Ä 2019 Fannie Mae. Trademarks of Fannie Mae. 

DRAFT

Quarterly Financial Supplement 

Q3 2019

OctoberÅ31, 2019
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 1

DRAFT

Ç Some of the terms and other information in this presentation are defined and discussed more fully in Fannie MaeÉs Form 10-Q for the quarter ended

September 30, 2019 ("Q3 2019 Form 10-Q") and Form 10-K for the year ended December 31, 2018 (Ñ2018 Form 10-KÖ). This presentation should be

reviewed together with the Q3 2019 Form 10-Q and the 2018 Form 10-K, which are available at www.fanniemae.com in the ÑAbout UsÜInvestor RelationsÜ

SEC FilingsÖ section. Information on or available through the company's website is not part of this supplement.

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

we generally consider this information reliable, we do not independently verify all reported information. 

Ç Due to rounding, amounts reported in this presentation may not add to totals indicated (or 100%). 

Ç Unless otherwise indicated, data labeled as "YTD 2019" is as of September 30, 2019 or for the first nine months of 2019. Data for prior years is as of

December 31 or for the full year indicated. 

Ç Note references are to endnotes, appearing on pages 22 to 25. 

Ç Terms used in presentation 

Amortized OLTV ratio: amortized origination loan-to-value ratio, which refers to the current unpaid principal balance of a loan at period end, divided by

the home price at origination of the loan

CAS: Connecticut Avenue Securitiesá

CIRTÄ: Credit Insurance Risk Transferà

CRT: credit risk transfer 

DSCR: debt service coverage ratio

DTI ratio: Debt-to-income ("DTI") ratio refers to the ratio of a borrowerÉs outstanding debt obligations (including both mortgage debt and certain other

long-term and significant short-term debts) to that borrowerÉs reported or calculated monthly income, to the extent the income is used to qualify for the

mortgage.

DUSÅ: Fannie MaeÉs Delegated Underwriting and Servicing program

GDP: U.S. Gross Domestic Product

HARPÅ: Home Affordable Refinance Program, which allowed eligible Fannie Mae borrowers with high LTV ratio loans to refinance into more sustainable

loans.

HomeReadyÅ: Low down payment mortgage designed for creditworthy low-income borrowers. For additional information, see https://

www.fanniemae.com/singlefamily/homeready.

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

REO: real estate owned 

TCCA: Temporary Payroll Tax Cut Continuation Act of 2011

UPB: unpaid principal balance
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 2

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Table of Contents

Financial Overview

Corporate Financial Highlights 4

Market Liquidity 5

Key Market Economic Indicators 6

Net Worth, Treasury Funding and Senior Preferred Stock Dividends 7

Single-Family Business

Single-Family Highlights 9

Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions 10

Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business 11

Single-Family Credit Risk Transfer 12

Single-Family Problem Loan Statistics 13

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 14

Single-Family Cumulative Default Rates 15

Multifamily Business

Multifamily Highlights 17

Certain Credit Characteristics of Multifamily Loan Acquisitions 18

Certain Credit Characteristics of Multifamily Guaranty Book of Business 19

Multifamily Serious Delinquency Rates and Credit Losses 20

Endnotes

Financial Overview Endnotes 22

Single-Family Business Endnotes 23

Multifamily Business Endnotes 25
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. 

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Financial Overview
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 4

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Ç Fannie Mae reported net income of $4.0 billion for the third

quarter of 2019, reflecting the strength of the companyÉs

underlying business fundamentals. This compares to net income of

$3.4 billion for the second quarter of 2019.

Ç The increase in net income in the third quarter of 2019 was driven

primarily by increases in credit-related income and net revenues,

partially offset by a decrease in investment gains during the

quarter.

