© 2022 Fannie Mae

DRAFT

Financial Supplement 

Q1 2022 

May 3, 2022 
© 2022 Fannie Mae Q1 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-Q for the quarter ended March 31, 2022 

(“Q1 2022 Form 10-Q”) and Form 10-K for the year ended December 31, 2021 (“2021 Form 10-K”). This presentation should be reviewed together with the Q1 2022 

Form 10-Q and the 2021 Form 10-K, which are 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 March 31, 2022 or for the first three months of 2022. 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

FHFA: The Federal Housing Finance Agency

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
© 2022 Fannie Mae Q1 2022 Financial Supplement 3

DRAFT Table of Contents

Overview

Corporate Financial Highlights 5

Guaranty Book of Business Highlights 6

Interest Income and Liquidity Management 7

Key Market Economic Indicators 8

Single-Family Business

Single-Family Highlights 10

Credit Characteristics of Single-Family Conventional Loan Acquisitions 11

Credit Characteristics of Single-Family Conventional Guaranty Book of Business 12

Single-Family Credit Risk Transfer 13

Single-Family Conventional Guaranty Book of Business in Forbearance 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
© 2022 Fannie Mae

DRAFT

Overview
© 2022 Fannie Mae Q1 2022 Financial Supplement 5

DRAFT Corporate Financial Highlights

(Dollars in millions) Q1 2022 Q4 2021 Variance Q1 2021 Variance

Net interest income $7,399 $7,587 $(188) $6,742 $657

Fee and other income 83 60 23 87 (4)

Net revenues 7,482 7,647 (165) 6,829 653

Investment gains (losses), net (102) 418 (520) 45 (147)

Fair value gains (losses), net 480 (166) 646 784 (304)

Administrative expenses (808) (826) 18 (748) (60)

Credit-related income (expense) (201) 912 (1,113) 770 (971)

TCCA fees (824) (801) (23) (731) (93)

Credit enhancement expense (278) (260) (18) (284) 6

Change in expected credit 

 enhancement recoveries 60 (77) 137 (31) 91

Other expenses, net(1) (236) (355) 119 (319) 83

Income before federal income taxes 5,573 6,492 (919) 6,315 (742)

Provision for federal income taxes (1,165) (1,303) 138 (1,322) 157

Net income $4,408 $5,189 $(781) $4,993 $(585)

Total comprehensive income $4,401 $5,184 $(783) $4,966 $(565)

Net worth $51,758 $47,357 $4,401 $30,225 $21,533

Net worth ratio(2) 1.2 % 1.1 % 0.7 %

Summary of Q1 2022 Financial Results Q1 2022 Key Highlights

$4.4 billion net income in Q1 2022, 

with net worth reaching $51.8 billion 

as of March 31, 2022

Net income decreased $781 million in the first quarter of 

2022 compared with the fourth quarter of 2021 primarily 

driven by:

Credit-related income (expense)

• $201 million expense in the first quarter of 2022 

compared with $912 million income in the fourth 

quarter of 2021. Expense in the first quarter of 2022 

was driven primarily by increases in actual and 

projected interest rates, which increased the allowance 

relating to previously modified loans accounted for as 

troubled debt restructurings, or TDRs. This expense 

was partially offset by certain loans previously 

accounted for as TDRs receiving loss mitigation 

arrangements during the quarter, which under newly 

adopted accounting guidance released prior economic 

concessions relating to these loans from the 

company's allowance.

Investment gains (losses), net

• Investment losses in the first quarter of 2022 were 

$102 million compared with investment gains of $418 

million in the fourth quarter of 2021. The shift from 

investment gains to losses was driven primarily by the 

absence of loans sales in the first quarter of 2022. 

