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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q

    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2022
OR
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from      to         
Commission file number: 0-50231
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
Fannie Mae
Federally chartered corporation
52-0883107
1100 15th Street, NW


800232-6643
Washington,DC20005
(State or other jurisdiction of
incorporation or organization)
(I.R.S. Employer
Identification No.)
(Address of principal executive offices, including zip code)(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: 
Title of each classTrading Symbol(s)Name of each exchange on which registered
NoneN/AN/A
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes      No 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes      No 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
Accelerated filer
Non-accelerated filerSmaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes No 
As of July 15, 2022, there were 1,158,087,567 shares of common stock of the registrant outstanding.



TABLE OF CONTENTS
Page
PART I—Financial Information
Item 1.
Item 2.
Introduction
Executive Summary
Summary of Our Financial Performance
Liquidity Provided in the First Half of 2022
Key Market Economic Indicators
Consolidated Results of Operations
Single-Family Mortgage Market
Single-Family Market Activity
Single-Family Business Metrics
Single-Family Business Financial Results
Single-Family Mortgage Credit Risk Management
Multifamily Mortgage Market
Multifamily Business Metrics
Multifamily Business Financial Results
Multifamily Mortgage Credit Risk Management
Consolidated Credit Ratios and Select Credit Information
Institutional Counterparty Credit Risk Management
Market Risk Management, including Interest-Rate Risk Management
Critical Accounting Estimates
Fannie Mae Second Quarter 2022 Form 10-Q
i


Item 3.
Item 4.
PART II—Other Information
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
Fannie Mae Second Quarter 2022 Form 10-Q
ii

MD&A | Introduction
PART I—FINANCIAL INFORMATION
Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations
We have been under conservatorship, with the Federal Housing Finance Agency (“FHFA”) acting as conservator, since September 6, 2008. As conservator, FHFA succeeded to all rights, titles, powers and privileges of the company, and of any shareholder, officer or director of the company with respect to the company and its assets. The conservator has since provided for the exercise of certain functions and authorities by our Board of Directors. Our directors owe their fiduciary duties of care and loyalty solely to the conservator. Thus, while we are in conservatorship, the Board has no fiduciary duties to the company or its stockholders.
We do not know when or how the conservatorship will terminate, what further changes to our business will be made during or following conservatorship, what form we will have and what ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is terminated or whether we will continue to exist following conservatorship. Members of Congress and the Administration continue to express the importance of housing finance system reform.
We are not currently permitted to pay dividends or other distributions to stockholders. Our agreements with the U.S. Department of the Treasury (“Treasury”) include a commitment from Treasury to provide us with funds to maintain a positive net worth under specified conditions; however, the U.S. government does not guarantee our securities or other obligations. Our agreements with Treasury also include covenants that significantly restrict our business activities. For additional information on the conservatorship, the uncertainty of our future, and our agreements with Treasury, see “Business—Conservatorship, Treasury Agreements and Housing Finance Reform” and “Risk Factors—GSE and Conservatorship Risk” in our Form 10-K for the year ended December 31, 2021 (“2021 Form 10-K”).
You should read this Management’s Discussion and Analysis of Financial Condition and Results of Operations (“MD&A”) in conjunction with our unaudited condensed consolidated financial statements and related notes in this report and the more detailed information in our 2021 Form 10-K. You can find a “Glossary of Terms Used in This Report” in our 2021 Form 10-K.
Forward-looking statements in this report are based on management’s current expectations and are subject to significant uncertainties and changes in circumstances, as we describe in “Forward-Looking Statements.” Future events and our future results may differ materially from those reflected in our forward-looking statements due to a variety of factors, including those discussed in “Risk Factors” and elsewhere in this report and in our 2021 Form 10-K.
Introduction
Fannie Mae is a leading source of financing for mortgages in the United States, with $4.3 trillion in assets as of June 30, 2022. Organized as a government-sponsored entity, Fannie Mae is a shareholder-owned corporation. Our charter is an act of Congress, which establishes that our purposes are to provide liquidity and stability to the residential mortgage market and to promote access to mortgage credit. We were initially established in 1938.
Our revenues are primarily driven by guaranty fees we receive for assuming the credit risk on loans underlying the mortgage-backed securities we issue. We do not originate loans or lend money directly to borrowers. Rather, we work primarily with lenders who originate loans to borrowers. We securitize those loans into Fannie Mae mortgage-backed securities that we guarantee (which we refer to as Fannie Mae MBS or our MBS).
Effectively managing credit risk is key to our business. In exchange for assuming credit risk on the loans we acquire, we receive guaranty fees. These fees take into account the credit risk characteristics of the loans we acquire. Guaranty fees are set at the time we acquire loans and do not change over the life of the loan. How long a loan remains in our guaranty book is heavily dependent on interest rates. When interest rates decrease, a larger portion of our book of business turns over as more loans refinance. On the other hand, as interest rates increase, fewer loans refinance and our book turns over more slowly. Since guaranty fees are set at the time a loan is originated, the impact of any change in guaranty fees on future revenues depends on the rates at which loans in our book of business turn over and new loans are added.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Executive Summary
Executive Summary
Summary of Our Financial Performance
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Net revenues decreased $0.5 billion in the second quarter of 2022 compared with the second quarter of 2021, primarily due to lower amortization income as a result of a higher interest rate environment in the second quarter of 2022, which slowed refinancing activity driving lower prepayment volumes. This was partially offset by higher base guaranty fee income due to higher average charged guaranty fees and an increase in the size of our guaranty book of business, as well as an increase in income from portfolios primarily due to higher yields on assets in our other investments portfolio in the second quarter of 2022 compared with the second quarter of 2021.
Net income decreased $2.5 billion in the second quarter of 2022 compared with the second quarter of 2021, driven primarily by a shift to credit-related expense in the second quarter of 2022 from credit-related income in the second quarter of 2021.
Net worth increased to $56.4 billion as of June 30, 2022 from $51.8 billion as of March 31, 2022. The increase is attributable to $4.6 billion of comprehensive income for the second quarter of 2022.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Executive Summary
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Net revenues increased by $0.2 billion, in the first half of 2022 compared with the first half of 2021, primarily due to higher base guaranty fee income driven by higher average charged guaranty fees and an increase in the size of our guaranty book of business, as well as higher income from portfolios. This was partially offset by lower amortization income as a result of a higher interest rate environment in the first half of 2022, which slowed refinancing activity driving lower prepayment volumes.
Net income decreased $3.1 billion in the first half of 2022 compared with the first half of 2021, primarily driven by a shift to credit-related expense in the first half of 2022 from credit-related income in the first half of 2021.
Net worth increased to $56.4 billion as of June 30, 2022 from $47.4 billion as of December 31, 2021. The increase is attributable to $9.1 billion of comprehensive income for the first half of 2022.

