© 2023 Fannie Mae

DRAFT

Financial Supplement 

Q4 and Full Year 2022

February 14, 2023
© 2023 Fannie Mae 2022 Financial Supplement 2

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®

CIRTTM: Credit Insurance Risk TransferTM

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 PlusTM: 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
© 2023 Fannie Mae 2022 Financial Supplement 3

DRAFT Table 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
© 2023 Fannie Mae 2022 Financial Supplement 5

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
© 2023 Fannie Mae 2022 Financial Supplement 6

DRAFT Selected 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 %
© 2023 Fannie Mae 2022 Financial Supplement 7

DRAFT

UPB

(Dollars in trillions) $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

UPB

(Dollars in billions) Refinancings as a %

of SF Acquisitions $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

UPB

(Dollars in billions) $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)
© 2023 Fannie Mae 2022 Financial Supplement 8

DRAFT Interest Income and Liquidity Management

Components of Net Interest Income Net Worth of Fannie Mae

Aggregate Indebtedness of Fannie Mae(11) Other Investments Portfolio ("OIP")

Net Interest Income

(Dollars in billions)$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) (Dollars in billions) $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

(Dollars in billions) $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

(Dollars in billions) $6.2

$14.6

$25.3

$47.4

$60.3

2018 2019 2020 2021 2022

$0

$15

$30

$45

$60
© 2023 Fannie Mae 2022 Financial Supplement 9

DRAFT Rate (as of period end) 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%

2.71% 3.88%

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% Home Price Growth 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) 

30-year FRM rate Growth (decline) in GDP U.S. unemployment 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
© 2023 Fannie Mae 2022 Financial Supplement 11

DRAFT

Fannie Mae

35%

Freddie Mac 31%

Ginnie Mae

29%

Private-label securities 5%

UPB

(Dollars in billions) $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

UPB

(Dollars in billions) $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.
© 2023 Fannie Mae 2022 Financial Supplement 12

DRAFT

Share of Acquisitions 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%

Weighted-Average FICO Credit Score FICO Credit Score < 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%

HomeReady®(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%

Weighted-Average OLTV Ratio Origination 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
© 2023 Fannie Mae 2022 Financial Supplement 13

DRAFT

Serious Delinquency Rate (%) 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%

HomeReady®(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

Weighted-Average FICO Credit Score FICO Credit Score < 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%

Weighted-Average MTMLTV

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
© 2023 Fannie Mae 2022 Financial Supplement 14

DRAFT

UPB

(Dollars in billions) $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

UPB

(Dollars in billions) $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
© 2023 Fannie Mae 2022 Financial Supplement 15

DRAFT

U

P

B

(Dollars in billions) Number of Loan Workouts $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

Ending Inventory

(Units in thousands) 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:
© 2023 Fannie Mae 2022 Financial Supplement 16

DRAFT

Time Since Beginning of Origination Year

Cumulativ

e

D

efault R

ate

2004* 2005* 2006* 2007* 2008* 2009** 2010** 2011** 2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019** 2020** 2021** 2022** Yr1 Yr2

Yr3

Yr4

Yr5

Yr6

Yr7

Yr8

Yr9

Yr10

Yr11 Yr12

Yr13

Yr14

Yr 15

Yr 16

Yr 17

Yr 18

Yr 19

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

2012 2011 2010

2004

2008

2005
© 2023 Fannie Mae

DRAFT

Multifamily Business
© 2023 Fannie Mae 2022 Financial Supplement 18

DRAFT

UPB

(Dollars in billions) $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

UPB

(Dollars in billions) $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

UPB

(Dollars in billions) 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. 
© 2023 Fannie Mae 2022 Financial Supplement 19

DRAFT

Share of Acquisitions 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%

Share of Acquisitions 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
© 2023 Fannie Mae 2022 Financial Supplement 20

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

Weighted-Average D

S

C

R

Weighted-Average OLT

V

Ratio

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
© 2023 Fannie Mae 2022 Financial Supplement 21

DRAFT

0.1%* 57.3%

14.2%

1.7%

20.8% 5.9%

Serious Delinquency Rate

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
© 2023 Fannie Mae 2022 Financial Supplement 23

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
© 2023 Fannie Mae 2022 Financial Supplement 24

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.
© 2023 Fannie Mae 2022 Financial Supplement 25

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
© 2023 Fannie Mae 2022 Financial Supplement 26

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.