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| 8-K - 8-K - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE | a2017q18k.htm |
| EX-99.1 - EXHIBIT 99.1 PRESS RELEASE - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE | a2017q1pressrelease.htm |
2017 First Quarter Credit Supplement
May 5, 2017
© 2017 Fannie Mae. Trademarks of Fannie Mae.
Exhibit 99.2
This presentation includes information about Fannie Mae, including information contained in
Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2017, the “2017
Q1 Form 10-Q.” Some of the terms used in these materials are defined and discussed more
fuly in the 2017 Q1 Form 10-Q and in Fannie Mae’s Form 10-K for the year ended December
31, 2016, the “2016 Form 10-K.” These materials should be reviewed together with the 2017
Q1 Form 10-Q and the 2016 Form 10-K, copies of which are available through the
“SEC Filings” page in the “About Us/Investor Relations” section of Fannie Mae’s website at
www.fanniemae.com.
Some of the information in this presentation is based upon information that we received from
third-party sources such as selers and servicers of mortgage loans. Although we generaly
consider this information reliable, we do not independently verify al reported information.
Due to rounding, amounts reported in this presentation may not add to totals indicated (or
100%).
Unless otherwise indicated data labeled as “YTD 2017” is as of March 31, 2017 or for the first
three months of 2017.
§
.
.§
.
§
§
© 2017 Fannie Mae. Trademarks of Fannie Mae.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 2
Table of Contents
Home Price Growth/Decline Rates in the U.S.
One Year Home Price Change as of 2017 Q1
Home Price Change From 2006 Q3 Through 2017 Q1 5
4
3
Home Prices
Credit Characteristics of Single-Family Business Acquisitions
Credit Risk Profile Summary of Single-Family Business Acquisitions
Certain Credit Characteristics of Single-Family Business Acquisitions: 2006 - 2017
Single-Family Business Acquisitions by Loan Purpose
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Certain Product Features 11
10
9
8
7
6
Credit Profile of Fannie Mae Single-Family Loans
Credit Characteristics of Single-Family Conventional Guaranty Book of Business and Single-Family Real Estate Owned (REO) in Select States
Seriously Delinquent Loan and REO Ending Inventory Share by Select States
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance (UPB) of Mortgage Loans 14
13
12
Geographic Credit Profile of Fannie Mae Single-Family Loans and Foreclosed Properties (REO)
Single-Family Loan Workouts
Re-performance Rates of Modified Single-Family Loans 16
15
Workouts of Fannie Mae Single-Family Loans
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year 18
17
Additional Credit Information for Fannie Mae Single-Family Loans
Multifamily Credit Profile by Loan Atributes
Serious Delinquency Rates of Multifamily Book of Business
Cumulative Credit Loss Rates of Multifamily Guaranty Book of Business By Acquisition Year 22
21
19-20
Credit Profile of Fannie Mae Multifamily Loans
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
-3.6%
-9.1%
-4.8% -4.2%
-3.5%
2.6%
4.0%
7.7%
4.3% 4.7%
5.8%
0.5%
Fannie Mae Home Price Index
Based on our home price index, we estimate that home prices on a national basis increased by 0.5% in the first quarter of 2017, folowing increases of 5.8% in
2016, 4.7% in 2015, and 4.3% in 2014. Despite the recent increases in home prices, we estimate that, through March 31, 2017, home prices on a national basis
remained 0.7% below their peak in the third quarter of 2006. Our home price estimates are based on preliminary data and are subject to change as additional data
become available.
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
1.7% -5.4% -12.0% -3.8% -4.1% -3.9% 6.5% 10.7% 4.5% 5.3% 5.7%
S&P/Case-Shiler Index
Home Price Growth/Decline Rates in the U.S.
Note: Estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2017. Including subsequent data may lead to materialy diferent results.
* Year-to-date as of March 2017.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 3
*
One Year Home Price Change as of 2017 Q1*
NC
5.5%
2.5%
MI
8.4%
2.3%
SC
3.5%
1.2%
CA
7.4%
19.6%
WY
-1.3%
0.2%
AR
2.3%
0.5%
IA
3.0%
0.7%
IL
3.2%
3.8%
IN
3.8%
1.1%KS
4.5%
0.5%
LA
3.4%
0.9%
ME
3.7%
0.3%
MO
3.6%
1.3%
MS
1.6%
0.4%
ND
0.5%
0.2%
NM
3.3%
0.5%
OH
4.0%
2.0%
OK
2.2%
0.7%
PA
3.1%
3.0%
VA
2.8%
3.5%
WV
4.1%
0.2%
AZ
7.9%
2.5% AL
2.4%
1.0%
CO
9.4%
2.9%
FL
8.2%
5.6%
GA
6.7%
2.7%
ID
6.7%
0.6%
KY
6.6%
0.6%
MN
5.3%
2.1%
MT
6.8%
0.3%
NE
5.5%
0.5%
NV
6.8%
1.0%
NY
5.2%
5.2%
OR
9.2%
1.8%
SD
5.1%
0.2%
TN
8.4%
1.3%
TX
5.6%
6.1%
UT
8.7%
1.2%
WA
9.9%
3.6%
WI
5.4%
1.8%
State: FL
Growth Rate: 8.2%
UPB%**: 5.6%
United States: 5.5%
*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2017. UPB estimates are based on data
available through the end of March 2017. Including subsequent data may lead to materialy diferent results.
** “UPB %” refers to unpaid principal balance of loans on properties in the applicable state as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae
has access to loan-level information.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 4
AK
1.7%
0.2%
Growth
Rate UPB %**
CT
DC
DE
MA
MD
NH
NJ
RI
VT 0.2%
0.3%
3.8%
0.5%
2.7%
2.9%
0.4%
0.4%
1.3%
2.4%
8.2%
3.6%
5.5%
2.5%
6.2%
3.9%
11.5%
0.7%
HI
4.8%
0.7%
State Growth Rate
Below 0%
0% to 5%
5% to 10%
10% and Above
NC
5.1%
2.5%
SC
2.1%
1.2%
MI
-5.8%
2.3%
AZ
-21.0%
2.5%
FL
-21.9%
5.6%
NV
-28.2%
1.0%
IL
-13.5%
3.8%
CA
-9.4%
19.6%
CO
34.0%
2.9%
IA
13.7%
0.7%
KS
12.9%
0.5% KY11.4%
0.6%
LA
16.4%
0.9%
MT
19.4%
0.3%
ND
51.8%
0.2%
NE
17.4%
0.5%
OK
15.2%
0.7%
SD
25.9%
0.2%
TN
13.0%
1.3%
TX
32.1%
6.1%
UT
18.0%
1.2%
WY
12.2%
0.2%
VA
-9.1%
3.5%
GA
-2.5%
2.7%
ME
-1.5%
0.3%
MN
-2.6%
2.1%
NM
-4.9%
0.5%
OH
-1.9%
2.0%
AL
0.4%
1.0%
AR
4.5%
0.5%
ID
0.6%
0.6%
MO
2.7%
1.3%
MS
0.4%
0.4%
NY
0.6%
5.2%
PA
3.5%
3.0%
OR
9.6%
1.8%
WA
9.3%
3.6%
WV
6.1%
0.2%
IN
7.6%
1.1%
WI
0.4%
1.8%
State: FL
Growth Rate : -21.9%
UPB%**: 5.6%
United States: -0.7%
Home Price Change From 2006 Q3 Through 2017 Q1*
*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2017. UPB estimates are based on data available through the
end of March 2017. Including subsequent data may lead to materialy diferent results.
