© 2020 Fannie Mae 

DRAFT

Financial Supplement 

Q3 2020

October 29, 2020
© 2020 Fannie Mae Q3 2020 Financial Supplement 2

DRAFT

▪ Some of the terms and other information in this presentation are defined and discussed more fully in our Form 10-Q for the quarter ended September 30, 

2020 (“Q3 2020 Form 10-Q”) and Form 10-K for year ended December 31, 2019 ("2019 Form 10-K"). This presentation should be reviewed together with 

the Q3 2020 Form 10-Q, and the 2019 Form 10-K, which are available at www.fanniemae.com in the “About Us—Investor Relations—SEC Filings” section. 

Information on or available through our website is not part of this supplement.

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

we generally consider this information reliable, we do 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 "Q3 YTD 2020" data is as of September 30, 2020 or for the first nine months of 2020. Data for prior years is as of December 31 

or for the full year indicated.

▪ Note references are to endnotes, appearing on pages 28 to 31. 

▪ 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 longterm 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

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

REO: real estate owned 

TCCA: Temporary Payroll Tax Cut Continuation Act of 2011

UPB: unpaid principal balance
© 2020 Fannie Mae Q3 2020 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 and Multifamily Conventional Guaranty Books of Business in Forbearance 9

Portfolio and Liquidity Management 10

Key Market Economic Indicators 11

Net Worth, Treasury Funding and Senior Preferred Stock Dividends 12

Single-Family Business

Single-Family Highlights 14

Credit Characteristics of Single-Family Conventional Loan Acquisitions 15

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 16

Single-Family Credit Risk Transfer 17

Single-Family Conventional Guaranty Book of Business in Forbearance 18

Single-Family Problem Loan Statistics 19

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 20

Single-Family Cumulative Default Rates 21

Multifamily Business

Multifamily Highlights 23

Credit Characteristics of Multifamily Loan Acquisitions 24

Credit Characteristics of Multifamily Guaranty Book of Business 25

Multifamily Serious Delinquency Rates and Credit Losses 26

Endnotes

Endnotes 28
© 2020 Fannie Mae 

DRAFT

Overview
© 2020 Fannie Mae Q3 2020 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) Q3 2020 Q2 2020 Variance

Q3 YTD 

2020

Q3 YTD 

2019 Variance

Net interest income(1) $6,656 $5,777 $879 $17,780 $15,371 $2,409

Fee and other income 93 90 3 303 435 (132)

Net revenues 6,749 5,867 882 18,083 15,806 2,277

Investment gains, net 653 149 504 644 847 (203)

Fair value losses, net (327) (1,018) 691 (1,621) (2,298) 677

Administrative expenses (762) (754) (8) (2,265) (2,237) (28)

Total credit-related income 

(expense) 430 (22) 452 (2,255) 3,368 (5,623)

TCCA fees (679) (660) (19) (1,976) (1,806) (170)

Other expenses, net (686) (348) (338) (1,440) (1,333) (107)

Income before federal income 

taxes 5,378 3,214 2,164 9,170 12,347 (3,177)

Provision for federal income 

taxes (1,149) (669) (480) (1,935) (2,552) 617

Net income $4,229 $2,545 $1,684 $7,235 $9,795 $(2,560)

Total comprehensive 

income $4,216 $2,532 $1,684 $7,224 $9,703 $(2,479)

Net worth $20,693 $16,477 $20,693 $10,342

Summary of Q3 2020 Financial Results Q3 Key Financial Highlights

• Prepayment volumes are at record highs 

due to the historically low interest rate 

environment, driving an increase from 

Q2 2020 in net interest income.

• Net fair value losses decreased in Q3 

2020 compared with the Q2 2020 

primarily due to (1) a decrease in losses 

on debt reported at fair value due to 

yields remaining mostly flat during Q3 

2020 compared to declines in Q2 2020 

and (2) gains on credit enhancement 

derivatives as higher loan default 

expectations led to an increase in the 

fair value of risk-sharing securities 

covering those loans.

• The company sold $4.0 billion UPB of 

single-family reperforming loans in Q3 

2020 resulting in $0.4 billion of 

investment gains. 

• The company redesignated $5.7 billion 

UPB of single-family reperforming loans 

in Q3 2020 from held for investment 

("HFI") to held for sale ("HFS"), resulting 

in $0.5 billion of credit-related income; 

credit-related income also benefited from 

improved actual and forecasted home 

prices, partially offset by higher expense 

for losses the company expects as a 

result of COVID-19.

Comprehensive income increased 

$1.7 billion from Q2 2020 to 

$4.2 billion for Q3 2020
© 2020 Fannie Mae Q3 2020 Financial Supplement 6

DRAFT

UPB

(Dollars in trillions)

Average Gfee (in bps)

$2.9 $3.0 $3.0 $3.1 $3.1

$0.3 $0.3 $0.3 $0.4 $0.4 $3.2 $3.3 $3.3 $3.5 $3.5

43.5 43.6 43.8 44.2 44.4

71.9 71.8 71.9 72.3 73.3

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$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)

$637

$570 $512

$666

$982

$55 $66 $65 $70 $49

$325 $223 $156

$283

$647

$257

$281

$291

$313

$286

2016 2017 2018 2019 Q3 YTD

2020

$0

$500

$1,000

Single-Family Home Purchases Multifamily Rental Units

Single-Family Refinancings

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)

Q3 2020

Unpaid Principal Balance

Q3 2020

Units

$125B 446K

Single-Family Home Purchases

$266B 946K

Single-Family Refinancings

$15B 170K Multifamily 

Rental Units

• Fannie Mae provided $982B of liquidity in the first 

nine months of 2020, which represents the 

company's highest acquisition volume since the 

same period in 2003.

