Federal National Mortgage Association · OTC:FNMA

Federal National Mortgage Association — Federal National Mortgage Association Fannie MAE (Fnma, Fnmag, Fnmah, Fnmai, Fnmaj, Fnmak, Fnmal, Fnmam, Fnman, Fnmao, Fnmas, Fnmat, Fnmfm, Fnmfn) — Q3 2023 Earnings Presentation

24 slides from Federal National Mortgage Association's earnings presentation, Oct 31, 2023

  1. Slide 1: Q3 2023 Financial Supplement

    © 2023 Fannie Mae DRAFT Financial Supplement Q3 2023 October 31, 2023 EXHIBIT 99.2

  2. Slide 2: Notes and terms used in presentation

    Q3 2023 Financial Supplement 2© 2023 Fannie Mae DRAFT ▪ Some of the terms and other information in this presentation are defined and discussed more fully in Fannie Mae’s Form 10-Q for the quarter ended September 30, 2023 (“Q3 2023 Form 10-Q”) and Form 10-K for the year ended December 31, 2022 (“2022

  3. Slide 3: Table of Contents

    Q3 2023 Financial Supplement 3© 2023 Fannie Mae DRAFTTable of Contents Overview Corporate Financial Highlights 5 Guaranty Book of Business Highlights 6 Interest Income and Liquidity Management 7 Key Market Economic Indicators 8 Single-Family Business Single-Family Highlights 10 Credit Characteristic

  4. Slide 4: Overview

    © 2023 Fannie Mae DRAFT Overview

  5. Slide 5: Corporate Financial Highlights

    Q3 2023 Financial Supplement 5© 2023 Fannie Mae DRAFT Net income decreased $295 million in the third quarter of 2023, compared with the second quarter of 2023, primarily driven by a decrease in benefit for credit losses, partially offset by an increase in fair value gains. Net interest income Net in

  6. Slide 6: Guaranty Book of Business Highlights

    Q3 2023 Financial Supplement 6© 2023 Fannie Mae DRAFT U P B (D ol la rs in tr illi on s) $3.3 $3.6 $3.9 $4.1 $4.1 $0.3 $0.4 $0.4 $0.4 $0.5 $3.0 $3.2 $3.5 $3.6 $3.6 2019 2020 2021 2022 Q3 YTD 2023 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 Guaranty Book of Business Highlights Outstanding Guaranty Book of Business

  7. Slide 7: Interest Income and Liquidity Management

    Q3 2023 Financial Supplement 7© 2023 Fannie Mae DRAFTInterest Income and Liquidity Management Components of Net Interest Income Net Worth of Fannie Mae Aggregate Indebtedness of Fannie Mae(11) Other Investments Portfolio ("OIP") N et In te re st In co m e (D ol la rs in b illi on s) $21.3 $24.9 $29.

  8. Slide 8: Key Market Economic Indicators

    Q3 2023 Financial Supplement 8© 2023 Fannie Mae DRAFT R at e (a s of p er io d en d) 3.6% 6.7% 3.9% 3.5% 3.5% 3.6% 3.8%3.2% (1.1)% 5.4% 0.7% 2.2% 2.1% 4.9% 2019 2020 2021 2022 Q1 2023 Q2 2023 Q3 2023 -5% 0% 5% 10% Key Market Economic Indicators 0.68% 1.49% 3.83% 4.57% 1.40% 1.97% 5.68% 6.36% 2.90% 3

  9. Slide 9: Single-Family Business

    © 2023 Fannie Mae DRAFT Single-Family Business

  10. Slide 10: Single-Family Highlights

    Q3 2023 Financial Supplement 10© 2023 Fannie Mae DRAFT Fannie Mae 30% Freddie Mac 29% Ginnie Mae 37% Private-label securities 4% U P B (D ol la rs in b illi on s) $3,621 $3,632 $3,632 $3,630 $3,636 46.3 46.5 46.6 46.8 47.0 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 $0 $1,000 $2,000 $3,000 $4,000 0 10 2

  11. Slide 11: Credit Characteristics of Single-Family Conventional Loan Acquisitions

    Q3 2023 Financial Supplement 11© 2023 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 52% 30% 33% 62% 86% 28% 51% 43% 13% 4%20% 19% 24% 25% 10% 2019 2020 2021 2022 Q3 YTD 2023 0% 25% 50% 75% 100% W ei gh te d- Av er ag e FI C O C re di t S co re FIC O C redit S core < 680 749 760 756 747 755 7.3% 4.0