Fair value gains (losses)

• $480 million fair value gains in the first quarter of 2022 

compared with fair value losses of $166 million in the 

fourth quarter of 2021. Fair value gains in the first 

quarter of 2022 were driven primarily by increases in 

the fair value of commitments to sell mortgage-related 

securities as prices decreased during the commitment 

period as well as gains in the fair value of long-term 

debt of consolidated trusts held at fair value partially 

offset by declines in the fair value of fixed-rate trading 

securities. Hedge accounting continues to be an 

effective tool in addressing income statement volatility 

driven by interest-rate changes.
© 2022 Fannie Mae Q1 2022 Financial Supplement 6

DRAFT

UPB

(Dollars in trillions)

$3.2 $3.3

$3.6

$3.9 $4.0

$0.3 $0.3 $0.4 $0.4 $0.4

$2.9 $3.0 $3.2 $3.5 $3.6

2018 2019 2020 2021 Q1 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 in a CRT

UPB

(Dollars in billions)

Refinancings as a %

of SF Acquisitions

$512

$666

$1,435 $1,424

$255

$65 $70 $76 $69

$156 $283

$948 $904

$135

$291

$313

$411 $451

$104

2018 2019 2020 2021 Q1

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 the 

first quarter of 2022 was $255B

Unpaid Principal Balance Units

 $104B 312K

Single-Family Home Purchases

$135B 487K

Single-Family Refinancings

$16B 136K 

Multifamily Rental Units

UPB

(Dollars in billions)

$1,180

$1,425

$1,056

$862

$1,015

$84 $101 $112 $109

$1,143

$1,341

$955

$750

$906

2018 2019 2020 2021 Q1 2022

$0

$500

$1,000

$1,500

Outstanding UPB of single-family loans 

in a CRT transaction(27)

Outstanding UPB of multifamily loans in 

a CRT transaction

UPB outstanding of single-family 

conventional guaranty book of business(7)

UPB outstanding of multifamily guaranty 

book of business(8)
© 2022 Fannie Mae Q1 2022 Financial Supplement 7

DRAFT Interest Income and Liquidity Management

Components of Net Interest Income Net Worth of Fannie Mae

Aggregate Indebtedness of Fannie Mae(14) Other Investments Portfolio ("OIP")

Net Interest Income

(Dollars in billions)

$21.3 $21.3

$24.9

$29.6

$7.4

$11.2 $12.1 $13.9

$17.3

$4.7

$5.7 $5.9

$9.1

$11.2

$2.4

$4.4 $3.3

$1.9

$1.1

2018 2019 2020 2021 Q1 2022

$0

$10

$20

$30

Total base guaranty fee income(12)

Net amortization income(6)

Net interest income from portfolios(13)

(Dollars in billions)

$272.2 $250.4 $228.1 $199.7 $179.4

$275.1

$252.7 $236.1

$202.5 $183.4

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions)

$26.5 $48.8 $67.3

$42.4 $36.3

$14.1

$26.1

$8.2

$105.6

$89.7 $92.2

$83.6 $80.0

$146.2

$164.6 $160.0

$133.2 $124.5

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$50

$100

$150

$200

Cash and cash equivalents(15)

Securities purchased under agreements to resell or similar arrangements

U.S. Treasury securities

Short-term debt

Long-term debt

Treasury Debt Limit $300

(Dollars in billions)

$6.2

$14.6

$25.3

$47.4

$51.8

2018 2019 2020 2021 Q1 2022

$0

$15

$30

$45

$60
© 2022 Fannie Mae Q1 2022 Financial Supplement 8

DRAFT

Rate (as of period end)

3.9% 3.6%

6.7%

3.9%

3.6%

2.3% 2.6%

(2.3)%

5.5%

(1.4)%

2018 2019 2020 2021 Q1

2022

-10%

-5%

0%

5%

10%

Key Market Economic Indicators 

2.41%

0.67%

1.74%

2.34%

3.11%

1.80% 2.04%

3.49%

4.06%

3.50% 3.17%

4.67%

3/31/2019 3/31/2020 3/31/2021 3/31/2022

Top 10 States by UPB(18)

State

One Year Home Price 

 Growth Rate Q1 2022

Share of Single-Family 

Conventional Guaranty 

Book

CA 21.6% 19%

TX 23.4% 7%

FL 32.0% 6%

NY 13.6% 5%

WA 24.3% 4%

NJ 17.9% 3%

CO 22.5% 3%

IL 13.7% 3%

VA 15.7% 3%

NC 25.1% 3%

Home Price Growth

5.0% 4.4%

10.4%

19.1%

4.6%

2018 2019 2020 2021 Q1 2022

0%

5%

10%

15%

20%

Benchmark Interest Rates U.S. GDP Growth (Decline) Rate and

Unemployment Rate(17)

