FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE - FORM 8-K - EX-99.2 - EXHIBIT 99.2 - February 13, 2020

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EX-99.1 - EXHIBIT 99.1 - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAEfanniemae201910kpressr.htm
8-K - 8-K - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAEa2019q48kv1.htm
Exhibit 99.2AFT Financial Supplement Q4 and Full Year 2019 February 13, 2020 © 2020 Fannie Mae

 
DRAFT ▪ Some of the terms and other information in this presentation are defined and discussed more fully in our Form 10-K for the year ended December 31, 2019 (“2019 Form 10-K”). This presentation should be reviewed together with the 2019 Form 10-K, which is available at www.fanniemae.com in the “About Us— Investor Relations—SEC Filings” section. Information on or available through our 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 we generally consider this information reliable, we do not independently verify all reported information. ▪ Due to rounding, amounts reported in this presentation may not sum to totals indicated (ie. 100%), or amounts shown as 100% may not reflect the entire population. ▪ Unless otherwise indicated, data is as of December 31 or for the full year indicated. ▪ Note references are to endnotes, appearing on pages 22 to 26. ▪ Terms used in presentation Amortized OLTV ratio: amortized origination loan-to-value ratio, which refers to the current unpaid principal balance of a loan at period end, divided by the home price at origination of the loan CAS: Connecticut Avenue Securities® CIRT™: Credit Insurance Risk Transfer™ CRT: credit risk transfer DSCR: 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 GDP: U.S. Gross Domestic Product 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 HomeReady®: low down payment mortgage designed for creditworthy low-income borrowers. For additional information, see https:// www.fanniemae.com/singlefamily/homeready LTV ratio: loan-to-value ratio MCASTM: Multifamily Connecticut Avenue Securities TM 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 Plus™: our Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers REO: real estate owned TCCA: Temporary Payroll Tax Cut Continuation Act of 2011 UPB: unpaid principal balance © 2020 Fannie Mae 2019 Financial Supplement 2

 
DRAFT Table of Contents Financial Overview Corporate Financial Highlights 5 Market Liquidity 6 Key Market Economic Indicators 7 Net Worth, Treasury Funding and Senior Preferred Stock Dividends 8 Single-Family Business Single-Family Highlights 10 Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions 11 Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business 12 Single-Family Credit Risk Transfer 13 Single-Family Problem Loan Statistics 14 Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business 15 Single-Family Cumulative Default Rates 16 Multifamily Business Multifamily Highlights 18 Certain Credit Characteristics of Multifamily Loan Acquisitions 19 Certain Credit Characteristics of Multifamily Guaranty Book of Business 20 Multifamily Serious Delinquency Rates and Credit Losses 21 Endnotes Financial Overview Endnotes 23 Single-Family Business Endnotes 24 Multifamily Business Endnotes 26 © 2020 Fannie Mae 2019 Financial Supplement 3

 
DRAFT Financial Overview © 2020 Fannie Mae

 
DRAFT Corporate Financial Highlights Sources of Net Interest Income and Retained Mortgage Summary of 2019 Financial Results Portfolio Balance 100% $600 (Dollars in millions) 2019 2018 Variance Re tained Mortgage Portfolio Net interest income $20,962 $20,951 $11 75% (D ollars in billions) Fee and other income 1,176 979 197 $400 Net revenues 22,138 21,930 208 50% $345.1 $272.4 Investment gains, net 1,770 952 818 $200 $230.8 % Net Interest Income 25% $179.2 Fair value gains (losses), net (2,214) 1,121 (3,335) $153.6 Administrative expenses (3,023) (3,059) 36 0% $0 2015 2016 2017 2018 2019 Credit-related income (1) % Net interest income from guaranty book of business Benefit for credit losses 4,011 3,309 702 % Net interest income from retained mortgage portfolio Retained mortgage portfolio, at end of period Foreclosed property expense (515) (617) 102 Total credit-related income 3,496 2,692 804 Key Highlights TCCA fees (2,432) (2,284) (148) ▪ Fannie Mae reported net income of $14.2 billion for 2019 Other expenses, net (2,158) (1,253) (905) compared with net income of $16.0 billion for 2018. The decrease in our net income for 2019 was driven primarily by a shift to fair Income before federal income taxes 17,577 20,099 (2,522) value losses in 2019 from fair value gains in 2018 as a result of decreasing interest rates throughout most of 2019. Provision for federal income taxes (3,417) (4,140) 723 Net income $14,160 $15,959 $(1,799) Total comprehensive income $13,969 $15,611 $(1,642) © 2020 Fannie Mae 2019 Financial Supplement 5

