August 8, 2012

Fannie Mae

2012 Second-Quarter Credit Supplement
1

 This presentation includes information about Fannie Mae, including information 

contained in Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended 

June 30, 2012, the “2012 Q2 Form 10-Q.” Some of the terms used in these 

materials are defined and discussed more fully in the 2012 Q2 Form 10-Q and in 

Fannie Mae’s Form 10-K for the year ended December 31, 2011, the “2011 Form 

10-K.” These materials should be reviewed together with the 2012 Q2 Form 10-Q 

and the 2011 Form 10-K, copies of which are available on the “SEC Filings” page 

in the “Investor Relations” section of Fannie Mae’s Web site at 

www.fanniemae.com. 

 Some of the information in this presentation is based upon information that we 

received 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. 

 This presentation includes forward-looking statements relating to future home 

price changes. Future home price changes may be very different from our 

estimates as a result of significant inherent uncertainty in the current market 

environment, including uncertainty about the effect of actions the federal 

government has taken and may take with respect to tax policies, spending cuts, 

mortgage finance programs and policies, and housing finance reform; the 

management of the Federal Reserve’s MBS holdings; the impact of those actions 

on and changes generally in unemployment and the general economic and 

interest rate environment; and the impact on the U.S. economy of the European 

debt crisis. The impact of future home price changes on our business, results or 

financial condition will depend on many other factors.

 Due to rounding, amounts reported in this presentation may not add to totals 

indicated (or 100%). A zero indicates less than one half of one percent. A dash 

indicates a null value.
2

Table of Contents

Slide

Home Price Growth/Decline Rates in the U.S. 3

Home Price Change Peak-to-Current as of 2012 Q2 4

Fannie Mae Acquisition Profile by Key Product Features 5

Fannie Mae Credit Profile by Key Product Features 6

Fannie Mae Credit Profile by Origination Year and Key Product Features 7

Fannie Mae Credit Profile by State 8

Fannie Mae Alt-A Credit Profile by Key Product Features 9

Fannie Mae Single-Family Serious Delinquency Rates by States and Region 10

Fannie Mae Single-Family Completed Workouts by Type 11

Fannie Mae Single-Family Loan Modifications by Monthly Payment Change and Type 12

Performance of Fannie Mae Modified Loans 13

Fannie Mae Single-Family Cumulative Default Rates 14

Fannie Mae Single-Family Real Estate Owned (REO) in Selected States 15

Real Estate Owned (REO) Sales Price / UPB of Mortgage Loans 16

Fannie Mae Multifamily Credit Profile by Loan Attributes 17

Fannie Mae Multifamily Credit Profile by Acquisition Year 18

Fannie Mae Multifamily Credit Profile 19

Fannie Mae Multifamily 2012 YTD Credit Losses by State 20
3

7.0% 6.3%

7.5% 7.7%

10.6% 11.3%

2.8%

-3.3%

-9.0%

-4.7% -4.4% -3.7%

2.9%*

-15%

-10%

-5%

0%

5%

10%

15%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Home Price Growth/Decline Rates in the U.S.

S&P/Case-Shiller Index 9.8% 7.7% 10.6% 10.7% 14.6% 14.7% -0.3% -8.4% -18.4% -2.5% -3.7% -3.9% -2.0**

Fannie Mae Home Price Index

Growth rates are from period-end to period-end.

After declining by an estimated 23.6% from their peak in the third quarter of 2006 to the first quarter of 2012, we estimate that home prices on a national 

basis increased by 3.2% in the second quarter of 2012. Although we believe home prices may decline again through early 2013, we expect that, if 

current market trends continue, home prices will not decline on a national basis below their first quarter 2012 levels. Our estimates of home price 

changes are calculated differently from the S&P/Case-Shiller U.S. National Home Price Index and therefore result in different percentages for 

comparable changes. Our estimated 23.6% peak-to-trough decline in home prices on a national basis corresponds to a 35.1% decline according to the 

S&P/Case-Shiller's National Home Price Index.

. 

*Year-to-date as of Q2 2012. Estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 2012. Including subsequent 

data may lead to materially different results.

**Year-to-date as of Q1 2012. 
4

Top %: State/Region Home Price Decline Rate percentage from applicable peak in that state/region through June 30, 2012.

Bottom %: Percent of Fannie Mae single-family conventional guaranty book of business by unpaid principal balance as of June 30, 2012.

Note: Regional home price decline percentages are a housing stock unit-weighted average of home price decline percentages of states within each region.

*Source: Fannie Mae. Estimates based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 2012. Including subsequent data may lead to 

materially different results.

Home Price Peak-to-Current as of 2012 Q2*

United States -21.2%

TX

-0.8%

5.2%

CA

-45.2%

19.0%

MT

-10.3%

0.3%

CO

-8.3%

2.5%

NM

-17.1%

0.6%

WY

-6.7%

0.2%

AZ

-47.4%

2.4%

SD

0.0%

0.2%

NV

-60.8%

1.0%

ND

0.0%

0.1%

KS

-4.6%

0.5%

OR

-27.5%

1.6%

NE

-5.3%

0.4%

OK

-1.9%

0.6%

UT

-21.8%

1.0%

MN

-21.6%

1.8%

ID

-28.8%

0.5%

MO

-11.6%

1.4%

IA

-1.4%

0.6%

WA

-26.3%

3.5%

AR

-5.7%

0.5%

GA

-27.7%

2.8%

PA

-8.4%

3.0%

MS

-9.0%

0.4%

IL

-24.8%

4.3%

LA

-0.7%

0.9%

WI

-13.0%

1.8%

FL

-48.7%

6.1%

AL

-10.6%

1.0%

TN

-8.7%

1.3%

NC

-11.1%

2.5%

KY

-3.0%

0.6%

NY

-11.7%

5.7%

IN

-5.3%

1.2%

MI

-30.5%

2.4%

OH

-13.7%

2.3%

VA

-19.6%

3.6%

ME

-13.9%

0.3%

SC

-13.6%

1.2%

WV

-2.4%

0.2%

MD

-27.5%

2.9%

VT

-10.2%

0.2%

NH

-22.4%

0.5%

MA

-19.4%

3.1%

NJ

-26.1%

4.0%

CT

-21.0%

1.4%

DE

-20.3%

0.4%

RI

-33.4%

0.4%

DC

-3.3%

0.4%

Mountain

-31.0%

8.4%

East North Central

-19.0%

12.0%

West North Central

-9.9%

5.0%

New England

-19.3%

5.8%

Middle Atlantic

-13.1%

12.7%

South Atlantic

-29.0%

20.1%

East South Central

-8.0%

3.4%

West South Central

-1.0%

7.1%

Pacific

-39.5%

25.1%

Below -30%

-30% to -15%

-15% to -5%

-5% to 0%

0% 

State Growth Rate

AK

-1.4%

0.2%

HI

-23.2%

0.8%

State

Growth Rate

UPB %
5

Fannie Mae Acquisition Profile by Key Product Features

Credit Characteristics of Single-Family Business Volume (1)