100%

80%

60%

40%

20%

0%

%

Net Interest Income

$600

$500

$400

$300

$200

$100

$0

Retained Mortgage Portfolio ($) Billions

2015 2016 2017 2018 YTD 2019

$345.1

$272.4

$230.8

$179.2 $177.0

Corporate Financial Highlights

($) in millions Q3 2019 Q2 2019 Variance

Net interest income $5,229 $5,150 $79

Fee and other income 402 246 156

Net revenues 5,631 5,396 235

Investment gains, net 253 461 (208)

Fair value losses, net (713) (754) 41

Administrative expenses (749) (744) (5)

Credit-related income

Benefit for credit losses 1,857 1,225 632

Foreclosed property expense (96) (128) 32

Total credit-related income 1,761 1,097 664

Temporary Payroll Tax Cut Continuation

Act of 2011 (TCCA) fees (613) (600) (13)

Other expenses, net (571) (535) (36)

Income before federal income taxes 4,999 4,321 678

Provision for federal income taxes (1,036) (889) (147)

Net income $3,963 $3,432 $531

Total comprehensive income $3,977 $3,365 $612

Summary of Q3 2019 Financial Results Sources of Net Interest Income and Retained Mortgage

Portfolio Balance

Key Highlights

% Net interest income from portfolios

% Net interest income from guaranty book of business(1)

Retained mortgage portfolio, at end of period
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 5

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3.5M

3.0M

2.5M

2.0M

1.5M

1.0M

0.5M

0.0M

2015 2016 2017 2018 YTD 2019

1.2M

1.4M

1.0M

0.7M 0.6M

1.0M

1.1M

1.2M

1.2M

0.9M

0.6M

0.7M

0.8M

0.8M

0.5M

Market Liquidity

Fannie Mae provided over $212 billion in liquidity to the mortgage market in

the third quarter of 2019, through its purchases of loans and guarantees of loans

and securities, which enabled the financing of approximately 915,000 singlefamily home purchases, single-family refinancings, or multifamily rental units.

Unpaid Principal

Balance Units

$104.6B 396K Single-Family

Home Purchases

$89.7B 325K Single-Family

Refinances

$18.0B 194K Multifamily

Rental Units

Rental Units Home Purchases Refinancings

Key Highlights:

 Liquidity Provided Q3 2019 Providing Liquidity to the Mortgage Market
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 6

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7%

6%

5%

4%

3%

2%

1%

0%

Rate (as of period end)

2015 2016 2017 2018 YTD 2019

5.0%

4.7%

4.1% 3.9%

3.5%

2.9%

1.6%

2.4%

2.9%

1.7%

Key Market Economic Indicators

9/30/2016 9/30/2017 9/30/2018 9/30/2019

1.59%

2.33%

3.06%

1.66%

2.36%

2.97%

3.81%

2.61%

3.42%

3.83%

4.72%

3.64%

Top 10 States by UPB(4)

State

State Home Price 

Growth Rate

Share of Single-Family

Conventional Guaranty

Book

CA 3.05% 19.1%

TX 3.70% 6.5%

FL 5.64% 5.8%

NY 4.05% 4.9%

WA 5.35% 3.8%

IL 2.63% 3.5%

NJ 2.72% 3.5%

VA 3.91% 3.4%

CO 5.10% 3.1%

PA 5.41% 3.0%

State Growth Rate:

8%

6%

4%

2%

0%

Home Price Growth

2015 2016 2017 2018 YTD 2019

4.5%

5.4%

6.0% 5.6%

4.7%

0.0 to 4.9% 5.0 to 9.9% 10% and above

Benchmark Interest Rates U.S. GDP Growth Rate and

Unemployment Rate(3)

30-year FRM rate(2) 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate U.S. Unemployment rate Annualized U.S. GDP Growth rate

One Year Price Change as of Q3 2019(4)

United States 4.7% Single-Family Home Price Growth Rate(4)
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 7

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Net Worth, Treasury Funding and Senior Preferred Stock Dividends

As of September 30, 2019

$10.3

$113.9

As of September 30, 2019

$181.4

$119.8

Net Worth and Treasury Funding

Commitment

(Dollars in billions)

Dividend Payments and Draws

(Dollars in billions)

Net worth Cumulative dividend payments to Treasury(5)

Remaining Treasury funding commitment Cumulative draws from Treasury(6)
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. 

DRAFT

Single-Family Business
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 9

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Fannie Mae

39%

Freddie Mac

27%

Ginnie Mae

31%

Private-label securities

3%

$4,000

$3,000

$2,000

$1,000

$0

UPB ($) Billions

50

40

30

20

10

0

Basis Points

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$2,889 $2,900 $2,904 $2,907 $2,924

42.8 43.0 43.3 43.4 43.5

$200

$150

$100

$50

$0

UPB ($) Billions

60

50

40

30

20

10

0

Basis Points

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$87

$70

$56

$79

$104

$35

$31

$29

$49

$90

49.7 48.5

50.4

46.7 45.9

$122

$101

$85

$128

$194

Single-Family Highlights

Ç Single-Family net income was $3.3 billion in the third

quarter of 2019, compared with $2.9 billion in the second

quarter of 2019. The increase in net income was due

primarily to an increase in credit-related income driven

primarily by an enhancement to the company's model used

to estimate cash flows for individually impaired singlefamily loans within the company's allowance for loan losses,

partially offset by a decrease in investment gains.

