© 2021 Fannie Mae 

DRAFT

Financial Supplement 

Q4 and Full Year 2020

February 12, 2021
© 2021 Fannie Mae 2020 Financial Supplement 2

DRAFT

▪ Some of the terms and other information in this presentation are defined and discussed more fully in Fannie Mae's Form 10-K for the year ended December 

31, 2020 (“2020 Form 10-K”). This presentation should be reviewed together with the 2020 Form 10-K, which is available at www.fanniemae.com in the 

“About Us—Investor Relations—SEC Filings” section. Information on or available through the company's website is not part of this supplement.

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

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

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

population.

▪ Unless otherwise indicated data 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: 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
© 2021 Fannie Mae 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 Conventional and Multifamily 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
© 2021 Fannie Mae 

DRAFT

Overview
© 2021 Fannie Mae 2020 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) 2020 2019 Variance Q4 2020 Q3 2020 Variance

Net interest income(1) $24,866 $21,293 $3,573 $7,086 $6,656 $430

Fee and other income 462 566 (104) 159 93 66

Net revenues 25,328 21,859 3,469 7,245 6,749 496

Investment gains, net 907 1,770 (863) 263 653 (390)

Fair value losses, net (2,501) (2,214) (287) (880) (327) (553)

Administrative expenses (3,068) (3,023) (45) (803) (762) (41)

Total credit-related income 

(expense) (855) 3,496 (4,351) 1,400 430 970

TCCA fees (2,673) (2,432) (241) (697) (679) (18)

Other expenses, net (2,259) (1,879) (380) (819) (686) (133)

Income before federal income 

taxes 14,879 17,577 (2,698) 5,709 5,378 331

Provision for federal income 

taxes (3,074) (3,417) 343 (1,139) (1,149) 10

Net income $11,805 $14,160 $(2,355) $4,570 $4,229 $341

Total comprehensive 

income $11,790 $13,969 $(2,179) $4,566 $4,216 $350

Net worth $25,259 $14,608 $10,651 $25,259 $20,693 $4,566

Summary of 2020 and Q4 2020 Financial Results 2020 Key Highlights

$11.8 billion in annual net income and $4.6 

billion fourth quarter 2020 net income, with 

net worth reaching $25.3 billion as of 

December 31, 2020

 Credit-related expense

• Largest driver of 2020 was a $4.4 billion

shift from $3.5 billion credit-related income 

in 2019 to $0.9 billion credit-related 

expense in 2020 driven by the economic 

downturn and a significant decline in the 

redesignations of single-family 

reperforming mortgage loans ("RPL") from 

held for investment ("HFI") to held for sale 

("HFS") in 2020. 

• RPL loan redesignations were $8.1 billion

in 2020, down from $16.7 billion in 2019. 

• 2020 credit-related expense was partially 

offset by the impact of strong home price 

growth and lower interest rates.

Investment gains, net

• $7.5 billion UPB of RPLs were sold in 

2020 resulting in investment gains of 

$0.8 billion, down from 2019 due to lower 

sales volumes.

Partially offset by:

Net interest income

• Increased by $3.6 billion in 2020

compared to 2019 driven primarily by an 

increase in net amortization income due to 

near-record levels of refinancing activity in 

2020 as interest rates declined to 

historically low levels. 
© 2021 Fannie Mae 2020 Financial Supplement 6

DRAFT

UPB

(Dollars in trillions)

Average Gfee (in bps)

$3.0 $3.0 $3.1 $3.1 $3.2

$0.3 $0.3 $0.4 $0.4 $0.4

43.6 43.8 44.2 44.4 44.5

71.8 71.9 72.3 73.3 74.5

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 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

$1,435

$55 $66 $65 $70 $76

$325 $223 $156 $283

$948 $257

$281 $291

$313

$411

2016 2017 2018 2019 2020

$0

$500

$1,000

$1,500

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)

Total Liquidity Provided in 2020 was over $1.4 Trillion

Unpaid Principal Balance Units

$411B 1.5M

Single-Family Home Purchases

$948B 3.4M

Single-Family Refinancings

$76B 792K Multifamily 

Rental Units

• Fannie Mae provided over $1.4 trillion of liquidity in 2020, 

which represents the company's highest acquisition volume 

ever. 

