© 2024 Fannie Mae

DRAFT

Financial Supplement 

Q4 and Full Year 2023 

February 15, 2024 
© 2024 Fannie Mae 2023 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, 2023

(“2023 Form 10-K”). This presentation should be reviewed together with the 2023 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, 2023 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 23 to 26.

▪ 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

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 paid to Treasury and not retained by the company

UPB: Unpaid principal balance
© 2024 Fannie Mae 2023 Financial Supplement 3

DRAFT Table of Contents

Overview

Corporate Financial Highlights 5

Selected Financial Data 6

Guaranty Book of Business Highlights 7

Interest Income 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 Problem Loan Statistics 15

Single-Family Cumulative Default Rates 16

Multifamily Business

Multifamily Highlights 18

Credit Characteristics of Multifamily Loan Acquisitions 19

Credit Characteristics of Multifamily Guaranty Book of Business 20

Multifamily Credit Loss and Serious Delinquency Rates 21

Endnotes

Endnotes 23
© 2024 Fannie Mae

DRAFT

Overview
© 2024 Fannie Mae 2023 Financial Supplement 5

DRAFT

Net income increased $4.5 billion in 2023 compared with 

2022, primarily driven by a $7.9 billion shift to a benefit for 

credit losses in 2023 from provision for credit losses in 

2022.

Net interest income 

Net interest income remained strong in 2023 primarily 

driven by guaranty fee income. While the company's base 

guaranty fee income grew slightly in 2023, higher interest 

rates during the year drove a decline in deferred guaranty 

fee income due to lower refinance activity. This was offset 

by an increase in income due to higher yields on securities 

in the company's corporate liquidity portfolio.

Benefit (provision) for credit losses

Benefit for credit losses was $1.7 billion in 2023, compared 

with a provision of $6.3 billion in 2022. The benefit for credit 

losses in 2023 reflects a $2.2 billion single-family benefit for 

credit losses, partially offset by a $495 million multifamily 

provision for credit losses. 

• The single-family benefit for credit losses in 2023 

was primarily driven by a benefit from actual and 

forecasted home price growth, partially offset by a 

provision driven by the overall credit risk profile of the 

company’s newly acquired single-family loans and a 

provision relating to the redesignation of certain 

single-family loans from held for investment to held 

for sale.

• The multifamily provision for credit losses in 2023 

was primarily driven by changes in loan activity and 

declining property values on the company’s overall 

multifamily guaranty book. The company’s seniors 

housing loans were not a driver of its multifamily 

provision for credit losses in 2023; however, the 

company’s allowance for seniors housing loans 

remained elevated as of December 31, 2023.

Corporate Financial Highlights

(Dollars in millions) 2023 2022 Variance Q4 2023 Q3 2023 Variance

Net interest income $28,773 $29,423 $(650) $7,732 $7,220 $512

Fee and other income 275 312 (37) 66 76 (10)

Net revenues 29,048 29,735 (687) 7,798 7,296 502

Investment gains (losses), net (53) (297) 244 (19) 8 (27)

Fair value gains (losses), net 1,304 1,284 20 (99) 795 (894)

Administrative expenses (3,604) (3,329) (275) (975) (897) (78)

Benefit (provision) for credit losses 1,670 (6,277) 7,947 (116) 652 (768)

TCCA fees (3,431) (3,369) (62) (860) (860) —

Credit enhancement expense(1) (1,512) (1,323) (189) (397) (390) (7)

Change in expected credit 

 enhancement recoveries (193) 727 (920) (25) (128) 103

Other expenses, net(2) (1,273) (918) (355) (351) (535) 184

Income before federal income taxes 21,956 16,233 5,723 4,956 5,941 (985)

Provision for federal income taxes (4,548) (3,310) (1,238) (1,013) (1,242) 229

Net income $17,408 $12,923 $4,485 $3,943 $4,699 $(756)

Total comprehensive income $17,405 $12,920 $4,485 $3,957 $4,681 $(724)

Net worth $77,682 $60,277 $17,405 $77,682 $73,725 $3,957

Net worth ratio(3) 1.8 % 1.4 % 1.8 % 1.7 %

Summary of 2023 and Q4 2023 Financial Results 2023 Key Highlights

$17.4 billion Net Income in 2023, with Net Worth 

Reaching $77.7 billion as of December 31, 2023
© 2024 Fannie Mae 2023 Financial Supplement 6

