UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): February 14, 2023
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
Fannie Mae
| Federally chartered corporation | ||||||||||||||||||||||||||||||||
| (State or other jurisdiction of incorporation) | (Commission File Number) | (IRS Employer Identification No.) | (Address of principal executive offices, including zip code) | (Registrant’s telephone number, including area code) | ||||||||||||||||||||||||||||
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):
| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | |||||
| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) | |||||
| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | |||||
| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) | |||||
Securities registered pursuant to Section 12(b) of the Act:
| Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
| None | N/A | N/A | ||||||
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§203.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
| 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. ☐
The information in this report, including information contained in the exhibits submitted with this report, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to Fannie Mae (formally known as the Federal National Mortgage Association), except to the extent, if any, expressly incorporated by specific reference in that document.
Item 2.02 Results of Operations and Financial Condition.
On February 14, 2023, Fannie Mae filed its annual report on Form 10-K for the year ended December 31, 2022 and is issuing a press release reporting its financial results for the periods covered by the Form 10-K. Copies of the press release and a financial supplement are furnished as Exhibits 99.1 and 99.2, respectively, to this report and are incorporated herein by reference. Copies may also be found on Fannie Mae’s website, www.fanniemae.com, in the “About Us” section under “Investor Relations/Quarterly and Annual Results.” Information appearing on the company’s website is not incorporated into this report.
Item 9.01 Financial Statements and Exhibits.
(d) Exhibits. The following exhibits are being submitted with this report:
| Exhibit Number | Description of Exhibit | |||||||
| 99.1 | ||||||||
| 99.2 | ||||||||
| 104 | Cover Page Interactive Data File (embedded within the Inline XBRL document) | |||||||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | ||||||||
| By: | /s/ Chryssa C. Halley | |||||||
| Chryssa C. Halley | ||||||||
| Executive Vice President and Chief Financial Officer | ||||||||
Date: February 14, 2023
Contact: Pete Bakel Resource Center: 1-800-232-6643
202-752-2034 Exhibit 99.1
Date: February 14, 2023
Fannie Mae Reports Net Income of $12.9 Billion for 2022 and $1.4 Billion for Fourth Quarter 2022
| • | $12.9 billion annual net income and $1.4 billion fourth quarter 2022 net income, with net worth reaching $60.3 billion as of December 31, 2022 | “Our 2022 results reflect a housing market in transition. We’re proud that Fannie Mae helped approximately 2.6 million households buy, refinance, or rent a home last year, while generating solid earnings and continuing to build our net worth. We expect there will be economic headwinds in 2023 and that housing affordability will continue to remain a challenge for many homebuyers and renters. We also know that Fannie Mae has the capabilities and dedication to help provide liquidity and stability, and to support homebuyers and renters throughout all economic cycles.” Priscilla Almovodar, Chief Executive Officer | ||||||||||||
| • | Net income decreased $9.3 billion in 2022 compared with 2021, primarily driven by a $11.4 billion shift to provision for credit losses and a $1.6 billion shift to investment losses, partially offset by a $1.1 billion increase in fair value gains | |||||||||||||
| • | $684 billion in liquidity provided to the mortgage market in 2022 | |||||||||||||
| • | Acquired approximately 1,151,000 single-family purchase loans, of which more than 45% were for first-time homebuyers, and 886,000 single-family refinance loans during 2022 | |||||||||||||
| • | Approximately 598,000 units of rental housing financed in 2022, a significant majority of which were affordable to households earning at or below 120% of area median income, providing support for both workforce and affordable housing | |||||||||||||
| • | Home price growth on a national basis decreased from 18.6% in 2021 to 9.2% in 2022; annual home price growth in 2022 reflected home price increases in the first half of 2022, partially offset by home price declines of 1.4% in the second half of 2022 | |||||||||||||
| • | The U.S. weekly average 30-year fixed-rate mortgage rate increased from 3.11% as of the end of 2021 to 6.42% as of the end of 2022 | |||||||||||||
Q4 and Full Year 2022 Key Results | |||||||||||||||||||||||||||||||||||
$60.3 Billion Net Worth | $684 Billion Supporting Housing Activity | ||||||||||||||||||||||||||||||||||
Increase of $12.9 billion in 2022 | SF Home Purchases | SF Refinancings | MF Rental Units | ||||||||||||||||||||||||||||||||
$1.4 Billion Net Income for Q4 2022 | Serious Delinquency Rates | |||||||||||||||||||
Decrease of $1.0 billion compared with third quarter 2022 | Single-Family SDQ Rate | Multifamily SDQ Rate | ||||||||||||||||||
Fourth Quarter and Full Year 2022 Results | 1 | |||||||
| Summary of Financial Results | ||||||||||||||||||||||||||||||||||||||||||||||||||
| (Dollars in millions) | 2022 | 2021 | Variance | % Change | Q422 | Q322 | Variance | % Change | ||||||||||||||||||||||||||||||||||||||||||
| Net interest income | $ | 29,423 | $ | 29,587 | $ | (164) | (1) | % | $ | 7,092 | $ | 7,124 | $ | (32) | — | % | ||||||||||||||||||||||||||||||||||
| Fee and other income | 312 | 361 | (49) | (14) | % | 43 | 105 | (62) | (59) | % | ||||||||||||||||||||||||||||||||||||||||
| Net revenues | 29,735 | 29,948 | (213) | (1) | % | 7,135 | 7,229 | (94) | (1) | % | ||||||||||||||||||||||||||||||||||||||||
| Investment gains (losses), net | (297) | 1,352 | (1,649) | NM | 26 | (172) | 198 | NM | ||||||||||||||||||||||||||||||||||||||||||
| Fair value gains (losses), net | 1,284 | 155 | 1,129 | NM | (17) | 292 | (309) | NM | ||||||||||||||||||||||||||||||||||||||||||
| Administrative expenses | (3,329) | (3,065) | (264) | (9) | % | (856) | (870) | 14 | 2 | % | ||||||||||||||||||||||||||||||||||||||||
| Benefit (provision) for credit losses | (6,277) | 5,130 | (11,407) | NM | (3,283) | (2,536) | (747) | (29) | % | |||||||||||||||||||||||||||||||||||||||||
| TCCA fees | (3,369) | (3,071) | (298) | (10) | % | (854) | (850) | (4) | — | % | ||||||||||||||||||||||||||||||||||||||||
| Credit enhancement expense | (1,323) | (1,051) | (272) | (26) | % | (349) | (364) | 15 | 4 | % | ||||||||||||||||||||||||||||||||||||||||
| Change in expected credit enhancement recoveries | 727 | (194) | 921 | NM | 424 | 290 | 134 | 46 | % | |||||||||||||||||||||||||||||||||||||||||
| Other expenses, net* | (918) | (1,255) | 337 | 27 | % | (306) | (154) | (152) | (99) | % | ||||||||||||||||||||||||||||||||||||||||
| Income before federal income taxes | 16,233 | 27,949 | (11,716) | (42) | % | 1,920 | 2,865 | (945) | (33) | % | ||||||||||||||||||||||||||||||||||||||||
| Provision for federal income taxes | (3,310) | (5,773) | 2,463 | 43 | % | (494) | (429) | (65) | (15) | % | ||||||||||||||||||||||||||||||||||||||||
| Net income | $ | 12,923 | $ | 22,176 | $ | (9,253) | (42) | % | $ | 1,426 | $ | 2,436 | $ | (1,010) | (41) | % | ||||||||||||||||||||||||||||||||||
| 2,433 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Total comprehensive income | $ | 12,920 | $ | 22,098 | $ | (9,178) | (42) | % | $ | 1,437 | $ | 2,433 | $ | (996) | (41) | % | ||||||||||||||||||||||||||||||||||
| Net worth | $ | 60,277 | $ | 47,357 | $ | 12,920 | 27 | % | $ | 60,277 | $ | 58,840 | $ | 1,437 | 2 | % | ||||||||||||||||||||||||||||||||||
| NM - Not meaningful | ||||||||||||||||||||||||||||||||||||||||||||||||||
* Other expenses, net consists of debt extinguishment gains (losses), foreclosed property income (expense), gains (losses) from partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights | ||||||||