• 3.4 million refinanced loans was the highest refinance 

volume since 2003.

• The company's whole loan conduit continued to provide 

liquidity to primarily support small-to medium-sized lenders. 

55% of 2020 single-family acquisitions, or $746.4 billion, 

delivered through the whole loan conduit, which was more 

than double 2019 volume.

• 38% of the company's outstanding conventional single-family 

guaranty book of business as of December 31, 2020 was 

originated during 2020, resulting in high book turnover for 

the year.
© 2021 Fannie Mae 2020 Financial Supplement 7

DRAFT

Single-Family Credit Characteristics 

Credit Ratios Highlights

Credit Characteristics of Guaranty Book Guaranty Book in a CRT

Weighted Average FICO Credit Score

Weighted Average MTMLTV

745 745 746 746 750

60% 58% 57% 57% 58%

2016 2017 2018 2019 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(Benefit) Ratio

(in bps)

2.6bps

1.7bps

0.6bps

1.2bps

0.66% 0.66% (0.1)bps

2.65%

3.20%

2.87%

0.66% 0.66% 0.59% 0.65% 0.66%

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

0%

1%

2%

3%

4%

(1)bps

0bps

1bps

2bps

3bps

4bps

UPB

(Dollars in billions)

$628

$927

$1,143

$1,341

$955 22%

32%

39%

46%

30%

2016 2017 2018 2019 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(Benefit) Ratio(9)

• The credit characteristics of the single-family conventional 

guaranty book of business remained strong in 2020 with a 

weighted-average MTMLTV ratio of 58% and weighted-average 

FICO credit score of 750.

• The company did not enter into any new CRT transactions after 

Q1 2020 due to adverse market conditions and its review of the 

costs and benefits of these transactions, reducing the percentage 

of loans in the single-family conventional guaranty book of 

business covered by CRT to 30% at year-end. 

• The single-family SDQ rate rose through the third quarter as loans 

continued to enter COVID-19-related forbearances. However, the 

SDQ rate declined in Q4 2020 as loans began to successfully exit 

forbearance. The SDQ rate excluding forbearance remained 

unchanged year-over-year at 0.66%.
© 2021 Fannie Mae 2020 Financial Supplement 8

DRAFT

Multifamily Credit Characteristics 

Credit Ratios Highlights

 Credit Characteristics of Guaranty Book Guaranty Book in a CRT

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 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)

1.00%

1.12%

0.98%

0.05% 0.04% 0.03% (0.1)bps

2.1bps

0.6bps

7.4bps

1.2bps

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 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

$101

4%

6%

12%

25%

26%

2016 2017 2018 2019 2020

$0

$50

$100

0%

10%

20%

30%

Outstanding UPB of Mulitfamily loans in a CRT transaction

% Multifamily conventional guaranty book in a CRT transaction

SDQ Rate(11)

SDQ Rate without Forbearance

Credit Loss(Benefit) Ratio, Net(12)

• The credit characteristics of the multifamily guaranty book of 

business remained strong in 2020 with a weighted-average 

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

• As of December 31, 2020, substantially all of the multifamily 

guaranty book of business is covered by DUS loss-sharing. 

Additionally, 26% has back-end coverage through the company's 

CRT programs.

• The multifamily SDQ rate increased through the third quarter as a 

result of a number of loans in a COVID-19-related forbearance 

with a slight decline in Q4 2020 as some loans began to resolve 

their delinquency. The SDQ rate without forbearance has 

remained relatively flat throughout 2020.
© 2021 Fannie Mae 2020 Financial Supplement 9

DRAFT

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

Delinquency Status of Loans in Forbearance as of 

December 31, 2020(13) Highlights

Single-family UPB Multifamily UPB

UPB

(Dollars in billions)

$0.5 $1.1 $1.2 $2.5

$12.1 $7.7 $6.7

$81.3

Current 30 to 59 days

delinquent

60 to 89 days

delinquent

90+ days

delinquent

$0

$25

$50

$75

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

40.1%

16.9%

1.0%

25.8%

12.8%

3.4%

Active Forbearance Other(55) Liquidations

Reinstated Payment Deferral Modification(15)

31.7%

50.7%

9.2%

2.3%

6.1%

Active Forbearance(17) Defaulted(18) Liquidations

Reinstated(19) Repayment Plan

$5.3B UPB 

in Forbearance 

in 2020

1,308,375

Total Loans 

in Forbearance 

in 2020

• Fannie Mae provided economic relief to 1.3 million single-family and 

multifamily borrowers by offering payment forbearance in 2020. 