** “UPB %” refers to unpaid principal balance of loans on properties in the applicable state as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae has access to
loan-level information.
Note: Home prices on a national basis reached a peak in the third quarter of 2006.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 5
AK
11.4%
0.2%
HI
5.6%
0.7%
Growth
Rate UPB %**
CT
DC
DE
MA
MD
NH
NJ
RI
VT 0.2%
0.3%
3.8%
0.5%
2.7%
2.9%
0.4%
0.4%
1.3%
-1.7%
-15.8%
-18.3%
-6.7%
-18.0%
1.4%
-12.8%
44.3%
-19.5%
State Growth Rate
Below -15%
-15% to -5%
-5% to 0%
0% to 5%
5% to 10%
10% and Above
Q1 2017
Single-Family
Acquisitions
Excl.
Refi Plus
Ful Year 2016
Single-Family
Acquisitions
Excl.
Refi Plus
Q4 2016
Single-Family
Acquisitions
Excl.
Refi Plus
Q3 2016
Single-Family
Acquisitions
Excl.
Refi Plus
Q2 2016
Single-Family
Acquisitions
Excl.
Refi Plus
Q1 2016
Single-Family
Acquisitions
Excl.
Refi Plus
Unpaid Principal Balance (UPB) ($B)
Weighted Average Origination Note Rate 4.00%
$113.4
4.00%
$118.5
3.73%
$558.9
3.74%
$581.0
3.57%
$173.1
3.58%
$178.2
3.66%
$160.2
3.66%
$165.6
3.82%
$129.2
3.83%
$135.0
4.01%
$96.4
4.02%
$102.2
<= 60%
60.01% to 70%
70.01% to 80%
80.01% to 90%
90.01% to 100%
> 100%
Weighted Average Origination LTV Ratio 73.3%
0.0%
14.8%
11.1%
38.6%
14.4%
21.1%
73.2%
0.3%
14.5%
11.1%
37.8%
14.5%
21.7%
73.6%
0.0%
14.8%
11.5%
38.8%
14.5%
20.4%
73.6%
0.4%
14.6%
11.6%
38.1%
14.5%
20.7%
72.0%
0.0%
12.8%
10.6%
37.5%
15.6%
23.5%
71.9%
0.2%
12.7%
10.7%
37.1%
15.6%
23.8%
73.9%
0.0%
15.5%
11.7%
38.4%
14.2%
20.2%
73.8%
0.3%
15.3%
11.8%
37.8%
14.3%
20.6%
74.8%
0.0%
16.3%
12.2%
39.7%
13.8%
18.0%
74.7%
0.4%
16.0%
12.3%
38.9%
13.9%
18.5%
74.6%
0.0%
15.3%
12.0%
40.8%
13.8%
18.1%
74.5%
0.6%
15.0%
12.2%
39.6%
13.9%
18.7%
Origination Loan-to-Value (LTV) Ratio
< 620
620 to < 660
660 to < 700
700 to < 740
>=740
Weighted Average FICO Credit Score 747
60.4%
22.2%
12.7%
4.7%
0.0%
746
59.4%
22.1%
13.0%
5.0%
0.4%
752
64.9%
20.4%
10.9%
3.8%
0.0%
750
63.9%
20.4%
11.3%
4.1%
0.3%
754
66.9%
19.8%
10.0%
3.3%
0.0%
753
66.1%
19.8%
10.3%
3.6%
0.2%
753
66.1%
19.9%
10.4%
3.6%
0.0%
752
65.2%
19.9%
10.7%
3.9%
0.3%
751
63.6%
21.1%
11.4%
3.8%
0.0%
749
62.5%
21.0%
11.8%
4.2%
0.4%
748
61.2%
21.5%
12.6%
4.7%
0.0%
746
59.8%
21.4%
13.0%
5.2%
0.5%
FICO Credit Scores
Credit Characteristics of Single-Family Business Acquisitions
Fixed-rate
Adjustable-rate
Alt-A
Interest Only
Investor
Condo/Co-op
Refinance 53.4%
9.9%
7.3%
0.0%
0.0%
2.2%
97.8%
55.4%
9.8%
7.7%
0.0%
0.3%
2.1%
97.9%
54.0%
9.6%
5.6%
0.0%
0.0%
1.6%
98.4%
55.7%
9.6%
6.0%
0.0%
0.3%
1.5%
98.5%
60.1%
9.4%
5.5%
0.0%
0.0%
1.1%
98.9%
61.2%
9.4%
5.7%
0.0%
0.2%
1.1%
98.9%
51.5%
9.5%
5.2%
0.0%
0.0%
1.6%
98.4%
53.0%
9.5%
5.4%
0.0%
0.2%
1.6%
98.4%
51.3%
10.0%
5.7%
0.0%
0.0%
1.5%
98.5%
53.4%
9.9%
6.1%
0.0%
0.3%
1.5%
98.5%
50.9%
9.7%
6.6%
0.0%
0.0%
2.4%
97.6%
53.7%
9.7%
7.1%
0.0%
0.4%
2.3%
97.7%
Certain Characteristics
Purchase
Cash-out refinance
Other refinance 28.7%
24.7%
46.6%
31.8%
23.6%
44.6%
33.9%
20.1%
46.0%
36.4%
19.3%
44.3%
38.6%
21.5%
39.9%
40.3%
20.9%
38.8%
33.0%
18.4%
48.5%
35.2%
17.8%
47.0%
32.1%
19.2%
48.7%
35.0%
18.4%
46.6%
29.4%
21.6%
49.1%
33.4%
20.4%
46.3%
Loan Purpose
Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization transactions.
Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes the Home Afordable Refinance Program ® (“HARP ®”). Our Refi Plus initiative provides expanded refinance
opportunities for eligible Fannie Mae borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
Newly originated Alt-A loans for the applicable periods consist of the refinance of existing loans under our Refi Plus initiative. For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Form 10-K.
(1)
(2)
(3)
(4)
Single-Family Acquisitions
5.4%
7.1%
23.0%
Single-Family Acquisitions
4.9%
6.9%
22.8%
Single-Family Acquisitions
California
Texas
Florida 6.0%
7.3%
20.3%
Single-Family Acquisitions
5.8%
7.6%
21.7%
Single-Family Acquisitions
4.6%
6.3%
23.7%
Single-Family Acquisitions
5.1%
6.9%
22.9%
© 2017 Fannie Mae. Trademarks of Fannie Mae. 6
Acquisition Period
(4)
(2) (2) (2) (2) (2) (2)
(3)
(1)
Top 3 Geographic Concentrations
Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization
transactions.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan. FICO credit scores at origination below 620 primarily consist of the refinance of existing loans under our Refi Plus
initiative, which includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae borowers, and may involve the refinance
of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes HARP.
