© 2021 Fannie Mae 

DRAFT

Financial Supplement 

Q3 2021

October 29, 2021
© 2021 Fannie Mae Q3 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-Q for the quarter ended September 30, 

2021 (“Q3 2021 Form 10-Q”) and Form 10-K for year ended December 31, 2020 ("2020 Form 10-K"). This presentation should be reviewed together with the Q3 

2021 Form 10-Q and the 2020 Form 10-K, which are 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 "Q3 YTD 2021" data is as of September 30, 2021 or for the first nine months of 2021. Data for prior years is as of December 31 or for the 

full year indicated.

▪ Note references are to endnotes, appearing on pages 27 to 30. 

▪ 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 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”), the incremental revenue from which is remitted to Treasury and not retained by the company.

UPB: Unpaid principal balance
© 2021 Fannie Mae Q3 2021 Financial Supplement 3

DRAFT Table of Contents

Overview

Corporate Financial Highlights 5

Guaranty Book of Business Highlights 6

Single-Family Credit Characteristics 7

Multifamily Credit Characteristics 8

Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance 9

Portfolio and Liquidity Management 10

Key Market Economic Indicators 11

Single-Family Business

Single-Family Highlights 13

Credit Characteristics of Single-Family Conventional Loan Acquisitions 14

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 15

Single-Family Credit Risk Transfer 16

Single-Family Conventional Guaranty Book of Business in Forbearance 17

Single-Family Problem Loan Statistics 18

Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 19

Single-Family Cumulative Default Rates 20

Multifamily Business

Multifamily Highlights 22

Credit Characteristics of Multifamily Loan Acquisitions 23

Credit Characteristics of Multifamily Guaranty Book of Business 24

Multifamily Serious Delinquency Rates and Credit Losses 25

Endnotes

Endnotes 27
© 2021 Fannie Mae 

DRAFT

Overview
© 2021 Fannie Mae Q3 2021 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) Q3 2021 Q2 2021 Variance

Q3 YTD 

2021

Q3 YTD 

2020 Variance

Net interest income $6,972 $8,286 $(1,314) $22,000 $17,780 $4,220

Fee and other income 111 103 8 301 303 (2)

Net revenues 7,083 8,389 (1,306) 22,301 18,083 4,218

Investment gains, net 243 646 (403) 934 644 290

Fair value gains (losses), net (17) (446) 429 321 (1,621) 1,942

Administrative expenses (745) (746) 1 (2,239) (2,265) 26

Credit-related income (expense) 868 2,547 (1,679) 4,185 (2,255) 6,440

TCCA fees (781) (758) (23) (2,270) (1,976) (294)

Other expenses, net(1) (543) (598) 55 (1,775) (1,440) (335)

Income before federal income 

taxes 6,108 9,034 (2,926) 21,457 9,170 12,287

Provision for federal income 

taxes (1,266) (1,882) 616 (4,470) (1,935) (2,535)

Net income $4,842 $7,152 $(2,310) $16,987 $7,235 $9,752

Total comprehensive income $4,828 $7,120 $(2,292) $16,914 $7,224 $9,690

Net worth $42,173 $37,345 $4,828 $42,173 $20,693 $21,480

Net worth ratio(2) 1.0 % 0.9 % 1.0 % 0.5 %

Summary of Q3 2021 Financial Results Q3 Key Highlights

$4.8 billion third quarter 2021 net income, 

with net worth reaching $42.2 billion 

as of September 30, 2021

Net income decreased $2.3 billion in the third 

quarter of 2021 compared with the second quarter

of 2021 primarily driven by:

Credit-related income

• Decreased $1.7 billion in the third quarter of 

2021 compared with the second quarter of 

2021 driven primarily by a decrease in volume 

of loan redesignations, less benefit from both 

actual and forecasted home price growth, and 

increases in interest rates. Credit-related 

income in the third quarter of 2021 was driven 

primarily by strong actual and forecasted 

home price growth and a reduction in the 

company's estimate of losses it expects to 

incur as a result of the COVID-19 pandemic.

Net interest income

• Decreased $1.3 billion in the third quarter of 

2021 compared with the second quarter of 

2021, driven primarily by a decrease in net 

amortization income. Single-family mortgage 

loan prepayment activity slowed in the third 

quarter of 2021 compared to the second 

quarter of 2021; however, refinancing activity 

remained strong due to the continued low 

interest-rate environment. 
© 2021 Fannie Mae Q3 2021 Financial Supplement 6

DRAFT

UPB

(Dollars in trillions)

Average Gfee (in bps)

$3.1 $3.2 $3.3 $3.4 $3.4

$0.4 $0.4 $0.4 $0.4 $0.4

44.4 44.5 44.9 45.2 45.4

73.3 74.5 75.9 76.8 77.5

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0.0

$1.0

$2.0

$3.0

$4.0

0

25

50

75

Guaranty Book of Business Highlights 

Outstanding Conventional Guaranty 

Book of Business at Period End Highlights

UPB (Dollars in billions)