• 57% of single-family loans, based upon loan count, and 62% of 

multifamily loans, based upon UPB, that were in forbearance in 2020 

have successfully exited forbearance as of year end. 

• As a result, single-family loans in an active forbearance decreased by 

25%, based upon loan count, in Q4 2020 compared to Q3 2020. 

• 12% of the single-family loans in an active forbearance remain current 

as of December, 31, 2020.

• Multifamily loans in an active forbearance remained relatively flat in Q4 

2020 compared to Q3 2020.
© 2021 Fannie Mae 2020 Financial Supplement 10

DRAFT Portfolio and Liquidity Management

Sources of Net Interest Income and Retained 

Mortgage Portfolio Balance Highlights

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

% 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 $162.7

2016 2017 2018 2019 2020

0%

25%

50%

75%

100%

$0

$200

$400

% 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)

$26.7 $58.4 $42.3 $23.5

$155.6

$170.7 $233.9 $266.4 $277.8

$182.3

$229.1

$276.2 $289.9 $290.0

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$21.2

$80.5

$54.5 $37.5 $38.3 $13.6

$25.5

$12.7 $39.5 $28.2

$44.7

$96.0 $136.0

$130.5

$74.3

$133.0

$176.0 $186.2 $197.0

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 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

• Net interest income from portfolios decreased in 2020 due to lower 

yields on mortgage loans and assets in the company's other 

investments portfolio and continued runoff in legacy assets, partially 

offset by a decrease in interest expense on funding debt as key 

benchmark rates declined.

• Long-term debt issuances in 2020 supported elevated refinancing and 

purchase activity, the new liquidity risk management requirements 

issued by FHFA in December 2020 and anticipated future liquidity 

needs due to the COVID-19 pandemic.

• Other investments portfolio increased significantly throughout 2020

primarily driven by debt issuances as cash was invested to support 

anticipated future liquidity needs and the new liquidity requirements.

• Retained mortgage portfolio increased due to higher acquisitions of 

loans through the whole loan conduit, but as of year end remained 

below the $225 billion cap pursuant to instructions from the FHFA.
© 2021 Fannie Mae 2020 Financial Supplement 11

DRAFT

Rate (as of period end)

4.7% 4.1% 3.9% 3.6%

6.7%

1.6% 2.4% 3.0% 2.2%

(3.5)%

2016 2017 2018 2019 2020

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

2.41% 2.68%

1.92%

0.91%

3.00%

3.50%

2.71%

1.34%

3.99%

4.55%

3.74%

2.67%

12/31/2017 12/31/2018 12/31/2019 12/31/2020

Top 10 States by UPB(26)

State

One Year Home Price 

 Growth Rate Q4 2020

Share of Single-Family 

Conventional Guaranty 

Book

CA 9.95% 19.1%

TX 8.29% 6.6%

FL 9.44% 5.9%

NY 10.46% 4.6%

WA 14.22% 3.9%

IL 8.09% 3.4%

NJ 11.86% 3.4%

CO 10.85% 3.3%

VA 9.69% 3.2%

PA 10.37% 2.8%

State Growth Rate:

Home Price Growth

5.2% 5.8% 5.1% 4.5%

10.5%

2016 2017 2018 2019 2020

0%

2%

4%

6%

8%

10%

12%

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 Q4 2020(26)

United States 10.5% Single-Family Home Price Growth Rate(26)

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

$25.3

$113.9

As of December 31, 2020

$181.4

$119.8

As of December 31, 2020
© 2021 Fannie Mae 

DRAFT

Single-Family Business
© 2021 Fannie Mae 2020 Financial Supplement 14

DRAFT

Fannie Mae

41%

Freddie Mac

33%

Ginnie Mae

24%

Private-label

securities

2%

UPB

(Dollars in billions)

$2,946 $2,964 $3,014 $3,086 $3,161

43.6 43.8 44.2 44.4 44.5

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$73 $69

$92

$125 $125

$116 $122

$259

$266 $301

46.9 49.4

46.7 44.9 45.8

$189 $191

$351

$391

$426

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights

• The average single-family conventional guaranty book of 

business increased year-over-year by 7.3% to $3.2

trillion as of Q4 2020. 