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
< 620
Total 100.0%
0.4%
5.0%
35.2%
59.4%
0.3%
0.0%
0.0%
0.2%
0.1%
25.7%
0.1%
1.1%
10.3%
14.2%
52.3%
0.1%
2.8%
18.4%
30.9%
21.7%
0.1%
1.1%
6.3%
14.2%
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
< 620
Total 100.0%
0.5%
5.2%
34.4%
59.8%
0.6%
0.1%
0.1%
0.3%
0.2%
27.2%
0.1%
1.2%
10.6%
15.2%
53.5%
0.2%
2.8%
18.3%
32.1%
18.7%
0.1%
1.0%
5.2%
12.3%
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 100.0%
4.7%
34.9%
60.4%
3.3%
0.1%
1.6%
1.6%
22.6%
0.8%
8.8%
13.0%
53.0%
2.7%
18.6%
31.7%
21.1%
1.0%
6.0%
14.1%
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 100.0%
4.7%
34.1%
61.2%
1.8%
0.1%
0.9%
0.8%
25.5%
1.0%
9.7%
14.7%
54.6%
2.7%
18.6%
33.3%
18.1%
0.9%
4.9%
12.3%
Credit Profile for Single-Family Acquisitions (Excluding Refi Plus)
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
(1)
(2)
(3)
© 2017 Fannie Mae. Trademarks of Fannie Mae. 7
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 0.0%
0.0%
0.8%
-0.8%
1.5%
0.0%
0.7%
0.8%
-2.9%
-0.1%
-1.0%
-1.8%
-1.6%
0.0%
0.0%
-1.6%
3.0%
0.1%
1.0%
1.8%
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
<620
Total 0.0%
-0.2%
-0.2%
0.7%
-0.4%
-0.3%
0.0%
0.0%
-0.1%
-0.1%
-1.5%
-0.1%
-0.2%
-0.3%
-0.9%
-1.2%
-0.1%
-0.1%
0.1%
-1.2%
3.0%
0.0%
0.1%
1.1%
1.8%
Credit Profile for Single-Family Acquisitions
Credit Risk Profile Summary of Single-Family Business Acquisitions
For the Three
Months Ended
March 31, 2017
For the Three
Months Ended
March 31, 2017
For the Three
Months Ended
March 31, 2016
For the Three
Months Ended
March 31, 2016
Change in
Acquisitions
Profile
Change in
Acquisitions
Profile
Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio
Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio
(2) (2) (2)
(2) (2) (2)
(3)
(1)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
40%
60%
80%
100%
Or
igin
ati
on
LT
V R
ati
o
0%
5%
10%
15%
20%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
Origination Loan-to-Value (OLTV) Ratio
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
660
680
700
720
740
760
780
FIC
O
Cr
ed
it S
co
re
0%
5%
10%
15%
20%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
FICO Credit Score
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0%
20%
40%
60%
80%
100%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
Share of Single-Family Business Acquisitions:
Fixed-rate Product
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0%
20%
40%
60%
80%
100%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
Share of Single-Family Business Acquisitions:
Loan Purpose - Purchase
Product Feature
Weighted Average Origination LTV Ratio Origination LTV > 90% Weighted Average FICO Credit Score FICO Credit Score < 620
Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization
transactions.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan. Loans acquired after 2009 with FICO credit scores at origination below 620 primarily consist of the refinance of existing
loans under our Refi Plus initiative, which includes HARP.
Certain Credit Characteristics of Single-Family Business Acquisitions: 2006 - 2017
(1)
(2)
.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 8
* Year-to-date through March 31, 2017.
(2)
(1)
**
* *
2010 2011 2012 2013 2014 2015 2016 2017
0%
20%
40%
60%
80%
100%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
1%1%2%
3%3%4%6%
14%16%10%10%
6%
9%9%14%14%
51%52%48%36%
48%
55%52%54%
45%44%45%52%
30%
21%24%23%
Single-Family Business Acquisitions by Loan Purpose
HARP Refi Plus Acquisitions (Excluding HARP) Refinance Acquisitions (Excluding Refi Plus) Purchase Acquisitions
2010
HARP
Refi Plus
(Excl.
HARP)
2011
HARP
Refi Plus
(Excl.
HARP)
2012
HARP
Refi Plus
(Excl.
HARP)
2013
HARP
Refi Plus
(Excl.
HARP)
2014
HARP
Refi Plus
(Excl.
HARP)
2015
HARP
Refi Plus
(Excl.
HARP)
2016
HARP
Refi Plus
(Excl.
HARP)
2017
HARP
Refi Plus
(Excl.
HARP)
Unpaid Principal Balance (UPB) ($B)
Weighted Average Origination Note Rate 4.68%
$80.5
5.00%
$59.0
4.44%
$81.2
4.78%
$55.6
3.89%
$73.8
4.14%
$129.9
3.80%
$64.4
4.04%
$99.5
4.39%
$23.5
4.62%
$21.5
4.08%
$19.2
4.23%
$11.2
3.89%
$14.7
4.05%
$7.4
4.00%
$3.6
4.17%
$1.5
Credit Characteristics of Single-Family Business Acquisitions Under the Refi Plus Initiative
Our Refi Plus initiative, which started in April 2009, includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae
borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 9
<=80%
80.01% to 105%
105.01% to 125%
>125%
Weighted Average Origination LTV Ratio 62.3%
0.0%
0.0%
0.0%
100.0%
92.2%
0.0%
5.6%
94.4%
0.0%
60.2%
0.0%
0.0%
0.0%
100.0%
94.3%
0.0%
11.9%
88.1%
0.0%
61.1%
0.0%
0.0%
0.0%
100.0%
111.0%
20.7%
22.1%
57.2%
0.0%
60.2%
0.0%
0.0%
0.0%
100.0%
109.8%
20.1%
21.5%
58.4%
0.0%
61.3%
0.0%
0.0%
0.0%
100.0%
101.5%
9.9%
16.9%
73.3%
0.0%
60.4%
0.0%
0.0%
0.0%
100.0%
98.4%
7.0%
15.0%
78.0%
0.0%
60.0%
0.0%
0.0%
0.0%
100.0%
96.9%
5.4%
13.5%
81.1%
0.0%
58.6%
0.0%
0.0%
0.0%
100.0%
96.3%
4.9%
12.8%
82.4%
0.0%
Origination LTV Ratio
< 620
620 to < 660
660 to < 740
>=740
Weighted Average FICO Credit Score 760
72.3%
23.9%
2.4%
1.4%
746
61.2%
33.1%
3.6%
2.0%
758
70.0%
25.6%
2.8%
1.7%
746
61.5%
32.6%
3.8%
2.1%
753
66.9%
26.0%
4.2%
2.9%
738
56.6%
33.8%
6.0%
3.7%
737
55.8%
31.9%
6.9%
5.3%
722
45.1%
38.7%
9.5%
6.7%
717
43.0%
36.5%
11.2%
9.3%
704
33.9%
41.0%
14.5%
10.6%
722
46.3%
34.4%
10.5%
8.8%
706
34.8%
41.1%
14.6%
9.5%
717
41.6%
37.5%
11.6%
9.2%
703
30.8%
44.9%
15.3%
9.1%
715
40.3%
38.8%
11.8%
9.1%
703
30.0%
46.6%
15.1%
8.3%
FICO Credit Scores
(1)
(2)
* Year-to-date through March 31, 2017.