Refinancings as a %

of SF Acquisitions

$570 $512

$666

$1,435

$1,119

$66 $65 $70 $76

$223 $156 $283

$948

$281 $726 $291

$313

$411

$344

2017 2018 2019 2020 Q3 YTD

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

UPB outstanding of single-family conventional 

guaranty book of business(3)

UPB outstanding of multifamily guaranty book of 

business(4)

Average charged guaranty fee on single-family 

conventional guaranty book of business, net of 

TCCA fees (bps)(5)

Average charged guaranty fee on multifamily 

guaranty book of business (bps)

Total liquidity provided in the third quarter of 2021 was $312.7 billion

Unpaid Principal Balance Units

$115.4B 376K

Single-Family Home Purchases

$180.9B 674K

Single-Family Refinancings

$16.4B 166K

Multifamily Rental Units

• Fannie Mae provided $312.7 billion in total liquidity in the 

third quarter of 2021.

• Refinancings continued to drive the majority of the 

company's acquisition volumes in the third quarter of 2021, 

with 674,000 single-family refinance loans delivered during 

the quarter due to the continued low rate environment; 

however, the volumes were lower than in the first and 

second quarters of 2021 as the pace of refinance activity 

continued to slow. 

• Average charged guaranty fee continued to increase for both 

the company's single-family and multifamily segments.
© 2021 Fannie Mae Q3 2021 Financial Supplement 7

DRAFT

Single-Family Credit Characteristics 

Credit Ratios Highlights

Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT

Weighted-Average FICO Credit Score

Weighted-Average MTMLTV

745 746 746 750 752

58% 57% 57% 58%

54%

2017 2018 2019 2020 Q3 YTD

2021

0

170

340

510

680

850

0

10

20

30

40

50

60

Weighted-Average MTMLTV Ratio(6)

Weighted-Average FICO Credit Score(7)

Serious Delinquency Rate

Credit Loss (Benefit) Ratio

(in bps)

1.2bps

(0.1)bps *—bps

(0.6)bps (0.6)bps

3.20%

2.87%

2.58%

2.08%

1.62%

0.65% 0.66% 0.66% 0.64% 0.72%

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

0%

1%

2%

3%

4%

(3)bps

(2)bps

(1)bps

0bps

1bps

2bps

3bps

4bps

UPB

(Dollars in billions)

$927

$1,143

$1,341

$955

$616

32%

39%

46%

30%

18%

2017 2018 2019 2020 Q3 YTD

2021

$0

$500

$1,000

$1,500

0%

20%

40%

% Single-family conventional guaranty book in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(8)

Serious Delinquency ("SDQ")(9) Rate 

SDQ Rate excluding loans in forbearance

Credit Loss (Benefit) Ratio(10)

*

Represents less than 0.05 basis points

• The credit characteristics of the single-family conventional guaranty 

book of business continued to remain strong in the third quarter of 

2021 with a weighted-average MTMLTV ratio of 54% and weightedaverage FICO credit score of 752.

• The company did not enter into any new credit risk transfer 

transactions from April 2020 through September 2021. As a result, the 

percentage of the single-family conventional guaranty book of 

business covered by CRT declined to 18% as of September 30, 2021. 

In October 2021, the company entered into new credit risk transfer 

transactions transferring mortgage credit risk via the CAS and CIRT 

programs.

• The single-family SDQ rate decreased compared with June 30, 2021

due 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. 

The single-family SDQ rate excluding loans in forbearance increased 

to 0.72% primarily due to loans exiting forbearance without resolving 

their delinquency.
© 2021 Fannie Mae Q3 2021 Financial Supplement 8

DRAFT

Multifamily Credit Characteristics 

Credit Ratios Highlights

 Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT

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 Q3 YTD

2021

0.0

1.0

2.0

0

10

20

30

40

50

60

70

Weighted-Average DSCR(11) Weighted-Average OLTV Ratio

Serious Delinquent Rate

Credit Loss (Benefit) Ratio, 

Net (in bps)

1.12%

0.98%

0.66%

0.53%

0.42%

0.04% 0.03% 0.03% 0.03%

0.03%

7.4bps

1.2bps 3.1bps

0.2bps

(2.6)bps

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

0.0%

0.3%

0.5%

0.8%

1.0%

1.3%

(4)bps

(2)bps

0bps

2bps

4bps

6bps

8bps

10bps

UPB

(Dollars in billions)

$17

$37

$84

$101 $96

6%

12%

25%

26%

24%

2017 2018 2019 2020 Q3 YTD

2021

$0

$50

$100

0%

10%

20%

30%

Outstanding UPB of Multifamily loans in a CRT transaction

% Multifamily guaranty book in a CRT transaction

SDQ Rate(12)

SDQ Rate excluding loans that received a forbearance

Credit Loss (Benefit) Ratio, Net(13)

• The credit characteristics of the multifamily guaranty book of 

business remained strong in Q3 2021 with a weighted-average 

OLTV ratio of 65% and weighted-average DSCR of 2.1.

• As of September 30, 2021, substantially all of the multifamily 

guaranty book of business was covered by DUS loss sharing. 

Additionally, 24% had back-end coverage through the company's 

CRT programs. In October 2021, the company entered into a new 

credit risk transfer transaction, transferring mortgage credit risk 

through its Multifamily CIRT program.