• Book growth throughout 2020 was driven by historically 

high acquisition volume resulting from both loan 

refinancings and strong purchase demand from first-time 

homebuyers.

• The average charged guaranty fee on 2020 acquisitions 

decreased slightly from 2019 as the credit quality of 

those loans, based on average original LTV and FICO, 

improved over prior year.

• The company's share of mortgage-related securities 

issuances remained strong relative to the overall market.

2020

$21,502M 

Net interest income

$728M 

Investment gains, net

$(2,539)M 

Fair value losses, net

$(232)M 

Credit-related 

expense

$9,881M 

Net income

Single-Family Conventional Loan

Acquisitions(2)

Single-Family Conventional Guaranty Book 

of Business(2)

2020 Single-Family Mortgage-Related 

Securities Share of Issuances 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)
© 2021 Fannie Mae 2020 Financial Supplement 15

DRAFT

Share of Acquisitions

44%

56%

65%

52%

30%

33%

20%

12%

28%

51%

19% 22% 22%

20% 19%

2016 2017 2018 2019 2020

0%

25%

50%

75%

100% Weighted Average FICO Credit Score

% FICO Credit Score < 680

750 745 743 749 760

8.7%

10.6% 11.2%

7.3%

4.0%

2016 2017 2018 2019 2020

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Credit Characteristics of Single-Family Conventional Loan Acquisitions

Credit Characteristics of Single-Family Conventional Loans

by Acquisition Period

2020 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q4 2019

Full Year 

2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

Full Year 

2020

OLTV Ratio 

>95%

HomeReady®(30)FICO Credit

Score < 680(6)

DTI Ratio 

> 43%(29)

Total UPB (Dollars in billions) $188.5 $595.9 $190.5 $351.3 $391.4 $425.6 $1,358.8 $36.1 $33.6 $58.4 $278.8

Weighted Average OLTV Ratio 74% 76% 74% 72% 71% 70% 71% 97% 87% 72% 73%

OLTV Ratio > 95% 4% 7% 3% 3% 3% 2% 2% 100% 31% 0% 2%

Weighted-Average FICO® Credit Score(6) 753 749 753 759 762 762 760 749 747 658 750

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

DTI Ratio > 43%(29) 25% 28% 25% 20% 19% 20% 21% 18% 36% 25% 100%

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

Owner Occupied 92% 92% 92% 93% 92% 91% 92% 100% 100% 96% 90%

HomeReady®(30) 4% 7% 3% 2% 2% 3% 2% 29% 100% 3% 4%

Weighted-Average OLTV Ratio

Or

74%

igination LTV > 95%

75%

77% 76%

71%

2.8%

4.9%

7.5% 6.6%

2.0%

2016 2017 2018 2019 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

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Refi Plus(31) including HARP Other Refinance

Cash-out Refinance Purchase
© 2021 Fannie Mae 2020 Financial Supplement 16

DRAFT

% of UPB in Conventional Guaranty

Book of Business

SDQ Rate

100.00%

1.61% 2.40%

95.99%

2.87%

5.88%

9.98%

2.39%

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 December 31, 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) $3,200.9 $51.6 $83.4 $1,103.5 $221.3 $175.9 $359.8 $1,205.4 $181.0 $91.6 $288.9 $215.2 $725.1

Average UPB $185,047 $66,007 $114,016 $143,928 $182,872 $187,354 $229,409 $273,918 $159,693 $178,065 $143,532 $118,420 $196,599

Share of Single-Family Conventional Guaranty Book 100% 2% 3% 34% 7% 5% 11% 38% 6% 3% 9% 7% 23%

Loans in Forbearance by UPB 3.4% 6.9% 11.4% 3.6% 5.8% 7.9% 5.3% 0.7% 6.2% 5.7% 9.6% 4.9% 6.1%

Share of Loans with Credit Enhancement(33) 42% 6% 15% 47% 67% 76% 59% 25% 78% 86% 42% 43% 46%