DRAFT Selected Financial Data 

Selected Financial Data

(Dollars in millions)

As of December 31, 2023 2022 2021 2020 2019

Cash and cash equivalents $ 35,817 $ 57,987 $ 42,448 $ 38,337 $ 21,184 

Restricted cash and cash equivalents 32,889 29,854 66,183 77,286 40,223 

Investments in securities, at fair value 53,116 50,825 89,043 138,239 50,527 

Mortgage loans, net of allowance 4,135,631 4,114,436 3,968,242 3,653,892 3,334,162 

Total assets $ 4,325,437 $ 4,305,288 $ 4,229,166 $ 3,985,749 $ 3,503,319 

Debt of Fannie Mae 124,065 134,168 200,892 289,572 182,247 

Debt of consolidated trusts 4,098,653 4,087,720 3,957,299 3,646,164 3,285,139 

Total liabilities $ 4,247,755 $ 4,245,011 $ 4,181,809 $ 3,960,490 $ 3,488,711 

Total Fannie Mae stockholders' equity $ 77,682 $ 60,277 $ 47,357 $ 25,259 $ 14,608 

Loss reserves(41) $ (8,760) $ (11,465) $ (5,774) $ (10,798) $ (9,047) 

Loss reserves as a percentage of guaranty book of business:

Single-family(42) 0.18 % 0.26 % 0.15 % 0.30 % 0.30 %

Multifamily(43) 0.44 % 0.43 % 0.17 % 0.32 % 0.08 %

For the Year Ended December 31, 2023 2022 2021 2020 2019

Net income $ 17,408 $ 12,923 $ 22,176 $ 11,805 $ 14,160 

Return on assets(44) 0.40 % 0.30 % 0.54 % 0.32 % 0.41 %
© 2024 Fannie Mae 2023 Financial Supplement 7

DRAFT

UPB

(Dollars in trillions)

$3.3

$3.6

$3.9 $4.1 $4.1

$0.3 $0.4 $0.4 $0.4 $0.5

$3.0 $3.2 $3.5 $3.6 $3.6

2019 2020 2021 2022 2023

$0.0

$1.0

$2.0

$3.0

$4.0

$5.0

Guaranty Book of Business Highlights 

Outstanding Guaranty 

Book of Business at Period End

Guaranty Book of Business Covered 

by a CRT Transaction

UPB 

(Dollars in billions)

$70 $76 $69 $69 $53

$283

$948 $904

$237

$313

$411 $451

$378

$273

$666

$1,435 $1,424

$684

$369

2019 2020 2021 2022 2023

$0

$500

$1,000

Single-Family Home Purchases Multifamily Rental Units

Single-Family Refinancings

Market Liquidity Provided

Total liquidity provided in

2023 was $369B

Unpaid Principal Balance Units

$273B 805K

Single-Family Home Purchases

$43B 179K

Single-Family Refinancings

$53B 482K

Multifamily Rental Units

UPB

(Dollars in billions)

$1,425

$1,056

$862

$1,219

$1,432

$84 $101 $112 $113 $138

$1,341

$955

$750

$1,106

$1,294

2019 2020 2021 2022 2023

$0

$500

$1,000

$1,500

Outstanding UPB of single-family loans 

in a CRT transaction(6)

Outstanding UPB of multifamily loans in 

a CRT transaction

UPB outstanding of single-family 

conventional guaranty book of business(4)

UPB outstanding of multifamily guaranty 

book of business(5)
© 2024 Fannie Mae 2023 Financial Supplement 8

DRAFT Interest Income and Liquidity Management

Components of Net Interest Income Net Worth of Fannie Mae

Aggregate Indebtedness of Fannie Mae(10) Corporate Liquidity Portfolio

Net Interest Income 

(Dollars in billions)

$21.3

$24.9

$29.6 $29.4 $28.8

$9.7 $11.2

$14.2 $16.1 $16.2

$2.4

$2.7

$3.1

$3.3 $3.4

$5.9

$9.1

$11.2 $7.1

$4.0

$3.3

$1.9

$1.1 $2.9

$5.2

2019 2020 2021 2022 2023

$0

$10

$20

$30

Base guaranty fee income, net of TCCA(7) Net deferred guaranty fee income(8)