Financial Performance Outlook
We expect lower amortization income in 2022 compared with 2021, driven by reduced refinancing activity due to a higher mortgage interest-rate environment in 2022. In addition, we expect modest credit-related expense in 2022 compared with significant credit-related income in 2021. We expect those factors to result in lower net income in 2022 compared with 2021. See “Key Market Economic Indicators” for a discussion of how home prices, interest rates and other macroeconomic factors can affect our financial results.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Executive Summary
Liquidity Provided in the First Half of 2022
Through our single-family and multifamily business segments, we provided $447 billion in liquidity to the mortgage market in the first half of 2022, enabling the financing of approximately 1.7 million home purchases, refinancings and rental units.
Fannie Mae Provided $447 Billion in Liquidity in the First Half of 2022
Unpaid Principal BalanceUnits
$215B
646K
Single-Family Home Purchases
$197B
727K
Single-Family Refinancings
$35B
292K
Multifamily Rental Units

We continued our commitment to green financing in the first half of 2022, issuing a total of $5.2 billion in multifamily green MBS, $767 million in single-family green MBS, and $781 million in multifamily green resecuritizations. We also issued $4.7 billion in multifamily social MBS and $381 million in multifamily social resecuritizations in the first half of 2022. These green and social bonds were issued in alignment with our Sustainable Bond Framework, which guides our issuances of sustainable debt bonds and sustainable MBS that support energy and water efficiency and housing affordability.
Legislation and Regulation
The information in this section updates and supplements information regarding legislative, regulatory, conservatorship and other developments affecting our business set forth in “Business—Conservatorship, Treasury Agreements and Housing Finance Reform” and “Business—Legislation and Regulation” in our 2021 Form 10-K, as well as in “MD&A—Legislation and Regulation” in our Form 10-Q for the quarter ended March 31, 2022 (“First Quarter 2022 Form 10-Q”). Also see “Risk Factors” in our 2021 Form 10-K and in this report for discussions of risks relating to legislative and regulatory matters.
Equitable Housing Finance Plan
In June 2022, we released our first Equitable Housing Finance Plan, which provides a three-year roadmap for our actions to advance equity in housing finance by working to remove barriers to affordable rental housing and homeownership experienced by members of underserved populations, particularly racial and ethnic groups with a significant homeownership rate disparity. Fannie Mae's Equitable Housing Finance Plan focuses on empowering Black renters and homeowners in three key areas:
Housing Preparation: Helping Black consumers prepare early for sustainable homeownership and access to quality rental housing through credit building and financial education.
Buying or Renting: Removing unnecessary obstacles Black people face in shopping for, acquiring, renting, or mortgaging a home.
Moving in and Maintaining: Enhancing sustainable homeownership so that renters and homeowners can withstand disruptions or temporary hardships and remain stably housed.
We are focusing in this initial plan on the needs of Black homeowners and renters, a population for whom inequities caused by past discriminatory housing practices are particularly profound. While our solutions seek to address the effects of discrimination against Black homeowners and renters, we expect they will benefit borrowers and renters in all populations. In the future, we expect to expand the focus of our equitable housing efforts to address challenges faced by other populations who have been historically underserved by the housing finance system, including Latino homeowners and renters.
Amendment to Enterprise Regulatory Capital Framework: Public Disclosure
In June 2022, FHFA published a final rule amending the enterprise regulatory capital framework by introducing new public disclosure requirements. The requirements include quarterly quantitative and annual qualitative disclosures
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Legislation and Regulation
related to risk management, corporate governance, capital structure, and capital requirements and buffers under the framework’s standardized approach. We expect to provide our first reporting under the rule, based on data as of December 31, 2022, in February 2023.
Amendment to Enterprise Regulatory Capital Framework: Annual Capital Plans
In June 2022, FHFA published a final rule that requires us to submit annual capital plans to FHFA and provide prior notice for certain capital actions. The rule also incorporates the determination of the stress capital buffer into the capital planning process.
The final rule mandates that our capital plans include:
an assessment of the expected sources and uses of capital over the planning horizon;
estimates of projected revenues, expenses, losses, reserves, and pro forma capital levels under a range of scenarios;
a description of all planned capital actions over the planning horizon;
a discussion of how we will, under expected and stressful conditions, maintain capital commensurate with the business risks and continue to serve the housing market; and
a discussion of any expected changes to our business plan that are likely to have a material impact on our capital adequacy or liquidity.
The rule requires that we submit our first capital plan by May 20, 2023.
Upfront Fee for Commingled Securities and Review of the Enterprise Regulatory Capital Framework
On June 14, 2022, we announced a new upfront fee of 50 basis points to create structured securities that include Freddie Mac securities, effective July 1, 2022. We imposed the fee to partially address the cost of capital we are required to hold to guarantee Freddie Mac’s securities. Freddie Mac imposed a similar fee.
On June 23, 2022, FHFA Director Sandra L. Thompson issued a statement regarding the fees in which she affirmed FHFA’s ongoing commitment to Uniform Mortgage-Backed Securities, or UMBS®, the common mortgage-backed securities issued by both Fannie Mae and Freddie Mac. In her statement, Director Thompson indicated that FHFA would continue to monitor UMBS and the to-be-announced (“TBA”) market to ensure they function as intended and that FHFA would continue regular engagement with stakeholders. On June 30, 2022, FHFA issued a follow-up statement indicating that, in light of extensive engagement with mortgage market participants since the announcement of the fee and FHFA’s ongoing commitment to UMBS, FHFA would explore alternatives to ensure the long-term viability of UMBS, including conducting a review of the enterprise regulatory capital framework in the near-term to ensure the framework appropriately reflects the risks of commingled securities. For additional information about UMBS and our structured securities that include Freddie Mac securities, please see “Guaranty Book of Business” in this report and “Business—Mortgage Securitizations—Uniform Mortgage-Backed Securities, or UMBS” in our 2021 Form 10-K.
Appointment of FHFA Director
On June 22, 2022, Sandra L. Thompson was sworn in as the Director of FHFA, following confirmation of her appointment by the Senate in May. Director Thompson had been the Acting Director of FHFA since June 2021.
LIBOR Transition: Proposed Federal Rulemaking
On July 19, 2022, the Board of Governors of the Federal Reserve System (the “Federal Reserve”) published proposed regulations that provide default rules for certain contracts that use LIBOR as the benchmark reference interest rate. The proposed rules implement the “Adjustable Interest Rate (LIBOR) Act” (the “LIBOR Act”), which President Biden signed into law in March 2022. The LIBOR Act establishes a clear and uniform process for replacing LIBOR as the benchmark reference interest rate in existing contracts that do not contain a clearly defined or practicable replacement benchmark rate for when LIBOR is discontinued. LIBOR is currently expected to no longer be published after June 30, 2023. Under the proposed rules, references to the most common tenors of LIBOR in these contracts will be replaced as a matter of law, without the need to be amended, to instead reference the benchmark interest rate identified by the Federal Reserve in the proposal.
The replacement benchmark rates identified by the Federal Reserve in the proposal are based on the Secured Overnight Financing Rate (“SOFR”) and include appropriate “tenor spread adjustments” to reflect historical spreads between LIBOR and SOFR. The proposal provides for separate replacement benchmark rates for derivatives transactions, consumer loans, contracts where a government-sponsored entity is a party, and all other affected
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Legislation and Regulation
contracts. For our LIBOR derivatives trades that mature after June 2023, the related contracts provide that LIBOR will be replaced with SOFR once LIBOR ceases to be published, and these contract provisions are the same as the replacement provisions contained in the proposed rules. For consumer loans, such as single-family adjustable-rate mortgage loans and related MBS, the Federal Reserve has proposed as the LIBOR benchmark replacement (1) a term SOFR rate with the same term as the LIBOR rate that is being replaced (such as 12-month term SOFR to replace 12-month term LIBOR) plus (2) the applicable tenor spread adjustment specified in the proposed rules. For non-consumer contracts where Fannie Mae is a party, such as our multifamily loans and securities, Connecticut Avenue Securities® and REMIC securities, the Federal Reserve has proposed as the LIBOR benchmark replacement (1) the 30-day average SOFR rate plus (2) the applicable tenor spread adjustment specified in the proposed rules. Comments on the proposed rule are due 30 days after the proposed regulations are published in the Federal Register.
The LIBOR Act establishes a safe harbor for market participants that act in accordance with such legislation, shielding them from litigation for selecting and implementing the Federal Reserve-identified replacement rate and related conforming changes. The LIBOR Act and the proposed rule, if adopted as proposed, reduce the risks to us associated with the approaching cessation of LIBOR.
Key Market Economic Indicators
Below we discuss how varying macroeconomic conditions can influence our financial results across different business and economic environments. Our forecasts and expectations are based on many assumptions, subject to many uncertainties and may change, perhaps substantially, from our current forecasts and expectations. For further discussion on housing activity, see “Single-Family Business—Single-Family Mortgage Market” and “Multifamily Business—Multifamily Mortgage Market.”
Selected Benchmark Interest Rates
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(1)Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®. These rates are reported using the latest available data for a given period.
(2)According to Bloomberg.
(3)Refers to the daily rate per the Federal Reserve Bank of New York.

Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Key Market Economic Indicators
How Interest Rates Can Affect Our Financial Results
Net interest income. In a rising interest-rate environment, our other investments portfolio and certain mortgage-related assets earn more interest income while our mortgage loans tend to prepay more slowly. We amortize various cost basis adjustments over the life of the mortgage loan, including those relating to loan-level price adjustments we receive as upfront fees at the time we acquire single-family loans. As a result, any prepayment of a loan results in an accelerated realization of those upfront fees as income. Therefore, as loan prepayments slow, the accelerated realization of amortization income also slows. Conversely, in a declining interest-rate environment, our other investments portfolio and certain mortgage-related assets earn less interest income while our mortgage loans tend to prepay faster, typically resulting in the opposite trend of higher net amortization income from cost basis adjustments on mortgage loans and related debt.
Fair value gains (losses). We have exposure to fair value gains and losses resulting from changes in interest rates, primarily through our mortgage commitment derivatives and risk management derivatives, which we mark to market through earnings. Fair value gains and losses on our mortgage commitment derivatives fluctuate depending on how interest rates and prices move between the time a commitment is opened and when it settles. The net position and composition across the yield curve of our risk management derivatives changes over time. As a result, interest rate changes (increases or decreases) and yield curve changes (parallel, steepening or flattening shifts) will generate varying amounts of fair value gains or losses in a given period.
Credit-related income (expense). Increases in mortgage interest rates tend to lengthen the expected lives of our loans, which generally increases the expected impairment and provision for credit losses on loans, particularly those modified in troubled debt restructuring (“TDR”) arrangements. Decreases in mortgage interest rates tend to shorten the expected lives of our loans, which reduces the impairment and provision for credit losses on such loans. See “Consolidated Results of Operations—Credit-Related Income (Expense)” and “Note 1, Summary of Significant Accounting Policies” for additional information on our adoption of Accounting Standards Update (“ASU”) 2022-02, Financial Instruments – Credit Losses (Topic 326) Troubled Debt Restructurings and Vintage Disclosures (“ASU 2022-02”) on January 1, 2022, resulting in the prospective discontinuation of TDR accounting, and its impact on our financial results.

Single-Family Quarterly Home Price Growth Rate(1)

