Single Family Credit Insurance Risk Transfer TM
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- Harold Robinson
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1 Single Family Credit Insurance Risk Transfer TM The Insurance Opportunity in U.S. Mortgage Credit March Fannie Mae. Trademarks of Fannie Mae.
2 Disclaimer This presentation contains a number of estimates, forecasts, expectations, beliefs, and other forward-looking statements, including statements regarding economic and housing market conditions, Fannie Mae s future dividend payments to Treasury, and future issuances and the projected performance of Credit Insurance Risk Transfer TM. These estimates, forecasts, expectations, beliefs and other forward-looking statements are based on the company s current assumptions regarding numerous factors and are subject to change. Actual outcomes may differ materially from those reflected in these forwardlooking statements due to a variety of factors, including, but not limited to, those described in Executive Summary, Forward-Looking Statements and Risk Factors in our annual report on Form 10-K for the year ended December 31, 2018 (our 2018 Form 10- K ) and Form 10-Q for the quarter ended September 30, Any forward-looking statements made by Fannie Mae speak only as of the date on which they were made. Fannie Mae is under no obligation to, and expressly disclaims any obligation to, update or alter its forward-looking statements, whether as a result of new information, subsequent events, or otherwise Fannie Mae. Trademarks of Fannie Mae.
3 Contents Program Overview 4 Reinsurance Opportunity 13 Historical Comparative Analysis 20 Investor Resources 31 Appendix 36 3
4 Program Overview 4
5 Who We Are We are America s Housing Partner. Fannie Mae sits at the very heart of the housing industry. We purchase qualifying mortgages from lenders, bundle them into bonds and sell to investors. Lenders use their replenished cash to originate new mortgages, and we use ours to start the process again. This continuous flow of money promotes a healthy housing market. 1 in 3 homes are financed by us. We partner with lenders to create home purchase (single-family) and rental (multifamily) opportunities for millions of Americans across the country. 5
6 Our Single-Family Business Providing liquidity to the housing market and investment options to rates and credit investors. Proceeds from sale of MBS flow back to lender to fund new loans Lender Fannie Mae MBS Interest Rate Investor Originates loans Creates guaranteed MBS & non-guaranteed credit risk securities Purchases MBS & assumes interest rate risk Delivers loans Services loans Pays guaranty fee Securitizes loans. Guarantees principal & interest on MBS in exchange for guaranty fee Credit Risk Securities Credit Investor Purchases credit risk securities & assumes portion of credit risk 6
7 Our Size and Scale U.S. mortgage market dominated by the 30-year Fixed-Rate Mortgage (FRM). Fannie Mae was largest issuer of singlefamily mortgage securities in (2) In Billions Fannie Mae Issuance by Product Type % 2018 Market Share 4% 39% Fannie Mae Freddie Mac Ginnie Mae Private-Label 30-year FRM 15-year FRM 20-year FRM 10-year FRM Other Fixed ARM 25% In 2018, we provided $512B in mortgage liquidity across the country. As of September 2018, U.S. Single Family mortgage debt outstanding totaled $10.3 trillion. Our share stood at nearly $2.9 trillion, roughly 29% of the market. (1) (1) Source: Federal Reserve s Flow of funds (2) For quarter ending December 31,
8 Fannie Mae Credit Risk Transfer Programs We have transferred over $48 billion in single-family credit risk to private market participants since 2013, transferring a portion of the credit risk on $1.6 trillion of UPB. Benchmark Issuer Program Benefits to Investors Program Transparency Innovative credit risk management tools Unique online investor tools and resources Large, geographically diversified loan pools Connecticut Avenue Securities (CAS) The benchmark for U.S. mortgage credit $36 billion transacted since program inception Covering over $1.1 trillion in UPB at issuance* Credit Insurance Risk Transfer TM (CIRT TM ) Attracts diversified insurers/ reinsurers $7.8 billion transacted since program inception Covering over $315 billion in UPB at issuance* Seller/Servicer Risk Sharing Vehicles Customized lender risk sharing transactions $4.4 billion transacted since program inception Covering over $131 billion in UPB at issuance* We strive to provide the greatest possible transparency into the tools and processes that make us the market leader in single-family residential mortgage credit risk management. * Issuance amount (not outstanding UPB) through December 12,
9 CIRT Program Benefits and Volumes $ in Millions 3,000 2,500 2,000 1,500 1, CIRT Risk Transferred Limit of Liability Large, geographically diversified loan pools provide broad exposure to U.S. housing market Fannie Mae acts as an intermediary between the lender and investor to set standards, manage quality, mitigate losses, and maximize value Ongoing, programmatic issuance and flexible design can cover various loan types acquired by Fannie Mae Transparent pricing provided on our webpage for all transactions along with key deal documents and transaction data Powerful investor resources including proprietary analytical tool Data Dynamics Fannie Mae has transferred $7.8 B of risk on $315B of loans under the CIRT program to date. 9
10 Reducing Credit Losses Through a Fully Digital and Secured Mortgage Process Improve quality and drive efficiency by using data and eliminating manual processes throughout the entire lifecycle. EarlyCheck TM Single Source Validation Desktop Underwriter & Desktop Originator Application Program Interfaces Collateral Underwriter Production Execution Mortgage Technology Platform Pricing & Execution Whole Loan /MBS Servicing Execution Tool TM Servicing Marketplace Loan Delivery Fannie Mae Connect TM Loan Quality Connect TM Insights Servicing Servicing Management Default Underwriter TM Default Management Reporting System PAST Lots of paper Complex and manual Time consuming and costly FUTURE Reduced paper by connecting to source data Easier and more efficient Streamlined and automated 10