Ç The average single-family conventional guaranty book of

business increased by $17 billion during the third quarter of

2019, while the average charged guaranty fee (net of TCCA

fees) on the single-family conventional guaranty book of

business increased slightly from 43.4 basis points as of June

30, 2019 to 43.5 basis points as of September 30, 2019.

Q3 2019

$4,484M

Net interest income

$198M

Investment gains,

net

$(719)M

Fair value

losses, net

$1,747M

Credit-related

income

$3,323M

Net income

Refinance

Purchase

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

TCCA(2)

Single-Family Conventional Loan

Acquisitions(1)

Single-Family Conventional Guaranty Book

of Business(1)

Q3 2019 Market Share: New Single-Family

Mortgage-Related Securities Issuances Key Highlights

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

TCCA (2)

Average UPB outstanding of single-family conventional guaranty book
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 10

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100%

80%

60%

40%

20%

0%

Share of Acquisitions

2015 2016 2017 2018 YTD 2019

45% 44%

56%

65%

59%

30% 33%

20%

12% 22%

19% 19% 22% 22%

19%

800

600

400

200

0

Weighted Average FICO Credit Score

25%

20%

15%

10%

5%

0%

2015 2016 2017 2018 YTD 2019

10.1%

8.7%

10.6%

11.2%

8.0%

748 750 745 743 747

Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions

Certain Credit Characteristics of Single-Family Conventional Loans

by Acquisition Period

YTD 2019 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q3 2018 Q4 2018

Full Year

2018 Q1 2019 Q2 2019 Q3 2019

OLTV Ratio

>95%

HomeReadyá(5)FICO Credit

Score < 680(3)

DTI Ratio 

> 45%(4)

Total Unpaid Principal Balance (UPB) ($B) $122.3 $101.1 $446.1 $85.0 $128.1 $194.3 $31.5 $32.3 $32.7 $79.9

Weighted Average Origination LTV (OLTV) Ratio 78% 78% 77% 78% 78% 77% 97% 91% 76% 78%

OLTV Ratio > 95% 8% 9% 8% 10% 8% 7% 100% 41% 9% 8%

Weighted Average FICOá Credit Score(3) 743 742 743 742 746 751 735 737 656 740

FICO Credit Score < 680(3) 11% 11% 11% 11% 8% 6% 9% 10% 100% 9%

DTI Ratio > 45%(4) 25% 26% 25% 25% 20% 17% 21% 31% 23% 100%

Fixed-rate 98% 99% 98% 98% 99% 100% 100% 100% 100% 99%

Owner Occupied 89% 89% 89% 90% 91% 93% 100% 100% 95% 91%

HomeReadyá(5) 8% 9% 7% 9% 9% 7% 42% 100% 10% 12%

100%

80%

60%

40%

20%

0%

Weighted Average O

L

TV

Ratio

25%

20%

15%

10%

5%

0%

2015 2016 2017 2018 YTD 2019

2.6% 2.8%

4.9%

7.5% 7.7%

75% 74% 75% 77% 77%

% FICO Credit Score < 680

% OLTV > 95%

Origination Loan-to-Value Ratio FICO Credit Score(3) Acquisitions by Loan Purpose

% OLTV > 95%

Weighted Average OLTV Ratio

% FICO Credit Score < 680

Weighted Average FICO Credit Score

Refi Plus(6) including HARP Other Refinance

Cash-out Refinance Purchase
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 11

DRAFT

8%

6%

4%

2%

0%

Serious Delinquency Rate

2015 2016 2017 2018 YTD 2019

1.55%

1.20% 1.24%

0.76% 0.68%

3.06%

2.82%

3.28%

2.69% 2.53%

7.60%

6.55%

4.24%

0.36% 0.36%

0.53%

0.33%

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

and Loan Features(1)(7)