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(1)Calculated internally using property data on loans purchased by Fannie Mae, Freddie Mac and other third-party home sales data. Fannie Mae’s home price index is a weighted repeat-transactions index, measuring average price changes in repeat sales on the same properties. Fannie Mae’s home price index excludes prices on properties sold in foreclosure. Fannie Mae’s home price estimates are based on preliminary data and are subject to change as additional data becomes available.
How Home Prices Can Affect Our Financial Results
Actual and forecasted home prices impact our provision or benefit for credit losses as well as the growth and size of our guaranty book of business.
Changes in home prices affect the amount of equity that borrowers have in their homes. Borrowers with less equity typically have higher delinquency and default rates.
As home prices increase, the severity of losses we incur on defaulted loans that we hold or guarantee decreases because the amount we can recover from the properties securing the loans increases. Declines in home prices increase the losses we incur on defaulted loans.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Key Market Economic Indicators
As home prices rise, the principal balance of loans associated with purchase money mortgages may increase, causing growth in the size of our guaranty book. Additionally, rising home prices can increase the amount of equity borrowers have in their home, which may lead to an increase in origination volumes for cash-out refinance loans with higher principal balances than the existing loan. Replacing existing loans with newly acquired cash-out refinances can affect the growth and size of our guaranty book.
Home price growth in the first half of 2022 was driven by low levels of housing supply relative to the level of demand. We believe some of this demand was driven by home buyers accelerating home purchases in the first quarter in anticipation of mortgage interest-rate increases.
Our most recent forecast of home price growth is that it will slow from an estimated annual growth rate of 18.9% in 2021 to 16.0% in 2022, with most of this growth having already occurred in the first half of the year. Some recent market indicators suggest that home price growth may be moderating at a faster pace than indicated by our home price forecast. We expect slower home price growth in the second half of 2022 and in 2023, driven by elevated mortgage interest rates, a slowing economy and reduced affordability, especially for low- and moderate-income borrowers. Some regions of the country may also experience home price declines in the latter half of 2022.
New Housing Starts(1)
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(1)According to U.S. Census Bureau and subject to revision.
How Housing Activity Can Affect Our Financial Results
Two key aspects of economic activity that can impact supply and demand for housing and thus mortgage lending are the rates of household formation and housing construction.
Household formation is a key driver of demand for both single-family and multifamily housing as a newly formed household will either rent or purchase a home. Thus, changes in the pace of household formation can affect prices and credit performance as well as the degree of loss on defaulted loans.
Growth of household formation stimulates homebuilding. Homebuilding has typically been a cyclical leader, weakening prior to a slowdown in U.S. economic activity and accelerating prior to a recovery, which contributes to the growth of GDP and employment. However, the housing sector’s performance may vary from its historical precedent due to the many uncertainties surrounding future economic or housing policy as well as the impact of labor and material shortages on the economy and the housing market.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Key Market Economic Indicators
With regard to housing construction, a decline in housing starts results in fewer new homes being available for purchase and potentially a lower volume of mortgage originations. Construction activity can also affect credit losses through its impact on home prices. If the growth of demand exceeds the growth of supply, prices will appreciate and impact the risk profile of newly originated home purchase mortgages, depending on where in the housing cycle the market is. A reduced pace of construction is often associated with a broader economic slowdown and may signal expected increases in delinquency and losses on defaulted loans.
We expect that elevated mortgage rates leading to diminished home purchase affordability, alongside slowing economic growth, will constrain home sales through the remainder of 2022. Additionally, the pace of new construction continues to be affected by supply chain disruptions and labor shortages. Given these constraints, we expect both single-family home sales and housing starts to decline in 2022 compared with 2021.
GDP, Unemployment Rate and Personal Consumption
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(1)Real GDP growth (decline) and personal consumption growth (decline) are based on the quarterly series calculated by the Bureau of Economic Analysis and are subject to revision.
(2)According to the U.S. Bureau of Labor Statistics and subject to revision.
How GDP, the Unemployment Rate and Personal Consumption Can Affect Our Financial Results
Changes in GDP, the unemployment rate and personal consumption can affect several mortgage market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies, which in turn can lead to credit losses.
Economic growth is a key factor for the performance of mortgage-related assets. In a growing economy, employment and income are typically rising, thus allowing borrowers to meet payment requirements, existing homeowners to consider purchasing and moving to another home, and renters to consider becoming homeowners. Homebuilding typically increases to meet the rise in demand. Mortgage delinquencies typically fall in an expanding economy, thereby decreasing credit losses.
In a slowing economy, employment, income growth and housing activity typically slow as an early indicator of reduced economic activity. Typically, as an economic slowdown intensifies, households reduce their spending.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Key Market Economic Indicators
This reduction in consumption then accelerates the slowdown. An economic slowdown can lead to employment losses, impairing the ability of borrowers and renters to meet mortgage and rental payments, thus causing loan delinquencies to rise. Home sales and mortgage originations also typically fall in a slowing economy.
While GDP declined in the first half of 2022, we currently expect modest GDP growth for the remainder of the year, resulting in minimal GDP growth for 2022. We expect that a modest recession is likely to occur beginning in the first quarter of 2023, resulting in an increase in the unemployment rate. We expect our economic outlook will be influenced by a number of factors that are subject to change, such as the persistence of inflationary pressures, the speed at which expected monetary policy tightening is adjusted, the impact of the Russian war in Ukraine on the global economy, the continuance of supply chain disruptions, the degree to which labor supply expands, and other potential impacts of the continued COVID-19 pandemic.
See “Risk Factors” in this report and “Risk Factors—Market and Industry Risk” in our 2021 Form 10-K for further discussion of risks to our business and financial results associated with interest rates, home prices, housing activity and economic conditions.
Consolidated Results of Operations
This section discusses our condensed consolidated results of operations and should be read together with our condensed consolidated financial statements and the accompanying notes.