Base guaranty fee income related to TCCA Net interest income from portfolios & hedge impact(9)

(Dollars in billions)

$14.0 $15.6 $14.2 $17.3

$129.1 $129.8 $127.2 $116.5 $110.9

$139.3 $143.8 $142.8

$130.7 $128.2

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$50

$100

$150

(Dollars in billions)

$58.0 $60.3 $52.2 $48.6 $35.8

$11.1 $21.5 $22.6 $22.0 $30.7

$46.9

$47.5 $48.2 $48.6 $47.8

$116.0

$129.3 $123.0 $119.2 $114.3

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$50

$100

$150

Cash and cash equivalents(11)

Securities purchased under agreements to resell

U.S. Treasury securities

Short-term debt

Long-term debt

(Dollars in billions)

$14.6

$25.3

$47.4

$60.3

$77.7

2019 2020 2021 2022 2023

$0

$15

$30

$45

$60

$75

$90
© 2024 Fannie Mae 2023 Financial Supplement 9

DRAFT

Rate (as of period end)

3.6%

6.7%

3.9%

3.5% 3.7%

3.2%

(1.1)%

5.4%

0.7%

3.1%

2019 2020 2021 2022 2023

-5%

0%

5%

10%

Key Market Economic Indicators 

0.91%

1.51%

3.88% 3.88%

1.34%

2.07%

5.39%

5.25%

2.67% 3.11%

6.42% 6.61%

12/31/2020 12/31/2021 12/31/2022 12/31/2023

Top 10 States by UPB(14) 

State

One Year Home Price 

 Growth Rate Q4 2023

Share of Single-Family 

Conventional Guaranty 

Book

CA 6.0% 19%

TX 2.3% 7%

FL 6.1% 6%

NY 9.0% 5%

WA 4.2% 4%

CO 4.2% 3%

NJ 12.3% 3%

IL 9.5% 3%

VA 8.4% 3%

NC 7.4% 3%

Home Price 

Growth

4.3%

10.4%

18.2%

7.9% 7.1%

2019 2020 2021 2022 2023

0%

5%

10%

15%

20%

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

Unemployment Rate(13)

One Year Home Price Growth Rate Q4 2023(14)

United States 7.1% Single-Family Home Price Growth Rate(14) 

30-year FRM rate Growth (decline) in GDP U.S. unemployment rate (12) 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate

State Growth Rate: 0.00% to 2.49% 2.50% to 4.99% > 5.00% 
© 2024 Fannie Mae

DRAFT

Single-Family Business
© 2024 Fannie Mae 2023 Financial Supplement 11

DRAFT

Fannie Mae

30%

Freddie Mac

29%

Ginnie Mae

36%

Private-label securities

5% UPB (Dollars in billions)

$3,632 $3,632 $3,630 $3,636 $3,638

46.5 46.6 46.8 47.0 47.2

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB 

(Dollars in billions)

$71

$57

$76 $78

$62

$14

$11

$13 $11

$8

49.3 51.6 52.2 54.3 54.3

$85

$68

$89 $89

$70

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$50

$100

0

10

20

30

40

50

Single-Family Highlights 

2023

$24,229M

Net interest income 

$(41)M 

Investment losses, 

net

$1,231M 

Fair value gains, net

$2,165M

Benefit for credit 

losses

$14,855M

Net income

Single-Family Conventional 

Loan Acquisitions(4)

Single-Family Conventional 

Guaranty Book of Business(4)

2023 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)(15)

Average single-family conventional guaranty book of business

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

business, net of TCCA fees (bps)(15)

• Single-family conventional acquisition volume was $316.0

billion in 2023, compared with $614.8 billion in 2022.

• Purchase acquisition volume, of which more than 45% was for

first-time homebuyers, decreased to $272.8 billion in 2023 from

$378.0 billion in 2022.

• Refinance acquisition volume was $43.2 billion in 2023, a

decrease from $236.9 billion in 2022.

• The average single-family conventional guaranty book of

business increased by 1.4% to $3.6 trillion in 2023 compared

with 2022, driven by an increase in the average loan size of the

book.