• The company's whole loan conduit continues to 

provide lender liquidity to primarily support smallto medium-sized lenders. 54% of year-to-date 

acquisitions, or $506B, have gone through the 

company's whole loan conduit; this volume is 

almost double the amount that went through the 

conduit in 2019. 

• Average charged guaranty fees increased for both 

single-family and multifamily over the year.

 
© 2020 Fannie Mae Q3 2020 Financial Supplement 7

DRAFT

Single-Family Credit Characteristics 

Credit Ratios Highlights

Credit Characteristics of Guaranty Book Guaranty Book in a CRT

• The credit characteristics of the single-family conventional 

guaranty book of business did not change materially in Q3 

2020 and remained strong, with a weighted-average 

MTMLTV ratio of 57% and weighted-average FICO credit 

score of 749.

• The company has not entered into a new CRT transaction 

since Q1 2020.

• Total SDQ rate has increased throughout 2020 as a result 

of the large number of loans in COVID-19-related 

forbearances becoming seriously delinquent. Excluding 

loans in forbearance, the SDQ rate has remained relatively 

flat. 

Weighted Average FICO Credit Score

We

745 745 746 746 749ighted Average MTMLTV

60% 58% 57% 57% 57%

2016 2017 2018 2019 Q3 YTD

2020

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 Ratio (in bps)

1.7bps

2.6bps

1.7bps

0.6bps

1.2bps

0.68% 0.66% 0.66%

2.65%

3.20%

0.68% 0.66% 0.66% 0.59% 0.65%

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

0%

1%

2%

3%

4%

0bps

1bps

2bps

3bps

4bps

UPB

(Dollars in billions)

$628

$927

$1,143

$1,341

$1,067 22%

32%

39%

46%

35%

2016 2017 2018 2019 Q3 YTD

2020

$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 without Forbearances

Credit Loss Ratio(9)
© 2020 Fannie Mae Q3 2020 Financial Supplement 8

DRAFT

Multifamily Credit Characteristics 

Credit Ratios Highlights

 Credit Characteristics of Guaranty Book Guaranty Book in a CRT

• The credit characteristics of the multifamily conventional 

guaranty book of business did not change materially in Q3 

2020 and remained strong, with a weighted-average 

original LTV of 66% and weighted average DSCR of 2.0.

• As of September 30, 2020, 99% of loans, based on UPB, 

are covered by DUS loss-sharing. Additionally, 28% have 

back-end coverage through CRT programs.

• Total SDQ rate has increased throughout 2020 as a result 

of the large number of loans in COVID-19-related 

forbearances becoming seriously delinquent. The SDQ rate 

without forbearances has remained very low. 

Weighted Average DSCR

Weighted Average OLTV Ratio

2.2 2.1

2.0 1.9 2.0

67% 67% 66% 66% 66%

2016 2017 2018 2019 Q3 YTD

2020

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)

0.06%

1.0%

1.1%

0.06%

0.05%

0.09%

0.04%

0.3bps (0.1)bps

2.1bps

0.6bps

7.4bps

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

0.0%

0.3%

0.5%

0.8%

1.0%

1.3%

1.5%

0bps

2bps

4bps

6bps

8bps

10bps

12bps

14bps

UPB

(Dollars in billions)

$9 $17

$37

$84

$102

4%

6%

12%

25%

28%

2016 2017 2018 2019 Q3 YTD

2020

$0

$50

$100

0%

10%

20%

30%

% Multifamily conventional guaranty book in a CRT transaction

Outstanding UPB of Mulitfamily loans in a CRT transaction

SDQ Rate(11)

SDQ Rate without Forbearance

Credit Loss(Benefit) Ratio, Net(12)
© 2020 Fannie Mae Q3 2020 Financial Supplement 9

DRAFT

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

Delinquency Status of Loans in Forbearance as of 

September 30, 2020(13) Key Highlights

Single-family UPB Multifamily UPB

• Since the onset of the COVID-19 pandemic, Fannie Mae has 

provided economic relief to its single-family and multifamily 

borrowers by offering payment forbearance.

• Once the forbearance period ends, loss mitigation options, 

which include repayment plans, payment deferrals, and loan 

modifications, are offered to borrowers in order to help bring 

the loan current.