As of September 30, 2019 Origination Year Certain Loan Features

Categories are not mutually exclusive

Overall

Book

2004 &

Earlier

2005-

2008

2009-

2016 2017 2018 2019

OLTV 

Ratio > 95%

HomeReadyá(5)

FICO Credit

Score <

680(3)

Refi Plus(6)

Including

HARP

DTI Ratio 

> 45%(4)

Total Unpaid Principal Balance (UPB) ($B) $2,940.1 $68.9 $115.1 $1,672.3 $385.7 $357.4 $340.6 $205.7 $83.3 $321.0 $293.9 $420.9

Average UPB $172,566 $71,010 $119,393 $162,520 $210,276 $218,908 $253,093 $161,930 $187,162 $142,856 $129,439 $179,388

Share of Single-Family Conventional Guaranty Book 100% 2% 4% 57% 13% 12% 12% 7% 3% 11% 10% 15%

Share of Loans with Credit Enhancement(8) 49% 7% 17% 44% 70% 76% 45% 64% 91% 42% 10% 43%

Serious Delinquency Rate(9) 0.68% 2.53% 4.24% 0.38% 0.34% 0.25% 0.02% 1.37% 0.36% 2.58% 0.67% 1.30%

Weighted Average Origination LTV (OLTV) Ratio 76% 74% 76% 75% 76% 78% 77% 108% 90% 78% 86% 77%

OLTV Ratio > 95% 7% 6% 9% 7% 6% 9% 8% 100% 42% 12% 30% 12%

Amortized OLTV Ratio(10) 67% 51% 63% 63% 72% 76% 77% 96% 88% 70% 70% 69%

Weighted Average Mark-to-Market LTV Ratio(11) 56% 35% 58% 48% 65% 72% 76% 76% 82% 59% 50% 60%

Weighted Average FICO Credit Score(3) 746 700 695 752 745 741 747 725 736 647 730 730

FICO Credit Score < 680(3) 11% 36% 39% 9% 10% 12% 8% 19% 11% 100% 21% 18%

Fixed-rate 98% 89% 93% 98% 98% 98% 99% 100% 100% 99% 99% 98%

Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business % MTMLTV > 100% % FICO Credit Score < 680

800

600

400

200

0

Weighted Average FICO Credit Score

25%

20%

15%

10%

5%

0%

2015 2016 2017 2018 YTD 2019

12.7% 12.2% 11.8% 11.4% 10.9%

744 745 745 746 746

70%

60%

50%

40%

30%

20%

10%

0%

Weighted Average MTMLTV

10%

8%

6%

4%

2%

0%

2015 2016 2017 2018 YTD 2019

3.3%

1.9%

1.0%

0.5% 0.3%

62% 60% 58% 57% 56%

4.61%

6.39%

Mark-to-Market Loan-to-Value

(MTMLTV) Ratio(11) FICO Credit Score(3) Serious Delinquency Rate byVintage(9)

% MTMLTV > 100%

Weighted Average MTMLTV

% FICO Credit Score < 680

Weighted Average FICO Credit Score

2009-2019 2005-2008

Total Single-Family

Conventional Guaranty

Book of Business

2004 and Prior
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 12

DRAFT

$400

$300

$200

$100

$0

UPB ($) Billions

2013 2014 2015 2016 2017 2018 YTD 2019

$40

$76

$102 $86

$27 $50

$222

$189

$240

$265

$206

$124

$44

$45

$49

$32

$233 $239

$331

$410

$338

$223

Single-Family Credit Risk Transfer

$1,750

$1,500

$1,250

$1,000

$750

$500

$250

$0

UPB ($) Billions

50%

40%

30%

20%

10%

0%

% Single-Family Conventional Guaranty Book

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$1,093

$1,143

$1,210 $1,218 $1,213

38% 39%

42% 42% 41%

2017 2018 YTD 2019

Credit Enhancement 

Outstanding UPB in ($) Billions

Outstanding

UPB

% of Book(15)

Outstanding

Outstanding

UPB

% of Book(15)

Outstanding

Outstanding

UPB

% of Book(15)

Outstanding

Primary mortgage insurance &

other(12) $566 20% $618 21% $644 22%

Connecticut Avenue Securitiesá

(CAS)(13) $681 24% $798 27% $816 28%

Credit Insurance Risk

TransferTM (CIRTTM)

