2016SecondQuarterCreditSupplement

August04,2016

©2016FannieMae.TrademarksofFannieMae.
ThispresentationincludesinformationaboutFannieMae,includinginformationcontainedin

FannieMae’sQuarterlyReportonForm10-QforthequarterendedJune30,2016,the“2016

Q2Form10-Q.”Someofthetermsusedinthesematerialsaredefinedanddiscussedmore

fullyinthe2016Q2Form10-QandinFannieMae’sForm10-KfortheyearendedDecember

31,2015,the“2015Form10-K.”Thesematerialsshouldbereviewedtogetherwiththe2016

Q2Form10-Qandthe2015Form10-K,copiesofwhichareavailablethroughthe“SEC

Filings”pageinthe“AboutUs/InvestorRelations”sectionofFannieMae’swebsiteat

www.fanniemae.com.

Someoftheinformationinthispresentationisbaseduponinformationthatwereceivedfrom

third-partysourcessuchassellersandservicersofmortgageloans.Althoughwegenerally

considerthisinformationreliable,wedonotindependentlyverifyallreportedinformation.

Duetorounding,amountsreportedinthispresentationmaynotaddtototalsindicated(or

100%).

Unlessotherwiseindicateddatalabeledas“YTD2016”isasofJune30,2016orforthefirst

sixmonthsof2016.

§

§

§

§

©2016FannieMae.TrademarksofFannieMae.
©2016FannieMae.TrademarksofFannieMae. 2

TableofContents

HomePriceGrowth/DeclineRatesintheU.S.

OneYearHomePriceChangeasof2016Q2

HomePriceChangeFrom2006Q3Through2016Q2 5

4

3

HomePrices

CreditCharacteristicsofSingle-FamilyBusinessAcquisitions

CreditRiskProfileSummaryofSingle-FamilyBusinessAcquisitions

CertainCreditCharacteristicsofSingle-FamilyBusinessAcquisitions:2005-2016

Single-FamilyBusinessAcquisitionsbyLoanPurpose

CreditCharacteristicsofSingle-FamilyConventionalGuarantyBookofBusinessbyOriginationYear

CreditCharacteristicsofSingle-FamilyConventionalGuarantyBookofBusinessbyCertainProductFeatures 11

10

9

8

7

6

CreditProfileofFannieMaeSingle-FamilyLoans

CreditCharacteristicsofSingle-FamilyConventionalGuarantyBookofBusinessandSingle-FamilyRealEstateOwned(REO)inSelectStates

SeriouslyDelinquentLoanandREOEndingInventorySharebySelectStates

Single-FamilyShortSalesandREOSalesPricestoUnpaidPrincipalBalance(UPB)ofMortgageLoans 14

13

12

GeographicCreditProfileofFannieMaeSingle-FamilyLoansandForeclosedProperties(REO)

Single-FamilyLoanWorkouts

Re-performanceRatesofModifiedSingle-FamilyLoans 16

15

WorkoutsofFannieMaeSingle-FamilyLoans

CreditLossConcentrationofSingle-FamilyConventionalGuarantyBookofBusiness

CumulativeDefaultRatesofSingle-FamilyConventionalGuarantyBookofBusinessbyOriginationYear 18

17

AdditionalCreditInformationforFannieMaeSingle-FamilyLoans

MultifamilyCreditProfilebyLoanAttributes

SeriousDelinquencyRatesofMultifamilyBookofBusiness

CumulativeCreditLossRatesofMultifamilyGuarantyBookofBusinessByAcquisitionYear 22

21

19-20

CreditProfileofFannieMaeMultifamilyLoans
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

-10%

-5%

0%

5%

10%

15%

-9.1%

11.3%

-3.6%

-4.8% -4.3%

-3.5%

2.6%

4.0%

7.8%

4.4% 4.8%

3.8%

FannieMaeHomePriceIndex

*Year-to-dateasofJune2016.

**Year-to-dateasofQ12016.Ascomparison,FannieMae’sindexforthesameperiodis1.0%.

Basedonourhomepriceindex,weestimatethathomepricesonanationalbasisincreasedby2.8%inthesecondquarterof2016andby3.8%inthefirsthalfof

2016,followingincreasesof4.8%in2015,4.4%in2014and7.8%in2013.Despitetherecentincreasesinhomeprices,weestimatethat,throughJune30,2016,

homepricesonanationalbasisremained2.8%belowtheirpeakinthethirdquarterof2006.Ourhomepriceestimatesarebasedonpreliminarydataandare

subjecttochangeasadditionaldatabecomeavailable.

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

13.5% 1.7% -5.4% -12.0% -3.9% -4.1% -3.9% 6.5% 10.7% 4.5% 5.3% 0.8%

S&P/Case-ShillerIndex

HomePriceGrowth/DeclineRatesintheU.S.

Note:EstimatebasedonpurchasetransactionsinFannie-FreddieacquisitionandpublicdeeddataavailablethroughtheendofJune2016.Includingsubsequentdatamayleadtomateriallydifferentresults.

©2016FannieMae.TrademarksofFannieMae. 3

*

**
MI

5.0%

2.4%

SC

3.7%

1.2%

NC

3.5%

2.5%

LA

4.0%

0.9%

WA

10.1%

3.6%

CA

7.3%

19.6%

CO

10.1%

2.8%

OR

11.1%

1.7%

IN

3.4%

1.2% KS

4.4%

0.5%

KY

3.8%

0.6%

ME

3.3%

0.3%

MN

4.7%

2.0%

MO

4.0%

1.3%

MS

2.2%

0.4%

MT

4.3%

0.3%

ND

2.1%

0.2%

NE

2.9%

0.5%

NM

3.7%

0.5%

NY

4.4%

5.3%

OH

2.9%

2.0%

OK

2.2%

0.7%

AL

2.5%

1.0%

SD

3.3%

0.2%

TX

4.6%

5.9%

VA

2.8%

3.5%

WI

4.7%

1.8%

WV

0.8%

0.2%

WY

0.4%

0.2%

AZ

7.4%

2.5%

AR

2.8%

0.5%

FL

8.7%

5.6%

GA

5.9%

2.6%

ID

6.6%

0.6%

NV

8.0%

1.0%

TN

5.4%

1.3%

UT

6.9%

1.2%

IA

2.7%

0.7%

IL

2.8%

3.9%

PA

1.4%

3.0%

Example

State:FL

GrowthRate:8.7%

UPB%**:5.6%

UnitedStates:4.7%

OneYearHomePriceChangeasof2016Q2*

*Source:FannieMae.HomepriceestimatesarebasedonpurchasetransactionsinFannie-FreddieacquisitionandpublicdeeddataavailablethroughtheendofJune2016.UPBestimatesarebasedondata

availablethroughtheendofJune2016.Includingsubsequentdatamayleadtomateriallydifferentresults.

**“UPB%”referstounpaidprincipalbalanceofloansonpropertiesintheapplicablestateasapercentageofunpaidprincipalbalanceofsingle-familyconventionalguarantybookofbusinessforwhichFannieMae

hasaccesstoloan-levelinformation.