• During the third quarter, many loans began to successfully 

exit forbearance. UP

B

(Dollars in billions)

$0.5 $0.6 $0.5 $27.5 $3.5 $11.6 $11.2

$95.0

Current 30 to 59 days

delinquent

60 to 89 days

delinquent

90+ days

delinquent

$0

$25

$50

$75

$100

Single-Family Loan Forbearance Status(14) Multifamily Loan Forbearance Status(16)

56.4%

10.2% 0.5%

0.6%

22.2%

7.3%

2.8%

Active Forbearance Other(55) Liquidations Payment Deferral

Reinstated Repayment Plan Modification(15)

34.3%

48.9%

9.6%

1.7%

5.5%

Active Forbearance(17) Defaulted(18) Liquidations

Reinstated(19) Repayment Plan

$5.0B UPB 

in Forbearance 

in 2020

1,241,278

Total Loans 

in Forbearance 

in 2020
© 2020 Fannie Mae Q3 2020 Financial Supplement 10

DRAFT Portfolio and Liquidity Management

Sources of Net Interest Income and Retained Mortgage

Portfolio Balance Key Highlights

Debt of Fannie Mae(22) Other Investments Portfolio ("OIP")

• The COVID-19 pandemic and the relief the company is 

offering impacted borrowers has increased its debt 

funding needs and activity. The company increased longterm debt issuances significantly in 2020 due to increased 

whole loan conduit acquisitions, to pay off callable debt, in 

preparation for new FHFA liquidity risk management 

requirements and in anticipation of potential future 

liquidity needs, including loss mitigation activities and loan 

buyouts from trust.

• Total outstanding debt UPB increased by 59% from 

December 31, 2019 to reach $290B at September 30, 

2020. 

• OIP balance has also increased significantly during 2020 

driven by proceeds from debt issuances and high levels 

of loan refinance activity.

% Net Interest Income

Retained Mortgage Portfolio

(Dollars in billions)

74%

79% 79%

85%

26% 92%

21% 21%

15%

8%

$272.4

$230.8

$179.2 $153.6 $172.1

2016 2017 2018 2019 Q3 YTD

2020

0%

25%

50%

75%

100%

$0

$200

$400

$600

% Net interest income from guaranty book of business(20)

% Net interest income from portfolios(21)

Retained mortgage portfolio, at end of period

(Dollars in billions)

$35.9 $26.7 $58.4 $42.3 $23.5

$177.7 $155.6

$170.7 $233.9 $266.4

$213.6

$182.3

$229.1

$276.2 $289.9

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$22.6 $21.2

$80.5

$54.5 $37.5

$23.2 $13.6

$25.5

$12.7

$36.0 $39.5

$44.7

$96.0 $136.0

$81.8 $74.3

$133.0

$176.0 $186.2

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$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

 $300.0
© 2020 Fannie Mae Q3 2020 Financial Supplement 11

DRAFT

Rate (as of period end)

4.7% 4.1% 3.9% 3.5%

7.9%

1.6% 2.4% 1.3% 2.4%

(2.6)%

2016 2017 2018 2019 Q3

YTD

2020

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

2.33%

3.06%

1.66%

0.68%

2.97%

3.81%

2.61%

1.40%

3.83%

4.72%

3.64%

2.90%

9/30/2017 9/30/2018 9/30/2019 9/30/2020

Top 10 States by UPB(26)

State

One Year Home Price 

 Growth Rate Q3 2020

Share of SingleFamily Conventional 

Guaranty Book

CA 6.94% 19.0%

TX 5.23% 6.6%

FL 6.74% 5.9%

NY 6.40% 4.7%

WA 10.49% 3.9%

IL 4.88% 3.4%

NJ 6.56% 3.4%

CO 7.24% 3.3%

VA 7.40% 3.3%

PA 6.67% 2.8%

State Growth Rate:

Home Price Growth

5.3% 5.8% 5.2%

4.5%

7.0%

2016 2017 2018 2019 Q3 YTD

2020

0%

2%

4%

6%

8%

0.0 to 4.9% 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 Q3 2020(26)

United States 7.3% 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
© 2020 Fannie Mae Q3 2020 Financial Supplement 12

DRAFT

Net Worth, Treasury Funding and Senior Preferred Stock Dividends

Net Worth and Treasury Funding 

Commitment

(Dollars in billions)

Dividend Payments and Draws

(Dollars in billions)

Net worth Cumulative dividend payments to Treasury(27)

Remaining Treasury funding commitment Cumulative draws from Treasury(28)

$20.7

$113.9

As of September 30, 2020

$181.4

$119.8

As of September 30, 2020
© 2020 Fannie Mae 

DRAFT

Single-Family Business
© 2020 Fannie Mae Q3 2020 Financial Supplement 14

DRAFT

Fannie Mae

41%

Freddie Mac

34%

Ginnie Mae

23%

Private-label

securities

2%

UPB

(Dollars in billions)

$2,924 $2,946 $2,964 $3,014 $3,086

43.5 43.6 43.8 44.2 44.4

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$104 $73 $69 $92

$125

$90

$116 $122

$259

$266

45.9 46.9 49.4

46.7 44.9

$194 $189 $191

$351

$391

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$200

$400

0

10

20

30

40

50

Single-Family Highlights

• The average single-family conventional guaranty book of 

business during the third quarter of 2020 increased from the 

second quarter of 2020 by approximately $72 billion to $3.1

trillion. 

• Single-family serious delinquency rate increased to 3.20% as 

of September 30, 2020 from 2.65% as of June 30, 2020, as a 

result of the large number of loans in COVID-19-related 

forbearances becoming seriously delinquent. The single-family 

serious delinquency rate excluding loans in forbearance was 

0.65% as of September 30, 2020.

