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) — FY2023 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Feb 15, 2024
Slide 1: Financial Supplement Q4 and Full Year 2023
© 2024 Fannie Mae DRAFT Financial Supplement Q4 and Full Year 2023 February 15, 2024 EXHIBIT 99.2
Slide 2: Presentation notes and terms used
2023 Financial Supplement 2© 2024 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-K for the year ended December 31, 2023 (“2023 Form 10-K”). This presentation should be reviewed together with the 2023 Form 1
Slide 3: Table of Contents
2023 Financial Supplement 3© 2024 Fannie Mae DRAFTTable of Contents Overview Corporate Financial Highlights 5 Selected Financial Data 6 Guaranty Book of Business Highlights 7 Interest Income and Liquidity Management 8 Key Market Economic Indicators 9 Single-Family Business Single-Family Highlights 1
Slide 4: Overview
© 2024 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
2023 Financial Supplement 5© 2024 Fannie Mae DRAFT Net income increased $4.5 billion in 2023 compared with 2022, primarily driven by a $7.9 billion shift to a benefit for credit losses in 2023 from provision for credit losses in 2022. Net interest income Net interest income remained strong in 2023 p
Slide 6: Selected Financial Data
2023 Financial Supplement 6© 2024 Fannie Mae DRAFTSelected Financial Data Selected Financial Data (Dollars in millions) As of December 31, 2023 2022 2021 2020 2019 Cash and cash equivalents $ 35,817 $ 57,987 $ 42,448 $ 38,337 $ 21,184 Restricted cash and cash equivalents 32,889 29,854 66,183 77,286
Slide 7: Guaranty Book of Business Highlights
2023 Financial Supplement 7© 2024 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 2023 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 Guaranty Book of Business Highlights Outstanding Guaranty Book of Business at Period
Slide 8: Interest Income and Liquidity Management
2023 Financial Supplement 8© 2024 Fannie Mae DRAFTInterest Income and Liquidity Management Components of Net Interest Income Net Worth of Fannie Mae Aggregate Indebtedness of Fannie Mae(10) Corporate Liquidity Portfolio N et In te re st In co m e (D ol la rs in b illi on s) $21.3 $24.9 $29.6 $29.4 $
Slide 9: Key Market Economic Indicators
2023 Financial Supplement 9© 2024 Fannie Mae DRAFT R at e (a s of p er io d en d) 3.6% 6.7% 3.9% 3.5% 3.7% 3.2% (1.1)% 5.4% 0.7% 3.1% 2019 2020 2021 2022 2023 -5% 0% 5% 10% Key Market Economic Indicators 0.91% 1.51% 3.88% 3.88% 1.34% 2.07% 5.39% 5.25% 2.67% 3.11% 6.42% 6.61% 12/31/2020 12/31/2021 12
Slide 10: Single-Family Business
© 2024 Fannie Mae DRAFT Single-Family Business
Slide 11: Single-Family Highlights
2023 Financial Supplement 11© 2024 Fannie Mae DRAFT Fannie Mae 30% Freddie Mac 29% Ginnie Mae 36% Private-label securities 5% U P B (D ol la rs in b illi on s) $3,632 $3,632 $3,630 $3,636 $3,638 46.5 46.6 46.8 47.0 47.2 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 $0 $1,000 $2,000 $3,000 $4,000 0 10 20 3
Slide 12: Credit Characteristics of Single-Family Conventional Loan Acquisitions
2023 Financial Supplement 12© 2024 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 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% 6.0% 8.0
Slide 13: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
2023 Financial Supplement 13© 2024 Fannie Mae DRAFT S er io us D el in qu en cy R at e (% ) 0.66% 2.87% 1.25% 0.65% 0.55% 2019 2020 2021 2022 2023 0% 1% 2% 3% Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(4)(19) As of Dec
Slide 14: Single-Family Credit Risk Transfer
2023 Financial Supplement 14© 2024 Fannie Mae DRAFT U P B (D ol la rs in b illi on s) $102 $86 $82 $67 $63 $213 $121 $265 $206 $290 $58 $142 $322 $187 $44 $45 $73 $57 $410 $338 $445 $182 $205 $535 $308 2017 2018 2019 2020 2021 2022 2023 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D o
Slide 15: Single-Family Problem Loan Statistics
2023 Financial Supplement 15© 2024 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 $7.3 $56.0 $62.1 $18.4 $11.2 56.3K 299.2K 342.7K 167.3K 85.0K 2019 2020 2021 2022 2023 $0 $25 $50 $75 $100 0K 50K 100K 150K 200K 250K 300K R E O E nd in g In ve nt or
Slide 16: Single-Family Cumulative Default Rates
2023 Financial Supplement 16© 2024 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 Y r
Slide 17: Multifamily Business
© 2024 Fannie Mae DRAFT Multifamily Business
Slide 18: Multifamily Highlights
2023 Financial Supplement 18© 2024 Fannie Mae DRAFT U P B (D ol la rs in b illi on s) $440.4 $445.4 $454.7 $464.7 $470.4 78.5 78.1 77.4 76.8 76.1 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 $0 $150 $300 $450 0 25 50 75 U P B (D ol la rs in b illi on s) $18.6 $10.2 $15.1 $16.4 $11.2 Q4 2022 Q1 2023 Q2 20
Slide 19: Credit Characteristics of Multifamily Loan Acquisitions
2023 Financial Supplement 19© 2024 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 2023 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(5) Ca
Slide 20: Credit Characteristics of Multifamily Guaranty Book of Business
2023 Financial Supplement 20© 2024 Fannie Mae DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(5) As of December 31, 2023 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutua
Slide 21: Multifamily Credit Loss and Serious Delinquency Rates
2023 Financial Supplement 21© 2024 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% 0.46% 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% Multifamily Credit Loss and Se
Slide 22: Endnotes
© 2024 Fannie Mae DRAFT Endnotes
Slide 23: Endnotes
2023 Financial Supplement 23© 2024 Fannie Mae DRAFT (1) Consists of costs associated with freestanding credit enhancements, which primarily include the company's Connecticut Avenue Securities® and Credit Insurance Risk TransferTM programs, enterprise-paid mortgage insurance, and certain lender risk-
Slide 24: Endnotes
2023 Financial Supplement 24© 2024 Fannie Mae DRAFT Endnotes (15) Represents, on an annualized basis, the sum of the base guaranty fees charged during the period for the company's single-family conventional guaranty arrangements plus the recognition of any upfront cash payments relating to these gua
Slide 25: 25© (28) This chart does not include loans in an active forbearance arrangement, trial
2023 Financial Supplement 25© 2024 Fannie Mae DRAFT (28) This chart does not include loans in an active forbearance arrangement, trial modifications, loans to certain borrowers who have received bankruptcy relief and repayment plans that have been initiated but not completed. There were approximatel
Slide 26: Endnotes
2023 Financial Supplement 26© 2024 Fannie Mae DRAFT Endnotes (41) Consists of the company's allowance for loan losses, allowance for accrued interest receivable and reserve for guaranty losses. The measurement of loss reserves was impacted by the adoption of the CECL standard on January 1, 2020. See