11 Our Credit Risk Management Approach Lender quality Loan quality Servicing quality Lenders undergo a rigorous approval process prior to doing business with Fannie Mae and must meet ongoing net worth and business operational requirements. Lenders are subject to ongoing oversight through comprehensive operational reviews to assess the effectiveness of their quality control procedures. Loans must be underwritten in accordance with Fannie Mae guidelines. 90% (1) of loans that we acquire are evaluated through Desktop Underwriter (DU ), the industry s most widely used automated underwriting system. 100% of Fannie Mae s single family and condominium appraisals are assessed through Collateral Underwriter (CU ), our proprietary appraisal risk assessment tool. Fannie Mae sets loan servicing standards, acts as Master Servicer, and provides oversight of loan Servicers We set standards for loss mitigation and borrower workout options. Our proprietary servicing tool, Servicing Management Default Underwriter TM (SMDU TM ), automates our servicing policies. Property management We conduct all property management and disposition in-house, managing one of the industry s largest realestate owned portfolios disposing of over 1.7 million homes since Our strategy is to sell non-distressed homes to owner-occupants, helping to maximize sales proceeds, stabilize neighborhoods, and preserve the value of our guaranty book. (1) Approximate 11
12 Credit Risk Management Highlights Fannie Mae is creating process efficiency through its applications. Since 2017, over $593.9BN in UPB delivered to Fannie Mae had one or more origination data attributes validated through DU as part of Day 1 Certainty (2017 Nov 2018) Underwriting Desktop Underwriter Collateral Underwriter 90% 23,000+ of loan deliveries in Users (2) 2018 YTD through DU (1) 1,900+ Lenders/Agents 3,900+ Lenders/agents 34+Million Appraisals collected to date 4.7+ Million Appraisals viewed by lenders since launch Over half of our lenders actively use CU during origination process 100% of single-family and condominium loans go through CU as part of our QC process Servicing Servicing Management Default Underwriter Nearly all 1-2 hours Delinquencies Saved per loan with covered automated loss mitigation Over 850 servicers currently benefit from SMDU through B2B integration or through the SMDU user interface 1.7 million+ Homes disposed of since 2009 (industry s largest distressed portfolio) Loss Mitigation 9.7 Million Visits to homepath.com in 2018 Best execution approach for real estate sales 100% of REO sales managed in-house: resulting in lower costs; higher sales prices, and reduced severities (1) Approximate (2) Since January
13 Reinsurance Opportunity 13
14 CIRT Reference Pool Selection Process Example: 30 year, >60-80 LTV Selection of Acquisitions Fully amortizing, generally 25-year and 30-year fixed-rate (1), 1-4 unit, first lien, conventional Random Division Proportional allocation for CAS Not Refi Plus / Not HARP (2) 60% < Loan-to-Value < 80% 0 x 30 payment history since acquisition Based upon recent acquisition period (random division) Current UPB covered in Credit Insurance Risk Transfer Transaction Other exclusions may apply (1) All loans will have terms greater than 240 months and less than or equal to 360 months. Other minimal exclusion criteria apply. (2) Fannie Mae acquires HARP loans under its Refi Plus initiative, which provides expanded refinance opportunities for eligible Fannie Mae borrowers. 14
15 Reinsurance Deal Structure Fannie Mae has Co-Beneficial Interest in Trust Lender 1 Premium Ceded Reinsurer A Lender 2 Lender 3 Lender 4 Lender X Fannie Mae Loans owned or guaranteed Premium Paid Aggregate XOL Insurance Policy Loss Recoveries Protected Cell Interest & Liability Agreement Quota Share Reinsurance Treaty Trust Agreement Loss Recoveries Reinsurer B Reinsurer C Loans delivered to FNMA under (Mortgage Selling and Servicing Contract) Cut Through Endorsement to QS Reinsurer X 15
16 Insurance Policy Structural Overview Illustration Key Features: 3.60% 0.60% Catastrophic losses (retained by Fannie Mae) 3.00% aggregate limit of liability (risk transferred to reinsurers) 0.60% first loss layer (retained by Fannie Mae) Simple loss structure Structured with retention layer and an aggregate limit of liability Fannie Mae retains first loss (retention) layer If retention layer is exhausted, reinsurers cover actual losses up to aggregate limit of liability Actual loss is determined after property disposition Limit may step down on first anniversary and monthly thereafter depending on level of delinquencies and pool paydowns Partial collateralization of risk exposure, based upon external ratings of reinsurer Termination option at any time on/after Year 5 with a fee paid to reinsurers Clean up call once covered balance <10% initial covered balance without a termination fee 16
17 Limit of Liability Step Down Expected Scenario - Illustration 3.00% 2.75% Balance Paydown Remaining Limit (%) 100% Stepdown typically begins at Month 12 following the effective date and monthly thereafter Remaining Limit (% of Initial Covered Balance) 2.50% 2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% Termination Option 80% 60% 40% 20% UPB Outstanding (% of Initial Covered Balance) Remaining limit of liability will be reduced based on the paydown of the covered pool and balance of delinquent loans Limit stepdown beneficial to reinsurers as collateral requirement declines Fannie Mae has early termination option at Month % 0% Months Since Issuance 17