(1) Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business volume refers to both single-family mortgage loans we purchased for our 

mortgage portfolio and single-family mortgage loans we guarantee into Fannie Mae MBS. Beginning with the third quarter of 2011, we prospectively report loans underlying long-term standby 

commitments in the period in which the commitment was established, rather than at the time of actual delivery. 

(2) The increase for 2010, 2011, and 2012 is the result of our Refi PlusTM initiative, which involves the refinance of existing Fannie Mae loans that can have loan-to-value ratios in excess of 100%.

(3) Refi Plus and Home Affordable Refinance Program (HARP) started in April 2009.

(4) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery.

(5) Newly originated Alt-A loans acquired in 2009, 2010, 2011, and 2012 consist of the refinance of existing Alt-A loans under our Refi Plus initiative.

Acquisition Year Q2 2012 Q1 2012 2011 2010 2009 2008 2007 2006 2005 2004

Unpaid Principal Balance (billions) $174.1 $200.1 $562.3 $595.0 $684.7 $557.2 $643.8 $515.8 $524.2 $568.8

Weighted Average Origination Note Rate 3.93% 3.96% 4.35% 4.64% 4.93% 6.00% 6.51% 6.45% 5.73% 5.63%

Origination Loan-to-Value Ratio

 <= 60% 24.2% 28.9% 29.1% 30.3% 32.6% 22.7% 16.7% 18.6% 21.4% 23.1%

 >60% and <= 70% 13.8% 15.6% 15.5% 15.9% 17.0% 16.1% 13.5% 15.1% 16.3% 16.2%

 >70% and <= 80% 34.1% 35.4% 37.3% 38.5% 39.9% 39.5% 44.7% 49.6% 46.2% 43.1%

 >80% and <= 90% 9.3% 9.1% 8.9% 8.6% 6.9% 11.7% 9.1% 6.8% 7.4% 8.2%

 >90% and <= 100% (2) 9.0% 7.4% 6.8% 5.2% 3.3% 10.0% 15.8% 9.7% 8.5% 9.3%

 > 100% (2) 9.6% 3.7% 2.3% 1.6% 0.4% 0.1% 0.1% 0.2% 0.2% 0.2%

Weighted Average Origination Loan-to-Value Ratio 75.7% 70.0% 69.3% 68.4% 66.8% 72.0% 75.5% 73.4% 72.0% 71.4%

Weighted Average Origination Loan-to-Value Ratio Excluding HARP (3) 69.4% 66.9% 67.0% 66.0% 65.8%

FICO Credit Scores (4)

 0 to < 620 0.9% 0.5% 0.5% 0.4% 0.4% 2.8% 6.4% 6.2% 5.4% 5.6%

 >= 620 and < 660 2.4% 1.8% 1.8% 1.6% 1.5% 5.7% 11.5% 11.2% 10.7% 11.5%

 >=660 and < 700 7.5% 6.5% 7.0% 6.6% 6.5% 13.9% 19.2% 19.6% 18.9% 19.4%

 >=700 and < 740 16.1% 15.1% 16.2% 16.1% 17.2% 21.7% 22.6% 23.0% 23.2% 23.9%

 >=740 73.0% 76.0% 74.5% 75.1% 74.4% 55.8% 40.1% 39.7% 41.5% 39.2%

 Missing 0.0% 0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.3% 0.4%

Weighted Average FICO Credit Score (4) 760 763 762 762 761 738 716 716 719 715

Product Distribution

Fixed-rate 96.0% 95.7% 93.5% 93.7% 96.6% 91.7% 90.1% 83.4% 78.7% 78.8%

Adjustable-rate 4.0% 4.3% 6.5% 6.3% 3.4% 8.3% 9.9% 16.6% 21.3% 21.2%

Alt-A (5) 0.7% 0.6% 1.2% 0.9% 0.2% 3.1% 16.7% 21.8% 16.1% 11.9%

Subprime 0.3% 0.7% 0.7% 0.0%

Interest Only 0.3% 0.4% 0.7% 1.3% 1.0% 5.6% 15.2% 15.2% 10.1% 5.0%

Negative Amortizing 0.0% 0.3% 3.1% 3.2% 1.9%

Investor 7.3% 6.6% 6.5% 4.6% 2.5% 5.6% 6.5% 7.0% 6.4% 5.4%

Condo/Co-op 9.4% 8.8% 8.8% 8.6% 8.2% 10.3% 10.4% 10.5% 9.8% 8.8%

Refinance 77.6% 82.6% 76.5% 77.4% 79.9% 58.6% 50.4% 48.3% 53.1% 57.3%

Total Refi Plus (3) 26.6% 22.5% 24.3% 23.4% 10.6%

HARP (3) 15.4% 10.2% 8.5% 9.0% 3.8%

Origination Loan-to-Value Ratio: 

>80% and <=105% 57.1% 80.6% 88.5% 94.5% 99.1%

>105% and <=125% 23.2% 17.0% 11.5% 5.5% 0.9%

>125% 19.8% 2.4%

HARP Weighted Average Origination Loan-to-Value Ratio 110.7% 97.3% 94.1% 92.1% 90.7%
6

Fannie Mae Credit Profile by Key Product Features

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

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

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

detailed loan-level information for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2012.

(3) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery.

(4) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie 

Mae had access to loan level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement.

(5) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2012 Q2 Form 10-Q.

