November 5, 2015

Fannie Mae

2015 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, 2015, the “2015 Q3 Form 10-Q.” Some of the terms used in these 

materials are defined and discussed more fully in the 2015 Q3 Form 10-Q and in 

Fannie Mae’s Form 10-K for the year ended December 31, 2014, the “2014 Form 

10-K.” These materials should be reviewed together with the 2015 Q3 Form 10-Q 

and the 2014 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 2015” is as of September 30, 

2015 or for the first nine months of 2015.
2

Table of Contents

Home Prices

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

One Year Home Price Change as of 2015 Q3 4

Home Price Change From 2006 Q3 Through 2015 Q3 5

Credit Profile of Fannie Mae Single-Family Loans

Credit Characteristics of Single-Family Business Acquisitions 6

Credit Risk Profile Summary of Single-Family Business Acquisitions 7

Certain Credit Characteristics of Single-Family Business Acquisitions: 2004 - 2015 8

Single-Family Business Acquisitions by Loan Purpose 9

Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year 10

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

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 12

Seriously Delinquent Loan and REO Ending Inventory Share by Select States 13

Single-Family Short Sales and REO Sales Prices to UPB of Mortgage Loans 14

Workouts of Fannie Mae Single-Family Loans

Single-Family Loan Workouts 15

Re-performance Rates of Modified Single-Family Loans 16

Additional Credit Information for Fannie Mae Single-Family Loans

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 17

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year 18

Credit Profile of Fannie Mae Multifamily Loans

Multifamily Credit Profile by Loan Attributes 19

Multifamily Credit Profile by Acquisition Year 20

Multifamily Credit Profile 21

Multifamily YTD 2015 Credit Losses by State Through 2015 Q3 22
3

13.6% 13.5% 1.7% -5.4% -12.0% -3.8% -4.1% -3.9% 6.5% 10.7% 4.5% 4.3%

10.6% 11.3%

2.7%

-3.6%

-9.1%

-4.8% -4.3% -3.5%

4.1%

7.9%

4.4% 5.4%

-15%

-10%

-5%

0%

5%

10%

15%

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

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

Fannie Mae Home Price Index

* Year-to-date as of Q3 2015. Estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of 

September 2015. Including subsequent data may lead to materially different results

**Year-to-date as of Q2 2015. As comparison, Fannie Mae’s index for the same period is 4.0%.

Based on our home price index, we estimate that home prices on a national basis increased by 1.3% in the third quarter of 2015 and by 

5.4% in the first nine months of 2015, following increases of 4.4% in 2014 and 7.9% in 2013. Despite the recent increases in home prices, 

we estimate that, through September 30, 2015, home prices on a national basis remained 5.6% 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.

*

S&P/Case-Shiller Index

**
4

AK

3.8%

0.2%

WA

8.8%

3.5%

HI

4.0%

0.8%

TX

5.8%

5.8%

MT

4.4%

0.3%

C A

8.4%

19.7%

N M

3.2%

0.5%

A Z

6.8%

2.5%

N V

8.8%

1.0%

WY

4.1%

0.2%

O R

9.3%

1.7%

U T

6.1%

1.1%

MN

4.2%

2.0%

CO

11.0%

2.8%

I D

6.7%

0.5%

K S

3.7%

0.5%

N E

5.7%

0.4%

SD

4.5%

0.2%

N D

4.6%

0.1%

O K

2.9%

0.6%

MO

4.4%

1.3%

WA

8.8%

3.5%

GA

6.4%

2.6%

I L

3.0%

4.0%

I A

3.0%

0.7%

WI

4.0%

1.8%

A R

1.9%

0.5%

AL

3.0%

1.0%

N C

3.0%

2.4%

MS

1.8%

0.4%

N Y

3.6%

5.4%

PA

3.0%

O H 3.0%

3.2%

2.0%

I N

2.6%

1.2%

F L

8. 6%

5. 6%

L A

3.0%

0.9%

TN

4.7%

1.3%

MI

7.8%

2.4%

K Y

3.3%

0.6%

VA

1.5%

3.5%

ME

2.7%

0.3%

SC

3.9%

1.2%

WV

1.9%

0.2%

MD

2.1%

2.7%

VT

1.6%

0.2%

N H

2.9%

0.5%

MA

3.1%

3.0%

N J

1.9%

3.9%

CT

1.3%

1.3%

D E

4.4%

0.4%

R I

5.2%

0.3%

D C

10.1%

0.4%

*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 2015. 

UPB estimates are based on data available through the end of September 2015. Including subsequent data may lead to materially different results

** “UPB %” refers to unpaid principal balance of loans on properties in the applicable state 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.