• The single-family serious delinquency rate decreased to 0.55%

as of December 31, 2023 from 0.65% as of December 31,

2022.
© 2024 Fannie Mae 2023 Financial Supplement 12

DRAFT

Share of Acquisitions

52%

30% 33%

62%

86%

28%

51% 43%

13%

4% 20% 19% 24% 25%

10%

2019 2020 2021 2022 2023

0%

25%

50%

75%

100% Weighted-Average FICO Credit Score

FICO Credit Score < 680

749 760 756 747 755

7.3%

4.0%

6.0%

8.0%

6.0%

2019 2020 2021 2022 2023

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

2023 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q4 2022

Full Year 

2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

Full Year 

2023

OLTV Ratio

> 95%

HomeReady®(18)FICO Credit

Score < 680(16)

DTI Ratio 

> 43%(17)

Total UPB (Dollars in billions) $85.3 $614.8 $67.5 $89.2 $89.2 $70.1 $316.0 $20.4 $13.8 $17.3 $112.6

Weighted-Average OLTV Ratio 78% 75% 79% 78% 78% 78% 78% 97% 86% 72% 80%

OLTV Ratio > 95% 6% 5% 6% 7% 7% 7% 6% 100% 29% 3% 7%

Weighted-Average FICO® Credit Score(16) 749 747 751 756 757 757 755 751 751 656 751

FICO Credit Score < 680(16) 7% 8% 6% 5% 5% 5% 6% 2% 5% 100% 6%

DTI Ratio > 43%(17) 37% 32% 38% 34% 35% 37% 36% 38% 56% 39% 100%

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

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

HomeReady®(18) 4% 3% 4% 4% 5% 5% 4% 19% 100% 4% 7%

Weighted-Average OLTV Ratio

Origination LTV > 95%

76%

71% 69%

75%

78%

6.6%

2.0%

3.0%

5.0%

6.0%

2019 2020 2021 2022 2023

0%

20%

40%

60%

80%

100%

0%

5%

10%

15%

20%

25%

Origination Loan-to-Value Ratio FICO Credit Score(16) Acquisitions by Loan Purpose

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Cash-out Refinance Purchase

Other Refinance
© 2024 Fannie Mae 2023 Financial Supplement 13

DRAFT

Serious Delinquency Rate (%)

0.66%

2.87%

1.25%

0.65%

0.55%

2019 2020 2021 2022 2023

0%

1%

2%

3%

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

by Origination Year and Loan Features(4)(19)

As of December 31, 2023 Origination Year Certain Loan Features

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier 2009-2019 2020 2021 2022 2023

OLTV 

Ratio > 95%

HomeReady®(18)

FICO Credit 

Score

< 680(16)

 Refi Plus 

Including

HARP(23)

DTI Ratio 

> 43%(17)

Total UPB (Dollars in billions) $3,636.7 $65.3 $848.7 $861.5 $1,087.1 $495.0 $279.1 $175.6 $113.1 $279.1 $108.7 $913.3

Average UPB $207,883 $77,442 $133,765 $242,726 $261,005 $290,169 $315,112 $177,678 $179,814 $161,803 $99,039 $231,786

Share of SF Conventional Guaranty Book 100% 2% 23% 24% 30% 13% 8% 5% 3% 8% 3% 25%

Share of Loans with Credit Enhancement(20) 45% 9% 45% 31% 52% 63% 40% 85% 80% 42% 39% 51%

Serious Delinquency Rate(21) 0.55% 2.07% 0.67% 0.27% 0.38% 0.60% 0.10% 1.27% 1.03% 2.13% 0.67% 0.85%

Weighted-Average OLTV Ratio 73% 75% 75% 71% 70% 76% 78% 101% 87% 74% 85% 75%

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

Weighted-Average Mark-to-Market LTV Ratio(22) 51% 29% 34% 47% 54% 68% 76% 67% 65% 49% 30% 55%

Weighted-Average FICO Credit Score(16) 753 696 747 762 755 747 755 737 743 652 726 742

FICO Credit Score < 680(16) 8% 38% 11% 4% 7% 9% 5% 10% 8% 100% 23% 10%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted-Average FICO Credit Score

FICO Credit Score < 680

746 750 753 752 753

10.5%

9.0%

8.1%

9.0%

8.0%

2019 2020 2021 2022 2023

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

57% 58%

54% 52% 51%

0.3%

0.1%

0.0%* 0.1% 0.1%

2019 2020 2021 2022 2023

0%

10%

20%

30%

40%

50%

60%

70%

0%

0.5%

1%

1.5%

2%

Mark-to-Market

Loan-to-Value Ratio(22) FICO Credit Score(16) SDQ Rate(21)