Acquisition Year
(1)
(2)
*
*
Acquisitions
Overal Book
Origination Year
2017 2016 2015 2014 2013 2012 2011 2010 2009
2008 &
Earlier
Unpaid Principal Balance (UPB) ($B)
Share of Single-Family Conventional Guaranty Book
Average Unpaid Principal Balance
Serious Delinquency Rate
Weighted Average Origination LTV Ratio
Origination LTV Ratio > 90%
Weighted Average Mark-to-Market LTV Ratio
Mark-to-Market LTV Ratio > 100% and <= 125%
Mark-to-Market LTV Ratio > 125%
Weighted Average FICO Credit Score
FICO < 620
Interest Only
Negative Amortizing
Fixed-rate
Primary Residence
Condo/Co-op
Credit Enhanced
Cumulative Default Rate n/a
35.1%
9.3%
88.3%
94.4%
0.1%
1.6%
2.0%
745
0.4%
1.4%
59.7%
16.4%
74.8%
1.12%
$163,896
100.0%
$2,818.7
n/a
16.6%
9.3%
89.3%
70.0%
0.9%
11.7%
9.3%
699
2.1%
6.3%
61.8%
14.4%
75.2%
4.35%
$99,794
11.9%
$335.1
0.8%
3.9%
8.7%
90.5%
97.3%
0.0%
1.1%
0.9%
751
0.0%
0.3%
50.0%
6.4%
69.5%
0.94%
$136,342
3.4%
$94.6
0.6%
5.0%
8.1%
89.0%
96.5%
0.0%
0.9%
0.8%
756
0.0%
0.2%
48.1%
10.1%
71.0%
0.58%
$139,044
4.9%
$137.1
0.4%
7.1%
8.4%
86.9%
96.1%
0.0%
0.5%
0.8%
757
0.0%
0.1%
46.5%
12.3%
71.1%
0.45%
$140,157
5.9%
$167.3
0.4%
23.3%
8.7%
88.6%
98.0%
0.0%
0.3%
1.1%
759
0.3%
1.3%
50.6%
19.0%
76.5%
0.32%
$172,089
16.4%
$463.4
0.3%
46.2%
10.0%
85.9%
97.9%
0.0%
0.2%
1.8%
750
0.4%
1.6%
55.7%
20.6%
76.8%
0.41%
$169,515
14.3%
$403.1
0.1%
61.0%
9.8%
85.9%
96.0%
0.0%
0.0%
1.5%
742
0.2%
0.7%
63.1%
19.9%
76.9%
0.47%
$173,527
8.0%
$225.5
0.0%
64.8%
9.7%
88.1%
97.8%
0.0%
0.0%
0.6%
748
0.1%
0.4%
65.9%
16.7%
75.1%
0.21%
$202,357
13.2%
$371.6
0.0%
39.6%
9.5%
90.3%
98.7%
0.0%
0.0%
0.3%
750
0.0%
0.3%
70.1%
15.2%
73.6%
0.05%
$226,082
19.8%
$558.9
0.0%
28.2%
9.5%
87.9%
97.7%
0.0%
0.0%
0.4%
743
0.1%
0.3%
73.4%
15.0%
73.6%
0.00%
$215,483
2.2%
$62.3
Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information
for approximately 99% of its single-family conventional guaranty book of business as of March 31, 2017.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan. Loans acquired after 2009 with FICO credit scores at origination below 620 primarily consist of the refinance of existing
loans under our Refi Plus initiative, which includes HARP.
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 colateral, leters 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 (typicaly
about six months to one year after we initialy acquire the loans), we expect the percentage of our 2016 and 2017 single-family loan acquisitions with credit enhancement wil increase in the future.
Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in
the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified
year. For 2008 and earlier cumulative default rates, refer to slide 18.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 10
(1)
(2)
(3)
(4)
.
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year
(1)
(1)
(2)
(2)
(3)
(4)
As of March 31, 2017
Categories Not Mutualy Exclusive
Interest Only
Loans
Loans with
FICO < 620
Loans with FICO ≥
620 and < 660
Loans with
Origination LTV
Ratio > 90%
Loans with FICO
< 620 and
Origination LTV
Ratio > 90%
Alt-A Loans Refi PlusIncluding HARP
Unpaid Principal Balance (UPB) ($B)
Share of Single-Family Conventional Guaranty Book
Average Unpaid Principal Balance
Serious Delinquency Rate
Acquisition Years 2005-2008
Weighted Average Origination LTV Ratio
Origination LTV Ratio > 90%
Weighted Average Mark-to-Market LTV Ratio
Mark-to-Market LTV Ratio > 100% and <= 125%
Mark-to-Market LTV Ratio > 125%
Weighted Average FICO Credit Score
FICO < 620
Fixed-rate
Primary Residence
Condo/Co-op
Credit Enhanced 11.8%
9.3%
84.2%
99.0%
5.6%
732
1.0%
4.1%
61.7%
38.9%
86.3%
0.0%
0.77%
$144,542
14.9%
$419.6
9.6%
9.5%
77.0%
66.9%
3.2%
710
3.0%
8.9%
68.8%
17.0%
79.1%
57.2%
4.87%
$143,717
3.0%
$83.6
51.2%
5.9%
94.0%
89.8%
100.0%
582
6.6%
16.2%
87.1%
100.0%
108.7%
28.7%
7.84%
$130,605
0.6%
$16.8
68.4%
9.6%
93.5%
96.8%
3.7%
731
1.7%
5.6%
82.0%
100.0%
102.4%
7.4%
1.82%
$172,387
16.4%
$460.9
31.7%
6.0%
93.2%
89.2%
0.0%
642
1.5%
4.5%
66.1%
22.4%
78.7%
24.6%
3.87%
$136,496
5.3%
$149.5
21.3%
4.7%
94.2%
85.0%
100.0%
583
2.7%
7.3%
68.0%
30.6%
82.0%
38.7%
6.63%
$115,757
2.0%
$55.0
13.4%
14.3%
85.9%
24.6%
1.7%
721
3.9%
12.0%
75.3%
8.5%
74.4%
82.1%
6.30%
$224,709
1.6%
$44.4
Loans with multiple product features are included in al applicable categories. The subtotal is calculated by counting a loan only once even if it is included in multiple categories.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Form 10-K.
Our Refi Plus initiative, which started in April 2009, includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae
borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information
for approximately 99% of its single-family conventional guaranty book of business as of March 31, 2017.
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 colateral, leters 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.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 11
Subtotal of
Certain Product
Features
38.9%
8.7%
90.4%
91.6%
6.1%
718
1.1%
3.8%
69.0%
50.7%
86.1%
14.5%
2.15%
$150,601
32.2%
$908.2
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Certain Product Features
(1)
(2)
(3)
(4)
(5)
(6)
.
