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) — Q2 2022 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Jul 29, 2022
Slide 1: Financial Supplement Q2 2022
© 2022 Fannie Mae DRAFT Financial Supplement Q2 2022 July 29, 2022 EXHIBIT 99.2
Slide 2: Notes and terms used in this presentation
Q2 2022 Financial Supplement 2© 2022 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 June 30, 2022 (“Q2 2022 Form 10-Q”) and Form 10-K for the year ended December 31, 2021 (“2021 Form
Slide 3: Table of Contents
Q2 2022 Financial Supplement 3© 2022 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
Slide 4: Overview
© 2022 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
Q2 2022 Financial Supplement 5© 2022 Fannie Mae DRAFT Net income increased $245 million in the second quarter of 2022 compared with the first quarter of 2022 driven primarily by an increase in net interest income. Net Interest income • Higher income earned on investments as a result of increases in
Slide 6: Guaranty Book of Business Highlights
Q2 2022 Financial Supplement 6© 2022 Fannie Mae DRAFT U P B (D ol la rs in tr ill io ns ) $3.2 $3.3 $3.6 $3.9 $4.0 $0.3 $0.3 $0.4 $0.4 $0.4 $2.9 $3.0 $3.2 $3.5 $3.6 2018 2019 2020 2021 Q2 YTD 2022 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 Guaranty Book of Business Highlights Outstanding Guaranty Book of Busines
Slide 7: Interest Income and Liquidity Management
Q2 2022 Financial Supplement 7© 2022 Fannie Mae DRAFTInterest Income and Liquidity Management Components of Net Interest Income Net Worth of Fannie Mae Aggregate Indebtedness of Fannie Mae(14) Other Investments Portfolio ("OIP") N et In te re st In co m e (D ol la rs in b ill io ns ) $21.3 $21.3 $24
Slide 8: Key Market Economic Indicators
Q2 2022 Financial Supplement 8© 2022 Fannie Mae DRAFT R at e (a s of p er io d en d) 3.9% 3.6% 6.7% 3.9% 3.6% 3.6% 2.3% 2.6% (2.3)% 5.5% (1.6)% (0.9)% 2018 2019 2020 2021 Q1 2022 Q2 2022 -10% -5% 0% 5% 10% Key Market Economic Indicators 2.01% 0.66% 1.47% 3.01% 2.74% 1.57% 1.83% 4.38% 3.73% 3.13% 3.0
Slide 9: Single-Family Business
© 2022 Fannie Mae DRAFT Single-Family Business
Slide 10: Single-Family Highlights
Q2 2022 Financial Supplement 10© 2022 Fannie Mae DRAFT Fannie Mae 36% Freddie Mac 29% Ginnie Mae 29% Private-label securities 6% U P B (D ol la rs in b ill io ns ) $3,325 $3,400 $3,453 $3,525 $3,591 45.2 45.4 45.5 45.6 45.9 Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022 $0 $1,000 $2,000 $3,000 $4,000 0 10
Slide 11: Credit Characteristics of Single-Family Conventional Loan Acquisitions
Q2 2022 Financial Supplement 11© 2022 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 65% 52% 30% 33% 52% 12% 28% 51% 43% 18% 22% 20% 19% 24% 30% 2018 2019 2020 2021 Q2 YTD 2022 0% 25% 50% 75% 100% W ei gh te d- A ve ra ge F IC O C re di t S co re FIC O C redit S core < 680 743 749 760 756 747 11.2%
Slide 12: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Q2 2022 Financial Supplement 12© 2022 Fannie Mae DRAFT S er io us D el in qu en cy R at e (% ) 0.76% 0.66% 2.87% 1.25% 0.81% 0.66% 0.81% 0.59% 2018 2019 2020 2021 Q2 YTD 2022 0% 1% 2% 3% 4% 5% Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year
Slide 13: Single-Family Credit Risk Transfer
Q2 2022 Financial Supplement 13© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $76 $102 $86 $82 $67 $63 $140 $240 $265 $206 $290 $58 $142 $242 $44 $45 $73 $57 $331 $410 $338 $445 $182 $205 $382 2016 2017 2018 2019 2020 2021 Q2 YTD 2022 $0 $200 $400 $600 Single-Family Credit Risk Transfer