% MTMLTV > 100%

Weighted-Average MTMLTV

*

Represents less than 0.05% of MTMLTV > 100%

% FICO Credit Score < 680

Weighted-Average FICO Credit Score
© 2024 Fannie Mae 2023 Financial Supplement 14

DRAFT

UPB

(Dollars in billions)

$102 $86 $82 $67 $63

$213

$121

$265

$206

$290

$58

$142

$322

$187

$44

$45

$73

$57

$410

$338

$445

$182 $205

$535

$308

2017 2018 2019 2020 2021 2022 2023

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$1,106 $1,168

$1,257 $1,269 $1,294

31% 32%

34% 35% 36%

Q4 

2022

Q1 

2023

Q2 

2023

Q3 

2023

Q4 

2023

$0

$500

$1,000

$1,500

0%

10%

20%

30%

40%

2021 2022 2023

Credit Enhancement 

Outstanding UPB (Dollars in billions)

Outstanding 

UPB

% of Book(26)

Outstanding

Outstanding 

UPB

% of Book(26)

Outstanding

Outstanding 

UPB

% of Book(26)

Outstanding

Primary mortgage insurance and 

other(24) $697 20% $754 21% $763 21%

Connecticut Avenue Securities(25) 512 14 726 20 843 24

Credit Insurance Risk Transfer(6) 168 5 323 9 399 11

Lender risk-sharing(25) 70 2 57 2 52 1

Less: loans covered by multiple 

credit enhancements (253) (7) (351) (10) (411) (12)

Total single-family loans with 

credit enhancement $1,194 34% $1,509 42% $1,646 45%

Single-Family Credit Risk Transfer Issuance

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

% Single-family conventional guaranty book of business in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(6)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2024 Fannie Mae 2023 Financial Supplement 15

DRAFT

UPB

(Dollars in billions)

Number of Loan Workouts

$7.7 $5.3 $8.4 $16.6 $7.3

$56.0

$62.1

$18.4

$11.2

56.3K

299.2K

342.7K

167.3K

85.0K

2019 2020 2021 2022 2023

$0

$25

$50

$75

$100

0K

50K

100K

150K

200K

250K

300K

REO Ending Inventory

(Units in thousands)

18

8

7

9 8

2019 2020 2021 2022 2023

0

10

20

Single-Family Problem Loan Statistics 

State

Serious

Delinquency 

Rate(21)

Average 

Months to

Foreclosure(27)

CA 0.42% 23

TX 0.64% 26

FL 0.73% 43

NY 0.92% 73

WA 0.40% 36

CO 0.34% 22

NJ 0.63% 48

IL 0.70% 31

VA 0.36% 27

NC 0.41% 30

Single-Family Serious Delinquency Rate by State as of December 31, 2023(21) Top 10 States by UPB

Single-Family Loan Workouts(28) Single-Family REO Ending Inventory

Less than 0.50% 0.76% to 0.99%

0.50% to 0.75% 1.00% and above

Other(29) Total Loan Workouts

Modifications Payment Deferrals

$71.4

$62.9

$9.3

$35.3

$19.0

State SDQ Rate:
© 2024 Fannie Mae 2023 Financial Supplement 16

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** 2022** 2023**

Yr1

Yr2

Yr3

Yr4

Yr5

Yr6

Yr7

Yr8

Yr9

Yr10

Yr11

Yr12

Yr13

Yr14

Yr 15

Yr 16

Yr 17

Yr 18

Yr 19

Yr 20

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Single-Family Cumulative Default Rates 

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(30)

* Loans originated prior to 2009 represent only 2% of the single-family conventional guaranty book of business as of December 31, 2023.

** As of December 31, 2023, cumulative default rates on the loans originated in each individual year from 2009-2023 were less than 1%.