Net income decreased $9.3 billion in 2022, compared with 2021, primarily driven by a $11.4 billion shift from benefit for credit losses to provision for credit losses and a $1.6 billion shift from investment gains to investment losses, partially offset by a $1.1 billion increase in fair value gains. | ||||||||
| • | Net interest income was relatively flat in 2022 compared with 2021, as lower amortization income was offset by higher income from portfolios and higher base guaranty fee income. | |||||||
| • | Provision for credit losses was $6.3 billion in 2022, compared with a benefit for credit losses of $5.1 billion in 2021. •Single-family provision in 2022 was primarily driven by decreases in forecasted home prices, the overall credit risk profile of the company’s newly acquired loans, and rising interest rates. •Multifamily provision in 2022 was primarily driven by an increase in expected credit losses on the company’s seniors housing portfolio, which has been disproportionately impacted by recent market conditions, as well as higher actual and projected interest rates. | |||||||
| • | Investment losses were $297 million in 2022, compared with investment gains of $1.4 billion in 2021. Net investment losses in 2022 were primarily driven by a significant decrease in the market value of single-family loans that resulted in valuation losses on loans held-for-sale at period-end, as well as lower prices on loans sold during the year. | |||||||
| • | Fair value gains were $1.3 billion in 2022, compared with $155 million in 2021. Fair value gains in 2022 were primarily driven by the impact of rising interest rates and widening of the secondary spread, which led to price declines. As a result of the price declines, the company recognized gains on its commitments to sell mortgage-related securities and long-term debt of consolidated trusts held at fair value. These gains were partially offset by fair value losses on fixed-rate trading securities. | |||||||
Fourth Quarter and Full Year 2022 Results | 2 | |||||||
| Single-Family Business Financial Results | ||||||||||||||||||||||||||||||||||||||||||||||||||
| (Dollars in millions) | 2022 | 2021 | Variance | % Change | Q422 | Q322 | Variance | % Change | ||||||||||||||||||||||||||||||||||||||||||
| Net interest income | $ | 24,736 | $ | 25,429 | $ | (693) | (3) | % | $ | 5,990 | $ | 5,918 | $ | 72 | 1 | % | ||||||||||||||||||||||||||||||||||
| Fee and other income | 224 | 269 | (45) | (17) | % | 20 | 83 | (63) | (76) | % | ||||||||||||||||||||||||||||||||||||||||
| Net revenues | 24,960 | 25,698 | (738) | (3) | % | 6,010 | 6,001 | 9 | — | % | ||||||||||||||||||||||||||||||||||||||||
| Investment gains (losses), net | (223) | 1,392 | (1,615) | NM | 48 | (178) | 226 | NM | ||||||||||||||||||||||||||||||||||||||||||
| Fair value gains (losses), net | 1,364 | 167 | 1,197 | NM | (15) | 309 | (324) | NM | ||||||||||||||||||||||||||||||||||||||||||
| Administrative expenses | (2,789) | (2,557) | (232) | (9) | % | (705) | (730) | 25 | 3 | % | ||||||||||||||||||||||||||||||||||||||||
| Benefit (provision) for credit losses | (5,029) | 4,600 | (9,629) | NM | (2,192) | (2,361) | 169 | 7 | % | |||||||||||||||||||||||||||||||||||||||||
| TCCA fees | (3,369) | (3,071) | (298) | (10) | % | (854) | (850) | (4) | — | % | ||||||||||||||||||||||||||||||||||||||||
| Credit enhancement expense | (1,062) | (812) | (250) | (31) | % | (284) | (298) | 14 | 5 | % | ||||||||||||||||||||||||||||||||||||||||
| Change in expected credit enhancement recoveries | 470 | (86) | 556 | NM | 199 | 245 | (46) | (19) | % | |||||||||||||||||||||||||||||||||||||||||
| Other expenses, net | (778) | (1,208) | 430 | 36 | % | (225) | (165) | (60) | (36) | % | ||||||||||||||||||||||||||||||||||||||||
| Income before federal income taxes | 13,544 | 24,123 | (10,579) | (44) | % | 1,982 | 1,973 | 9 | — | % | ||||||||||||||||||||||||||||||||||||||||
| Provision for federal income taxes | (2,774) | (4,996) | 2,222 | 44 | % | (504) | (276) | (228) | (83) | % | ||||||||||||||||||||||||||||||||||||||||
| Net income | $ | 10,770 | $ | 19,127 | $ | (8,357) | (44) | % | $ | 1,478 | $ | 1,697 | $ | (219) | (13) | % | ||||||||||||||||||||||||||||||||||
| Average charged guaranty fee on new conventional acquisitions, net of TCCA fees* | 49.4 bps | 48.6 bps | 0.8 bps | 2 | % | 49.3 bps | 52.1 bps | (2.8) bps | (5) | % | ||||||||||||||||||||||||||||||||||||||||
| Average charged guaranty fee on conventional guaranty book of business, net of TCCA fees* | 46.2 bps | 45.7 bps | 0.5 bps | 1 | % | 46.5 bps | 46.3 bps | 0.2 bps | — | % | ||||||||||||||||||||||||||||||||||||||||
| NM - Not meaningful | ||||||||||||||||||||||||||||||||||||||||||||||||||
| * In Q4 2022, the company enhanced the method it uses to estimate average loan life at acquisition. Charged fees reported for prior periods have been updated in this release to reflect this updated methodology. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Key Business Highlights | |||||
| • | Single-family conventional acquisition volume was $614.8 billion in 2022, a decrease of 55% compared with $1.4 trillion in 2021. Purchase acquisition volume decreased from $451.3 billion in 2021 to $378.0 billion in 2022, of which more than 45% was for first-time homebuyers. Refinance acquisition volume was $236.9 billion in 2022, a decline from $903.7 billion in 2021, due to the higher mortgage interest-rate environment. The share of purchase loans, which generally have a higher loan-to-value ratio, increased as a percentage of the company’s single-family acquisitions to 62% in 2022 from 33% in 2021. | ||||
| • | Average single-family conventional guaranty book of business in 2022 increased from 2021 by 7% driven primarily by growth in the average balance of loans acquired during the year. Overall credit characteristics of the single-family conventional guaranty book of business remained strong, with a weighted-average mark-to-market loan-to-value ratio of 52% and a weighted-average FICO credit score at origination of 752 as of December 31, 2022. | ||||
| • | Average charged guaranty fee, net of TCCA fees, on the single-family conventional guaranty book increased to 46.2 basis points as of December 31, 2022. Average charged guaranty fee on newly acquired single-family conventional loans, net of TCCA fees, decreased 2.8 basis points to 49.3 basis points for the fourth quarter of 2022, compared with 52.1 basis points for the third quarter of 2022. | ||||
| • | Single-family serious delinquency rate decreased to 0.65% as of December 31, 2022, from 1.25% as of December 31, 2021, driven by borrowers exiting forbearance through a loan workout or by otherwise reinstating their loan. Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. | ||||
Fourth Quarter and Full Year 2022 Results | 3 | |||||||
Multifamily Business Financial Results | ||||||||||||||||||||||||||||||||||||||||||||||||||
| (Dollars in millions) | 2022 | 2021 | Variance | % Change | Q422 | Q322 | Variance | % Change | ||||||||||||||||||||||||||||||||||||||||||
| Net interest income | $ | 4,687 | $ | 4,158 | $ | 529 | 13 | % | $ | 1,102 | $ | 1,206 | $ | (104) | (9) | % | ||||||||||||||||||||||||||||||||||
| Fee and other income | 88 | 92 | (4) | (4) | % | 23 | 22 | 1 | 5 | % | ||||||||||||||||||||||||||||||||||||||||
| Net revenues | 4,775 | 4,250 | 525 | 12 | % | 1,125 | 1,228 | (103) | (8) | % | ||||||||||||||||||||||||||||||||||||||||
| Fair value losses, net | (80) | (12) | (68) | NM | (2) | (17) | 15 | 88 | % | |||||||||||||||||||||||||||||||||||||||||
| Administrative expenses | (540) | (508) | (32) | (6) | % | (151) | (140) | (11) | (8) | % | ||||||||||||||||||||||||||||||||||||||||
| Benefit (provision) for credit losses | (1,248) | 530 | (1,778) | NM | (1,091) | (175) | (916) | NM | ||||||||||||||||||||||||||||||||||||||||||
| Credit enhancement expense | (261) | (239) | (22) | (9) | % | (65) | (66) | 1 | 2 | % | ||||||||||||||||||||||||||||||||||||||||
| Change in expected credit enhancement recoveries | 257 | (108) | 365 | NM | 225 | 45 | 180 | NM | ||||||||||||||||||||||||||||||||||||||||||
| Other expenses, net* | (214) | (87) | (127) | (146) | % | (103) | 17 | (120) | NM | |||||||||||||||||||||||||||||||||||||||||