18 Comparison of Typical CIRT Bulk Deals and Front End Deals Bulk Deal Front-End Deal # of Deals Annually Loan Acquisitions Period 2-9 months prior to inclusion in pool Future acquisition months Fill-up Period N/A months Covered Loans YR FRM 30 YR FRM Limit of Liability Determination At the time of policy execution Limit % determined at the time of policy execution; limit $ determined at the end of the fill-up period Limit of Liability Step Down Monthly Premium Loan Profile Restrictions May begin 12 months following May begin 18 months following effective date effective date and monthly thereafter and monthly thereafter Based on competitive bids; locked in at time of execution Follows standard eligibility; covered loans are disclosed prior to pricing Based on competitive bids for a sample pool of loans, with pricing true-up at end of fill-up period Follows standard eligibility; pricing based upon an indicative reference pool; may include restrictions on final risk attributes of the pool Reinsurer Collateral Collateral amount due at time of execution Collateral posted as covered loan pool is delivered 18
19 2019 CIRT Deal Calendar Fannie Mae will tentatively execute a CIRT Transaction during the dates below: Deal Name Execution of Insurance Policy Product CIRT Q YR FRM CIRT Q YR FRM CIRT FE Q YR FRM CIRT FE Q YR FRM CIRT Q/4Q YR FRM CIRT Q YR FRM CIRT Q YR FRM 19
20 Historical Comparative Analysis 20
21 Acquisition Profile > LTV Historical FRM30 Loan Acquisition Profile Orig Year Original UPB WA Note Rate WA FICO WA DTI WA OLTV WA OCLTV % Purchase % CA WA Risk Layers (1) % Investor % FICO < 680 % Cash-out % DTI $1289.6B 6.50% % 17% % 28.1% 25.8% 22.7% $694.8B 6.17% % 12% % 23.4% 32.3% 32.8% $1321.2B 4.41% % 24% % 3.7% 16.2% 7.6% $1115.9B 4.18% % 20% % 9.2% 15.0% 5.1% CAS/CIRT Eligible Loan Acquisition Profile Orig Year Original UPB WA Note Rate WA FICO WA DTI WA OLTV WA OCLTV % Purchase % CA WA Risk Layers (1) % Investor % FICO < 680 % Cash-out % DTI Q2018 $62.3B 4.46% % 18% % 9.6% 18.8% 23.6% 2Q2018 $82.7B 4.81% % 14% % 9.5% 13.4% 23.3% 3Q2018 $81.6B 4.88% % 14% % 9.8% 13.9% 23.6% 4Q2018 $68.9B 5.08% % 14% % 9.9% 14.1% 24.9% Only loans with LTV between are included. Excludes loans with CLTV >97 Statistics weighted by origination UPB (1) Risk Layers defined as: Investor Property, DTI (rounded to the nearest integer), FICO<680, & Cash-out Refinance (2) Rounded to the nearest integer 21
22 Acquisition Profile LTV CAS/CIRT Eligible Loan Acquisition Profile Orig Date Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Original UPB ($M) $ 14,196 $ 13,356 $ 12,076 $ 10,732 $ 12,841 $ 14,270 $ 15,040 $ 16,507 $ 13,757 $ 13,795 $ 11,997 $ 11,861 $ 12,265 $ 9,732 WA Note Rate 4.3% 4.3% 4.5% 4.7% 4.8% 4.8% 4.9% 4.9% 4.9% 4.9% 5.0% 5.2% 5.2% 5.0% WA FICO WA DTI 36.8% 36.8% 37.2% 37.4% 37.5% 37.3% 37.2% 37.4% 37.5% 37.7% 37.7% 37.9% 38.0% 37.8% WA OLTV 75.4% 75.3% 75.2% 75.5% 75.7% 75.9% 75.9% 75.9% 75.8% 75.8% 75.8% 75.7% 75.7% 75.5% WA CLTV 75.9% 75.9% 75.8% 76.1% 76.2% 76.5% 76.4% 76.3% 76.3% 76.3% 76.3% 76.3% 76.2% 76.0% % Purchase 51.6% 50.6% 50.6% 57.1% 60.3% 66.0% 67.5% 67.1% 64.8% 63.8% 64.5% 63.8% 63.7% 56.8% % CA 23.6% 21.3% 23.1% 21.3% 20.4% 18.2% 17.8% 17.7% 17.5% 17.5% 16.4% 16.3% 18.1% 18.6% WA Risk Layers (1) % Investor 10.1% 10.0% 10.9% 10.9% 9.9% 9.7% 12.2% 10.5% 10.3% 9.6% 11.2% 9.8% 10.6% 10.4% % FICO < % 10.2% 11.2% 12.4% 12.2% 11.4% 10.8% 10.7% 11.5% 10.8% 11.4% 11.5% 11.5% 11.8% % Cashout 29.8% 31.3% 32.9% 30.0% 28.7% 24.9% 24.1% 24.9% 26.6% 27.2% 26.6% 27.2% 26.3% 28.9% %DTI (2) 21.6% 21.9% 23.1% 24.2% 25.2% 24.6% 24.1% 24.5% 24.8% 26.2% 25.9% 26.2% 26.2% 24.9% LTV CAS/CIRT Eligible Loan Acquisition Profile Orig Date Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Original UPB ($M) $ 9,530 $ 8,772 $ 8,513 $ 8,719 $ 10,925 $ 13,188 $ 13,629 $ 14,541 $ 11,924 $ 12,266 $ 10,909 $ 10,625 $ 11,334 $ 8,441 WA Note Rate 4.2% 4.3% 4.4% 4.6% 4.7% 4.8% 4.8% 4.8% 4.9% 4.9% 5.0% 5.1% 5.1% 4.9% WA FICO WA DTI 37.9% 37.9% 38.3% 38.5% 38.5% 38.3% 38.2% 38.2% 38.5% 38.5% 38.6% 38.8% 38.9% 38.9% WA OLTV 92.4% 92.4% 92.6% 92.9% 92.9% 92.9% 92.8% 92.7% 92.8% 92.8% 92.8% 92.8% 92.9% 92.8% WA CLTV 92.5% 92.4% 92.6% 92.9% 92.9% 92.9% 92.8% 92.8% 92.8% 92.8% 92.8% 92.8% 92.9% 92.9% % Purchase 89.2% 88.8% 90.1% 93.2% 94.8% 95.9% 96.4% 96.1% 95.7% 95.6% 95.6% 95.7% 95.3% 92.7% % CA 13.2% 11.3% 13.2% 11.4% 10.7% 9.8% 9.6% 9.7% 9.7% 10.0% 10.0% 9.8% 11.6% 12.0% WA Risk Layers (1) % Investor 0.4% 0.4% 0.4% 0.3% 0.3% 0.4% 0.4% 0.4% 0.4% 0.3% 0.4% 0.4% 0.4% 0.4% % FICO < % 7.6% 7.3% 7.8% 7.7% 7.4% 7.6% 8.1% 9.0% 8.1% 8.4% 8.3% 8.3% 8.7% % Cashout 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% %DTI (2) 21.1% 21.4% 23.1% 24.0% 23.7% 22.4% 21.9% 21.5% 22.6% 23.1% 23.0% 23.1% 23.6% 23.9% (1) Risk Layers defined as: Investor Property, Cash-out Refinance, DTI (rounded to the nearest integer), & FICO < 680 (2) Rounded to the nearest integer Source: Fannie Mae Data, as of Dec 2018 activity date 22
23 Total Mortgage Origination Volume and FICO Credit profile fluctuates with the origination cycle When origination capacity is tight, credit profile is strongest Lower origination volumes mean lenders have more capacity to underwrite to the full credit box Overall profile is heavily levered to profile of refinancings, as purchase profile is more stable 780 $1, $800 FICO $1,200 $1,000 $800 $600 $400 $200 Total Volume in Billions FICO $700 $600 $500 $400 $300 $200 $100 Total Volume in Billions 680 1/1/2000 1/1/2001 1/1/2002 1/1/2003 1/1/2004 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 1/1/2014 1/1/2015 1/1/2016 1/1/2017 1/1/2018 $ /1/2015 4/1/2015 7/1/ /1/2015 1/1/2016 4/1/2016 7/1/ /1/2016 1/1/2017 4/1/2017 7/1/ /1/2017 1/1/2018 4/1/2018 7/1/2018 $0 Origination Month Origination Month Total Volume Purchase FICO Refi FICO Average FICO Total Volume Purchase FICO Refi FICO Average FICO Source: Fannie Mae. Origination estimates for aggregate market