• The multifamily SDQ rate continued to decrease in Q3 2021, 

primarily driven by the on-going economic recovery resulting in 

loans that received a forbearance completing repayment plans or 

otherwise reinstating. The multifamily SDQ rate, excluding loans 

that received a forbearance, remained at 0.03%.
© 2021 Fannie Mae Q3 2021 Financial Supplement 9

DRAFT

Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance

Single-Family Delinquency Status of 

Loans in Forbearance(14)

Multifamily Delinquency Status of 

Loans in Forbearance(14)

UPB

(Dollars in billions)

$95.0

$145.3

$107.8

$88.1

$65.0

$42.2

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$50

$100

$150

$200

$250

Single-Family Loan Forbearance Status(15)

As of September 30, 2021

Multifamily Loan Forbearance Status(18)

As of September 30, 2021

14.8%

25.7%

3.0%

22.3%

29.8%

4.4%

Active Forbearance Delinquent at Exit or Other(16) Paid off

Reinstated(24) Payment Deferral Modification(17)

6.6%

19.0%

57.2%

12.5%

4.7%

Active Forbearance(19) Defaulted(20) Liquidations, 

Including 

Foreclosures(25) Reinstated(21) Repayment Plan

$5.5B UPB 

 Forbearance 

1,395,098

Total Loans 

in Forbearance 

UPB

(Dollars in billions)

$1.7 $1.7

$0.9 $1.0

$0.4

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$2

Total SDQ(9) Current Total SDQ(12) Current
© 2021 Fannie Mae Q3 2021 Financial Supplement 10

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(26) Other Investments Portfolio ("OIP")

% Net Interest Income

Retained Mortgage Portfolio

(D

79% 79%

ollars in billions)

85%

92%

21% 21%

15% 96%

8% 4%

$230.8

$179.2

$153.6 $162.7

$110.9

2017 2018 2019 2020 Q3 YTD

2021

0%

25%

50%

75%

100%

$0

$200

$400

% Net interest income from guaranty book of business(22)

% Net interest income from portfolios(23)

Retained mortgage portfolio, at end of period

(Dollars in billions)

$23.5

$266.4 $277.8 $272.2 $250.4 $228.1

$289.9 $290.0 $275.1

$252.7 $236.1

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$37.5 $38.3 $26.5 $48.8 $67.3 $12.7 $28.2

$14.1

$26.1

$136.0

$130.5

$105.6

$89.7 $92.2

$186.2 $197.0

$146.2

$164.6 $160.0

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$50

$100

$150

$200

Cash and cash equivalents(27)

Federal funds sold and 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

$42.2

2017 2018 2019 2020 Q3 2021
© 2021 Fannie Mae Q3 2021 Financial Supplement 11

DRAFT

Rate (as of period end)

4.1% 3.9% 3.6%

6.7%

4.8%

2.7% 2.3% 2.6%

(2.3)%

2.0%

2017 2018 2019 2020 Q3

YTD

2021

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

3.06%

1.66%

0.68%

1.49%

3.81%

2.61%

1.40%

1.97%

4.72%

3.64%

2.90% 3.01%

9/30/2018 9/30/2019 9/30/2020 9/30/2021

Top 10 States by UPB(30)

State

One Year Home Price 

 Growth Rate Q3 2021

Share of Single-Family 

Conventional Guaranty 

Book

CA 20.6% 19.4 %

TX 21.3% 6.6 %

FL 26.0% 6.0 %

NY 15.1% 4.6 %

WA 24.2% 4.0 %

NJ 18.7% 3.4 %

CO 22.7% 3.3 %

IL 13.7% 3.2 %

VA 14.8% 3.2 %

NC 22.8% 2.9 %

Home Price

Growth

5.7% 5.1% 4.4%

10.5%

16.0%

2017 2018 2019 2020 Q3 YTD

2021

0%

5%

10%

15%

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

Unemployment Rate(29)

One Year Home Price Growth Rate Q3 2021(30)

United States 19.6% Single-Family Home Price Growth Rate(30)

30-year FRM rate Growth (decline) in GDP, annualized change U.S. unemployment rate (28) 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
© 2021 Fannie Mae 

DRAFT

Single-Family Business
© 2021 Fannie Mae Q3 2021 Financial Supplement 13

DRAFT

Fannie Mae

36%

Freddie Mac

36%

Ginnie Mae

24%

Private-label

securities

4%

UPB

(Dollars in billions)

$3,086 $3,161 $3,237 $3,325 $3,400

44.4 44.5 44.9 45.2 45.4

Q3

2020

Q4

2020

Q1

2021

Q2

2021

Q3

2021

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$125 $125 $99

$130 $115

$266 $301

$301 $244

$181

44.9 45.8 48.0 47.9 47.3

$391

$426

$400 $374

$296

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights

Q3 2021

$5,870M

Net interest income 

$222M 

Investment gains, net

$(31)M 

Fair value losses, net

$807M 

Credit-related 

income

$4,025M 

Net income

Single-Family Conventional 

Loan Acquisitions(3)

Single-Family Conventional 

Guaranty Book of Business(3)

Single-Family Mortgage-Related Securities 

Share of Issuances Q3 2021 Highlights

Refinance

Purchase

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

of TCCA fees (bps)(5)

Average single-family conventional guaranty book

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

net of TCCA fees (bps)(5)

• Single-family conventional acquisition volume was 

$296.4 billion in the third quarter of 2021. Purchase 

acquisitions decreased to $115.4 billion, of which nearly 

50% were for first-time homebuyers. Refinance 

acquisitions were $180.9 billion in the third quarter of 

2021, a decline compared with the second quarter of 

2021, but remained at a high level due to the continued 

low interest-rate environment. 