• As of September 30, 2020, 4.1% of Fannie Mae’s single-family 

guaranty book of business based on loan count was in 

forbearance, the vast majority of which was related to 

COVID-19, compared to 5.7% as of June 30, 2020. As of 

September 30, 2020, 20% of the loans in forbearance were still 

current. 

Q3 2020

 $5,870M 

Net interest income

$583M 

Investment gains, net

 $(244)M 

Fair value losses, net

 $478M 

Credit-related 

income

 $3,769M 

Net income

Single-Family Conventional Loan

Acquisitions(2)

Single-Family Conventional Guaranty Book 

of Business(2)

New Single-Family Mortgage-Related 

Securities Share of Issuances Q3 2020 Key Highlights

Refinance

Purchase

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

of TCCA (bps)(4)

Average UPB outstanding of single-family conventional guaranty book

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

net of TCCA (bps)(4)
© 2020 Fannie Mae Q3 2020 Financial Supplement 15

DRAFT

Share of Acquisitions

44%

56%

65%

52%

31%

33%

20%

12%

28%

50%

19% 22% 22% 20% 19%

2016 2017 2018 2019 Q3 YTD

2020

0%

25%

50%

75%

100% Weighted Average FICO Credit Score

% FICO Credit Score < 680

750 745 743 749 759

8.7%

10.6% 11.2%

7.3%

4.0%

2016 2017 2018 2019 Q3

YTD

2020

0

250

500

750

0%

5%

10%

15%

20%

25%

Credit Characteristics of Single-Family Conventional Loan Acquisitions

Credit Characteristics of Single-Family Conventional Loans

by Acquisition Period

Q3 YTD 2020 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q3 2019 Q4 2019

Full Year 

2019 Q1 2020 Q2 2020 Q3 2020

OLTV Ratio 

>95%

HomeReady®(30)FICO Credit

Score < 680(6)

DTI Ratio 

> 43%(29)

Total UPB (Dollars in billions) $194.3 $188.5 $595.9 $190.5 $351.3 $391.4 $26.4 $22.7 $40.7 $194.3

Weighted Average OLTV Ratio 77% 74% 76% 74% 72% 71% 97% 88% 72% 74%

OLTV Ratio > 95% 7% 4% 7% 3% 3% 3% 100% 33% 0% 3%

Weighted-Average FICO® Credit Score(6) 751 753 749 753 759 762 748 746 658 749

FICO Credit Score < 680(6) 6% 6% 7% 6% 4% 4% 0% 6% 100% 5%

DTI Ratio > 43%(29) 26% 25% 28% 25% 20% 19% 19% 37% 25% 100%

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

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

HomeReady®(30) 7% 4% 7% 3% 2% 2% 28% 100% 3% 4%

Weighted-Average OLTV Ratio

Origination LTV > 95%

74% 75% 77% 76%

72%

2.8%

4.9%

7.5% 6.6%

3.0%

2016 2017 2018 2019 Q3

YTD

2020

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

% OLTV > 95%

Weighted-Average OLTV Ratio

% FICO Credit Score < 680

Weighted-Average FICO Credit Score

Refi Plus(31) including HARP Other Refinance

Cash-out Refinance Purchase
© 2020 Fannie Mae Q3 2020 Financial Supplement 16

DRAFT

% of UPB in Conventional Guaranty

Book of Business

SDQ Rate

100.00%

1.78% 2.87%

95.35%

3.20%

5.81%

9.84%

2.74%

Total 2004

and

Prior

2005-

2008

2009-

2020

0%

25%

50%

75%

100%

0%

5%

10%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 

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

As of September 30, 2020 Origination Year Certain Loan Features

Categories are not mutually exclusive

Overall

Book

2004 &

Earlier

2005-

2008

2009-

2016 2017 2018 2019 2020

OLTV 

Ratio > 95%

HomeReady®(30)

FICO Credit 

Score <

680(6)

 Refi Plus 

Including

HARP(31)

DTI Ratio 

> 43%(29)

Total UPB (Dollars in billions) $3,120.3 $55.4 $89.6 $1,247.9 $258.7 $208.8 $426.0 $833.9 $188.8 $89.5 $295.3 $234.4 $715.6

Average UPB $181,361 $67,196 $115,064 $149,247 $189,835 $193,903 $238,279 $276,753 $160,107 $179,139 $142,863 $121,230 $193,581

Share of Single-Family Conventional Guaranty Book 100% 2% 3% 40% 8% 7% 13% 27% 6% 3% 10% 8% 24%

Loans in Forbearance by UPB 4.7% 8.2% 13.1% 4.6% 6.9% 9.0% 6.3% 1.1% 7.5% 7.5% 11.7% 6.2% 8.2%

Share of Loans with Credit Enhancement(33) 45% 6% 15% 48% 68% 76% 55% 26% 77% 88% 43% 44% 48%

Serious Delinquency Rate(8) 3.20% 5.81% 9.84% 2.76% 4.20% 5.44% 3.61% 0.53% 5.47% 4.73% 8.28% 3.76% 5.40%