(14) $181 6% $243 8% $263 9%

Lender risk-sharing(13) $65 2% $102 4% $135 4%

(Less: loans covered by

multiple credit enhancements) ($335) (12%) ($394) (13%) ($413) (14%)

Total single-family loans with

credit enhancement $1,158 40% $1,367 47% $1,445 49%

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

UPB outstanding of single-family loans in a CRT transaction(14)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 13

DRAFT

$30

$20

$10

$0

UPB ($) Billions

120K

100K

80K

60K

40K

20K

0K

Number of Loan Workouts (Thousands)

2015 2016 2017 2018 YTD 2019

$16.6

$14.4 $14.6

$17.9

$6.7

$4.2

$3.1 $2.1

$1.1

$0.5

$20.8

$17.5 $16.7

$19.0

$7.2

122.3K

103.5K 100.6K

118.1K

44.1K

70K

60K

50K

40K

30K

20K

10K

0K

REO Ending Inventory

2015 2016 2017 2018 YTD 2019

57K

38K

26K

20K 18K

Single-Family Problem Loan Statistics

State

Serious

Delinquency

Rate(9)

Average

Months to

Foreclosure(16)

CA 0.32% 20

TX 0.52% 20

FL 0.87% 44

NY 1.24% 66

WA 0.35% 28

IL 0.92% 21

NJ 1.21% 40

VA 0.50% 16

CO 0.24% 17

PA 0.94% 24

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of September 30, 2019(9) Top 10 States by UPB

Single-Family Loan Workouts Single-Family REO Ending Inventory

Less than 0.51%

0.51% to 1.00%

1.01% to 2.00%

2.01% to 3.00%

3.01% and above

Foreclosure Alternatives(17) Total Loan Workouts

Home Retention Solutions(18)

Single-Family REO Ending Inventory
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 14

DRAFT

48.3%

10.1%

12.5%

10.3%

9.5%

9.3%

63.2%

19.1%

5.8%

3.5%

3.5%

4.9%

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

Certain Product Features

Categories are not mutually exclusive 2015 2016 2017 2018 YTD 2019 2015 2016 2017 2018 YTD 2019

Alt-A(20) 3.7% 3.1% 2.5% 1.9% 1.6% 29.3% 24.9% 21.9% 22.4% 18.1%

Interest Only 2.1% 1.7% 1.2% 0.8% 0.6% 18.0% 12.2% 15.7% 15.4% 12.7%

Origination LTV Ratio >95% 7.6% 6.9% 6.6% 6.8% 7.0% 11.1% 15.2% 16.9% 14.9% 15.6%

FICO Credit Score < 680 and OLTV Ratio > 95%(3) 1.9% 1.7% 1.6% 1.4% 1.3% 6.2% 8.1% 8.7% 8.7% 9.2%

FICO Credit Score < 680(3) 12.7% 12.2% 11.8% 11.4% 10.9% 42.5% 48.7% 45.4% 46.3% 42.7%

Refi Plus including HARP 17.6% 15.4% 13.2% 11.4% 10.0% 7.8% 14.0% 15.9% 13.2% 14.7%

Vintage 2015 2016 2017 2018 YTD 2019 2015 2016 2017 2018 YTD 2019

2009 - YTD 2019 85% 87% 90% 92% 94% 10% 19% 23% 20% 25%

2005 - 2008 10% 8% 6% 5% 4% 78% 65% 65% 66% 64%

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

$1.5B $2.9T 

% of YTD 2019 Single-Family 

Credit Losses by State(19)(21)

% of Single-Family Conventional Guaranty Book of 

Business by State as of September 30, 2019

All Other States Florida New Jersey

California Illinois New York

All Other States Florida New Jersey

California Illinois New York

% of Single-Family Conventional Guaranty Book of Business(15) % of Single-Family Credit Losses(19)

For the Period Ended
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 15

DRAFT

Single-Family Cumulative Default Rates

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(22)

2004 2005 2006 2007 2008 2009* 2010* 2011* 2012* 2013*

2014* 2015* 2016* 2017* 2018* 2019*

16%

14%

12%

10%

8%

6%

4%

2%

0%

C

u

m

ulative Default Rate

Yr1

Yr2

Yr3

Yr4

Yr5

Yr6

Yr7

Yr8

Yr9

Yr10

Yr11

Yr12

Yr13

Yr14

Yr 15

Time Since Beginning of Origination Year

2007

2006

2005

2008

2004

2012 2011 2010 2009

* As of September 30, 2019, cumulative default rates on the loans originated in each individual year from 2009-2019 were less than 1%
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. 