Summary of Condensed Consolidated Results of Operations
For the Three Months Ended June 30,For the Six Months Ended June 30,
20222021Variance20222021Variance
(Dollars in millions)
Net interest income $7,808 $8,286 $(478)$15,207 $15,028 $179 
Fee and other income81 103 (22)164 190 (26)
Net revenues7,889 8,389 (500)15,371 15,218 153 
Investment gains (losses), net(49)646 (695)(151)691 (842)
Fair value gains (losses), net529 (446)975 1,009 338 671 
Administrative expenses(795)(746)(49)(1,603)(1,494)(109)
Credit-related income (expense):
Benefit (provision) for credit losses(218)2,588 (2,806)(458)3,353 (3,811)
Foreclosed property income (expense)(33)(41)6 (36)42 
Total credit-related income (expense)(251)2,547 (2,798)(452)3,317 (3,769)
TCCA fees(1)
(841)(758)(83)(1,665)(1,489)(176)
Credit enhancement expense(2)
(332)(274)(58)(610)(558)(52)
Change in expected credit enhancement recoveries(3)
(47)(44)(3)13 (75)88 
Other expenses, net(4)
(228)(280)52 (464)(599)135 
Income before federal income taxes5,875 9,034 (3,159)11,448 15,349 (3,901)
Provision for federal income taxes(1,222)(1,882)660 (2,387)(3,204)817 
Net income$4,653 $7,152 $(2,499)$9,061 $12,145 $(3,084)
Total comprehensive income$4,649 $7,120 $(2,471)$9,050 $12,086 $(3,036)
(1)TCCA fees refers to the expense recognized as a result of the 10 basis point increase in guaranty fees on all single-family residential mortgages delivered to us on or after April 1, 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 and as extended by the Infrastructure Investment and Jobs Act, which we remit to Treasury. For more information on TCCA fees, see “Note 1, Summary of Significant Accounting Policies—Related Parties—Transactions with Treasury.”
(2)Consists of costs associated with our freestanding credit enhancements, which primarily include our Connecticut Avenue Securities® (“CAS”) and Credit Insurance Risk TransferTM (“CIRTTM”) programs, enterprise-paid mortgage insurance (“EPMI”) and certain lender risk-sharing programs.
(3)Includes estimated changes in benefits from our freestanding credit enhancements as well as any realized amounts.
(4)Consists 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 investments.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Consolidated Results of Operations
Net Interest Income
Our primary source of net interest income is guaranty fees we receive for managing the credit risk on loans underlying Fannie Mae MBS held by third parties.
Guaranty fees consist of two primary components:
base guaranty fees that we receive over the life of the loan; and
upfront fees that we receive at the time of loan acquisition primarily related to single-family loan-level price adjustments and other fees we receive from lenders, which are amortized into net interest income as cost basis adjustments over the contractual life of the loan. We refer to this as amortization income.
We recognize almost all of our guaranty fee revenue in net interest income because we consolidate the substantial majority of loans underlying our Fannie Mae MBS in consolidated trusts in our condensed consolidated balance sheets. Guaranty fees from these loans account for the difference between the interest income on loans in consolidated trusts and the interest expense on the debt of consolidated trusts.
The timing of when we recognize amortization income can vary based on a number of factors, the most significant of which is a change in mortgage interest rates. In a rising interest-rate environment, our mortgage loans tend to prepay more slowly, which typically results in lower net amortization income. Conversely, in a declining interest-rate environment, our mortgage loans tend to prepay faster, typically resulting in higher net amortization income.
We also recognize net interest income on the difference between interest income earned on the assets in our retained mortgage portfolio and our other investments portfolio (collectively, our “portfolios”) and the interest expense associated with the debt that funds those assets. See “Retained Mortgage Portfolio” and “Liquidity and Capital Management—Liquidity Management—Other Investments Portfolio” for more information about our portfolios.
We recognize fair value changes attributable to movements in benchmark interest rates for mortgage loans and funding debt, and for related interest-rate swaps in hedging relationships, as a component of net interest income, including the amortization of hedge-related basis adjustments on mortgage loans or funding debt and any related interest accrual on the swaps. The income or expense associated with this activity is presented in the “Income from hedge accounting” line item in the table below. See “MD&A—Consolidated Results of Operations—Hedge Accounting Impact” and “Note 1, Summary of Significant Accounting Policies” in our 2021 Form 10-K for more information about our hedge accounting program.
Fannie Mae Second Quarter 2022 Form 10-Q
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MD&A | Consolidated Results of Operations
The table below displays the components of our net interest income from our guaranty book of business, which we discuss in “Guaranty Book of Business,” and from our portfolios, as well as from hedge accounting.
Components of Net Interest Income
For the Three Months Ended June 30,For the Six Months Ended June 30,
20222021Variance20222021Variance
(Dollars in millions)
Net interest income from guaranty book of business:
Base guaranty fee income(1)
$4,078 $3,420 $658 $7,975 $6,617 $1,358 
Base guaranty fee income related to TCCA fees(2)
841 758 83 1,665 1,489 176 
Net amortization income(3)
2,121 3,736 (1,615)4,495 6,262 (1,767)
Total net interest income from guaranty book of business
7,040 7,914 (874)14,135 14,368 (233)
Net interest income from portfolios(4)
711 306 405 953 572 381 
Income from hedge accounting
57 66 (9)119 88 31 
Total net interest income
$7,808 $8,286 $(478)$15,207 $15,028 $179 
Income from hedge accounting included in net interest income:
Fair value gains (losses) on designated risk management derivatives in fair value hedges$(231)$317 $(548)$(1,528)$(861)$(667)
Fair value gains (losses) on hedged mortgage loans held for investment and debt of Fannie Mae(5)
404 (284)688 1,789 875 914 
Contractual interest income (expense) accruals related to interest-rate swaps designated as hedging instruments
(2)54 (56)37 108 (71)
Discontinued hedge-related basis adjustment amortization(114)(21)(93)(179)(34)(145)
Total income from hedge accounting in net interest income$57 $66 $(9)$119 $88 $31 
(1)Excludes revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us.
(2)Represents revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us.
(3)Net amortization income refers primarily to the amortization of premiums and discounts on mortgage loans and debt of consolidated trusts. These cost basis adjustments represent the difference between the initial fair value and the carrying value of these instruments as well as upfront fees we receive at the time of loan acquisition. It does not include the amortization of cost basis adjustments resulting from hedge accounting, which is included in income from hedge accounting.
(4)Includes interest income from assets held in our retained mortgage portfolio and our other investments portfolio, as well as other assets used to support lender liquidity. Also includes interest expense on our outstanding Connecticut Avenue Securities debt.
(5)Amounts are recorded as cost basis adjustments on the hedged loans or debt and amortized over the hedged item’s remaining contractual life beginning at the termination of the hedging relationship. See “Note 8, Derivative Instruments” for additional information on the effect of our fair value hedge accounting program and related disclosures.

