November 6, 2014

Fannie Mae

2014 Third Quarter Credit Supplement
 This presentation includes information about Fannie Mae, including information 

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

September 30, 2014, the “2014 Q3 Form 10-Q.” Some of the terms used in these 

materials are defined and discussed more fully in the 2014 Q3 Form 10-Q and in 

Fannie Mae’s Form 10-K for the year ended December 31, 2013, the “2013 Form 

10-K.” These materials should be reviewed together with the 2014 Q3 Form 10-Q 

and the 2013 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. 

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

indicated (or 100%). A dash indicates less than 0.05% or a null value.

 Unless otherwise indicated data labeled as “YTD 2014” is as of September 30, 

2014 or for the first nine months of 2014.
2

Table of Contents

Home Prices

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

One Year Home Price Change as of 2014 Q3 4

Home Price Change From 2006 Q3 Through 2014 Q3 5

Credit Profile of Fannie Mae Single-Family Loans

Credit Characteristics of Single-Family Business Acquisitions 6

Certain Credit Characteristics of Single-Family Business Acquisitions: 2003 - 2014 7

Single-Family Business Acquisitions by Loan Purpose 8

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year 9

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Certain Product Features 10

Geographic Credit Profile of Fannie Mae Single-Family Loans and Foreclosed Properties (REO)

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

(REO) in Select States 11

Seriously Delinquent Loan and REO Ending Inventory Share by Select States 12

Single-Family Short Sales and REO Sales Price / UPB of Mortgage Loans 13

Workouts of Fannie Mae Single-Family Loans

Single-Family Loan Workouts 14

Re-performance Rates of Modified Single-Family Loans 15

Additional Credit Information for Fannie Mae Single-Family Loans

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 16

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year 17

Credit Profile of Fannie Mae Multifamily Loans

Multifamily Credit Profile by Loan Attributes 18

Multifamily Credit Profile by Acquisition Year 19

Multifamily Credit Profile 20

Multifamily YTD 2014 Credit Losses by State 21
3

S&P/Case-Shiller Index (1) 9.8% 13.6% 13.5% 1.7% -5.4% -12.0% -3.8% -4.1% -3.9% 6.5% 10.8% 4.4%

7.6%

10.6% 11.3%

2.7%

-3.5%

-9.1%

-4.8% -4.3% -3.5%

4.1%

8.2%

5.3%

-15%

-10%

-5%

0%

5%

10%

15%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

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

Fannie Mae Home Price Index

*Year-to-date as of Q3 2014. Estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of 

September 2014. Including subsequent data may lead to materially different results. 

**Year-to-date as of June 2014. As comparison, Fannie Mae’s index for the same period is 4.1%.

Based on our home price index, we estimate that home prices on a national basis increased by 1.2% in the third quarter of 2014 and by 

5.3% in the first nine months of 2014, following increases of 8.2% in 2013 and 4.1% in 2012. Despite the recent increases in home prices, 

we estimate that, through September 30, 2014, home prices on a national basis remained 9.5% below their peak in the third quarter of 

2006. Our home price estimates are based on preliminary data and are subject to change as additional data become available.

**

*

(1) In August 2014, the quarterly S&P/Case-Shiller US National Home Price Index was discontinued and replaced with a monthly index, which resulted in revisions in the yearly growth rates 

listed in this slide. The historical S&P/Case-Shiller Index growth rates provided in this slide have been updated to reflect these revisions. 
4

T X

6 . 2 %

5 . 5 %

M T

4 . 0 %

0 . 3 %

C A

1 1 . 0 %

1 9 . 6 %

N M

0 . 4 %

0 . 5 %

A Z

7 . 6 %

2 . 4 %

C O

7 . 9 %

2 . 7 %

W Y

3 . 6 %

0 . 2 %

O R

7 . 6 %

1 . 7 %

N V

11 . 7 %

1 . 0 %

U T

3 . 9 %

1 . 1 %

M N

4 . 0 %

1 . 9 %

I D

3 . 6 %

0 . 5 %

K S

3 . 0 %

0 . 5 %

N E

3 . 7 %

0 . 4 %

S D

2 . 0 %

0 . 2 %

N D

8 . 2 %

0 . 1 %

O K

2 . 5 %

0 . 6 %

M O

2 . 4 %

1 . 3 %

W A

6 . 0 %

3 . 5 %

G A

7 . 4 %

2 . 7 %

I L

4 . 8 %

4 . 1 %

I A

2 . 4 %

0 . 7 %

W I

2 . 2 %

1 . 8 %

A R

1 . 2 %

0 . 5 %

A L

1 . 5 %

1 . 0 %

N C

2 . 4 %

2 . 4 %

M S

2 . 1 %

0 . 4 %

N Y

2 . 8 %

5 . 5 %

P A

2 . 0 %

O H 3 . 0 %

3 . 7 %

2 . 1 %

I N

2 . 0 %

1 . 2 %

L A

2 . 4 %

0 . 9 %

F L

1 0 . 8 %

5 . 6 %

T N

4 . 1 %

1 . 3 %

M I

7 . 5 %

2 . 4 %

K Y

3 . 1 %

0 . 6 %

V A

2 . 5 %

3 . 5 %

M E

2 . 9 %

0 . 3 %

S C

3 . 4 %

1 . 2 %

W V

3 . 9 %

0 . 2 %

M D

4 . 3 %

2 . 8 %

V T

0 . 7 %

0 . 2 %

N H

4 . 1 %

0 . 5 %

M A

4 . 3 %

3 . 0 %

N J

2 . 9 %

4 . 0 %

C T

1 . 4 %

1 . 3 %

D E

1 . 3 %

0 . 4 %

R I

5 . 1 %

0 . 3 %

D C

1 . 7 %

0 . 4 %

0% to 5%

5% to 10%

10% and above

*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 2014. 

UPB estimates are based on data available through the end of September 2014. Including subsequent data may lead to materially different results.