©2016FannieMae.TrademarksofFannieMae. 4

AK

-1.5%

0.2%

Growth

Rate

UPB%**

CT

DC

DE

MA

MD

NH

NJ

RI

VT 0.2%

0.3%

3.8%

0.5%

2.7%

3.0%

0.4%

0.4%

1.3%

-0.3%

6.1%

2.2%

4.4%

1.3%

4.8%

1.5%

5.3%

0.2%

StateGrowthRate

Below0%

0%to5%

5%to10%

10%andAbove

HI

4.8%

0.8%
LA

16.4%

0.9%

SC

0.8%

1.2%

NC

2.7%

2.5%

MI

-8.3%

2.4%

FL

-25.5%

5.6%

NV

-30.3%

1.0%

AZ

-24.6%

2.5%

CA

-13.0%

19.6%

IL

-12.5%

3.9%

TX

28.4%

5.9%

UT

12.4%

1.2%

WY

15.7%

0.2%

CO

27.8%

2.8%

IA

12.7%

0.7%

KS

12.8%

0.5%

MT

15.7%

0.3%

ND

52.0%

0.2%

NE

13.9%

0.5%

OK

14.8%

0.7%

SD

21.9%

0.2%

GA

-5.0%

2.6%

VA

-9.0%

3.5%

ID

-2.3%

0.6%

ME

-1.3%

0.3%

MN

-3.4%

2.0%

NM

-4.9%

0.5%

NY

-2.2%

5.3%

OH

-2.7%

2.0%

WI

-0.6%

1.8%

AL

0.3%

1.0%

AR

4.0%

0.5%

MO

2.2%

1.3%

MS

0.7%

0.4%

OR

5.2%

1.7%

TN

8.0%

1.3%

WA

4.4%

3.6%

WV

4.4%

0.2%

IN

7.3%

1.2%

KY

8.7%

0.6%

PA

2.7%

3.0%

Example

State:FL

GrowthRate:-25.5%

UPB%**:5.6%

UnitedStates:-2.8%

HomePriceChangeFrom 2006Q3Through2016Q2*

*Source:FannieMae.HomepriceestimatesarebasedonpurchasetransactionsinFannie-FreddieacquisitionandpublicdeeddataavailablethroughtheendofJune2016.UPBestimatesarebasedondataavailablethroughthe

endofJune2016.Includingsubsequentdatamayleadtomateriallydifferentresults.

**“UPB%”referstounpaidprincipalbalanceofloansonpropertiesintheapplicablestateasapercentageofunpaidprincipalbalanceofsingle-familyconventionalguarantybookofbusinessforwhichFannieMaehasaccessto

loan-levelinformation.

Note:Homepricesonanationalbasisreachedapeakinthethirdquarterof2006.

©2016FannieMae.TrademarksofFannieMae. 5

AK

11.3%

0.2%

HI

2.3%

0.8%

Growth

Rate

UPB%**

CT

DC

DE

MA

MD

NH

NJ

RI

VT 0.2%

0.3%

3.8%

0.5%

2.7%

3.0%

0.4%

0.4%

1.3%

-3.6%

-19.1%

-18.8%

-9.0%

-18.1%

-0.4%

-13.1%

32.9%

-18.0%

StateGrowthRate

Below-30%

-30%to-15%

-15%to-5%

-5%to0%

0%to5%

5%to10%

10%andAbove
Q2 2016

Single-Family

Acquisitions

Excl.

Refi Plus

Q1 2016

Single-Family

Acquisitions

Excl.

Refi Plus

Full Year 2015

Single-Family

Acquisitions

Excl.

Refi Plus

Q4 2015

Single-Family

Acquisitions

Excl.

Refi Plus

Q3 2015

Single-Family

Acquisitions

Excl.

Refi Plus

Q2 2015

Single-Family

Acquisitions

Excl.

Refi Plus

Unpaid Principal Balance (UPB) ($B)

Weighted Average Origination Note Rate 3.83% 3.82%

$135.0 $129.2

4.02% 4.01%

$102.2 $96.4

3.98% 3.97%

$471.4 $441.0

4.04% 4.04%

$105.6 $99.7

4.05% 4.04%

$124.5 $117.6

3.87% 3.86%

$128.1 $118.9

Single-Family Acquisitions

5.2%

8.0%

20.6%

<= 60%

60.01% to 70%

70.01% to 80%

80.01% to 90%

90.01% to 100%

> 100%

Weighted Average Origination LTV Ratio 74.8%

0.0%

16.3%

12.2%

39.7%

13.8%

18.0%

74.7%

0.4%

16.0%

12.3%

38.9%

13.9%

18.5%

74.6%

0.0%

15.3%

12.0%

40.8%

13.8%

18.1%

74.5%

0.6%

15.0%

12.2%

39.6%

13.9%

18.7%

74.8%

0.0%

15.2%

12.3%

41.3%

13.6%

17.5%

74.8%

0.8%

14.9%

12.5%

40.0%

13.7%

18.2%

75.4%

0.0%

16.3%

13.0%

40.8%

13.0%

16.9%

75.3%

0.7%

15.9%

13.1%

39.7%

13.1%

17.5%

75.7%

0.0%

16.9%

12.7%

41.3%

12.5%

16.6%

75.6%

0.7%

16.6%

12.8%

40.1%

12.6%

17.1%

74.0%

0.0%

14.1%

11.6%

41.2%

14.3%

18.8%

74.0%

0.8%

13.8%

11.8%

39.7%

14.4%

19.6%

Origination Loan-to-Value (LTV) Ratio

< 620

620 to < 660

660 to < 700

700 to < 740

>=740

Weighted Average FICO Credit Score 751

63.6%

21.1%

11.4%

3.8%

0.0%

749

62.5%

21.0%

11.8%

4.2%

0.4%

748

61.2%

21.5%

12.6%

4.7%

0.0%

746

59.8%

21.4%

13.0%

5.2%

0.5%

750

63.5%

20.5%

11.7%

4.2%

0.0%

748

62.1%

20.4%

12.1%

4.7%

0.6%

748

61.2%

21.3%

12.6%

4.8%

0.0%

746

59.9%

21.2%

13.0%

5.3%

0.6%

749

62.4%

20.8%

12.2%

4.5%

0.0%

747

61.1%

20.7%

12.6%

5.0%

0.6%

753

65.8%

19.8%

10.6%

3.7%

0.0%

750

64.3%

19.7%

11.1%

4.3%

0.6%

FICO Credit Scores

Credit Characteristics of Single-Family Business Acquisitions

Fixed-rate

Adjustable-rate

Alt-A

Interest Only

Investor

Condo/Co-op

Refinance 51.3%

10.0%

5.7%

0.0%

0.0%

1.5%

98.5%

53.4%

9.9%

6.1%

0.0%

0.3%

1.5%

98.5%

50.9%

9.7%

6.6%

0.0%

0.0%

2.4%

97.6%

53.7%

9.7%

7.1%

0.0%

0.4%

2.3%

97.7%

51.6%

10.0%

7.2%

0.0%

0.0%

2.6%

97.4%

54.7%

10.0%

7.8%

0.0%

0.4%

2.5%

97.5%

46.7%

10.0%

6.8%

0.0%

0.0%

2.9%

97.1%

49.7%

9.9%

7.4%

0.0%

0.4%

2.8%

97.2%

42.9%

10.1%

7.2%

0.0%

0.0%

2.6%

97.4%

46.1%

10.0%

7.7%

0.0%

0.3%

2.5%

97.5%

56.6%

10.4%

7.0%

0.0%

0.0%

2.0%

98.0%

59.7%

10.3%

7.7%

0.0%

0.4%

1.9%

98.1%

Certain Characteristics

Purchase

Cash-out refinance

Other refinance 32.1%

19.2%

48.7%

35.0%

18.4%

46.6%

29.4%

21.6%

49.1%

33.4%

20.4%

46.3%

31.7%

19.9%

48.4%

36.1%

18.6%

45.3%

26.2%

20.5%

53.3%

30.4%

19.3%

50.3%

23.6%

19.3%

57.1%

27.9%

18.2%

53.9%

37.0%

19.5%

43.4%

41.6%

18.1%

40.3%

Loan Purpose

Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization transactions.

Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes the Home Affordable Refinance Program ® (“HARP ®”). Our Refi Plus initiative provides expanded refinance

opportunities for eligible Fannie Mae borrowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.

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

Newly originated Alt-A loans for the applicable periods consist of the refinance of existing loans under our Refi Plus initiative. For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Q2 Form 10-Q.

Single-Family Acquisitions

4.9%

6.9%

24.8%

Single-Family Acquisitions

5.3%

7.2%

21.0%

Single-Family Acquisitions

5.0%

7.2%

23.0%

(1)

(2)

(3)

(4)

Single-Family Acquisitions

5.8%

7.6%

21.7%

Single-Family Acquisitions

California

Texas

Florida 5.4%

7.1%

23.0%

© 2016 Fannie Mae. Trademarks of Fannie Mae. 6

Acquisition Period

(4)

(2) (2) (2) (2) (2) (2)

(3)

(1)

Top 3 Geographic Concentrations
Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization

transactions.

FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. FICO credit scores below 620 primarily consist of the refinance of existing loans under our Refi Plus initiative, which

includes the Home Affordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae borrowers, and may involve the refinance of existing

Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.

Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes HARP.

<= 60%

60.01%

to 80%

80.01%

to 100% > 100% Total

>=740

660 to < 740

620 to < 660

< 620

Total 100.0%

0.5%

4.6%

33.5%

61.3%

0.5%

0.1%

0.1%

0.2%

0.2%

27.8%

0.1%

1.2%

10.8%

15.8%

53.1%

0.2%

2.5%

17.6%

32.8%

18.6%

0.1%

0.9%

5.0%

12.6%

<= 60%

60.01%

to 80%

80.01%

to 100% > 100% Total

>=740

660 to < 740

620 to < 660

< 620

Total 100.0%

0.6%

4.4%

31.4%

63.6%

0.8%

0.1%

0.1%

0.3%

0.3%

25.6%

0.2%

1.1%

9.7%

14.7%

54.5%

0.2%

2.4%

16.8%

35.1%

19.1%

0.1%

0.8%

4.6%

13.5%

<= 60%

60.01%

to 80%

80.01%

to 95% >95% Total

>=740

660 to < 740

620 to < 660

Total 100.0%

4.2%

33.2%

62.6%

2.0%

0.1%

1.0%

1.0%

25.9%

0.9%

9.8%

15.2%

54.0%

2.4%

17.7%

33.8%

18.1%

0.8%

4.7%

12.6%

<= 60%

60.01%

to 80%

80.01%

to 95% >95% Total

>=740

660 to < 740

620 to < 660

Total 100.0%

3.9%

31.0%

65.1%

1.3%

0.1%

0.7%

0.6%

24.4%

0.8%

9.0%

14.5%

56.0%

2.3%

17.1%

36.6%

18.3%

0.7%

4.3%

13.4%

Credit Profile for Single-Family Acquisitions (Excluding Refi Plus)

FICO Credit ScoreFICO Credit ScoreFICO Credit Score

FICO Credit ScoreFICO Credit ScoreFICO Credit Score

(1)

(2)

(3)

© 2016 Fannie Mae. Trademarks of Fannie Mae. 7

<= 60%

60.01%

to 80%

80.01%

to 100% > 100% Total

>=740

660 to < 740

620 to < 660

<620

Total 0.0%

-0.1%

0.2%

2.2%

-2.3%

-0.3%

0.0%

0.0%

-0.1%

-0.1%

2.2%

0.0%

0.1%

1.1%

1.1%

-1.4%

0.0%

0.1%

0.8%

-2.3%

-0.5%

0.0%

0.1%

0.4%

-0.9%

<= 60%

60.01%

to 80%

80.01%

to 95% >95% Total

>=740

660 to < 740

620 to < 660

Total 0.0%

0.3%

2.2%

-2.5%

0.7%

0.0%

0.3%

0.4%

1.6%

0.1%

0.8%

0.7%

-2.0%

0.1%

0.6%

-2.7%

-0.3%

0.1%

0.5%

-0.8%

Credit Profile for Single-Family Acquisitions

Credit Risk Profile Summary of Single-Family Business Acquisitions

For the Six

Months Ended

June 30, 2016

For the Six

Months Ended

June 30, 2016

For the Six

Months Ended

June 30, 2015

For the Six

Months Ended

June 30, 2015

Change in

Acquisitions

Profile

Change in

Acquisitions

 Profile

Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio

Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio

(2)(2)(2)

(2)(2)(2)

(3)

(1)
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

40%

60%

80%

100%

Origination LTV Ratio

0%

5%

10%

15%

20%

% of Single-Family Business Acquisitions

Origination Loan-to-Value (OLTV) Ratio

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

660

680

700

720

740

760

780

FICO Credit Score

0%

5%

10%

15%

20%

% of Single-Family Business Acquisitions

FICO Credit Score

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

0%

20%

40%

60%

80%

100%

% of Single-Family Business Acquisitions

Share of Single-Family Business Acquisitions:

Fixed-rate Product

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

0%

20%

40%

60%

80%

100%

% of Single-Family Business Acquisitions

Share of Single-Family Business Acquisitions:

Loan Purpose - Purchase

Product Feature

Weighted Average Origination LTV Ratio Origination LTV > 90% Weighted Average FICO Credit Score FICO Credit Score < 620

Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization

transactions.

FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. Loans acquired after 2009 with FICO credit scores below 620 primarily consist of the refinance of existing loans under

our Refi Plus initiative, which includes HARP.

Certain Credit Characteristics of Single-Family Business Acquisitions: 2005 - 2016

(1)

(2)

.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 8

* Year-to-date through June 30, 2016.

(2)

(1)

* *

* *
2009 2010 2011 2012 2013 2014 2015 2016

0%

20%

40%

60%

80%

100%

% of Single-Family Business Acquisitions

2% 2%

4% 3%

6% 10% 10%

16% 14%

4%

6%

9% 9%

14% 14%

7%

36% 48% 49%

48%

54% 52% 55%

69%

45% 46% 52%

30%

20% 23% 24% 21%

Single-Family Business Acquisitions by Loan Purpose

HARP Refi Plus Acquisitions (Excluding HARP) Refinance Acquisitions (Excluding Refi Plus) Purchase Acquisitions

2009

HARP

Refi Plus

(Excl.

HARP)

2010

HARP

Refi Plus

(Excl.

HARP)

2011

HARP

Refi Plus

(Excl.

HARP)

2012

HARP

Refi Plus

(Excl.

HARP)

2013

HARP

Refi Plus

(Excl.

HARP)

2014

HARP

Refi Plus

(Excl.

HARP)

2015

HARP

Refi Plus

(Excl.

HARP)

2016

HARP

Refi Plus

(Excl.

HARP)

Unpaid Principal Balance (UPB) ($B)

Weighted Average Origination Note Rate 4.85%

$44.7

5.05%

$27.9

4.68%

$80.5

5.00%

$59.0

4.44%

$81.2

4.78%

$55.6

3.89%

$73.8

4.14%

$129.9

3.80%

$64.4

4.04%

$99.5

4.39%

$23.5

4.62%

$21.5

4.08%

$19.2

4.23%

$11.2

4.02%

$7.4

4.16%

$4.1

Credit Characteristics of Single-Family Business Acquisitions Under the Refi Plus Initiative

Our Refi Plus initiative, which started in April 2009, includes the Home Affordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae

borrowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.