Fannie Mae Second Quarter 2022 Form 10-Q
12

MD&A | Consolidated Results of Operations
Net interest income decreased in the second quarter of 2022 compared with the second quarter of 2021, primarily as a result of lower net amortization income, partially offset by higher base guaranty fee income and higher income from portfolios. Net interest income increased in the first half of 2022 compared with the first half of 2021, primarily as a result of higher base guaranty fee income and higher income from portfolios, partially offset by lower net amortization income. More specifically, our net interest income was impacted in the periods by:
Lower net amortization income. Throughout the second quarter and first half of 2022, we were in a higher interest-rate environment and observed lower volumes of refinancing activity compared with the second quarter and first half of 2021, which drove fewer prepayments. Lower prepayment volumes result in a slower turnover of our book of business. As a result, we had lower amortization income in the second quarter and first half of 2022 compared with the second quarter and first half of 2021, with most of the decrease in amortization income occurring in the second quarter of 2022.
Higher base guaranty fee income. An increase in the size of our guaranty book of business combined with higher average charged guaranty fees were the primary drivers of the increase in base guaranty fee income for the second quarter and first half of 2022 compared with the second quarter and first half of 2021.
Higher income from portfolios. Higher income from portfolios in the second quarter and first half of 2022 compared with the second quarter and first half of 2021, was primarily driven by higher yields on assets in our other investments portfolio as a result of increases in interest rates as well as a decrease in interest expense on our funding debt due to a decrease in the average outstanding balance.
We expect refinancing activity to be significantly lower throughout 2022 compared with 2021 levels as we expect interest rates to remain elevated throughout 2022, resulting in fewer borrowers who may benefit from refinancing. As a result, we expect lower amortization income in 2022 compared with 2021.
Fannie Mae Second Quarter 2022 Form 10-Q
13