| Income (loss) before federal income taxes | 2,689 | 3,826 | (1,137) | (30) | % | (62) | 892 | (954) | NM | |||||||||||||||||||||||||||||||||||||||||
| Benefit (provision) for federal income taxes | (536) | (777) | 241 | 31 | % | 10 | (153) | 163 | NM | |||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | $ | 2,153 | $ | 3,049 | $ | (896) | (29) | % | $ | (52) | $ | 739 | $ | (791) | NM | |||||||||||||||||||||||||||||||||||
| Average charged guaranty fee rate on multifamily guaranty book of business, at period end | 78.5 bps | 78.4 bps | 0.1 bps | — | % | 78.5 bps | 79.0 bps | (0.5) bps | (1) | % | ||||||||||||||||||||||||||||||||||||||||
| NM - Not meaningful | ||||||||||||||||||||||||||||||||||||||||||||||||||
* Includes investment gains or losses and other income or expenses. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Key Business Highlights | |||||
| • | New multifamily business volume was $69.2 billion in 2022, compared with $69.5 billion in 2021. The 2022 Federal Housing Finance Agency (FHFA) multifamily volume cap was $78 billion and a minimum of 50% of the company’s 2022 multifamily loan purchases were required to be mission-driven, focused on specified affordable and underserved market segments. The company’s 2022 multifamily business volume remained under the cap and it met the mission requirements established by FHFA. | ||||
| • | The multifamily guaranty book of business grew by approximately 7% in 2022 to $440.4 billion. The average charged guaranty fee on the multifamily book remained generally flat at 78.5 basis points as of December 31, 2022, compared with 78.4 basis points as of December 31, 2021. | ||||
| • | The multifamily business segment had net income of $2.2 billion and net revenues of $4.8 billion for 2022. In the fourth quarter, the segment recognized a $1.1 billion provision for credit losses, approximately $900 million of which related to the company’s seniors housing portfolio. This provision drove a $52 million net loss for the quarter. | ||||
| • | The company’s seniors housing portfolio has been disproportionately impacted by recent market conditions. As of December 31, 2022, nearly all of the seniors housing loans in the company’s guaranty book of business were current on their payments. However, a sharp rise in short-term interest rates during the latter half of 2022 put additional stress on its seniors housing portfolio that was already experiencing elevated vacancy rates compared to pre-pandemic levels and higher operating costs exacerbated by higher inflation in recent periods. As of December 31, 2022, the seniors housing portfolio had an unpaid principal balance of $16.6 billion, which constituted 4% of the company’s multifamily guaranty book of business. Approximately 40% of the seniors housing loans in the company’s multifamily guaranty book as of December 31, 2022 were adjustable-rate mortgages. | ||||
| • | The multifamily serious delinquency rate decreased to 0.24% as of December 31, 2022, compared with 0.42% as of December 31, 2021, primarily as a result of loans that received forbearance resolving their delinquency through completion of their repayment plans or otherwise reinstating. Multifamily seriously delinquent loans are loans that are 60 days or more past due. | ||||
Fourth Quarter and Full Year 2022 Results | 4 | |||||||
| Additional Matters | ||
Fannie Mae’s Consolidated Balance Sheets and Statements of Operations and Comprehensive Income for the full year of 2022 are available in the accompanying Annex; however, investors and interested parties should read the company’s annual report on Form 10-K for the year ended December 31, 2022 (“2022 Form 10-K”), which was filed today with the Securities and Exchange Commission and is available on Fannie Mae’s website, www.fanniemae.com. The company provides further discussion of its financial results and condition, credit performance, and other matters in its 2022 Form 10-K. Additional information about the company’s financial and credit performance is contained in Fannie Mae’s “Q4 and Full Year 2022 Financial Supplement” at www.fanniemae.com.
# # #
In this release, the company has presented forward-looking statements regarding economic and housing market conditions and their impact, as well as the company’s business plans and their impact. Actual outcomes could be materially different from what is set forth in these forward-looking statements due to a variety of factors, including those described in “Forward-Looking Statements” and “Risk Factors” in the company’s 2022 Form 10-K.
Fannie Mae provides website addresses in its news releases solely for readers’ information. Other content or information appearing on these websites is not part of this release.
Fannie Mae advances equitable and sustainable access to homeownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit fanniemae.com.
Fourth Quarter and Full Year 2022 Results | 5 | |||||||
ANNEX
FANNIE MAE
(In conservatorship)
Consolidated Balance Sheets
(Dollars in millions)
| As of December 31, | |||||||||||||||||||||||
| 2022 | 2021 | ||||||||||||||||||||||
| ASSETS | |||||||||||||||||||||||
| Cash and cash equivalents | $ | 57,987 | $ | 42,448 | |||||||||||||||||||
| Restricted cash and cash equivalents (includes $23,348 and $59,203, respectively, related to consolidated trusts) | 29,854 | 66,183 | |||||||||||||||||||||
| Securities purchased under agreements to resell (includes $3,475 and $13,533, respectively, related to consolidated trusts) | 14,565 | 20,743 | |||||||||||||||||||||
| Investments in securities, at fair value | 50,825 | 89,043 | |||||||||||||||||||||
| Mortgage loans: | |||||||||||||||||||||||
| Loans held for sale, at lower of cost or fair value | 2,033 | 5,134 | |||||||||||||||||||||
| Loans held for investment, at amortized cost: | |||||||||||||||||||||||
| Of Fannie Mae | 52,081 | 61,025 | |||||||||||||||||||||
| Of consolidated trusts | 4,071,669 | 3,907,712 | |||||||||||||||||||||
| Total loans held for investment (includes $3,645 and $4,964, respectively, at fair value) | 4,123,750 | 3,968,737 | |||||||||||||||||||||
| Allowance for loan losses | (11,347) | (5,629) | |||||||||||||||||||||
| Total loans held for investment, net of allowance | 4,112,403 | 3,963,108 | |||||||||||||||||||||
| Total mortgage loans | 4,114,436 | 3,968,242 | |||||||||||||||||||||
| Advances to lenders | 1,502 | 8,414 | |||||||||||||||||||||
| Deferred tax assets, net | 12,911 | 12,715 | |||||||||||||||||||||
| Accrued interest receivable, net (includes $9,241 and $8,878 related to consolidated trusts and net of allowance of $111 and $140, respectively) | 9,821 | 9,264 | |||||||||||||||||||||
| Other assets | 13,387 | 12,114 | |||||||||||||||||||||
| Total assets | $ | 4,305,288 | $ | 4,229,166 | |||||||||||||||||||
| LIABILITIES AND EQUITY | |||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||
| Accrued interest payable (includes $9,347 and $8,517, respectively, related to consolidated trusts) | $ | 9,917 | $ | 9,186 | |||||||||||||||||||
| Debt: | |||||||||||||||||||||||
| Of Fannie Mae (includes $1,161 and $2,381, respectively, at fair value) | 134,168 | 200,892 | |||||||||||||||||||||
| Of consolidated trusts (includes $16,260 and $21,735, respectively, at fair value) | 4,087,720 | 3,957,299 | |||||||||||||||||||||
| Other liabilities (includes $1,748 and $1,245, respectively, related to consolidated trusts) | 13,206 | 14,432 | |||||||||||||||||||||
| Total liabilities | 4,245,011 | 4,181,809 | |||||||||||||||||||||
| Commitments and contingencies (Note 16) | — | — | |||||||||||||||||||||
| Fannie Mae stockholders’ equity: | |||||||||||||||||||||||
| Senior preferred stock (liquidation preference of $180,339 and $163,672, respectively) | 120,836 | 120,836 | |||||||||||||||||||||
| Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding | 19,130 | 19,130 | |||||||||||||||||||||
| Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 1,158,087,567 shares outstanding | 687 | 687 | |||||||||||||||||||||
| Accumulated deficit | (73,011) | (85,934) | |||||||||||||||||||||
| Accumulated other comprehensive income | 35 | 38 | |||||||||||||||||||||