• The average single-family conventional guaranty book of 

business increased during the quarter by 2.3%.

• The average charged guaranty fee, net of TCCA fees on 

Q3 2021 acquisitions decreased 0.6 basis points 

compared with Q2 2021. Removal of the adverse market 

refinance fee in August 2021 contributed to the decrease.
© 2021 Fannie Mae Q3 2021 Financial Supplement 14

DRAFT

Share of Acquisitions

56%

65%

52%

30% 32%

20%

12%

28%

51% 46%

22% 22%

20% 19% 22%

2017 2018 2019 2020 Q3 YTD

2021

0%

25%

50%

75%

100% Weighted-Average FICO Credit Score

% FICO Credit Score < 680

745 743 749 760 757

10.6% 11.2%

7.3%

4.0%

6.0%

2017 2018 2019 2020 Q3

YTD

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

Q3 YTD 2021 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q3 2020 Q4 2020

Full Year 

2020 Q1 2021 Q2 2021 Q3 2021

OLTV Ratio 

>95%

HomeReady®(32)FICO Credit

Score < 680(7)

DTI Ratio 

> 43%(31)

Total UPB (Dollars in billions) $391.4 $425.6 $1,358.8 $400.5 $373.3 $296.4 $29.2 $31.5 $62.4 $234.1

Weighted-Average OLTV Ratio 71% 70% 71% 68% 70% 70% 97% 82% 71% 72%

OLTV Ratio > 95% 3% 2% 2% 2% 2% 4% 100% 25% 1% 3%

Weighted-Average FICO® Credit Score(7) 762 762 760 761 757 753 748 748 658 748

FICO Credit Score < 680(7) 4% 4% 4% 4% 6% 8% 2% 7% 100% 7%

DTI Ratio > 43%(31) 19% 20% 21% 20% 22% 24% 22% 39% 27% 100%

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

Owner Occupied 92% 91% 92% 91% 93% 95% 100% 100% 97% 91%

HomeReady®(32) 2% 3% 2% 3% 3% 3% 27% 100% 4% 5%

Weighted-Average OLTV Ratio

Or

75% 77% 76%

igination LTV > 95%

71% 69%

4.9%

7.5% 6.6%

2.0% 3.0%

2017 2018 2019 2020 Q3

YTD

2021

0%

20%

40%

60%

80%

100%

0%

5%

10%

15%

20%

25%

Origination Loan-to-Value Ratio FICO Credit Score(7) Acquisitions by Loan Purpose

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Refi Plus(33) including HARP Other Refinance

Cash-out Refinance Purchase
© 2021 Fannie Mae Q3 2021 Financial Supplement 15

DRAFT

% of UPB in Conventional Guaranty

Book of Business

SDQ Rate

100%

1% 2%

97%

1.62%

4.25%

7.21%

1.31%

Total 2004

and

Prior

2005-

2008

2009-

2021

0%

25%

50%

75%

100%

0%

5%

10%

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

by Origination Year and Loan Features(3)(34)

As of September 30, 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®(32)

FICO Credit 

Score <

680(7)

 Refi Plus 

Including

HARP(33)

DTI Ratio 

> 43%(31)

Total UPB (Dollars in billions) $3,422.0 $105.3 $946.3 $111.3 $229.1 $1,107.3 $922.7 $162.7 $100.5 $281.0 $165.5 $766.8

Average UPB $195,844 $84,164 $136,296 $172,195 $209,838 $262,118 $278,183 $161,739 $178,732 $149,207 $110,637 $208,520

Share of Single-Family Conventional Guaranty Book 100% 3% 28% 3% 7% 32% 27% 5% 3% 8% 5% 22%

Loans in Forbearance by UPB(35) 1.2% 4.2% 1.9% 4.4% 2.9% 0.6% 0.1% 2.7% 2.3% 4.0% 2.2% 2.2%

Share of Loans with Credit Enhancement(36) 33% 11% 47% 74% 57% 24% 21% 80% 77% 35% 42% 37%

Serious Delinquency Rate(9) 1.62% 5.64% 1.92% 4.38% 2.67% 0.48% 0.06% 3.52% 2.36% 5.22% 2.35% 2.77%

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

OLTV Ratio > 95% 5% 9% 7% 10% 8% 3% 3% 100% 34% 8% 29% 6%

Amortized OLTV Ratio(37) 67% 69% 63% 72% 72% 69% 69% 93% 83% 71% 74% 71%

Weighted-Average Mark-to-Market LTV Ratio(6) 54% 37% 38% 54% 57% 59% 65% 68% 70% 52% 37% 55%