(1)
(2) (3)
(2)
(2)
(4)
(5)
(5)
(6)
As of March 31, 2017 (2)
(2)
(1)
Midwest
Northeast
Southeast
Southwest
West 11.5%
7.1%
25.5%
37.4%
18.5%
880
660
880
1,452
604
3,329
3,762
9,330
9,960
8,170
1,460
1,916
4,421
3,445
3,486
859
1,588
3,424
2,713
2,602
0.58%
0.76%
1.30%
2.07%
1.03%
11.0%
12.8%
27.5%
31.4%
17.3%
1.0%
0.7%
2.7%
2.5%
2.1%
52.7%
60.3%
63.5%
60.9%
64.9%
28.1%
17.0%
22.1%
18.1%
14.8%
$791.0
$480.3
$621.5
$509.9
$416.0
Regions
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of March 31, 2017. Excludes non-Fannie Mae securities held in portfolio and those Alt-A and
subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information for approximately 99% of its single-family conventional guaranty book of
business as of March 31, 2017.
“Seriously delinquent loans” refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process. “Seriously delinquent loan share” refers to the percentage of our single-
family seriously delinquent loan population in the applicable state or region. “Serious delinquency rate” refers to the number of single-family conventional loans that were seriously delinquent in the applicable
state or region, divided by the number of loans in our single-family conventional guaranty book of business in that state or region.
Measured from the borowers’ last paid instalment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed during the first three months of 2017. Home
Equity Conversion Mortgages (HECMs) insured by HUD are excluded from this calculation.
Expressed as a percentage of credit losses for the single-family guaranty book of business. Credit losses consist of (a) charge-ofs, net of recoveries and (b) foreclosed property expense (income), adjusted to
exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. For information on total credit losses, refer to Fannie Mae’s 2017 Q1 Form 10-Q.
Select states represent the top ten states in UPB of the single-family conventional guaranty book of business as of March 31, 2017.
For information on which states are included in each region, refer to the single-family mortgage credit risk management discussion in Fannie Mae’s 2017 Q1 Form 10-Q.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 12
Credit Characteristics of Single-Family Conventional Guaranty Book of Business and Single-Family Real Estate
Owned (REO) in Select States
SF Conventional Guaranty Book of Business
as of March 31, 2017
Seriously Delinquent Loans
as of March 31, 2017 Real Estate Owned (REO) Credit Loss
(1)
(2)
(3)
(4)
(5)
(6)
Al States 100.0%92434,55114,72811,1861.12%100.0%1.8%59.7%100.0%$2,818.7
Unpaid Principal
Balance (UPB)
($B)
Share of
Single-Family
Conventional
Guaranty Book
Weighted
Average
Mark-to-Market
LTV Ratio
Mark-to-Market
LTV >100%
Seriously
Delinquent Loan
Share
Serious
Delinquency
Rate
Q1 2017
Acquisitions
(# of properties)
Q1 2017
Dispositions
(# of properties)
REO Ending
Inventory
as of 3/31/17
Average Days to
Foreclosure
% of 2017 Credit
Losses
California
Texas
Florida
New York
Ilinois
New Jersey
Washington
Virginia
Pennsylvania
Massachusets 1.8%
4.7%
1.5%
0.8%
12.4%
8.6%
11.8%
12.5%
1.0%
7.4%
1,362
904
620
1,024
1,833
755
1,859
1,331
631
669
914
1,595
806
546
3,309
2,497
2,003
3,287
844
1,329
315
634
357
298
1,119
1,066
677
1,814
383
630
177
563
278
145
883
695
480
1,335
347
384
1.32%
1.58%
0.75%
0.65%
2.85%
1.39%
2.48%
1.73%
0.66%
0.47%
2.8%
5.0%
2.0%
1.8%
7.9%
5.4%
9.9%
9.8%
4.0%
5.7%
0.6%
1.5%
1.6%
0.3%
4.7%
5.0%
2.1%
5.6%
0.0%
0.9%
57.0%
64.2%
63.0%
55.8%
64.8%
67.1%
55.5%
63.8%
58.8%
50.4%
2.9%
3.0%
3.5%
3.6%
3.8%
3.8%
5.2%
5.6%
6.1%
19.6%
$82.3
$84.1
$97.9
$100.9
$106.0
$108.4
$146.8
$158.2
$171.9
$553.0
(1) (2)
(3) (4)
(6)
Select States(5) (2) (2)
Total
Based on states with the largest volume of seriously delinquent loans in our single-family conventional guaranty book of business as of March 31, 2017.
“Seriously delinquent loan share” refers to the percentage of our single-family seriously delinquent loan population in the applicable state.
Share of REO ending inventory calculated as the number of properties in the single-family REO ending inventory for the state divided by the total number of single-family properties in the REO ending inventory
for the specified time period.
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
0K
40K
80K
120K
160K
200K
240K
280K
320K
360K
SD
Q
Vo
lum
e
0%
5%
10%
15%
20%
25%
193K
330K
9.9%
9.8%
5.7%
10.3%
9.9%
7.9%
5.6%
5.4%
15.1%
5.2%
Seriously Delinquent Loan Share by Select States
California
Florida
Ilinois
New Jersey
New York
SDQ Volume
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
0K
20K
40K
60K
80K
100K
RE
O
En
din
g I
nv
en
tor
y
0%
5%
10%
15%
20%
25%
35K
87K
5.8%
7.2%
2.3%
3.5%
9.6%
10.5%
21.8%
9.5%
4.1%
3.8%
REO Ending Inventory Share by Select States
California
Florida
Ilinois
New Jersey
New York
REO Ending Inventory
(1)
(2)
(3)
.
Seriously Delinquent Loan and REO Ending Inventory Share by Select States
© 2017 Fannie Mae. Trademarks of Fannie Mae. 13
(1)
(2) (3)
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance (UPB) of Mortgage Loans
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
60%
70%
80%
90%
68.6% 69.8%
72.4% 72.6% 73.1%
75.0% 73.9% 73.6%72.5% 74.1%
75.2% 76.3%
79.3% 79.9%
81.9% 80.9% 80.3%79.3% 79.7% 80.9%
REO Direct Sale Dispositions: Sales Prices to UPB
Net Sales Prices to UPB Trends for Top 10 States
REO Gross Sales/UPB REO Net Sales/UPB
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
60%
70%
80%
90%
72.2% 72.6% 73.8% 73.5% 73.3%
74.6% 73.7%73.6% 74.1% 74.1%
80.4% 80.7% 82.0% 81.7%
83.2% 82.4%82.0% 82.4% 82.5%82.7%
Short Sales: Sales Prices to UPB
Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017
Florida
New Jersey
Ilinois
Ohio
New York
Michigan
Pennsylvania
California
Maryland
Missouri 71.6%
70.4%
88.3%
60.6%
62.4%
68.3%
58.6%
64.7%
63.9%
80.5%
64.3%
70.4%
87.2%
64.9%
60.9%
66.9%
58.1%
63.3%
63.0%
79.7%
64.4%
69.3%
88.1%
65.0%
62.7%
68.2%
59.2%
64.3%
59.9%
80.1%
67.6%
73.8%
86.6%
66.6%
65.7%
64.5%
62.4%
63.2%
61.0%
79.5%
64.0%
71.4%
82.6%
61.0%
66.0%
61.4%
62.6%
63.9%
59.6%
78.3%
Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017
Florida
Ilinois
New Jersey
California
New York
Maryland
Nevada
Arizona
Pennsylvania
Virginia 79.5%
72.5%
80.3%
70.7%
70.0%
74.7%
81.9%
62.5%
70.6%
74.3%
78.2%
73.7%
79.4%
73.3%
73.0%
74.8%
81.4%
65.1%
69.1%
73.4%
78.6%
75.3%
79.0%
74.3%
70.8%
72.9%
80.8%
65.8%
70.9%
73.1%
80.3%
73.6%
79.1%
74.4%
70.8%
71.6%
81.2%
64.9%
65.8%
71.8%
77.5%
75.1%
74.8%
71.2%
71.2%
72.1%
79.4%
66.0%
66.1%
73.9%
Short Sales Gross Sales/UPB Short Sales Net Sales/UPB
Includes REO properties that have been sold to a third party (excluding properties that have been repurchased by the seler/servicer, acquired by a mortgage insurance company, or redeemed by a borower).