 
DRAFT Market Liquidity Key Highlights: Liquidity Provided In 2019 Providing Liquidity to the Mortgage Market Fannie Mae provided over $650 billion in liquidity to the mortgage market in 3.5 2019 through its purchases and guarantees of mortgage loans, which enabled the 3.2 financing of approximately 3 million single-family home purchases, single-family refinancings, or multifamily rental units. 3.0 3.0 3.0 0.7 Unpaid Principal 2.8 Balance Units 2.7 0.7 0.8 2.5 0.6 1.2M Single-Family 0.8 $313B Home Purchases 2.0 1.1 1.0 1.2 1.2 1.5 $283B 1.1M Single-Family Un its in millions Refinancings 1.2 1.0 1.4 726K Multifamily 1.2 $70B 1.1 Rental Units 0.5 1.0 0.7 0.0 2015 2016 2017 2018 2019 Rental Units Home Purchases Refinancings © 2020 Fannie Mae 2019 Financial Supplement 6

 
DRAFT Key Market Economic Indicators U.S. GDP Growth Rate and Benchmark Interest Rates Unemployment Rate(3) 4.55% 4.32% 7% 4.01% 3.99% 6% 5.0% 3.74% 4.7% 3.50% 5% 4.1% 3.9% 3.00% 3.13% 3.00% 3.5% 2.71% 4% 3% 2.68% 2% 2.9% 2.9% 2.27% 2.44% 2.41% 2.4% 2.3% 1% 1.92% Ra te (as of period end) 1.6% 0% 12/31/2015 12/31/2016 12/31/2017 12/31/2018 12/31/2019 2015 2016 2017 2018 2019 (2) 30-year FRM rate 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate Growth in GDP, annualized change U.S. unemployment rate (4) One Year Price Change 2019 (4) United States 5.1% Single-Family Home Price Growth Rate 8% 5.9% 5.4% 6% 5.3% 5.1% 4.5% 4% 2% Ho me Price Growth 0% 2015 2016 2017 2018 2019 Top 10 States by UPB(4) Share of Single-Family State Home Price Conventional Guaranty State Growth Rate Book CA 3.92% 19.1% TX 3.99% 6.5% FL 5.83% 5.8% NY 4.25% 4.9% WA 6.50% 3.8% IL 2.64% 3.5% NJ 2.69% 3.5% VA 4.57% 3.4% State Growth Rate: 0.0 to 4.9% 5.0 to 9.9% 10% and above CO 5.03% 3.2% PA 5.00% 2.9% © 2020 Fannie Mae 2019 Financial Supplement 7

 
DRAFT Net Worth, Treasury Funding and Senior Preferred Stock Dividends Net Worth and Treasury Funding Commitment Dividend Payments and Draws (Dollars in billions) (Dollars in billions) $113.9 $181.4 $119.8 $14.6 As of December 31, 2019 As of December 31, 2019 Net worth Cumulative dividend payments to Treasury(5) Remaining Treasury funding commitment Cumulative draws from Treasury(6) © 2020 Fannie Mae 2019 Financial Supplement 8