One Year Home Price Growth Rate Q1 2022(18)

United States 20.0% Single-Family Home Price Growth Rate(18)

30-year FRM rate Growth (decline) in GDP U.S. unemployment rate (16) 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% 20.0% and above
© 2022 Fannie Mae

DRAFT

Single-Family Business
© 2022 Fannie Mae Q1 2022 Financial Supplement 10

DRAFT

Fannie Mae

37%

Freddie Mac

33%

Ginnie Mae

24%

Private-label securities

6% UPB

(Dollars in billions)

$3,237 $3,325 $3,400 $3,453 $3,525

44.9 45.2 45.4 45.5 45.6

Q1

2021

Q2

2021

Q3

2021

Q4

2021

Q1

2022

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions)

$99 $130 $115 $107 $104

$301 $244

$181 $178 $135

48.0 47.9 47.3 47.1 48.9

$400 $374

$296 $285

$239

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights 

Q1 2022

$6,255M

Net interest income 

$(66)M 

Investment losses, 

net

$527M 

Fair value gains, net

$(236)M

Credit-related 

expense

$3,709M

Net income

Single-Family Conventional 

Loan Acquisitions(7)

Single-Family Conventional 

Guaranty Book of Business(7)

Q1 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)(19)

Average single-family conventional guaranty book

Average charged guaranty fee on single-family conventional guaranty book,

net of TCCA fees (bps)(19)

• Single-family conventional acquisition volume was $239.5 billion 

in Q1 2022. Purchase acquisition volume was $104.0 billion and 

refinance acquisition volume was $135.5 billion in the same 

period, a decline from $177.6 billion in Q4 2021 due to the rising 

rate environment.

• The average single-family conventional guaranty book of 

business in Q1 2022 increased from Q4 2021 by 2.1% driven 

primarily by growth in the average balance of loans acquired 

during the quarter.

• Single-family serious delinquency rate decreased to 1.01% as of 

March 31, 2022, from 1.25% as of December 31, 2021 driven by 

single-family loans exiting forbearance through a loan workout or 

otherwise reinstating their loan. 
© 2022 Fannie Mae Q1 2022 Financial Supplement 11

DRAFT

Share of Acquisitions

65%

52%

30% 33%

43%

12%

28%

51% 43% 23%

22% 20% 19% 24%

34%

2018 2019 2020 2021 Q1 2022

0%

25%

50%

75%

100% Weighted-Average FICO Credit Score

FICO Credit Score < 680

743 749 760 756 748

11.2%

7.3%

4.0%

6.0%

9.0%

2018 2019 2020 2021 Q1

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

Q1 2022 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q1 2021 Q2 2021 Q3 2021 Q4 2021

Full Year 

2021 Q1 2022

OLTV Ratio 

>95%

HomeReady®(21)FICO Credit

Score < 680(10)

DTI Ratio 

> 43%(20)

Total UPB (Dollars in billions) $400.5 $373.3 $296.4 $284.5 $1,354.7 $239.5 $9.3 $5.6 $21.6 $68.4

Weighted-Average OLTV Ratio 68% 70% 70% 70% 69% 71% 97% 89% 70% 73%

OLTV Ratio > 95% 2% 2% 4% 4% 3% 4% 100% 41% 2% 4%

Weighted-Average FICO® Credit Score(10) 761 757 753 751 756 748 743 742 656 740

FICO Credit Score < 680(10) 4% 6% 8% 8% 6% 9% 5% 8% 100% 11%

DTI Ratio > 43%(20) 20% 22% 24% 25% 23% 29% 32% 49% 34% 100%

Fixed-rate 100% 99% 99% 99% 99% 99% 100% 100% 100% 99%

Primary Residence 91% 93% 95% 91% 92% 90% 100% 100% 96% 89%

HomeReady®(21) 3% 3% 3% 3% 3% 2% 25% 100% 2% 4%

Weighted-Average OLTV Ratio

77%

Origination LTV > 95%

76%

71% 69% 71%

7.5%

6.6%

2.0%

3.0%

4.0%

2018 2019 2020 2021 Q1

2022

0%

20%

40%

60%

80%

100%

0%

5%

10%

15%

20%

25%

Origination Loan-to-Value Ratio FICO Credit Score(10) Acquisitions by Loan Purpose