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

© 2016 Fannie Mae. Trademarks of Fannie Mae. 9

<=80%

80.01% to 105%

105.01% to 125%

>125%

Weighted Average Origination LTV Ratio 63.3%

0.0%

0.0%

0.0%

100.0%

90.7%

0.0%

0.9%

99.1%

0.0%

62.3%

0.0%

0.0%

0.0%

100.0%

92.2%

0.0%

5.6%

94.4%

0.0%

60.2%

0.0%

0.0%

0.0%

100.0%

94.3%

0.0%

11.9%

88.1%

0.0%

61.1%

0.0%

0.0%

0.0%

100.0%

111.0%

20.7%

22.1%

57.2%

0.0%

60.2%

0.0%

0.0%

0.0%

100.0%

109.8%

20.1%

21.5%

58.4%

0.0%

61.3%

0.0%

0.0%

0.0%

100.0%

101.5%

9.9%

16.9%

73.3%

0.0%

60.4%

0.0%

0.0%

0.0%

100.0%

98.4%

7.0%

15.0%

78.0%

0.0%

60.4%

0.0%

0.0%

0.0%

100.0%

97.5%

5.9%

14.1%

80.0%

0.0%

Origination LTV Ratio

< 620

620 to < 660

660 to < 740

>=740

Weighted Average FICO Credit Score 762

74.5%

23.0%

1.7%

0.8%

749

64.4%

31.9%

2.5%

1.2%

760

72.3%

23.9%

2.4%

1.4%

746

61.2%

33.1%

3.6%

2.0%

758

70.0%

25.6%

2.8%

1.7%

746

61.5%

32.6%

3.8%

2.1%

753

66.9%

26.0%

4.2%

2.9%

738

56.6%

33.8%

6.0%

3.7%

737

55.8%

31.9%

6.9%

5.3%

722

45.1%

38.7%

9.5%

6.7%

717

43.0%

36.5%

11.2%

9.3%

704

33.9%

41.0%

14.5%

10.6%

722

46.3%

34.4%

10.5%

8.8%

706

34.8%

41.1%

14.6%

9.5%

714

40.7%

37.5%

11.9%

9.9%

702

31.2%

43.6%

15.6%

9.6%

FICO Credit Scores

(1)

(2)

* Year-to-date through June 30, 2016.

Acquisition Year

(1)

(2)

*

*

Acquisitions
Overall Book

Origination Year

2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 and

Earlier

Unpaid Principal Balance (UPB) ($B)

Share of Single-Family Conventional Guaranty Book

Average Unpaid Principal Balance

Serious Delinquency Rate

Weighted Average Origination LTV Ratio

Origination LTV Ratio > 90%

Weighted Average Mark-to-Market LTV Ratio

Mark-to-Market LTV Ratio > 100% and <= 125%

Mark-to-Market LTV Ratio > 125%

Weighted Average FICO Credit Score

FICO < 620

Interest Only

Negative Amortizing

Fixed-rate

Primary Residence

Condo/Co-op

Credit Enhanced

Cumulative Default Rate n/a

19.4%

9.4%

88.1%

93.4%

0.1%

1.9%

2.2%

744

0.6%

1.9%

59.8%

16.5%

75.0%

1.32%

$161,368

100.0%

$2,767.5

n/a

16.3%

9.2%

89.3%

69.9%

1.0%

12.2%

9.2%

699

2.7%

7.5%

63.2%

14.1%

75.0%

4.58%

$98,169

12.7%

$351.5

4.9%

23.9%

10.6%

88.0%

72.3%

0.0%

8.6%

6.4%

713

1.1%

4.8%

65.9%

12.6%

74.8%

5.22%

$140,478

1.7%

$46.1

0.8%

4.8%

8.7%

90.6%

97.3%

0.0%

1.1%

0.9%

752

0.0%

0.3%

52.0%

6.5%

69.6%

0.95%

$143,262

4.2%

$116.4

0.6%

5.5%

8.2%

89.2%

96.3%

0.0%

0.9%

0.8%

756

0.0%

0.3%

50.1%

10.3%

71.1%

0.57%

$146,831

6.0%

$166.9

0.3%

7.8%

8.4%

87.1%

95.7%

0.0%

0.5%

0.8%

757

0.0%

0.2%

48.5%

12.4%

71.2%

0.42%

$148,216

7.3%

$201.6

0.3%

12.5%

8.8%

88.7%

97.8%

0.0%

0.3%

1.1%

759

0.4%

1.6%

52.7%

19.0%

76.4%

0.30%

$179,334

19.2%

$531.7

0.2%

18.7%

10.1%

86.1%

97.8%

0.0%

0.2%

1.7%

750

0.5%

1.9%

58.2%

20.5%

76.7%

0.36%

$176,774

16.8%

$463.6

0.1%

38.2%

9.8%

86.4%

96.0%

0.0%

0.0%

1.3%

743

0.2%

0.8%

65.8%

19.7%

77.0%

0.32%

$183,417

9.9%

$273.7

0.0%

30.3%

9.9%

88.3%

97.7%

0.0%

0.0%

0.6%

748

0.1%

0.4%

68.7%

16.3%

75.0%

0.08%

$211,803

15.4%

$424.9

0.0%

27.1%

9.7%

89.8%

98.6%

0.0%

0.0%

0.5%

748

0.1%

0.3%

72.9%

16.1%

74.6%

0.00%

$225,812

6.9%

$191.1

Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information

for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2016.

FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. Loans acquired after 2009 with FICO credit scores below 620 primarily consist of the refinance of existing loans under

our Refi Plus initiative, which includes HARP.

Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae has access to loan-level

information.

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. For 2007 and earlier cumulative default rates, refer to slide 18.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 10

(1)

(2)

(3)

(4)

.

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year

(1)

(1)

(2)

(2)

(3)

(4)

As of June 30, 2016
Categories Not Mutually Exclusive

Interest Only

Loans

Loans with

FICO < 620

Loans with FICO ≥

620 and < 660

Loans with

Origination LTV

Ratio > 90%

Loans with FICO

< 620 and

Origination LTV

Ratio > 90%

Alt-A Loans Refi Plus

Including HARP

Unpaid Principal Balance (UPB) ($B)

Share of Single-Family Conventional Guaranty Book

Average Unpaid Principal Balance

Serious Delinquency Rate

Acquisition Years 2005-2008

Weighted Average Origination LTV Ratio

Origination LTV Ratio > 90%

Weighted Average Mark-to-Market LTV Ratio

Mark-to-Market LTV Ratio > 100% and <= 125%

Mark-to-Market LTV Ratio > 125%

Weighted Average FICO Credit Score

FICO < 620

Fixed-rate

Primary Residence

Condo/Co-op

Credit Enhanced 12.1%

9.4%

84.4%

98.9%

5.2%

733

1.3%

4.9%

63.8%

39.4%

86.6%

0.0%

0.74%

$149,919

16.7%

$463.2

10.0%

9.7%

77.0%

65.8%

3.0%

711

3.7%

10.5%

71.3%

16.3%

78.7%

58.6%

5.68%

$145,854

3.4%

$94.7

53.0%

5.9%

94.1%

89.0%

100.0%

583

7.8%

18.2%

89.7%

100.0%

108.4%

29.9%

8.04%

$132,282

0.7%

$18.3

64.6%

9.8%

92.7%

96.2%

4.0%

730

2.4%

7.2%

83.0%

100.0%

103.3%

8.6%

2.03%

$171,724

16.5%

$455.3

22.0%

6.1%

93.1%

87.7%

0.0%

642

2.0%

5.6%

67.4%

22.9%

79.1%

28.0%

4.34%

$134,736

5.4%

$150.6

22.2%

4.7%

94.4%

84.2%

100.0%

583

3.2%

8.4%

69.9%

30.3%

81.9%

40.2%

7.04%

$117,027

2.2%

$60.2

13.6%

14.5%

85.7%

23.7%

1.6%

722

4.8%

14.1%

78.0%

8.2%

74.3%

81.9%

7.01%

$227,434

1.9%

$53.0

Loans with multiple product features are included in all applicable categories. The subtotal is calculated by counting a loan only once even if it is included in multiple categories.