One Year Home Price Change as of 2014 Q3*

United States 5.2% 

State Growth Rate

State: NM 

Growth Rate: 0.4% 

UPB %: 0.5% 

Example 

A K

3 . 4 %

0 . 2 % H I

9 . 4 %

0 . 8 %
5

T X

1 7 . 3 %

5 . 5 %

M T

7 . 3 %

0 . 3 %

C A

- 2 2 . 7 %

1 9 . 6 %

C O

8 . 6 %

2 . 7 %

N M

- 9 . 8 %

0 . 5 %

U T

1 . 2 %

1 . 1 %

K S

5 . 3 %

0 . 5 %

O R

- 9 . 9 %

1 . 7 %

W Y

1 1 . 1 %

0 . 2 %

A Z

- 3 0 . 9 %

2 . 4 %

N E

6 . 9 %

N V 0 . 4 %

- 3 9 . 1 %

1 . 0 %

M N

- 9 . 2 %

1 . 9 %

S D

1 4 . 3 %

0 . 2 %

M O

- 4 . 0 %

1 . 3 %

I D

- 1 3 . 0 %

0 . 5 %

I A

7 . 5 %

0 . 7 %

N D

4 5 . 8 %

0 . 1 %

O K

1 0 . 5 %

0 . 6 %

W I

- 6 . 2 %

1 . 8 %

W A

- 1 0 . 1 %

3 . 5 %

P A

0 . 0 %

3 . 0 %

A R

- 0 . 0 %

0 . 5 %

A L

- 4 . 2 %

1 . 0 %

N C

- 2 . 3 %

2 . 4 %

G A

- 1 2 . 4 %

2 . 7 %

M S

- 2 . 5 %

0 . 4 %

N Y

- 5 . 8 %

5 . 5 %

I N

1 . 9 %

1 . 2 %

O H

- 6 . 3 %

2 . 1 %

L A

8 . 7 %

0 . 9 %

T N

0 . 8 %

1 . 3 %

K Y

4 . 3 %

0 . 6 %

I L

- 1 5 . 4 %

4 . 1 %

F L

- 3 4 . 4 %

5 . 6 %

M I

- 1 4 . 7 %

2 . 4 %

V A

- 1 2 . 1 %

3 . 5 %

M E

- 6 . 5 %

0 . 3 %

S C

- 4 . 9 %

1 . 2 %

W V

4 . 9 %

0 . 2 %

V T

- 4 . 4 %

0 . 2 %

M A

- 6 . 7 %

3 . 0 %

M D

- 1 9 . 9 %

2 . 8 %

N H

- 1 2 . 2 %

0 . 5 %

N J

- 2 0 . 4 %

4 . 0 %

C T

- 1 7 . 0 %

1 . 3 %

D E

- 1 6 . 6 %

0 . 4 %

R I

- 2 5 . 0 %

0 . 3 %

D C

1 4 . 9 %

0 . 4 %

United States -9.5% 

*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 

2014. UPB estimates are based on data available through the end of September 2014. Including subsequent data may lead to materially different results.

Note: Home prices on a national basis reached a peak in the third quarter of 2006.

Home Price Change From 2006 Q3 Through 2014 Q3*

Below -30%

-30% to -15%

-15% to -5%

-5% to 0%

0% to 5%

5% and Above

State Growth Rate

State: NM 

Growth Rate: -9.8% 

UPB %: 0.5%

Example

A K

8 . 4 %

0 . 2 % H I

- 4 . 5 %

0 . 8 %
6

Single-Family 

Acquisitions Excl. Refi Plus (2) Single-Family Acquisitions Excl. Refi Plus (2) Single-Family Acquisitions Excl. Refi Plus (2) Single-Family Acquisitions Excl. Refi Plus (2) Single-Family Acquisitions Excl. Refi Plus (2) Single-Family Acquisitions Excl. Refi Plus (2)

Unpaid Principal Balance (billions) $102.3 $92.2 $85.2 $73.9 $76.4 $61.8 $728.4 $564.5 $115.7 $94.8 $183.0 $145.6

Weighted Average Origination Note Rate 4.28% 4.26% 4.37% 4.35% 4.41% 4.37% 3.78% 3.73% 4.40% 4.37% 3.91% 3.88%

Origination Loan-to-Value (LTV) Ratio

<= 60% 14.7% 13.9% 15.8% 14.8% 16.9% 16.5% 22.0% 23.5% 17.0% 16.8% 19.8% 20.5%

60.01% to 70% 11.7% 11.5% 11.7% 11.6% 12.5% 12.8% 13.9% 15.3% 12.0% 12.3% 13.0% 13.9%

70.01% to 80% 41.0% 43.5% 40.6% 44.1% 38.8% 44.0% 34.9% 41.2% 38.5% 43.7% 36.0% 41.8%

80.01% to 90% 13.8% 13.6% 13.0% 12.4% 12.3% 11.3% 10.5% 9.2% 12.1% 11.0% 11.4% 10.2%

90.01% to 100% 17.1% 17.5% 16.6% 17.1% 15.3% 15.4% 11.5% 10.8% 15.9% 16.2% 13.9% 13.6%

> 100% 1.7% 2.3% 4.2% 7.1% 4.5% 6.0%

Weighted Average Origination LTV Ratio 77.1% 76.8% 76.8% 76.3% 76.8% 75.2% 75.7% 71.4% 77.2% 75.3% 76.4% 73.2%

FICO Credit Scores (3)

 < 620 1.1% 1.3% 1.8% 1.4% 1.6% 1.4%

 620 to < 660 5.4% 4.6% 5.3% 4.1% 5.7% 4.1% 3.4% 1.9% 4.8% 3.3% 3.7% 2.2%

 660 to < 700 13.4% 12.7% 13.3% 12.3% 13.9% 12.6% 9.7% 7.8% 12.4% 11.1% 10.5% 8.8%

 700 to < 740 21.1% 21.3% 20.8% 21.1% 21.3% 21.5% 18.2% 17.7% 20.8% 20.9% 19.2% 18.9%

>=740 59.0% 61.4% 59.3% 62.5% 57.3% 61.7% 67.3% 72.5% 60.3% 64.7% 65.2% 70.1%

Weighted Average FICO Credit Score 744 748 744 749 741 748 753 760 745 751 750 757

Product Distribution

Fixed-rate 95.2% 94.9% 95.1% 94.6% 94.6% 93.8% 97.6% 97.0% 96.7% 96.2% 96.9% 96.2%

Adjustable-rate 4.8% 5.1% 4.9% 5.4% 5.4% 6.2% 2.4% 3.0% 3.3% 3.8% 3.1% 3.8%

Alt-A (4) 0.8% 0.8% 1.3% 1.3% 1.3% 1.3%

Subprime (5)