MD&A | Consolidated Results of Operations
Analysis of Net Interest Income
The table below displays an analysis of our net interest income, average balances and related yields earned on assets and incurred on liabilities. For most components of the average balances, we use a daily weighted average of unpaid principal balance net of unamortized cost basis adjustments. When daily average balance information is not available, such as for mortgage loans, we use monthly averages.
Analysis of Net Interest Income and Yield(1)
For the Three Months Ended June 30,
20222021
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae
$63,702 $945 5.93 %$99,364 $782 3.15 %
Mortgage loans of consolidated trusts
4,021,070 28,137 2.80 3,712,015 24,150 2.60 
Total mortgage loans(2)
4,084,772 29,082 2.85 3,811,379 24,932 2.62 
Mortgage-related securities
4,994 34 2.72 6,637 42 2.53 
Non-mortgage-related securities(3)
131,686 284 0.86 132,921 98 0.29 
Securities purchased under agreements to resell
16,171 28 0.69 61,428 0.03 
Advances to lenders
5,508 27 1.96 7,910 31 1.57 
Total interest-earning assets
$4,243,131 $29,455 2.78 %$4,020,275 $25,107 2.50 %
Interest-bearing liabilities:
Short-term funding debt
$3,125 $(5)0.64 %$3,790 $(1)0.11 %
Long-term funding debt
143,064 (539)1.51 246,045 (673)1.09 
CAS debt
10,046 (128)5.10 14,321 (149)4.16 
Total debt of Fannie Mae
156,235 (672)1.72 264,156 (823)1.25 
Debt securities of consolidated trusts held by third parties
4,024,468 (20,975)2.08 3,742,947 (15,998)1.71 
Total interest-bearing liabilities
$4,180,703 $(21,647)2.07 %$4,007,103 $(16,821)1.68 %
Net interest income/net interest yield
$7,808 0.74 %$8,286 0.81 %
Fannie Mae Second Quarter 2022 Form 10-Q
14

MD&A | Consolidated Results of Operations
For the Six Months Ended June 30,
20222021
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae
$65,006 $1,574 4.84 %$103,372 $1,607 3.11 %
Mortgage loans of consolidated trusts
3,983,347 54,650 2.74 3,658,573 46,678 2.55 
Total mortgage loans(2)
4,048,353 56,224 2.78 3,761,945 48,285 2.57 
Mortgage-related securities
5,234 57 2.18 7,018 84 2.39 
Non-mortgage-related securities(3)
141,707 427 0.60 148,576 215 0.29 
Securities purchased under agreements to resell
18,260 34 0.37 60,769 12 0.04 
Advances to lenders
6,233 53 1.69 9,438 73 1.54 
Total interest-earning assets
$4,219,787 $56,795 2.69 %$3,987,746 $48,669 2.44 %
Interest-bearing liabilities:
Short-term funding debt
$4,019 $(6)0.30 %$6,768 $(4)0.12 %
Long-term funding debt
158,158 (1,089)1.38 252,853 (1,433)1.13 
CAS debt
10,444 (247)4.73 14,561 (302)4.15 
Total debt of Fannie Mae
172,621 (1,342)1.55 274,182 (1,739)1.27 
Debt securities of consolidated trusts held by third parties
3,995,645 (40,246)2.01 3,693,674 (31,902)1.73 
Total interest-bearing liabilities
$4,168,266 $(41,588)2.00 %$3,967,856 $(33,641)1.70 %
Net interest income/net interest yield
$15,207 0.72 %$15,028 0.75 %
(1)Includes the effects of discounts, premiums and other cost basis adjustments.
(2)Average balance includes mortgage loans on nonaccrual status. Interest income from yield maintenance revenue and the amortization of loan fees, primarily consisting of upfront cash fees, was $1.4 billion and $3.2 billion, respectively, for the second quarter of 2022 and first half of 2022, compared with $2.4 billion and $4.9 billion, respectively, for the second quarter of 2021 and first half of 2021.
(3)Consists of cash, cash equivalents and U.S. Treasury securities.
Analysis of Deferred Amortization Income
We initially recognize mortgage loans and debt of consolidated trusts in our condensed consolidated balance sheets at fair value. The difference between the initial fair value and the carrying value of these instruments is recorded as a cost basis adjustment, either as a premium or a discount, in our condensed consolidated balance sheets. We amortize these cost basis adjustments over the contractual lives of the loans or debt. On a net basis, for mortgage loans and debt of consolidated trusts, we are in a premium position with respect to debt of consolidated trusts, which represents deferred income we will recognize in our condensed consolidated statements of operations and comprehensive income as amortization income in future periods.
Deferred Amortization Income Represented by Net Premium Position
on Debt of Consolidated Trusts
(Dollars in billions)
https://cdn.kscope.io/58bbb6baa0aeb437671ae41448668aff-fnm-20220630_g7.jpg
Fannie Mae Second Quarter 2022 Form 10-Q
15