 
DRAFT Single-Family Business © 2020 Fannie Mae

 
Single-Family Highlights DRAFT Single-Family Conventional Loan Single-Family Conventional Guaranty Book 2019 Acquisitions(1) of Business(1) 50.4 $300 $4,000 50 48.5 43.4 43.5 43.6 46.7 45.9 46.9 43.0 43.3 50 $18,013M 40 $3,000 $194 40 Net interest income $189 $200 $2,900 $2,904 $2,907 $2,924 $2,946 30 $128 30 $90 $2,000 UP B $101 $116 UP B 20 $85 20 $100 $49 (D ollars in billions) $31 $29 (D ollars in billions) $1,000 $1,589M 10 $104 10 $79 Investment gains, $70 $56 $73 net $0 0 $0 0 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Refinance Average UPB oustanding of Single-Family conventional guaranty book Average charged guaranty fee on new Single-Family conventional guaranty book, net Purchase (2) of TCCA (bps) Average charged guaranty fee on new single-family conventional acquisitions, net $(2,216)M (2) of TCCA (bps) Fair value losses, net 2019 Market Share: New Single-Family Key Highlights Mortgage-Related Securities Issuances Private-label securities ▪ Single-family net income was $11.8 billion in 2019 compared with 4% $13.7 billion in 2018. The decrease in single-family net income in $3,515M 2019 was driven primarily by a shift to fair value losses in 2019 Credit-related from fair value gains in 2018 as a result of decreasing interest income Ginnie Mae Fannie Mae rates throughout most of 2019. 31% 37% ▪ We made changes to credit risk transfer structures in 2019, increasing our capital relief and reducing our risk. We also began obtaining credit protection on single-family reference pools $11,837M containing seasoned loans, increasing the percentage of the single-family book covered by credit risk transfer, reducing our Net income capital requirements, and further reducing risk. Freddie Mac 28% © 2020 Fannie Mae 2019 Financial Supplement 10

 
DRAFT Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions Certain Credit Characteristics of Single-Family Conventional Loans 2019 Acquisition by Acquisition Period Credit Profile by Certain Loan Features Full Year Full Year OLTV Ratio Home- FICO Credit DTI Ratio (5) (3) (4) Categories are not mutually exclusive Q4 2018 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 2019 >95% Ready Score < 680 > 43% Total UPB (Dollars in billions) $101.1 $446.1 $85.0 $128.1 $194.3 $188.5 $595.9 $39.2 $39.5 $43.4 $165.2 Weighted Average OLTV Ratio 78% 77% 78% 78% 77% 74% 76% 97% 90% 75% 78% OLTV Ratio > 95% 9% 7% 10% 8% 7% 4% 7% 100% 39% 7% 8% Weighted-Average FICO® Credit Score(3) 742 743 742 746 751 753 749 736 738 656 740 FICO Credit Score < 680(3) 11% 11% 11% 8% 6% 6% 7% 8% 10% 100% 9% DTI Ratio > 43%(4) 36% 34% 35% 30% 26% 25% 28% 32% 43% 35% 100% Fixed-rate 99% 98% 98% 99% 100% 99% 99% 100% 100% 100% 99% Owner Occupied 89% 89% 90% 91% 93% 92% 92% 100% 100% 95% 91% HomeReady(5) 9% 7% 9% 9% 7% 4% 7% 40% 100% 9% 10% Origination Loan-to-Value Ratio FICO Credit Score(3) Acquisitions by Loan Purpose 100% 25% 100% 750 20% 748 750 745 743 749 22% 22% 19% 19% 80% 20% 20% % FICO Credit Score < 680 75% 77% Or igination LTV > 90% 12% 75% 74% 75% 76% 20% 28% 500 60% 15% 30% 33% 11.2% 10.1% 10.6% 50% 8.7% 40% 10% 10% 7.5% 7.3% 6.6% Sh are of Acquisitions 250 65% 4.9% 56% We ighted-Average OLTV Ratio 25% 52% 45% 44% 20% 2.6% 2.8% 5% We ighted Average FICO Credit Score 0% 0% 0 0% 0% 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 (6) % OLTV > 95% % FICO Credit Score < 680 Refi Plus including HARP Other Refinance Weighted-Average OLTV Ratio Weighted-Average FICO Credit Score Cash-out Refinance Purchase © 2020 Fannie Mae 2019 Financial Supplement 11