As of June 30, 2012

Negative 

Amortizing 

Loans

Interest Only 

Loans 

Loans with 

FICO

< 620(3)

Loans with 

FICO ≥ 620 and 

< 660(3)

Loans with 

Origination 

LTV Ratio 

> 90%

Loans with 

FICO < 620 and 

Origination 

LTV Ratio > 

90%(3)

Alt-A Loans Subprime 

Loans

Sub-total of 

Key Product 

Features(1)

Overall

Book

Unpaid Principal Balance (billions) (2) $8.3 $118.1 $83.1 $175.4 $303.5 $18.6 $169.0 $5.4 $710.0 $2,761.2

Share of Single-Family Conventional Guaranty Book 0.3% 4.3% 3.0% 6.4% 11.0% 0.7% 6.1% 0.2% 25.7% 100.0%

Average Unpaid Principal Balance (2) $108,286 $239,694 $119,673 $132,078 $160,086 $119,829 $156,842 $145,776 $151,721 $156,777

Serious Delinquency Rate 6.95% 14.53% 12.23% 9.43% 6.54% 15.83% 11.83% 21.02% 8.57% 3.53%

Origination Years 2005-2008 54.9% 81.4% 58.1% 53.4% 35.4% 60.1% 69.6% 85.3% 50.5% 26.1%

Weighted Average Origination Loan-to-Value Ratio 70.6% 74.6% 77.1% 77.2% 99.4% 99.2% 73.7% 77.0% 83.3% 71.9%

Origination Loan-to-Value Ratio > 90% 0.3% 8.7% 22.4% 20.4% 100.0% 100.0% 7.3% 6.6% 42.7% 11.0%

Weighted Average Mark-to-Market Loan-to-Value Ratio 96.3% 114.9% 89.7% 89.7% 107.8% 113.3% 99.1% 109.2% 97.9% 77.0%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 13.7% 24.9% 17.6% 16.6% 31.9% 32.0% 19.4% 23.3% 22.9% 9.3%

Mark-to-Market Loan-to-Value Ratio > 125% 32.1% 34.8% 14.1% 14.5% 17.3% 26.0% 22.6% 27.6% 17.0% 6.4%

Weighted Average FICO (3) 707 725 587 641 719 590 716 620 695 740

FICO < 620 (3) 6.7% 1.4% 100.0% 6.1% 100.0% 1.0% 50.2% 11.7% 3.0%

Fixed-rate 1.6% 29.9% 79.8% 82.5% 89.9% 78.5% 66.0% 64.3% 77.2% 89.5%

Primary Residence 68.7% 85.3% 96.5% 93.9% 94.6% 98.5% 77.5% 96.9% 89.9% 89.2%

Condo/Co-op 13.2% 15.9% 4.8% 6.5% 10.1% 5.7% 10.3% 4.1% 9.5% 9.4%

Credit Enhanced (4) 54.6% 16.5% 27.9% 26.0% 66.0% 80.6% 15.8% 59.3% 34.8% 13.8%

% of 2007 Credit Losses (5) 0.9% 15.0% 18.8% 21.9% 17.4% 6.4% 27.8% 1.0% 72.3% 100.0%

% of 2008 Credit Losses (5) 2.9% 34.2% 11.8% 17.4% 21.3% 5.4% 45.6% 2.0% 81.3% 100.0%

% of 2009 Credit Losses (5) 2.0% 32.6% 8.8% 15.5% 19.2% 3.4% 39.6% 1.5% 75.0% 100.0%

% of 2010 Credit Losses (5) 1.9% 28.6% 8.0% 15.1% 15.9% 2.7% 33.2% 1.1% 68.4% 100.0%

% of 2011 Credit Losses (5) 1.2% 25.8% 7.9% 14.7% 14.0% 2.2% 27.3% 0.6% 63.4% 100.0%

% of Q1 2012 Credit Losses (5) 1.2% 23.3% 7.7% 14.2% 18.7% 2.5% 24.7% 1.2% 63.2% 100.0%

% of Q2 2012 Credit Losses (5) 1.1% 23.1% 7.9% 14.4% 18.4% 2.5% 24.3% 1.1% 63.1% 100.0%

Categories Not Mutually Exclusive (1)
7

Fannie Mae Credit Profile by Origination Year and Key Product Features

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

(1) Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loanlevel information for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2012.

(2) The increase for 2010, 2011, and 2012 is the result of our Refi Plus loans, which started in April 2009, and involve the refinance of existing Fannie Mae loans that can have loan-to-value ratios 

in excess of 100%.

(3) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery.

(4) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae has 

access to loan-level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement.

(5) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2012 Q2 Form 10-Q.

(6) Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, preforeclosure sales, sales to third parties and deeds in lieu of 

foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in the guaranty book of business originated in the identified year that have defaulted, divided by the 

total number of single-family conventional loans in the guaranty book of business originated in the identified year. For 2002 to 2004 cumulative default rates, refer to slide 14.

As of June 30, 2012 Overall

Book 2012 2011 2010 2009 2008 2007 2006 2005 2004 andEarlier

Unpaid Principal Balance (billions) (1) $2,761.2 $296.3 $478.5 $455.3 $382.1 $158.3 $233.7 $163.4 $165.9 $427.7

Share of Single-Family Conventional Guaranty Book 100.0% 10.7% 17.3% 16.5% 13.8% 5.7% 8.5% 5.9% 6.0% 15.5%

Average Unpaid Principal Balance(1) $156,777 $210,595 $196,924 $194,849 $186,637 $168,233 $171,192 $155,954 $141,185 $87,954

Serious Delinquency Rate 3.53% 0.01% 0.11% 0.34% 0.69% 5.98% 12.38% 11.66% 7.34% 3.36%

Weighted Average Origination Loan-to-Value Ratio 71.9% 73.4% 70.2% 69.9% 68.8% 75.2% 78.6% 75.5% 73.3% 70.9%

Origination Loan-to-Value Ratio > 90% (2) 11.0% 15.6% 10.6% 8.4% 5.3% 13.3% 21.4% 12.7% 9.5% 9.4%