Interest Only 0.1% 0.1% 0.2% 0.3% 0.1% 0.1% 0.2% 0.3%

Negative Amortizing

Investor 8.1% 7.1% 9.0% 7.7% 11.2% 9.1% 9.3% 7.0% 10.1% 8.0% 9.5% 7.1%

Condo/Co-op 10.1% 10.1% 10.6% 10.7% 10.7% 10.8% 10.4% 10.1% 10.8% 10.7% 10.4% 10.0%

Refinance 43.4% 37.2% 45.6% 37.3% 54.9% 44.3% 70.2% 61.5% 51.5% 40.8% 61.7% 51.8%

Loan Purpose

Purchase 56.6% 62.8% 54.4% 62.7% 45.1% 55.7% 29.8% 38.5% 48.5% 59.2% 38.3% 48.2%

Cash-out refinance 14.9% 16.5% 14.9% 17.2% 16.0% 19.8% 14.6% 18.8% 14.8% 18.0% 14.3% 17.9%

Other refinance 28.5% 20.6% 30.7% 20.2% 38.9% 24.5% 55.6% 42.7% 36.7% 22.7% 47.4% 33.9%

Top 3 Geographic Concentration

California 20.5% California 20.9% California 21.2% California 23.7% California 21.2% California 21.9%

Texas 8.0% Texas 8.2% Texas 7.4% Texas 5.8% Texas 7.0% Texas 6.5%

Florida 5.2% Florida 5.4% Florida 5.6% Florida 4.7% Florida 5.2% Florida 4.9%

Single-Family Acquisitions Single-Family Acquisitions Single-Family Acquisitions Single-Family Acquisitions Single-Family Acquisitions Single-Family Acquisitions

Full Year 2013 Q3 2013

Acquisition Period

Q3 2014 Q2 2014 Q1 2014 Q4 2013

Credit Characteristics of Single-Family Business Acquisitions (1)

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

purchase or securitization transactions. 

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

Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae borrowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, 

including loans with loan-to-value ratios in excess of 100%.

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

(4) Newly originated Alt-A loans acquired after 2008 consist of the refinance of existing loans under our Refi Plus initiative. For a description of our Alt-A loan classification criteria, refer to 

Fannie Mae’s 2014 Q3 Form 10-Q. 

(5) For a description of our subprime loan classification criteria, refer to Fannie Mae’s 2014 Q3 Form 10-Q. 
7

0 %

20%

40%

60%

80%

100%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014*

Share of Single-Family Business Acquisitions: 

Loan Purpose - Purchase

0 %

20%

40%

60%

80%

100%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014*

Share of Single-Family Business Acquisitions: 

Fixed Rate Product

0 %

5 %

10%

15%

20%

660

680

700

720

740

760

780

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014*

Weighted Average FICO Credit Score (Left Axis) FICO Credit Score < 620 (Right Axis)

0 %

5 %

10%

15%

20%

40%

60%

80%

100%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014*

Weighted Average Origination LTV Ratio (Left Axis)

Weighted Average Origination LTV Ratio Excluding HARP (Left Axis)

Origination LTV > 90% (Right Axis)

Certain Credit Characteristics of Single-Family Business Acquisitions: 2003 – 2014*(1)

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

purchase or securitization transactions. 

(2) The refinance of loans under the Home Affordable Refinance Program (“HARP”), which started in April 2009, contributed to an increase in our acquisition of loans with high loan-to-value 

ratios.

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

existing loans under our Refi Plus initiative.

FICO Credit Score Origination Loan (3)

-to-Value Ratio (2)

Product Feature

* Year-to-date through September 30, 2014.
8

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

HARP (1)

Refi Plus 

(Excluding 

HARP) (1)

Unpaid Principal Balance (billions) $27.9 $44.7 $59.0 $80.5 $55.6 $81.2 $129.9 $73.8 $99.5 $64.4 $17.8 $18.2

Weighted Average Origination Note Rate 5.05% 4.85% 5.00% 4.68% 4.78% 4.44% 4.14% 3.89% 4.04% 3.80% 4.65% 4.42%

Origination Loan-to-Value Ratio: 

<=80% 100% 100% 100% 100% 100% 100%

80.01% to 105% 99.1% 94.4% 88.1% 57.2% 58.4% 72.6%

105.01% to 125% 0.9% 5.6% 11.9% 22.1% 21.5% 17.1%

>125% 20.7% 20.1% 10.3%

Weighted Average Origination Loan-to-Value Ratio 90.7% 63.3% 92.2% 62.3% 94.3% 60.2% 111.0% 61.1% 109.8% 60.2% 101.9% 61.3%

FICO Credit Scores (2)

< 660 3.7% 2.5% 5.7% 3.8% 5.8% 4.5% 9.6% 7.1% 16.2% 12.2% 24.9% 20.4%

 660 to < 740 31.9% 23.0% 33.1% 23.9% 32.6% 25.6% 33.8% 26.0% 38.7% 31.9% 41.2% 37.0%

 >=740 64.4% 74.5% 61.2% 72.3% 61.5% 70.0% 56.6% 66.9% 45.1% 55.8% 33.9% 42.7%

Weighted Average FICO Credit Score 749 762 746 760 746 758 738 753 722 737 704 717

2012 2013 2014*

Acquisition Year 

2009 2010 2011

4.1%

9.8% 9.9%

15.6% 13.7%

6.7%

6.5%

13.6% 14.4%

8.9% 8.8%

6.9%

69.4%

54.0% 52.2% 55.0%

47.7%

33.8%

20.1% 22.6% 23.5% 20.6%

29.8%

52.5%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

90.0%

100.0%

2009 2010 2011 2012 2013 2014* % of Single-Family Business Acquisitions

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

Single-Family Business Acquisitions by Loan Purpose

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

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

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

* Year-to-date through September 30, 2014.
9

As of September 30, 2014 Overall

Book 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 andEarlier

Unpaid Principal Balance (billions) (1) $2,789.8 $222.9 $603.0 $676.6 $286.9 $247.1 $180.8 $67.6 $118.1 $84.9 $301.9

Share of Single-Family Conventional Guaranty Book 100.0% 8.0% 21.6% 24.3% 10.3% 8.9% 6.5% 2.4% 4.2% 3.0% 10.8%

Average Unpaid Principal Balance (1) $160,070 $198,753 $193,399 $193,940 $165,498 $164,268 $158,885 $148,768 $162,447 $146,486 $84,716