2007

2009

2006

2012 2011 2010

2004

2008

2005
© 2024 Fannie Mae

DRAFT

Multifamily Business
© 2024 Fannie Mae 2023 Financial Supplement 18

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UPB

(Dollars in billions)

$440.4 $445.4 $454.7 $464.7 $470.4

78.5 78.1 77.4 76.8 76.1

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$150

$300

$450

0

25

50

75

UPB

(Dollars in billions)

$18.6

$10.2

$15.1

$16.4

$11.2

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$5

$10

$15

$20

$25

Multifamily Highlights

 2023

$4,544M 

Net interest income

$70M

Fee and other 

income

$(495)M

Provision for credit 

losses

$117M

Change in expected 

credit enhancement 

recoveries

$2,553M

Net income

Multifamily New Business Volume Multifamily Guaranty Book of Business(5)

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

25.1 25.1 25.0 24.8

48.5

87.7 86.3 91.9 90.6

89.5

26% 25% 26% 25%

29%

$112.8 $111.4 $116.9 $115.4

$138.0

Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023

$0

$25

$50

$75

$100

$125

$150

10%

20%

30%

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

• New multifamily business volume was $52.9 billion in 2023,

compared with $69.2 billion in 2022.

• The multifamily guaranty book of business grew by 7% in 2023

to $470.4 billion driven by the company's acquisitions

combined with low prepayment volumes due to the high

interest rate environment.

• The average charged guaranty fee on the multifamily guaranty

book declined by 2.4 basis points to 76.1 basis points in 2023,

primarily due to lower average charged fees on the company's

2023 acquisitions as compared with the existing loans in the

multifamily guaranty book of business.

• The multifamily serious delinquency rate increased to 0.46%

as of December 31, 2023, compared with 0.24% as of

December 31, 2022, primarily driven by stress in the

company's seniors housing loans.
© 2024 Fannie Mae 2023 Financial Supplement 19

DRAFT

Share of Acquisitions

93% 93% 89%

78%

99%

7% 7% 11%

22%

2019 2020 2021 2022 2023

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions 

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(5)

Categories are not mutually exclusive 2019 2020 2021 2022 2023

Total UPB (Dollars in billions) $70.2 $76.0 $69.5 $69.2 $52.9

Weighted-Average OLTV Ratio 66% 64% 65% 59% 59%

Loan Count 4,113 5,051 4,203 3,572 2,812

% Lender Recourse(31) 100% 99% 100% 100% 100%

% DUS(32) 100% 99% 99% 99% 99%

% Full Interest-Only 33% 38% 40% 53% 63%

Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions 59% 58% 59% 56% 57%

Weighted-Average OLTV Ratio on Non-Full Interest-Only Acquisitions 69% 68% 68% 63% 63%

% Partial Interest-Only(33) 56% 50% 50% 39% 32%

Share of Acquisitions

33% 29% 27%

14% 6%

66% 70% 72%

86%

93%

2019 2020 2021 2022 2023

0%

20%

40%

60%

80%

100%

$2.8B

$2.4B

$2.2B

$2.1B $1.8B

$1.6B

$1.5B

$1.5B

$1.3B

$1.2B

Share of 

Acquisitions:

34.8%

Total Top 10 

UPB: $18.4B

Origination 

Loan-to-Value Ratio(5)

Top 10 MSAs by 2023

Acquisition UPB(5) Acquisitions by Note Type(5)

% 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%

Fixed-rate Variable-rate

New York Los Angeles Seattle Denver

Dallas Atlanta Chicago

Washington D.C. San Francisco Philadelphia
© 2024 Fannie Mae 2023 Financial Supplement 20

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Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(5)

As of December 31, 2023 Acquisition Year Asset Class or Targeted Affordable Segment

Categories are not mutually exclusive

Overall

Book

2008 &

Earlier 2009-2019 2020 2021 2022 2023

Conventional

/Co-op(38)

Seniors

Housing(38)

Student

Housing(38)

Manufactured

Housing(38) Affordable(39)

Total UPB (Dollars in billions) $470.4 $5.2 $208.0 $70.0 $66.0 $68.1 $53.1 $419.1 $16.0 $13.9 $21.4 $56.7

% of Multifamily Guaranty Book 100% 1% 44% 15% 14% 15% 11% 89% 3% 3% 5% 12%

Loan Count 28,926 1,870 12,158 4,583 3,977 3,526 2,812 25,927 563 544 1,892 3,912

Average UPB (Dollars in millions) $16.3 $2.8 $17.1 $15.3 $16.6 $19.3 $18.9 $16.2 $28.5 $25.6 $11.3 $14.5