Weighted Average Mark-to-Market Loan-to-Value Ratio 77.0% 72.0% 68.7% 70.0% 71.7% 90.9% 110.3% 109.1% 93.3% 59.9%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 9.3% 4.8% 3.0% 4.1% 5.4% 23.1% 26.5% 22.8% 18.4% 5.3%

Mark-to-Market Loan-to-Value Ratio > 125% 6.4% 2.0% 0.2% 0.3% 0.4% 10.2% 28.2% 28.5% 16.8% 2.7%

Weighted Average FICO(3) 740 761 761 761 758 726 701 705 713 715

FICO < 620 (3) 3.0% 0.8% 0.5% 0.5% 0.5% 3.9% 9.0% 7.3% 5.5% 6.0%

Interest Only 4.3% 0.3% 0.6% 1.0% 1.0% 6.5% 16.3% 17.9% 11.2% 2.3%

Negative Amortizing 0.3% 0.1% 1.2% 1.4% 0.9%

Fixed-rate 89.5% 96.3% 93.9% 94.9% 97.2% 84.8% 76.4% 74.7% 76.9% 86.7%

Primary Residence 89.2% 89.0% 88.3% 90.3% 91.7% 86.8% 88.3% 86.4% 86.7% 90.3%

Condo/Co-op 9.4% 8.9% 8.9% 8.6% 8.9% 12.2% 11.2% 11.6% 10.9% 7.9%

Credit Enhanced (4) 13.8% 12.3% 10.2% 7.4% 7.4% 28.2% 32.2% 21.3% 16.2% 11.9%

% of 2007 Credit Losses (5) 100.0% 1.9% 21.3% 23.6% 53.2%

% of 2008 Credit Losses (5) 100.0% 0.5% 27.9% 34.9% 19.3% 17.3%

% of 2009 Credit Losses (5) 100.0% 4.8% 36.0% 30.9% 16.4% 11.9%

% of 2010 Credit Losses (5) 100.0% 0.4% 7.0% 35.8% 29.2% 15.9% 11.7%

% of 2011 Credit Losses (5) 100.0% 0.7% 1.6% 5.7% 30.3% 27.7% 19.2% 14.8%

% of Q1 2012 Credit Losses (5) 100.0% 0.2% 1.1% 1.9% 7.5% 34.6% 26.0% 15.0% 13.6%

% of Q2 2012 Credit Losses (5) 100.0% 0.4% 1.6% 2.2% 8.0% 33.0% 26.8% 17.4% 10.6%

Cumulative Default Rate (6) 0.0% 0.0% 0.1% 0.3% 3.1% 10.3% 9.6% 5.8%

Origination Year
8

Fannie Mae Credit Profile by State

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by State

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

detailed loan-level information for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2012.

(2) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery.

(3) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie 

Mae has access to loan-level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement.

(4) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2012 Q2 Form 10-Q.

(5) Select Midwest states are Illinois, Indiana, Michigan, and Ohio.

As of June 30, 2012 Overall

Book AZ CA FL NV

Select Midwest 

States (5)

Unpaid Principal Balance (billions) (1) $2,761.2 $65.4 $523.4 $169.7 $27.8 $280.7

Share of Single-Family Conventional Guaranty Book 100.0% 2.4% 19.0% 6.1% 1.0% 10.2%

Average Unpaid Principal Balance (1) $156,777 $148,049 $222,509 $138,637 $157,789 $122,448

Serious Delinquency Rate 3.53% 2.82% 2.07% 11.00% 7.15% 3.83%

Origination Years 2005-2008 26.1% 38.2% 21.4% 48.2% 45.6% 24.7%

Weighted Average Origination Loan-to-Value Ratio 71.9% 76.8% 65.9% 74.8% 77.3% 75.8%

Origination Loan-to-Value Ratio > 90% 11.0% 15.5% 6.1% 13.1% 13.3% 15.2%

Weighted Average Mark-to-Market Loan-to-Value Ratio 77.0% 96.5% 77.4% 101.2% 130.9% 82.1%

Mark-to-Market Loan-to-Value Ratio >100% and <=125% 9.3% 17.3% 9.2% 16.5% 14.8% 13.8%

Mark-to-Market Loan-to-Value Ratio >125% 6.4% 21.0% 9.9% 27.2% 46.6% 6.9%

Weighted Average FICO (2) 740 741 750 726 735 735

FICO < 620 (2) 3.0% 2.5% 1.6% 4.7% 2.5% 3.9%

Interest Only 4.3% 8.5% 6.3% 8.3% 12.5% 2.7%

Negative Amortizing 0.3% 0.4% 0.9% 0.7% 1.0% 0.1%

Fixed-rate 89.5% 84.4% 86.9% 83.5% 77.9% 89.2%

Primary Residence 89.2% 80.7% 86.9% 82.2% 77.9% 93.2%

Condo/Co-op 9.4% 4.4% 12.0% 13.8% 5.8% 11.0%

Credit Enhanced (3) 13.8% 13.3% 6.2% 14.9% 13.7% 17.5%

% of 2007 Credit Losses (4) 100.0% 1.8% 7.2% 4.7% 1.2% 46.6%

% of 2008 Credit Losses (4) 100.0% 8.0% 25.2% 10.9% 4.9% 21.1%

% of 2009 Credit Losses (4) 100.0% 10.8% 24.4% 15.5% 6.5% 14.8%

% of 2010 Credit Losses (4) 100.0% 10.0% 22.6% 17.5% 6.1% 13.6%

% of 2011 Credit Losses (4) 100.0% 11.7% 27.0% 11.0% 7.9% 12.0%

% of Q1 2012 Credit Losses (4) 100.0% 7.6% 19.6% 19.6% 5.1% 17.7%

% of Q2 2012 Credit Losses (4) 100.0% 7.1% 20.4% 21.4% 4.6% 17.5%
9

Fannie Mae Alt-A Credit Profile by Key Product Features

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

(1) In reporting our Alt-A exposure, we have classified mortgage loans as Alt-A if and only if the lenders that deliver the mortgage loans to us have classified the loans as Alt-A based on documentation or other 

product features. We have loans with some features that are similar to Alt-A mortgage loans that we have not classified as Alt-A because they do not meet our classification criteria. 

(2) Newly originated Alt-A loans acquired in 2009, 2010, 2011, and 2012 primarily consist of the refinance of existing Alt-A loans under our Refi Plus initiative.