Weighted-Average FICO Credit Score(7) 752 696 748 733 746 761 757 730 741 650 727 740

FICO Credit Score < 680(7) 8% 38% 11% 17% 9% 4% 6% 15% 10% 100% 23% 12%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted-Average FICO Credit Score

FICO Credit Score < 680

745 746 746 750 752

11.8% 11.5%

10.5%

9.0% 8.2%

2017 2018 2019 2020 Q3

YTD

2021

0

250

500

750

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

% MTMLTV >100%

58% 57% 57% 58%

54%

1.0%

0.4% 0.3% 0.1% 0.4%

2017 2018 2019 2020 Q3

YTD

2021

0%

10%

20%

30%

40%

50%

60%

70%

0%

2.5%

5%

7.5%

10%

Mark-to-Market Loan-to-Value

(MTMLTV) Ratio(6) FICO Credit Score(7) SDQ Rate by Vintage(9) as of September 30, 2021

% MTMLTV > 100%

Weighted-Average MTMLTV

% FICO Credit Score < 680

Weighted-Average FICO Credit Score

SDQ Rate

% of UPB in Conventional Guaranty Book of 

Business by Origination Year
© 2021 Fannie Mae Q3 2021 Financial Supplement 16

DRAFT

UPB

(Dollars in billions)

$40

$76

$102 $86 $82 $67

$189

$240

$265

$206

$290

$58

$44

$45

$73

$57

$239

$331

$410

$338

$445

$182

$0

2015 2016 2017 2018 2019 2020 Q3 YTD 2021

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$1,067

$955

$822

$698

$616

35%

30%

25%

21%

18%

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

0%

20%

40%

2019 2020 Q3 YTD 2021

Credit Enhancement 

Outstanding UPB (dollars in billions)

Outstanding 

UPB

% of Book(38)

Outstanding

Outstanding 

UPB

% of Book(38)

Outstanding

Outstanding 

UPB

% of Book(38)

Outstanding

Primary mortgage insurance &

other(39) $653 22% $681 21% $694 20%

Connecticut Avenue Securities(40) $919 31% $608 19% $411 12%

Credit Insurance Risk

Transfer(8) $275 10% $216 7% $125 4%

Lender risk-sharing(40) $147 5% $131 4% $80 2%

(Less: loans covered by multiple 

credit enhancements) ($438) (15)% ($304) (9)% ($182) (5)%

Total single-family loans with 

credit enhancement $1,556 53% $1,332 42% $1,128 33%

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(8)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2021 Fannie Mae Q3 2021 Financial Supplement 17

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of Loans in Forbearance

as of September 30, 2021(14) Single-Family Loan Forbearance Exits

Certain Credit Characteristics of Single-Family Loans in Forbearance(41)

As of September 30, 2021 Origination Year

Categories are not mutually exclusive Total 

2008 &

Earlier

2009-

2017 2018 2019 2020 2021

Total UPB (Dollars in billions) $42.2 $4.4 $18.1 $4.9 $6.5 $7.0 $1.3

Average UPB $204,568 $127,764 $186,070 $221,814 $260,268 $299,573 $322,704

Share of Single-Family Conventional Guaranty Book

based on Loan Count 1.2% 0.2% 0.6% 0.1% 0.1% 0.1% 0.1%

Share of Single-Family Conventional Guaranty Book

based on UPB(42) 1.2% 0.1% 0.5% 0.1% 0.2% 0.2% 0.1%

MTMLTV Ratio > 80% without Mortgage Insurance 0.6% 0.4% 0.2% 0.0% 0.0% 0.0% 0.0%

DTI Ratio > 43%(31) 40.6% 4.3% 15.7% 6.1% 7.0% 6.4% 1.1%

FICO Credit Score < 680(7) 26.6% 5.2% 11.3% 3.6% 3.3% 2.6% 0.6%

OLTV Ratio > 95% 10.3% 1.1% 4.4% 1.7% 2.0% 1.0% 0.1% UP

B

(Dollars in billions)

Number of Loans (in thousands)

$3.7 $3.0 $2.4

$7.1

$26.0

20K

15K 13K

35K

123K

Current 30 to 59

days

DLQ

60 to 89

days

DLQ

90 to

180 

days

DLQ

180+

days

DLQ

$0.0

$15.0

$30.0

0K

50K

100K

30.2%

3.5%

26.2%

35.0%

5.1%

Payment Deferral Delinquent at Exit or Other(16) Modification(17)

Reinstated(24) Paid Off

1,188,805

Loans Exited 

Forbearance 

in 2020 and 

through Q3 YTD 

2021
© 2021 Fannie Mae Q3 2021 Financial Supplement 18

DRAFT

UP

B

(Dollars in billions)

Number of Loan Workouts

(in thousands)

$13.8 $16.6 $7.7 $5.3 $6.1

$56.0 $50.5

100.6K

118.1K

56.3K

299.2K

275.7K

2017 2018 2019 2020 Q3 YTD

2021

$0

$10

$20

$30

$40

$50

$60

$70

$80

$90

$100

0K

50K

100K

150K

200K

250K

300K

REO Ending Inventory

(Units in thousands)