Weighted-Average OLTV Ratio

% OLTV > 95%

Weighted-Average FICO Credit Score

% FICO Credit Score < 680

Refi Plus(22) including HARP Other Refinance

Cash-out Refinance Purchase
© 2022 Fannie Mae Q1 2022 Financial Supplement 12

DRAFT

Serious Delinquency Rate (%)

0.76%

0.66%

2.87%

1.25% 1.01%

0.66% 0.81% 0.71%

2018 2019 2020 2021 Q1 2022

0%

1%

2%

3%

4%

5%

Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business 

by Origination Year and Loan Features(7)(23)

As of March 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®(21)

FICO Credit 

Score <

680(10)

 Refi Plus 

Including

HARP(22)

DTI Ratio 

> 43%(20)

Total UPB (Dollars in billions) $3,567.4 $89.3 $898.5 $188.2 $1,004.1 $1,238.4 $148.9 $162.0 $103.5 $287.6 $143.0 $816.2

Average UPB $202,076 $81,020 $133,971 $202,767 $256,551 $275,379 $294,209 $166,821 $180,113 $155,952 $106,764 $217,765

Share of SF Conventional Guaranty Book 100% 3% 25% 5% 28% 35% 4% 5% 3% 8% 4% 23%

Loans in Forbearance by UPB(24) 0.5% 1.6% 0.7% 1.0% 0.4% 0.2% 0.0% 1.1% 1.1% 1.6% 0.7% 0.8%

Share of Loans with Credit Enhancement(25) 37% 10% 48% 56% 34% 33% 24% 82% 80% 35% 41% 41%

Serious Delinquency Rate(11) 1.01% 4.06% 1.42% 1.78% 0.42% 0.14% 0.00% 2.35% 1.64% 3.62% 1.54% 1.67%

Weighted-Average OLTV Ratio 72% 75% 74% 76% 71% 70% 71% 103% 87% 75% 84% 74%

OLTV Ratio > 95% 5% 9% 7% 8% 3% 3% 4% 100% 34% 7% 28% 1%

Amortized OLTV Ratio(26) 66% 67% 61% 71% 68% 68% 71% 93% 83% 69% 70% 70%

Weighted-Average Mark-to-Market LTV Ratio(9) 53% 34% 37% 53% 54% 62% 71% 67% 68% 51% 35% 55%

Weighted-Average FICO Credit Score(10) 753 697 747 746 762 755 747 733 742 651 727 741

FICO Credit Score < 680(10) 8% 38% 11% 9% 4% 7% 9% 13% 9% 100% 23% 11%

Credit Characteristics of Single-Family Conventional Guaranty Book of Business

Weighted-Average FICO Credit Score

FICO Credit Score < 680

746 746 750 753 753

11.5%

10.5%

9.0%

8.1% 8.1%

2018 2019 2020 2021 Q1

2022

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

MTMLTV >100%

57% 57% 58%

54% 53%

0.4% 0.3% 0.1% 0.0% 0.0%

2018 2019 2020 2021 Q1

2022

0%

10%

20%

30%

40%

50%

60%

70%

0%

2.5%

5%

7.5%

10%

Mark-to-Market Loan-to-Value

(MTMLTV) Ratio(9) FICO Credit Score(10) SDQ Rate(11)

% MTMLTV > 100%

Weighted-Average MTMLTV

% FICO Credit Score < 680

Weighted-Average FICO Credit Score

SDQ Rate

SDQ Rate Excluding Loans in Forbearance
© 2022 Fannie Mae Q1 2022 Financial Supplement 13

DRAFT

UPB

(Dollars in billions)