Serious Delinquency Rate(8) 2.87% 5.88% 9.98% 2.60% 4.15% 5.59% 3.60% 0.43% 5.34% 4.21% 8.08% 3.56% 4.88%

Weighted-Average OLTV Ratio 74% 74% 76% 75% 75% 78% 76% 71% 106% 89% 77% 86% 76%

OLTV Ratio > 95% 6% 6% 10% 7% 6% 10% 8% 3% 100% 38% 10% 30% 8%

Amortized OLTV Ratio(34) 67% 48% 62% 60% 69% 73% 74% 70% 94% 86% 68% 67% 69%

Weighted-Average Mark-to-Market LTV Ratio(5) 58% 32% 52% 43% 57% 64% 68% 69% 73% 78% 56% 45% 60%

Weighted-Average FICO Credit Score(6) 750 700 695 751 742 735 747 760 728 739 648 728 737

FICO Credit Score < 680(6) 9% 36% 39% 9% 12% 15% 8% 4% 17% 10% 100% 22% 13%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted Average FICO Credit Score

FICO Credit Score < 680

745 745 746 746 750

12.2% 11.8% 11.5%

10.5%

9.0%

2016 2017 2018 2019 2020

0

250

500

750

0%

5%

10%

15%

20%

25%

Weighted Average MTMLTV

% MTMLTV >100%

60% 58% 57% 57% 58%

1.9%

1.0%

0.4% 0.3% 0.1%

2016 2017 2018 2019 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 December 31, 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
© 2021 Fannie Mae 2020 Financial Supplement 17

DRAFT

UPB

(Dollars in billions)

$40

$76

$102 $86 $82 $67

$222 $189

$240

$265

$206

$290

$58

$15

$44

$45

$73

$57

$233 $239

$331

$410

$338

$445

$182

2014 2015 2016 2017 2018 2019 2020

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$1,341 $1,371

$1,224

$1,067

$955

46% 46%

40%

35%

30%

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

0%

20%

40%

2018 2019 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% $681 21%

Connecticut Avenue Securities(37) $798 27% $919 31% $608 19%

Credit Insurance Risk

Transfer(7) $243 8% $275 10% $216 7%

Lender risk-sharing(37) $102 4% $147 5% $131 4%

(Less: loans covered by multiple 

credit enhancements) ($394) (13)% ($438) (15)% ($304) (9)%

Total single-family loans with 

credit enhancement $1,367 47% $1,556 53% $1,332 42%

Single-Family Credit Risk Transfer Issuance

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

% Single-family conventional guaranty book in a CRT transaction

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

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2021 Fannie Mae 2020 Financial Supplement 18

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of Loans in Forbearance

as of December 31, 2020(13) Single-Family Loan Forbearance Exits

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

As of December 31, 2020 Origination Year

Categories are not mutually exclusive Total 

2004 &

Earlier

2005-

2008

2009-

2016 2017 2018 2019 2020

Total UPB (Dollars in billions) $107.8 $3.6 $9.5 $39.9 $12.9 $13.9 $19.1 $8.9

Average UPB $205,469 $96,741 $165,434 $185,898 $224,891 $232,105 $275,734 $306,724

Share of Single-Family Conventional Guaranty Book

based on Loan Count 3.0% 0.2% 0.3% 1.3% 0.3% 0.3% 0.4% 0.2%

Share of Single-Family Conventional Guaranty Book

based on UPB(40) 3.4% 0.1% 0.3% 1.3% 0.4% 0.4% 0.6% 0.3%

MTMLTV Ratio >80% without Mortgage Insurance 1.5% 0.1% 0.8% 0.3% 0.1% 0.1% 0.1% 0.0%

DTI Ratio > 43%(29) 41.0% 1.0% 3.9% 13.0% 4.8% 7.0% 8.0% 3.3%

FICO Score < 680(6) 25.8% 1.7% 4.2% 8.6% 3.2% 3.7% 3.3% 1.1%

OLTV Ratio >95% 10.4% 0.3% 0.9% 3.9% 1.1% 1.8% 2.0% 0.4% UP

B

(Dollars in billions)

Number of Loans (in thousands)

