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) — FY2021 Earnings Presentation
27 slides from Federal National Mortgage Association's earnings presentation, Feb 15, 2022
Slide 1: Financial Supplement Q4 and Full Year 2021
© 2022 Fannie Mae DRAFT Financial Supplement Q4 and Full Year 2021 February 15, 2022 EXHIBIT 99.2
Slide 2: Notes and terms used in presentation
2021 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-K for the year ended December 31, 2021 (“2021 Form 10-K”). This presentation should be reviewed together with the 2021 Form 1
Slide 3: Table of Contents
2021 Financial Supplement 3© 2022 Fannie Mae DRAFTTable of Contents Overview Corporate Financial Highlights 5 Selected Financial Data 6 Guaranty Book of Business Highlights 7 Portfolio and Liquidity Management 8 Key Market Economic Indicators 9 Single-Family Business Single-Family Highlights 11 Cred
Slide 4: Overview
© 2022 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
2021 Financial Supplement 5© 2022 Fannie Mae DRAFTCorporate Financial Highlights (Dollars in millions) 2021 2020 Variance Q4 2021 Q3 2021 Variance Net interest income $29,587 $24,866 $4,721 $7,587 $6,972 $615 Fee and other income 361 462 (101) 60 111 (51) Net revenues 29,948 25,328 4,620 7,647 7,083
Slide 6: Selected Financial Data
2021 Financial Supplement 6© 2022 Fannie Mae DRAFTSelected Financial Data Selected Financial Data (Dollars in millions) As of December 31, 2021 2020 2019 2018 2017 Cash and cash equivalents $ 42,448 $ 38,337 $ 21,184 $ 25,557 $ 32,110 Restricted cash and cash equivalents 66,183 77,286 40,223 23,866
Slide 7: Guaranty Book of Business Highlights
2021 Financial Supplement 7© 2022 Fannie Mae DRAFT U P B (D ol la rs in tr ill io ns ) $3.2 $3.2 $3.3 $3.6 $3.9 $0.3 $0.3 $0.3 $0.4 $0.4 $2.9 $2.9 $3.0 $3.2 $3.5 2017 2018 2019 2020 2021 $0.0 $1.0 $2.0 $3.0 $4.0 Guaranty Book of Business Highlights Outstanding Guaranty Book of Business at Period End
Slide 8: Portfolio and Liquidity Management
2021 Financial Supplement 8© 2022 Fannie Mae DRAFTPortfolio and Liquidity Management Sources of Net Interest Income and Retained Mortgage Portfolio Balance 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 R etained M or
Slide 9: Key Market Economic Indicators
2021 Financial Supplement 9© 2022 Fannie Mae DRAFT R at e (a s of p er io d en d) 4.1% 3.9% 3.6% 6.7% 3.9%2.7% 2.3% 2.6% (2.3)% 5.5% 2017 2018 2019 2020 2021 -10% -5% 0% 5% 10% Key Market Economic Indicators 2.68% 1.92% 0.91% 1.51% 3.50% 2.71% 1.34% 2.07% 4.55% 3.74% 2.67% 3.11% 12/31/2018 12/31/201
Slide 10: Single-Family Business
© 2022 Fannie Mae DRAFT Single-Family Business
Slide 11: Single-Family Highlights
2021 Financial Supplement 11© 2022 Fannie Mae DRAFT Fannie Mae 38% Freddie Mac 34% Ginnie Mae 24% Private-label securities 4% U P B (D ol la rs in b ill io ns ) $3,161 $3,237 $3,325 $3,400 $3,453 44.5 44.9 45.2 45.4 45.5 Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 $0 $1,000 $2,000 $3,000 $4,000 0 10 20
Slide 12: Credit Characteristics of Single-Family Conventional Loan Acquisitions
2021 Financial Supplement 12© 2022 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 56% 65% 52% 30% 33% 20% 12% 28% 51% 43% 22% 22% 20% 19% 24% 2017 2018 2019 2020 2021 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 < 680 745 743 749 760 756 10.6% 11.2% 7.3%
Slide 13: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
2021 Financial Supplement 13© 2022 Fannie Mae DRAFT S er io us D el in qu en cy R at e (% ) 1.24% 2.87% 1.25% 1.24% 0.76% 0.66% 0.66% 0.81% 2017 2018 2019 2020 2021 0% 1% 2% 3% 4% 5% Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan F
Slide 14: Single-Family Credit Risk Transfer
2021 Financial Supplement 14© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $40 $76 $102 $86 $82 $67 $63 $189 $240 $265 $206 $290 $58 $142 $44 $45 $73 $57 $239 $331 $410 $338 $445 $182 $205 2015 2016 2017 2018 2019 2020 2021 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol
Slide 15: Single-Family Conventional Guaranty Book of Business in Forbearance
2021 Financial Supplement 15© 2022 Fannie Mae DRAFTSingle-Family Conventional Guaranty Book of Business in Forbearance Delinquency Status of Loans in Forbearance(33) as of December 31, 2021 Single-Family Loan Forbearance Status(34) As of December 31, 2021 Certain Credit Characteristics of Single-Fam
Slide 16: Single-Family Problem Loan Statistics
2021 Financial Supplement 16© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) N um ber of Loan W orkouts $13.8 $16.6 $7.7 $5.3 $8.4 $56.0 $62.1100.6K 118.1K 56.3K 299.2K 342.7K 2017 2018 2019 2020 2021 $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 0K 50K 100K 150K 200K 250K 300K 350K R E O E
Slide 17: Single-Family Cumulative Default Rates
2021 Financial Supplement 17© 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** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7 Y r8 Y r9 Y r1 0
Slide 18: Multifamily Business
© 2022 Fannie Mae DRAFT Multifamily Business
Slide 19: Multifamily Highlights
2021 Financial Supplement 19© 2022 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $384.5 $399.1 $401.9 $408.1 $413.1 74.5 75.9 76.8 77.5 78.4 Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 $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 ) $27.1 $21.5 $10.9 $16.4 $2
Slide 20: Credit Characteristics of Multifamily Loan Acquisitions
2021 Financial Supplement 20© 2022 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 80% 89% 93% 93% 89% 20% 11% 7% 7% 11% 2017 2018 2019 2020 2021 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(8
Slide 21: Credit Characteristics of Multifamily Guaranty Book of Business
2021 Financial Supplement 21© 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 December 31, 2021 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutua
Slide 22: Multifamily Serious Delinquency, Credit Loss and Forbearance Rates
2021 Financial Supplement 22© 2022 Fannie Mae DRAFT S er io us D el in qu en cy R at e 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% 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% Multifamily Serious Delinquenc
Slide 23: Endnotes
© 2022 Fannie Mae DRAFT Endnotes
Slide 24: Endnotes
2021 Financial Supplement 24© 2022 Fannie Mae DRAFT (1) Other expenses, net are comprised of credit enhancement expense, change in expected credit enhancement recoveries, debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection with
Slide 25: Endnotes
2021 Financial Supplement 25© 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 according t
Slide 26: Endnotes
2021 Financial Supplement 26© 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. (30) Based on the unpaid principal balance of the single-family conventional
Slide 27: Endnotes
2021 Financial Supplement 27© 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 un