$76 $102 $86 $82 $67 $63 $76

$240

$265

$206

$290

$58

$142 $142

$44

$45

$73

$57

$331

$410

$338

$445

$182 $205 $218

2016 2017 2018 2019 2020 2021 Q1 2022

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions)

$822

$698

$616

$750

$906

25%

21%

18%

21%

25%

Q1

2021

Q2

2021

Q3

2021

Q4

2021

Q1

2022

$0

$500

$1,000

$1,500

0%

10%

20%

30%

40%

2020 2021 Q1 2022

Credit Enhancement 

Outstanding UPB (dollars in billions)

Outstanding 

UPB

% of Book(30)

Outstanding

Outstanding 

UPB

% of Book(30)

Outstanding

Outstanding 

UPB

% of Book(30)

Outstanding

Primary mortgage insurance &

other(28) $681 21% $697 20% $712 20%

Connecticut Avenue Securities(29) $608 19% $512 14% $615 17%

Credit Insurance Risk

Transfer(27) $216 7% $168 5% $227 6%

Lender risk-sharing(29) $131 4% $70 2% $64 2%

(Less: loans covered by multiple 

credit enhancements) ($304) (9)% ($253) (7)% ($295) (8)%

Total single-family loans with 

credit enhancement $1,332 42% $1,194 34% $1,323 37%

Single-Family Credit Risk Transfer Issuance

Single-Family Credit Risk Transfer Single-Family Loans with Credit Enhancement

% Single-family conventional guaranty book in a CRT transaction

Outstanding UPB of single-family loans in a CRT transaction(27)

Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
© 2022 Fannie Mae Q1 2022 Financial Supplement 14

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of $16.6B UPB in 

Forbearance(33) as of March 31, 2022

Single-Family Loan Forbearance Status(34)

As of March 31, 2022

Certain Credit Characteristics of Single-Family Loans in Forbearance(24)(31)

As of March 31, 2022 Origination Year

Categories are not mutually exclusive Total 

2008 &

Earlier

2009-

2018 2019 2020 2021 2022

Total UPB (Dollars in billions) $16.6 $1.4 $6.3 $1.9 $4.1 $2.9 $0.0

Average UPB $205,066 $115,520 $167,909 $232,405 $283,065 $311,856 $350,579

Share of Single-Family Conventional Guaranty Book

based on Loan Count 0.5% 0.1% 0.2% 0.0% 0.1% 0.1% 0.0%

Share of Single-Family Conventional Guaranty Book

based on UPB(32) 0.5% 0.0% 0.2% 0.1% 0.1% 0.1% 0.0%

MTMLTV Ratio > 80% without Mortgage Insurance 0.4% 0.2% 0.1% 0.0% 0.0% 0.1% 0.0%

DTI Ratio > 43%(20) 39.3% 3.5% 14.6% 4.9% 9.3% 6.9% 0.1%

FICO Credit Score < 680(10) 28.4% 4.6% 12.3% 2.8% 4.6% 4.1% 0.0%

OLTV Ratio > 95% 10.6% 1.0% 5.2% 1.8% 1.6% 1.0% 0.0% UPB (Dollars in billions)Number of Loans

$1.7 $1.7 $2.0

$5.0

$6.2

9K 8K

10K

25K

30K

Current 30 to 59

days

DLQ

60 to 89

days

DLQ

90 to 180

 days

DLQ

180+

days

DLQ

$0.0

$2.0

$4.0

$6.0

$8.0

$10.0

0K

10K

20K

30K

40K

5.6% 3.4%

38.3%

19.8%

27.1%

5.8%

Active Forbearance Delinquent at Exit or Other(35) Paid-off

Reinstated(37) Payment Deferral Modification(36)

1,434,147 

Total Loans 

that have received 

a forbearance 
© 2022 Fannie Mae Q1 2022 Financial Supplement 15

DRAFT

UPB

(Dollars in billions)

Number of Loan Workouts

$16.6 $7.7 $5.3 $8.4

$56.0 $62.1

$7.1

118.1K

56.3K

299.2K

342.7K

61.6K

2018 2019 2020 2021 Q1 2022

$0

$25

$50

$75

$100

$125

0K

50K

100K

150K

200K

250K

300K

REO Ending Inventory

(Units in thousands)