 
Certain Credit Characteristics of Single-Family Conventional Guaranty Book of BusinessDR AFT Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(1)(7) As of December 31, 2019 Origination Year Certain Loan Features (6) FICO Credit Refi Plus 2004 & 2005- 2009- Home- DTI Ratio Overall OLTV ®(5) Score < Including (4) (3) Categories are not mutually exclusive Book Earlier 2008 2016 2017 2018 2019 Ratio > 95% Ready 680 HARP > 43% Total UPB (Dollars in billions) $2,951.9 $64.5 $104.9 $1,588.1 $361.9 $321.9 $510.6 $202.6 $86.6 $311.2 $279.6 $688.5 Average UPB $173,804 $70,063 $116,537 $160,296 $206,838 $213,258 $255,650 $161,585 $185,492 $142,525 $127,574 $187,176 Share of Single-Family Conventional Guaranty Book 100% 2% 4% 54% 12% 11% 17% 7% 3% 11% 9% 24% (8) Share of Loans with Credit Enhancement 53% 6% 16% 50% 70% 78% 47% 76% 91% 46% 46% 54% (9) Serious Delinquency Rate 0.66% 2.48% 4.11% 0.40% 0.40% 0.36% 0.04% 1.37% 0.44% 2.57% 0.68% 1.07% Weighted-Average OLTV Ratio 76% 74% 76% 75% 76% 78% 76% 107% 90% 78% 86% 77% OLTV Ratio > 95% 7% 6% 9% 7% 6% 9% 7% 100% 41% 12% 30% 10% (10) Amortized OLTV Ratio 67% 50% 62% 62% 71% 75% 76% 96% 88% 69% 70% 70% (11) Weighted-Average Mark-to-Market LTV Ratio 57% 35% 57% 48% 64% 71% 75% 77% 82% 59% 50% 60% (3) Weighted-Average FICO Credit Score 746 700 696 752 745 741 749 725 737 647 730 733 (3) FICO Credit Score < 680 11% 36% 38% 9% 10% 12% 7% 19% 11% 100% 21% 15% Fixed-rate 98% 89% 93% 98% 98% 98% 100% 100% 100% 99% 99% 98% Mark-to-Market Loan-to-Value FICO Credit Score(3) Serious Delinquency Rate by (MTMLTV) Ratio(11) Vintage(9) 70% 10% 25% 7.60% 750 7.5% 60% 744 745 745 746 746 6.39% 6.55% 62% 60% 20% 58% FI CO Credit Score < 660 57% 57% 7.5% 50% % MTMLTV >100% 500 4.61% 15% 5% 40% 12.7% 12.2% 4.11% 11.8% 11.4% 5% 10.5% 3.28% 3.06% 30% 3.3% 10% 2.82% 2.69% 2.48% 250 20% 2.5% 1.9% Se rious Delinquency Rate 1.55% We ighted Average MTMLTV 2.5% 1.20% 1.24% 5% 1.0% We ighted Average FICO Credit Score 0.76% 10% 0.66% 0.5% 0.36% 0.36% 0.53% 0.3% 0.34% 0.35% 0 0% 0% 0% 0% 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 % MTMLTV > 100% % FICO Credit Score < 680 2009 - 2019 2005-2008 Weighted-Average MTMLTV Weighted-Average FICO Credit Score Total Single-Family 2004 and Prior Conventional Guaranty Book of Business © 2020 Fannie Mae 2019 Financial Supplement 12

 
DRAFT Single-Family Credit Risk Transfer Single-Family Credit Risk Transfer Single-Family Loans with Credit Enhancement $1,750 46% 2017 2018 2019 $1,500 39% 40% Credit Enhancement (15) (15) (15) Outstanding UPB (dollars in Outstanding % of Book Outstanding % of Book Outstanding % of Book $1,250 32% $1,341 billions) UPB Outstanding UPB Outstanding UPB Outstanding Primary mortgage insurance & $1,000 $1,143 (12) $566 20% $618 21% $653 22% 22% other UP B $927 Connecticut Avenue $750 (13) $681 24% $798 27% $919 31% 15% 20% Securities $628 (D ollars in billions) $500 Credit Insurance Risk (14) $181 6% $243 8% $275 10% Transfer $429 $250 Lender risk-sharing(13) $65 2% $102 4% $147 5% $0 0% (Less: loans covered by multiple 2015 2016 2017 2018 2019 credit enhancements) ($335) (12)% ($394) (13)% ($438) (15)% % Single-family conventional guaranty book in a CRT transaction Total single-family loans with (14) $1,158 40% $1,367 47% $1,556 53% Outstanding UPB of a single-family loans in a CRT transaction credit enhancement Single-Family Credit Risk Transfer Issuance $600 $445 $410 $400 $73 $331 $44 $338 $15 $45 $239 UP B $233 $10 $265 $290 $200 $240 (D ollars in billions) $206 $189 $222 $32 $76 $102 $86 $82 $27 $40 $— 2013 2014 2015 2016 2017 2018 2019 Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer © 2020 Fannie Mae 2019 Financial Supplement 13