| Treasury stock, at cost, 150,675,136 shares | (7,400) | (7,400) | |||||||||||||||||||||
Total stockholders’ equity (See Note 1: Senior Preferred Stock Purchase Agreement, Senior Preferred Stock and Warrant for information on the related dividend obligation and liquidation preference) | 60,277 | 47,357 | |||||||||||||||||||||
| Total liabilities and equity | $ | 4,305,288 | $ | 4,229,166 | |||||||||||||||||||
See Notes to Consolidated Financial Statements in the 2022 Form 10-K
Fourth Quarter and Full Year 2022 Results | 6 | |||||||
FANNIE MAE
(In conservatorship)
Consolidated Statements of Operations and Comprehensive Income
(Dollars in millions, except per share amounts)
| For the Year Ended December 31, | |||||||||||||||||||||||||||||||||||
| 2022 | 2021 | 2020 | |||||||||||||||||||||||||||||||||
| Interest income: | |||||||||||||||||||||||||||||||||||
| Investments in securities | $ | 1,828 | $ | 582 | $ | 972 | |||||||||||||||||||||||||||||
| Mortgage loans | 117,813 | 98,930 | 106,316 | ||||||||||||||||||||||||||||||||
| Other | 656 | 163 | 281 | ||||||||||||||||||||||||||||||||
| Total interest income | 120,297 | 99,675 | 107,569 | ||||||||||||||||||||||||||||||||
| Interest expense: | |||||||||||||||||||||||||||||||||||
| Short-term debt | (76) | (4) | (182) | ||||||||||||||||||||||||||||||||
| Long-term debt | (90,798) | (70,084) | (82,521) | ||||||||||||||||||||||||||||||||
| Total interest expense | (90,874) | (70,088) | (82,703) | ||||||||||||||||||||||||||||||||
| Net interest income | 29,423 | 29,587 | 24,866 | ||||||||||||||||||||||||||||||||
| Benefit (provision) for credit losses | (6,277) | 5,130 | (678) | ||||||||||||||||||||||||||||||||
| Net interest income after benefit (provision) for credit losses | 23,146 | 34,717 | 24,188 | ||||||||||||||||||||||||||||||||
| Investment gains (losses), net | (297) | 1,352 | 907 | ||||||||||||||||||||||||||||||||
| Fair value gains (losses), net | 1,284 | 155 | (2,501) | ||||||||||||||||||||||||||||||||
| Fee and other income | 312 | 361 | 462 | ||||||||||||||||||||||||||||||||
| Non-interest income (loss) | 1,299 | 1,868 | (1,132) | ||||||||||||||||||||||||||||||||
| Administrative expenses: | |||||||||||||||||||||||||||||||||||
| Salaries and employee benefits | (1,671) | (1,493) | (1,554) | ||||||||||||||||||||||||||||||||
| Professional services | (850) | (817) | (921) | ||||||||||||||||||||||||||||||||
| Other administrative expenses | (808) | (755) | (593) | ||||||||||||||||||||||||||||||||
| Total administrative expenses | (3,329) | (3,065) | (3,068) | ||||||||||||||||||||||||||||||||
| TCCA fees | (3,369) | (3,071) | (2,673) | ||||||||||||||||||||||||||||||||
| Credit enhancement expense | (1,323) | (1,051) | (1,361) | ||||||||||||||||||||||||||||||||
| Change in expected credit enhancement recoveries | 727 | (194) | 233 | ||||||||||||||||||||||||||||||||
| Other expenses, net | (918) | (1,255) | (1,308) | ||||||||||||||||||||||||||||||||
| Total expenses | (8,212) | (8,636) | (8,177) | ||||||||||||||||||||||||||||||||
| Income before federal income taxes | 16,233 | 27,949 | 14,879 | ||||||||||||||||||||||||||||||||
| Provision for federal income taxes | (3,310) | (5,773) | (3,074) | ||||||||||||||||||||||||||||||||
| Net income | 12,923 | 22,176 | 11,805 | ||||||||||||||||||||||||||||||||
| Other comprehensive loss | (3) | (78) | (15) | ||||||||||||||||||||||||||||||||
| Total comprehensive income | $ | 12,920 | $ | 22,098 | $ | 11,790 | |||||||||||||||||||||||||||||
| Net income | $ | 12,923 | $ | 22,176 | $ | 11,805 | |||||||||||||||||||||||||||||
| Dividends distributed or amounts attributable to senior preferred stock | (12,920) | (22,098) | (11,790) | ||||||||||||||||||||||||||||||||
| Net income attributable to common stockholders | $ | 3 | $ | 78 | $ | 15 | |||||||||||||||||||||||||||||
| Earnings per share: | |||||||||||||||||||||||||||||||||||
| Basic | $ | 0.00 | $ | 0.01 | $ | 0.00 | |||||||||||||||||||||||||||||
| Diluted | 0.00 | 0.01 | 0.00 | ||||||||||||||||||||||||||||||||
| Weighted-average common shares outstanding: | |||||||||||||||||||||||||||||||||||
| Basic | 5,867 | 5,867 | 5,867 | ||||||||||||||||||||||||||||||||
| Diluted | 5,893 | 5,893 | 5,893 | ||||||||||||||||||||||||||||||||
See Notes to Consolidated Financial Statements in the 2022 Form 10-K
Fourth Quarter and Full Year 2022 Results | 7 | |||||||
© 2023 Fannie Mae DRAFT Financial Supplement Q4 and Full Year 2022 February 14, 2023 EXHIBIT 99.2
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 10-K, which is available at www.fanniemae.com in the “About Us—Investor Relations—SEC Filings” section. Information on or available through the company’s website is not part of this supplement. ▪ Some of the information in this presentation is based upon information from third-party sources such as sellers and servicers of mortgage loans. Although Fannie Mae generally considers this information reliable, Fannie Mae does not independently verify all reported information. ▪ Due to rounding, amounts reported in this presentation may not sum to totals indicated (i.e., 100%), or amounts shown as 100% may not reflect the entire population. ▪ Unless otherwise indicated, data is as of December 31, 2022 or for the full year indicated. Data for prior years is as of December 31 or for the full year indicated. ▪ Note references are to endnotes, appearing on pages 23 to 26. ▪ Terms used in presentation CAS: Connecticut Avenue Securities® CIRT™: Credit Insurance Risk Transfer™ CRT: Credit risk transfer DSCR: Weighted-average debt service coverage ratio DTI ratio: Debt-to-income (“DTI”) ratio refers to the ratio of a borrower’s outstanding debt obligations (including both mortgage debt and certain other long-term and significant short-term debts) to that borrower’s reported or calculated monthly income, to the extent the income is used to qualify for the mortgage DUS®: Fannie Mae’s Delegated Underwriting and Servicing program HARP®: Home Affordable Refinance Program®, registered trademarks of the Federal Housing Finance Agency, which allowed eligible Fannie Mae borrowers with high LTV ratio loans to refinance into more sustainable loans LTV ratio: Loan-to-value ratio MSA: Metropolitan statistical area MTMLTV ratio: Mark-to-market loan-to-value ratio, which refers to the current unpaid principal balance of a loan at period end, divided by the estimated current home price at period end OLTV ratio: Origination loan-to-value ratio, which refers to the unpaid principal balance of a loan at the time of origination of the loan, divided by the home price or property value at origination of the loan Refi Plus™: Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers REO: Real estate owned by Fannie Mae because it has foreclosed on the property or obtained the property through a deed-in-lieu of foreclosure TCCA fees: Refers to revenues generated by the 10 basis point guaranty fee increase the company implemented on single-family residential mortgages pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) and as extended by the Infrastructure Investment and Jobs Act, the incremental revenue from which is remitted to Treasury and not retained by the company UPB: Unpaid principal balance
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 11 Credit Characteristics of Single-Family Conventional Loan Acquisitions 12 Credit Characteristics of Single-Family Conventional Guaranty Book of Business 13 Single-Family Credit Risk Transfer 14 Single-Family Problem Loan Statistics 15 Single-Family Cumulative Default Rates 16 Multifamily Business Multifamily Highlights 18 Credit Characteristics of Multifamily Loan Acquisitions 19 Credit Characteristics of Multifamily Guaranty Book of Business 20 Multifamily Serious Delinquency, Credit Loss and Forbearance Rates 21 Endnotes Endnotes 23
© 2023 Fannie Mae DRAFT Overview