26

20

18

8

7

2017 2018 2019 2020 Q3 YTD

2021

0

10

20

30

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(9)

Average 

Months to

Foreclosure(43)

CA 1.38% 30

TX 1.92% 29

FL 2.11% 43

NY 2.92% 65

WA 1.13% 38

NJ 2.58% 42

CO 1.06% 30

IL 1.99% 25

VA 1.49% 17

NC 1.34% 26

State SDQ Rate:

Single-Family Serious Delinquency Rate by State as of September 30, 2021(9) 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(44) Total Loan Workouts

Modifications(45) Payment Deferrals

$9.3

$16.7 $19.0

$62.9

$57.4
© 2021 Fannie Mae Q3 2021 Financial Supplement 19

DRAFT

43.9%

2.5%

6.0%

23.5%

8.1%

16.0%

64.1%

3.2%

3.4%

3.2%

6.6%

19.5%

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

% of Single-Family Conventional Guaranty Book of Business(38)(46) % of Single-Family Credit Losses and 

Redesignation Write-Offs(46) 

Certain Product Features

Categories are not mutually exclusive 2017 2018 2019 2020

Q3 YTD 

2021 2017 2018 2019 2020

Q3 YTD 

2021

Credit losses and redesignation write-offs

by period (Dollars in millions) $2,963 $2,457 $1,719 $514 $147 100.0% 100.0% 100.0% 100.0% 100.0%

Alt-A(47) 2.5% 1.9% 1.5% 1.1% 0.8% 21.9% 22.4% 16.6% 14.0% 2.7%

Interest-only 1.2% 0.8% 0.5% 0.3% 0.2% 15.7% 15.4% 11.5% 9.1% 1.3%

Origination LTV Ratio > 95% 6.6% 6.8% 6.9% 5.7% 4.8% 16.9% 14.9% 16.0% 14.4% 13.9%

FICO Credit Score < 680 and OLTV Ratio > 95%(7) 1.6% 1.4% 1.3% 0.9% 0.7% 8.7% 8.7% 9.4% 8.8% 7.0%

FICO Credit Score < 680(7) 11.8% 11.4% 10.5% 9.0% 8.2% 45.4% 46.3% 43.1% 41.4% 42.9%

Refi Plus including HARP 13.2% 11.4% 9.5% 6.7% 4.8% 15.9% 13.2% 15.8% 16.6% 24.0%

Vintage 2017 2018 2019 2020

Q3 YTD 

2021 2017 2018 2019 2020

Q3 YTD 

2021

2009 - 2021 90% 92% 94% 96% 97% 23% 20% 27% 33% 87%

2005 - 2008 6% 5% 4% 2% 2% 65% 66% 61% 54% 5%

2004 & Prior 4% 3% 2% 2% 1% 12% 14% 12% 13% 8%

$147M $3.4T UPB

% of Q3 YTD 2021 Single-Family Credit Losses and 

Redesignation Write-Offs by State(46)(48)

% of Single-Family Conventional Guaranty Book of 

Business by State as of September 30, 2021

All Other States New Jersey California

Virginia Illinois Texas

All Other States New Jersey California

Virginia Illinois Texas
© 2021 Fannie Mae Q3 2021 Financial Supplement 20

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(49)

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 September 30, 2021.

**As of September 30, 2021, cumulative default rates on the loans originated in each individual year from 2009-2021 were less than 1%.

2004

2008

2005
© 2021 Fannie Mae 

DRAFT

Multifamily Business
© 2021 Fannie Mae Q3 2021 Financial Supplement 22

DRAFT

UPB

(Dollars in billions)

$366.8 $384.5 $399.1 $401.9 $408.1

73.3 74.5 75.9 76.8 77.5

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

UPB

(Dollars in billions)

$15.2

$27.1

$21.5

$10.9

$16.4

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$5

$10

$15

$20

$25

$30

Multifamily Highlights

• New multifamily business volume was $16.4 billion in the 

third quarter of 2021, resulting in $48.8 billion for the first 

nine months of 2021.

• FHFA established a 2021 multifamily volume cap of $70 

billion of which 50% must be mission-driven, focused on 

specified affordable and underserved market segments, and 

20% must be affordable to residents earning 60% of area 

median income or below. 

• The multifamily guaranty book of business increased by 

$6.2 billion to $408.1 billion in the third quarter of 2021.

• The average charged guaranty fee on the multifamily book 

increased from 76.8 basis points for the second quarter of 

2021 to 77.5 basis points for the third quarter of 2021. 