Weighted-Average OLTV Ratio 63% 69% 65% 64% 64% 59% 59% 63% 65% 65% 61% 67%

Weighted-Average DSCR(34) 2.0 2.0 2.0 2.6 2.3 1.7 1.6 2.1 1.3 1.8 2.2 1.8

% with DSCR < 1.0(34) 4% 5% 6% 3% 3% 3% —% 3% 40% 5% 1% 5%

% Fixed rate 91% 20% 92% 96% 92% 79% 99% 92% 62% 82% 93% 87%

% Full Interest-Only 42% 32% 34% 39% 41% 54% 63% 43% 15% 34% 39% 29%

% Partial Interest-Only(33) 46% 20% 51% 50% 49% 38% 31% 45% 65% 60% 48% 46%

% Small Balance Loans(35) 48% 92% 46% 52% 44% 38% 40% 48% 21% 35% 67% 55%

% DUS(32) 99% 93% 99% 99% 99% 99% 99% 99% 99% 100% 100% 98%

Serious Delinquency Rate(36) 0.46% 0.46% 0.83% 0.18% 0.14% 0.08% 0.24% 0.20% 6.78% 1.35% 0.14% 0.06%

% Criticized(37) 7% 12% 8% 4% 6% 15% 1% 6% 46% 10% 2% 10%

Credit Characteristics of Multifamily Guaranty Book of Business 

$38.7B

$28.9B

$20.5B $18.3B

$13.5B

$12.4B

$12.1B

$12.0B

$11.5B

$11.2B

Share of Book

of Business: 

38.1%

Total Top 10 

UPB:

$179.1B

$9.0B

$16.9B

$31.7B

$33.6B

$175.5B

$163.4B

$40.3B

Total UPB:

$470.4B 

UPB by Maturity Year 

 As of December 31, 2023(5)

Top 10 MSAs by UPB 

As of December 31, 2023(5)

 Certain Credit Characteristics of 

Guaranty Book(5)

New York Dallas Phoenix Denver

Los Angeles Atlanta Seattle

Washington D.C. Chicago San Francisco

2024 2026 2028 - 2030

2025 2027 2031 - 2033

Other

Weighted-Average DSCR

Weighted-Average OLTV Ratio

1.9 2.0 2.1

2.2

2.0

66% 66% 65% 64% 63%

2019 2020 2021 2022 2023

0.0

1.0

2.0

0%

10%

20%

30%

40%

50%

60%

70%

Weighted-Average DSCR(34)

Weighted-Average OLTV Ratio
© 2024 Fannie Mae 2023 Financial Supplement 21

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Serious Delinquency Rate

0.59%

0.24%

0.10%

0.05% 0.07% 0.05%

0.11%

0.06%

0.04%

0.98%

0.42%

0.24%

0.46%

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Multifamily Credit Loss and Serious Delinquency Rates 

1.0%

0.3%

0.1% —% * —%*

0.1%

1.0%

0.2% 0.1% 0.2%

—%* —% * —% * —%* —%* —%*

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

0%

1%

Serious Delinquency Rate(36)

Cumulative Total Credit Loss Rate, Net by Acquisition Year Through Q4 2023(40)

* Represents less than 0.05% of cumulative total credit loss rate, net by acquisition year
© 2024 Fannie Mae

DRAFT

Endnotes
© 2024 Fannie Mae 2023 Financial Supplement 23

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(1) Consists of costs associated with freestanding credit enhancements, which primarily include the company's Connecticut Avenue Securities® and Credit Insurance Risk TransferTM

programs, enterprise-paid mortgage insurance, and certain lender risk-sharing programs.

(2) Other expenses, net are comprised of debt extinguishment gains and losses, expenses associated with legal claims, foreclosed property income (expense), gains and losses from

partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities.

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

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

Fannie Mae MBS other than loans underlying Freddie Mac securities that Fannie Mae has resecuritized. 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.

(5) 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.

(6) Includes mortgage pool insurance transactions.

(7) Base guaranty fee income, net of TCCA, is interest income from the guaranty book of business excluding 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 paid to

Treasury and not retained by the company.

(8) "Deferred guaranty fee income" refers to income primarily from the upfront fees that the company receives at the time of loan acquisition related to single-family loan-level price

adjustments or other fees the company receives from lenders, which are amortized over the contractual life of the loan. Deferred guaranty fee income also includes the

amortization of cost basis adjustments on mortgage loans and debt of consolidated trusts that are not associated with upfront fees. In the prior Forms 10-K, Forms 10-Q and

Financial Supplements, the company referred to "deferred guaranty fee income" as "amortization income."