24 DU Model Updates Improvements in Income Data Since Crisis More and higher-quality income data Better quality control resulted in significant reductions in loan defect rates Day 1 Certainty introduced independent data verification 40% 35% 30% 25% 20% % 46 (1) 15% Dynamic Credit Management DU 10.1 (July 2017) Enabled loans with DTI above 45% (up to 50%) to rely on DU s risk assessment Removed DU model overlays, which had set maximum LTV ratio and minimum reserves requirements for those loans 10% 5% 0% 1/1/2000 1/1/2001 1/1/2002 1/1/2003 1/1/2004 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 1/1/2014 1/1/2015 1/1/2016 1/1/2017 1/1/2018 Each loan meets our risk appetite, as modeled in DU % > 50 (1) DU 10.2 (March 2018) 25% Revised DU s risk assessment to limit risk layering Fewer DU approve recommendations on loans with multiple higher-risk characteristics 20% 15% DU 10.3 (December 2018) 10% Enhanced DU s management of multiple risk layers 5% Six months of reserves for cash-out refinances with DTI over 45% (up to 50%) to address increase in high DTI acquisitions 0% 1/1/2000 1/1/2001 1/1/2002 1/1/2003 1/1/2004 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 1/1/2014 1/1/2015 1/1/2016 1/1/2017 1/1/ (1) Rounded to the nearest integer
25 HomeReady Borrowers and Impact on Tails Exclusion of HomeReady borrowers would have resulted in a modest reduction in high DTI cohort and virtually no change to low FICO cohort 30% 25% 20% 15% 10% 5% 0% % DTI (1) 12% 10% 8% 6% 4% 2% 0% % FICO < 680 Without HomeReady With HomeReady Without HomeReady With HomeReady Average DTI Average FICO 39% 38% 37% 36% 35% 34% 33% 32% 31% Without HomeReady With HomeReady Without HomeReady With HomeReady (1) Rounded to the nearest integer 25
26 HomeReady Impact on MI Coverage The key attribute of the HomeReady program is the lowerthan-standard MI levels required for loans with LTV greater than 90% LTV Range (%) Standard MI Coverage (%) Home Ready MI Coverage (%) % 35.0% 25.0% % 30.0% 25.0% % 25.0% 25.0% % 12.0% 12.0% Note: most loans have standard coverage; however, levels may differ on some loans this is disclosed on the loan-level deal file Although chart above shows MI levels that are considered standard, we have historically acquired loans with varying levels of MI coverage Fannie Mae s historical data release provides insights into the historical severities of loans with different levels of MI coverage Reinsurers and investors must estimate loss exposure based upon loan-level attributes of the covered loans, including loan-level MI coverage Historical Loan Count by Mortgage Insurance (MI) % Origination Vintage OLTV MI % All 18 3,724 1, , , ,830 44, , , , ,446 1,145, ,850 9,678 2,020 23, ,318 4,137 2,027 70, , , , ,401 67, ,228 25,355 43, ,374 All 1,122, , ,969 1,996,632 Historical Severity by Mortgage Insurance (MI) % Origination Vintage OLTV MI % All % 29.2% 11.9% 28.0% % 26.1% 14.0% 24.2% % 26.1% 8.1% 22.9% % 19.2% 7.8% 19.6% % 42.0% 10.9% 31.6% % 18.0% 4.6% 18.5% % 34.2% 3.6% 20.3% % 22.0% 2.5% 21.2% All 20.7% 25.8% 9.0% 23.3% Source: Fannie Mae Single Family October 2018 Data Release Light blue cells indicate standard MI% for respective OLTV bucket, while orange cells indicate HomeReady MI% 26
27 Historical Loss Performance Comped Loss of CIRT (>60-80 LTV) Across Vintage Years Bars reflect historical cumulative loss performance re-weighted to the CIRT profile across FICO/CLTV/Risk Layer distribution. Pipeline loss rate is equal to 25% of the pipeline loss re-weighted across the FICO/CLTV/Risk Layer distribution. Pipeline loss is defined as the sum of defaulted UPB on foreclosed loans that have not been disposed and the last UPB for loans that were in D180+ delinquency as of the last activity period. 120 Month DLQ Loss Rate is the historical cumulative loss performance for loans in the origination vintage that were reported as delinquent in the 120 th month since origination (note: loss performance excludes loans that cured after month 120, but still resulted in a credit event). Source: Fannie Mae Data Dynamics. 27
28 Historical Loss Performance >60-80 LTV Total Loss Re-Weighted to 2006 Performance. Dots reflect historical total loss performance re-weighted to all CIRT profiles across FICO/CLTV/Risk Layer distribution 4.0% Retained First Loss Limit of Liability Total Loss Rate 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% CIRT CIRT CIRT CIRT Loss Rate as % of Origination UPB CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT Source: Fannie Mae Data Dynamics. 28
29 Loan Performance Compared to 2001 Vintage CIRT deals to date are outperforming the strong 2001 vintage CIRT Low LTV (61-80 LTV) Ever D90 Performance CIRT High LTV (81-97 LTV) Ever D90 Performance 1.6% 3.5% Ever D90/Original UPB 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% Ever D90/Original UPB 3.0% 2.5% 2.0% 1.5% 1.0% 0.2% 0.5% 0.0% Seasoning (Months since Origination) 2001 CIRT CIRT % Seasoning (Months since Origination) CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT Comped 2001 Comped Ever D90 Performance reflects the unpaid principal balance of all covered loans when they first become 90 day delinquent, divided by the initial balance of the covered pool. Comped line represents 90-day delinquency performance of 2001 acquisitions after removing loans that became delinquent within 6 months of origination and re-weighting the actual experience to the CIRT and profiles across FICO/CLTV/Risk Layer distribution. Risk layers defined as Investor Property, DTI>46 (rounded to the nearest integer), single borrower, and cash-out refinance. The colored lines reflect the actual performance of the CIRT deals to date. 29
30 1.6% Loan Performance Harvey, Irma, Maria, Florence and Michael Removed CIRT Low LTV (61-80 LTV) Ever D90 Performance 3.5% CIRT High LTV (81-97 LTV) Ever D90 Performance Ever D90/Original UPB 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% Ever D90/Original UPB 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Seasoning (Months since Origination) 2001 CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT Comped 0.0% Seasoning (Months since Origination) 2001 CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT CIRT Comped Ever D90 Performance reflects the unpaid principal balance of all covered loans when they first become 90 day delinquent, divided by the initial balance of the covered pool. Comped line represents 90-day delinquency performance of 2001 acquisitions after removing loans that became delinquent within 6 months of origination and re-weighting the actual experience to the CIRT and profiles across FICO/CLTV/Risk Layer distribution. Risk layers defined as Investor Property, DTI>46 (rounded to the nearest integer), single borrower, and cash-out refinance. The colored lines reflect the actual performance of the CIRT deals to date. 30
