Fannie Mae projected a pretax net loss of $21.3 billion from the first quarter of 2017 through the first quarter of 2019 under the severely adverse scenario of the Dodd-Frank Act stress test.

The severely adverse scenario uses a 6.50% decline in GDP from the pre-recession peak and the unemployment rate reaching 10.0%.

Fannie Mae would see $11.9 billion in credit losses, or 0.39% of average portfolio balance during the covered period.

The Federal Housing Finance Agency requires that Fannie Mae disclose stress test results in the severely adverse scenario under a version that does not reflect having to re-establish the valuation reserve on deferred tax assets and under another version that reflects re-establishing the deferred tax asset reserve.

Without re-establishing valuation allowance on the deferred tax assets, Fannie Mae would record a total comprehensive loss of $14.9 billion and additional Treasury draws of $14.3 billion during the nine quarters, leaving $103.3 billion remaining under the preferred stock purchase agreement with the U.S. Treasury Department. With re-establishing valuation allowance on deferred tax assets, Fannie Mae would see a total comprehensive loss of $57.6 billion, $57.0 billion in additional draws and $60.6 billion remaining under the preferred stock purchase agreement.