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 value gains. Net interest income Net interest income was relatively flat in 2022 compared with 2021, as lower amortization income was offset by higher income from portfolios and higher base guaranty fee income. Benefit (provision) for credit losses • Single-family provision in 2022 was primarily driven by decreases in forecasted home prices, the overall credit risk profile of the company’s newly acquired loans, and rising interest rates. • Multifamily provision in 2022 was primarily driven by an increase in expected credit losses on the company’s seniors housing portfolio, which has been disproportionately impacted by recent market conditions, as well as higher actual and projected interest rates. Investment gains (losses), net Investment losses in 2022 were primarily driven by a significant decrease in the market value of single-family loans that resulted in valuation losses on loans held-for-sale as of December 31, 2022, as well as lower prices on loans sold during the year. Fair value gains, net Fair value gains in 2022 were primarily driven by the impact of rising interest rates and widening of the secondary spread, which led to price declines. As a result of the price declines, the company recognized gains on its commitments to sell mortgage-related securities and long-term debt of consolidated trusts held at fair value. These gains were partially offset by fair value losses on fixed-rate trading securities. Corporate Financial Highlights (Dollars in millions) 2022 2021 Variance Q4 2022 Q3 2022 Variance Net interest income $29,423 $29,587 $(164) $7,092 $7,124 $(32) Fee and other income 312 361 (49) 43 105 (62) Net revenues 29,735 29,948 (213) 7,135 7,229 (94) Investment gains (losses), net (297) 1,352 (1,649) 26 (172) 198 Fair value gains (losses), net 1,284 155 1,129 (17) 292 (309) Administrative expenses (3,329) (3,065) (264) (856) (870) 14 Benefit (provision) for credit losses (6,277) 5,130 (11,407) (3,283) (2,536) (747) TCCA fees (3,369) (3,071) (298) (854) (850) (4) Credit enhancement expense (1,323) (1,051) (272) (349) (364) 15 Change in expected credit enhancement recoveries 727 (194) 921 424 290 134 Other expenses, net(1) (918) (1,255) 337 (306) (154) (152) Income before federal income taxes 16,233 27,949 (11,716) 1,920 2,865 (945) Provision for federal income taxes (3,310) (5,773) 2,463 (494) (429) (65) Net income $12,923 $22,176 $(9,253) $1,426 $2,436 $(1,010) Total comprehensive income $12,920 $22,098 $(9,178) $1,437 $2,433 $(996) Net worth $60,277 $47,357 $12,920 $60,277 $58,840 $1,437 Net worth ratio(2) 1.4 % 1.1 % 1.4 % 1.4 % Summary of 2022 and Q4 2022 Financial Results 2022 Key Highlights $12.9 billion Net Income in 2022, with Net Worth Reaching $60.3 billion as of December 31, 2022
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 23,866 Investments in securities, at fair value 50,825 89,043 138,239 50,527 45,296 Mortgage loans, net of allowance 4,114,436 3,968,242 3,653,892 3,334,162 3,249,395 Total assets $ 4,305,288 $ 4,229,166 $ 3,985,749 $ 3,503,319 $ 3,418,318 Debt of Fannie Mae 134,168 200,892 289,572 182,247 232,074 Debt of consolidated trusts 4,087,720 3,957,299 3,646,164 3,285,139 3,159,846 Total liabilities $ 4,245,011 $ 4,181,809 $ 3,960,490 $ 3,488,711 $ 3,412,078 Total Fannie Mae stockholders' equity $ 60,277 $ 47,357 $ 25,259 $ 14,608 $ 6,240 Loss reserves(45) $ (11,465) $ (5,774) $ (10,798) $ (9,047) $ (14,252) Loss reserves as a percentage of guaranty book of business: Single-family(46) 0.26 % 0.15 % 0.30 % 0.30 % 0.49 % Multifamily(47) 0.43 % 0.17 % 0.32 % 0.08 % 0.08 % For the Year Ended December 31, 2022 2021 2020 2019 2018 Net income $ 12,923 $ 22,176 $ 11,805 $ 14,160 $ 15,959 Return on assets(48) 0.30 % 0.54 % 0.32 % 0.41 % 0.47 %
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 Period End Guaranty Book of Business in a CRT U P B (D ol la rs in b ill io ns ) R efinancings as a % of S F A cquisitions $65 $70 $76 $69 $69 $156 $283 $948 $904 $237 $291 $313 $411 $451 $378 $512 $666 $1,435 $1,424 $684 2018 2019 2020 2021 2022 $0 $500 $1,000 $1,500 30% 45% 60% 75% 90% Single-Family Home Purchases Multifamily Rental Units Single-Family Refinancings Refinancings as % of SF Acquisitions Market Liquidity Provided Total liquidity provided in 2022 was $684B Unpaid Principal Balance Units $378B 1,151K Single-Family Home Purchases $237B 886K Single-Family Refinancings $69B 598K Multifamily Rental Units U P B (D ol la rs in b ill io ns ) $1,180 $1,425 $1,056 $862 $1,219 $84 $101 $112 $113 $1,143 $1,341 $955 $750 $1,106 2018 2019 2020 2021 2022 $0 $500 $1,000 $1,500 Outstanding UPB of single-family loans in a CRT transaction(24) Outstanding UPB of multifamily loans in a CRT transaction UPB outstanding of single-family conventional guaranty book of business(4) UPB outstanding of multifamily guaranty book of business(5)
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 $29.6 $29.4 $11.2 $12.1 $13.9 $17.3 $19.4 $5.7 $5.9 $9.1 $11.2 $7.1 $4.4 $3.3 $1.9 $1.1 $2.9 2018 2019 2020 2021 2022 $0 $10 $20 $30 Total base guaranty fee income(9) Net amortization income(3) Net interest income from portfolios(10) (D ol la rs in b ill io ns ) $199.7 $179.4 $140.7 $131.9 $129.1 $202.5 $183.4 $148.3 $134.9 $139.3 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $50 $100 $150 $200 (D ol la rs in b ill io ns ) $42.4 $36.3 $41.6 $35.6 $58.0 $7.2 $8.2 $2.0 $10.8 $11.1 $83.6 $80.0 $60.9 $54.7 $46.9 $133.2 $124.5 $104.5 $101.1 $116.0 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $50 $100 $150 Cash and cash equivalents(12) Securities purchased under agreements to resell U.S. Treasury securities Short-term debt Long-term debt (D ol la rs in b ill io ns ) $6.2 $14.6 $25.3 $47.4 $60.3 2018 2019 2020 2021 2022 $0 $15 $30 $45 $60
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 12/31/2021 12/31/2022 Top 10 States by UPB(15) State One Year Home Price Growth Rate Q4 2022 Share of Single-Family Conventional Guaranty Book CA 4.5% 19% TX 9.7% 7% FL 17.0% 6% NY 8.9% 4% WA 2.0% 4% CO 5.2% 3% NJ 11.9% 3% IL 8.1% 3% VA 8.9% 3% AZ 7.0% 3% H om e P ric e G ro w th 5.0% 4.3% 10.4% 18.6% 9.2% 2018 2019 2020 2021 2022 0% 5% 10% 15% 20% Benchmark Interest Rates U.S. GDP Growth (Decline) Rate and Unemployment Rate(14) One Year Home Price Growth Rate Q4 2022(15) United States 9.2% Single-Family Home Price Growth Rate(15) Growth (decline) in GDP U.S. unemployment rate30-year FRM rate(13) 10-year Treasury rate 30-year Fannie Mae MBS par coupon rate State Growth Rate: 0.0% to 9.99% 10.0% to 14.99% 15.0% to 19.99%
© 2023 Fannie Mae DRAFT Single-Family Business
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 30 40 50 U P B (D ol la rs in b ill io ns ) $107 $104 $111 $92 $71 $178 $135 $61 $26 $14 46.3 47.9 49.6 52.1 49.3 $285 $239 $172 $118 $85 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $200 $400 0 10 20 30 40 50 Single-Family Highlights 2022 $24,736M Net interest income $(223)M Investment losses, net $1,364M Fair value gains, net $(5,029)M Provision for credit losses $10,770M Net income Single-Family Conventional Loan Acquisitions(4) Single-Family Conventional Guaranty Book of Business(4) 2022 Single-Family Mortgage-Related Securities Share of Issuances Highlights Refinance Purchase Average charged guaranty fee on new single-family conventional acquisitions, net of TCCA fees (bps)(16) Average single-family conventional guaranty book Average charged guaranty fee on single-family conventional guaranty book, net of TCCA fees (bps)(16) • Single-family conventional acquisition volume was $614.8 billion in 2022, a decrease of 55% compared with $1.4 trillion in 2021. Purchase acquisition volume decreased from $451.3 billion in 2021 to $378.0 billion in 2022, of which more than 45% was for first-time homebuyers. Refinance acquisition volume was $236.9 billion in 2022, a decline from $903.7 billion in 2021, due to the higher mortgage interest-rate environment. • The share of purchase loans, which generally have a higher LTV ratio, increased as a percentage of the company’s single-family acquisitions to 62% in 2022 from 33% in 2021. • Average single-family conventional guaranty book of business in 2022 increased from 2021 by 7% driven primarily by growth in the average balance of loans acquired during the year. • Single-family serious delinquency rate decreased to 0.65% as of December 31, 2022, from 1.25% as of December 31, 2021, driven by borrowers exiting forbearance through a loan workout or by otherwise reinstating their loan.