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

For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Q2 Form 10-Q.

Our Refi Plus initiative, which started in April 2009, includes the Home Affordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae

borrowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.

Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information

for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2016.

Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae had access to loan-level

information.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 11

Subtotal of

Certain Product

Features

34.0%

8.8%

89.8%

90.5%

6.4%

719

1.5%

4.8%

69.7%

48.3%

85.8%

16.2%

2.43%

$151,269

34.1%

$942.7

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Certain Product Features

(1)

(2)

(3)

(4)

(5)

(6)

.

(1)

(2) (3)

(2)

(2)

(4)

(5)

(5)

(6)

As of June 30, 2016 (2)

(2)

(1)
Midwest

Northeast

Southeast

Southwest

West 4.4%

5.5%

19.9%

53.0%

17.3%

939

655

975

1,433

675

4,714

4,487

13,704

12,435

10,641

1,986

2,039

7,398

4,251

4,638

1,158

1,813

4,508

3,377

3,148

0.68%

0.81%

1.53%

2.53%

1.16%

11.0%

11.5%

27.7%

33.1%

16.7%

1.6%

1.1%

3.8%

3.1%

2.6%

53.0%

60.2%

64.0%

61.1%

64.6%

28.0%

16.8%

22.0%

18.4%

14.8%

$775.7

$463.8

$609.0

$509.8

$409.2

Regions

Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of June 30, 2016. Excludes non-Fannie Mae securities held in portfolio and those Alt-A and

subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information for approximately 99% of its single-family conventional guaranty book of

business as of June 30, 2016.

“Seriously delinquent loans” refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process. “Seriously delinquent loan share” refers to the percentage of our singlefamily seriously delinquent loan population in the applicable state or region. “Serious delinquency rate” refers to the number of single-family conventional loans that were seriously delinquent in the applicable

state or region, divided by the number of loans in our single-family conventional guaranty book of business in that state or region.

Measured from the borrowers’ last paid installment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed during the first six months of 2016. Home

Equity Conversion Mortgages (HECMs) insured by HUD are excluded from this calculation.

Expressed as a percentage of credit losses for the single-family guaranty book of business. Credit losses consist of (a) charge-offs, net of recoveries and (b) foreclosed property expense (income), adjusted to

exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. For information on total credit losses, refer to Fannie Mae’s 2016 Q2 Form 10-Q.

Select states represent the top ten states in UPB of the single-family conventional guaranty book of business as of June 30, 2016.

For information on which states are included in each region, refer to the single-family mortgage credit risk management discussion in Fannie Mae’s 2016 Q2 Form 10-Q.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 12

Credit Characteristics of Single-Family Conventional Guaranty Book of Business and Single-Family Real Estate

Owned (REO) in Select States

SF Conventional Guaranty Book of Business

 as of June 30, 2016

Seriously Delinquent Loans

as of June 30, 2016 Real Estate Owned (REO) Credit Loss

(1)

(2)

(3)

(4)

(5)

(6)

All States $2,767.5 100.0% 59.8% 2.4% 100.0% 1.32% 14,004 20,312 45,981 972 100.0%

Unpaid Principal

Balance (UPB)

($B)

Share of

Single-Family

Conventional

Guaranty Book

Weighted

Average

Mark-to-Market

LTV Ratio

Mark-to-Market

LTV >100%

Seriously

Delinquent Loan

Share

Serious

Delinquency

Rate

Q2 2016

Acquisitions

(# of properties)

Q2 2016

Dispositions

(# of properties)

REO Ending

Inventory

as of 6/30/16

Average Days to

Foreclosure

% of YTD 2016

Credit Losses

California

Texas

Florida

New York

Illinois

New Jersey

Washington

Virginia

Pennsylvania

Massachusetts 2.2%

4.6%

1.7%

0.8%

17.7%

8.0%

21.9%

7.5%

0.7%

1.5%

1,306

936

584

1,010

1,755

890

1,741

1,407

729

654

1,322

1,914

1,036

879

4,189

3,675

2,589

5,751

894

1,767

391

908

448

300

1,223

1,529

828

3,674

491

841

300

638

378

205

1,007

836

644

1,920

353

494

1.55%

1.77%

0.83%

0.81%

3.88%

1.57%

3.03%

2.27%

0.69%

0.52%

2.8%

4.8%

1.9%

1.9%

9.3%

5.3%

10.5%

11.1%

3.5%

5.4%

0.8%

1.8%

1.9%

0.7%

6.3%

5.7%

2.7%

8.3%

0.1%

1.4%

56.9%

63.7%

62.2%

56.3%

65.9%

66.7%

56.3%

65.6%

58.0%

50.7%

3.0%

3.0%

3.5%

3.6%

3.8%

3.9%

5.3%

5.6%

5.9%

19.6%

$81.7

$83.3

$96.4

$98.5

$106.2

$108.8

$147.7

$155.1

$164.2

$543.7

(1) (2)

(3) (4)

(6)

Select States(5) (2) (2)

Total
Based on states with the largest volume of seriously delinquent loans in our single-family conventional guaranty book of business as of June 30, 2016.

“Seriously delinquent loan share” refers to the percentage of our single-family seriously delinquent loan population in the applicable state.

Share of REO ending inventory calculated as the number of properties in the single-family REO ending inventory for the state divided by the total number of single-family properties in the REO ending inventory

for the specified time period.

Our single-family serious delinquency rate and the period of time that loans remain seriously delinquent continue to be negatively impacted by the length of time required to

complete a foreclosure in some states. Longer foreclosure timelines result in these loans remaining in our book of business for a longer time, which has caused our serious

delinquency rate to decrease more slowly in the last few years than it would have if the pace of foreclosures had been faster.

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

2015

Q4

2016

Q1

2016

Q2

0K

50K

100K

150K

200K

250K

300K

350K

400K

SDQ Volume

0%

5%

10%

15%

20%

226K

384K

10.5%

18.3%

11.1%

9.2%

9.0% 9.3%

5.7%

5.4% 5.3%

5.4%

Seriously Delinquent Loan Share by Select States

California

Florida

Illinois

New Jersey

New York

SDQ Volume

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

2015

Q4

2016

Q1

2016

Q2

0K

20K

40K

60K

80K

100K

120K

REO Ending Inventory

0%

5%

10%

15%

20%

25%

46K

102K

9.1%

1.4%

5.6%

2.0%

10.8%

8.0%

21.0%

12.5%

4.5%

3.8%

REO Ending Inventory Share by Select States

California

Florida

Illinois

New Jersey

New York

REO Ending Inventory

(1)

(2)

(3)

.

