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) — FY2022 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Feb 14, 2023
Slide 1: Financial Supplement Q4 and Full Year 2022
© 2023 Fannie Mae DRAFT Financial Supplement Q4 and Full Year 2022 February 14, 2023 EXHIBIT 99.2
Slide 2: Notes and terms used in this presentation
2022 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-K for the year ended December 31, 2022 (“2022 Form 10-K”). This presentation should be reviewed together with the 2022 Form 1
Slide 3: Table of Contents
2022 Financial Supplement 3© 2023 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
© 2023 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
2022 Financial Supplement 5© 2023 Fannie Mae DRAFT Net income decreased $9.3 billion in 2022, compared with 2021, primarily driven by a shift from benefit for credit losses to provision for credit losses and a shift from investment gains to investment losses, partially offset by an increase in fair
Slide 6: Selected Financial Data
2022 Financial Supplement 6© 2023 Fannie Mae DRAFTSelected Financial Data Selected Financial Data (Dollars in millions) As of December 31, 2022 2021 2020 2019 2018 Cash and cash equivalents $ 57,987 $ 42,448 $ 38,337 $ 21,184 $ 25,557 Restricted cash and cash equivalents 29,854 66,183 77,286 40,223
Slide 7: Guaranty Book of Business Highlights
2022 Financial Supplement 7© 2023 Fannie Mae DRAFT U P B (D ol la rs in tr ill io ns ) $3.2 $3.3 $3.6 $3.9 $4.1 $0.3 $0.3 $0.4 $0.4 $0.4 $2.9 $3.0 $3.2 $3.5 $3.6 2018 2019 2020 2021 2022 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 Guaranty Book of Business Highlights Outstanding Guaranty Book of Business at Perio
Slide 8: Interest Income and Liquidity Management
2022 Financial Supplement 8© 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 ill io ns ) $21.3 $21.3 $24.9
Slide 9: Key Market Economic Indicators
2022 Financial Supplement 9© 2023 Fannie Mae DRAFT R at e (a s of p er io d en d) 3.9% 3.6% 6.7% 3.9% 3.5% 2.3% 2.6% (1.5)% 5.7% 1.0% 2018 2019 2020 2021 2022 -10% -5% 0% 5% 10% Key Market Economic Indicators 1.92% 0.91% 1.51% 3.88%2.71% 1.34% 2.07% 5.39%3.74% 2.67% 3.11% 6.42% 12/31/2019 12/31/2020
Slide 10: Single-Family Business
© 2023 Fannie Mae DRAFT Single-Family Business
Slide 11: Single-Family Highlights
2022 Financial Supplement 11© 2023 Fannie Mae DRAFT Fannie Mae 35% Freddie Mac 31% Ginnie Mae 29% Private-label securities 5% U P B (D ol la rs in b ill io ns ) $3,453 $3,525 $3,591 $3,621 $3,632 45.9 46.0 46.1 46.3 46.5 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $1,000 $2,000 $3,000 $4,000 0 10 20
Slide 12: Credit Characteristics of Single-Family Conventional Loan Acquisitions
2022 Financial Supplement 12© 2023 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 65% 52% 30% 33% 62% 12% 28% 51% 43% 13% 22% 20% 19% 24% 25% 2018 2019 2020 2021 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% 7.3% 4.0%
Slide 13: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
2022 Financial Supplement 13© 2023 Fannie Mae DRAFT S er io us D el in qu en cy R at e (% ) 0.76% 0.66% 2.87% 1.25% 0.65% 2018 2019 2020 2021 2022 0% 1% 2% 3% 4% 5% Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(4)(20) As
Slide 14: Single-Family Credit Risk Transfer
2022 Financial Supplement 14© 2023 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $76 $102 $86 $82 $67 $63 $213 $240 $265 $206 $290 $58 $142 $322$44 $45 $73 $57 $331 $410 $338 $445 $182 $205 $535 2016 2017 2018 2019 2020 2021 2022 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol
Slide 15: Single-Family Problem Loan Statistics
2022 Financial Supplement 15© 2023 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 $16.6 $56.0 $62.1 $18.4 118.1K 56.3K 299.2K 342.7K 167.3K 2018 2019 2020 2021 2022 $0 $25 $50 $75 $100 $125 0K 50K 100K 150K 200K 250K 300K R E O E nd in g In ve nt
Slide 16: Single-Family Cumulative Default Rates
2022 Financial Supplement 16© 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** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7 Y r8 Y r9
Slide 17: Multifamily Business
© 2023 Fannie Mae DRAFT Multifamily Business
Slide 18: Multifamily Highlights
2022 Financial Supplement 18© 2023 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $413.1 $419.8 $425.7 $429.4 $440.4 78.4 79.3 79.5 79.0 78.5 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $150 $300 $450 0 25 50 75 U P B (D ol la rs in b ill io ns ) $20.7 $16.0 $18.7 $15.9 $18.6 Q4 2021 Q1 2022 Q2
Slide 19: Credit Characteristics of Multifamily Loan Acquisitions
2022 Financial Supplement 19© 2023 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 2022 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(5
Slide 20: Credit Characteristics of Multifamily Guaranty Book of Business
2022 Financial Supplement 20© 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 December 31, 2022 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutua
Slide 21: Multifamily Serious Delinquency, Credit Loss and Forbearance Rates
2022 Financial Supplement 21© 2023 Fannie Mae DRAFT 0.1%* 57.3% 14.2% 1.7% 20.8% 5.9% 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% 0.24% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1
Slide 22: Endnotes
© 2023 Fannie Mae DRAFT Endnotes
Slide 23: Endnotes
2022 Financial Supplement 23© 2023 Fannie Mae DRAFT (1) Other expenses, net are comprised of debt extinguishment gains and losses, foreclosed property income (expense), gains and losses from partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in conn
Slide 24: Endnotes
2022 Financial Supplement 24© 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 December 2022. Including subsequent data may lead to materially different results. Home price grow
Slide 25: Endnotes
2022 Financial Supplement 25© 2023 Fannie Mae DRAFT (28) Measured from the borrowers' last paid installment on their mortgages to when the related properties were added to the company's REO inventory for foreclosures completed during the twelve months ended December 31, 2022. Home Equity Conversion
Slide 26: Endnotes
2022 Financial Supplement 26© 2023 Fannie Mae DRAFT Endnotes (42) Includes loans that are no longer in forbearance and are not on a repayment plan. Loans in this population may proceed to other loss mitigation activities, such as foreclosure or modification. (43) Represents multifamily loans that ar