 
DRAFT Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of December 31, 2019(9) Top 10 States by UPB Serious Delinquency Average Months to (9) (16) State Rate Foreclosure CA 0.32% 20 TX 0.56% 19 FL 0.84% 43 NY 1.18% 64 WA 0.33% 29 IL 0.91% 21 NJ 1.13% 39 VA 0.47% 15 CO 0.24% 16 PA 0.93% 24 State SDQ Rate: Less than 0.51% 0.51% to 1.00% 1.01% to 2.00% 2.01% to 3.00% 3.01% and above Single-Family Loan Workouts Single-Family REO Ending Inventory $40 122.3K 118.1K 70 Nu mber of Loan Workouts 103.5K 100.6K 60 $30 100K 57 (T housands) 50 $20.8 $17.5 $19.0 40 $20 $16.7 56.3K 38 UP B $4.2 $1.1 30 $3.1 $2.1 50K $9.3 26 20 (D ollars in billions) $10 (U nits in thousands) $17.9 $0.7 20 $16.6 RE O Ending Inventory $14.4 $14.6 18 10 $8.6 $0 0K 0 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 Foreclosure Alternatives(17) Total Loan Workouts Home Retention Solutions(18) © 2020 Fannie Mae 2019 Financial Supplement 14

 
DRAFT Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business (19) % of Single-Family Conventional Guaranty Book of Business(15) % of Single-Family Credit Losses For the Period Ended Certain Product Features Categories are not mutually exclusive 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 Alt-A(20) 3.7% 3.1% 2.5% 1.9% 1.5% 29.3% 24.9% 21.9% 22.4% 16.6% Interest-only 2.1% 1.7% 1.2% 0.8% 0.5% 18.0% 12.2% 15.7% 15.4% 11.5% Origination LTV Ratio >95% 7.6% 6.9% 6.6% 6.8% 6.9% 11.1% 15.2% 16.9% 14.9% 16.0% FICO Credit Score < 680 and OLTV Ratio > 95%(3) 1.9% 1.7% 1.6% 1.4% 1.3% 6.2% 8.1% 8.7% 8.7% 9.4% FICO Credit Score < 680(3) 12.7% 12.2% 11.8% 11.4% 10.5% 42.5% 48.7% 45.4% 46.3% 43.1% Refi Plus including HARP 17.6% 15.4% 13.2% 11.4% 9.5% 7.8% 14.0% 15.9% 13.2% 15.8% Vintage 2015 2016 2017 2018 2019 2015 2016 2017 2018 2019 2009 - 2019 85% 87% 90% 92% 94% 10% 19% 23% 20% 27% 2005 - 2008 10% 8% 6% 5% 4% 78% 65% 65% 66% 61% 2004 & Prior 5% 5% 4% 3% 2% 12% 16% 12% 14% 12% % of 2019 Single-Family % of Single-Family Conventional Guaranty Book of Credit Losses by State(19)(21) Business by State as of December 31, 2019 4.9% 8.8% 3.5% 3.5% 9.7% 5.8% 10.6% $1.7B 49.8% $3.0T 19.1% 63.2% 11.8% 9.3% All Other States Florida New Jersey All Other States Florida New Jersey California Illinois New York California Illinois New York © 2020 Fannie Mae 2019 Financial Supplement 15

 
DRAFT Single-Family Cumulative Default Rates Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(22) 2007 16% 2006 14% 12% 10% 2005 8% 2008 6% Cu mulative Default Rate 2004 4% 2% 2012 2011 2010 2009 0% Yr 1 Yr 5 Yr 7 Yr 9 Yr 2 Yr 3 Yr 4 Yr 6 Yr 8 Yr 11 Yr 13 Yr 10 Yr 12 Yr 14 Yr 15 Yr 16 Time Since Beginning of Origination Year 2004 2005 2006 2007 2008 2009* 2010* 2011* 2012* 2013* 2014* 2015* 2016* 2017* 2018* 2019* * As of December 31, 2019, cumulative default rates on the loans originated in each individual year from 2009-2019 were less than 1% © 2020 Fannie Mae 2019 Financial Supplement 16