Sales Prices to UPB are calculated as the sum of sales proceeds received divided by the aggregate unpaid principal balance (UPB) of the related loans. Gross sales price represents the contract sale price. Net
sales price represents the contract sale price less charges/credits paid by or due to the seler or other parties at closing.
The states shown had the greatest volume of properties sold in the first three months of 2017 in each respective category.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 14
(1)
(2)
(3)
(1) (2) (2)
(2)(3)
REO Net Sales
Prices to UPB
Short Sales
Net Sales
Prices to UPB
Foreclosure Alternatives
Consists of (a) modifications, which do not include trial modifications, loans to certain borowers who have received bankruptcy relief that are accounted for as troubled debt restructurings, or repayment plans
or forbearances that have been initiated but not completed and (b) repayment plans and forbearances completed.
Consists of (a) short sales, in which the borower, working with the servicer and Fannie Mae, sels the home prior to foreclosure for less than the amount owed to pay of the loan, accrued interest and other
expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borower’s voluntarily signing over title to the property.
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
0K
5K
10K
15K
20K
25K
30K
35K
# o
f L
oa
ns
2K
2K 2K 2K 2K 2K 2K 1K 1K 1K4K 4K 4K 4K 3K 3K 3K 3K 2K 2K
7K
6K 6K 6K 5K 5K 4K 4K 4K 3K
© 2017 Fannie Mae. Trademarks of Fannie Mae. 15
Short Sales
Deeds-in-Lieu
2014
Q4
2015
Q1
2015
Q2
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
0K
5K
10K
15K
20K
25K
30K
35K
# o
f L
oa
ns
20K
17K
21K21K21K19K
22K
26K27K26K
2K
2K
2K2K1K
1K
1K
2K2K2K
28K 29K 28K
24K
20K
22K 23K 22K
19K
22K
Modifications
Repayment Plans and Forbearances Completed
(1)
(2)
.
Home Retention Solutions
Single-Family Loan Workouts
(1) (2)
Modifications reflect permanent modifications which does not include loans curently in trial modifications.
Defined as total number of completed modifications for the time periods noted.
2014 Q2 2014 Q3 2014 Q4 2015 Q1 2015 Q2 2015 Q3 2015 Q4 2016 Q1 2016 Q2 2016 Q3 2016 Q4
Modifications 17,32520,80221,27820,89919,09922,19926,21426,70025,90828,86132,010
Re-performance Rates of Modified Single-Family Loans
© 2017 Fannie Mae. Trademarks of Fannie Mae. 16
(1)
(2)
3 Months Post Modification
6 Months Post Modification
9 Months Post Modification
12 Months Post Modification
15 Months Post Modification
18 Months Post Modification
21 Months Post Modification
24 Months Post Modification n/a
n/a
n/a
n/a
n/a
n/a
n/a
77%
n/a
n/a
n/a
n/a
n/a
n/a
69%
75%
n/a
n/a
n/a
n/a
n/a
67%
68%
77%
n/a
n/a
n/a
n/a
66%
65%
70%
79%
n/a
n/a
n/a
64%
64%
67%
72%
78%
n/a
n/a
63%
62%
64%
67%
69%
76%
n/a
65%
64%
64%
67%
67%
69%
77%
67%
65%
65%
66%
67%
68%
72%
79%
67%
66%
67%
66%
67%
70%
74%
80%
68%
68%
67%
67%
69%
71%
74%
79%
69%
68%
66%
67%
70%
71%
72%
79%
% Current or Paid Of
(1)
(2)
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of December 31 for the time periods noted, with the exception of 2017 which is as of March 31.
Based on the single-family credit losses for the year ended December 31 for the time periods noted, with the exception of 2017 which is as of March 31. Credit losses consist of (a) charge-ofs, net of recoveries and (b) fore-
closed property expense (income), adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts. Does not reflect the impact of recoveries that have not been alocated to spe-
cific loans. Negative values are the result of recoveries on previously recognized credit losses. Beginning in 2015, includes the impact of credit losses associated with our redesignation from held for investment to held for sale of
certain nonperforming single-family loans expected to be sold in the foreseeable future. Also, 2015 credit losses include the impact of our approach to adopting the charge-of provisions of the Federal Housing Finance Agency’s
Advisory Buletin AB 2012-02, “Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention” on January 1, 2015.
Loans with multiple product features are included in al applicable categories. Categories are not mutualy exclusive.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
Newly originated Alt-A loans acquired after 2008 consist of the refinance of existing loans under our Refi Plus Initiative. For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2016 Form 10-K.
For a description of our subprime loan classification criteria, refer to Fannie Mae’s 2016 Form 10-K.