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% 6.0% 8.0% 2018 2019 2020 2021 2022 0 200 400 600 800 0% 5% 10% 15% 20% 25% Credit Characteristics of Single-Family Conventional Loan Acquisitions Certain Credit Characteristics of Single-Family Conventional Loans by Acquisition Period 2022 Acquisition Credit Profile by Certain Loan Features Categories are not mutually exclusive Q4 2021 Full Year 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Full Year 2022 OLTV Ratio >95% Home- Ready®(18) FICO Credit Score < 680(7) DTI Ratio > 43%(17) Total UPB (Dollars in billions) $284.5 $1,354.7 $239.5 $172.3 $117.7 $85.3 $614.8 $30.6 $16.6 $54.0 $196.8 Weighted-Average OLTV Ratio 70% 69% 71% 75% 78% 78% 75% 97% 90% 71% 77% OLTV Ratio > 95% 4% 3% 4% 5% 6% 6% 5% 100% 40% 2% 5% Weighted-Average FICO® Credit Score(7) 751 756 748 746 746 749 747 743 742 655 741 FICO Credit Score < 680(7) 8% 6% 9% 9% 8% 7% 8% 4% 7% 100% 10% DTI Ratio > 43%(17) 25% 23% 29% 32% 35% 37% 32% 34% 53% 36% 100% Fixed-rate 99% 99% 99% 99% 98% 98% 99% 100% 100% 100% 99% Primary Residence 91% 92% 90% 91% 91% 91% 91% 100% 100% 96% 91% HomeReady®(18) 3% 3% 2% 3% 3% 4% 3% 22% 100% 2% 4% W ei gh te d- A ve ra ge O LT V R at io O rigination LTV > 95% 77% 76% 71% 69% 75% 7.5% 6.6% 2.0% 3.0% 5.0% 2018 2019 2020 2021 2022 0% 20% 40% 60% 80% 100% 0% 5% 10% 15% 20% 25% Origination Loan-to-Value Ratio FICO Credit Score(7) Acquisitions by Loan Purpose Weighted-Average OLTV Ratio % OLTV > 95% Weighted-Average FICO Credit Score % FICO Credit Score < 680 Refi Plus(19) including HARP Other Refinance Cash-out Refinance Purchase
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 of December 31, 2022 Origination Year Certain Loan Features Categories are not mutually exclusive Overall Book 2008 & Earlier 2009-2018 2019 2020 2021 2022 OLTV Ratio > 95% Home- Ready®(18) FICO Credit Score < 680(7) Refi Plus Including HARP(19) DTI Ratio > 43%(17) Total UPB (Dollars in billions) $3,635.2 $75.8 $789.1 $168.4 $930.7 $1,166.7 $504.5 $168.6 $106.9 $289.4 $124.6 $873.9 Average UPB $206,049 $78,655 $129,863 $198,350 $250,667 $269,233 $295,604 $173,184 $179,995 $160,949 $103,084 $226,376 Share of SF Conventional Guaranty Book 100% 2% 22% 5% 25% 32% 14% 5% 3% 9% 3% 25% Loans in Forbearance by UPB(21) 0.3% 0.9% 0.4% 0.5% 0.2% 0.3% 0.3% 0.6% 0.6% 1.2% 0.4% 0.6% Share of Loans with Credit Enhancement(22) 42% 10% 46% 55% 33% 49% 33% 84% 82% 38% 40% 45% Serious Delinquency Rate(8) 0.65% 2.78% 0.86% 0.99% 0.31% 0.31% 0.18% 1.56% 1.21% 2.50% 0.91% 1.02% Weighted-Average OLTV Ratio 72% 75% 75% 76% 71% 70% 75% 102% 87% 74% 84% 74% OLTV Ratio > 95% 5% 9% 7% 8% 3% 3% 5% 100% 35% 7% 28% 6% Amortized OLTV Ratio(23) 66% 70% 59% 70% 66% 67% 74% 92% 83% 69% 70% 70% Weighted-Average Mark-to-Market LTV Ratio(6) 52% 31% 34% 49% 50% 58% 73% 67% 66% 50% 32% 55% Weighted-Average FICO Credit Score(7) 752 697 747 747 762 755 747 735 742 652 727 741 FICO Credit Score < 680(7) 9% 38% 11% 9% 4% 7% 9% 11% 9% 100% 23% 11% Credit Characteristics of Single-Family Conventional Guaranty Book of Business 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 < 680 746 746 750 753 752 11.5% 10.5% 9.0% 8.1% 9.0% 2018 2019 2020 2021 2022 0 200 400 600 800 0% 5% 10% 15% 20% 25% W ei gh te d- A ve ra ge M TM LT V 57% 57% 58% 54% 52% 0.4% 0.3% 0.1% 0.0% * 0.1% 2018 2019 2020 2021 2022 0% 10% 20% 30% 40% 50% 60% 70% 0% 0.5% 1% 1.5% 2% Mark-to-Market Loan-to-Value (MTMLTV) Ratio(6) FICO Credit Score(7) SDQ Rate(8) % MTMLTV > 100% Weighted-Average MTMLTV * Represents less than 0.05% of MTMLTV > 100% % FICO Credit Score < 680 Weighted-Average FICO Credit Score
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 la rs in b ill io ns ) $750 $906 $1,018 $1,112 $1,106 21% 25% 28% 31% 31% Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $500 $1,000 $1,500 0% 10% 20% 30% 40% 2020 2021 2022 Credit Enhancement Outstanding UPB (Dollars in billions) Outstanding UPB % of Book(27) Outstanding Outstanding UPB % of Book(27) Outstanding Outstanding UPB % of Book(27) Outstanding Primary mortgage insurance & other(25) $681 21% $697 20% $754 21% Connecticut Avenue Securities(26) $608 19% $512 14% $726 20% Credit Insurance Risk Transfer(24) $216 7% $168 5% $323 9% Lender risk-sharing(26) $131 4% $70 2% $57 2% (Less: loans covered by multiple credit enhancements) ($304) (9)% ($253) (7)% ($351) (10)% Total single-family loans with credit enhancement $1,332 42% $1,194 34% $1,509 42% Single-Family Credit Risk Transfer Issuance Single-Family Credit Risk Transfer Single-Family Loans with Credit Enhancement % Single-family conventional guaranty book of business in a CRT transaction Outstanding UPB of single-family loans in a CRT transaction(24) Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
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 or y (U ni ts in th ou sa nd s) 20 18 8 7 9 2018 2019 2020 2021 2022 0 10 20 30 Single-Family Problem Loan Statistics State Serious Delinquency Rate(8) Average Months to Foreclosure(28) CA 0.46% 34 TX 0.71% 29 FL 0.90% 59 NY 1.12% 70 WA 0.41% 35 CO 0.40% 29 NJ 0.85% 57 IL 0.86% 35 VA 0.49% 31 AZ 0.45% 24 Single-Family Serious Delinquency Rate by State as of December 31, 2022(8) Top 10 States by UPB Single-Family Loan Workouts Single-Family REO Ending Inventory Less than 0.50% 1.00% to 1.99% 0.50% to 0.99% 2.00% and above Other(29) Total Loan Workouts Modifications(30) Payment Deferrals $62.9 $9.3 $19.0 $71.4 $35.3 State SDQ Rate:
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 Y r1 0 Y r1 1 Y r1 2 Y r1 3 Y r1 4 Y r 1 5 Y r 1 6 Y r 1 7 Y r 1 8 Y r 1 9 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Single-Family Cumulative Default Rates Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(44) * Loans originated prior to 2009 represent only 2% of the single-family conventional guaranty book of business as of December 31, 2022. ** As of December 31, 2022, cumulative default rates on the loans originated in each individual year from 2009-2022 were less than 1%. 2007 2009 2006 201020112012 2004 2008 2005
© 2023 Fannie Mae DRAFT Multifamily Business
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 2022 Q3 2022 Q4 2022 $0 $5 $10 $15 $20 $25 Multifamily Highlights 2022 $4,687M Net interest income $88M Fee and other income $(1,248)M Provision for credit losses $257M Change in expected credit enhancement recoveries $2,153M Net income Multifamily New Business Volume Multifamily Guaranty Book of Business(5) Multifamily Credit Risk Transfer Highlights U P B (D ol la rs in b ill io ns ) 27.1 26.6 25.7 25.3 25.1 84.9 82.4 79.3 89.5 87.7 27% 26% 25% 27% 26% $112.0 $109.0 $105.0 $114.8 $112.8 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 $0 $25 $50 $75 $100 10% 20% 30% 40% Average charged guaranty fee on multifamily guaranty book of business (in bps) at period end UPB outstanding of multifamily guaranty book of business UPB outstanding of multifamily loans in a Multifamily Connecticut Avenue SecuritiesTM transaction % Multifamily guaranty book in a Multifamily CRT transaction UPB outstanding of multifamily loans in a Multifamily CIRT transaction • New multifamily business volume was $69.2 billion in 2022. • The multifamily guaranty book of business grew by approximately 7% in 2022 to $440.4 billion. The average charged guaranty fee on the multifamily book remained generally flat at 78.5 basis points as of December 31, 2022, compared with 78.4 basis points as of December 31, 2021. • The multifamily business segment had net income of $2.2 billion and net revenues of $4.8 billion for 2022. In the fourth quarter, the segment recognized a $1.1 billion provision for credit losses, approximately $900 million of which related to the company’s seniors housing portfolio, which has been disproportionately impacted by recent market conditions. This provision drove a $52 million net loss for the quarter. • The multifamily serious delinquency rate decreased to 0.24% as of December 31, 2022, compared to 0.42% as of December 31, 2021, primarily as a result of loans that received forbearance resolving their delinquency through completion of their repayment plans or otherwise reinstating.
