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) — Q1 2024 Earnings Presentation
24 slides from Federal National Mortgage Association's earnings presentation, Apr 30, 2024
Slide 1: Q1 2024 Financial Supplement
© 2024 Fannie Mae DRAFT Financial Supplement Q1 2024 April 30, 2024 EXHIBIT 99.2
Slide 2: Presentation notes and terms used
Q1 2024 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-Q for the quarter ended March 31, 2024 ("Q1 2024 Form 10-Q") and Form 10-K for the year ended December 31, 2023 ("2023 For
Slide 3: Table of Contents
Q1 2024 Financial Supplement 3© 2024 Fannie Mae Table 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 Characteristics of
Slide 4: Overview
© 2024 Fannie Mae Overview
Slide 5: Corporate Financial Highlights
Q1 2024 Financial Supplement 5© 2024 Fannie Mae Net income increased $377 million in the first quarter of 2024 compared with the fourth quarter of 2023, primarily driven by a shift to fair value gains and a shift to a benefit for credit losses, partially offset by a decrease in net interest income.
Slide 6: Guaranty Book of Business Highlights
Q1 2024 Financial Supplement 6© 2024 Fannie Mae U P B (D ol la rs in tr illi on s) $3.6 $3.9 $4.1 $4.1 $4.1 $0.4 $0.4 $0.4 $0.5 $0.5 $3.2 $3.5 $3.6 $3.6 $3.6 2020 2021 2022 2023 Q1 2024 $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 7: Interest Income and Liquidity Management
Q1 2024 Financial Supplement 7© 2024 Fannie Mae Interest 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) $24.9 $29.6 $29.4 $28.8 $7.
Slide 8: Key Market Economic Indicators
Q1 2024 Financial Supplement 8© 2024 Fannie Mae 30-year FRM rate(12) 30-year Fannie Mae MBS par coupon rate 10-year Treasury Rate R at e (a s of p er io d en d) 6.7% 3.9% 3.5% 3.7% 3.8% (1.1)% 5.4% 0.7% 3.1% 1.6% 2020 2021 2022 2023 Q1 2024 -5% 0% 5% 10% Key Market Economic Indicators 1.74% 2.34% 3.
Slide 9: Single-Family Business
© 2024 Fannie Mae Single-Family Business
Slide 10: Single-Family Highlights
Q1 2024 Financial Supplement 10© 2024 Fannie Mae Fannie Mae 27% Freddie Mac 26% Ginnie Mae 38% Private-label securities 9% U P B (D ol la rs in b illi on s) $3,632 $3,630 $3,636 $3,638 $3,631 46.6 46.8 47.0 47.2 47.4 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 $0 $1,000 $2,000 $3,000 $4,000 0 10 20 30 4
Slide 11: Credit Characteristics of Single-Family Conventional Loan Acquisitions
Q1 2024 Financial Supplement 11© 2024 Fannie Mae S ha re o f A cq ui si tio ns 30% 33% 62% 86% 85% 51% 43% 13% 4% 6%19% 24% 25% 10% 9% 2020 2021 2022 2023 Q1 2024 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 < 680 760 756 747 755 757 4.0% 6.0% 8.0% 6.0%
Slide 12: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Q1 2024 Financial Supplement 12© 2024 Fannie Mae S er io us D el in qu en cy R at e (% ) 2.87% 1.25% 0.65% 0.55% 0.51% 2020 2021 2022 2023 Q1 2024 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 Mar
Slide 13: Single-Family Credit Risk Transfer
Q1 2024 Financial Supplement 13© 2024 Fannie Mae U P B (D ol la rs in b illi on s) $86 $82 $67 $63 $213 $121 $31 $206 $290 $58 $142 $322 $187 $38 $45 $73 $57 $338 $445 $182 $205 $535 $308 $69 2018 2019 2020 2021 2022 2023 Q1 2024 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol la rs
Slide 14: Single-Family Problem Loan Statistics
Q1 2024 Financial Supplement 14© 2024 Fannie Mae U P B (D ol la rs in b illi on s) N um ber of Loan W orkouts $5.3 $8.4 $16.6 $7.3 $56.0 $62.1 $18.4 $11.2 299.2K 342.7K 167.3K 85.0K 25.8K 2020 2021 2022 2023 Q1 2024 $0 $20 $40 $60 $80 $100 0K 50K 100K 150K 200K 250K 300K R E O E nd in g In ve nt or
Slide 15: Single-Family Cumulative Default Rates
Q1 2024 Financial Supplement 15© 2024 Fannie Mae 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** 2024** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7
Slide 16: Multifamily Business
© 2024 Fannie Mae Multifamily Business
Slide 17: Multifamily Highlights
Q1 2024 Financial Supplement 17© 2024 Fannie Mae U P B (D ol la rs in b illi on s) $445.4 $454.7 $464.7 $470.4 $476.9 78.1 77.4 76.8 76.1 75.8 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 $0 $150 $300 $450 0 25 50 75 U P B (D ol la rs in b illi on s) $10.2 $15.1 $16.4 $11.2 $10.1 Q1 2023 Q2 2023 Q3 2023
Slide 18: Credit Characteristics of Multifamily Loan Acquisitions
Q1 2024 Financial Supplement 18© 2024 Fannie Mae S ha re o f A cq ui si tio ns 93% 89% 78% 99% 100% 7% 11% 22% 2020 2021 2022 2023 Q1 2024 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(5) Cate
Slide 19: Credit Characteristics of Multifamily Guaranty Book of Business
Q1 2024 Financial Supplement 19© 2024 Fannie Mae Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(5) As of March 31, 2024 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutually ex
Slide 20: Multifamily Problem Loan Statistics
Q1 2024 Financial Supplement 20© 2024 Fannie Mae S er io us D el in qu en cy R at e P ercent C riticized0.30% 0.63% 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% 0.46% 0.44% 11% 30% 27% 23% 12% 5% 4% 3% 2% 2% 3% 2% 3% 5% 6% 7% 7% 2008 2009 2010 2011 2012 2013 2014 201
Slide 21: Endnotes
© 2024 Fannie Mae Endnotes
Slide 22: Endnotes
Q1 2024 Financial Supplement 22© 2024 Fannie Mae (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-sha
Slide 23: Endnotes
Q1 2024 Financial Supplement 23© 2024 Fannie Mae Endnotes (14) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2024. Including subsequent data may lead to materially different results. Home price growth rat
Slide 24: Endnotes
Q1 2024 Financial Supplement 24© 2024 Fannie Mae (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 approximately 1