Select states represent the top ten states with the highest percentage of single-family credit losses for the three months ended March 31, 2017.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 17
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
(1)
(2)
(3)
(4)
(5)
(6)
(7)
Florida
New Jersey
New York
Ilinois
California
Pennsylvania
Maryland
Ohio
Connecticut
Nevada
Al Other States 50.6%
1.0%
1.4%
2.2%
2.8%
3.1%
19.0%
4.2%
5.6%
4.0%
6.0%
50.8%
1.0%
1.4%
2.1%
2.8%
3.1%
19.6%
4.1%
5.6%
4.0%
5.7%
51.0%
1.0%
1.3%
2.1%
2.7%
3.0%
19.6%
4.1%
5.5%
4.0%
5.6%
51.4%
1.0%
1.3%
2.0%
2.7%
3.0%
19.7%
4.0%
5.4%
3.9%
5.6%
51.9%
1.0%
1.3%
2.0%
2.7%
3.0%
19.6%
3.9%
5.2%
3.8%
5.6%
52.0%
1.0%
1.3%
2.0%
2.7%
3.0%
19.6%
3.8%
5.2%
3.8%
5.6%
35.4%
4.8%
0.9%
3.3%
1.8%
1.6%
18.4%
9.6%
0.9%
2.0%
21.4%
32.1%
3.8%
1.4%
4.1%
3.1%
3.0%
5.1%
12.9%
1.9%
3.7%
28.9%
26.7%
1.4%
2.8%
4.2%
5.9%
4.2%
-0.8%
10.9%
4.8%
7.2%
32.6%
18.6%
1.8%
2.3%
2.2%
3.8%
3.4%
1.4%
7.8%
16.4%
21.6%
20.8%
29.5%
1.2%
2.7%
4.3%
3.9%
5.0%
2.1%
8.7%
18.3%
16.5%
7.9%
29.6%
2.2%
2.9%
3.6%
4.2%
4.7%
7.4%
8.6%
11.8%
12.4%
12.5%
Select State
% of Single-Family Conventional Guaranty Book of Business
2017 2016 2015 2014 2013 2012
% of Single-Family Credit Losses
2017 2016 2015 2014 2013 2012
Negative Amortizing
Interest Only
FICO < 620
FICO 620 to < 660
Origination LTV Ratio > 90%
FICO < 620 and Origination LTV Ratio > 90%
Alt-A
Subprime
Refi Plus including HARP 16.5%
0.2%
5.6%
0.7%
12.8%
6.0%
2.9%
3.7%
0.3%
19.5%
0.1%
4.7%
0.7%
15.1%
5.5%
2.6%
2.9%
0.2%
19.1%
0.1%
4.2%
0.7%
15.9%
5.5%
2.5%
2.5%
0.2%
17.6%
0.1%
3.7%
0.7%
16.3%
5.5%
2.3%
2.1%
0.1%
15.4%
0.1%
3.1%
0.6%
16.4%
5.3%
2.0%
1.7%
0.1%
14.9%
0.1%
3.0%
0.6%
16.4%
5.3%
2.0%
1.6%
0.1%
3.5%
1.1%
23.7%
2.3%
16.8%
14.2%
7.8%
21.8%
0.5%
7.4%
-0.2%
26.0%
2.0%
20.8%
15.7%
7.0%
18.7%
0.8%
10.4%
1.3%
17.4%
2.9%
15.3%
17.6%
12.1%
10.2%
0.9%
7.8%
1.6%
29.3%
2.7%
16.4%
18.3%
11.1%
18.0%
1.2%
14.0%
1.3%
24.9%
3.9%
21.9%
21.3%
14.5%
12.2%
0.3%
15.0%
1.1%
18.5%
4.3%
25.3%
19.3%
13.3%
14.2%
0.2%
2009 - YTD 2017
2005 - 2008
2004 & Prior 13.1%
21.7%
65.3%
9.1%
14.7%
76.2%
7.3%
12.2%
80.5%
5.8%
10.1%
84.1%
4.5%
8.1%
87.4%
4.2%
7.7%
88.1%
13.1%
81.8%
5.1%
12.4%
77.6%
10.0%
12.0%
74.7%
13.3%
12.1%
77.6%
10.3%
16.4%
64.7%
19.0%
13.2%
65.4%
21.4%
Vintage
(1) (2)
(3)
(4)
(4)
(4)
(5)
(6)
(7)
Certain Product Features
© 2017 Fannie Mae. Trademarks of Fannie Mae. 18
Note: Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in
the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year.
Data as of March 31, 2017 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materialy, in future periods.
Yr
1-Q
1
Yr
1-Q
2
Yr
1-Q
3
Yr
1-Q
4
Yr
2-Q
1
Yr
2-Q
2
Yr
2-Q
3
Yr
2-Q
4
Yr
3-Q
1
Yr
3-Q
2
Yr
3-Q
3
Yr
3-Q
4
Yr
4-Q
1
Yr
4-Q
2
Yr
4-Q
3
Yr
4-Q
4
Yr
5-Q
1
Yr
5-Q
2
Yr
5-Q
3
Yr
5-Q
4
Yr
6-Q
1
Yr
6-Q
2
Yr
6-Q
3
Yr
6-Q
4
Yr
7-Q
1
Yr
7-Q
2
Yr
7-Q
3
Yr
7-Q
4
Yr
8-Q
1
Yr
8-Q
2
Yr
8-Q
3
Yr
8-Q
4
Yr
9-Q
1
Yr
9-Q
2
Yr
9-Q
3
Yr
9-Q
4
Yr
10
-Q
1
Yr
10
-Q
2
Yr
10
-Q
3
Yr
10
-Q
4
Yr
11
-Q
1
Yr
11
-Q
2
Yr
11
-Q
3
Yr
11
-Q
4
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Cu
mu
lat
ive
De
fau
lt R
ate
2007
2006
2005
2008
2004
2003
2002
2010 2011 2009 2012 2013 20142015 2016 2017
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year
Time Since Beginning of Origination Year
Loan Count UPB ($B)
% of Multifamily
Guaranty Book of
Business
% DUS ® Loans % SeriouslyDelinquent
YTD 2017
Multifamily Credit
Losses ($M)
2016 Multifamily
Credit Losses ($M)
2015 Multifamily
Credit Losses ($M)
Total Multifamily Guaranty Book of Business ($56)($4)$00.05%97%100%$253.328,967
Multifamily Credit Profile by Loan Attributes
Loans maturing in 2017
Loans maturing in 2018
Loans maturing in 2019
Loans maturing in 2020
Loans maturing in 2021
Other maturities ($40)
$2
($1)
($2)
$0
($15)
($9)
$1
$5
$0
$4
($3)
$0
$0
$0
($1)
$1
$0
0.01%
0.01%
0.15%
0.31%
0.13%
0.28%
98%
97%
97%
98%
96%
68%
75%
7%
6%
6%
4%
2%
$190.0
$17.9
$15.2
$15.6
$10.4
$4.2
19,251
2,448
2,378
2,029
1,861
1,000
Maturity Dates
Less than or equal to 70%
Greater than 70% and less than or equal to 80%
Greater than 80% $2
($34)
($24)
$0
$3
($7)
$0
$1
$0
0.33%
0.03%
0.05%
93%
99%
95%
2%
44%
54%
$4.8
$111.0
$137.5
1,244
9,877
17,846
Origination LTV Ratio
Less than or equal to $750K
Greater than $750K and less than or equal to $3M
Greater than $3M and less than or equal to $5M
Greater than $5M and less than or equal to $25M
Greater than $25M ($15)
($60)
$9
$9
$1
$0
($15)
$6
$5
$0
$0
$0
$1
$0
$0
0.03%
0.04%
0.13%
0.20%
0.22%
98%
99%
93%
83%
23%
48%
40%
6%
5%
0%
$122.6
$102.3
$14.1
$13.1
$1.2
2,423
9,414
3,885
8,379
4,866
Loan Size Distribution
(1)
(2)
(3)
(4)
(5)
(6)
Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
Dolar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period may not tie to sum of al categories due to rounding.
Weighted average origination loan-to-value ratio is 67% as of March 31, 2017.
Under the Delegated Underwriting and Servicing, or DUS, program, Fannie Mae acquires individual, newly originated mortgages from specialy approved DUS lenders using DUS underwriting standards and/or DUS loan documents. Because DUS
lenders generaly share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and service most loans without our pre-review.
Multifamily loans with an original unpaid balance of up to $3 milion nationwide or up to $5 milion in high cost markets.