Weighted-Average OLTV Ratio 74% 74% 76% 75% 76% 78% 76% 72% 106% 89% 77% 86% 76%

OLTV Ratio > 95% 6% 6% 10% 7% 6% 10% 7% 3% 100% 39% 11% 30% 8%

Amortized OLTV Ratio(34) 67% 48% 62% 60% 69% 74% 74% 71% 95% 86% 69% 68% 69%

Weighted-Average Mark-to-Market LTV Ratio(5) 57% 33% 54% 44% 59% 66% 70% 70% 74% 79% 57% 46% 60%

Weighted-Average FICO Credit Score(6) 749 700 695 751 743 737 748 759 727 738 648 728 736

FICO Credit Score < 680(6) 10% 36% 39% 9% 12% 14% 8% 4% 17% 11% 100% 22% 14%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted Average FICO Credit Score

FICO Credit Score < 680

745 745 746 746 749

12.2% 11.8% 11.4%

10.5%

9.5%

2016 2017 2018 2019 Q3

YTD

2020

0

250

500

750

0%

5%

10%

15%

20%

25%

Weighted Average MTMLTV

% MTMLTV >100%

60% 58% 57% 57% 57%

1.9%

1.0%

0.5% 0.3% 0.1%

2016 2017 2018 2019 Q3

YTD

2020

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 September 30, 2020

% 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
© 2020 Fannie Mae Q3 2020 Financial Supplement 17

DRAFT

UPB

(Dollars in billions)

$40

$76

$102 $86 $82 $61

$222 $189

$240

$265

$206

$290

$58

$15

$44

$45

$73

$14

$233 $239

$331

$410

$338

$445

$133

2014 2015 2016 2017 2018 2019 Q3 YTD 2020

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$1,213

$1,341 $1,371

$1,224

$1,067

41%

46% 46%

40%

35%

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

0%

20%

40%

2018 2019 Q3 YTD 2020

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) $618 21% $653 22% $674 21%

Connecticut Avenue Securities(37) $798 27% $919 31% $708 23%

Credit Insurance Risk

Transfer(7) $243 8% $275 10% $246 8%

Lender risk-sharing(37) $102 4% $147 5% $113 4%

(Less: loans covered by multiple 

credit enhancements) ($394) (13)% ($438) (15)% ($338) (11)%

Total single-family loans with 

credit enhancement $1,367 47% $1,556 53% $1,403 45%

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
© 2020 Fannie Mae Q3 2020 Financial Supplement 18

Single-Family Conventional Guaranty Book of Business in ForbearanceDRAFT

Delinquency Status of Loans in Forbearance

as of September 30, 2020(13) Single-Family Loan Forbearance Exits

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

As of September 30, 2020 Origination Year

Categories are not mutually exclusive Total 

2004 &

Earlier

2005-

2008

2009-

2016 2017 2018 2019 2020

Total UPB (Dollars in billions) $145.3 $4.5 $11.9 $56.9 $17.8 $18.7 $26.7 $8.8

Average UPB $206,547 $95,766 $164,122 $187,095 $228,585 $236,353 $280,977 $314,339

Share of Single-Family Conventional Guaranty Book

based on Loan Count 4.1% 0.3% 0.4% 1.6% 0.5% 0.5% 0.6% 0.2%

Share of Single-Family Conventional Guaranty Book

based on UPB(40) 4.7% 0.1% 0.4% 1.8% 0.6% 0.6% 0.9% 0.3%

MTMLTV Ratio >80% without Mortgage Insurance 16.6% 0.1% 1.4% 1.0% 1.0% 3.7% 7.1% 2.3%

DTI Ratio > 43%(29) 40.5% 1.0% 3.6% 13.5% 4.9% 6.9% 8.2% 2.4%

FICO Score < 680(6) 23.7% 1.5% 3.7% 8.3% 3.0% 3.4% 3.1% 0.7%

OLTV Ratio >95% 9.7% 0.3% 0.8% 3.8% 1.0% 1.6% 1.9% 0.3% UP

B

(Dollars in billions)

Number of Loans (in thousands)

$27.5

$11.6 $11.2

$95.0

142K

60K 57K

444K

Current 30 to 59

days

delinquent

60 to 89

days

delinquent

90+ days

delinquent

$0.0

$20.0

$40.0

$60.0

$80.0

$100.0

0K

100K

200K

300K

400K

500K

23.5%

1.2%

1.5%

50.7%

16.7%

6.4%

Payment Deferral Other(55) Liquidations

Reinstated Repayment Plan Modification(15)

537,932

Loans Exited 

Forbearance 

in 2020
© 2020 Fannie Mae Q3 2020 Financial Supplement 19

DRAFT

UP

B

(Dollars in billions)

Number of Loan Workouts

(in thousands)

$17.5 $16.7 $19.0

$9.3

$37.9

$14.4 $14.6 $17.9

$8.6

37.6 $3.1 $2.1

103.5K 100.6K

118.1K

56.3K

179.8K

2016 2017 2018 2019 Q3 YTD

2020

$0

$10

$20

$30

$40

$50

$60

$70

0K

50K

100K

150K

200K

REO Ending Inventory

(Units in thousands)

38

26

20 18

10

2016 2017 2018 2019 Q3 YTD

2020

0

10

20

30

40

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(8)

Average 

Months to

Foreclosure(41)