DRAFT

Multifamily Business
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 17

DRAFT

$400

$300

$200

$100

$0

UPB ($) Billions

80

70

60

50

40

30

20

10

0

Basis Points

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$296.1

$305.9

$314.1

$322.6 $329.6

77.0 75.4 74.1 73.3 71.9

$25

$20

$15

$10

$5

$0

UPB ($) Billions

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$18.2

$21.4

$16.9 $17.2

$18.0

Multifamily Highlights

Ç Multifamily net income was $640 million in the third quarter of

2019, compared with $561 million in the second quarter of 2019.

The increase in net income for the third quarter of 2019 was

attributable primarily to an increase in yield maintenance revenue

driven by higher prepayment volumes.

Ç Nearly 100% of the companyÉs new multifamily business volume

in the first nine months of 2019 had lender risk-sharing, primarily

through the companyÉs Delegated Underwriting and Servicing

(DUSá) program. To complement the companyÉs lender loss

sharing program through DUS, Fannie Mae also transfers a

portion of the mortgage credit risk on multifamily loans in its

multifamily guaranty book of business to insurers and reinsurers

through multifamily CIRT transactions. On October 30, 2019,

Fannie Mae also completed its first Multifamily Connecticut

Avenue Securities (MCASà) transaction. 

Q3 2019

$745M

Net interest income

$246M

Fee and other

income

$6M

Fair value

gains, net

$14M

Credit-related

income

$640M

Net income

Multifamily new business volume

Multifamily Loan Acquisitions Multifamily Guaranty Book of Business(1)

Multifamily Credit Risk Transfer Key Highlights

Average charged guaranty fee on multifamily guaranty book of business, at end of

period

UPB outstanding of multifamily guaranty book of business

$60

$50

$40

$30

$20

$10

$0

UPB ($) Billions

30%

25%

20%

15%

10%

5%

0%

Share of Multifamily Guaranty Book

Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019

$27.0

$37.5

$48.6 $47.9

$57.7

9%

12%

15% 15%

18%

% Multifamily guaranty book in a CIRT transaction

UPB outstanding of multifamily loans in a CIRT transaction
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 18

DRAFT

100%

80%

60%

40%

20%

0%

Share of Acquisitions

2015 2016 2017 2018 YTD 2019

72% 76% 80%

89% 92%

28% 24% 20%

11% 8%

Certain Credit Characteristics of Multifamily Loan Acquisitions

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1)

Categories are not mutually exclusive 2015 2016 2017 2018 YTD 2019

Total Unpaid Principal Balance (UPB) ($B) $42.4 $55.3 $67.1 $65.4 $52.1

Weighted Average Origination LTV (OLTV) Ratio 68% 68% 67% 65% 66%

Loan Count 2,869 3,335 3,861 3,723 3,092

% Lender Recourse(2) 99% 99% 100% 100% 100%

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

% Full Interest-Only 20% 23% 26% 33% 32%

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

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

% Partial Interest-Only(4) 57% 60% 57% 53% 57%

100%

80%

60%

40%

20%

0%

Share of Acquisitions

2015 2016 2017 2018 YTD 2019

48% 47%

41%

32% 33%

52% 53%

59%

68% 66%

$3.5B

$2.4B

$2.4B

$2.3B

$2.2B

$2.2B

$1.5B

$1.4B

$1.2B

$1.2B

Share of 

Acquisitions:

38.9%

Total UPB:

$20.3B

New York Houston

Dallas Phoenix

Los Angeles Chicago

Washington, D.C. Seattle

Atlanta San Diego

% 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%

Variable-rate

Fixed-rate

Origination Loan-to-Value 

Ratio(1)

Top 10 MSAs by YTD 2019

Acquisition UPB(1) Acquisitions by Note Type(1)
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 19

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100%

80%

60%

40%

20%

0%

Share of Book of Business

2015 2016 2017 2018 YTD 2019

80% 80% 82% 85% 87%

20% 20% 18% 15% 13%

Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(1)

As of September 30, 2019 Acquisition Year Asset Class or Targeted Affordable Segment

Categories are not mutually exclusive Overall

Book

2004 &

Earlier 2005-2008 2009-2016 2017 2018 2019

Conventional

/ Co-op(5)