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

for approximately 99% of its single-family conventional guaranty book of business as of June 30, 2012.

(4) The increase for 2009, 2010, 2011, and 2012 is the result of Refi Plus loans, which started in April 2009 and can have loan-to-value ratios that could be in excess of 100%.

(5) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery.

(6) Defined as unpaid principal balance of Alt-A loans with credit enhancement as a percentage of unpaid principal balance of all Alt-A loans. At June 30, 2012, 9.7% of unpaid principal balance of Alt-A loans 

carried only primary mortgage insurance (no deductible), 4.7% had only pool insurance (which is generally subject to a deductible), 1.0% had primary mortgage insurance and pool insurance, and 0.4% carried 

other credit enhancement such as lender recourse. 

(7) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2012 Q2 Form 10-Q.

(8) Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and includes loan foreclosures, preforeclosure sales, sales to third parties 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.

As of June 30, 2012 Alt-A (1) 2012(2) 2011 (2) 2010 (2) 2009 (2) 2008 2007 2006 2005 2004 and

Earlier

Unpaid principal balance (billions) (3) $169.0 $2.0 $6.8 $3.9 $1.4 $4.0 $40.5 $43.1 $30.1 $37.2

Share of Alt-A 100.0% 1.2% 4.0% 2.3% 0.8% 2.4% 23.9% 25.5% 17.8% 22.0%

Weighted Average Origination Loan-to-Value Ratio 73.7% 83.4% 74.1% 79.2% 75.2% 68.5% 75.1% 74.3% 72.9% 71.3%

Origination Loan-to-Value Ratio > 90% (4) 7.3% 37.3% 24.9% 28.6% 20.8% 2.6% 8.5% 4.9% 3.4% 5.0%

Weighted Average Mark-to-Market Loan-to-Value Ratio 99.1% 82.5% 73.8% 82.0% 81.0% 87.4% 115.1% 116.0% 102.8% 68.4%

Mark-to-Market Loan-to-Value Ratio > 100% and <=125% 19.4% 18.6% 12.4% 18.1% 17.9% 19.5% 25.5% 23.7% 20.7% 8.4%

Mark-to-Market Loan-to-Value Ratio > 125% 22.6% 5.8% 1.0% 0.9% 1.9% 10.1% 33.3% 34.4% 24.3% 5.3%

Weighted Average FICO (5) 716 725 742 733 734 723 709 711 721 718

FICO < 620 (5) 1.0% 7.1% 2.8% 3.3% 3.7% 0.3% 0.6% 0.6% 0.4% 1.6%

Adjustable-rate 34.0% 1.4% 2.4% 4.3% 3.7% 23.2% 35.2% 39.7% 45.1% 30.3%

Interest Only 27.2% 0.1% 7.3% 37.1% 37.6% 30.2% 14.4%

Negative Amortizing 2.6% 3.8% 6.0% 2.4%

Investor 17.9% 25.5% 24.1% 12.1% 5.4% 18.9% 18.9% 16.5% 19.8% 16.3%

Condo/Co-op 10.3% 10.3% 7.1% 9.4% 8.9% 6.8% 9.1% 11.1% 12.8% 9.8%

California 21.0% 26.8% 26.3% 19.7% 15.6% 20.3% 20.9% 18.5% 20.0% 24.2%

Florida 11.8% 6.5% 4.0% 3.4% 3.4% 9.9% 13.1% 14.1% 13.6% 9.2%

Credit Enhanced (6) 15.8% 4.2% 2.1% 2.3% 1.5% 14.2% 17.8% 15.5% 15.4% 19.7%

Serious Delinquency Rate at 12/31/11 12.43% 0.21% 2.11% 4.25% 10.70% 18.46% 17.55% 12.19% 6.65%

Serious Delinquency Rate at 06/30/12 11.83% 0.03% 0.63% 2.88% 4.87% 10.56% 17.72% 16.84% 11.81% 6.65%

% of 2007 Credit Losses (7) 27.8% 0.7% 9.8% 9.7% 7.7%

% of 2008 Credit Losses (7) 45.6% 0.0% 12.4% 20.1% 9.7% 3.4%

% of 2009 Credit Losses (7) 39.6% 0.4% 13.4% 15.8% 7.3% 2.6%

% of 2010 Credit Losses (7) 33.2% 0.0% 0.0% 0.5% 11.8% 12.8% 5.7% 2.3%

% of 2011 Credit Losses (7) 27.3% 0.1% 0.1% 0.3% 8.5% 10.1% 5.9% 2.5%

% of Q1 2012 Credit Losses (7) 24.7% 0.0% 0.1% 0.1% 0.3% 8.5% 9.6% 4.2% 2.0%

% of Q2 2012 Credit Losses (7) 24.3% 0.1% 0.1% 0.4% 8.0% 9.2% 4.9% 1.6%

Cumulative Default Rate (8) 0.1% 1.0% 2.3% 8.2% 18.7% 17.6% 11.3%
10

Fannie Mae Single-Family Serious Delinquency Rates by States and Region (1)

(1) Calculated based on the number of loans in Fannie Mae’s single-family conventional guaranty book of business within each specified category.

(2) Select Midwest states are Illinois, Indiana, Michigan, and Ohio. 

(3) For information on which states are included in each region, refer to footnote 9 to Table 34 in Fannie Mae’s 2012 Q2 Form 10-Q.

0%

2%

4%

6%

8%

10%

12%

14%

16%

2009 Q2 2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 2011 Q3 2011 Q4 2012 Q1 2012 Q2

Serious Delinquency Rate by States

AZ C A F L N V Select Midwest States (2) All

0 %

1 %

2 %

3 %

4 %

5 %

6 %

7 %

8 %

2009 Q2 2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 2011 Q3 2011 Q4 2012 Q1 2012 Q2

Serious Delinquency Rate by Region (3)

Midwest Northeast Southeast Southwest West
11

Fannie Mae Single-Family Completed Workouts by Type 

 Modifications involve changes to the original mortgage loan terms, which may include a change to the product type, interest rate, amortization term, maturity date 

and/or unpaid principal balance. Modifications include both completed modifications under the Administration's Home Affordable Modification Program (HAMP) 

and completed non-HAMP modifications, and do not reflect loans currently in trial modifications

 Repayment plans involve plans to repay past due principal and interest over a reasonable period of time through temporarily higher monthly payments. Loans with 

completed repayment plans are included for loans that were at least 60 days delinquent at initiation.