CA 3.04% 21

TX 3.67% 18

FL 4.76% 39

NY 5.39% 61

WA 2.22% 42

IL 3.46% 19

NJ 5.31% 30

CO 2.15% 11

VA 2.81% 16

PA 3.19% 23

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of September 30, 2020(8) Top 10 States by UPB

Single-Family Loan Workouts Single-Family REO Ending Inventory

1.01% to 2.00%

2.01% to 3.00%

3.01% and above

Foreclosure Alternatives(42) Total Loan Workouts

Home Retention Solutions(43)
© 2020 Fannie Mae Q3 2020 Financial Supplement 20

DRAFT

54.4%

7.0%

7.8%

13.0%

9.2%

8.6%

63.6%

19.0%

4.7%

3.4%

3.4% 5.9%

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

Certain Product Features

Categories are not mutually exclusive 2016 2017 2018 2019

Q3 YTD 

2020 2016 2017 2018 2019

Q3 YTD 

2020

Credit losses by period (Dollars in millions) $3,338 $2,963 $2,457 $1,719 $505 100.0% 100.0% 100.0% 100.0% 100.0%

Alt-A(45) 3.1% 2.5% 1.9% 1.5% 1.2% 24.9% 21.9% 22.4% 16.6% 16.7%

Interest-only 1.7% 1.2% 0.8% 0.5% 0.4% 12.2% 15.7% 15.4% 11.5% 10.1%

Origination LTV Ratio >95% 6.9% 6.6% 6.8% 6.9% 6.1% 15.2% 16.9% 14.9% 16.0% 14.1%

FICO Credit Score < 680 and OLTV Ratio > 95%(6) 1.7% 1.6% 1.4% 1.3% 1.0% 8.1% 8.7% 8.7% 9.4% 8.9%

FICO Credit Score < 680(6) 12.2% 11.8% 11.4% 10.5% 9.5% 48.7% 45.4% 46.3% 43.1% 43.0%

Refi Plus including HARP 15.4% 13.2% 11.4% 9.5% 7.5% 14.0% 15.9% 13.2% 15.8% 15.5%

Vintage 2016 2017 2018 2019

Q3 YTD 

2020 2016 2017 2018 2019

Q3 YTD 

2020

2009 - 2020 87% 90% 92% 94% 95% 19% 23% 20% 27% 30%

2005 - 2008 8% 6% 5% 4% 3% 65% 65% 66% 61% 59%

2004 & Prior 5% 4% 3% 2% 2% 16% 12% 14% 12% 11%

$505M $3.1T UPB

% of Q3 YTD 2020 Single-Family 

Credit Losses by State (44)(46)

% of Single-Family Conventional Guaranty Book of 

Business by State as of September 30, 2020

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

For the Period Ended

All Other States New York New Jersey

California Illinois Florida

All Other States New York New Jersey

California Illinois Florida
© 2020 Fannie Mae Q3 2020 Financial Supplement 21

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*

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

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

* As of September 30, 2020, cumulative default rates on the loans originated in each individual year from 2009-2020 were less than 1%

2004

2008

2005
© 2020 Fannie Mae 

DRAFT

Multifamily Business
© 2020 Fannie Mae Q3 2020 Financial Supplement 23

DRAFT

UPB

(Dollars in billions)

$329.6 $338.8 $345.4 $357.8 $366.8

71.9 71.8 71.9 72.3 73.3

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

UPB

(Dollars in billions)

$18.0 $18.1

$14.1

$19.6

$15.2

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$0

$5

$10

$15

$20

$25

Multifamily Highlights

• Multifamily guaranty book of business increased by 

approximately $9 billion during the third quarter of 2020 to 

$367 billion.

• Multifamily serious delinquency rate increased to 1.12% as of 

September 30, 2020 from 1.00% as of June 30, 2020 as a 

result of the large number of loans in COVID-19-related 

forbearances becoming seriously delinquent. The multifamily 

serious delinquency rate excluding loans in forbearance was 

0.04% as of September 30, 2020. 

• As of September 30, 2020, based on unpaid principal balance, 

1.3% of Fannie Mae’s multifamily guaranty book of business 

received a forbearance plan, primarily as a result of the 

COVID-19 pandemic. Approximately half of those loans 

measured by unpaid principal balance are currently in a 

repayment plan, and 0.5% of the book, or $1.7 billion, is still in 

active forbearance.

Q3 2020

$786M

Net interest income

$20M

Fee and other 

income

$(83)M

Fair value losses, net

$(48)M

Credit-related 

expense

$460M

Net income

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

Multifamily Credit Risk Transfer Key Highlights

UPB

(Dollars in billions)

0 $17.1

$29.2 $29.1 $29.0

$57.7

$66.9

$74.8 $74.1 $73.4

18%

25%

30% 29% 28%

$84.0

$104.0 $103.2 $102.4

Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020

$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

% Multifamily guaranty book in a Multifamily 

CRT transaction UPB outstanding of multifamily loans in a 

Multifamily Connecticut Avenue SecuritiesTM

transaction UPB outstanding of multifamily loans in a 

Multifamily CIRT transaction
© 2020 Fannie Mae Q3 2020 Financial Supplement 24

DRAFT

Share of Acquisitions

76% 80%

89% 93% 94%

24% 20%

11% 7% 6%

2016 2017 2018 2019 Q3

YTD

2020

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions

Credit Characteristics of Multifamily Loans by Acquisition Period(3)