One Year Home Price Change as of 2015 Q3*

United States 5.0%

0% to 5%

5% to 10%

10% and Above

State Growth Rate

State: CA 

Growth Rate: 8.4% 

UPB %**: 19.7% 

Example 
5

AK

12.7%

0.2%

WA

-2.5%

3.5%

TX

24.1%

5.8%

MT

12.8%

0.3%

C A

-17.2%

19.7%

N M

-6.7%

0.5%

U T

6.9%

1.1% CO

19.1%

2.8% K S

9.0%

0.5%

O R

-2.3%

1.7%

A Z

-27.6%

2.5%

WY

16.1%

0.2%

N V

-33.8%

1.0%

MN

-6.3%

2.0%

I D

-7.2%

0.5%

N E

13.0%

0.4%

SD

19.2%

0.2%

MO

-0.5%

1.3%

WA

-2.5%

3.5%

N D

52.4%

0.1%

O K

13.5%

0.6%

A R

2.1%

0.5%

GA

-8.3%

2.6%

N C

0.1%

2.4%

WI

-3.2%

1.8%

PA

2.5%

3.0%

I A

10.8%

0.7%

AL

-0.8%

1.0%

MS

-1.3%

0.4%

N Y

-3.4%

5.4%

I N

4.3%

1.2%

O H

-4.0%

2.0%

TN

4.0%

1.3%

K Y

6.3%

0.6%

I L

- 13.8%

4.0%

F L

-29. 6%

5. 6%

L A

12.6%

0.9%

MI

-9.5%

2.4%

VA

-11.0%

3.5%

ME

-3.6%

0.3%

SC

-1.9%

1.2%

WV

4.4%

0.2%

VT

-4.3%

0.2%

MA

-3.6%

3.0%

MD

-19.0%

2.7%

N H

-10.6%

0.5%

NJ

-19.1%

3.9%

C T

- 16.9%

1.3%

DE

-12.9%

0.4%

R I

-22.4%

0.3%

D C

28.4%

0.4%

HI

-1.1%

0.8%

United States -5.6%

*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 

2015. UPB estimates are based on data available through the end of September 2015. Including subsequent data may lead to materially different results.

** “UPB %” refers to unpaid principal balance of loans on properties in the applicable state 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.

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

Home Price Change From 2006 Q3 Through 2015 Q3*

Below -30%

-30% to -15%

-15% to -5%

-5% to 0%

0% to 5%

5% and Above

State Growth Rate

State: CA 

Growth Rate: -17.2% 

UPB %**: 19.7% 

Example
6

Credit Characteristics of Single-Family Business Acquisitions (1)

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) $124.5 $117.6 $128.1 $118.9 $113.2 $104.9 $369.8 $324.8 $106.0 $97.0 $102.3 $92.2

Weighted Average Origination Note Rate 4.05% 4.04% 3.87% 3.86% 3.98% 3.97% 4.31% 4.28% 4.22% 4.20% 4.28% 4.26%

Origination Loan-to-Value (LTV) Ratio

<= 60% 17.1% 16.6% 19.6% 18.8% 18.5% 17.8% 15.9% 15.1% 16.5% 15.8% 14.7% 13.9%

60.01% to 70% 12.6% 12.5% 14.4% 14.3% 14.6% 14.6% 12.2% 12.1% 12.7% 12.6% 11.7% 11.5%

70.01% to 80% 40.1% 41.3% 39.7% 41.2% 40.4% 42.0% 40.4% 43.5% 40.8% 42.7% 41.0% 43.5%

80.01% to 90% 12.8% 12.7% 11.8% 11.6% 12.4% 12.2% 13.1% 12.7% 13.3% 13.1% 13.8% 13.6%

90.01% to 100% 16.6% 16.9% 13.8% 14.1% 13.2% 13.4% 16.2% 16.5% 15.6% 15.9% 17.1% 17.5%

> 100% 0.7%  0.8%  0.9%  2.2%  1.2%  1.7% 

Weighted Average Origination LTV Ratio 75.6% 75.7% 74.0% 74.0% 74.2% 74.2% 76.6% 76.1% 75.8% 75.7% 77.1% 76.8%

FICO Credit Scores (3)

 < 620 0.6% 0.0% 0.6%  0.7%  1.2%  0.9%  1.1% 

 620 to < 660 5.0% 4.5% 4.3% 3.7% 4.6% 4.0% 5.4% 4.4% 5.4% 4.7% 5.4% 4.6%

 660 to < 700 12.6% 12.2% 11.1% 10.6% 11.8% 11.4% 13.4% 12.6% 13.2% 12.7% 13.4% 12.7%

 700 to < 740 20.7% 20.8% 19.7% 19.8% 20.1% 20.3% 21.0% 21.2% 20.8% 21.0% 21.1% 21.3%

>=740 61.1% 62.4% 64.3% 65.8% 62.7% 64.3% 58.9% 61.7% 59.8% 61.6% 59.0% 61.4%

Weighted Average FICO Credit Score 747 749 750 753 748 751 744 748 745 748 744 748

Certain Characteristics

Fixed-rate 97.5% 97.4% 98.1% 98.0% 97.2% 97.1% 95.3% 94.9% 96.1% 95.9% 95.2% 94.9%

Adjustable-rate 2.5% 2.6% 1.9% 2.0% 2.8% 2.9% 4.7% 5.1% 3.9% 4.1% 4.8% 5.1%

Alt-A (4) 0.3%  0.4%  0.5%  0.9%  0.6%  0.8% 

Interest Only            

Investor 7.7% 7.2% 7.7% 7.0% 8.4% 7.7% 9.0% 7.7% 8.2% 7.4% 8.1% 7.1%

Condo/Co-op 10.0% 10.1% 10.3% 10.4% 9.6% 9.6% 10.3% 10.3% 9.9% 10.0% 10.1% 10.1%

Refinance 46.1% 42.9% 59.7% 56.6% 63.2% 60.2% 48.3% 41.1% 50.3% 45.7% 43.4% 37.2%

Loan Purpose

Purchase 53.9% 57.1% 40.3% 43.4% 36.8% 39.8% 51.7% 58.9% 49.7% 54.3% 56.6% 62.8%

Cash-out refinance 18.2% 19.3% 18.1% 19.5% 18.8% 20.3% 16.1% 18.3% 18.1% 19.8% 14.9% 16.5%

Other refinance 27.9% 23.6% 41.6% 37.0% 44.4% 40.0% 32.2% 22.8% 32.2% 25.9% 28.5% 20.6%

Top 3 Geographic Concentration

California 20.6% California 24.8% California 25.6% California 21.2% California 22.1% California 20.5%