31 Investor Resources 31
32 Historical Loan-Level Performance Data Provides historical monthly loan performance data on a portion of our single-family book of business to promote better understanding of the credit performance of Fannie Mae mortgage loans Includes a subset of our fully amortizing, full documentation, single-family, conventional fixed-rate mortgage acquisitions since January 2000, and is updated on a quarterly basis to include a new quarter of acquisitions and performance Over 50 data elements per loan, including key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data Investor resources including file layout, glossary, FAQs, web tutorials, and statistical summaries support download of the dataset Notable Enhancements One-click download feature to ease file-download experience Inclusion of one million loans that were modified through HARP, supporting market analysis of high loan-to-value refinance assistance programs Inclusion of fixed-rate loans with 5 year to 25 year terms 32
33 CIRT Loan-Level Data Disclosure Fannie Mae makes over 100 loan-level disclosure fields available to support CIRT analysis Fields include key loan risk factors, loan term characteristics, collateral characteristics, servicing data, and disposition data, such as (not limited to): Loan and Borrower Characteristics Collateral Characteristics Property Type Number of Borrowers Number of Units Occupancy Type HomeReady Program Indicator, and First Time Home Buyer Indicator Original Debt to Income Ratio Original Loan to Value Ratio (LTV) and Combined LTV Ratio (CLTV) Metropolitan Statistical Area High Loan-to-Value Refinance Indicator Borrower FICO and Co-Borrower FICO scores (at origination, deal issuance, and ongoing) Three digit zip code Property Inspection Waiver Flag (1) Servicing Data Servicer Name Loan Payment History Reason and Date as to why a loan balance went to zero Mortgage Insurance Cancellation Indicator Modification Flag Current Loan Delinquency Status Loan Term Characteristics Original and Current Interest Rate Original Loan Term Loan Age Original and Current UPB Origination Date Maturity Date Disposition Data Last Paid Installment Date Foreclosure Date Detailed Proceed Fields Original and Current List Price and Date Disposition Date Detailed Expense Fields (1) Available beginning with CIRT and forward 33
34 Data Dynamics (Illustrative Example) 34
35 Data Dynamics Dashboards (Illustrative Example) Historical Performance Data Gain insights into historical performance trends and relationships to credit performance How do risk profiles compare across vintages? How have loans in different vintages performed over time, from a delinquency, prepay, default, severity, and loss perspective? What is the detailed breakdown of net loss, expenses and proceeds? CIRT Transaction Issuance and Performance View profile composition for outstanding deals, and monthly performance analysis What is the current and at-issuance risk profile of loans underlying existing CIRT deals? How has deal collateral performed through each remittance period? In which risk bucket is most of UPB in each deal concentrated? How does profile/performance compare to other deals? Historical Comparative Analysis Gather insights into potential deal performance by comparing deals across various historical outcomes How would this deal have performed with its risk profile if reference pool was originated in a different year? (comparative) How does the total loss of a comparative deal compare across different vintage years? How does a specific deal loss limit compare to the historical loss experience of similar loans? 35
36 Appendix A. Enterprise Paid Mortgage Insurance (EPMI) 37 B. Mortgage Insurance (MI) Factor 38 C. Summary of Key CIRT Deal Terms 39 D. Insurance Policy Key Terms 40 E. Loan Level Overview of Covered Loans 41 F. How MI Works 43 G. Comparing MI Options 44 H. HomeReady 45 I. Standard Product Features Versus HomeReady 46 J. High LTV Refinance Offering Overview 47 K. Appraisal Waiver 48 36
37 Enterprise Paid Mortgage Insurance (EPMI) Mortgage insurance option available for lenders in lieu of the lender acquiring borrower-paid (BPMI) or lender-paid mortgage insurance (LPMI) Enables lenders to deliver a loan with an LTV >80% to Fannie Mae without the lender-acquired mortgage insurance, in return for an additional loan-level price adjustment fee paid by the lender to Fannie Mae Loans delivered under this option would be covered under a forward insurance agreement, secured by Fannie Mae from an approved insurance provider that may be: A qualified insurer, approved to write EPMI coverage directly to Fannie Mae, which is required to transfer risk to panel of Fannie Mae-approved reinsurers (the reinsurance structure ), or A traditional mortgage insurer that is also approved by Fannie Mae pursuant to the Private Mortgage Insurer Eligibility Requirements (PMIERs) Term of the coverage is 10 years, but policy remains in effect for all loans that are delinquent as of the 120 th month of the policy until they fully cure As with all loans covered by primary MI and included in CAS or CIRT reference pool, Fannie Mae holds CRT investors harmless from any losses resulting from the financial inability of a mortgage insurance provider (including providers of EPMI) to pay claims 37