MD&A | Consolidated Results of Operations
Investment Gains (Losses), Net
Investment gains (losses), net primarily includes gains and losses recognized on the sale of available-for-sale (“AFS”) securities, the sale of loans, gains and losses recognized on the consolidation and deconsolidation of securities, and lower of cost or fair value adjustments on held-for-sale (“HFS”) loans.
The shift from net investment gains in the second quarter and first half of 2021 to net investment losses in the second quarter and first half of 2022 was primarily driven by a significant decrease in the volume of single-family reperforming loan sales coupled with lower loan sale prices in 2022.
Fair Value Gains (Losses), Net
The estimated fair value of our derivatives, trading securities and other financial instruments carried at fair value may fluctuate substantially from period to period because of changes in interest rates, the yield curve, mortgage and credit spreads and implied volatility, as well as activity related to these financial instruments.
As discussed below in “Impact of Hedge Accounting on Fair Value Gains (Losses), Net,” we apply fair value hedge accounting to reduce earnings volatility in our financial statements driven by changes in interest rates. Accordingly, we recognize the fair value gains and losses and the contractual interest income and expense associated with risk management derivatives designated in qualifying hedging relationships in net interest income.
The table below displays the components of our fair value gains and losses, which includes the impact of hedge accounting.
Fair Value Gains (Losses), Net
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
(Dollars in millions)
Risk management derivatives fair value gains (losses) attributable to:
Net contractual interest income (expense) on interest-rate swaps$(30)$61 $(2)$104 
Net change in fair value during the period(219)374 (1,702)(637)
Impact of hedge accounting 233 (371)1,491 753 
Risk management derivatives fair value gains (losses), net(16)64 (213)220 
Mortgage commitment derivatives fair value gains (losses), net
844 (553)2,416 529 
Credit enhancement derivatives fair value losses, net
(29)(18)(51)(108)
Total derivatives fair value gains (losses), net
799 (507)2,152 641 
Trading securities gains (losses), net
(665)161 (2,435)(597)
Long-term debt fair value gains (losses), net(1)
558 (89)1,637 284 
Other, net(2)
(163)(11)(345)10 
Fair value gains (losses), net$529 $(446)$1,009 $338 
(1)Consists of fair value gains and losses on CAS and non-CAS debt held at fair value.
(2)Consists primarily of fair value gains and losses on mortgage loans held at fair value.
Fair value gains, net in the second quarter and first half of 2022 were primarily driven by:
increases in the fair value of mortgage commitment derivatives due to gains on commitments to sell mortgage-related securities as prices decreased during the commitment period due to rising interest rates and widening of the secondary spread, which is the spread between the 30-year MBS current coupon yield and 10-year U.S. Treasury rate; and
gains on the fair value of long-term debt of consolidated trusts held at fair value, also due to rising interest rates and widening of the secondary spread.
These gains were partially offset by fair value losses in the second quarter and first half of 2022 on trading securities, primarily driven by increases in U.S. Treasury yields, which resulted in losses on fixed-rate securities held in our other investments portfolio.
Fannie Mae Second Quarter 2022 Form 10-Q
16

MD&A | Consolidated Results of Operations
Fair value losses, net in the second quarter of 2021 were primarily driven by decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period as interest rates declined. These losses were partially offset by gains on trading securities due to decreases in U.S. Treasury yields during the second quarter of 2021, which resulted in gains on fixed-rate securities held in our other investments portfolio as prices rose.
Fair value gains, net in the first half of 2021 were primarily driven by:
increases in the fair value of mortgage commitment derivatives due to gains on commitments to sell mortgage-related securities as prices decreased during the commitment period as interest rates increased; and
gains on the fair value of long-term debt of consolidated trusts held at fair value, due to increases in interest rates.
These gains were partially offset by fair value losses in the first half of 2021 on trading securities, primarily driven by increases in interest rates during the first quarter of 2021, which resulted in losses on fixed-rate securities held in our other investments portfolio.
Impact of Hedge Accounting on Fair Value Gains (Losses), Net
Our earnings can experience volatility due to interest-rate changes and differing accounting treatments that apply to certain financial instruments on our balance sheet. To help address this volatility, we began applying fair value hedge accounting in January 2021 to reduce the current-period impact on our earnings related to changes in specified benchmark interest rates. Hedge accounting aligns the timing of when we recognize fair value changes in hedged items attributable to these benchmark interest-rate movements with fair value changes in the hedging instrument. For additional discussion on the purpose and structure of our hedge accounting program, see “Risk Management—Market Risk Management, including Interest-Rate Risk Management—Earnings Exposure to Interest-Rate Risk.”
The table below displays the amount of contractual interest accruals and fair value gains and losses related to designated interest-rate swaps in qualifying hedging relationships that are recognized in “Net interest income” rather than “Fair value gains (losses), net” as a result of hedge accounting. Derivatives not in hedging relationships are not affected.
Impact of Hedge Accounting on Fair Value Gains (Losses), Net
For the Three Months Ended June 30,
For the Six Months Ended June 30,
2022202120222021
(Dollars in millions)
Net contractual interest income (expense) accruals related to interest-rate swaps designated as hedging instruments recognized in net interest income$(2)$