Categories are not mutually exclusive 2016 2017 2018 2019 Q3 YTD 2020

Total UPB (Dollars in billions) $55.3 $67.1 $65.4 $70.2 $48.9

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

Loan Count 3,335 3,861 3,723 4,113 3,303

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

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

% Full Interest-Only 23% 26% 33% 33% 39%

Weighted Average OLTV Ratio on Full Interest-Only Acquisitions 57% 58% 58% 59% 58%

Weighted Average OLTV Ratio on Non-Full Interest-Only Acquisitions 71% 70% 68% 69% 68%

% Partial Interest-Only(50) 60% 57% 53% 56% 48%

Share of Acquisitions

47% 41%

32% 33%

26%

53% 59%

68% 66% 73%

2016 2017 2018 2019 Q3

YTD

2020

0%

20%

40%

60%

80%

100%

$3.5B

$3.1B

$2.6B $1.6B

$1.4B

$1.3B

$1.3B

$1.3B

$1.3B

$1.2B

Share of 

Acquisitions:

38%

Total UPB:

$18.6B

Origination Loan-to-Value 

Ratio(3)

Top 10 MSAs by Q3 YTD 2020

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

% Origination LTV less than or equal to 70%

% Origination LTV greater than 70% and less than or equal to 80%

% Origination LTV greater than 80%

Washington, D.C. San Jose

New York Phoenix

Los Angeles Denver

Dallas San Francisco

Seattle Atlanta

Variable-rate

Fixed-rate
© 2020 Fannie Mae Q3 2020 Financial Supplement 25

DRAFT

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

As of September 30, 2020 Acquisition Year Asset Class or Targeted Affordable Segment

Categories are not mutually exclusive

Overall

Book

2004 &

Earlier 2005-2008 2009-2016 2017 2018 2019 2020

Conventional

/Co-op(51)

Seniors

Housing(51)

Student

Housing(51)

Manufactured

Housing(51)

Privately Owned

with Subsidy(52)

Total UPB (Dollars in billions) $366.8 $3.8 $5.7 $117.3 $58.6 $62.7 $69.8 $48.9 $319.7 $17.3 $14.4 $15.4 $36.5

% of Multifamily Book 100% 1% 2% 32% 16% 17% 19% 13% 87% 5% 4% 4% 10%

Loan Count 27,928 691 2,962 10,091 3,268 3,527 4,086 3,303 25,205 690 683 1,350 3,591

Average UPB (Dollars in millions) $13.1 $5.5 $1.9 $11.6 $17.9 $17.8 $17.1 $14.8 $12.7 $25.0 $21.0 $11.4 $10.2

Loans in Forbearance by UPB(38) 0.5% 0.1% 0.5% 0.4% 1.6% 0.1% 0.2% 0.0% 0.2% 3.4% 2.7% 0.0% 0.1%

Weighted Average OLTV Ratio 66% 72% 66% 67% 67% 65% 66% 64% 66% 66% 67% 66% 69%

Weighted Average DSCR(10) 2.0 3.1 2.4 2.0 2.0 1.8 1.9 2.2 2.0 1.8 1.8 2.0 2.1

% Fixed rate 90% 11% 42% 91% 87% 91% 93% 94% 91% 64% 86% 92% 77%

% Full Interest-Only 29% 33% 25% 21% 29% 34% 33% 39% 31% 12% 24% 23% 20%

% Partial Interest-Only(50) 51% 8% 23% 49% 56% 53% 56% 48% 50% 56% 66% 57% 41%

% Small Balance Loans(53) 46% 74% 92% 50% 31% 28% 35% 37% 47% 14% 26% 51% 54%

% DUS(3) 99% 97% 85% 99% 98% 100% 100% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(11) 1.12% 0.10% 0.92% 1.55% 2.67% 0.59% 0.38% 0.10% 0.56% 10.85% 3.06% 0.00% 0.27%

Credit Characteristics of Multifamily Guaranty Book of Business

$31.4B

$22.7B

$16.6B $16.1B

$11.0B

$10.9B

$9.7B

$9.6B

$9.4B

$9.1B

Share of Book

of Business: 

40%

Total Top 10 

UPB:

$146.5B

$0.6B

$6.5B

$12.6B

$15.3B

$18.8B

$313.0B

Total UPB:

$366.8B 

UPB by Maturity Year(3) Top 10 MSAs by UPB(3) Top 5 MSAs by Forbearance UPB(38)

New York Atlanta

Los Angeles Phoenix

Dallas Seattle

Washington, D.C. San Francisco

Houston Chicago

2020 2023

2021 2024

2022 Other

$226M

$91M

$87M

$82M

$76MShare of 

Forbearance:

33%

Total Top 5 

Forbearance 

UPB:

$0.6B

New York Philadelphia

Houston Cleveland

Dallas
© 2020 Fannie Mae Q3 2020 Financial Supplement 26

DRAFT

Serious Delinquency Rate

0.30%

0.63%

0.71%

0.59%

0.24%

0.10%

0.05% 0.07% 0.05%

0.11%

0.06%

0.04%

1.12%

0.24%

0.39% 0.56%

0.50%

0.18%

0.07%

0.44%

1.36%

1.20%

0.92%

0.55%

0.34%

0.15%

0.21% 0.21% 0.24%

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Q3

2020

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Multifamily Serious Delinquency Rates and Credit Losses