Serious Delinquency Rate 1.96% 0.02% 0.16% 0.24% 0.39% 0.56% 0.98% 6.22% 10.91% 9.81% 3.83%

Weighted Average Origination Loan-to-Value Ratio 74.6% 77.0% 76.4% 76.1% 71.4% 71.2% 69.8% 74.7% 78.3% 75.3% 72.5%

Origination Loan-to-Value Ratio > 90% (2) 15.8% 19.2% 19.8% 18.8% 12.7% 10.4% 6.6% 12.5% 20.8% 12.5% 10.6%

Weighted Average Mark-to-Market Loan-to-Value Ratio 63.4% 74.4% 66.3% 59.9% 55.2% 56.6% 58.6% 72.7% 88.9% 86.6% 55.1%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 3.7% 1.4% 2.9% 2.8% 0.4% 0.6% 0.7% 8.3% 20.9% 19.6% 3.9%

Mark-to-Market Loan-to-Value Ratio > 125% 1.3% 0.5% 1.1% 0.9% 1.6% 9.2% 8.9% 1.1%

Weighted Average FICO (3) 744 743 751 759 758 757 754 716 693 697 708

FICO < 620 (3) 2.5% 1.3% 1.5% 1.0% 0.7% 0.7% 0.8% 5.7% 11.1% 8.9% 7.3%

Interest Only 2.6% 0.2% 0.3% 0.6% 0.9% 1.0% 7.9% 18.7% 20.8% 6.0%

Negative Amortizing 0.2% 1.5% 1.2%

Fixed-rate 91.9% 95.3% 97.5% 97.5% 94.8% 95.8% 97.4% 75.6% 65.2% 64.3% 77.9%

Primary Residence 88.1% 86.7% 86.4% 88.7% 87.3% 89.4% 90.8% 87.3% 89.6% 87.4% 89.1%

Condo/Co-op 9.4% 10.3% 10.4% 9.1% 8.7% 8.4% 8.8% 11.0% 9.8% 10.7% 8.8%

Credit Enhanced (4) 15.7% 27.6% 20.0% 14.5% 9.6% 6.9% 6.2% 25.4% 30.4% 19.4% 11.1%

Cumulative Default Rate (5) 0.1% 0.2% 0.4% 0.6% 4.4% 13.5% 12.3%

Origination Year

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 loan-level information for approximately 99% of its single-family conventional guaranty book of business as of September 30, 2014.

(2) The increase after 2009 is primarily the result of the Home Affordable Refinance Program (“HARP”), which involves the refinance of existing Fannie Mae loans with high loan-tovalue ratios, including loans with loan-to-value ratios in excess of 100%.

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

(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. 

(5) Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, short 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 2004 and 2005 cumulative default 

rates, refer to slide 17.
10

As of September 30, 2014 Interest Only 

Loans 

Loans with 

FICO < 620 (2)

Loans with 

FICO ≥ 620 

and < 660 (2)

Loans with 

Origination 

LTV Ratio 

> 90%

Loans with 

FICO < 620 

and 

Origination 

LTV Ratio 

> 90%

Alt-A Loans 

Refi Plus 

Including 

HARP (3)

Subtotal of 

Certain 

Product 

Features (1)

Overall

Book

Unpaid Principal Balance (billions) (4) $71.7 $70.5 $152.5 $439.5 $20.7 $119.6 $540.9 $1,011.7 $2,789.8

Share of Single-Family Conventional Guaranty Book 2.6% 2.5% 5.5% 15.8% 0.7% 4.3% 19.4% 36.3% 100.0%

Average Unpaid Principal Balance (4) $233,146 $118,995 $131,807 $171,720 $132,280 $150,502 $162,858 $154,621 $160,070

Serious Delinquency Rate 9.80% 8.68% 6.10% 2.79% 9.34% 8.03% 0.65% 3.43% 1.96%

Acquisition Years 2005 - 2008 81.1% 44.3% 36.7% 12.2% 33.9% 62.1% 20.4% 13.2%

Weighted Average Origination Loan-to-Value Ratio 74.0% 81.3% 79.4% 104.8% 107.5% 77.7% 86.8% 85.0% 74.6%

Origination Loan-to-Value Ratio > 90% 7.9% 29.3% 23.5% 100.0% 100.0% 14.2% 39.9% 43.4% 15.8%

Weighted Average Mark-to-Market Loan-to-Value Ratio 86.1% 75.7% 73.0% 89.8% 97.7% 78.3% 70.8% 74.6% 63.4%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 20.5% 12.0% 9.8% 13.8% 25.4% 15.1% 7.9% 8.6% 3.7%

Mark-to-Market Loan-to-Value Ratio > 125% 8.9% 5.2% 4.1% 5.4% 12.5% 6.6% 2.6% 3.3% 1.3%

Weighted Average FICO (2) 723 584 642 728 584 713 738 719 744

FICO < 620 (2) 1.5% 100.0% 4.7% 100.0% 2.3% 4.3% 7.0% 2.5%

Fixed-rate 23.9% 82.4% 84.5% 94.9% 86.9% 64.9% 98.7% 88.3% 91.9%

Primary Residence 85.3% 94.8% 93.0% 91.2% 94.7% 76.9% 85.0% 88.8% 88.1%

Condo/Co-op 15.0% 4.8% 6.1% 10.2% 5.9% 9.9% 9.5% 9.1% 9.4%

Credit Enhanced (5) 13.7% 23.9% 21.2% 58.8% 57.9% 11.6% 12.5% 28.6% 15.7%

Categories Not Mutually Exclusive (1)

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

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

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

100%. 

(4) 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 September 30, 2014.

(5) 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. 

Credit Characteristics of Single-Family Conventional Guaranty Book of 

Business by Certain Product Features 
11

UPB 

($ in Billions) % of Total

Weighted 

Average Mark-toMarket LTV

Mark-to-Market 

LTV > 100%

Seriously 

Delinquent Loan 

Share (2)

SDQ Rate (2)

Q3 2014 

Acquisitions 

(# of Properties)

Q3 2014 

Dispositions 

(# of Properties)

REO Ending 

Inventory 

as of September 

30, 2014 

Average Days to 

Foreclosure (3)

Select States (5)

California $548.1 19.6% 54.1% 3.6% 5.1% 0.73% 1,156 1,565 3,881 761 -1.3%

Florida $156.1 5.6% 73.7% 18.3% 16.1% 4.87% 6,778 7,551 20,616 1,366 33.7%

Texas $154.8 5.5% 60.3% 0.2% 2.9% 0.87% 694 936 1,915 648

New York $154.3 5.5% 58.4% 3.5% 10.0% 4.20% 650 377 1,830 1,381 4.6%

Illinois $113.8 4.1% 70.7% 10.1% 5.6% 2.46% 2,024 2,341 9,947 899 10.9%

New Jersey $111.3 4.0% 67.4% 8.1% 9.7% 5.83% 893 506 2,745 1,346 6.7%

Washington $98.8 3.5% 63.7% 3.7% 2.2% 1.43% 935 976 2,646 1,045 3.6%

Virginia $98.7 3.5% 63.5% 3.4% 1.5% 1.00% 487 583 1,473 622 1.7%

Pennsylvania $84.9 3.0% 65.4% 2.9% 4.5% 2.46% 1,153 1,108 3,151 958 4.1%

Massachusetts $84.7 3.0% 59.8% 1.9% 2.9% 2.29% 339 220 1,202 1,050 0.9%

Region (6)

Midwest $415.6 14.9% 68.1% 5.2% 15.7% 1.63% 6,125 7,917 25,478 709 21.1%

Northeast $529.9 19.0% 63.1% 4.4% 32.0% 3.58% 4,070 3,241 12,643 1,138 22.2%

Southeast $616.5 22.1% 68.2% 8.0% 31.2% 2.55% 11,553 13,225 36,121 1,102 47.5%

Southwest $449.1 16.1% 63.7% 2.6% 9.6% 1.02% 2,911 4,140 8,264 637 4.1%

West $778.7 27.9% 57.2% 4.2% 11.5% 1.05% 3,139 3,685 9,880 944 5.1%

Total $2,789.8 100.0% 63.4% 5.0% 100.0% 1.96% 27,798 32,208 92,386 955 100.0%

SF Conventional Guaranty Book of Business as of September 30, 2014 (1) Seriously Delinquent Loans as of 

September 30, 2014 (2) Real Estate Owned (REO)

% of YTD 2014 

Credit Losses (4)

Credit Characteristics of Single-Family Conventional Guaranty Book of 

Business and Single-Family Real Estate Owned (REO) in Select States

(1) Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of September 30, 2014. 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 September 30, 2014.

(2) “Seriously delinquent loans” refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process. “Seriously delinquent loan share” refers to the 

percentage of our single-family seriously delinquent loan population in the applicable state or region. “SDQ rate” refers to the number of single-family conventional loans that were seriously 

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

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

months of 2014. 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. Home Equity Conversion Mortgages (HECMs) 

insured by HUD are excluded from this calculation.

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

adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. Negative values are the result of recoveries on previously recognized credit 

losses. For information on total credit losses, refer to Fannie Mae’s 2014 Q3 Form 10-Q.

(5) Select states represent the top ten states in UPB of the single-family conventional guaranty book of business as of September 30, 2014.

(6) For information on which states are included in each region, refer to Fannie Mae’s 2014 Q3 Form 10-Q.
12

109 

92 

10.8%

22.3%

0.6%

0.7% 2.0%

3.0%

8.7%

10.8%

9.2%

4.2%

0

20

40

60

80

100

120

0%

5%

10%

15%

20%

25%

2012 

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014 

Q2

2014

Q3 REO Ending Inventory (Thousands)

REO Ending Inventory Florida New York New Jersey Illinois California

622

341

21.6%

16.1%

6.0%

10.0%

6.1%

9.7%

6.6%

5.6%

7.8%

5.1%

0

100

200

300

400

500

600

700

0%

5%

10%

15%

20%

25%

2012 

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014 

Q2

2014

Q3 SDQ Volume (Thousands)

SDQ Volume Florida New York New Jersey Illinois California

Seriously Delinquent Loan and REO Ending Inventory Share by Select States (1)

Seriously Delinquent Loan Share by Select States (2) REO Ending Inventory Share by Select States (3)

(1) Based on states with the largest volume of seriously delinquent loans in our single-family conventional guaranty book of business as of September 30, 2014. 

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

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

REO ending inventory for the specified time period.

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

by the length of time required to complete a foreclosure. High levels of foreclosures, changes in state foreclosure laws, new federal and state 

servicing requirements imposed by regulatory actions and legal settlements, and the need for servicers to adapt to these changes have 

lengthened the time it takes to foreclose on a mortgage loan in many states. Longer foreclosure timelines result in these loans remaining in 

our book of business for a longer time, which has caused our serious delinquency rate to decrease more slowly in the last few years than it 

would have if the pace of foreclosures had been faster.
13

REO Gross Sales 

Price / UPB Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014

Florida 70.7% 72.0% 70.1% 72.5% 74.2%

Illinois 63.2% 64.5% 64.8% 67.1% 67.6%

Michigan 67.8% 66.7% 66.1% 69.2% 66.2%

Ohio 64.6% 61.9% 59.4% 61.2% 63.5%

California 86.7% 86.8% 86.3% 88.2% 87.7%

Georgia 77.3% 75.3% 76.1% 80.6% 82.2%

Pennsylvania 70.1% 67.8% 65.9% 66.3% 66.3%

Washington 83.5% 79.7% 83.5% 84.6% 86.3%

North Carolina 80.6% 79.2% 79.2% 82.3% 81.7%

Arizona 80.0% 79.7% 79.8% 79.6% 80.4%

66.6%

68.1%

70.4% 71.7%

74.3%

76.2%

78.0% 78.6% 79.7% 80.4%

59.9% 61.0%

63.3% 64.5%

66.6%

68.2%

69.9% 70.6% 71.7% 72.2%

50.0%

55.0%

60.0%

65.0%

70.0%

75.0%

80.0%

85.0%

2012

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014

Q2

2014 

Q3

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

65.0%

67.2% 68.5%

70.6%

74.6% 74.8% 74.2% 73.8%

75.7% 75.9%

59.2%

61.1% 62.3%

64.6%

68.4% 68.5% 67.9% 67.6%

69.2% 69.3%

50.0%

55.0%

60.0%

65.0%

70.0%

75.0%

80.0%

85.0%

2012

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014

Q2

2014 

Q3

REO Gross Sales / UPB REO Net Sales / UPB

Short Sales Gross 

Sales Price / UPB Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014

Florida 71.3% 73.6% 75.6% 76.3% 77.1%

California 78.7% 81.4% 82.4% 83.8% 84.3%

Illinois 70.5% 72.7% 71.7% 74.2% 75.6%

New Jersey 72.2% 73.0% 70.6% 74.8% 73.9%

Nevada 70.1% 73.6% 72.1% 75.7% 76.4%

Washington 81.4% 82.9% 84.4% 85.0% 86.7%

New York 78.6% 76.0% 77.1% 77.4% 79.1%

Maryland 73.3% 74.7% 74.0% 76.8% 77.9%

Arizona 78.2% 79.2% 80.6% 80.3% 82.1%

Georgia 76.6% 79.5% 80.4% 78.7% 81.2%

Single-Family Short Sales and REO Sales Price / UPB of Mortgage Loans

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

redeemed by a borrower, or sold through the FHFA Rental Pilot).

(2) Sales Price / UPB is calculated as the sum of sales proceeds received divided by the aggregate unpaid principal balance (UPB) of the related loans. Gross sales price represents the 

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

(3) The states shown had the greatest volume of properties sold in the first nine months of 2014 in each respective category.

REO (1) Direct Sale Dispositions: Sales Price / UPB (2) Short Sales: Sales Price / UPB (2)

Gross Sales Price/UPB Trends for Top 10 States (3)
14

20 20 15 12 14 12 9 7 7 5

4 4

4

4

4

3

4

3 3 3

24 23

19

16 18

15 13

10 10 8

0

10

20

30

40

50

2012 

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014 

Q2

2014 

Q3 # of Loans (Thousands)

Short Sales Deeds-in-Lieu

35

42 40 43 40 37 39 36 32 29

6

4

4

4

3

2

2

2

2

2

41

46 44

48

44

40 41

38

34

31

0

10

20

30

40

50

2012 

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014 

Q2

2014 

Q3 # of Loans (Thousands)

Modifications Repayment Plans and Forbearances Completed

Single-Family Loan Workouts

Foreclosure Alternatives Home Retention Strategies (1) (2)

(1) Consists of (a) modifications, which do not include trial modifications, loans to certain borrowers who have received bankruptcy relief that are classified as TDRs, or repayment plans or 

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

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

interest and other expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borrower’s voluntarily signing over title to the property.
15

2011 

Q3

2011 

Q4

2012 

Q1

2012 

Q2

2012 

Q3

2012 

Q4

2013 

Q1

2013 

Q2

2013 

Q3

2013 

Q4

2014 

Q1

2014 

Q2

Modifications (2) 60,025 51,936 46,671 35,332 41,697 39,712 43,153 40,358 37,337 39,159 36,044 32,010

% Current or Paid Off

3 months post modification 83% 84% 85% 84% 84% 85% 86% 83% 83% 84% 83% 79%

6 months post modification 79% 79% 78% 77% 80% 82% 79% 77% 79% 79% 76% n/a

9 months post modification 76% 74% 73% 76% 78% 78% 76% 75% 76% 74% n/a n/a

12 months post modification 72% 71% 73% 75% 76% 76% 75% 74% 73% n/a n/a n/a

15 months post modification 70% 71% 73% 74% 74% 75% 74% 71% n/a n/a n/a n/a

18 months post modification 70% 71% 72% 73% 75% 75% 72% n/a n/a n/a n/a n/a

21 months post modification 71% 71% 72% 74% 75% 74% n/a n/a n/a n/a n/a n/a

24 months post modification 71% 71% 73% 75% 74% n/a n/a n/a n/a n/a n/a n/a

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. 

(2) Defined as total number of completed modifications for the time periods noted.
16

2014 2013 2012 2011 2010 2009 2014 2013 2012 2011 2010 2009

Certain Product Features (3)

Negative Amortizing Loans 0.2% 0.2% 0.3% 0.3% 0.4% 0.5% 0.8% 0.8% 0.5% 1.2% 1.9% 2.0%

Interest Only Loans 2.6% 2.9% 3.7% 4.7% 5.6% 6.6% 7.7% 18.7% 21.8% 25.8% 28.6% 32.6%

Loans with FICO < 620 (4) 2.5% 2.6% 2.9% 3.2% 3.5% 3.9% 11.9% 7.0% 7.8% 7.9% 8.0% 8.8%

Loans with FICO ≥ 620 and < 660 (4) 5.5% 5.5% 6.0% 6.7% 7.4% 8.2% 17.2% 15.7% 14.2% 14.7% 15.1% 15.5%

Loans with Origination LTV Ratio > 90% 15.8% 15.1% 12.8% 10.0% 9.4% 9.4% 13.1% 20.8% 16.8% 14.0% 15.9% 19.2%

Loans with FICO < 620 and Origination LTV Ratio > 90% (4) 0.7% 0.7% 0.7% 0.7% 0.8% 0.9% 2.7% 2.0% 2.3% 2.2% 2.7% 3.4%

Alt-A Loans (5) 4.3% 4.7% 5.6% 6.6% 7.6% 8.9% 14.5% 26.0% 23.7% 27.3% 33.2% 39.6%

Subprime Loans 0.1% 0.1% 0.2% 0.2% 0.2% 0.3% 1.4% -0.2% 1.1% 0.6% 1.1% 1.5%

Refi Plus Including HARP 19.4% 19.5% 16.5% 11.2% 7.1% 2.5% 10.2% 7.4% 3.5% 1.4% 0.1%

Vintages

2009 - 2014 79.5% 76.2% 65.3% 51.6% 39.0% 22.0% 13.4% 10.0% 5.1% 2.4% 0.4%

2005 - 2008 12.8% 14.7% 21.7% 30.4% 38.0% 48.7% 75.1% 77.6% 81.8% 82.9% 87.9% 88.1%

2004 & Prior 7.8% 9.1% 13.1% 18.0% 23.0% 29.2% 11.5% 12.4% 13.1% 14.8% 11.7% 11.9%

Select States (6)