 Forbearances involve an agreement to suspend or reduce borrower payments for a period of time. Loans with forbearance plans are included for loans that were 

at least 90 days delinquent at initiation. 

 Deeds-in-lieu of foreclosure involve the borrower’s voluntarily signing over title to the property.

 In a preforeclosure sale, the borrower, working with the servicer, sells the home prior to foreclosure to pay off all or part of the outstanding loan, accrued interest 

and other expenses from the sale proceeds.

80,195

87,533

82,684

77,748

65,239 

0

25,000

50,000

75,000

100,000

2011 Q2 2011 Q3 2011 Q4 2012 Q1 2012 Q2 Number of Loans

Modifications Repayment Plans Completed Forbearances Completed Preforeclosure Sales and Deeds-i n-Lieu
12

0 %

20%

40%

60%

80%

100%

Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

Capitalization of Missed Payments and Other

Extend Term, Reduce Rate and Forbear Principal 

Extend Term and Reduce Rate 

Extend Term Only 

Reduce Rate Only 

Fannie Mae Single-Family Loan Modifications by Monthly Payment 

Change and Type

Change in Monthly Principal and Interest Payment

of Modified Single-Family Loans(1)(2)

(1) Excludes loans that were classified as subprime adjustable rate mortgages that were modified into fixed rate mortgages and were current at the time of modification. Modifications 

include permanent modifications, but do not reflect loans currently in trial modifications. 

(2) Represents the change in the monthly principal and interest payment at the effective date of the modification. The monthly principal and interest payment on modified loans may 

vary, and may increase, during the remaining life of the loan.

Modification Type of Single-Family Loans(1)(2)

0 %

20%

40%

60%

80%

100%

Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

Decrease of greater than 30% of Principal and Interest Payment

Decrease of greater than 20% but less than or equal to 30% of Principal and Interest Payment

Decrease of less than or equal to 20% of Principal and Interest Payment

No Change in Principal and Interest Payment

Increase in Principal and Interest Payment
13

Performance of Fannie Mae Modified Loans

Re-performance Rates of Modified Single-Family Loans(1)

(1) Excludes loans that were classified as subprime adjustable rate mortgages that were modified into fixed rate mortgages. Modifications include permanent modifications, but do not 

reflect loans currently in trial modifications. 

2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

3 months post modification 57% 78% 80% 79% 78% 81% 84% 84% 83% 84% 85%

6 months post modification 47% 69% 71% 73% 75% 77% 78% 79% 79% 79% n/a

9 months post modification 45% 62% 65% 71% 73% 72% 75% 77% 76% n/a n/a

12 months post modification 42% 58% 65% 70% 70% 69% 74% 75% n/a n/a n/a

15 months post modification 40% 60% 63% 66% 67% 68% 73% n/a n/a n/a n/a

18 months post modification 41% 58% 60% 65% 67% 68% n/a n/a n/a n/a n/a

21 months post modification 40% 56% 59% 65% 67% n/a n/a n/a n/a n/a n/a

24 months post modification 39% 55% 60% 65% n/a n/a n/a n/a n/a n/a n/a

% Current or Paid Off
14

Note: Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, preforeclosure sales, sales to third parties and deeds in 

lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in the guaranty book of business originated in the identified year that have defaulted, 

divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year.

Data as of June 30, 2012 are not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods.

Fannie Mae Single-Family Cumulative Default Rates

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

2002 2003

2004

2005

2006

2007

2008

2009 2011 2010 2012

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%

10.0%

10.5%

11.0%

Yr1-Q 1 Yr2-Q 1 Yr3-Q 1 Yr4-Q 1 Yr5-Q 1 Yr6-Q 1 Yr7-Q 1 Yr8-Q 1 Yr9-Q 1 Yr10-Q 1 Yr11-Q 1 Cumulative Default Rate 

Time Since Beginning of Origination Year

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
15

Fannie Mae Single-Family Real Estate Owned (REO) in Selected 

States

(1) Select Midwest States are Illinois, Indiana, Michigan, and Ohio.

(2) Measured from the last monthly period for which the borrowers fully paid their mortgages to when the related properties were added to our REO inventory for foreclosures 

completed during Q2 2012.

(3) Fannie Mae incurs additional costs associated with property taxes, hazard insurance, and legal fees while a delinquent loan remains in the foreclosure process. Additionally, the 

longer a loan remains in the foreclosure process, the longer it remains in our guaranty book of business as a seriously delinquent loan. The average number of days from last paid 

installment to foreclosure for all states combined were 327, 325, 407, 479, and 529 in each of the years 2007 through 2011, respectively, and 639 year-to-date 2012.

(4) Home Equity Conversion Mortgage (HECMs) excluded from calculation. 

Q2 2012 Q1 2012 2011 2010 2009 2008 2007

Beginning Balance NA 114,157 118,528 162,489 86,155 63,538 33,729 25,125 NA NA 

Arizona 377 2,109 2,246 16,172 20,691 12,854 5,532 751 3,673 7,738

California 500 3,697 3,829 27,589 34,051 19,565 10,624 1,681 10,039 20,224

Florida 1,032 5,584 5,610 13,748 29,628 13,282 6,159 1,714 11,765 9,510

Nevada 679 654 1,003 8,406 9,418 6,075 2,906 530 1,512 5,035

Select Midwest States (1) 683 9,664 11,657 33,777 45,411 28,464 23,668 16,678 29,967 30,266

All other States 560 22,075 23,355 100,004 122,879 65,377 45,763 27,767 52,310 62,946

Total Acquisitions NA 43,783 47,700 199,696 262,078 145,617 94,652 49,121 NA NA

Total Dispositions NA (48,674) (52,071) (243,657) (185,744) (123,000) (64,843) (40,517) NA NA

Ending Inventory NA 109,266 114,157 118,528 162,489 86,155 63,538 33,729 NA NA

State

REO 

Inventory as 

of June 30, 

2012

REO 

Inventory as 

of June 30, 

2011

Average Days 

From Last Paid 

Installment to 

Foreclosure For 

Q2 2012 (2) (3) (4)