38 MI Factor Streamline calculation of MI claims, accelerate payment, and reduce uncertainty Investors in CAS and CIRT transactions can now expect timelier, more predictable settlement of MI claims with no expected material impact on aggregate proceeds received MI Factor is used to determine only the foreclosure/property preservation cost component of an MI claim, which typically represents approximately 5% of the claim but requires the most work for all parties involved Current practice of using actual foreclosure/property preservation costs to determine a claim amount is replaced by a calculation that applies a numerical factor to the property value or default UPB (shown below). (1) Factor applied to a given loan determined by using a grid that allows consideration of relevant loan characteristics that impact foreclosure/property preservation costs Factor was developed by back-testing against 13 years of claim data covering a number of economic environments. We found costs can be predicted with great accuracy using four loan attributes: disposition types, geography clusters, statistically-derived home value buckets, and property type buckets To capture changing market dynamics, Fannie Mae will evaluate the selection of loan attributes and determination of factors annually MI Factor Calculation of Foreclosure/Property Preservation Costs Fixed Foreclosure Costs Variable Foreclosure Costs Property Value or Defaulted UPB + Fixed Cost Property Value Min(Days between LPI x Factor or Defaulted x Date and Foreclosure x UPB Date, Allowable Days) Variable Cost Factor (1) Property value is used for Short Sales whereas default UPB is used for REO and Third Party Sales claims. 38
39 Summary of Key CIRT Deal Terms Deal Total Initial Aggregate Limit of Liability Limit % Retention Annual Effective Principal Balance Retention % Premium (bps) Date Term Product LTV $6,418,898,025 $32,094,490 $192,566, % 0.50% /1/ years 30 year FRM > $4,675,764,002 $23,378,820 $116,894, % 0.50% /1/ years 30 year FRM > $8,101,361,988 $40,506,810 $202,534, % 0.50% /1/ years 30 year FRM > $7,047,669,992 $35,238,350 $176,191, % 0.50% /1/ years 30 year FRM > $7,399,926,257 $36,999,631 $184,998, % 0.50% /1/ years 30 year FRM > $4,859,859,121 $24,299,296 $121,496, % 0.50% /1/ years 30 year FRM > $8,229,276,271 $41,146,381 $205,731, % 0.50% /1/ years Fixed period ARM > $8,799,903,325 $43,999,517 $219,997, % 0.50% /1/ years 30 year FRM > $10,673,047,334 $53,365,237 $266,826, % 0.50% /1/ years 30 year FRM > $5,693,715,271 $28,468,576 $142,342, % 0.50% /1/ years 30 year FRM > $9,719,970,271 $48,599,851 $242,999, % 0.50% /1/ years 30 year FRM > $9,027,301,103 $45,136,506 $225,682, % 0.50% /1/ years 30 year FRM > $3,759,916,857 $18,799,584 $93,997, % 0.50% /1/ years 30 year FRM > $10,383,389,918 $51,916,950 $259,584, % 0.50% /1/ years 30 year FRM > $4,000,007,813 $20,000,039 $100,000, % 0.50% /1/ years 30 year FRM > FE-1* $3,699,989,319 $12,949,963 $98,049, % 0.35% /1/ years 30 year FRM > $11,710,240,584 $40,985,842 $204,929, % 0.35% /1/ years year FRM > FE-1* $14,996,811,068 $74,984,055 $374,920, % 0.50% /1/ years year FRM > $18,090,698,569 $90,453,493 $452,267, % 0.50% /1/ years year FRM > $2,300,055,343 $11,500,277 $57,501, % 0.50% /1/ years year FRM > FE-2* $5,199,193,412 $25,995,967 $137,778, % 0.50% /1/ years year FRM > $17,679,827,869 $88,399,139 $486,195, % 0.50% /1/ years year FRM > $2,185,148,173 $10,925,741 $60,091, % 0.50% /1/ years year FRM > $20,765,119,500 $103,825,597 $467,215, % 0.50% /1/ years year FRM > $2,222,080,567 $11,110,403 $49,996, % 0.50% /1/ years year FRM > $16,281,116,305 $40,702,791 $203,513, % 0.25% /1/ years year FRM > $16,876,125,080 $84,380,625 $464,093, % 0.50% /1/ years year FRM > FE -1** $12,000,000,000 $60,000,000 $390,000, % 0.50% /1/ years year FRM > FE -2** $8,000,000,000 $40,000,000 $260,000, % 0.50% /1/ years year FRM > $9,031,228,264 $45,156,141 $270,936, % 0.50% /1/ years year FRM > $1,332,876,412 $6,664,382 $39,986, % 0.50% /1/ years year FRM > $19,347,933,811 $116,087,603 $580,438, % 0.60% /1/ years year FRM > $2,749,666,664 $16,498,000 $82,490, % 0.60% /1/ years year FRM > $7,905,448,916 $47,432,693 $237,163, % 0.60% /1/ years year FRM > $1,129,349,487 $6,776,097 $33,880, % 0.60% /1/ years year FRM > $12,784,981,984 $44,747,437 $191,774, % 0.35% /1/ years year FRM >75-97 *Total Initial Principal Balance, Aggregate Retention, Limit of Liability and Annual Premium reflect completion of fill up period. **Total Amount of UPB for the deal is not to exceed stated UPB, this disclosure will be updated to show the exact UPB amount after the fill-up period has finished Above is a summary of CIRT deal terms that, in some cases, may approximate the definitive terms of CIRT transactions posted on the Fannie Mae website: Definitive deal terms are included in the published deal documents for each CIRT transaction. 39
40 Insurance Policy Key Terms Sample (CIRT ) Insurance Structure Covered Loans: Initial Principal Balance: Limit of Liability: Retention / First Loss Risk: Monthly Premium Rate: Step-Down of Limit Liability: Cancellation: Aggregate excess of loss credit insurance Portfolio of 30-year fixed-rate residential mortgage loans acquired between October 1, 2017 and March 31, 2018 $19.3 Billion (78,369 loans) 3.00% of the total Initial Principal Balance ($580M) 0.60% of the total Initial Principal Balance ($116M) % of remaining UPB At 12 month following effective date, and each month thereafter, limit of liability shall be reduced to the lesser of: a) the Remaining Limit of Liability at such date, or b) the greater of: i. At initial step down, total current UPB x 115% of limit of liability %; thereafter, total current UPB x limit of liability%, or ii. 550% of (SDQ+REO) UPB at year 1 or iii. 425% of (SDQ+REO) UPB at year 2, or iv. 300% of (SDQ+REO) UPB at years 3 and 4, or v. 200% of (SDQ+REO) UPB at year 5 Term 10-year term. Fannie Mae may terminate coverage on/after the fifth anniversary upon payment of an early termination fee 40