Slide 14: Single-Family Conventional Guaranty Book of Business in Forbearance
Q2 2022 Financial Supplement 14© 2022 Fannie Mae DRAFTSingle-Family Conventional Guaranty Book of Business in Forbearance Delinquency Status of $12.3B UPB in Forbearance(33) as of June 30, 2022 Single-Family Loan Forbearance Status(34) As of June 30, 2022 Certain Credit Characteristics of Single-Fam
Slide 15: Single-Family Problem Loan Statistics
Q2 2022 Financial Supplement 15© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) N um ber of Loan W orkouts $16.6 $7.7 $5.3 $8.4 $11.1 $56.0 $62.1 $12.3 118.1K 56.3K 299.2K 342.7K 111.8K 2018 2019 2020 2021 Q2 YTD 2022 $0 $25 $50 $75 $100 $125 0K 50K 100K 150K 200K 250K 300K R E O E nd in g
Slide 16: Single-Family Cumulative Default Rates
Q2 2022 Financial Supplement 16© 2022 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** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7 Y r8 Y
Slide 17: Multifamily Business
© 2022 Fannie Mae DRAFT Multifamily Business
Slide 18: Multifamily Highlights
Q2 2022 Financial Supplement 18© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $401.9 $408.1 $413.1 $419.8 $425.7 76.8 77.5 78.4 79.3 79.5 Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022 $0 $100 $200 $300 $400 0 10 20 30 40 50 60 70 80 90 U P B (D ol la rs in b ill io ns ) $10.9 $16.4 $20.7 $16.0
Slide 19: Credit Characteristics of Multifamily Loan Acquisitions
Q2 2022 Financial Supplement 19© 2022 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 89% 93% 93% 89% 78% 11% 7% 7% 11% 22% 2018 2019 2020 2021 Q2 YTD 2022 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisitio
Slide 20: Credit Characteristics of Multifamily Guaranty Book of Business
Q2 2022 Financial Supplement 20© 2022 Fannie Mae DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(8) As of June 30, 2022 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutual
Slide 21: Multifamily Serious Delinquency, Credit Loss and Forbearance Rates
Q2 2022 Financial Supplement 21© 2022 Fannie Mae DRAFT 55.9% 17.4% 0.6% 2.7% 18.2% 5.2% S er io us D el in qu en cy R at e 0.71% 0.59% 0.24% 0.10% 0.05% 0.07% 0.05% 0.11% 0.06% 0.04% 0.98% 0.42% 0.34% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Q2 YTD 2022 0.0% 0.2% 0.4% 0.6% 0.8% 1.
Slide 22: Endnotes
© 2022 Fannie Mae DRAFT Endnotes
Slide 23: Endnotes
Q2 2022 Financial Supplement 23© 2022 Fannie Mae DRAFT (1) Other expenses, net are comprised of debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection with certain loss mitigation activities, and gains and losses from partnership
Slide 24: Endnotes
Q2 2022 Financial Supplement 24© 2022 Fannie Mae DRAFT Endnotes (15) Cash equivalents are comprised of overnight repurchase agreements and U.S. Treasuries that have a maturity at the date of acquisition of three months or less. (16) Refers to the U.S. weekly average fixed-rate mortgage rate accordin
Slide 25: Endnotes
Q2 2022 Financial Supplement 25© 2022 Fannie Mae DRAFT (29) Outstanding unpaid principal balance represents the underlying loan balance, which is different from the reference pool balance for CAS and some lender risk-sharing transactions. (30) Based on the unpaid principal balance of the single-fami
Slide 26: Endnotes
Q2 2022 Financial Supplement 26© 2022 Fannie Mae DRAFT Endnotes (44) See https://multifamily.fanniemae.com/financing-options/products for definitions. Loans with multiple product features are included in all applicable categories. (45) Small balance loans refers to multifamily loans with an original