 Q3 2021

$1,102M

Net interest income

$25M

Fee and other 

income

$14M

Fair value gains, net

$61M

Credit-related 

income

$817M

Net income

Multifamily New Business Volume Multifamily Guaranty Book of Business(4)

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

$29.0 $29.0 $28.7 $28.6 $28.2

$73.4 $72.1 $71.3 $70.0 $68.3

28%

26% 25% 25% 24%

$102.4 $101.1 $100.0 $98.6 $96.5

Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$0

$25

$50

$75

$100

10%

15%

20%

25%

30%

35%

40%

Average charged guaranty fee on multifamily guaranty book of 

business (bps)

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
© 2021 Fannie Mae Q3 2021 Financial Supplement 23

DRAFT

Share of Acquisitions

80%

89% 93% 93% 91%

20%

11% 7% 7% 9%

2017 2018 2019 2020 Q3 YTD

2021

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(4)

Categories are not mutually exclusive 2017 2018 2019 2020 Q3 YTD 2021

Total UPB (Dollars in billions) $67.1 $65.4 $70.2 $76.0 $48.8

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

Loan Count 3,861 3,723 4,113 5,051 3,215

% Lender Recourse(50) 100% 100% 100% 99% 100%

% DUS(51) 98% 99% 100% 99% 99%

% Full Interest-Only 26% 33% 33% 38% 35%

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(52) 57% 53% 56% 50% 53%

Share of Acquisitions

41%

32% 33% 29% 30%

59%

68% 66% 70% 69%

2017 2018 2019 2020 Q3 YTD

2021

0%

20%

40%

60%

80%

100%

$3.8B

$2.5B

$2.4B $1.7B

$1.5B

$1.4B

$1.2B

$1.1B

$1.0B

$0.9B

Share of 

Acquisitions:

36%

Total UPB:

$17.5B

Origination Loan-to-Value 

Ratio(4)

Top 10 MSAs by Q3 YTD 2021

Acquisition UPB(4) Acquisitions by Note Type(4)

% 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 Phoenix

Dallas Chicago

Los Angeles Philadelphia

Washington D.C Seattle

Atlanta Denver

Variable-rate

Fixed-rate
© 2021 Fannie Mae Q3 2021 Financial Supplement 24

DRAFT

Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(4)

As of September 30, 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(53)

Seniors

Housing(53)

Student

Housing(53)

Manufactured

Housing(53)

Privately Owned

with Subsidy(54)

Total UPB (Dollars in billions) $408.1 $7.5 $94.3 $54.5 $59.5 $68.3 $75.3 $48.7 $359.0 $16.9 $14.5 $17.7 $46.7

% of Multifamily Guaranty Book 100% 2% 23% 13% 15% 17% 18% 12% 88% 4% 4% 4% 11%

Loan Count 29,208 2,966 7,820 2,945 3,308 3,937 5,020 3,212 26,313 644 657 1,594 3,872

Average UPB (Dollars in millions) $14.0 $2.5 $12.1 $18.5 $18.0 $17.4 $15.0 $15.2 $13.6 $26.3 $22.1 $11.1 $12.1

Loans in Forbearance by UPB(35) 0.1% 0.0% 0.2% 0.2% 0.0% 0.1% 0.0% 0.0% 0.1% 0.2% 0.0% 0.0% 0.0%

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

Weighted-Average DSCR(11) 2.1 3.1 1.9 2.0 1.9 1.9 2.4 2.2 2.1 1.7 1.8 2.2 2.2

% Fixed rate 91% 26% 92% 88% 93% 94% 94% 91% 92% 63% 84% 94% 84%

% Full Interest-Only 32% 28% 23% 30% 35% 33% 38% 35% 33% 13% 27% 24% 25%

% Partial Interest-Only(52) 51% 17% 48% 54% 53% 56% 50% 53% 50% 58% 64% 58% 43%

% Small Balance Loans(55) 43% 90% 50% 31% 27% 34% 36% 29% 43% 14% 25% 51% 49%

% DUS(51) 99% 91% 99% 98% 100% 100% 99% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(12) 0.42% 0.07% 0.74% 0.83% 0.50% 0.29% 0.08% 0.00% 0.29% 1.17% 3.27% 0.02% 0.14%

Credit Characteristics of Multifamily Guaranty Book of Business

$35.4B

$25.9B

$17.3B $17.5B

$12.4B

$11.0B

$10.6B

$10.2B

$10.0B

$10.0B

Share of Book

of Business: 

39.3%

Total Top 10 

UPB:

$160.3B

$0.5B

$7.9B

$12.1B

$16.4B

$24.0B

$347.2B

Total UPB:

$408.1B 

UPB by Maturity Year 

as of September 30, 2021(4)

Top 10 MSAs by UPB 

as of September 30, 2021(4)

Multifamily Guaranty Book of Business

by Note Type(4)

New York Houston

Los Angeles Phoenix

Dallas Chicago

Washington D.C. Seattle

Atlanta San Francisco

2021 2024

2022 2025

2023 Other

Share of Book of Business

82% 85% 88% 90% 91%

18% 15% 12% 10% 9%

2017 2018 2019 2020 Q3

YTD

2021

0%

20%

40%

60%

80%

100%

Variable-rate

Fixed-rate
© 2021 Fannie Mae Q3 2021 Financial Supplement 25

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%

0.39%

0.56%

0.50%

0.18%

0.07%

0.99%

0.42%

1.36%

1.20%

0.92%

0.55%

0.34%

0.15%

0.21% 0.21%

0.08%

0.33%

0.69%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Q3 2021

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Multifamily Serious Delinquency Rates and Credit Losses