(9) Net interest income from portfolios consists of: interest income from assets held in the company's retained mortgage portfolio and corporate liquidity portfolio; interest income from

other assets used to support lender liquidity; and interest expense on the company's outstanding corporate debt and Connecticut Avenue Securities® debt. For purposes of this

Financial Supplement chart, income (expense) from hedge accounting is included in the "net interest income from portfolios & hedge impact" category; however, the company does

not consider income (expense) from hedge accounting to be a component of net interest income from portfolios. The company had $989 million in hedge accounting expense in

2023.

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

of consolidated trusts.

(11) Cash equivalents are composed of overnight repurchase agreements and U.S. Treasuries, if any, that have a maturity at the date of acquisition of three months or less.

(12) 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.

(13) U.S. Gross Domestic Product ("GDP") annual growth (decline) rates 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.

(14) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2023. 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 2023,

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, 2023.

Endnotes 
© 2024 Fannie Mae 2023 Financial Supplement 24

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Endnotes 

(15) 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 paid to Treasury and not retained by the company.

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

(17) 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.

(18) 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%.

(19) 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.

(20) 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.

(21) 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.

(22) 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.

(23) "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%.

(24) 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.

(25) 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.

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

(27) 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, 2023. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this

calculation.
© 2024 Fannie Mae 2023 Financial Supplement 25

DRAFT

(28) This chart does not include loans in an active forbearance arrangement, trial modifications, loans to certain borrowers who have received bankruptcy relief and repayment plans

that have been initiated but not completed. There were approximately 16,300 loans in a trial modification period that was not complete as of December 31, 2023.

(29) 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.

(30) 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 December 31, 2023 is not necessarily indicative of the ultimate performance of the loans and

performance may change, perhaps materially, in future periods.

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

(32) 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.

(33) 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.

(34) Estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and annual statements for these properties including

the related debt service. When an annual statement is the latest statement available, it is used. When operating statement information is not available, the underwritten DSCR is

used. Co-op loans are excluded from this metric.

(35) Small balance loans refers to multifamily loans with an original unpaid principal balance of up to $9 million nationwide. Fannie Mae changed its definition of small multifamily loans

in Q3 2023 to increase the loan amounts from up to $6 million nationwide to up to $9 million nationwide. The updated definition has been applied to all loans in the current

multifamily guaranty book of business, including loans that were acquired under previous small loan definitions. This metric is presented based on loan count rather than unpaid

principal balance.

(36) Multifamily serious delinquency 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 serious delinquency rate for loans in a particular category (such as acquisition year, asset class or targeted affordable

segment), refers to seriously delinquent loans in the applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that

category.

(37) Criticized loans represent loans classified as "Special Mention," "Substandard" or "Doubtful." Loans classified as "Special Mention" refers to loans that are otherwise performing but

have potential weaknesses that, if left uncorrected, may result in deterioration in the borrower’s ability to repay in full. Loans classified as "Substandard" have a well-defined

weakness that jeopardizes the timely full repayment. "Doubtful" refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable

based on existing conditions and values.

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

(39) Represents Multifamily Affordable Housing loans, which are defined as financing for properties that are under an agreement that provides long-term affordability, such as properties

with rent subsidies or income restrictions.

(40) Cumulative net credit loss rate is the cumulative net credit losses (gains) through December 31, 2023 on the multifamily loans that were acquired in the applicable period, as a

percentage of the total acquired unpaid principal balance of multifamily loans that were acquired in the applicable period. Net credit losses include expected benefit of freestanding

loss-sharing arrangements, primarily multifamily DUS lender risk-sharing transactions. Credit loss rate for 2014 acquisitions was primarily driven by the write-off of a seniors

housing portfolio in Q1 2023.

Endnotes 
© 2024 Fannie Mae 2023 Financial Supplement 26

DRAFT

Endnotes 

(41) Consists of the company's allowance for loan losses, allowance for accrued interest receivable and reserve for guaranty losses. The measurement of loss reserves was impacted

by the adoption of the CECL standard on January 1, 2020. 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.

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

(43) 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.

(44) 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.