Florida 5.6% 5.7% 6.0% 6.3% 6.6% 7.0% 33.7% 28.9% 21.4% 11.0% 17.5% 15.5%

Illinois 4.1% 4.1% 4.2% 4.3% 4.3% 4.3% 10.9% 12.9% 9.6% 3.5% 4.3% 4.2%

New Jersey 4.0% 4.0% 4.0% 4.0% 4.0% 3.9% 6.7% 3.7% 2.0% 0.8% 1.2% 1.2%

Maryland 2.8% 2.8% 2.8% 2.9% 2.8% 2.8% 5.5% 3.1% 1.8% 0.6% 1.9% 2.0%

New York 5.5% 5.6% 5.6% 5.6% 5.5% 5.3% 4.6% 1.9% 0.9% 0.6% 0.8% 0.8%

Ohio 2.1% 2.1% 2.2% 2.3% 2.4% 2.6% 4.3% 4.1% 3.3% 2.1% 2.2% 2.2%

Pennsylvania 3.0% 3.1% 3.1% 3.0% 3.0% 3.0% 4.1% 3.0% 1.6% 0.8% 0.8% 0.8%

Washington 3.5% 3.5% 3.5% 3.5% 3.5% 3.4% 3.6% 3.7% 2.5% 3.2% 1.5% 1.1%

Connecticut 1.3% 1.4% 1.4% 1.4% 1.4% 1.4% 2.8% 1.4% 0.9% 0.3% 0.4% 0.4%

Michigan 2.4% 2.4% 2.5% 2.5% 2.6% 2.7% 1.7% 3.2% 4.5% 5.8% 6.3% 7.4%

All Other States 65.6% 65.4% 64.7% 64.2% 63.9% 63.6% 22.1% 34.2% 51.7% 71.2% 63.1% 64.4%

% of Single-Family Conventional Guaranty Book of Business (1) % of Single-Family Credit Losses (2)

(1) Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of December 31 for the time periods noted, with the exception of 2014 which is as 

of September 30, 2014.

(2) Based on the single-family credit losses for the year ended December 31 for the time periods noted, with the exception of 2014 which is through September 30, 2014. Credit losses consist of 

(a) charge-offs, net of recoveries and (b) foreclosed property income, adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. Does 

not reflect the impact of recoveries that have not been allocated to specific loans. Negative values are the result of recoveries on previously recognized credit losses. The percent of SingleFamily Credit Losses in 2014 for Interest Only loans has been corrected from the amount previously reported.

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

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

(5) Newly originated Alt-A loans acquired after 2008 consist of the refinance of existing loans under our Refi Plus Initiative.

(6) Select states represent the top ten states with the highest percentage of single-family credit losses for the nine months ended September 30, 2014.

Credit Loss Concentration of Single-Family Conventional Guaranty Book of 

Business
17

Note: Defaults consist of loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, short 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 September 30, 2014 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future 

periods.

Cumulative Default Rates of Single-Family Conventional Guaranty Book of 

Business by Origination Year 

2004

2005

2006

2007

2008

2014 2013 2012 2011 2010 2009

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12.0%

13.0%

14.0%

Yr1-Q1 Yr2-Q1 Yr3-Q1 Yr4-Q1 Yr5-Q1 Yr6-Q1 Yr7-Q1 Yr8-Q1 Yr9-Q1 Yr10-Q1 Yr11-Q1 Cumulative Default Rate 

Time Since Beginning of Origination Year

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
18

Total Multifamily Guaranty Book of Business 33,223 $198.4 100% 0.09% $(41) $52 $257 $409 

Credit Enhanced Loans: 

Credit Enhanced 30,402 $182.8 92% 0.09% $(37) $0 $189 $340 

Non-Credit Enhanced 2,821 $15.6 8% 0.09% $(4) $52 $68 $69 

Origination loan-to-value ratio: (4)

Less than or equal to 70% 21,291 $110.8 56% 0.04% $(10) $24 $37 $74 

Greater than 70% and less than or equal to 80% 9,864 $81.4 41% 0.16% $(33) $18 $182 $287 

Greater than 80% 2,068 $6.3 3% 0.05% $3 $10 $38 $49 

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

DUS ® - Small Balance Loans (6) 8,555 $16.1 8% 0.14% $11 $3 $19 $37 

DUS ® - Non Small Balance Loans 12,641 $165.4 83% 0.07% $(59) $(14) $182 $295 

DUS ® - Total 21,196 $181.5 91% 0.07% $(48) $(11) $201 $333 

Non-DUS - Small Balance Loans (6) 11,442 $8.2 4% 0.43% $8 $23 $41 $49 

Non-DUS - Non Small Balance Loans 585 $8.7 5% 0.06% $(1) $41 $15 $27 

Non-DUS - Total 12,027 $17.0 9% 0.24% $7 $63 $56 $76 

Maturity Dates:

Loans maturing in 2014 156 $1.5 1% 0.67% $(1) $(9) $31 $19 

Loans maturing in 2015 2,096 $9.4 5% 0.03% $(3) $(1) $20 $23 

Loans maturing in 2016 2,346 $12.3 6% 0.21% $5 $17 $30 $32 

Loans maturing in 2017 3,428 $16.8 8% 0.34% $(9) $42 $84 $87 

Loans maturing in 2018 2,976 $16.9 9% 0.13% $(4) $0 $35 $86 

Other maturities 22,221 $141.5 71% 0.04% $(29) $2 $57 $162 

Loan Size Distribution:

Less than or equal to $750K 7,807 $2.2 1% 0.41% $4 $7 $13 $19 

Greater than $750K and less than or equal to $3M 11,175 $16.9 9% 0.25% $18 $33 $45 $66 

Greater than $3M and less than or equal to $5M 4,374 $16.0 8% 0.18% $(11) $2 $31 $44 

Greater than $5M and less than or equal to $25M 8,438 $87.6 44% 0.11% $(43) $(18) $141 $205 

Greater than $25M 1,429 $75.7 38% $(9) $29 $28 $75 

 2012 Multifamily 

Credit Losses 

($ in Millions) (3)

 2011 Multifamily 

Credit Losses 

($ in Millions) (3)

As of September 30, 2014 Loan Counts

Unpaid Principal 

Balance 

($ in Billions)

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (1)

 2013 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

 YTD 2014 

Multifamily Credit 

Losses 

($ in Millions) (2)(3)

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

(2) Negative values are the result of recoveries on previously recognized credit losses. 

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

rounding. Multifamily credit losses for 2011 exclude $19 million of credit-related income from other multifamily mortgage business investments.

(4) Weighted average origination loan-to-value ratio is 66% as of September 30, 2014.

(5) Under the Delegated Underwriting and Servicing, or DUS ®, product line, 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.

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

Multifamily Credit Profile by Loan Attributes
19

As of September 30, 2014

Unpaid Principal 

Balance 

($ in Billions) 

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (1)

# of Seriously 

Delinquent loans (1)

 YTD 2014 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

 2013 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

 2012 Multifamily 

Credit Losses 

($ in Millions) (3)

 2011 Multifamily 

Credit Losses 

($ in Millions) (3)

Total Multifamily Guaranty Book of Business $198.4 100% 0.09% 79 $(41) $52 $257 $409 

By Acquisition Year:

2014 $17.2 9%

2013 $28.6 14%

2012 $31.9 16% $0 $0 

2011 $21.5 11% $0 $(1) $0 

2010 $15.1 8% 0.04% 2 $0 $7 $1 

2009 $14.7 7% 0.07% 4 $(4) $(14) $17 $26 

2008 $16.2 8% 0.23% 22 $(3) $(6) $60 $126 

2007 $21.0 11% 0.31% 24 $(9) $50 $123 $135 

2006 $12.4 6% 0.21% 9 $11 $23 $25 $27 

Prior to 2006 $19.7 10% 0.14% 18 $(36) $(7) $32 $95 

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

(2) Negative values are the result of recoveries on previously recognized credit losses. 

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

rounding. Multifamily credit losses for 2011 exclude $19 million of credit-related income from other multifamily mortgage business investments.

Multifamily Credit Profile by Acquisition Year

Multifamily SDQ Rate by Acquisition Year Cumulative Defaults by Acquisition Year

2005

2006

2007

2008

2011 2009 2010

2012

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

Year

9

Year

10

SDQ (%) 

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

2013 2014 2010

2009

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Year

1

Year

2

Year

3

Year

4

Year

5

Year

6

Year

7

Year

8

Year

9

Year

10 Cumulative Default Rate 

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

2005

2007

2008

2006

2012 2011

2013

2014
20

Total Multifamily Guaranty Book of Business $198.4 100% 0.09% $(41) $52 $257 $409 

Region: (4)

Midwest $17.2 9% 0.25% $(2) $(20) $40 $93 

Northeast $37.6 19% 0.08% $3 $(4) $25 $11 

Southeast $43.6 22% 0.09% $(18) $6 $138 $173 

Southwest $38.9 20% 0.10% $(22) $(16) $19 $105 

West $61.1 31% 0.03% $(3) $87 $35 $26 

Top Five States by UPB:

California $47.1 24% 0.02% $(2) $4 $4 $5 

New York $22.4 11% 0.06% $1 $1 $7 $(1)

Texas $20.4 10% 0.20% $(34) $(8) $6 $77 

Florida $10.8 5% 0.09% $(3) $11 $92 $40 

Washington $7.3 4% 0.01% $0 $1 $0 $0 

Asset Class: (5)

Conventional/Co-op $176.8 89% 0.10% $(35) $52 $242 $393 

Seniors Housing $12.7 6%

Manufactured Housing $5.4 3% $(2) $0 $7 $1 

Student Housing $3.5 2% $(4) $1 $7 $16 

Targeted Affordable Segment:

Privately Owned with Subsidy (6) $29.4 15% 0.06% $(3) $(8) $9 $55 

DUS & Non-DUS Lenders/Servicers:

DUS: Bank (Direct, Owned Entity, or Subsidiary) $77.1 39% 0.06% $(21) $6 $55 $129 

DUS: Non-Bank Financial Institution $113.0 57% 0.09% $(24) $39 $180 $271 

Non-DUS: Bank (Direct, Owned Entity, or Subsidiary) $7.2 4% 0.25% $1 $2 $17 $6 

Non-DUS: Non-Bank Financial Institution $1.0 0% $4 $5 $6 $4 

Non-DUS: Public Agency/Non Profit $0.2 0% $0 $0 $(1)

 2011 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

As of September 30, 2014

Unpaid Principal 

Balance 

($ in Billions)

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (1)

 2013 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

 2012 Multifamily 

Credit Losses 

($ in Millions) (3)

 YTD 2014 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

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

(2) Negative values are the result of recoveries on previously recognized credit losses. 

(3) Dollar amount of multifamily credit-related losses/(income) for the applicable period and category. Total credit losses for each period will not tie to sum of all categories due to rounding. Multifamily credit losses for 2011 

exclude $19 million of credit-related income from other multifamily mortgage business investments.

(4) For information on which states are included in each region, refer to Fannie Mae’s 2014 Q3 Form 10-Q.

(5) Conventional Multifamily/Cooperative Housing/Affordable Housing: Conventional Multifamily is a loan secured by a residential property comprised of five or more dwellings which offers market rental rates (i.e., not 

subsidized or subject to rent restrictions). Cooperative Housing is a multifamily loan made to a cooperative housing corporation and secured by a first or subordinated lien on a cooperative multifamily housing project that 

contains five or more units. Affordable Housing is a multifamily loan on a mortgaged property encumbered by a regulatory agreement or recorded restriction that limits rents, imposes income restrictions on tenants or 

places other restrictions on the use of the property. Manufactured Housing Communities: A multifamily loan secured by a residential development that consists of sites for manufactured homes and includes utilities, roads 

and other infrastructure. In some cases, landscaping and various other amenities such as a clubhouse, swimming pool, and tennis and/or sports courts are also included. Seniors Housing: A multifamily loan secured by a 

mortgaged property that is intended to be used for residents for whom the owner or operator provides special services that are typically associated with either “independent living” or “assisted living.” Some Alzheimer’s and 

skilled nursing capabilities are permitted. Dedicated Student Housing: Multifamily loans secured by residential properties in which college or graduate students make up at least 80% of the tenants. Dormitories are not 

included. 

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

Multifamily Credit Profile
21

Multifamily YTD 2014 Credit Losses by State ($ Millions)

(1) 

Numbers: Represent YTD 2014 credit-related losses/(income) for each state which totaled $41M in income as of September 30, 2014. States with no numbers had less than $500K in credit 

losses or less than $500K in credit-related income YTD 2014.

Shading: Represent Unpaid Principal Balance (UPB) for each state which totaled $198.4B as of September 30, 2014. 

Portfolio UPB

Concentration by State 

as of 09/30/2014

Example:

UPB in OH is $3B 

and YTD 2014 Credit 

Losses are $6M

(1) Total state credit losses will not tie to total YTD 2014 credit losses due to rounding. Negative values are the result of recoveries on previously recognized credit losses.