0.9%

1.1%

0.8%

0.3%

0.1%

—% —% —% 0.1% —% —% —% —%

0.7%

1.1%

0.9%

0.3%

0.1%

—% —% —% 0.1% —% —% —% —%

0.2%

1.1%

1.4%

0.1%

—% —% —% —%

0.1%

—% —%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 - 2019 2020 Q3 YTD 2021

0%

0.5%

1%

1.5%

2%

Serious Delinquency Rates(12)(51)

DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through Q3 YTD 2021(51)(56)

DUS Credit Loss Rate, Net Multifamily Total Credit Loss Rate, Net Non-DUS Credit Loss Rate, Net

DUS Serious Delinquency Rate Multifamily Total Serious Delinquency Rate Non-DUS Serious Delinquency Rate
© 2021 Fannie Mae 

DRAFT

Endnotes
© 2021 Fannie Mae Q3 2021 Financial Supplement 27

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) 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. 

(4) 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 September 30, 2021. 

(5) 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.

(6) 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. 

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

(8) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $1.6 billion outstanding as of September 30, 2021. 

(9) 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 (such as origination year, loan feature or state), 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.

(10) Calculated based on the amount of write-offs, recoveries and foreclosed property income or expenses annualized divided by the average single-family conventional guaranty book 

of business during the period.

(11) Weighted-average debt service coverage ratio, or "DSCR", is calculated using the most recent property financial operating statements. When operating statement information is 

not available, the DSCR at the time of acquisition is used. If both are unavailable, the underwritten DSCR is used. 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.

(12) 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.

(13) Credit loss (benefit) ratio, net represents the annualized net credit loss or benefit for the period divided by the average unpaid principal balance of the multifamily guaranty book of 

business for the period. Net credit benefits are the result of recoveries on previously written-off amounts. Net credit losses include expected benefit of freestanding loss-sharing 

benefit, primarily multifamily DUS lender-risk sharing transactions.

Endnotes
© 2021 Fannie Mae Q3 2021 Financial Supplement 28

DRAFT

Endnotes

(14) 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.

(15) As a part of the company's relief programs, 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 September 30, 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 September 30, 2021.

(16) Consists of 54,915 loans that were delinquent upon the expiration of the forbearance arrangement and 5,908 loans that exited forbearance through a repayment plan.

(17) Includes loans that are in trial modifications. 

(18) Displays the status and percentage of UPB as of current period end of the multifamily loans in the guaranty book of business as well as loans that had liquidated prior to 

period end that have received a forbearance. 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.

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

(20) 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.

(21) Represents multifamily loans that are no longer in forbearance but are current according to the original terms of the loan, or have been modified and are performing under 

the modification.

(22) Guaranty fee income includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011, 

the incremental revenue from which is remitted to Treasury and not retained by the company. 

(23) 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.

(24) 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.

(25) Includes $686 million as of September 30, 2021 in multifamily loans that received a forbearance after the start of the COVID-19 pandemic and liquidated prior to period end. 

Multifamily loans that received a forbearance, but went to foreclosure prior to period end accounted for $215 million of these liquidations as of September 30, 2021, largely 

as a result of the foreclosure of loans within a seniors housing portfolio.

(26) 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.

(27) 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.

(28) 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.
© 2021 Fannie Mae Q3 2021 Financial Supplement 29

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(29) U.S. Gross Domestic Product ("GDP") annual growth (decline) rate for periods prior to 2021 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. GDP growth rate for Q3 YTD 2021 is the Advance Estimate published on October 28, 2021. 

U.S. unemployment rate is based upon the rate as of period end.

(30) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 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 September 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 September 30, 2021.

(31) 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.

(32) 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%.

(33) "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%.

(34) 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.

(35) Consists of loans that are in an active forbearance as of September 30, 2021.

(36) 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.

(37) 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.

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

(39) 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.

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

(41) 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. 

(42) 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.

Endnotes
© 2021 Fannie Mae Q3 2021 Financial Supplement 30

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Endnotes

 

(43) 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 nine months ended September 30, 2021. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this 

calculation.

(44) 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. 

(45) There were approximately 19,000 loans in a trial modification period that was not complete as of September 30, 2021.

(46) Credit losses and redesignation write-offs do not include gains (losses) on sales and other valuation adjustments. Percentages exclude the impact of recoveries that have not been 

allocated to specific loans.

(47) For a description of Alt-A loan classification criteria, refer to the glossary in Fannie Mae’s 2020 Form 10-K. The company discontinued the purchase of newly originated Alt-A loans 

in 2009, except for those that represent the refinancing of a loan acquired prior to 2009, which has resulted in the acquisitions of Alt-A mortgage loans remaining low and the 

percentage of the book of business attributable to Alt-A to continue to decrease over time.

(48) Total amount of single-family credit losses includes those not directly associated with specific loans. Single-family credit losses by state exclude the impact of recoveries that have 

not been allocated to specific loans. Presents the five states with the highest credit losses for the applicable period among the company's top ten states by percentage of 

outstanding single-family conventional guaranty book of business. 

(49) 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, 2021 is not necessarily indicative of the ultimate performance of the loans and 

performance may change, perhaps materially, in future periods.

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

(51) 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.

(52) 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.

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

(54) 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.

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

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