$12.1

$7.7 $6.7

$25.0

$56.3

64K

41K 35K

127K

258K

Current 30 to 59

days

DLQ

60 to 89

days

DLQ

90 to

179 

days

DLQ

180+

days

DLQ

$0.0

$20.0

$40.0

$60.0

0K

100K

200K

300K

28.1%

1.7%

43.0%

21.4%

5.8%

Payment Deferral Other(55) Modification(15)

Reinstated Liquidations

783,820

Loans Exited 

Forbearance 

in 2020
© 2021 Fannie Mae 2020 Financial Supplement 19

DRAFT

UP

B

(Dollars in billions)

Number of Loan Workouts

(in thousands)

$17.5 $16.7 $19.0

$9.3

$62.9

$13.5 $13.8 $16.6 $7.7 $5.3

$56.0

103.5K 100.6K

118.1K

56.3K

299.2K

2016 2017 2018 2019 2020

$0

$10

$20

$30

$40

$50

$60

$70

$80

$90

$100

0K

50K

100K

150K

200K

250K

300K

REO Ending Inventory

(Units in thousands)

38

26

20

18

8

2016 2017 2018 2019 2020

0

10

20

30

40

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(8)

Average 

Months to

Foreclosure(41)

CA 2.62% 22

TX 3.39% 22

FL 4.17% 40

NY 4.79% 65

WA 1.99% 36

NJ 4.57% 30

IL 3.10% 19

CO 1.93% 14

VA 2.53% 17

PA 2.84% 24

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of December 31, 2020(8) Top 10 States by UPB

Single-Family Loan Workouts Single-Family REO Ending Inventory

1.00% to 1.99%

2.00% to 2.99%

3.00% and above

Other(42) Total Loan Workouts

Modifications(43) Payment Deferrals
© 2021 Fannie Mae 2020 Financial Supplement 20

DRAFT

52.5%

7.1%

9.3%

14.2%

8.4%

8.5%

63.6%

19.1%

4.6%

3.4%

3.4% 5.9%

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

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

For the Period Ended 

Certain Product Features

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

Credit losses by period (Dollars in millions) $3,338 $2,963 $2,457 $1,719 $514 100.0% 100.0% 100.0% 100.0% 100.0%

Alt-A(45) 3.1% 2.5% 1.9% 1.5% 1.1% 24.9% 21.9% 22.4% 16.6% 14.0%

Interest-only 1.7% 1.2% 0.8% 0.5% 0.3% 12.2% 15.7% 15.4% 11.5% 9.1%

Origination LTV Ratio >95% 6.9% 6.6% 6.8% 6.9% 5.7% 15.2% 16.9% 14.9% 16.0% 14.4%

FICO Credit Score < 680 and OLTV Ratio > 95%(6) 1.7% 1.6% 1.4% 1.3% 0.9% 8.1% 8.7% 8.7% 9.4% 8.8%

FICO Credit Score < 680(6) 12.2% 11.8% 11.4% 10.5% 9.0% 48.7% 45.4% 46.3% 43.1% 41.4%

Refi Plus including HARP 15.4% 13.2% 11.4% 9.5% 6.7% 14.0% 15.9% 13.2% 15.8% 16.6%

Vintage 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

2009 - 2020 87% 90% 92% 94% 96% 19% 23% 20% 27% 33%

2005 - 2008 8% 6% 5% 4% 2% 65% 65% 66% 61% 54%

2004 & Prior 5% 4% 3% 2% 2% 16% 12% 14% 12% 13%

$514M $3.2T UPB

% of 2020 Single-Family 

Credit Losses by State (44)(46)

% of Single-Family Conventional Guaranty Book of 

Business by State as of December 31, 2020

All Other States New York New Jersey

California Illinois Florida

All Other States New York New Jersey

California Illinois Florida
© 2021 Fannie Mae 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

 * Loans originated in 2004 - 2008 represent only 5% of the single-family conventional guaranty book of business as of December 31, 2020.

**As of December 31, 2020, cumulative default rates on the loans originated in each individual year from 2009-2020 were less than 1%.

2004

2008

2005
© 2021 Fannie Mae 

DRAFT

Multifamily Business
© 2021 Fannie Mae 2020 Financial Supplement 23

DRAFT

UPB

(Dollars in billions)

$338.8 $345.4 $357.8 $366.8 $384.5

71.8 71.9 72.3 73.3 74.5

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

UPB

(Dollars in billions)

$18.1

$14.1

$19.6

$15.2

$27.1

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$0

$5

$10

$15

$20

$25

$30

Multifamily Highlights

• Multifamily new business volume was a record high of 

$76 billion in 2020.