REO Acquisitions and Dispositions (Number of Properties)
16

Real Estate Owned (REO) Sales Price / UPB of Mortgage Loans(1)

REO Net Sales Prices to UPB - Top 10 States (Based on Volume of REO Properties Sold YTD 2012)

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2

C A 51.7% 47.8% 49.3% 52.9% 53.7% 56.2% 55.9% 53.3% 53.1% 53.5% 53.1% 54.7% 55.4% 58.8%

MI 41.6% 41.9% 42.0% 44.8% 41.2% 44.5% 43.3% 44.5% 41.6% 42.6% 44.0% 45.1% 46.3% 49.2%

FL 45.6% 41.6% 41.3% 42.6% 41.8% 43.2% 42.0% 41.7% 41.3% 43.8% 44.7% 46.3% 47.6% 51.0%

GA 53.3% 52.6% 54.4% 57.3% 56.0% 58.8% 56.7% 54.9% 54.3% 54.9% 53.7% 54.0% 54.2% 57.3%

AZ 51.5% 47.8% 50.1% 52.1% 50.6% 52.1% 51.0% 46.2% 45.0% 47.0% 48.6% 51.7% 54.5% 60.9%

IL 52.2% 47.9% 44.0% 42.9% 43.9% 45.8% 41.4% 39.3% 39.2% 43.3% 42.2% 42.0% 41.1% 44.3%

OH 46.2% 50.4% 51.8% 50.8% 49.0% 52.9% 47.5% 49.6% 45.2% 49.3% 47.2% 47.1% 46.3% 49.9%

TX 71.6% 70.3% 72.7% 73.8% 75.5% 77.9% 74.7% 71.4% 73.8% 74.2% 74.4% 73.5% 76.2% 78.9%

N V 52.1% 46.6% 46.3% 47.8% 47.2% 48.7% 48.1% 43.5% 43.6% 42.9% 42.9% 44.3% 45.1% 50.0%

WA 78.0% 76.4% 76.3% 75.0% 72.2% 71.2% 68.1% 66.2% 64.7% 63.2% 62.1% 62.5% 60.4% 64.7%

Top 10 51.3% 48.5% 49.4% 51.4% 50.8% 53.1% 51.7% 50.4% 48.9% 50.6% 51.0% 52.5% 52.8% 56.0%

All Others 62.6% 62.4% 63.7% 64.8% 63.9% 65.7% 63.1% 62.3% 61.4% 62.4% 61.2% 61.5% 62.5% 64.6%

Total 55.1% 52.4% 53.4% 55.3% 55.0% 57.3% 55.6% 54.1% 52.8% 54.1% 54.0% 55.4% 56.3% 59.2%

2009 2010 2011 2012

62%

59%

60%

62% 61%

64%

62%

61%

59%

60% 60%

61% 62%

65%

55%

52% 53%

55% 55%

57%

56%

54%

53%

54% 54%

55%

56%

59%

50%

55%

60%

65%

70%

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2

2009 2010 2011 2012

Gross Sales/ UPB Net Sales/ UPB

(1) Calculated as the sum of sale proceeds received on disposed REOs, excluding those subject to lender repurchases requests made to our seller/servicers, mortgage insurance 

acquisitions, and redemptions, divided by the aggregate unpaid principal balance (UPB) of the related loans. Gross sales price represents the contract sale price. Net Sales Price 

represents the contract sale price less selling costs for the property and adjusted for other charges/credits paid by or due to the seller at closing.
17

Fannie Mae Multifamily Credit Profile by Loan Attributes

Total Multifamily Guaranty Book of Business (1) 39,557 $196.1 100% 0.29% 100% 100% 100%

Credit Enhanced Loans: 

Credit Enhanced 35,501 $176.2 90% 0.25% 80% 83% 68%

Non-Credit Enhanced 4,056 $19.9 10% 0.70% 20% 17% 32%

Origination loan-to-value ratio:(4) 

Less than or equal to 70% 24,847 $105.1 54% 0.10% 21% 18% 8%

Greater than 70% and less than or equal to 80% 11,787 $83.0 42% 0.52% 62% 70% 89%

Greater than 80% 2,923 $8.0 4% 0.51% 16% 12% 3%

Delegated Underwriting and Servicing (DUS ®) Loans: (5)

DUS ® - Small Balance Loans(6) 8,074 $15.4 8% 0.34% 8% 9% 7%

DUS ® - Non Small Balance Loans 11,722 $145.2 74% 0.18% 85% 72% 61%

DUS ® - Total 19,796 $160.6 82% 0.20% 93% 81% 68%

Non-DUS - Small Balance Loans (6) 18,570 $15.5 8% 1.07% 10% 12% 10%

Non-DUS - Non Small Balance Loans 1,191 $20.1 10% 0.44% -3% 7% 22%

Non-DUS - Total 19,761 $35.5 18% 0.72% 7% 19% 32%

Maturity Dates:

Loans maturing in 2012 587 $4.4 2% 1.37% 2% 7% 15%

Loans maturing in 2013 2,899 $16.4 8% 0.38% -1% 7% 10%

Loans maturing in 2014 2,491 $13.8 7% 0.39% 16% 5% 11%

Loans maturing in 2015 3,114 $15.9 8% 0.28% 9% 6% 4%

Loans maturing in 2016 3,056 $16.1 8% 0.49% 8% 8% 14%

Other maturities 27,410 $129.4 66% 0.21% 66% 68% 46%

Loan Size Distribution:

Less than or equal to $750K 11,263 $3.5 2% 0.97% 4% 5% 2%

Greater than $750K and less than or equal to $3M 14,153 $20.9 11% 0.77% 14% 16% 16%

Greater than $3M and less than or equal to $5M 4,753 $17.3 9% 0.47% 7% 11% 17%

Greater than $5M and less than or equal to $25M 8,246 $83.3 42% 0.32% 60% 50% 48%

Greater than $25M 1,142 $71.1 36% 0.04% 15% 18% 17%

% of 2010 

Multifamily Credit 

Losses

% of 2011 

Multifamily Credit 

Losses

% of 2012 YTD 

Multifamily Credit 

Losses(3)

As of June 30, 2012

Unpaid Principal 

Balance (Billions)

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (2)

Loan Counts

(1) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral.