Texas 8.0% Texas 6.9% Texas 6.7% Texas 7.7% Texas 7.5% Texas 8.0%

Florida 5.2% Florida 4.9% Florida 4.7% Florida 5.3% Florida 5.1% Florida 5.2%

Single-Family Acquisitions

Acquisition Period

Q3 2015 Q2 2015 Q1 2015 Full Year 2014 Q4 2014 Q3 2014

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

(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 PlusTM 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 for the applicable periods 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 2015 Q3 Form 10-Q. 
7

<= 60%

60.01% 

to 80%

80.01% 

to 95%

> 95% Total

>= 740 10.1% 34.8% 16.5% 0.4% 61.8%

660 to < 740 4.1% 18.3% 11.0% 0.5% 33.8%

620 to < 660 0.7% 2.6% 0.9%  4.3%

FICO Credit Score 

Total 14.9% 55.7% 28.5% 0.9% 100.0%

(2)

For the Nine 

Months Ended

September 30, 2014

Origination Loan-to-Value (LTV) Ratio 

<= 60%

60.01% 

to 80%

80.01% 

to 95%

> 95% Total

>= 740 12.8% 35.5% 15.2% 0.7% 64.2%

660 to < 740 4.3% 17.2% 9.4% 0.8% 31.7%

620 to < 660 0.7% 2.4% 0.9% 0.1% 4.1%

FICO Credit Score 

Total 17.7% 55.2% 25.5% 1.5% 100.0%

(2)

For the Nine 

Months Ended

September 30, 2015

Origination Loan-to-Value (LTV) Ratio

<= 60%

60.01% 

to 80%

80.01% 

to 100%

> 100% Total

>= 740 10.1% 31.6% 16.1% 0.9% 58.6%

660 to < 740 4.5% 17.4% 11.6% 1.1% 34.5%

620 to < 660 0.9% 2.8% 1.4% 0.4% 5.4%

< 620 0.2% 0.4% 0.4% 0.3% 1.4%

FICO Credit Score 

Total 15.7% 52.2% 29.5% 2.6% 100.0%

(2)

For the Nine 

Months Ended

September 30, 2014

Origination Loan-to-Value (LTV) Ratio 

<= 60%

60.01% 

to 80%

80.01% 

to 100%

> 100% Total

>= 740 12.9% 34.2% 15.4% 0.3% 62.8%

660 to < 740 4.6% 16.9% 10.2% 0.3% 32.0%

620 to < 660 0.8% 2.5% 1.1% 0.1% 4.6%

< 620 0.1% 0.2% 0.2% 0.1% 0.6%

FICO Credit Score 

Total 18.4% 53.9% 26.9% 0.8% 100.0%

(2)

For the Nine 

Months Ended

September 30, 2015

Origination Loan-to-Value (LTV) Ratio 

<= 60%

60.01% 

to 80%

80.01% 

to 95%

> 95% Total

>= 740 2.7% 0.8% -1.3% 0.2% 2.4%

660 to < 740 0.2% -1.0% -1.6% 0.3% -2.1%

620 to < 660  -0.2% -0.1%  -0.2%

FICO Credit Score 

Total 2.8% -0.5% -3.0% 0.6% 

(2)

Change in 

Acquisitions Profile

Origination Loan-to-Value (LTV) Ratio 

<= 60%

60.01% 

to 80%

80.01% 

to 100%

> 100% Total

>= 740 2.8% 2.6% -0.6% -0.6% 4.2%

660 to < 740 0.1% -0.4% -1.4% -0.8% -2.5%

620 to < 660 -0.1% -0.2% -0.3% -0.3% -0.9%

< 620 -0.1% -0.2% -0.3% -0.2% -0.8%

Total 2.7% 1.7% -2.6% -1.8% 

Change in 

Acquisitions Profile

Origination Loan-to-Value (LTV) Ratio 

FICO Credit Score (2)

Credit Risk Profile Summary of Single-Family Business Acquisitions(1)

Credit Profile for Single-Family Acquisitions

(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) FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. FICO credit scores below 620 primarily consist of the refinance of existing loans 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) Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes HARP.

Credit Profile for Single-Family Acquisitions (Excluding Refi Plus) (3)
8

0%

20%

40%

60%

80%

100%

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015*

Share of Single-Family Business Acquisitions: 

Loan Purpose - Purchase

0%

20%

40%

60%

80%

100%

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015*

Share of Single-Family Business Acquisitions: 

Loan Purpose - Purchase

0%

20%

40%

60%

80%

100%

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015*

Share of Single-Family Business Acquisitions: 

Fixed Rate Product

0%

5%

10%

15%

20%

660

680

700

720

740

760

780

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015*

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

Certain Credit Characteristics of Single-Family Business Acquisitions: 2004 – 2015(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) 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, which includes HARP.

FICO Credit Score Origination Loan (2)

-to-Value Ratio

Product Feature

* Year-to-date through September 30, 2015.
9

4.1% 9.8% 9.9% 15.6% 13.7%

5.8% 2.5%

6.5%

13.6% 14.4%

8.9% 8.8%

6.4%

4.2%

69.4%

54.0% 52.2% 55.0%

47.7%

36.1% 49.5%

20.1% 22.6% 23.5% 20.6%

29.8%

51.7%

43.9%

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 2015* % of Single-Family Business Acquisitions

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

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)

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 $21.5 $23.5 $9.0 $15.5

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% 4.62% 4.39% 4.23% 4.08%

Origination Loan-to-Value Ratio: 

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

80.01% to 105% 99.1%  94.4%  88.1%  57.2%  58.4%  73.3%  78.2% 

105.01% to 125% 0.9%  5.6%  11.9%  22.1%  21.5%  16.9%  14.8% 

>125%       20.7%  20.1%  9.9%  7.1% 

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% 101.5% 61.3% 98.5% 60.3%

FICO Credit Scores (2)

< 620 1.2% 0.8% 2.0% 1.4% 2.1% 1.7% 3.7% 2.9% 6.7% 5.3% 10.6% 9.3% 9.5% 8.4%

620 to < 660 2.5% 1.7% 3.6% 2.4% 3.8% 2.8% 6.0% 4.2% 9.5% 6.9% 14.5% 11.2% 14.3% 10.1%

660 to < 740 31.9% 23.0% 33.1% 23.9% 32.6% 25.6% 33.8% 26.0% 38.7% 31.9% 41.0% 36.5% 40.6% 33.9%

>=740 64.4% 74.5% 61.2% 72.3% 61.5% 70.0% 56.6% 66.9% 45.1% 55.8% 33.9% 43.0% 35.6% 47.6%

Weighted Average FICO Credit Score 749 762 746 760 746 758 738 753 722 737 704 717 707 724

2013 2014 2015*

Acquisition Year 

2009 2010 2011 2012

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, 2015.
10

As of September 30, 2015 Overall

Book 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 andEarlier

Unpaid Principal Balance (billions) (1) $2,777.2 $313.3 $316.4 $519.1 $592.3 $234.9 $196.6 $139.1 $54.1 $99.2 $312.2

Share of Single-Family Conventional Guaranty Book 100.0% 11.3% 11.4% 18.7% 21.3% 8.5% 7.1% 5.0% 1.9% 3.6% 11.2%

Average Unpaid Principal Balance (1) $160,585 $218,990 $192,332 $183,360 $185,546 $155,253 $153,805 $149,420 $144,146 $160,670 $89,706

Serious Delinquency Rate 1.59% 0.01% 0.17% 0.31% 0.29% 0.42% 0.59% 1.00% 5.86% 9.80% 4.28%

Weighted Average Origination Loan-to-Value Ratio 74.9% 74.6% 77.0% 76.6% 76.3% 71.3% 71.2% 69.7% 74.8% 78.4% 73.5%

Origination Loan-to-Value Ratio > 90% 16.2% 15.5% 19.3% 20.4% 19.0% 12.5% 10.4% 6.6% 12.6% 20.9% 11.4%

Weighted Average Mark-to-Market Loan-to-Value Ratio 61.1% 71.8% 69.4% 61.5% 55.6% 51.2% 52.7% 54.6% 68.6% 84.4% 59.1%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 2.5% 0.5% 0.9% 2.3% 2.1% 0.2% 0.3% 0.4% 5.9% 17.4% 6.0%

Mark-to-Market Loan-to-Value Ratio > 125% 0.8% 0.1% 0.3% 0.7% 0.6%    1.1% 6.8% 2.0%

Weighted Average FICO (2) 744 749 743 750 759 757 757 753 714 691 703

FICO < 620 (2) 2.3% 0.6% 1.2% 1.7% 1.1% 0.7% 0.8% 0.8% 6.1% 11.5% 8.1%

Interest Only 2.2%   0.2% 0.3% 0.5% 0.9% 1.0% 8.3% 19.3% 9.7%

Negative Amortizing 0.2%          1.3%

Fixed-rate 92.7% 97.9% 95.8% 97.7% 97.7% 95.3% 96.2% 97.3% 73.2% 63.0% 73.2%

Primary Residence 88.0% 88.3% 86.8% 86.2% 88.7% 87.2% 89.2% 90.7% 87.7% 90.1% 88.9%

Condo/Co-op 9.4% 9.9% 10.0% 10.2% 8.9% 8.5% 8.2% 8.7% 10.7% 9.5% 9.2%

Credit Enhanced (3) 17.7% 26.2% 33.4% 19.9% 13.3% 8.5% 6.0% 5.4% 24.6% 30.1% 12.2%

Cumulative Default Rate (4)    0.1% 0.2% 0.3% 0.5% 0.7% 4.8% 14.2% 

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 loanlevel information for approximately 99% of its single-family conventional guaranty book of business as of September 30, 2015.

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

(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. 

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

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

business originated in the identified year. For 2006 and earlier cumulative default rates, refer to slide 18.
11

As of September 30, 2015 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 (3)

Refi Plus 

Including 

HARP (4)

Subtotal of 

Certain 

Product 

Features (1)

Unpaid Principal Balance (billions) (5) $61.0 $65.0 $152.1 $450.0 $19.4 $105.9 $499.6 $975.2

Share of Single-Family Conventional Guaranty Book 2.2% 2.3% 5.5% 16.2% 0.7% 3.8% 18.0% 35.1%

Average Unpaid Principal Balance (5) $230,157 $118,263 $133,561 $171,574 $133,231 $148,117 $155,135 $152,486

Serious Delinquency Rate 8.19% 7.88% 5.13% 2.36% 8.87% 6.75% 0.74% 2.87%

Acquisition Years 2005 - 2008 81.8% 41.8% 31.5% 10.0% 31.4% 60.0%  17.9%

Weighted Average Origination Loan-to-Value Ratio 74.2% 81.6% 79.3% 104.0% 108.1% 78.3% 86.7% 85.5%

Origination Loan-to-Value Ratio > 90% 8.0% 29.9% 23.2% 100.0% 100.0% 15.5% 39.7% 46.1%

Weighted Average Mark-to-Market Loan-to-Value Ratio 81.3% 72.2% 69.6% 85.6% 93.0% 74.2% 66.7% 71.5%

Mark-to-Market Loan-to-Value Ratio > 100% and <= 125% 16.8% 9.9% 7.2% 9.6% 21.4% 12.5% 6.0% 6.2%

Mark-to-Market Loan-to-Value Ratio > 125% 6.1% 3.8% 2.6% 3.3% 9.3% 4.6% 1.7% 2.0%

Weighted Average FICO (2) 722 583 642 729 583 712 735 719

FICO < 620 (2) 1.6% 100.0%  4.3% 100.0% 2.7% 4.9% 6.7%

Fixed-rate 23.6% 83.3% 86.2% 95.7% 88.2% 65.2% 98.9% 89.5%

Primary Residence 85.6% 94.5% 93.1% 92.0% 94.2% 76.9% 84.6% 89.3%

Condo/Co-op 14.7% 4.7% 6.1% 9.9% 5.9% 9.8% 9.4% 8.9%

Credit Enhanced (6) 13.5% 22.9% 21.5% 62.1% 54.9% 10.5% 12.4% 31.5%

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) For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2015 Q3 Form 10-Q. 

(4) 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%. 

(5) 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, 2015.

(6) 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 
12

UPB 

($ in Billions) % of Total

Weighted 

Average Mark-toMarket LTV

Mark-to-Market 

LTV > 100%

Seriously 

Delinquent Loan 

Share (2)

SDQ Rate (2)

Q3 2015 

Acquisitions 

(# of Properties)

Q3 2015 

Dispositions

 (# of Properties)

REO Ending 

Inventory 

as of September 

30, 2015

Average Days to 

Foreclosure (3)

Select States (5)

California $547.6 19.7% 51.9% 2.2% 5.2% 0.60% 768 908 2,350 738 1.3%

Texas $160.2 5.8% 58.4% 0.1% 3.1% 0.75% 413 522 1,116 695 0.1%

Florida $154.4 5.6% 68.8% 12.2% 12.5% 3.11% 3,141 6,345 10,985 1,436 23.2%

New York $150.8 5.4% 56.9% 2.9% 10.6% 3.67% 821 507 2,610 1,631 15.9%

Illinois $111.3 4.0% 67.9% 7.0% 5.4% 1.95% 1,179 2,138 5,663 920 7.7%

New Jersey $108.9 3.9% 65.8% 6.5% 10.1% 5.01% 1,302 860 4,157 1,609 21.3%

Washington $98.2 3.5% 59.5% 1.6% 1.9% 1.01% 362 570 1,174 911 1.2%

Virginia $97.2 3.5% 63.2% 2.6% 1.8% 0.95% 352 434 1,062 564 0.8%

Pennsylvania $84.1 3.0% 64.1% 2.2% 4.6% 2.06% 932 1,074 2,634 988 3.3%

Massachusetts $82.9 3.0% 58.1% 1.3% 3.0% 1.98% 253 319 1,274 1,246 1.7%

Region (6)

Midwest $412.2 14.8% 65.7% 3.4% 16.3% 1.38% 3,715 6,052 14,530 699 13.2%

Northeast $519.1 18.7% 61.7% 3.5% 33.8% 3.10% 3,880 3,763 13,608 1,315 46.8%

Southeast $609.8 22.0% 65.8% 5.4% 28.5% 1.91% 6,205 10,871 21,439 1,098 31.8%

Southwest $457.5 16.5% 61.4% 1.6% 10.5% 0.90% 2,012 2,397 4,864 619 2.4%

West $778.5 28.0% 54.6% 2.4% 10.9% 0.81% 1,913 2,401 6,517 963 5.9%

Total $2,777.2 100.0% 61.1% 3.3% 100.0% 1.59% 17,725 25,484 60,958 990 100.0%

SF Conventional Guaranty Book of Business as of September 30, 2015 (1) Seriously Delinquent Loans as of 

September 30, 2015 (2) Real Estate Owned (REO)

% of YTD 2015 

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, 2015. 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 singlefamily conventional guaranty book of business as of September 30, 2015.

(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 2015. 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 expense 

(income), adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. Includes the impact of credit losses associated with our 

redesignation in the first nine months of 2015 from held for investment to held for sale of certain nonperforming single-family loans expected to be sold in the foreseeable future. Also includes 

the impact of our approach to adopting the charge-off provisions of the Federal Housing Finance Agency’s Advisory Bulletin AB 2012-02, “Framework for Adversely Classifying Loans, Other 

Real Estate Owned, and Other Assets and Listing Assets for Special Mention” on January 1, 2015. For information on total credit losses, refer to Fannie Mae’s 2015 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, 2015.

(6) For information on which states are included in each region, refer to Fannie Mae’s 2015 Q3 Form 10-Q.
13

97 

61

18.2% 18.0%

0.7%

4.3%

1.2%

6.8%

11.4%

9.3%

5.8%

3.9%

0

20

40

60

80

100

120

0%

5%

10%

15%

20%

25%

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

REO Ending Inventory (Thousands)

REO Ending Inventory Florida New York New Jersey Illinois California

483

276

20.4%

12.5%

7.8% (NJ)

10.6%

7.8% (NY) 10.1%

6.2% (IL)

5.4% 6.3% (CA) 5.2%

0

100

200

300

400

500

600

0%

5%

10%

15%

20%

25%

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

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)

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 in some states. 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 a number of states, particularly in New York, Florida and New 

Jersey. 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. 

(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, 2015. 

(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.
14

74.3%

76.2%

78.0% 78.6% 79.7% 80.4% 80.4% 80.7% 82.0% 82.7%

66.6% 68.2% 69.9% 70.6% 71.7% 72.2% 72.2% 72.6% 73.6% 74.1%

50.0%

55.0%

60.0%

65.0%

70.0%

75.0%

80.0%

85.0%

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

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

Short Sales 

Net Sales Prices 

to UPB

Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015

Florida 68.9% 70.2% 69.1% 72.7% 72.0%

California 76.8% 77.8% 78.4% 78.3% 80.0%

Illinois 65.1% 64.4% 65.5% 64.5% 66.8%

New Jersey 66.8% 64.4% 67.8% 65.7% 66.9%

New York 71.6% 70.4% 73.6% 72.8% 73.1%

Nevada 68.9% 71.1% 68.6% 71.5% 70.5%

Maryland 69.2% 71.2% 70.0% 70.3% 70.6%

Washington 76.7% 79.3% 76.2% 78.5% 80.5%

Arizona 74.1% 73.5% 75.3% 77.0% 77.5%

Michigan 68.5% 65.3% 67.6% 71.7% 63.3%

Single-Family Short Sales and REO Sales Prices to UPB of Mortgage Loans

REO (1) Direct Sale Dispositions: Sales Prices to UPB (2) Short Sales: Sales Prices to UPB (2)

Net Sales Prices to UPB Trends for Top 10 States (2)(3)

74.6% 74.8% 74.2% 73.8%

75.7% 75.9% 75.2% 76.3%

79.3% 79.3%

68.4% 68.5% 67.9% 67.6% 69.2% 69.3% 68.6% 69.8%

72.5% 72.4%

50.0%

55.0%

60.0%

65.0%

70.0%

75.0%

80.0%

85.0%

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

REO Gross Sales / UPB REO Net Sales / UPB

(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 Prices to UPB are 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 2015 in each respective category.

REO 

Net Sales Prices 

to UPB

Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015

Florida 67.7% 69.2% 70.8% 73.5% 74.8%

Illinois 59.5% 58.6% 60.8% 64.5% 63.9%

Ohio 56.7% 56.1% 55.9% 62.7% 63.4%

Michigan 60.4% 56.2% 59.2% 64.6% 65.7%

Maryland 61.7% 61.4% 64.9% 67.5% 67.3%

Pennsylvania 61.0% 60.2% 59.6% 63.0% 61.3%

California 81.2% 78.5% 81.3% 84.0% 83.1%

Georgia 75.2% 75.7% 76.8% 78.3% 77.5%

Washington 79.5% 78.5% 81.8% 84.8% 86.6%

New Jersey 61.3% 56.9% 54.2% 57.7% 58.8%
15

40 37 39 36 32 29 26 27 26 22

3

2

2

2

2

2

2 2 2

1

44

40 41

38

34

31

28 29 28

24

0

10

20

30

40

50

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

# of Loans (Thousands)

Modifications Repayment Plans and Forbearances Completed

14 12 9 7 7 5 4 4 4 4

4

3

4

3 3 3 2 2 2 2

18

15 13

10 10 8 7 6 6 6

0

10

20

30

40

50

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

2015

Q3

# of Loans (Thousands)

Short Sales Deeds-in-Lieu

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 accounted for as troubled debt 

restructurings, 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.
16

2012

Q3

2012

Q4

2013

Q1

2013

Q2

2013

Q3

2013

Q4

2014

Q1

2014

Q2

2014

Q3

2014

Q4

2015

Q1

2015

Q2

Modifications (2) 41,697 39,712 43,153 40,358 37,337 39,159 36,044 32,010 28,861 25,908 26,700 26,214

% Current or Paid Off

3 months post modification 84% 85% 86% 83% 83% 84% 83% 79% 79% 80% 79% 77%

6 months post modification 80% 82% 79% 77% 79% 79% 76% 72% 74% 74% 72% n/a

9 months post modification 78% 78% 76% 75% 76% 74% 72% 71% 71% 70% n/a n/a

12 months post modification 76% 76% 75% 74% 73% 73% 72% 70% 69% n/a n/a n/a

15 months post modification 74% 75% 74% 71% 72% 72% 71% 67% n/a n/a n/a n/a

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

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

24 months post modification 74% 74% 73% 72% 72% 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 reflect permanent modifications which 

does not include loans currently in trial modifications. 

(2) Defined as total number of completed modifications for the time periods noted.
17

2015 2014 2013 2012 2011 2010 2015 2014 2013 2012 2011 2010

Certain Product Features (3)

Negative Amortizing Loans 0.2% 0.2% 0.2% 0.3% 0.3% 0.4% 1.5% 0.9% 0.8% 0.5% 1.2% 1.9%

Interest Only Loans 2.2% 2.5% 2.9% 3.7% 4.7% 5.6% 19.3% 10.2% 18.7% 21.8% 25.8% 28.6%

Loans with FICO < 620 (4) 2.3% 2.5% 2.6% 2.9% 3.2% 3.5% 11.3% 12.1% 7.0% 7.8% 7.9% 8.0%

Loans with FICO ≥ 620 and < 660 (4) 5.5% 5.5% 5.5% 6.0% 6.7% 7.4% 18.2% 17.6% 15.7% 14.2% 14.7% 15.1%

Loans with Origination LTV Ratio > 90% 16.2% 15.9% 15.1% 12.8% 10.0% 9.4% 17.0% 15.3% 20.8% 16.8% 14.0% 15.9%

Loans with FICO < 620 and Origination LTV Ratio > 90% (4) 0.7% 0.7% 0.7% 0.7% 0.7% 0.8% 2.8% 2.9% 2.0% 2.3% 2.2% 2.7%

Alt-A Loans (5) 3.8% 4.2% 4.7% 5.6% 6.6% 7.6% 30.3% 17.4% 26.0% 23.7% 27.3% 33.2%

Subprime Loans (6) 0.1% 0.1% 0.1% 0.2% 0.2% 0.2% 2.1% 1.3% -0.2% 1.1% 0.6% 1.1%

Refi Plus Including HARP 18.0% 19.1% 19.5% 16.5% 11.2% 7.1% 7.5% 10.4% 7.4% 3.5% 1.4% 0.1%

Vintages

2009 - 2015 83.2% 80.5% 76.2% 65.3% 51.6% 39.0% 9.6% 13.3% 10.0% 5.1% 2.4% 0.4%

2005 - 2008 10.6% 12.2% 14.7% 21.7% 30.4% 38.0% 80.0% 74.7% 77.6% 81.8% 82.9% 87.9%

2004 & Prior 6.2% 7.3% 9.1% 13.1% 18.0% 23.0% 10.4% 12.0% 12.4% 13.1% 14.8% 11.7%

Select States (7)

Florida 5.6% 5.6% 5.7% 6.0% 6.3% 6.6% 23.2% 32.6% 28.9% 21.4% 11.0% 17.5%

New Jersey 3.9% 4.0% 4.0% 4.0% 4.0% 4.0% 21.3% 7.2% 3.7% 2.0% 0.8% 1.2%

New York 5.4% 5.5% 5.6% 5.6% 5.6% 5.5% 15.9% 4.8% 1.9% 0.9% 0.6% 0.8%

Illinois 4.0% 4.1% 4.1% 4.2% 4.3% 4.3% 7.7% 10.9% 12.9% 9.6% 3.5% 4.3%

Maryland 2.7% 2.7% 2.8% 2.8% 2.9% 2.8% 4.1% 5.9% 3.1% 1.8% 0.6% 1.9%

Pennsylvania 3.0% 3.0% 3.1% 3.1% 3.0% 3.0% 3.3% 4.2% 3.0% 1.6% 0.8% 0.8%

Connecticut 1.3% 1.3% 1.4% 1.4% 1.4% 1.4% 2.4% 2.8% 1.4% 0.9% 0.3% 0.4%

Ohio 2.0% 2.1% 2.1% 2.2% 2.3% 2.4% 2.1% 4.2% 4.1% 3.3% 2.1% 2.2%

Nevada 1.0% 1.0% 1.0% 1.0% 1.0% 1.1% 2.0% 1.4% 3.8% 4.8% 7.9% 6.1%

Massachusetts 3.0% 3.0% 3.1% 3.1% 3.1% 3.0% 1.7% 1.0% 0.8% 1.0% 1.2% 1.3%

All Other States 68.0% 67.7% 67.3% 66.6% 66.0% 65.8% 16.3% 25.0% 36.5% 52.8% 71.0% 63.6%

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

Credit Loss Concentration of Single-Family Conventional Guaranty Book of 

Business

(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 2015 which is as of 

September 30, 2015.

(2) Based on the single-family credit losses for the year ended December 31 for the time periods noted, with the exception of 2015 which is through September 30, 2015. Credit losses consist of (a) 

charge-offs, net of recoveries and (b) foreclosed property expense (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. Includes the impact of credit 

losses associated with our redesignation in the first nine months of 2015 from held for investment to held for sale of certain nonperforming single-family loans expected to be sold in the foreseeable 

future. Also includes the impact of our approach to adopting the charge-off provisions of the Federal Housing Finance Agency’s Advisory Bulletin AB 2012-02, “Framework for Adversely Classifying 

Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention” on January 1, 2015. 

(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. For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 

2015 Q3 Form 10-Q. 

(6) For a description of our subprime loan classification criteria, refer to Fannie Mae’s 2014 Form 10-K.

(7) Select states represent the top ten states with the highest percentage of single-family credit losses for the nine months ended September 30, 2015.
18

2002

2003

2004

2005

2006

2007

2008

2015 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%

15.0%

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

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Cumulative Default Rates of Single-Family Conventional Guaranty Book of 

Business by Origination Year 

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

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

conventional loans in the guaranty book of business originated in the identified year.

Data as of September 30, 2015 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future 

periods.
19

Total Multifamily Guaranty Book of Business 30,584 $210.5 100% 0.05% $6 $(46) $52 $257 

Credit Enhanced Loans: 

Credit Enhanced 28,076 $197.3 94% 0.05% $14 $(35) $0 $189 

Non-Credit Enhanced 2,508 $13.2 6% 0.10% $(8) $(11) $52 $68 

Origination loan-to-value ratio: (4)

Less than or equal to 70% 19,286 $114.0 54% 0.03% $(13) $(11) $24 $37 

Greater than 70% and less than or equal to 80% 9,535 $90.8 43% 0.09% $3 $(38) $18 $182 

Greater than 80% 1,763 $5.6 3% 0.03% $16 $3 $10 $38 

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

DUS ® - Small Balance Loans (6) 8,134 $15.2 7% 0.24% $3 $11 $3 $19 

DUS ® - Non Small Balance Loans 13,336 $184.8 88% 0.03% $(6) $(67) $29 $182 

DUS ® - Total 21,470 $200.0 95% 0.05% $(3) $(57) $32 $201 

Non-DUS - Small Balance Loans (6) 8,746 $5.7 3% 0.36% $3 $11 $23 $41 

Non-DUS - Non Small Balance Loans 368 $4.8 2%  $6 $0 $(3) $15 

Non-DUS - Total 9,114 $10.5 5% 0.20% $8 $11 $20 $56 

Maturity Dates:

Loans maturing in 2015 194 $1.0 0% 1.20% $(6) $(3) $(1) $20 

Loans maturing in 2016 1,552 $7.4 4% 0.06% $(1) $8 $17 $30 

Loans maturing in 2017 2,815 $13.6 6% 0.19% $(7) $(19) $42 $84 

Loans maturing in 2018 2,530 $14.6 7% 0.07% $12 $(4) $0 $35 

Loans maturing in 2019 2,455 $18.9 9% 0.06% $(2) $1 $(3) $21 

Other maturities 21,038 $155.0 74% 0.03% $10 $(29) $(4) $68 

Loan Size Distribution:

Less than or equal to $750K 6,413 $1.7 1% 0.21% $1 $5 $7 $13 

Greater than $750K and less than or equal to $3M 9,685 $14.9 7% 0.24% $7 $19 $33 $45 

Greater than $3M and less than or equal to $5M 4,162 $15.2 7% 0.24% $11 $(9) $2 $31 

Greater than $5M and less than or equal to $25M 8,570 $90.4 43% 0.04% $(10) $(53) $(18) $141 

Greater than $25M 1,754 $88.3 42%  $(3) $(9) $29 $28 

2012 Multifamily 

Credit Losses 

($ in Millions) (3)

As of September 30, 2015 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)

2014 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

YTD 2015 

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. 

The 2013 multifamily credit losses for DUS and Non-DUS loans have been corrected from the amounts previously reported. 

(4) Weighted average origination loan-to-value ratio is 66% as of September 30, 2015.

(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
20

As of September 30, 2015

Unpaid Principal 

Balance 

($ in Billions) 

% of Multifamily 

Guaranty Book of 

Business (UPB)

% Seriously 

Delinquent (1)

# of Seriously 

Delinquent loans (1)

YTD 2015 

Multifamily Credit 

Losses 

($ in Millions) (2)(3)

2014 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

2013 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

 2012 Multifamily 

Credit Losses 

($ in Millions) (3)

Total Multifamily Guaranty Book of Business $210.5 100% 0.05% 50 $6 $(46) $52 $257 

By Acquisition Year:

2015 $32.3 15%      

2014 $28.4 13% 0.00% 1    

2013 $26.0 12% 0.02% 2 $0   

2012 $28.1 13% 0.02% 4 $0 $0 $0 

2011 $19.5 9% 0.11% 6 $2 $0 $(1) $0 

2010 $13.7 6% 0.06% 3 $0 $2 $7 $1 

2009 $13.1 6% 0.10% 2 $4 $(3) $(14) $17 

2008 $11.3 5% 0.12% 7 $(9) $(4) $(6) $60 

2007 $14.2 7% 0.23% 18 $(5) $(17) $50 $123 

Prior to 2007 $23.9 11% 0.07% 7 $14 $(25) $17 $57 

(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 Profile by Acquisition Year

Multifamily SDQ Rate by Acquisition Year Cumulative Defaults by Acquisition Year
21

Total Multifamily Guaranty Book of Business $210.5 100% 0.05% $6 $(46) $52 $257 

Region: (4)

Midwest $18.9 9% 0.11% $10 $(3) $(20) $40 

Northeast $36.3 17% 0.09% $5 $4 $(4) $25 

Southeast $48.2 23% 0.09% $3 $(22) $6 $138 

Southwest $43.7 21% 0.02% $(1) $(21) $(16) $19 

West $63.5 30% 0.02% $(12) $(4) $87 $35 

Top Five States by UPB:

California $48.1 23% 0.01% $0 $(2) $4 $4 

Texas $23.3 11%  $(1) $(33) $(8) $6 

New York $20.6 10% 0.08% $2 $2 $1 $7 

Florida $12.4 6%  $(3) $(8) $11 $92 

Washington $7.9 4% 0.04% $1 $0 $1 $0 

Asset Class: (5)

Conventional/Co-op $187.4 89% 0.06% $4 $(37) $52 $242 

Seniors Housing $13.0 6%  $9 $(3)  

Manufactured Housing $5.6 3%  $0 $(2) $0 $7 

Student Housing $4.5 2%  $(7) $(4) $1 $7 

Targeted Affordable Segment:

Privately Owned with Subsidy (6) $29.7 14% 0.07% $18 $(4) $(8) $9 

DUS & Non-DUS Lenders/Servicers:

DUS: Bank (Direct, Owned Entity, or Subsidiary) $82.9 39% 0.03% $(3) $(28) $6 $55 

DUS: Non-Bank Financial Institution $122.5 58% 0.07% $5 $(25) $39 $180 

Non-DUS: Bank (Direct, Owned Entity, or Subsidiary) $4.6 2% 0.14% $1 $2 $2 $17 

Non-DUS: Non-Bank Financial Institution $0.3 0%  $3 $6 $5 $6 

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

As of September 30, 2015

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)

2014 Multifamily 

Credit Losses 

($ in Millions) (2)(3)

YTD 2015 

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.

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

(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
22

Multifamily YTD 2015 Credit Losses by State Through 2015 Q3 ($ Millions)

(1) 

Numbers: Represent YTD 2015 credit-related losses/(income) for each state which totaled $6M in losses for the nine months ended September 30, 2015. States with no numbers had less 

than $500K in credit losses or less than $500K in credit-related income in YTD 2015.

Shading: Represent Unpaid Principal Balance (UPB) for each state which totaled $210.5B as of September 30, 2015. 

Portfolio UPB

Concentration by State 

as of 9/30/2015

(1) Total state credit losses will not tie to total YTD 2015 credit losses due to rounding. Negative values are the result of recoveries on previously recognized credit losses.

Example:

UPB in PA is $5B and 

YTD 2015 Credit 

Losses are $2M