• The multifamily guaranty book of business increased by 

$45.7 billion in 2020 to $384.5 billion. 

• The average charged guaranty fee on the multifamily 

book increased 2.7 basis points from December 31, 

2019 to 74.5 basis points as of December 31, 2020. 

• As of December 31, 2020, based on unpaid principal 

balance, 1.4% of Fannie Mae’s multifamily guaranty 

book of business had received a forbearance plan, 

primarily as a result of the COVID-19 pandemic. More 

than half of those loans, measured by unpaid principal 

balance, were in a repayment plan and 0.4% of the 

book, or $1.7 billion, was still in active forbearance at 

year end. 

 2020

$3,364M

Net interest income

$94M

Fee and other 

income

$38M

Fair value gains, net

$(623)M

Credit-related 

expense

$1,924M

Net income

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

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

$17.1

$29.2 $29.1 $29.0 $29.0

$66.9

$74.8 $74.1 $73.4 $72.1

25%

30% 29% 28%

26%

$84.0

$104.0 $103.2 $102.4 $101.1

Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020

$10%

$15%

$20%

$25%

$30%

$35%

$40%

Average charged guaranty fee on multifamily guaranty book of 

business, at end of period (bps)

UPB outstanding of multifamily guaranty book of business

UPB outstanding of multifamily loans in a 

Multifamily Connecticut Avenue SecuritiesTM

transaction

% Multifamily guaranty book in a Multifamily 

CRT transaction

UPB outstanding of multifamily loans in a 

Multifamily CIRT transaction
© 2021 Fannie Mae 2020 Financial Supplement 24

DRAFT

Share of Acquisitions

76%

80%

89% 93% 93%

24%

20%

11% 7% 7%

2016 2017 2018 2019 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 2020

Total UPB (Dollars in billions) $55.3 $67.1 $65.4 $70.2 $76.0

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

Loan Count 3,335 3,861 3,723 4,113 5,051

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

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

% Full Interest-Only 23% 26% 33% 33% 38%

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% 50%

Share of Acquisitions

47% 41%

32% 33% 29%

53% 59%

68% 66% 70%

2016 2017 2018 2019 2020

0%

20%

40%

60%

80%

100%

$5.9B

$4.8B

$2.5B $4.4B

$2.4B

$1.9B

$1.9B

$1.8B

$1.8B

$1.8B

Share of 

Acquisitions:

38%

Total UPB:

$29.2B

Origination Loan-to-Value 

Ratio(3)

Top 10 MSAs by 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%

New York Phoenix

Los Angeles Denver

Washington D.C. Seattle

Dallas San Francisco

Atlanta Chicago

Variable-rate

Fixed-rate
© 2021 Fannie Mae 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 December 31, 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) $384.5 $3.6 $5.3 $110.1 $57.6 $62.3 $69.7 $75.9 $336.3 $17.1 $14.6 $16.5 $37.8

% of Multifamily Book 100% 1% 1% 29% 15% 16% 18% 20% 87% 5% 4% 4% 10%

Loan Count 28,645 653 2,837 9,382 3,181 3,479 4,065 5,048 25,852 679 681 1,433 3,613

Average UPB (Dollars in millions) $13.4 $5.5 $1.9 $11.7 $18.1 $17.9 $17.1 $15.0 $13.0 $25.2 $21.5 $11.5 $10.5

Loans in Forbearance by UPB(38) 0.4% 0.1% 0.0% 0.4% 1.5% 0.3% 0.3% 0.0% 0.2% 3.7% 3.1% 0.0% 0.2%

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

Weighted Average DSCR(10) 2.0 3.1 2.4 2.0 2.0 1.8 1.9 2.3 2.0 1.8 1.8 2.0 2.1

% Fixed rate 90% 10% 41% 91% 88% 92% 93% 93% 92% 64% 85% 92% 79%

% Full Interest-Only 30% 33% 25% 22% 29% 34% 33% 38% 32% 12% 26% 24% 21%

% Partial Interest-Only(50) 51% 6% 23% 49% 56% 53% 56% 50% 50% 57% 64% 57% 42%

% Small Balance Loans(53) 45% 75% 93% 50% 31% 28% 35% 36% 46% 14% 26% 50% 53%

% DUS(3) 99% 98% 86% 99% 98% 100% 100% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(11) 0.98% 0.06% 0.88% 1.42% 2.43% 0.66% 0.50% 0.01% 0.53% 7.74% 4.56% 0.00% 0.36%