Credit Loss Rate

0.5%

0.9%

1.1%

0.8%

0.3%

0.1%

—%

—% —%

0.2%

0.1%

—%

0.3%

0.7%

1.1%

0.9%

0.3%

0.1%

—%

—% —%

0.2%

0.1%

—% —%

0.2%

1.1%

1.4%

0.1%

—% —%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 - 2019 Q3 YTD 2020

0%

0.5%

1%

1.5%

2%

Serious Delinquency Rates(11)(49) Multifamily Loan Forbearance 

Status(16)

DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through Q3 YTD 2020(49)(54)

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

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

34.3%

48.9%

9.6%

1.7%

5.5%

Active Forbearance(17) Defaulted(18) Liquidations

Reinstated(19) Repayment Plan

$5.0B UPB 

in Forbearance 

in 2020
© 2020 Fannie Mae 

DRAFT

Endnotes
© 2020 Fannie Mae Q3 2020 Financial Supplement 28

DRAFT

(1) Prior period amounts have been adjusted to reflect the current year 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 September 30, 2020.

(4) Represents the sum of the average guaranty fee rate for the company's single-family conventional guaranty arrangements during the period plus the recognition of any upfront 

cash payments relating to these guaranty arrangements over 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 $7 billion at issuance and approximately $2.5 billion outstanding 

as of September 30, 2020. 

(8) Single-family “serious delinquency rate" refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process in the applicable origination year, 

product feature, or state, divided by the number of loans in the single-family conventional guaranty book of business in that origination year, product feature, or state. Loans in 

forbearance are reported as delinquent according to the contractual terms of the loans.

(9) Basis points are calculated based on the amount of write-offs, recoveries and foreclosed property 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 

our 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 we 

have received from borrowers may only reflect the initial impact of COVID-19. Co-op loans are excluded from this metric.

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

(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 charged-off amounts. Net credit losses include expected benefit of freestanding credit 

enhancements, primarily multifamily DUS lender-risk sharing transactions.

(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.

Endnotes
© 2020 Fannie Mae Q3 2020 Financial Supplement 29

DRAFT

Endnotes

(14) As a part of the company's relief programs and pursuant to the CARES Act, it is providing payment forbearance for up to 12 months to borrowers experiencing a COVID-19-

related financial hardship. The company estimates that, through September 30, 2020, approximately 7.3% of the single-family loans, based on loan count, in the singlefamily conventional guaranty book of business as of March 31, 2020 have been in a COVID-19-related forbearance at some point in time.

(15) Includes loans that are in trial modifications.

(16) The table displays the status 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 our 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.

(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 measured in unpaid principal balance and excludes effects of debt basis adjustments and debt of consolidated trusts at the 

end of each period presented.

(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 Q3 YTD 2020 are based on the quarterly series calculated by the Bureau of Economic 

Analysis and are subject to revision. GDP growth (decline) rate for Q3 YTD 2020 is based on Fannie Mae’s forecast.

(26) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 2020. 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 

September 2020, 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 September 30, 2020.

(27) Aggregate amount of dividends Fannie Mae has paid to Treasury on the senior preferred stock from 2008 through September 30, 2020. Under the terms of the senior 

preferred stock purchase agreement, dividend payments made to Treasury do not offset prior draws of funds from Treasury.

(28) Aggregate amount of funds the company has drawn from Treasury pursuant to the senior preferred stock purchase agreement from 2008 through September 30, 2020.

(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.
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(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 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 

our 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) Includes multifamily loans that are in an active forbearance as of September 30, 2020.

(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 our REO inventory for foreclosures completed during the nine

months ended September 30, 2020. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this calculation.

(42) 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.

(43) Consists of loan modifications and completed repayment plans and forbearances. Repayment plans reflect only those plans associated with loans that were 60 days or more 

delinquent. Forbearances reflect only completed forbearance arrangements that involve loans that were 90 days or more delinquent. Excludes trial modifications, loans to certain 

borrowers who have received bankruptcy relief that are classified as troubled debt restructurings, and repayment and forbearance plans that have been initiated but not completed.

Endnotes
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Endnotes

(44) Credit losses consist of (a) charge-offs net of recoveries and (b) foreclosed property expense (income). Percentages exclude the impact of recoveries that have not been allocated 

to specific loans. 

(45) For a description of our Alt-A loan classification criteria, refer to the glossary in Fannie Mae’s 2019 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 September 30, 2020 is not necessarily indicative of the ultimate performance of the loans and 

performance is likely to 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://www.fanniemae.com/multifamily/products 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) In Q1 2019, the DUS program updated the definition of small multifamily loans to any loan with an original unpaid balance of up to $6 million nationwide. The updated definition has 

been applied to all loans in the current multifamily guaranty book of business, including loans that were acquired under the previous small loan definition.

(54) Cumulative net credit loss rate is the cumulative net credit losses (gains) through September 30, 2020 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 credit 

enhancements, primarily multifamily DUS lender-risk sharing transactions.

(55) Includes loans that were delinquent upon the expiration of the forbearance arrangement and did not enter into a modification or other loan workout.