41 Loan Level Overview of Covered Loss Default (2 missed payments) Mediation Foreclosure Date Property Disposition Date $100k Home (95% LTV) Foreclosure Proceedings (Typically initiated on 3 rd missed payment) REO Process Loss Applied to CIRT Structure Equity $95k Unpaid Principal Balance (UPB) (1) Delinquent Accrued Interest (2) Maintenance & Preservation (2),(3) Legal Costs (2),(3) Real Estate Taxes/Fees (2),(3) $33k Primary MI Recovery (30% of (UPB + DQ Int + Expenses)) $75k Sale Proceeds $2k Net Loss $108k Sale Proceeds + MI Recovery $15k Interest and expenses (1) Loss covered by Mortgage Insurance (2) The covered loss may be curtailed based upon eligibility under MI policy (3) The covered loss may be estimated under MI factor 41
42 How MI Works: Typical Loan MI Benefit Settled with the Percentage Option MI Coverage acquired by Lender Fannie Mae s requirement for MI Coverage Percent determined by Original LTV Loan Origination Last Paid Installment Servicer Informs MI of 60-day DQ Foreclosure Date Servicer files claim within 60 days of Foreclosure Claim Paid = (Default UPB + DQ Interest + Allowable Expenses) x MI Coverage % Property Disposition Date Potential MI Cancellation due to: Loan amortizes to 78% of original home value (automatic) Property balance reduced to 80% of original value (borrowerinitiated) Current property valuation (borrower-initiated) Loan must be current and meet other requirements Foreclosure Expenses Accrued DQ Interest* Foreclosure Costs ** Asset Recovery Costs ** Associated Taxes ** Misc.** * The covered loss may be curtailed based upon eligibility under MI policy ** The covered loss may be estimated under MI factor Disposition Expenses Accrued Property Preservation Associated Taxes Misc. Residual loss (net of MI Benefit) applied to CIRT structure 90 days after property disposition The claim must be perfected (received all required documentation) within 120 days of claim filing, and settled within 180 days of the perfect date. 42
43 How MI Works Disaster event Under MI Master policies, an MI claim can be denied if there is material physical damage to the property caused by disaster (flood, earthquake, and any event declared so by the Federal Emergency Management Agency (FEMA)) The determination as to whether a disaster event was the principal cause of default is made by: Direct evidence If certain additional criteria are met in totality, some of which may include, but not limited to: The property has not been restored to its condition on the commitment date, reasonable (wear and tear excepted), The property is uninhabitable, The default occurred on or after the date that the physical damage occurred. Other physical damage Claim can be denied in full or result in a reduced benefit if: As of the claim submission date, the property has not been restored to its condition that existed on the commitment date, reasonable wear and tear excepted. The mortgage insurance company reasonably determined that the estimated cost to restore the property to it condition on the commitment date exceeds $5,000 43
44 Comparing MI Options Key Feature BPMI LPMI EPMI Buyer of MI Lender Lender Fannie Mae MI Premium Paid By Borrower Lender Fannie Mae Can borrower lower mortgage payment through MI cancellation? Yes No No MI cancellation provision Must be automatically canceled, e.g., when LTV ratio scheduled to reach 78% May be canceled by borrower based upon paydown of loan or property appreciation None coverage exists for life of loan None, although coverage is for a 10-year term Length / term of coverage Terminates upon cancellation (see MI cancellation provisions above) Life of Loan 10 years, but the policy remains in effect for all loans that are delinquent as of the 120th month of the policy until they fully cure Policy Approved MI companies, selected by borrower/lender Approved MI Companies, selected by borrower/lender Negotiated policy, insurer selected by Fannie Mae Origination Guidelines Fannie Mae and MI guidelines Fannie Mae and MI guidelines Fannie Mae guidelines Loan Quality Reviews Fannie Mae and MI guidelines Fannie Mae and MI guidelines Fannie Mae guidelines Claim Filing Servicer files claims Servicer files claims Fannie Mae files claims 44
45 HomeReady HomeReady is aimed at making homeownership more affordable for creditworthy low- and moderate-income borrowers: Borrower s income must be less than or equal to 100% of area median income (AMI), or The property must be located in a low income census tract (31% of census tracts as of 2017) HomeReady reduces borrower costs: Reduced MI requirements for LTV>90 result in lower monthly payment Lower loan-level price adjustments (LLPAs) help to reduce rate and/or fees charged to the borrower HomeReady loans are underwritten through DU to the same performance expectations as all other Fannie Mae loans 50% 40% 30% 20% 10% 0% 1/1/2000 Low/Mod income lending has consistently been a significant share of Fannie Mae s business Borrower Income Less Than or Equal to 50%/100% of AMI as a Share of >80-97 LTV CIRT-eligible UPB 1/1/2001 1/1/2002 1/1/2003 1/1/2004 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 <=50 AMI <=100 AMI 1/1/2014 1/1/2015 1/1/2016 1/1/2017 1/1/2018 Since rollout in late 2015, HomeReady has captured an increasing share of our low/mod loan acquisitions Previous community lending programs required lenders to manually identify low/mod borrowers With HomeReady, DU proactively identifies eligible borrowers, simplifying the process for lenders This automation allows more eligible borrowers to receive a HomeReady offer Because of the lower monthly payments, lenders can offer eligible borrowers more competitive pricing than under a non-homeready loan 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Jan-16 Mar-16 High LTV Less Than/Equal to 100% AMI Share of Acquisition UPB May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 HomeReady HFA Neither HomeReady nor HFA Nov-18 45
46 Standard Product Features vs HomeReady Product Features Standard Guide HomeReady Purchase and LCOR* Only Maximum LTV (Refer to Fannie Mae Eligibility Matrix for full list) 95% LTV for 1-unit properties, principal residence Up to 97% LTV allowed for First-Time Homebuyers. LTV > 95% must be underwritten through DU LCOR transactions LTV>95-97% must be owned or securitized by Fannie Mae 97% LTV for 1-unit properties, principal residence LTV > 95% must be underwritten through DU LCOR transactions LTV>95-97% must be owned or securitized by Fannie Mae Maximum DTI 50% Same as standard Rental income from subject property and boarder income Non-occupant co-borrower (such as a parent) Documented rental income from subject property is allowed for 2-4 unit properties and investment properties Boarder income generally not allowed Permitted, with criteria for amount of down payment and DTI required from occupant borrower Documented rental income from subject property allowed for 2-4-unit properties (investment properties not eligible) Rental income from a 1-unit property with accessory unit permitted Documented boarder income (e.g., rent paid by roommate) may be allowed if it meets guidelines Same as standard Mortgage Insurance Required for LTV > 80% Reduced MI coverage allowed for approved lenders with pricing adjustment Required for LTV > 80% MI coverage percentage reduced (capped at 25%) for loans with LTV > 90% Gifts, grants, Community Seconds, cash-on-hand and sweat equity as a source of funds for down payment and closing costs Gifts, grants, and Community Seconds are allowed as sources of down payment and closing costs with appropriate documentation Cash-on-hand and sweat equity generally not allowed Same as standard, plus: Cash-on-hand may be allowed with appropriate documentation Sweat equity may be allowed under qualifying programs if so, max LTV is 95% and borrower must contribute at least 3% from own funds for down payment Minimum borrower contribution required from borrower s own funds (whether or not gifts, grants etc., are also present) LTV <=80%: 0% LTV >80%: 1-unit property principal residence: 0% 2-4 unit property: 5% Non-traditional credit Allowed with appropriate documentation Same as standard *LCOR limited cash out refinance LTV <=80%: 0% LTV >80%: 1-unit principal residence property: 0% 2-4 unit property: 3% 46
47 High Loan-to-Value Refinance Offering The high LTV refinance offering provides limited cash-out refinance opportunities to borrowers with existing Fannie Mae mortgages who are making their mortgage payments on time, but whose LTV ratio for a new mortgage exceeds 97% for a one-unit principal residence (1). Without the high LTV refinance offering, borrowers generally may not otherwise have the ability to refinance. The offering applies to mortgage loans acquired by Fannie Mae that were originated on or after October 1, DU File Submission For the loan to be eligible for the offering, at least 15 months must have passed from the note date of the loan being refinanced to the note date of the new loan. Step One Step Two Step Four The refinance must provide one or more of these borrower benefits Reduced monthly payment Lower interest rate Shorter amortization term More stable mortgage product, such as moving from an adjustable-rate mortgage to a fixed-rate mortgage (1) or exceeds the maximum allowable LTV ratio for a limited cash-out refinance for other segments as listed in Fannie Mae s Eligibility Matrix. 47
48 Appraisal Waiver Fannie Mae s appraisal waiver, formerly known as Property Inspection Waiver, leverages Desktop Underwriter (DU ) and Collateral Underwriter (CU ), in an integrated fashion to offer appraisal waivers for certain lower-risk eligible loans Step Two Step Three Step Four DU File Submission DU File Submission DU Eligibility DU Exclusion Eligibility Checks Exclusion Checks CU Eligibility CU Appraisal Waiver Exclusion Eligibility Checks Offered Waiver Offered Exclusion Checks The subject property must have a prior appraisal that was previously submitted through CU. CU will evaluate the quality of the prior appraisal, including a review for overvaluation issues. If the prior appraisal had an overvaluation flag, a waiver will not be offered. If the estimated property value is reasonably supported, the loan may be eligible for a waiver, subject to additional eligibility requirements. The majority of transactions will continue to require an appraisal. Property Inspection Waiver Indicator has been included on CIRT deal files as a loan-level field since October
49 The materials contained in this presentation have been prepared by Fannie Mae for informational purposes only. For the avoidance of doubt, this document shall not constitute an offer to sell securities or a solicitation of an offer to buy securities or to obligate Fannie Mae to issue any securities. This presentation may include "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "expect," "target," "assume," "estimate," "project," "budget," "forecast," "anticipate," "intend," "plan," "may," "will," "could," "should," "believe," "predicts," "potential," "continue," and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results. Factors that could cause actual results to differ include, but are not limited to, higher than expected operating costs, rates of default on the referenced mortgages, changes in interest rates or the availability of financing, the impact of new legislation or regulatory changes on our operations, the impact of any deficiencies in the servicing practices of third parties and anticipated changes in overall market and economic conditions. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Fannie Mae does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in our most recent Form 10-k and Form 10-Q filings with the Securities and Exchange Commission, copies of which are available on our website at All subsequent written and oral forward looking statements concerning Fannie Mae or the matters discussed in these materials are expressly qualified in their entirety by the cautionary statements above. THIS DOCUMENT DOES NOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ISSUES RELATED TO AN INVESTMENT IN THE SECURITIES. PRIOR TO INVESTING IN THE SECURITIES, POTENTIAL INVESTORS SHOULD READ THE FINAL PROSPECUTS ISSUED BY FANNIE MAE RELATING TO THE SECURITIES AND ENSURE THAT THEY FULLY UNDERSTAND THE TERMS OF THE SECURITIES AND ANY APPLICABLE RISKS.
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