the forbearance arrangement as well as loans that exited forbearance through a repayment plan.

(56) Consists of multifamily loans in the guaranty book of business that have received a forbearance since the start of the pandemic. As of March 31, 2021, nearly all of the company's 

multifamily loans in forbearance were associated with a COVID-19-related financial hardship. Excludes $275 million in multifamily loans that received a forbearance, but liquidated 

prior to period end.

(57) Net worth is not a measure of regulatory capital under FHFA's enterprise regulatory capital framework.