  12. Slide 12: Credit Characteristics of Single-Family Conventional Guaranty Book of Business

    Q3 2023 Financial Supplement 12© 2023 Fannie Mae DRAFT S er io us D el in qu en cy R at e (% ) 0.66% 2.87% 1.25% 0.65% 0.54% 2019 2020 2021 2022 Q3 YTD 2023 0% 1% 2% 3% Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(4)(20)

  13. Slide 13: Single-Family Credit Risk Transfer

    Q3 2023 Financial Supplement 13© 2023 Fannie Mae DRAFT U P B (D ol la rs in b illi on s) $102 $86 $82 $67 $63 $213 $110 $265 $206 $290 $58 $142 $322 $142 $44 $45 $73 $57 $410 $338 $445 $182 $205 $535 $252 2017 2018 2019 2020 2021 2022 Q3 YTD 2023 $0 $200 $400 $600 Single-Family Credit Risk Transfer

  14. Slide 14: Single-Family Problem Loan Statistics

    Q3 2023 Financial Supplement 14© 2023 Fannie Mae DRAFT U P B (D ol la rs in b illi on s) N um ber of Loan W orkouts $7.7 $5.3 $8.4 $16.6 $56.0 $62.1 $18.4 $8.6 56.3K 299.2K 342.7K 167.3K 66.4K 2019 2020 2021 2022 Q3 YTD 2023 $0 $25 $50 $75 $100 $125 0K 50K 100K 150K 200K 250K 300K R E O E nd in g In

  15. Slide 15: Single-Family Cumulative Default Rates

    Q3 2023 Financial Supplement 15© 2023 Fannie Mae DRAFT Time Since Beginning of Origination Year C um ul at iv e D ef au lt R at e 2004* 2005* 2006* 2007* 2008* 2009** 2010** 2011** 2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019** 2020** 2021** 2022** 2023** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7

  16. Slide 16: Multifamily Business

    © 2023 Fannie Mae DRAFT Multifamily Business

  17. Slide 17: Multifamily Highlights

    Q3 2023 Financial Supplement 17© 2023 Fannie Mae DRAFT U P B (D ol la rs in b illi on s) $429.4 $440.4 $445.4 $454.7 $464.7 79.0 78.5 78.1 77.4 76.8 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 $0 $150 $300 $450 0 25 50 75 U P B (D ol la rs in b illi on s) $15.9 $18.6 $10.2 $15.1 $16.4 Q3 2022 Q4 2022 Q1

  18. Slide 18: Credit Characteristics of Multifamily Loan Acquisitions

    Q3 2023 Financial Supplement 18© 2023 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 93% 93% 89% 78% 99% 7% 7% 11% 22% 2019 2020 2021 2022 Q3 YTD 2023 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Pe

  19. Slide 19: Credit Characteristics of Multifamily Guaranty Book of Business

    Q3 2023 Financial Supplement 19© 2023 Fannie Mae DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(5) As of September 30, 2023 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not m

  20. Slide 20: Multifamily Credit Loss and Serious Delinquency Rates

    Q3 2023 Financial Supplement 20© 2023 Fannie Mae DRAFT S er io us D el in qu en cy R at e 0.59% 0.24% 0.10% 0.05% 0.07% 0.05% 0.11% 0.06% 0.04% 0.98% 0.42% 0.24% 0.54% 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Q3 YTD 2023 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% Multifamily Credit L

  21. Slide 21: Endnotes

    © 2023 Fannie Mae DRAFT Endnotes

  22. Slide 22: Endnotes

    Q3 2023 Financial Supplement 22© 2023 Fannie Mae DRAFT (1) Other expenses, net are comprised of debt extinguishment gains and losses, expenses associated with legal claims, foreclosed property income (expense), gains and losses from partnership investments, housing trust fund expenses, loan subservi

  23. Slide 23: Endnotes

    Q3 2023 Financial Supplement 23© 2023 Fannie Mae DRAFT Endnotes (15) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of September 2023. Including subsequent data may lead to materially different results. Home price

  24. Slide 24: Endnotes (continued)

    Q3 2023 Financial Supplement 24© 2023 Fannie Mae DRAFT (29) Includes repayment plans and foreclosure alternatives. Repayment plans reflect only those plans associated with loans that were 60 days or more delinquent. Beginning with the year ended December 31, 2020, completed forbearance arrangements

Federal National Mortgage Association Fannie MAE (Fnma, Fnmag, Fnmah, Fnmai, Fnmaj, Fnmak, Fnmal, Fnmam, Fnman, Fnmao, Fnmas, Fnmat, Fnmfm, Fnmfn) — Q3 2023 Earnings Presentation on 6ix