 
DRAFT Multifamily Business © 2020 Fannie Mae

 
Multifamily Highlights DRAFT 2019 Multifamily Loan Acquisitions Multifamily Guaranty Book of Business(1) $25 $400 75.4 74.1 73.3 71.9 71.8 80 70 $2,949M $20 $21.4 $338.8 $300 $329.6 $314.1 $322.6 Net interest income $305.9 60 $18.0 $18.1 $15 $16.9 $17.2 50 $200 UP B UP B 40 $10 30 (D ollars in billions) $723M (D ollars in billions) $100 20 $5 Fee and other income 10 $0 $0 0 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Average charged guaranty fee on multifamily guaranty book of business, at end of Multifamily new business volume period (bps) $2M UPB outstanding of multifamily guaranty book of business Fair value gains, net Multifamily Credit Risk Transfer Key Highlights $75 30% ▪ Multifamily net income was $2.3 billion in 2019, compared with $66.9 $2.2 billion in 2018. The increase in net income in 2019 was 25% attributable primarily to an increase in yield maintenance revenue $(19)M 25% driven by higher prepayment volumes and an increase in guaranty $57.7 Credit-related $50 20% fee income as a result of growth on our multifamily guaranty book expense $48.6 $47.9 of business, partially offset by a decrease in charged guaranty fees 18% 15% on the multifamily guaranty book. UP B $37.5 15% 15% $25 10% ▪ We enhanced our multifamily risk transfer capabilities through 12% (D ollars in billions) our first MCAS transaction in the fourth quarter of 2019, while 5% remaining committed to lender risk-sharing through our DUS $2,323M $17.1 0 0 0 0 program. These and other multifamily credit enhancements Net income through 2019 have reduced our conservatorship capital $0 0% Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 requirement for credit risk on multifamily loans acquired in 2018 by more than 70%. % Multifamily guaranty book in a CRT UPB outstanding of multifamily loans in a transaction CAS transaction UPB outstanding of multifamily loans in a CIRT transaction © 2020 Fannie Mae 2019 Financial Supplement 18

 
DRAFT Certain Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1) Categories are not mutually exclusive 2015 2016 2017 2018 2019 Total UPB (Dollars in billions) $42.4 $55.3 $67.1 $65.4 $70.2 Weighted Average OLTV Ratio 68% 68% 67% 65% 66% Loan Count 2,869 3,335 3,861 3,723 4,113 % Lender Recourse(2) 99% 99% 100% 100% 100% % DUS(3) 99% 99% 98% 99% 100% % Full Interest-Only 20% 23% 26% 33% 33% Weighted Average OLTV Ratio on Full Interest-Only Acquisitions 58% 57% 58% 58% 59% Weighted Average OLTV Ratio on Non-Full Interest-Only Acquisitions 70% 71% 70% 68% 69% % Partial Interest-Only(4) 57% 60% 57% 53% 56% Origination Loan-to-Value Top 10 MSAs by 2019 Acquisition (1) Ratio(1) UPB(1) Acquisitions by Note Type 100% 100% 11% 7% $1.5B 24% 20% $1.6B 28% $6.1B 80% 75% 52% 53% $1.7B 59% 68% 66% Share of 60% $2.0B Acquisitions: 50% 38.6% Total UPB: 89% 93% $27.1B $3.3B 40% 80% $2.3B 72% 76% Sh are of Acquisitions Sh are of Acquisitions 25% 48% 47% 41% 20% $2.7B 32% 33% $3.1B $2.8B 0% 0% 2015 2016 2017 2018 2019 New York Houston 2015 2016 2017 2018 2019 % Origination LTV less than or equal to 70% Los Angeles Phoenix Variable-rate % Origination LTV greater than 70% and less than or equal to 80% Dallas Chicago Fixed-rate % Origination LTV greater than 80% Washington, D.C. Miami Atlanta Seattle © 2020 Fannie Mae 2019 Financial Supplement 19