Seriously Delinquent Loan and REO Ending Inventory Share by Select States

© 2016 Fannie Mae. Trademarks of Fannie Mae. 13

(1)

(2) (3)
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance (UPB) of Mortgage Loans

Q1

2014

Q2

2014

Q3

2014

Q4

2014

Q1

2015

Q2

2015

Q3

2015

Q4

2015

Q1

2016

Q2

2016

60%

70%

80%

90%

67.6% 68.6%

69.8%

72.4% 72.6% 73.1% 75.0%72.5%

69.2% 69.3%

73.8%

75.2%

76.3%

79.3% 79.9%

81.9%

79.3%

75.7% 75.9%

79.7%

REO Direct Sale Dispositions: Sales Prices to UPB

Net Sales Prices to UPB Trends for Top 10 States

REO Gross Sales/UPB REO Net Sales/UPB

Q1

2014

Q2

2014

Q3

2014

Q4

2014

Q1

2015

Q2

2015

Q3

2015

Q4

2015

Q1

2016

Q2

2016

60%

70%

80%

90%

70.6% 72.2% 72.6%

73.8% 73.5% 73.3%

72.2%

73.6% 74.1%

71.7%

78.6%

80.4% 80.7%

82.0% 81.7%

80.4%

82.0% 82.7% 82.4%

79.7%

Short Sales: Sales Prices to UPB

Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016

Florida

Illinois

New Jersey

Maryland

Pennsylvania

Ohio

Michigan

New York

California

Georgia 81.3%

86.6%

64.5%

65.7%

62.4%

66.6%

73.8%

61.0%

63.2%

79.5%

79.4%

82.6%

61.4%

66.0%

62.6%

61.0%

71.4%

59.6%

63.9%

78.3%

78.0%

84.3%

67.8%

66.8%

62.9%

62.8%

69.5%

58.5%

60.9%

77.5%

77.5%

83.1%

62.9%

65.7%

63.4%

61.3%

67.3%

58.8%

63.9%

74.8%

78.3%

84.0%

61.7%

64.6%

62.7%

63.0%

67.5%

57.7%

64.5%

73.5%

Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016

Florida

Illinois

New Jersey

California

New York

Maryland

Nevada

Arizona

Virginia

Pennsylvania 73.6%

80.3%

79.1%

74.4%

70.8%

71.6%

81.2%

64.9%

65.8%

71.8%

75.1%

77.5%

74.8%

71.2%

71.2%

72.1%

79.4%

66.0%

66.1%

73.9%

72.1%

77.2%

78.8%

69.5%

69.1%

74.1%

81.3%

66.6%

66.3%

72.3%

74.5%

76.7%

77.5%

70.5%

70.6%

73.1%

80.0%

66.9%

66.8%

72.0%

75.0%

77.9%

77.0%

71.5%

70.3%

72.8%

78.3%

65.7%

64.5%

72.7%

Short Sales Gross Sales/UPB Short Sales Net Sales/UPB

Includes REO properties that have been sold to a third party (excluding properties that have been repurchased by the seller/servicer, acquired by a mortgage insurance company, redeemed by a borrower, or

sold through the FHFA Rental Pilot).

Sales Prices to UPB are calculated as the sum of sales proceeds received divided by the aggregate unpaid principal balance (UPB) of the related loans. Gross sales price represents the contract sale price. Net

sales price represents the contract sale price less charges/credits paid by or due to the seller or other parties at closing.

The states shown had the greatest volume of properties sold in the first six months of 2016 in each respective category.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 14

(1)

(2)

(3)

(1) (2) (2)

(2)(3)

REO Net Sales

Prices to UPB

Short Sales

Net Sales

Prices to UPB
Foreclosure Alternatives

Consists of (a) modifications, which do not include trial modifications, loans to certain borrowers who have received bankruptcy relief that are accounted for as troubled debt restructurings, or repayment plans

or forbearances that have been initiated but not completed and (b) repayment plans and forbearances completed.

Consists of (a) short sales, in which the borrower, working with the servicer and Fannie Mae, sells the home prior to foreclosure for less than the amount owed to pay off the loan, accrued interest and other

expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borrower’s voluntarily signing over title to the property.

Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016

5K

10K

15K

20K

25K

30K

35K

40K

45K

# of Loans

3K 3K

3K

2K

2K 2K 2K

7K 7K 2K 2K 2K

5K 4K 4K 4K 4K 3K 3K 3K

10K 10K

8K

7K

6K 6K 6K 5K 5K 4K

© 2016 Fannie Mae. Trademarks of Fannie Mae. 15

Short Sales

Deeds-in-Lieu

Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016

0K

5K

10K

15K

20K

25K

30K

35K

40K

45K

# of Loans

21K 21K

19K

22K

26K 27K 26K

29K

32K

36K

2K 1K

1K

1K

2K 2K

2K

2K

2K

2K

38K

34K

31K

28K

29K

28K

24K

20K

22K 23K

Modifications

Repayment Plans and Forbearances Completed

(1)

(2)

.

Home Retention Solutions

Single-Family Loan Workouts

(1) (2)
Modifications reflect permanent modifications which does not include loans currently in trial modifications.

Defined as total number of completed modifications for the time periods noted.

2013 Q3 2013 Q4 2014 Q1 2014 Q2 2014 Q3 2014 Q4 2015 Q1 2015 Q2 2015 Q3 2015 Q4 2016 Q1

Modifications 37,337 39,159 36,044 32,010 28,861 25,908 26,700 26,214 22,199 19,099 20,899

Re-performance Rates of Modified Single-Family Loans

© 2016 Fannie Mae. Trademarks of Fannie Mae. 16

(1)

(2)

3 Months Post Modification

6 Months Post Modification

9 Months Post Modification

12 Months Post Modification

15 Months Post Modification

18 Months Post Modification

21 Months Post Modification

24 Months Post Modification n/a

n/a

n/a

n/a

n/a

n/a

n/a

79%

n/a

n/a

n/a

n/a

n/a

n/a

72%

78%

n/a

n/a

n/a

n/a

n/a

67%

69%

76%

n/a

n/a

n/a

n/a

67%

67%

69%

77%

n/a

n/a

n/a

66%

67%

68%

72%

79%

n/a

n/a

67%

66%

67%

70%

74%

80%

n/a

68%

67%

67%

69%

71%

74%

79%

69%

68%

66%

67%

70%

71%

72%

79%

70%

69%

70%

71%

72%

72%

76%

83%

70%

71%

71%

72%

73%

74%

79%

84%

72%

72%

72%

72%

73%

76%

79%

83%

% Current or Paid Off

(1)

(2)
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of December 31 for the time periods noted, with the exception of 2016 which is as of June 30, 2016.

Based on the single-family credit losses for the year ended December 31 for the time periods noted, with the exception of 2016 which is through June 30, 2016. Credit losses consist of (a) charge-offs, net of recoveries and (b)

foreclosed property expense (income), adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. Does not reflect the impact of recoveries that have not been allocated to

specific loans. Negative values are the result of recoveries on previously recognized credit losses. Beginning in 2015, includes the impact of credit losses associated with our redesignation from held for investment to held for

sale of certain nonperforming single-family loans expected to be sold in the foreseeable future. Also, 2015 credit losses include the impact of our approach to adopting the charge-off provisions of the Federal Housing Finance

Agency’s Advisory Bulletin AB 2012-02, “Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention” on January 1, 2015.

Loans with multiple product features are included in all applicable categories. Categories are not mutually exclusive.

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

Newly originated Alt-A loans acquired after 2008 consist of the refinance of existing loans under our Refi Plus Initiative. For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Q2 Form 10-Q.