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) Categories are not mutually exclusive 2018 2019 2020 2021 2022 Total UPB (Dollars in billions) $65.4 $70.2 $76.0 $69.5 $69.2 Weighted-Average OLTV Ratio 65% 66% 64% 65% 59% Loan Count 3,723 4,113 5,051 4,203 3,572 % Lender Recourse(31) 100% 100% 99% 100% 100% % DUS(32) 99% 100% 99% 99% 99% % Full Interest-Only 33% 33% 38% 40% 53% Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions 58% 59% 58% 59% 56% Weighted-Average OLTV Ratio on Non-Full Interest-Only Acquisitions 68% 69% 68% 68% 63% % Partial Interest-Only(33) 53% 56% 50% 50% 39% S ha re o f A cq ui si tio ns 32% 33% 29% 27% 14% 68% 66% 70% 72% 86% 2018 2019 2020 2021 2022 0% 20% 40% 60% 80% 100% $3.2B $3.0B $2.9B $2.8B$2.4B $2.3B $2.2B $2.0B $1.8B $1.5B Share of Acquisitions: 34.8% Total Top 10 UPB: $24.1B Origination Loan-to-Value Ratio(5) Top 10 MSAs by 2022 Acquisition UPB(5) Acquisitions by Note Type(5) % OLTV ratio less than or equal to 70% % OLTV ratio greater than 70% and less than or equal to 80% % OLTV ratio greater than 80% Variable-rate Fixed-rate Washington D.C Dallas Atlanta Austin Los Angeles Chicago Houston New York Phoenix Denver
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 mutually exclusive Overall Book 2008 & Earlier 2009-2017 2018 2019 2020 2021 2022 Conventional /Co-op(34) Seniors Housing(34) Student Housing(34) Manufactured Housing(34) Privately Owned with Subsidy(38) Total UPB (Dollars in billions) $440.4 $5.8 $114.0 $50.2 $62.7 $71.3 $67.3 $69.1 $389.6 $16.6 $14.4 $19.9 $52.7 % of Multifamily Guaranty Book 100% 1% 26% 12% 14% 16% 15% 16% 88% 4% 3% 5% 12% Loan Count 28,023 2,259 7,327 2,705 3,432 4,677 4,058 3,565 25,064 590 585 1,784 3,801 Average UPB (Dollars in millions) $15.7 $2.6 $15.6 $18.5 $18.3 $15.2 $16.6 $19.4 $15.5 $28.1 $24.7 $11.1 $13.9 Weighted-Average OLTV Ratio 64% 68% 66% 64% 66% 64% 64% 59% 64% 66% 66% 64% 67% Weighted-Average DSCR(36) 2.2 2.6 2.1 2.0 2.1 2.6 2.4 1.8 2.2 1.5 1.9 2.3 2.0 % with DSCR < 1.0(36) 3% 6% 6% 3% 2% 1% 1% 1% 1% 34% 5% —%* 3% % Fixed rate 89% 22% 90% 94% 94% 95% 90% 78% 91% 61% 79% 92% 85% % Full Interest-Only 38% 31% 29% 38% 35% 39% 41% 53% 40% 14% 33% 28% 27% % Partial Interest-Only(33) 49% 19% 50% 51% 55% 49% 49% 39% 47% 63% 61% 57% 45% % Small Balance Loans(35) 38% 90% 41% 28% 34% 36% 26% 25% 38% 12% 21% 50% 44% % DUS(32) 99% 92% 98% 100% 100% 99% 99% 99% 99% 98% 100% 100% 98% Serious Delinquency Rate(37) 0.24% 0.78% 0.64% 0.16% 0.25% 0.05% 0.01% 0.01% 0.18% 0.33% 2.08% 0.02% 0.20% % Classified(49) 5% 15% 11% 5% 5% 2% 2% 3% 3% 56% 10% —%* 9% * represents less than 0.5% Credit Characteristics of Multifamily Guaranty Book of Business $37.2B $28.2B $18.9B$17.6B $12.3B $12.0B $11.5B $11.0B $10.7B $10.5B Share of Book of Business: 38.6% Total Top 10 UPB: $169.9B $5.8B $12.5B $18.9B $34.1B $133.9B $180.6B $54.6B Total UPB: $440.4B UPB by Maturity Year As of December 31, 2022(5) Top 10 MSAs by UPB As of December 31, 2022(5) Certain Credit Characteristics of Guaranty Book(5) New York Dallas Phoenix San Francisco Los Angeles Atlanta Seattle Washington D.C. Chicago Houston 2023 2025 2027 - 2029 2024 2026 2030 - 2032 Other W ei gh te d- A ve ra ge D S C R W eighted-A verage O LTV R atio 2.0 1.9 2.0 2.1 2.2 66% 66% 66% 65% 64% 2018 2019 2020 2021 2022 0.0 1.0 2.0 0% 10% 20% 30% 40% 50% 60% 70% Weighted-Average DSCR(36) Weighted-Average OLTV Ratio
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% 1.4% Multifamily Serious Delinquency, Credit Loss and Forbearance Rates 1.0% 0.9% 0.3% 0.1% —% —% * 0.1% 0.2% 0.1% —% * 0.1% —% * —% * —% —% —% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 0% 1% Serious Delinquency Rate(37) COVID-19-Related Loan Forbearance Status as of December 31, 2022(40) Cumulative Total Credit Loss Rate, Net by Acquisition Year Through Q4 2022(39) * Active Forbearance(41) Reinstated(43) Repayment Plan Defaulted(42) Liquidations Foreclosure $5.3B UPB that took forbearance * Represents less than 0.05% of cumulative total credit loss rate, net by acquisition year
© 2023 Fannie Mae DRAFT 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 connection with certain loss mitigation activities. (2) Calculated based upon net worth divided by total assets outstanding at the end of the period. (3) Net amortization income refers 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 Fannie Mae receives at the time of loan acquisition. This excludes the amortization of cost basis adjustments resulting from hedge accounting. (4) Single-family conventional loan population consists of: (a) single-family conventional mortgage loans of Fannie Mae and (b) single-family conventional mortgage loans underlying Fannie Mae MBS other than loans underlying Freddie Mac securities that Fannie Mae has resecuritized. It excludes non-Fannie Mae single-family mortgage-related securities held in the retained mortgage portfolio for which Fannie Mae does not provide a guaranty. Conventional refers to mortgage loans and mortgage-related securities that are not guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. (5) The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that the company provided on multifamily mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in the retained mortgage portfolio for which Fannie Mae does not provide a guaranty. (6) The average estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property at period end, which the company calculates using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available. (7) FICO credit score is as of loan origination, as reported by the seller of the mortgage loan. (8) Single-family SDQ rate refers to single-family loans that are 90 days or more past due or in the foreclosure process, expressed as a percentage of the company’s single-family conventional guaranty book of business, based on loan count. Single-family SDQ rate for loans in a particular category refers to SDQ loans in the applicable category, divided by the number of loans in the single-family conventional guaranty book of business in that category. (9) Total base guaranty fee income is interest income from the guaranty book of business including the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 and as extended by the Infrastructure Investment and Jobs Act, the incremental revenue from which is remitted to Treasury and not retained by the company. (10) Includes interest income from assets held in the company's retained mortgage portfolio and other investments portfolio, as well as other assets used to support lender liquidity. Also includes interest expense on the company's outstanding corporate debt and Connecticut Avenue Securities® debt as well as the impact from hedge accounting. (11) Reflects the company's aggregate indebtedness at the end of each period presented measured in unpaid principal balance and excludes effects of cost basis adjustments and debt of consolidated trusts. (12) 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. (13) 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. (14) U.S. Gross Domestic Product ("GDP") annual growth (decline) rates are based on the annual "percentage change from fourth quarter to fourth quarter one year ago" calculated by the Bureau of Economic Analysis and are subject to revision. 