Seniors

Housing(5)

Student

Housing(5)

Manufactured

Housing(5)

Privately Owned

with Subsidy(6)

Total Unpaid Principal Balance (UPB) ($B) $329.6 $4.5 $7.0 $139.6 $62.0 $64.3 $52.2 $287.3 $17.2 $13.4 $11.7 $36.7

Loan Count 27,332 908 3,459 12,691 3,522 3,658 3,094 24,894 697 641 1,101 3,671

Average UPB ($M) $12.1 $5.0 $2.0 $11.0 $17.6 $17.6 $16.9 $11.5 $24.6 $20.9 $10.6 $10.0

Weighted Average Origination LTV Ratio 66% 72% 66% 67% 67% 65% 66% 66% 66% 67% 67% 69%

Weighted Average DSCR(7) 1.9 2.8 2.0 2.0 1.9 1.9 1.9 2.0 1.8 1.7 2.0 2.0

% of Multifamily Book 100% 1% 2% 42% 19% 20% 16% 87% 5% 4% 4% 11%

% Fixed rate 87% 14% 46% 90% 84% 90% 92% 89% 61% 84% 89% 74%

% Full Interest-Only 26% 26% 32% 20% 27% 34% 32% 28% 13% 22% 14% 23%

% Partial Interest-Only(4) 50% 5% 13% 47% 56% 53% 57% 49% 53% 67% 58% 35%

% Small Balance Loans(8) 48% 74% 92% 50% 30% 27% 28% 49% 12% 27% 49% 56%

% Lender Recourse(2) 98% 97% 81% 97% 100% 100% 100% 98% 100% 99% 100% 97%

% DUS(3) 98% 97% 85% 98% 97% 99% 100% 98% 98% 100% 100% 95%

Serious Delinquency Rate(9) 0.06% 0.00% 0.19% 0.05% 0.17% 0.02% 0.00% 0.07% 0.00% 0.00% 0.00% 0.06%

Certain Credit Characteristics of Multifamily Guaranty Book of Business

$27.6B

$21.0B

$15.6B

$13.4B

$10.8B

$10.0B

$9.1B

$8.5B

$8.4B

$8.2B

Share of Book

of Business: 

40.2%

Total UPB:

$132.6B

$0.4B

$6.3B

$10.8B

$16.7B

$17.9B

$277.5B

Share of Book

of Business:

100%

Total UPB:

$329.6B 

UPB by Maturity Year(1) Top 10 MSAs by UPB(1) Multifamily Guaranty Book of Business 

by Note Type(1)

New York Atlanta

Los Angeles Seattle

Dallas Phoenix

Washington, D.C. San Francisco

Houston Chicago

2019 2022

2020 2023

2021 Other

Variable-rate

Fixed-rate
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 20

DRAFT

6.0

4.0

2.0

0.0

-2.0

-4.0

-6.0

Basis Points

2013 2014 2015 2016 2017 2018 YTD 2019

2.5

(2.3)

(2.7)

(0.2)

(0.7)

0.6

0.3

1.4%

1.2%

1.0%

0.8%

0.6%

0.4%

0.2%

0.0%

Serious Delinquency Rate

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD 2019

0.08%

0.63%

0.71%

0.59%

0.24%

0.10%

0.05% 0.07% 0.05%

0.11%

0.06% 0.06%

0.24%

0.39%

0.56%

0.50%

0.18%

0.44%

1.36%

1.20%

0.92%

0.55%

0.34%

0.15%

0.21% 0.21%

0.08%

Multifamily Serious Delinquency Rates and Credit Losses

2.0%

1.5%

1.0%

0.5%

0.0%

Credit Loss Rate

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD 2019

0.4%

0.5%

0.9%

1.2%

0.8%

0.3%

0.1%

0.3%

0.4%

0.7%

1.1%

1.0%

Ü% Ü% Ü% Ü% Ü% Ü% Ü% Ü% Ü% Ü% Ü%

0.2%

0.9%

1.4%

0.1%

Ü%

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

Serious Delinquency Rates(3)(9) Credit Loss (Benefit) Ratio(11)

DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through YTD 2019(3)(10)
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. 

DRAFT

Endnotes
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 22

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Financial Overview Endnotes

(1) 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. 

(2) Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Surveyá. These rates are reported using the latest available data for

a given period.