 
DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(1) As of December 31, 2019 Acquisition Year Asset Class or Targeted Affordable Segment Overall 2004 & Conventional Seniors Student Manufactured Privately Owned (5) (5) (5) (5) (6) Categories are not mutually exclusive Book Earlier 2005-2008 2009-2016 2017 2018 2019 /Co-op Housing Housing Housing with Subsidy Total UPB (Dollars in billions) $338.8 $4.2 $6.7 $132.6 $61.1 $64.0 $70.2 $295.5 $17.4 $13.7 $12.2 $38.5 % of Multifamily Book 100% 1% 2% 39% 18% 19% 21% 87% 5% 4% 4% 11% Loan Count 27,303 839 3,338 11,954 3,438 3,622 4,112 24,809 690 651 1,153 3,667 Average UPB ($M) $12.4 $5.0 $2.0 $11.1 $17.8 $17.7 $17.1 $11.9 $25.2 $21.1 $10.6 $10.5 Weighted Average OLTV Ratio 66% 72% 66% 67% 67% 65% 66% 66% 66% 67% 67% 69% (7) Weighted Average DSCR 1.9 2.8 2.0 2.0 2.0 1.9 1.9 2.0 1.8 1.7 2.0 2.0 % Fixed rate 88% 12% 46% 91% 85% 90% 93% 90% 63% 84% 90% 76% % Full Interest-Only 27% 26% 32% 20% 28% 34% 33% 29% 12% 24% 16% 24% (4) % Partial Interest-Only 51% 6% 13% 47% 56% 53% 56% 49% 54% 65% 59% 36% (8) % Small Balance Loans 48% 75% 92% 50% 29% 27% 34% 49% 13% 28% 51% 56% (2) % Lender Recourse 98% 97% 81% 97% 100% 100% 100% 98% 100% 99% 100% 97% (3) % DUS 98% 97% 85% 98% 97% 99% 100% 98% 98% 100% 100% 95% (9) Serious Delinquency Rate 0.04% 0.00% 0.23% 0.03% 0.09% 0.01% 0.00% 0.04% 0.05% 0.00% 0.00% 0.06% UPB by Maturity Year(1) Top 10 MSAs by UPB(1) Multifamily Guaranty Book of Business by Note Type(1) $4.8B 100% 12% $8.4B 20% 20% 18% 15% $9.7B $8.8B $29.6B 80% $15.6B $8.9B Share of Book $17.1B of Business: 60% Total UPB: $8.9B 40.2% $338.8B $20.6B Total UPB: $136.2B 85% 88% $271.0B $10.3B $21.3B 40% 80% 80% 82% $10.6B Sh are of Book Business 20% $13.4B $16.0B New York Atlanta 0% 2020 2023 Los Angeles San Francisco 2015 2016 2017 2018 2019 2021 2024 Dallas Seattle Variable-rate 2022 Other Washington, D.C. Phoenix Fixed-rate Houston Chicago © 2020 Fannie Mae 2019 Financial Supplement 20

 
DRAFT Multifamily Serious Delinquency Rates and Credit Losses DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through YTD 2019(3)(10) 2% 1.5% 1.4% 1.2% 1.1% 0.9% 1% 0.9% 0.9% 0.8% 0.7% Cr edit Loss Rate 0.5% 0.5% 0.4% 0.4% 0.3% 0.2% 0.3% 0.1% 0.1% —% —% —% —% —% —% —% —% —% —% —% —% 0% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 DUS Credit Loss Rate Multifamily Total Credit Loss Rate Non-DUS Credit Loss Rate Serious Delinquency Rates(3)(9) Credit Loss (Benefit) Ratio(11) 1.36% 1.4% 6.0 1.2% 1.20% 4.0 2.5 1.0% 0.92% 2.0 0.6 0.8% 0.71% 0.63% (0.2) 0.59% 0.0 0.6% (0.1) 0.44% 0.55% Ba sis Points 0.56% (0.7) 0.4% 0.50% -2.0 Se rious Delinquency Rate 0.34% 0.39% 0.21% 0.21% (2.3) 0.24% 0.15% (2.7) 0.2% 0.10% 0.11% 0.24% 0.07% -4.0 0.05% 0.05% 0.06% 0.04% 0.08% 0.18% 0.08% 0.0% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 -6.0 DUS Serious Delinquency Rate Multifamily Total Serious Delinquency Rate Non-DUS Serious Delinquency Rate 2013 2014 2015 2016 2017 2018 2019 © 2020 Fannie Mae 2019 Financial Supplement 21

 
DRAFT Endnotes © 2020 Fannie Mae

 
DRAFT Financial Overview Endnotes (1) 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. (2) 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. (3) Source: Bureau of Economic Analysis. GDP growth rate for 2019 is the Advance Estimate published on January 30, 2020. (4) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2019. Including subsequent data may lead to materially different results. Home price change is not seasonally adjusted. UPB estimates are based on data available through the end of December 2019, and the top 10 states are reported by UPB in descending order. (5) Aggregate amount of dividends we have paid to Treasury on the senior preferred stock from 2008 through December 31, 2019. Under the terms of the senior preferred stock purchase agreement, dividend payments we make to Treasury do not offset our prior draws of funds from Treasury. (6) Aggregate amount of funds we have drawn from Treasury pursuant to the senior preferred stock purchase agreement from 2008 through December 31, 2019. © 2020 Fannie Mae 2019 Financial Supplement 23