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 growth rate is not seasonally adjusted. UPB estimates are based on data available through the end of December 2022, and the top 10 states are reported by UPB in descending order. One-year home price growth rate is for the 12-month period ending December 31, 2022. (16) 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 guaranty arrangements based on an estimated average life at the time of acquisition. In Q4 2022, the company enhanced the method it uses to estimate average loan life at acquisition. Charged fees reported for prior periods have been updated in this Financial Supplement to reflect this updated methodology. Excludes the impact of a 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by the company. (17) Excludes loans for which this information is not readily available. From time to time, the company revises its guidelines for determining a borrower's DTI ratio. The amount of income reported by a borrower and used to qualify for a mortgage may not represent the borrower's total income; therefore, the DTI ratios reported may be higher than borrowers' actual DTI ratios. (18) Refers to HomeReady® mortgage loans, a low down payment mortgage product offered by the company that is designed for creditworthy low-income borrowers. HomeReady allows up to 97% loan-to-value ratio financing for home purchases. The company offers additional low down payment mortgage products that are not HomeReady loans; therefore, this category is not representative of all high LTV ratio single-family loans acquired or in the single-family conventional guaranty book of business for the periods shown. See the "OLTV Ratio > 95%" category for information on the single-family loans acquired or in the single-family conventional guaranty book of business with origination LTV ratios greater than 95%. (19) "Refi Plus" refers to loans acquired under Fannie Mae's Refi Plus initiative, which offered refinancing flexibility to eligible Fannie Mae borrowers who were current on their loans and who applied prior to the initiative's December 31, 2018 sunset date. Refi Plus had no limits on maximum LTV ratio and provided mortgage insurance flexibilities for loans with LTV ratios greater than 80%. (20) Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in the single-family conventional guaranty book of business. Loans with multiple product features are included in all applicable categories. (21) Consists of loans that are in an active forbearance as of December 31, 2022. (22) Percentage of loans in the single-family conventional guaranty book of business, measured by unpaid principal balance, included in an agreement used to reduce credit risk by requiring collateral, letters of credit, mortgage insurance, corporate guarantees, inclusion in a credit risk transfer transaction reference pool, or other agreement that provides for Fannie Mae's compensation to some degree in the event of a financial loss relating to the loan. (23) Amortized origination loan-to-value ratio is calculated based on the current UPB of a loan at period end, divided by the home price at origination of the loan. (24) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $1.3 billion outstanding as of December 31, 2022. (25) Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, collateral, letters of credit, corporate guarantees, or other agreements to provide an entity with some assurance that it will be compensated to some degree in the event of a financial loss. Excludes loans covered by credit risk transfer transactions unless such loans are also covered by primary mortgage insurance. (26) Outstanding unpaid principal balance represents the underlying loan balance, which is different from the reference pool balance for CAS and some lender risk-sharing transactions. (27) Based on the unpaid principal balance of the single-family conventional guaranty book of business as of period end.
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 Mortgages insured by the Department of Housing and Urban Development are excluded from this calculation. (29) Includes repayment plans and foreclosure alternatives. Repayment plans reflect only those plans associated with loans that were 60 days or more delinquent. Beginning with the year ended December 31, 2020, completed forbearance arrangements are excluded. (30) There were approximately 15,800 loans in a trial modification period that was not complete as of December 31, 2022. (31) Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance. (32) Under the Delegated Underwriting and Servicing ("DUS") program, Fannie Mae acquires individual, newly originated mortgages from specially approved DUS lenders using DUS underwriting standards and/or DUS loan documents. Because DUS lenders generally share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and service most loans without a pre-review by the company. (33) Includes any loan that was underwritten with an interest-only term less than the term of the loan, regardless of whether it is currently in its interest-only period. (34) See https://multifamily.fanniemae.com/financing-options/products for definitions. Loans with multiple product features are included in all applicable categories. (35) Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide. (36) Debt service coverage ratio, or "DSCR", is calculated using the latest available income information from quarterly statements for these properties for the year to date, or the trailing twelve months for Credit Facilities. When an annual statement is the latest statement available, it is used. When operating statement information is not available, the DSCR at the time of acquisition is used. If both are unavailable, the underwritten DSCR is used. Although the company uses the most recently available results from their multifamily borrowers, there is a lag in reporting, which typically can range from three to six months, but in some cases may be longer. Co-op loans are excluded from this metric. (37) Multifamily serious delinquency rate refers to multifamily loans that are 60 days or more past due, expressed as a percentage of the company’s multifamily guaranty book of business, based on unpaid principal balance. Multifamily serious delinquency rate for loans in a particular category (such as acquisition year, asset class or targeted affordable segment), refers to seriously delinquent loans in the applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that category. (38) The Multifamily Affordable Business Channel focuses on financing properties that are under an agreement that provides long-term affordability, such as properties with rent subsidies or income restrictions. The parameters to qualify under Privately Owned with Subsidy were expanded in Q3 2021, resulting in an increase in properties classified as targeted affordable volume. (39) Cumulative net credit loss rate is the cumulative net credit losses (gains) through December 31, 2022 on the multifamily loans that were acquired in the applicable period, as a percentage of the total acquired unpaid principal balance of multifamily loans that were acquired in the applicable period. Net credit losses include expected benefit of freestanding loss-sharing arrangements, primarily multifamily DUS lender risk-sharing transactions. (40) Displays the status and percentage of UPB as of current period end of the multifamily loans in the guaranty book of business that have received a COVID-19-related forbearance since the onset of the COVID-19 pandemic, including loans that liquidated prior to period end. (41) There is one multifamily loan in the guaranty book of business that received a COVID-19-related forbearance since the onset of the COVID-19 pandemic that remains in an active forbearance as of December 31, 2022. 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 are no longer in forbearance and are current according to the original terms of the loan. (44) Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year. Data as of December 31, 2022 is not necessarily indicative of the ultimate performance of the loans and performance may change, perhaps materially, in future periods. (45) 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 "Note 1, Summary of Significant Accounting Policies" in the company's 2021 Form 10K for more information about its adoption of the CECL standard. (46) Calculated based on single-family conventional guaranty book of business. (47) Prior to the company's adoption of the CECL standard on January 1, 2020, benefits for freestanding credit enhancements were netted against multifamily loss reserves. As of January 1, 2020, these credit enhancements are recorded in "Other assets" in the company's consolidated balance sheet. (48) Calculated based on net income for the reporting period divided by average total assets during the period, expressed as a percentage. Average balances for purposes of ratio calculations are based on balances at the beginning of the year and at the end of each quarter for each year shown. (49) The classified ratio represents loans classified as "Substandard" or "Doubtful." Loans classified as "Substandard" have a well-defined weakness that jeopardizes the timely full repayment. "Doubtful" refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values.