(3) GDP growth is the quarterly series calculated by the Bureau of Economic Analysis for periods Q2 2019 and prior, and is subject to revision. GDP for Q3 2019 is based on Fannie

MaeÉs forecast.

(4) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 2019. Including subsequent

data may lead to materially different results. Home price change is not seasonally adjusted. UPB estimates are based on data available through the end of September 2019, and the

top 10 states are reported by UPB in descending order. 

(5) Aggregate amount of dividends we have paid to Treasury on the senior preferred stock from 2008 through September 30, 2019. Under the terms of the senior preferred stock

purchase agreement, dividend payments we make to Treasury do not offset our prior draws of funds from Treasury.

(6) Aggregate amount of funds we have drawn from Treasury pursuant to the senior preferred stock purchase agreement from 2008 through September 30, 2019. 
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 23

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Single-Family Business Endnotes

(1) 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 we provide on single-family

mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae single-family mortgage-related securities held in our retained mortgage portfolio for which

we do 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.

(2) 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. For the prior period, the methodology used to estimate average life at the

time of acquisition has been updated. 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.

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

(4) Excludes loans for which this information is not readily available. From time to time, we revise our guidelines for determining a borrowerÉs DTI ratio. The amount of income

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

DTI ratios.

(5) Refers to HomeReadyá 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 ÑOLTV Ratio

> 95%Ö 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%.

(6) "Refi Plus" refers to loans we acquired under our Refi PlusTM initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers who were current on their loans and

who applied prior to the initiativeÉs 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%.

(7) 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 our single-family

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

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

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

our compensation to some degree in the event of a financial loss relating to the loan. Because we include loans in reference pools for our Connecticut Avenue Securities and Credit

Insurance Risk Transfer credit risk transfer transactions on a lagged basis, we expect the percentage of our 2019 single-family loan acquisitions with credit enhancements will

increase in the future.

(9) ÑSerious 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 our single-family conventional guaranty book of business in that origination year, product feature, or state.

(10) Amortized OLTV ratio is calculated based on the current UPB of a loan at period end, divided by the home price at origination of the loan. 
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 24

DRAFT

Single-Family Business Endnotes

(11) 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 we

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

(12) 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. 

(13) 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.

(14) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $7 billion at issuance and approximately $3 billion outstanding as

of September 30, 2019.

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

(16) Measured from the borrowersÉ last paid installment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed during the first

nine months of 2019. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this calculation.

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

accrued interest and other expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borrowerÉs voluntarily signing over title to the property.

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

restructurings, or repayment plans or forbearances that have been initiated but not completed; (b) repayment plans, reflects only those plans associated with loans that were 60 days

or more delinquent; and (c) forbearances, not including forbearances associated with loans that were less than 90 days delinquent when entered.

(19) 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. 

(20) For a description of our Alt-A loan classification criteria, refer to the glossary in Fannie MaeÉs 2018 Form 10-K. We discontinued the purchase of newly originated Alt-A loans in

2009, except for those that represent the refinancing of a loan we acquired prior to 2009, which has resulted in our 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.

(21) 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.

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

the guaranty book of business originated in the identified year. Data as of September 30, 2019 is not necessarily indicative of the ultimate performance of the loans and performance

is likely to change, perhaps materially, in future periods.
Ä 2019 Fannie Mae. Trademarks of Fannie Mae. Q3 2019 Financial Supplement 25

DRAFT

Multifamily Business Endnotes

(1) Our 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 we provide on multifamily mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in our retained mortgage portfolio for

which we do not provide a guaranty. Data reflects the latest available information.

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

(3) 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 our pre-review.

(4) 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.

(5) See https://www.fanniemae.com/multifamily/products for definitions. Loans with multiple product features are included in all applicable categories.

(6) 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.

(7) Weighted average 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. Co-op loans are excluded from this metric. 

(8) In Q1 2019, the DUS program updated the definition of small multifamily loans to any loan with an original unpaid balance of up to $6 million nationwide. The updated definition has

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

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

(10) Cumulative credit loss rate is the cumulative credit losses (gains) through September 30, 2019 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.

(11) Credit loss (benefit) ratio represents the credit loss or benefit for the period divided by the average unpaid principal balance of the multifamily guaranty book of business for the

period. Credit benefits are the result of recoveries on previously charged-off amounts. Credit loss (benefit) ratio is annualized for the most recent period.