DUS - Smal Balance Loans
DUS - Non Smal Balance Loans
Total ($54)
($57)
$3
($3)
($6)
$2
$2
$2
$0
0.05%
0.04%
0.12%
100%
100%
100%
97%
92%
5%
$245.7
$232.1
$13.6
22,335
15,029
7,306
Delegated Underwriting and Servicing (DUS) Loans
Non-DUS - Smal Balance Loans
Non-DUS - Non Smal Balance Loans
Total ($2)
($5)
$2
($1)
($2)
$1
($1)
($1)
($1)
0.13%
0.00%
0.25%
0%
0%
0%
3%
1%
2%
$7.6
$3.6
$4.0
6,632
286
6,346
Non-Delegated Underwriting and Servicing (Non-DUS) Loans
Lender Risk-Sharing
No Recourse to the Lender ($32)
($24)
($14)
$10
($1)
$1
0.03%
0.05%
69%
99%
5%
95%
$13.2
$240.1
2,064
26,903
Lender Risk-Sharing
Fixed
Variable ($22)
($34)
$2
($6)
($1)
$1
0.01%
0.06%
97%
97%
19%
81%
$49.3
$204.0
6,791
22,176
Interest Rate Type
© 2017 Fannie Mae. Trademarks of Fannie Mae. 19
(1)
(3) (3)
(4)
(5)
(6)
(6)
(3)(2)
As of March 31, 2017
UPB ($B)
% of Multifamily
Guaranty Book of
Business
% DUS Loans % SeriouslyDelinquent
YTD 2017 Multifamily
Credit Losses ($M)
2016 Multifamily
Credit Losses ($M)
2015 Multifamily
Credit Losses ($M)
Total Multifamily Guaranty Book of Business ($56)($4)$00.05%97%100%$253.3
Multifamily Credit Profile by Loan Attributes (cont.)
California
Texas
New York
Florida
Washington $1
($3)
$1
($6)
$0
$0
$0
$0
($5)
$0
$0
$0
($1)
$0
$0
0.00%
0.00%
0.01%
0.16%
0.00%
99%
100%
84%
100%
96%
4%
7%
9%
12%
20%
$9.5
$18.1
$23.9
$30.4
$51.3
Select States
Privately Owned with Subsidy ($4)$2$10.05%96%13%$32.4
Targeted Afordable Segment
DUS: Bank (Direct, Owned Entity, or Subsidiary)
DUS: Non-Bank Financial Institution
Non-DUS: Bank (Direct, Owned Entity, or Subsidiary)
Non-DUS: Non-Bank Financial Institution
Non-DUS: Public Agency/Non Profit $0
$0
$0
($12)
($45)
$0
($2)
$0
($5)
$3
$0
($1)
$0
$2
($1)
0.00%
0.00%
0.14%
0.07%
0.01%
0%
0%
0%
100%
97%
0%
0%
1%
58%
40%
$0.1
$0.4
$3.8
$147.0
$102.0
DUS & Non-DUS Lenders/Servicers
Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
Dolar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period wil not tie to sum of al categories due to rounding.
The Multifamily Afordable Business Channel focuses on financing properties that are under an agreement that provides long-term afordability, such as properties with rent subsidies or income restrictions.
See htps:/www.fanniemae.com/multifamily/products for definitions.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 20
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
Prior to 2007 ($24)
($17)
($20)
$4
($1)
$2
$0
$0
$0
$0
$0
$0
($7)
($3)
($1)
$0
$3
$0
$2
$0
$0
$0
$0
$0
$0
$0
$1
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.09%
0.29%
0.20%
0.08%
0.15%
0.03%
0.16%
0.02%
0.00%
0.00%
0.00%
0.00%
95%
58%
94%
97%
96%
96%
97%
98%
99%
99%
99%
99%
6%
2%
3%
4%
4%
6%
10%
9%
10%
16%
22%
7%
$15.1
$5.7
$8.2
$10.6
$11.1
$15.9
$25.0
$23.0
$25.9
$40.5
$55.0
$17.3
By Acquisition Year
Midwest
Northeast
Southeast
Southwest
West ($31)
($11)
($19)
$4
$1
($7)
($7)
$6
$1
$3
$0
$1
$0
($1)
$0
0.00%
0.10%
0.04%
0.02%
0.13%
96%
100%
99%
90%
99%
28%
23%
25%
16%
9%
$69.9
$57.3
$63.9
$39.8
$22.4
Regions
Conventional/Co-op
Seniors Housing
Manufactured Housing
Student Housing ($7)
$0
$7
($56)
($5)
$0
$2
($1)
$0
$0
$0
$0
0.00%
0.00%
0.09%
0.05%
100%
100%
97%
97%
3%
3%
5%
89%
$7.6
$8.7
$12.4
$224.6
Asset Class
(1)
(2)
(3)
(4)
(5)
(2) (3) (3)
(4)
(3)(1)As of March 31, 2017
(5)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
1.60%
Se
rio
us
De
linq
ue
nc
y R
ate
0.09%
0.44%
0.55%
0.34%
0.15%
0.08%0.08%
1.36%
0.24%
1.20%
0.30%
0.71%
0.18%
0.56%
0.24% 0.21% 0.21%
0.63%
0.50%
0.10% 0.13%
0.59%
0.07%
0.07% 0.06%
0.05%0.05% 0.05%0.05% 0.05%0.04%
0.92%
0.39%
Multifamily Total Serious Delinquency Rate DUS Serious Delinquency Rate Non-DUS Serious Delinquency Rate
Serious Delinquency Rates of Multifamily Book of Business
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due. Serious delinquency rate represents the year-end percentage of unpaid principal balance that is seriously
delinquent as of December 31 for the time periods noted, with the exception of 2017 which is as of March 31.
Under the Delegated Underwriting and Servicing, or DUS, program, Fannie Mae acquires individual, newly originated mortgages from specialy approved DUS lenders using DUS underwriting standards and/or
DUS loan documents. Because DUS lenders generaly share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and service most loans without our pre-review.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 21
(1)
(2)
.
(1)
(2)
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0
20
40
60
UP
B (
$B
)
$19
$33
$19
$24 $22
$46
$34
$19 $17
$24
$33
$29 $29
$42
$55
$17
DUS/Non-DUS Acquisition Unpaid Principal Balance ($B)
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0.0%
0.5%
1.0%
1.5%
2.0%
Cr
ed
it L
os
s R
ate
0.2%
0.0%
0.1% 0.2%
0.0%
0.1%
0.4%
0.0%
0.3%
0.5%
0.0%
0.3%
0.9%
0.2%
0.7%
1.3%
0.9%
1.1%
0.8%
1.4%
1.0%
0.3%
0.1%
0.3%
0.1%
0.0%
0.1%
0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
DUS/Non-DUS Cumulative Credit Loss Rates through March 31, 2017
DUS Credit Loss Rate Non-DUS Credit Loss Rate Multifamily Total Credit Loss Rate
Cumulative Credit Loss Rates of Multifamily Guaranty Book of Business by Acquisition Year
DUS Non-DUS
* Year-to-date through March 31, 2017. Acquisition Year
Cumulative credit loss rate is the cumulative credit losses (gains) through March 31, 2017 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.
Acquisition unpaid principal balance represents the total Multifamily volume acquired through purchase or securitization transactions for the applicable period.
© 2017 Fannie Mae. Trademarks of Fannie Mae. 22
(1)
(2)
(1)
(2)
*
*