 
DRAFT Single-Family Business Endnotes (1) 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 we provide on single-family mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae single-family mortgage-related securities held in our retained mortgage portfolio for which we do 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. (2) Represents the sum of the average guaranty fee rate for the company's single-family conventional guaranty arrangements during the period plus the recognition of any upfront cash payments relating to these guaranty arrangements over 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. (3) FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. (4) Excludes loans for which this information is not readily available. From time to time, we revise our 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 we report may be higher than borrowers' actual DTI ratios. (5) 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 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%. (6) "Refi Plus" refers to loans we acquired under our 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%. (7) 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 our single-family conventional guaranty book of business. Loans with multiple product features are included in all applicable categories. (8) Percentage of loans in our 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 our compensation to some degree in the event of a financial loss relating to the loan. Because we include loans in reference pools for our Connecticut Avenue Securities and Credit Insurance Risk Transfer credit risk transfer transactions on a lagged basis, we expect the percentage of our 2019 single-family loan acquisitions with credit enhancements will increase in the future. (9) “Serious delinquency rate" refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process in the applicable origination year, product feature, or state, divided by the number of loans in our single-family conventional guaranty book of business in that origination year, product feature, or state. (10) Amortized OLTV ratio is calculated based on the current UPB of a loan at period end, divided by the home price at origination of the loan. © 2020 Fannie Mae 2019 Financial Supplement 24

 
DRAFT Single-Family Business Endnotes (11) 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 we calculate using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available. (12) 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. (13) 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. (14) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $7 billion at issuance and approximately $3 billion outstanding as of December 31, 2019. (15) Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of period end. (16) Measured from the borrowers’ last paid installment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed during 2019. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this calculation. (17) Consists of (a) short sales, in which the borrower, working with the servicer and Fannie Mae, sells the home prior to foreclosure for less than the amount owed to pay off the loan, accrued interest and other expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borrower’s voluntarily signing over title to the property. (18) Consists of (a) modifications, which do not include trial modifications, loans to certain borrowers who have received bankruptcy relief that are accounted for as troubled debt restructurings, or repayment plans or forbearances that have been initiated but not completed; (b) repayment plans, reflects only those plans associated with loans that were 60 days or more delinquent; and (c) forbearances, not including forbearances associated with loans that were less than 90 days delinquent when entered. (19) Credit losses consist of (a) charge-offs net of recoveries and (b) foreclosed property expense (income). Percentages exclude the impact of recoveries that have not been allocated to specific loans. (20) For a description of our Alt-A loan classification criteria, refer to the glossary in Fannie Mae’s 2019 Form 10-K. We discontinued the purchase of newly originated Alt-A loans in 2009, except for those that represent the refinancing of a loan we acquired prior to 2009, which has resulted in our 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. (21) 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. (22) 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, 2019 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods. © 2020 Fannie Mae 2019 Financial Supplement 25

 
DRAFT Multifamily Business Endnotes (1) Our 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 we provide on multifamily mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty. Data reflects the latest available information. (2) Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance. (3) 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 our pre-review. (4) 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. (5) See https://www.fanniemae.com/multifamily/products for definitions. Loans with multiple product features are included in all applicable categories. (6) 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. (7) Weighted average 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. Co-op loans are excluded from this metric. (8) In Q1 2019, the DUS program updated the definition of small multifamily loans to any loan with an original unpaid balance of up to $6 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 the previous small loan definition. (9) Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due. (10) Cumulative credit loss rate is the cumulative credit losses (gains) through December 31, 2019 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. (11) Credit loss (benefit) ratio represents the credit loss or benefit for the period divided by the average unpaid principal balance of the multifamily guaranty book of business for the period. Credit benefits are the result of recoveries on previously charged-off amounts. Credit loss (benefit) ratio is annualized for the most recent period. © 2020 Fannie Mae 2019 Financial Supplement 26