Credit Characteristics of Multifamily Guaranty Book of Business

$33.2B

$24.4B

$17.0B $16.5B

$11.8B

$11.3B

$10.1B

$9.9B

$9.6B

$9.5B

Share of Book

of Business: 

39.9%

Total Top 10 

UPB:

$153.3B

$4.2B

$11.0B

$14.5B

$18.1B

$27.1B

$309.6B

Total UPB:

$384.5B 

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

New York Houston

Los Angeles Phoenix

Dallas San Francisco

Washington D.C. Seattle

Atlanta Chicago

2021 2024

2022 2025

2023 Other

$241M

$90M

$73M

$72M

$71MShare of 

Forbearance:

32%

Total Top 5 

Forbearance 

UPB:

$0.5B

New York Dallas

Cleveland San Francisco

Houston
© 2021 Fannie Mae 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%

0.98%

0.24%

0.39%

0.56%

0.50%

0.18%

0.99%

0.44%

1.36%

1.20%

0.92%

0.55%

0.34%

0.15%

0.21% 0.21%

0.33%

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

—% —% 0.1%

0.2% 0.2%

—%

0.3%

0.7%

1.1%

0.9%

0.2%

0.1%

—% —% 0.1%

0.2% 0.2%

—% —%

0.2%

1.1%

1.4%

0.1%

0.3%

—% —% —%

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

31.7%

50.7%

9.2%

2.3%

6.1%

Active Forbearance(17) Defaulted(18) Liquidations

Reinstated(19) Repayment Plan

$5.3B UPB 

in Forbearance 

in 2020
© 2021 Fannie Mae 

DRAFT

Endnotes
© 2021 Fannie Mae 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 December 31, 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 $2.2 billion outstanding as of December 31, 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 their multifamily borrowers, there is a lag in reporting, which typically can range from three to six months, but in some cases may be longer. Accordingly, the financial 

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

(11) Multifamily 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
© 2021 Fannie Mae 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 to borrowers experiencing a COVID-19-related financial 

hardship for up to 12 months or, for borrowers already in forbearance as of February 28, 2021, for a total of up to 15 months, provided that the forbearance does not result in 

the loan becoming greater than 15 months delinquent. The company estimates that, through December 31, 2020, approximately 8% of the single-family loans, based on 

loan count, in the single-family conventional guaranty book of business as of March 31, 2020 have been in a COVID-19-related forbearance at some point in time.

(15) Includes loans that are in trial modifications. As of December 31, 2020, 83% of loans that were in forbearance in 2020 and subsequently received a completed modification 

were current.

(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 the multifamily loans in forbearance were associated with a COVID-19-related financial hardship.

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

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

foreclosure or modification.

(19) Represents loans that are no longer in forbearance but are current according to the original terms of the loan.

(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 rate for periods prior to 2020 are based on the quarterly series calculated by the Bureau of Economic Analysis and are 

subject to revision. GDP decline rate for 2020 is the Advance Estimate published on January 28, 2021.

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

December 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 December 31, 2020.

(27) Aggregate amount of dividends Fannie Mae has paid to Treasury on the senior preferred stock from 2008 through December 31, 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 December 31, 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 

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

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

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

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

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

unless such loans are also covered by primary mortgage insurance.

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

(38) Includes multifamily loans that are in an active forbearance as of December 31, 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 the company's REO inventory for foreclosures completed 

during the twelve months ended December 31, 2020. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this 

calculation.

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

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

(43) There were approximately 14,400 loans in a trial modification period that was not yet complete as of December 31, 2020.

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

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

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

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

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

outstanding single-family conventional guaranty book of business. 

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

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

loans in the guaranty book of business originated in the identified year. Data as of December 31, 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) Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide. 

(54) Cumulative net credit loss rate is the cumulative net credit losses (gains) through December 31, 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 as well as loans that exited forbearance through a repayment plan.