For a description of our subprime loan classification criteria, refer to Fannie Mae’s 2015 Form 10-K.

Select states represent the top ten states with the highest percentage of single-family credit losses for the six months ended June 30, 2016.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 17

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

(1)

(2)

(3)

(4)

(5)

(6)

(7)

% of Single-Family Conventional Guaranty Book of Business

2016 2015 2014 2013 2012 2011

% of Single-Family Credit Losses

2016 2015 2014 2013 2012 2011

Negative Amortizing

Interest Only

FICO < 620

FICO 620 to < 660

Origination LTV Ratio > 90%

FICO < 620 and Origination LTV Ratio > 90%

Alt-A

Subprime

Refi Plus including HARP 11.2%

0.2%

6.6%

0.7%

10.0%

6.7%

3.2%

4.7%

0.3%

16.5%

0.2%

5.6%

0.7%

12.8%

6.0%

2.9%

3.7%

0.3%

19.5%

0.1%

4.7%

0.7%

15.1%

5.5%

2.6%

2.9%

0.2%

19.1%

0.1%

4.2%

0.7%

15.9%

5.5%

2.5%

2.5%

0.2%

17.6%

0.1%

3.7%

0.7%

16.3%

5.5%

2.3%

2.1%

0.1%

16.7%

0.1%

3.4%

0.7%

16.5%

5.4%

2.2%

1.9%

0.1%

1.4%

0.6%

27.3%

2.2%

14.0%

14.7%

7.9%

25.8%

1.2%

3.5%

1.1%

23.7%

2.3%

16.8%

14.2%

7.8%

21.8%

0.5%

7.4%

-0.2%

26.0%

2.0%

20.8%

15.7%

7.0%

18.7%

0.8%

10.4%

1.3%

17.4%

2.9%

15.3%

17.6%

12.1%

10.2%

0.9%

7.8%

1.6%

29.3%

2.7%

16.4%

18.3%

11.1%

18.0%

1.2%

13.3%

1.5%

26.0%

3.1%

18.6%

20.7%

13.6%

11.8%

0.4%

2009 - 2016

2005 - 2008

2004 & Prior 18.0%

30.4%

51.6%

13.1%

21.7%

65.3%

9.1%

14.7%

76.2%

7.3%

12.2%

80.5%

5.8%

10.1%

84.1%

5.2%

9.2%

85.6%

14.8%

82.9%

2.4%

13.1%

81.8%

5.1%

12.4%

77.6%

10.0%

12.0%

74.7%

13.3%

12.1%

77.6%

10.3%

16.7%

65.5%

17.9%

Vintage

New York

New Jersey

Illinois

Florida

Pennsylvania

Maryland

Ohio

Connecticut

Massachusetts

Michigan

All Other States 64.6%

2.5%

3.1%

1.4%

2.3%

2.9%

3.0%

6.3%

4.3%

4.0%

5.6%

65.1%

2.5%

3.1%

1.4%

2.2%

2.8%

3.1%

6.0%

4.2%

4.0%

5.6%

65.8%

2.4%

3.1%

1.4%

2.1%

2.8%

3.1%

5.7%

4.1%

4.0%

5.6%

66.2%

2.4%

3.0%

1.3%

2.1%

2.7%

3.0%

5.6%

4.1%

4.0%

5.5%

66.7%

2.4%

3.0%

1.3%

2.0%

2.7%

3.0%

5.6%

4.0%

3.9%

5.4%

66.9%

2.4%

3.0%

1.3%

2.0%

2.7%

3.0%

5.6%

3.9%

3.8%

5.3%

73.2%

5.8%

1.2%

0.3%

2.1%

0.6%

0.8%

11.0%

3.5%

0.8%

0.6%

53.2%

4.5%

1.0%

0.9%

3.3%

1.8%

1.6%

21.4%

9.6%

2.0%

0.9%

37.1%

3.2%

0.8%

1.4%

4.1%

3.1%

3.0%

28.9%

12.9%

3.7%

1.9%

24.7%

1.7%

1.0%

2.8%

4.2%

5.9%

4.2%

32.6%

10.9%

7.2%

4.8%

18.4%

1.5%

1.9%

2.3%

2.2%

3.8%

3.4%

20.8%

7.8%

21.6%

16.4%

26.4%

2.0%

2.2%

2.6%

3.5%

3.7%

4.6%

7.5%

8.0%

17.7%

21.9%

Select State

(1) (2)

(3)

(4)

(4)

(4)

(5)

(6)

(7)

Certain Product Features
© 2016 Fannie Mae. Trademarks of Fannie Mae. 18

Note: 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 June 30, 2016 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods. Yr1-Q1 Yr1-Q2 Yr1-Q3 Yr1-Q4 Yr2-Q1 Yr2-Q2 Yr2-Q3 Yr2-Q4 Yr3-Q1 Yr3-Q2 Yr3-Q3 Yr3-Q4 Yr4-Q1 Yr4-Q2 Yr4-Q3 Yr4-Q4 Yr5-Q1 Yr5-Q2 Yr5-Q3 Yr5-Q4 Yr6-Q1 Yr6-Q2 Yr6-Q3 Yr6-Q4 Yr7-Q1 Yr7-Q2 Yr7-Q3 Yr7-Q4 Yr8-Q1 Yr8-Q2 Yr8-Q3 Yr8-Q4 Yr9-Q1 Yr9-Q2

Yr9-Q3

Yr9-Q4

Yr10-Q1

Yr10-Q2

Yr10-Q3

Yr10-Q4

Yr11-Q1

Yr11-Q2

Yr11-Q3

Yr11-Q4

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

Cumulative Default Rate

2007

2006

2005

2008

2004

2003

2002

2012 2011 2010 2009

2014 2013

2016 2015

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

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

Time Since Beginning of Origination Year
Loan Count UPB ($B)

% of Multifamily

Guaranty Book of

Business

% DUS ® Loans % Seriously

Delinquent

YTD 2016

Multifamily Credit

Losses ($M)

2015 Multifamily

Credit Losses ($M)

2014 Multifamily

Credit Losses ($M)

Total Multifamily Guaranty Book of Business 29,342 $223.5 100% 96% 0.07% $8 ($56) ($46)

Multifamily Credit Profile by Loan Attributes

Loans maturing in 2016

Loans maturing in 2017

Loans maturing in 2018

Loans maturing in 2019

Loans maturing in 2020

Other maturities ($34)

$2

$1

($4)

($19)

$8

($32)

($1)

($2)

$0

($15)

($6)

$3

$3

$1

$2

($1)

$0

0.03%

0.13%

0.30%

0.07%

0.20%

0.68%

97%

97%

98%

96%

77%

83%

74%

7%

8%

6%

5%

1%

$165.0

$16.1

$17.5

$12.8

$10.9

$1.3

19,491

2,531

2,252

2,249

2,389

430

Maturity Dates

Less than or equal to 70%

Greater than 70% and less than or equal to 80%

Greater than 80% $3

($38)

($11)

$2

($34)

($24)

$3

$5

$0

0.03%

0.10%

0.06%

94%

99%

94%

2%

44%

54%

$5.1

$98.3

$120.2

1,508

9,490

18,344

Origination LTV Ratio

Less than or equal to $750K

Greater than $750K and less than or equal to $3M

Greater than $3M and less than or equal to $5M

Greater than $5M and less than or equal to $25M

Greater than $25M ($9)

($53)

($9)

$19

$5

($15)

($60)

$9

$9

$1

($1)

($2)

$6

$4

$0

0.04%

0.06%

0.21%

0.26%

0.24%

98%

98%

92%

80%

22%

45%

42%

7%

6%

1%

$100.4

$93.2

$14.6

$13.9

$1.4

1,960

8,746

4,011

8,986

5,639

Loan Size Distribution

(1)

(2)

(3)

(4)

(5)

(6)

Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.

Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.

Dollar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period may not tie to sum of all categories due to rounding.

Weighted average origination loan-to-value ratio is 66% as of June 30, 2016.

Under the Delegated Underwriting and Servicing, or 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 our pre-review.

Multifamily loans with an original unpaid balance of up to $3 million nationwide or up to $5 million in high cost markets.

DUS - Small Balance Loans

DUS - Non Small Balance Loans

Total ($57)

($67)

$11

($54)

($57)

$3

$6

$3

$3

0.07%

0.06%

0.19%

100%

100%

100%

96%

90%

6%

$214.8

$200.5

$14.3

21,452

13,786

7,666

Delegated Underwriting and Servicing (DUS) Loans

Non-DUS - Small Balance Loans

Non-DUS - Non Small Balance Loans

Total $11

$0

$11

($2)

($5)

$2

$1

$0

$1

0.18%

0.00%

0.32%

0%

0%

0%

4%

2%

2%

$8.8

$3.9

$4.9

7,890

324

7,566

Non-Delegated Underwriting and Servicing (Non-DUS) Loans

Lender Risk-Sharing

No Recourse to the Lender ($26)

($20)

($24)

($32)

($6)

$13

0.04%

0.08%

72%

98%

7%

93%

$16.6

$206.9

2,338

27,004

Lender Risk-Sharing

Fixed

Variable ($49)

$2

($34)

($22)

$5

$3

0.02%

0.09%

96%

96%

20%

80%

$44.3

$179.2

7,371

21,971

Interest Rate Type

© 2016 Fannie Mae. Trademarks of Fannie Mae. 19

(1)

(3)

(3)

(4)

(5)

(6)

(6)

(2) (3)

As of June 30, 2016
UPB ($B)

% of Multifamily

Guaranty Book of

Business

% DUS Loans % Seriously

Delinquent

YTD 2016 Multifamily

Credit Losses ($M)

2015 Multifamily

Credit Losses ($M)

2014 Multifamily

Credit Losses ($M)

Total Multifamily Guaranty Book of Business $223.5 100% 96% 0.07% $8 ($56) ($46)

Multifamily Credit Profile by Loan Attributes (cont.)

California

Texas

New York

Florida

Washington $0

($8)

$2

($33)

($2)

$1

($3)

$1

($6)

$0

$0

$0

$0

$0

$0

0.01%

0.00%

0.02%

0.17%

0.02%

98%

99%

83%

99%

94%

4%

7%

10%

11%

21%

$8.4

$15.0

$23.1

$25.3

$48.0

Select States

Privately Owned with Subsidy $30.2 13% 97% 0.09% $4 ($4) ($4)

Targeted Affordable Segment

DUS: Bank (Direct, Owned Entity, or Subsidiary)

DUS: Non-Bank Financial Institution

Non-DUS: Bank (Direct, Owned Entity, or Subsidiary)

Non-DUS: Non-Bank Financial Institution

Non-DUS: Public Agency/Non Profit $0

$6

$2

($25)

($28)

$0

$0

$0

($12)

($45)

$0

$0

$0

$7

$0

0.00%

0.00%

0.15%

0.09%

0.05%

0%

0%

0%

100%

96%

0%

0%

2%

57%

41%

$0.1

$0.3

$4.3

$128.2

$90.6

DUS & Non-DUS Lenders/Servicers

Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.

Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.

Dollar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period will not tie to sum of all categories due to rounding.

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.

See https://www.fanniemae.com/multifamily/products for definitions.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 20

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

Prior to 2007 ($25)

($17)

($4)

($3)

$2

$0

$0

$0

$0

$0

$0

($24)

($17)

($20)

$4

($1)

$2

$0

$0

$0

$0

$0

$0

$0

$2

$2

$2

$0

$2

$0

$0

$0

$0

0.12%

0.34%

0.08%

0.11%

0.07%

0.11%

0.15%

0.05%

0.00%

0.02%

0.00%

94%

69%

92%

97%

96%

97%

97%

98%

99%

99%

99%

8%

5%

4%

5%

6%

8%

12%

11%

12%

19%

10%

$18.1

$11.4

$9.7

$11.5

$12.4

$17.7

$26.7

$24.1

$27.3

$41.8

$22.8

By Acquisition Year

Midwest

Northeast

Southeast

Southwest

West ($4)

($21)

($22)

$4

($3)

($31)

($11)

($19)

$4

$1

($1)

$0

$7

$0

$1

0.02%

0.12%

0.08%

0.05%

0.16%

95%

99%

99%

89%

97%

29%

21%

24%

17%

9%

$64.3

$47.9

$53.4

$38.2

$19.7

Regions

Conventional/Co-op

Seniors Housing

Manufactured Housing

Student Housing ($4)

($2)

($3)

($37)

($7)

$0

$7

($56)

$0

$0

$0

$7

0.06%

0.00%

0.00%

0.08%

100%

100%

98%

96%

2%

3%

5%

90%

$5.1

$6.0

$12.2

$200.2

Asset Class

(1)

(2)

(3)

(4)

(5)

(2) (3) (3)

(4)

(3)

(1) As of June 30, 2016

(5)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

Serious Delinquency Rate

0.44%

0.55%

0.34%

0.15%

0.18%

0.09%

1.36%

1.20%

0.24%

0.30%

0.71%

0.21%

0.18%

0.56%

0.24%

0.63%

0.50%

0.10%

0.08%

0.08%

0.59%

0.07% 0.07%

0.07% 0.07%

0.09%

0.06%

0.05%

0.92%

0.05% 0.04%

0.39%

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

Serious Delinquency Rates of Multifamily Book of Business

Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due. Serious delinquency rate represents the year-end percentage of unpaid principal balance that is seriously

delinquent as of December 31 for the time periods noted, with the exception of 2016 which is as of June 30.

Under the Delegated Underwriting and Servicing, or 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 our pre-review.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 21

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(2)

.

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(2)
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

0

20

40

60

UPB ($B)

$20 $19

$33

$19

$24 $22

$46

$34

$19

$17

$24

$33

$29 $29

$42

$23

DUS/Non-DUS Acquisition Unpaid Principal Balance ($B)

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

0.0%

0.5%

1.0%

1.5%

2.0%

Credit Loss Rate

0.3%

0.2%

0.3%

0.2%

0.0%

0.1% 0.2%

0.0%

0.1%

0.4%

0.0%

0.3%

0.5%

0.0%

0.3%

0.9%

0.2%

0.8%

1.3%

0.9%

1.1%

0.8%

1.4%

1.0%

0.3%

0.1%

0.3%

0.1%

0.0%

0.1%

0.0% 0.0% 0.0% 0.0% 0.0% 0.0%

DUS/Non-DUS Cumulative Credit Loss Rates through June 30, 2016

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

Cumulative Credit Loss Rates of Multifamily Guaranty Book of Business by Acquisition Year

DUS Non-DUS

Acquisition Year

Cumulative credit loss rate is the cumulative credit losses (gains) through June 30, 2016 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.

Acquisition unpaid principal balance represents the total Multifamily volume acquired through purchase or securitization transactions for the applicable period.

© 2016 Fannie Mae. Trademarks of Fannie Mae. 22

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*

*

* Year-to-date through June 30, 2016.