(2) We classify multifamily loans as seriously delinquent when payment is 60 days or more past due.

(3) Negative values are the result of recoveries of previously charged-off amounts.

(4) Weighted Average Origination loan-to-value ratio is 66% as of June 30, 2012.

(5) Under the Delegated Underwriting and Servicing, or DUS ®, product line, Fannie Mae purchases individual, newly originated mortgages from specially approved DUS lenders using DUS 

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

without our pre-review. 

(6) Multifamily loans under $3 million and up to $5 million in high cost of living areas.
18

2005

2006

2007

2008

2009 2010 2011

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

Year

1

Year

2

Year

3

Year

4

Year

5

Year

6

Year

7

Year

8 SDQ (%) 

2005 2006 2007 2008 2009 2010 2011 2012

 

2012

2009

2010

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

Year

1

Year

2

Year

3

Year

4

Year

5

Year

6

Year

7

Year

8 Cumulative Default Rate 

2005 2006 2007 2008 2009 2010 2011 2012

2005

2007 2008

2006

2012 2011

(1) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral.

(2) We classify multifamily loans as seriously delinquent when payment is 60 days or more past due.

(3) Negative values are the result of recoveries of previously charged-off amounts.

Fannie Mae Multifamily Credit Profile by Acquisition Year

Multifamily SDQ Rate by Acquisition Year Cumulative Defaults by Acquisition Year

As of June 30, 2012 Unpaid Principal 

Balance (Billions) 

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (2)

# of Seriously 

Delinquent 

loans (2)

% of 2012 YTD 

Multifamily 

Credit Losses(3)

% of 2011 

Multifamily 

Credit Losses

% of 2010 

Multifamily 

Credit Losses

Total Multifamily Guaranty Book of Business (1) $196.1 100% 0.29% 244 100% 100% 100%

By Acquisition Year: 

2012 $14.0 7% - - - - -

2011 $24.2 12% 0.01% 1 0% - -

2010 $17.3 9% - - 0% - -

2009 $17.8 9% 0.12% 4 8% 6% 2%

2008 $29.2 15% 0.51% 66 26% 31% 17%

2007 $35.5 18% 0.46% 97 46% 33% 38%

2006 $16.5 8% 0.43% 18 6% 7% 17%

2005 $13.8 7% 0.27% 16 21% 3% 2%

Prior to 2005 $27.8 14% 0.45% 42 -8% 20% 25%
19

Fannie Mae Multifamily Credit Profile

(1) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral.

(2) We classify multifamily loans as seriously delinquent when payment is 60 days or more past due.

(3) For information on which states are included in each region, refer to footnote 9 to Table 34 in Fannie Mae’s 2012 Q2 Form 10-Q.

(4) Asset Class Definitions: Conventional/Co-Op Housing: Privately owned multifamily properties or multifamily properties in which the residents collectively own the property through their shares in the 

cooperative corporation. Seniors Housing: Multifamily rental properties for senior citizens. Manufactured Housing: A residential real estate development consisting of housing sites for manufactured 

homes, related amenities, utility services, landscaping, roads and other infrastructure. Student Housing: Multifamily rental properties in which 80% or more of the units are leased to undergraduate 

and/or graduate students. 

(5) The Multifamily Affordable Business Channel focuses on financing properties which are under a regulatory agreement that provides long-term affordability, such as properties with rent subsidies or 

income restrictions.

Total Multifamily Guaranty Book of Business (1) $196.1 100% 0.29% 100% 100% 100%

Region: (3) 

Midwest $16.4 8% 0.84% 9% 23% 10%

Northeast $41.4 21% 0.38% 7% 3% 5%

Southeast $39.6 20% 0.30% 57% 42% 40%

Southwest $33.8 17% 0.21% 7% 26% 40%

Western $65.1 33% 0.14% 20% 6% 6%

Top Five States by UPB: 

California $51.2 26% 0.05% 1% 1% 2%

New York $24.1 12% 0.30% - - 1%

Texas $16.5 8% 0.23% - 19% 12%

Florida $9.7 5% 0.54% 41% 10% 13%

Virginia $7.5 4% - - - -

Asset Class: (4) 

Conventional/Co-op $173.7 89% 0.32% 97% 96% 99%

Seniors Housing $14.6 7% - - - -

Manufactured Housing $5.1 3% 0.34% 0% - -

Student Housing $2.8 1% 0.14% 2% 4% 1%

Targeted Affordable Segment: 

Privately Owned with Subsidy (5) $27.2 14% 0.17% 5% 14% 6%

DUS & Non-DUS Lenders: 

DUS Lender: Bank (Direct, Owned Entity, or Subsidiary) $68.9 35% 0.37% 7% 29% 45%

DUS Lender Non-Bank Financial Institution $112.2 57% 0.20% 87% 68% 50%

Non-DUS Lender: Bank (Direct, Owned Entity, or Subsidiary) $13.9 7% 0.62% 5% 1% 4%

Non-DUS Lender: Non-Bank Financial Institution $1.1 1% 0.66% 1% 1% 1%

Non-DUS Lender: Public Agency/Non Profit $0.1 0% - 0% 0% 0%

% of 2010 

Multifamily 

Credit Losses As of June 30, 2012

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (2)

% of 2011 

Multifamily 

Credit Losses

Unpaid Principal 

Balance (Billions)

% of 2012 YTD 

Multifamily 

Credit Losses
20

Fannie Mae Multifamily 2012 YTD Credit Losses(1) by State ($ Millions)

Example: UPB in 

Ohio is $2.8B and YTD 

2012 Credit Losses have 

been $11M

Numbers: Represent YTD 2012 credit losses for each state which total $186M as of June 30, 2012. States with no numbers had less than $1 million in credit losses in YTD 2012.

Shading: Represent Unpaid Principal Balance (UPB) for each state which total $196.1B as of June 30, 2012. 

Portfolio UPB(2)

Concentration by State 

as of 06/30/2012

(1) Negative values are the result of recoveries of previously charged-off amounts.

(2) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral.