© 2022 Fannie Mae

DRAFT

Financial Supplement 

Q4 and Full Year 2021

February 15, 2022
© 2022 Fannie Mae 2021 Financial Supplement 2

DRAFT

▪ Some of the terms and other information in this presentation are defined and discussed more fully in Fannie Mae's Form 10-K for the year ended December 31, 2021

(“2021 Form 10-K”). This presentation should be reviewed together with the 2021 Form 10-K, which is available at www.fanniemae.com in the “About Us—Investor 

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

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

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

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

▪ Unless otherwise indicated data is as of December 31, 2021 or for the full year indicated. Data for prior years is as of December 31 or for the full year indicated.

▪ Note references are to endnotes, appearing on pages 24 to 27.

▪ Terms used in presentation

CAS: Connecticut Avenue Securities®

CIRTTM: Credit Insurance Risk TransferTM

CRT: Credit risk transfer 

DSCR: Weighted-average debt service coverage ratio

DTI ratio: Debt-to-income (“DTI”) ratio refers to the ratio of a borrower’s outstanding debt obligations (including both mortgage debt and certain other long-term and 

significant short-term debts) to that borrower’s reported or calculated monthly income, to the extent the income is used to qualify for the mortgage

DUS®: Fannie Mae’s Delegated Underwriting and Servicing program

FHFA: The Federal Housing Finance Agency

HARP®: Home Affordable Refinance Program®, registered trademarks of the Federal Housing Finance Agency, which allowed eligible Fannie Mae borrowers with 

high LTV ratio loans to refinance into more sustainable loans

LTV ratio: Loan-to-value ratio

MSA: Metropolitan statistical area

MTMLTV ratio: Mark-to-market loan-to-value ratio, which refers to the current unpaid principal balance of a loan at period end, divided by the estimated current 

home price at period end

OLTV ratio: Origination loan-to-value ratio, which refers to the unpaid principal balance of a loan at the time of origination of the loan, divided by the home price or 

property value at origination of the loan

Refi PlusTM: Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers

REO: Real estate owned by Fannie Mae because it has foreclosed on the property or obtained the property through a deed-in-lieu of foreclosure

TCCA fees: Refers to revenues generated by the 10 basis point guaranty fee increase the company implemented on single-family residential mortgages pursuant to 

the Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) and as extended by the Infrastructure Investment and Jobs Act the incremental revenue from which 

is remitted to Treasury and not retained by the company. 

UPB: Unpaid principal balance
© 2022 Fannie Mae 2021 Financial Supplement 3

DRAFT Table of Contents

Overview

Corporate Financial Highlights 5

Selected Financial Data 6

Guaranty Book of Business Highlights 7

Portfolio and Liquidity Management 8

Key Market Economic Indicators 9

Single-Family Business

Single-Family Highlights 11

Credit Characteristics of Single-Family Conventional Loan Acquisitions 12

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 13

Single-Family Credit Risk Transfer 14

Single-Family Conventional Guaranty Book of Business in Forbearance 15

Single-Family Problem Loan Statistics 16

Single-Family Cumulative Default Rates 17

Multifamily Business

Multifamily Highlights 19

Credit Characteristics of Multifamily Loan Acquisitions 20

Credit Characteristics of Multifamily Guaranty Book of Business 21

Multifamily Serious Delinquency, Credit Loss and Forbearance Rates 22

Endnotes

Endnotes 24
© 2022 Fannie Mae

DRAFT

Overview
© 2022 Fannie Mae 2021 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) 2021 2020 Variance Q4 2021 Q3 2021 Variance

Net interest income $29,587 $24,866 $4,721 $7,587 $6,972 $615

Fee and other income 361 462 (101) 60 111 (51)

Net revenues 29,948 25,328 4,620 7,647 7,083 564

Investment gains, net 1,352 907 445 418 243 175

Fair value gains (losses), net 155 (2,501) 2,656 (166) (17) (149)

Administrative expenses (3,065) (3,068) 3 (826) (745) (81)

Credit-related income (expense) 5,097 (855) 5,952 912 868 44

TCCA fees (3,071) (2,673) (398) (801) (781) (20)

Other expenses, net(1) (2,467) (2,259) (208) (692) (543) (149)

Income before federal income 

taxes 27,949 14,879 13,070 6,492 6,108 384

Provision for federal income 

taxes (5,773) (3,074) (2,699) (1,303) (1,266) (37)

Net income $22,176 $11,805 $10,371 $5,189 $4,842 $347

Total comprehensive income $22,098 $11,790 $10,308 $5,184 $4,828 $356

Net worth $47,357 $25,259 $22,098 $47,357 $42,173 $5,184

Net worth ratio(2) 1.1 % 0.6 % 1.1 % 1.0 %

Summary of 2021 and Q4 2021 Financial Results 2021 Key Highlights

$22.2 billion net income in 2021, 

with net worth reaching $47.4 billion

as of December 31, 2021

Net income increased $10.4 billion in 2021

compared with 2020 primarily driven by:

Credit-related income (expense)

• $5.1 billion income in 2021 compared with 

$855 million expense in 2020 driven primarily by 

strong actual and forecasted home price growth, 

an increase in the volume of loan 

redesignations, and a reduction in the 

company’s estimate of losses it expects to incur 

as a result of the COVID-19 pandemic, partially 

offset by increases in interest rates.

Net interest income

• Increased $4.7 billion in 2021 compared with 

2020, driven primarily by higher base guaranty 

fee income and higher amortization income. An 

increase in the size of the guaranty book of 

business combined with an increase in average 

charged guaranty fees led to higher base 

guaranty fee income. 

Fair value gains (losses)

• $155 million of fair value gains in 2021, 

compared with fair value losses of $2.5 billion in 

2020. Fair value gains in 2021 were primarily 

driven by declines in the fair value of risk 

management derivatives and trading securities, 

offset by the impact of hedge accounting. Fair 

value losses in 2020, before the company 

implemented hedge accounting, were primarily 

driven by declines in the fair value of 

commitments to sell mortgage-related securities 

as prices increased during the commitment 

period.
© 2022 Fannie Mae 2021 Financial Supplement 6

DRAFT Selected Financial Data

Selected Financial Data

(Dollars in millions)

As of December 31, 2021 2020 2019 2018 2017

Cash and cash equivalents $ 42,448 $ 38,337 $ 21,184 $ 25,557 $ 32,110 

Restricted cash and cash equivalents 66,183 77,286 40,223 23,866 28,150 

Investments in securities 89,043 138,239 50,527 45,296 39,522 

Mortgage loans, net of allowance 3,968,242 3,653,892 3,334,162 3,249,395 3,178,525 

Total assets $ 4,229,166 $ 3,985,749 $ 3,503,319 $ 3,418,318 $ 3,345,529 

Short-term debt 2,795 12,173 26,662 24,896 33,756 

Long-term debt 4,155,396 3,923,563 3,440,724 3,367,024 3,296,298 

Total liabilities $ 4,181,809 $ 3,960,490 $ 3,488,711 $ 3,412,078 $ 3,349,215 

Total Fannie Mae stockholders' equity (deficit) $ 47,357 $ 25,259 $ 14,608 $ 6,240 $ (3,686) 

Loss reserves(3) $ (5,774) $ (10,798) $ (9,047) $ (14,252) $ (19,400) 

Loss reserves as a percentage of guaranty book of business:

Single-family(4) 0.15 % 0.30 % 0.30 % 0.49 % 0.65 %

Multifamily(5) 0.17 % 0.32 % 0.08 % 0.08 % 0.09 %

For the Year Ended December 31, 2021 2020 2019 2018 2017

Net income $ 22,176 $ 11,805 $ 14,160 $ 15,959 $ 2,463 

Return on assets(6) 0.54 % 0.32 % 0.41 % 0.47 % 0.07 %
© 2022 Fannie Mae 2021 Financial Supplement 7

DRAFT

UPB

(Dollars in trillions)

$3.2 $3.2 $3.3

$3.6

$3.9

$0.3 $0.3 $0.3 $0.4 $0.4

$2.9 $2.9 $3.0

$3.2 $3.5

2017 2018 2019 2020 2021

$0.0

$1.0

$2.0

$3.0

$4.0

Guaranty Book of Business Highlights 

Outstanding Guaranty 

Book of Business at Period End Guaranty Book in a CRT

UPB

(Dollars in billions)

Refinancings as a %

of SF Acquisitions

$570 $512

$666

$1,435 $1,424

$66 $65 $70 $76 $69

$223 $156 $283

$948 $904

$281 $291

$313

$411 $451

2017 2018 2019 2020 2021

$0

$500

$1,000

$1,500

30%

45%

60%

75%

90%

Single-Family Home Purchases Multifamily Rental Units

Single-Family Refinancings Refinancings as % of SF Acquisitions

Market Liquidity Provided

Total liquidity provided in the fourth quarter of 2021

was over $305 billion

Unpaid Principal Balance Units

$107.2B 351K

Single-Family Home Purchases

$177.6B 669K

Single-Family Refinancings

$20.7B 183K 

Multifamily Rental Units

UPB

(Dollars in billions)

$944

$1,180

$1,425

$1,056

$862

$84 $101 $112

$927

$1,143

$1,341

$955

$750

2017 2018 2019 2020 2021

$0

$500

$1,000

Outstanding UPB of single-family loans 

in a CRT transaction(27)

Outstanding UPB of multifamily loans in 

a CRT transaction

UPB outstanding of single-family 

conventional guaranty book of business(7)

UPB outstanding of multifamily guaranty 

book of business(8)
© 2022 Fannie Mae 2021 Financial Supplement 8

DRAFT Portfolio and Liquidity Management

Sources of Net Interest Income and Retained 

Mortgage Portfolio Balance Net Worth of Fannie Mae

Aggregate Indebtedness of Fannie Mae(14) Other Investments Portfolio ("OIP")

% Net Interest Income

Retained Mortgage Portfolio

(Dollars in billions)

79% 79%

85%

92%

21% 21%

15% 97%

8% 3%

$230.8

$179.2

$153.6 $162.7

$109.2

2017 2018 2019 2020 2021

0%

25%

50%

75%

100%

$0

$200

$400

% Net interest income from guaranty book of business(12)

% Net interest income from portfolios(13)

Retained mortgage portfolio, at end of period

(Dollars in billions)

$277.8 $272.2 $250.4 $228.1 $199.7

$290.0 $275.1

$252.7 $236.1

$202.5

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$38.3 $26.5 $48.8 $67.3

$42.4

$28.2

$14.1

$26.1

$130.5

$105.6

$89.7 $92.2

$83.6

$197.0

$146.2

$164.6 $160.0

$133.2

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$50

$100

$150

$200

Cash and cash equivalents(15)

Securities purchased under agreements to resell or similar arrangements

U.S. Treasury securities

Short-term debt

Long-term debt

Treasury Debt Limit $300

(Dollars in billions)

$(3.7)

$6.2

$14.6

$25.3

$47.4

2017 2018 2019 2020 2021
© 2022 Fannie Mae 2021 Financial Supplement 9

DRAFT

Rate (as of period end)

4.1% 3.9% 3.6%

6.7%

3.9% 2.7% 2.3% 2.6%

(2.3)%

5.5%

2017 2018 2019 2020 2021

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

2.68%

1.92%

0.91%

1.51%

3.50%

2.71%

1.34%

2.07%

4.55%

3.74%

2.67%

3.11%

12/31/2018 12/31/2019 12/31/2020 12/31/2021

Top 10 States by UPB(18)

State

One Year Home Price 

 Growth Rate Q4 2021

Share of Single-Family 

Conventional Guaranty 

Book

CA 20.2% 19%

TX 21.7% 7%

FL 28.5% 6%

NY 13.1% 5%

WA 22.8% 4%

NJ 17.3% 3%

CO 21.2% 3%

IL 13.8% 3%

VA 14.4% 3%

NC 24.0% 3%

Home Price Growth

5.7% 5.0% 4.4%

10.4%

19.0%

2017 2018 2019 2020 2021

0%

5%

10%

15%

20%

Benchmark Interest Rates U.S. GDP Growth (Decline) Rate and

Unemployment Rate(17)

One Year Home Price Growth Rate Q4 2021(18)

United States 19.0% Single-Family Home Price Growth Rate(18)

30-year FRM rate Growth (decline) in GDP, annualized change U.S. unemployment rate (16) 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate

State Growth Rate: 0.0% to 9.99% 10.0% to 14.99% 15.0% to 19.99% 20.0% and above
© 2022 Fannie Mae

DRAFT

Single-Family Business
© 2022 Fannie Mae 2021 Financial Supplement 11

DRAFT

Fannie Mae

38%

Freddie Mac

34%

Ginnie Mae

24%

Private-label securities

4% UPB

(Dollars in billions)

$3,161 $3,237 $3,325 $3,400 $3,453

44.5 44.9 45.2 45.4 45.5

Q4

2020

Q1

2021

Q2

2021

Q3

2021

Q4

2021

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$125 $99

$130 $115 $107

$301

$301 $244

$181 $178

45.8 48.0 47.9 47.3 47.1

$426

$400 $374

$296 $285

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights

2021

$25,429M

Net interest income 

$1,392M 

Investment gains, net

$167M

Fair value gains, net

$4,586M

Credit-related 

income

$19,127M

Net income

Single-Family Conventional 

Loan Acquisitions(7)

Single-Family Conventional 

Guaranty Book of Business(7)

2021 Single-Family Mortgage-Related 

Securities Share of Issuances Highlights

Refinance

Purchase

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

of TCCA fees (bps)(19)

Average single-family conventional guaranty book

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

net of TCCA fees (bps)(19)

• Single-family conventional acquisition volume was $1.4 trillion in 

2021. Purchase acquisition volume was $451.3 billion in 2021, 

the highest on record, of which nearly 50% were for first-time 

homebuyers. Refinance acquisition volume was $903.7 billion in 

2021, a decline from $947.8 billion in 2020, the highest on 

record. Both purchase and refinance volumes remained elevated 

due to the continued low interest-rate environment. 

• The average single-family conventional guaranty book of 

business in 2021 increased from 2020 by 9.5%.

• Single-family serious delinquency rate decreased to 1.25% as of 

December 31, 2021, from 1.62% as of September 30, 2021 and 

2.87% as of December 31, 2020, due primarily to the on-going 

economic recovery and the decline in the number of the 

company’s single-family loans in a COVID-19 forbearance plan. 
© 2022 Fannie Mae 2021 Financial Supplement 12

DRAFT

Share of Acquisitions

56%

65%

52%

30% 33%

20%

12%

28%

51% 43%

22% 22%

20% 19% 24%

2017 2018 2019 2020 2021

0%

25%

50%

75%

100% Weighted-Average FICO Credit Score

FICO Credit Score < 680

745 743 749 760 756

10.6% 11.2%

7.3%

4.0%

6.0%

2017 2018 2019 2020 2021

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Credit Characteristics of Single-Family Conventional Loan Acquisitions

Certain Credit Characteristics of Single-Family 

Conventional Loans by Acquisition Period

2021 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q4 2020

Full Year 

2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

Full Year 

2021

OLTV Ratio 

>95%

HomeReady®(21)FICO Credit

Score < 680(10)

DTI Ratio 

> 43%(20)

Total UPB (Dollars in billions) $425.6 $1,358.8 $400.5 $373.3 $296.4 $284.5 $1,354.7 $40.1 $38.9 $86.0 $305.9

Weighted-Average OLTV Ratio 70% 71% 68% 70% 70% 70% 69% 97% 83% 71% 72%

OLTV Ratio > 95% 2% 2% 2% 2% 4% 4% 3% 100% 28% 1% 3%

Weighted-Average FICO® Credit Score(10) 762 760 761 757 753 751 756 746 746 657 747

FICO Credit Score < 680(10) 4% 4% 4% 6% 8% 8% 6% 3% 8% 100% 8%

DTI Ratio > 43%(20) 20% 21% 20% 22% 24% 25% 23% 25% 40% 28% 100%

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

Primary Residence 91% 92% 91% 93% 95% 91% 92% 100% 100% 97% 91%

HomeReady®(21) 3% 2% 3% 3% 3% 3% 3% 27% 100% 3% 5%

Weighted-Average OLTV Ratio

Origination LTV > 95%

75% 77% 76%

71% 69%

4.9%

7.5% 6.6%

2.0%

3.0%

2017 2018 2019 2020 2021

0%

20%

40%

60%

80%

100%

0%

5%

10%

15%

20%

25%

Origination Loan-to-Value Ratio FICO Credit Score(10) Acquisitions by Loan Purpose

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Refi Plus(22) including HARP Other Refinance

Cash-out Refinance Purchase
© 2022 Fannie Mae 2021 Financial Supplement 13

DRAFT

Serious Delinquency Rate (%)

1.24%

2.87%

1.25%

1.24%

0.76%

0.66% 0.66% 0.81%

2017 2018 2019 2020 2021

0%

1%

2%

3%

4%

5%

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

by Origination Year and Loan Features(7)(23)

As of December 31, 2021 Origination Year Certain Loan Features

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier

2009-

2017 2018 2019 2020 2021

OLTV 

Ratio > 95%

HomeReady®(21)

FICO Credit 

Score <

680(10)

 Refi Plus 

Including

HARP(22)

DTI Ratio 

> 43%(20)

Total UPB (Dollars in billions) $3,483.1 $94.3 $864.7 $98.7 $203.5 $1,043.5 $1,178.4 $160.9 $102.0 $281.6 $152.5 $785.2

Average UPB $198,865 $81,777 $133,323 $168,770 $205,592 $258,943 $275,860 $164,262 $179,526 $152,487 $108,426 $212,703

Share of Single-Family Conventional Guaranty Book 100% 3% 24% 3% 6% 30% 34% 5% 3% 8% 4% 23%

Loans in Forbearance by UPB(24) 0.7% 2.5% 1.0% 2.3% 1.5% 0.5% 0.2% 1.6% 1.4% 2.3% 1.2% 1.2%

Share of Loans with Credit Enhancement(25) 34% 10% 46% 74% 56% 33% 26% 82% 79% 36% 41% 40%

Serious Delinquency Rate(11) 1.25% 4.59% 1.53% 3.76% 2.23% 0.45% 0.09% 2.82% 1.95% 4.25% 1.86% 2.10%

Weighted-Average OLTV Ratio 72% 75% 74% 77% 76% 71% 69% 104% 86% 75% 85% 74%

OLTV Ratio > 95% 5% 9% 7% 10% 8% 3% 3% 100% 34% 8% 28% 6%

Amortized OLTV Ratio(26) 72% 137% 76% 71% 72% 68% 68% 93% 83% 88% 112% 79%

Weighted-Average Mark-to-Market LTV Ratio(9) 54% 35% 37% 52% 55% 57% 64% 68% 70% 52% 36% 55%

Weighted-Average FICO Credit Score(10) 753 697 748 732 746 761 756 732 742 651 727 741

FICO Credit Score < 680(10) 8% 38% 11% 17% 9% 4% 7% 14% 9% 100% 22% 11%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted-Average FICO Credit Score

FICO Credit Score < 680

745 746 746 750 753

11.8% 11.5%

10.5%

9.0%

8.1%

2017 2018 2019 2020 2021

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

MTMLTV >100%

58% 57% 57% 58%

54%

1.0%

0.4% 0.3% 0.1% 0.3%

2017 2018 2019 2020 2021

0%

10%

20%

30%

40%

50%

60%

70%

0%

2.5%

5%

7.5%

10%

Mark-to-Market Loan-to-Value

(MTMLTV) Ratio(9) FICO Credit Score(10) SDQ Rate(11)

% MTMLTV > 100%

Weighted-Average MTMLTV

% FICO Credit Score < 680

Weighted-Average FICO Credit Score

SDQ Rate

SDQ Rate Excluding Loans in Forbearance
© 2022 Fannie Mae 2021 Financial Supplement 14

DRAFT

UPB

(Dollars in billions)

$40

$76

$102 $86 $82 $67 $63

$189

$240

$265

$206

$290

$58

$142

$44

$45

$73

$57

$239

$331

$410

$338

$445

$182 $205

2015 2016 2017 2018 2019 2020 2021

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$955

$822

$698

$616

$750

30%

25%

21%

18%

21%

Q4

2020

Q1

2021

Q2

2021

Q3

2021

Q4

2021

$0

$500

$1,000

$1,500

0%

10%

20%

30%

40%

2019 2020 2021

Credit Enhancement 

Outstanding UPB (dollars in billions)

Outstanding 

UPB

% of Book(30)

Outstanding

Outstanding 

UPB

% of Book(30)

Outstanding

Outstanding 

UPB

% of Book(30)

Outstanding

Primary mortgage insurance &

other(28) $653 22% $681 21% $697 20%

Connecticut Avenue Securities(29) $919 31% $608 19% $512 14%

Credit Insurance Risk

Transfer(27) $275 10% $216 7% $168 5%

Lender risk-sharing(29) $147 5% $131 4% $70 2%

(Less: loans covered by multiple 

credit enhancements) ($438) (15)% ($304) (9)% ($253) (7)%

Total single-family loans with 

credit enhancement $1,556 53% $1,332 42% $1,194 34%

Single-Family Credit Risk Transfer Issuance

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

% Single-family conventional guaranty book in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(27)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2022 Fannie Mae 2021 Financial Supplement 15

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of Loans in Forbearance(33)

as of December 31, 2021

Single-Family Loan Forbearance Status(34)

As of December 31, 2021

Certain Credit Characteristics of Single-Family Loans in Forbearance(31)

As of December 31, 2021 Origination Year

Categories are not mutually exclusive Total 

2008 &

Earlier

2009-

2017 2018 2019 2020 2021

Total UPB (Dollars in billions) $23.6 $2.4 $8.7 $2.3 $3.1 $5.1 $2.0

Average UPB $200,826 $122,521 $173,512 $206,411 $240,064 $289,722 $315,550

Share of Single-Family Conventional Guaranty Book

based on Loan Count 0.7% 0.1% 0.3% 0.1% 0.1% 0.1% 0.0%

Share of Single-Family Conventional Guaranty Book

based on UPB(32) 0.7% 0.1% 0.2% 0.1% 0.1% 0.1% 0.1%

MTMLTV Ratio > 80% without Mortgage Insurance 0.5% 0.3% 0.1% 0.0% 0.0% 0.1% 0.0%

DTI Ratio > 43%(20) 39.7% 4.1% 13.2% 5.0% 5.8% 8.3% 3.3%

FICO Credit Score < 680(10) 27.8% 5.2% 10.6% 3.3% 3.1% 3.8% 1.8%

OLTV Ratio > 95% 11.1% 1.1% 4.5% 1.7% 1.9% 1.4% 0.5% UP

B

(Dollars in billions)

Number of Loans

$3.8

$2.0 $1.9

$5.6

$10.3

20K

10K 10K

28K

50K

Current 30 to 59

days

DLQ

60 to 89

days

DLQ

90 to

180 

days

DLQ

180+

days

DLQ

$0.0

$5.0

$10.0

0K

30K

60K

8.4%

4.4%

35.1%

20.6%

26.9%

4.6%

Active forbearance Delinquent at Exit or Other(35) Paid off

Reinstated(37) Payment Deferral Modification(36)

1,414,289

Total Loans 

that have received 

a forbearance 
© 2022 Fannie Mae 2021 Financial Supplement 16

DRAFT

UP

B

(Dollars in billions)

Number of Loan Workouts

$13.8 $16.6 $7.7 $5.3 $8.4

$56.0

$62.1 100.6K 118.1K

56.3K

299.2K

342.7K

2017 2018 2019 2020 2021

$0

$10

$20

$30

$40

$50

$60

$70

$80

$90

$100

0K

50K

100K

150K

200K

250K

300K

350K

REO Ending Inventory

(Units in thousands)

26

20

18

8

7

2017 2018 2019 2020 2021

0

10

20

30

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(11)

Average 

Months to

Foreclosure(38)

CA 1.01% 30

TX 1.48% 29

FL 1.59% 43

NY 2.24% 65

WA 0.85% 38

NJ 1.90% 42

CO 0.82% 30

IL 1.55% 25

VA 1.11% 17

NC 1.03% 26

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of December 31, 2021(11) Top 10 States by UPB

Single-Family Loan Workouts Single-Family REO Ending Inventory

0.51% to 0.99%

1.00% to 1.99%

2.00% to 2.99%

3.00% and above

Other(39) Total Loan Workouts

Modifications(40) Payment Deferrals

$9.3

$19.0 $16.7

$62.9

$71.4
© 2022 Fannie Mae 2021 Financial Supplement 17

DRAFT

Time Since Beginning of Origination Year

Cumulative Default Rate

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

2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019**

2020** 2021**

Yr1

Yr

2

Yr

3

Yr4

Yr

5

Yr

6

Yr

7

Yr

8

Yr

9

Yr10

Yr11

Yr12

Yr13

Yr14

Yr 15

Yr 16

Yr 17

Yr 18

0%

2%

4%

6%

8%

10%

12%

14%

16%

Single-Family Cumulative Default Rates

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(55)

2007

2009

2006

2012 2011 2010

 * Loans originated prior to 2009 represent only 3% of the single-family conventional guaranty book of business as of December 31, 2021.

**As of December 31, 2021, cumulative default rates on the loans originated in each individual year from 2009-2021 were less than 1%.

2004

2008

2005
© 2022 Fannie Mae

DRAFT

Multifamily Business
© 2022 Fannie Mae 2021 Financial Supplement 19

DRAFT

UPB

(Dollars in billions)

$384.5 $399.1 $401.9 $408.1 $413.1

74.5 75.9 76.8 77.5 78.4

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

90

UPB

(Dollars in billions)

$27.1

$21.5

$10.9

$16.4

$20.7

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$5

$10

$15

$20

$25

$30

Multifamily Highlights

• New multifamily business volume was $69.5 billion in 2021, of 

which more than 50% was mission-driven business. This met 

the requirements established by the Federal Housing Finance 

Agency (FHFA) for 2021 volumes, including a multifamily 

volume cap of $70 billion.

• The multifamily guaranty book of business grew by 7% in 2021

to $413.1 billion. The average charged guaranty fee on the 

multifamily book increased from 74.5 basis points as of 

December 31, 2020 to 78.4 basis points as of December 31, 

2021.

• As of December 31, 2021, nearly 90% of the loans in the 

company’s multifamily guaranty book of business that had 

received a forbearance, measured by unpaid principal 

balance, were in a repayment plan or reinstated. Less than 

0.1% of the multifamily book, or $363 million in unpaid 

principal balance, was still in active forbearance.

 2021

$4,158M

Net interest income

$92M

Fee and other 

income

$(12)M

Fair value losses, net

$511M

Credit-related 

income

$3,049M

Net income

Multifamily New Business Volume Multifamily Guaranty Book of Business(8)

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

$29.0 $28.7 $28.6 $28.2 $27.1

$72.1 $71.3 $70.0 $68.3

$84.9

26% 25% 25% 24%

27%

$101.1 $100.0 $98.6 $96.5

$112.0

Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021

$0

$25

$50

$75

$100

10%

15%

20%

25%

30%

35%

40%

Average charged guaranty fee on multifamily guaranty book of 

business (in bps) at period end

UPB outstanding of multifamily guaranty book of business

UPB outstanding of multifamily loans in a 

Multifamily Connecticut Avenue SecuritiesTM

transaction

% Multifamily guaranty book in a Multifamily 

CRT transaction

UPB outstanding of multifamily loans in a 

Multifamily CIRT transaction
© 2022 Fannie Mae 2021 Financial Supplement 20

DRAFT

Share of Acquisitions

80%

89% 93% 93% 89%

20%

11% 7% 7% 11%

2017 2018 2019 2020 2021

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(8)

Categories are not mutually exclusive 2017 2018 2019 2020 2021

Total UPB (Dollars in billions) $67.1 $65.4 $70.2 $76.0 $69.5

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

Loan Count 3,861 3,723 4,113 5,051 4,203

% Lender Recourse(41) 100% 100% 100% 99% 100%

% DUS(42) 98% 99% 100% 99% 99%

% Full Interest-Only 26% 33% 33% 38% 40%

Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions 58% 58% 59% 58% 59%

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

% Partial Interest-Only(43) 57% 53% 56% 50% 50%

Share of Acquisitions

41%

32% 33% 29% 27%

59%

68% 66% 70% 72%

2017 2018 2019 2020 2021

0%

20%

40%

60%

80%

100%

$5.5B

$3.6B

$2.5B $3.6B

$2.0B

$1.9B

$1.7B

$1.6B

$1.5B

$1.4B

Share of 

Acquisitions:

36%

Total UPB:

$25.3B

Origination Loan-to-Value 

Ratio(8)

Top 10 MSAs by 2021 Acquisition 

UPB(8) Acquisitions by Note Type(8)

% OLTV ratio less than or equal to 70%

% OLTV ratio greater than 70% and less than or equal to 80%

% OLTV ratio greater than 80%

New York Chicago

Los Angeles Phoenix

Dallas Denver

Washington D.C Houston

Atlanta San Diego

Variable-rate

Fixed-rate
© 2022 Fannie Mae 2021 Financial Supplement 21

DRAFT

Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(8)

As of December 31, 2021 Acquisition Year Asset Class or Targeted Affordable Segment

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier 2009-2016 2017 2018 2019 2020 2021

Conventional

/Co-op(44)

Seniors

Housing(44)

Student

Housing(44)

Manufactured

Housing(44)

Privately Owned

with Subsidy(48)

Total UPB (Dollars in billions) $413.1 $7.0 $87.6 $51.9 $56.3 $66.9 $74.2 $69.2 $363.5 $16.8 $14.6 $18.2 $47.2

% of Multifamily Guaranty Book 100% 2% 21% 12% 14% 16% 18% 17% 88% 4% 4% 4% 11%

Loan Count 28,856 2,784 7,169 2,788 3,147 3,818 4,958 4,192 25,977 629 641 1,609 3,838

Average UPB (Dollars in millions) $14.3 $2.5 $12.2 $18.6 $17.9 $17.5 $15.0 $16.5 $14.0 $26.6 $22.8 $11.3 $12.3

Weighted-Average OLTV Ratio 65% 69% 66% 66% 65% 66% 64% 65% 65% 66% 66% 65% 68%

Weighted-Average DSCR(46) 2.1 3.1 1.9 2.0 1.9 1.9 2.4 2.3 2.1 1.8 1.8 2.2 2.2

% Fixed rate 91% 25% 92% 88% 93% 94% 94% 89% 92% 62% 82% 93% 85%

% Full Interest-Only 33% 28% 23% 31% 35% 34% 38% 40% 35% 13% 30% 25% 25%

% Partial Interest-Only(43) 51% 19% 48% 54% 53% 56% 50% 50% 50% 59% 63% 58% 44%

% Small Balance Loans(45) 42% 91% 50% 31% 28% 35% 36% 26% 42% 14% 24% 50% 48%

% DUS(8) 99% 91% 99% 98% 100% 100% 99% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(47) 0.42% 0.03% 0.80% 0.90% 0.47% 0.36% 0.08% 0.00% 0.30% 1.30% 2.87% 0.06% 0.13%

Credit Characteristics of Multifamily Guaranty Book of Business

$36.4B

$26.8B

$17.4B $17.7B

$11.8B

$10.8B

$10.7B

$10.7B

$10.4B

$10.1B

Share of Book

of Business: 

39.4%

Total Top 10 

UPB:

$162.8B

$5.5B

$10.9B

$15.3B

$22.4B

$320.7B $38.3B

Total UPB:

$413.1B 

UPB by Maturity Year 

As of December 31, 2021(8)

Top 10 MSAs by UPB 

As of December 31, 2021(8)

 Certain Credit Characteristics of 

Guaranty Book

New York Houston

Los Angeles Chicago

Dallas Phoenix

Washington D.C. Seattle

Atlanta San Francisco

2022 2025

2023 2026

2024 Other

Weighted-Average DSCR

Weighted-Average OLTV Ratio

2.1

2.0 1.92.0

2.1

67% 66% 66% 66% 65%

2017 2018 2019 2020 2021

0.0

1.0

2.0

0

10

20

30

40

50

60

70

Weighted-Average DSCR(46)

Weighted-Average OLTV Ratio
© 2022 Fannie Mae 2021 Financial Supplement 22

DRAFT

Serious Delinquency Rate

0.63%

0.71%

0.59%

0.24%

0.10%

0.05% 0.07% 0.05%

0.11%

0.06%

0.04%

0.98%

0.42%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Multifamily Serious Delinquency, Credit Loss and Forbearance Rates

0.7%

1.1%

0.9%

0.3%

0.1%

—% —%

0.1% —% 0.1% —% 0.1% —% —% —%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

0%

0.5%

1%

1.5%

2%

Serious Delinquency Rates(47) Multifamily Loan Forbearance

Status as of December 31, 2021(50)

Cumulative Total Credit Loss Rate, Net by Acquisition Year Through 2021(49)

$5.7B UPB 

in Forbearance 

Active Forbearance(51) Defaulted(52) Liquidations, 

Including 

Foreclosures(54) Reinstated(53) Repayment Plan

6.4%

3.3%

16.7%

54.8%

18.8%
© 2022 Fannie Mae

DRAFT

Endnotes
© 2022 Fannie Mae 2021 Financial Supplement 24

DRAFT

(1) Other expenses, net are comprised of credit enhancement expense, change in expected credit enhancement recoveries, debt extinguishment gains and losses, housing trust fund 

expenses, loan subservicing costs, servicer fees paid in connection with certain loss mitigation activities, and gains and losses from partnership investments.

(2) Calculated based upon net worth divided by total assets outstanding at the end of the period.

(3) Consists of the company's allowance for loan losses and reserve for guaranty losses. The measurement of loss reserves was impacted upon the adoption of the CECL standard 

on January 1, 2020, prospectively. See “Note 1, Summary of Significant Accounting Policies” in the Company's 2021 Form 10K for more information about its adoption of the CECL 

standard.

(4) Calculated based on single-family conventional guaranty book of business.

(5) Prior to the company's adoption of the CECL standard on January 1, 2020, benefits for freestanding credit enhancements were netted against multifamily loss reserves. As of 

January 1, 2020, these credit enhancements are recorded in “Other assets” in the company's consolidated balance sheet. 

(6) Calculated based on net income for the reporting period divided by average total assets during the period, expressed as a percentage. Average balances for purposes of ratio 

calculations are based on balances at the beginning of the year and at the end of each quarter for each year shown.

(7) Single-family conventional loan population consists of: (a) single-family conventional mortgage loans of Fannie Mae; (b) single-family conventional mortgage loans underlying 

Fannie Mae MBS other than loans underlying Freddie Mac securities that Fannie Mae has resecuritized; and (c) other credit enhancements that Fannie Mae provided on singlefamily mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae single-family mortgage-related securities held in the retained mortgage portfolio for 

which Fannie Mae does not provide a guaranty. Conventional refers to mortgage loans and mortgage-related securities that are not guaranteed or insured, in whole or in part, by 

the U.S. government or one of its agencies.

(8) The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other 

credit enhancements that the company provided on multifamily mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in the retained mortgage 

portfolio for which Fannie Mae does not provide a guaranty. Data reflects the latest available information as of December 31, 2021. 

(9) The average estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property at period end, which 

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

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

(11) Single-family SDQ rate refers to single-family loans that are 90 days or more past due or in the foreclosure process, expressed as a percentage of the company’s single-family 

conventional guaranty book of business, based on loan count. Single-family SDQ rate for loans in a particular category refers to SDQ loans in the applicable category, divided by 

the number of loans in the single-family conventional guaranty book of business in that category.

(12) Net interest income from guaranty book of business includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payroll Tax Cut 

Continuation Act of 2011 and as extended by the Infrastructure Investment and Jobs Act, the incremental revenue from which is remitted to Treasury and not retained by the 

company. 

(13) Includes interest income from assets held in the company’s retained mortgage portfolio and other investments portfolio, as well as other assets used to generate lender liquidity. 

Also includes interest expense on the company’s outstanding corporate debt and Connecticut Avenue Securities® debt.

(14) Reflects the company's aggregate indebtedness at the end of each period presented measured in unpaid principal balance and excludes effects of debt basis adjustments and 

debt of consolidated trusts.

Endnotes
© 2022 Fannie Mae 2021 Financial Supplement 25

DRAFT

Endnotes

(15) Cash equivalents are comprised of overnight repurchase agreements and U.S. Treasuries that have a maturity at the date of acquisition of three months or less.

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

for a given period.

(17) U.S. Gross Domestic Product ("GDP") annual growth (decline) rate are based on the annual "percentage change from fourth quarter to fourth quarter one year ago" calculated by 

the Bureau of Economic Analysis and are subject to revision.

(18) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2021. Including subsequent 

data may lead to materially different results. Home price growth rate is not seasonally adjusted. UPB estimates are based on data available through the end of December 2021, 

and the top 10 states are reported by UPB in descending order. One-year home price growth rate is for the 12-month period ending December 31, 2021.

(19) Represents, on an annualized basis, the sum of the base guaranty fees charged during the period for the company's single-family conventional guaranty arrangements plus the 

recognition of any upfront cash payments relating to these guaranty arrangements based on an estimated average life at the time of acquisition. Excludes the impact of a 10 basis 

point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by the company.

(20) Excludes loans for which this information is not readily available. From time to time, the company revises its guidelines for determining a borrower’s DTI ratio. The amount of 

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

actual DTI ratios.

(21) Refers to HomeReady® mortgage loans, a low down payment mortgage product offered by the company that is designed for creditworthy low-income borrowers. HomeReady 

allows up to 97% loan-to-value ratio financing for home purchases. The company offers additional low down payment mortgage products that are not HomeReady loans; therefore, 

this category is not representative of all high LTV ratio single-family loans acquired or in the single-family conventional guaranty book of business for the periods shown. See the 

“OLTV Ratio > 95%” category for information on the single-family loans acquired or in the single-family conventional guaranty book of business with origination LTV ratios greater 

than 95%.

(22) "Refi Plus" refers to loans acquired under Fannie Mae's Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers who were current on their loans 

and who applied prior to the initiative’s December 31, 2018 sunset date. Refi Plus had no limits on maximum LTV ratio and provided mortgage insurance flexibilities for loans with 

LTV ratios greater than 80%.

(23) Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in the single-family 

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

(24) Consists of loans that are in an active forbearance as of December 31, 2021.

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

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

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

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

(27) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $1.5 billion outstanding as of December 31, 2021.

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

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

transactions unless such loans are also covered by primary mortgage insurance.
© 2022 Fannie Mae 2021 Financial Supplement 26

DRAFT

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

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

(31) Calculated based on the unpaid principal balance of loans in forbearance with the specific credit characteristic and vintage divided by the total unpaid principal balance of loans in 

forbearance in that origination year at period end. 

(32) Share of single-family conventional guaranty book based on UPB was calculated based upon the unpaid principal balance of loans in forbearance by vintage divided by the total 

unpaid principal balance of the single-family conventional guaranty book of business at period end. 

(33) Pursuant to the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), for purposes of reporting to the credit bureaus, servicers must report a borrower receiving a 

COVID-19-related payment accommodation, such as a forbearance plan or loan modification, as current if the borrower was current prior to receiving the accommodation and the 

borrower makes all required payments in accordance with the accommodation. For purposes of the company's disclosures regarding delinquency status, loans receiving 

COVID-19-related payment forbearance are reported as delinquent according to the contractual terms of the loan.

(34) As a part of the company's relief programs and pursuant to the CARES Act, the company has authorized servicers to permit payment forbearance to borrowers experiencing a 

COVID-19-related financial hardship for up to 12 months without regard to the delinquency status of the loan, and for borrowers already in forbearance as of February 28, 2021, for 

a total of up to 18 months, provided that the forbearance does not result in the loan becoming greater than 18 months delinquent. The company estimates that, through December 

31, 2021, approximately 8% of the single-family loans, based on loan count, in the single-family conventional guaranty book of business as of March 31, 2020 have been in a 

COVID-19-related forbearance at some point between then and December 31, 2021.

(35) Consists of 60,638 loans that were delinquent upon the expiration of the forbearance arrangement and 2,431 loans that exited forbearance through a repayment plan.

(36) Includes loans that are in trial modifications. 

(37) Represents single-family loans that are no longer in forbearance but are current according to the original terms of the loan. Also includes loans that remained current throughout 

the forbearance arrangement and continue to perform.

(38) Measured from the borrowers’ last paid installment on their mortgages to when the related properties were added to the company's REO inventory for foreclosures completed 

during the twelve months ended December 31, 2021. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this 

calculation.

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

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

(40) There were approximately 39,100 loans in a trial modification period that was not complete as of December 31, 2021.

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

(42) Under the Delegated Underwriting and Servicing ("DUS") program, Fannie Mae acquires individual, newly originated mortgages from specially approved DUS lenders using DUS 

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

service most loans without a pre-review by the company.

(43) Includes any loan that was underwritten with an interest-only term less than the term of the loan, regardless of whether it is currently in its interest-only period.

Endnotes
© 2022 Fannie Mae 2021 Financial Supplement 27

DRAFT

Endnotes

 

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

(45) Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide. 

(46) Weighted-average debt service coverage ratio, or "DSCR", is calculated using the latest available income information from annual statements for these properties. When operating 

statement information is not available, the DSCR at the time of acquisition is used. If both are unavailable, the underwritten DSCR is used. Although the company uses the most 

recently available results from their multifamily borrowers, there is a lag in reporting, which typically can range from three to six months, but in some cases may be longer. Accordingly, 

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

(47) Multifamily SDQ rate refers to multifamily loans that are 60 days or more past due, expressed as a percentage of the company’s multifamily guaranty book of business, based on 

unpaid principal balance. Multifamily SDQ rate for loans in a particular category (such as acquisition year, asset class or targeted affordable segment), refers to SDQ loans in the 

applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that category.

(48) The Multifamily Affordable Business Channel focuses on financing properties that are under an agreement that provides long-term affordability, such as properties with rent subsidies 

or income restrictions. The parameters to qualify under Privately Owned with Subsidy were expanded in Q3 2021, resulting in an increase in properties classified as targeted 

affordable volume.

(49) Cumulative net credit loss rate is the cumulative net credit losses (gains) through December 31, 2021 on the multifamily loans that were acquired in the applicable period, as a 

percentage of the total acquired unpaid principal balance of multifamily loans in the applicable period. Net credit losses include expected benefit of freestanding loss-sharing benefit, 

primarily multifamily DUS lender-risk sharing transactions.

(50) Displays the status and percentage of UPB as of current period end of the multifamily loans in the guaranty book of business that have received a forbearance since the onset of the 

COVID-19 pandemic, including $124.3 million of active non-COVID related forbearance, as well as loans that liquidated prior to period end. Since the COVID-19 pandemic was 

declared a national emergency in March 2020, Fannie Mae has broadly offered forbearance to affected multifamily borrowers. Nearly all of the multifamily loans that received 

forbearance were associated with a COVID-19-related financial hardship.

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

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

modification.

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

(54) Of the $957 million in loans that liquidated prior to December 31, 2021, $238 million went to foreclosure prior to that date, largely as a result of the foreclosure of loans within a seniors 

housing portfolio.

(55) Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of singlefamily conventional loans in the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the 

guaranty book of business originated in the identified year. Data as of December 31, 2021 is not necessarily indicative of the ultimate performance of the loans and performance may 

change, perhaps materially, in future periods.