20

18

8

7 7

2018 2019 2020 2021 Q1 2022

0

10

20

30

Single-Family Problem Loan Statistics 

State

Serious

Delinquency 

Rate(11)

Average 

Months to

Foreclosure(38)

CA 0.79% 41

TX 1.17% 27

FL 1.21% 56

NY 1.87% 59

WA 0.69% 44

NJ 1.49% 52

CO 0.66% 30

IL 1.28% 34

VA 0.89% 34

NC 0.84% 27

Single-Family Serious Delinquency Rate by State as of March 31, 2022(11) Top 10 States by UPB

State SDQ Rate:

Single-Family Loan Workouts Single-Family REO Ending Inventory

Less than 0.50% 2.00% to 2.99%

0.50% to 0.99% 3.00% and above

1.00% to 1.99%

Other(39) Total Loan Workouts

Modifications(40) Payment Deferrals

$62.9

$9.3

$19.0

$71.4

$12.9
© 2022 Fannie Mae Q1 2022 Financial Supplement 16

DRAFT

Time Since Beginning of Origination Year

Cumulative Default Rate

2004* 2005* 2006* 2007* 2008* 2009** 2010** 2011**

2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019**

2020** 2021** 2022**

Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9

Yr10Yr11Yr12Yr13Yr14

Yr 15Yr 16Yr 17Yr 18Yr 19

0%

2%

4%

6%

8%

10%

12%

14%

16%

Single-Family Cumulative Default Rates 

Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(54)

 * Loans originated prior to 2009 represent only 3% of the single-family conventional guaranty book of business as of March 31, 2022.

**As of March 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
© 2022 Fannie Mae

DRAFT

Multifamily Business
© 2022 Fannie Mae Q1 2022 Financial Supplement 18

DRAFT

UPB

(Dollars in billions)

$399.1 $401.9 $408.1 $413.1 $419.8

75.9 76.8 77.5 78.4 79.3

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

90

UPB

(Dollars in billions)

$21.5

$10.9

$16.4

$20.7

$16.0

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$5

$10

$15

$20

$25

$30

Multifamily Highlights

• New multifamily business volume was $16.0 billion in Q1 2022. 

The Federal Housing Finance Agency (FHFA) established a 2022 

multifamily volume cap of $78 billion, of which 50% must be 

mission-driven, focused on certain affordable and underserved 

market segments, and 25% affordable to residents earning 60% or 

less of area median income.

• The multifamily guaranty book of business grew by 2% in Q1 2022 

to $419.8 billion. The average charged guaranty fee on the 

multifamily book increased from 78.4 basis points as of December 

31, 2021 to 79.3 basis points as of March 31, 2022.

• The multifamily serious delinquency rate decreased to 0.38% as 

of March 31, 2022, compared with 0.42% as of December 31, 

2021, as recovery from COVID-19 continues. The multifamily 

serious delinquency rate, excluding loans that received a 

forbearance, decreased slightly to 0.03% as of March 31, 2022 

from 0.04% as of December 31, 2021. Multifamily seriously 

delinquent loans are loans that are 60 days or more past due. 

 Q1 2022

$1,144M 

Net interest income

$22M

Fee and other 

income

$(47)M

Fair value losses, net

$35M

Credit-related 

income

$699M

Net income

Multifamily New Business Volume Multifamily Guaranty Book of Business(8)

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions)

$28.7 $28.6 $28.2 $27.1 $26.6

$71.3 $70.0 $68.3

$84.9 $82.4

25% 25% 24%

27% 26%

$100.0 $98.6 $96.5

$112.0 $109.0

Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022

$0

$25

$50

$75

$100

10%

15%

20%

25%

30%

35%

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
© 2022 Fannie Mae Q1 2022 Financial Supplement 19

DRAFT

Share of Acquisitions

89% 93% 93% 89% 87%

11% 7% 7% 11% 13%

2018 2019 2020 2021 Q1

2022

0%

20%

40%

60%

80%

100%

Credit Characteristics of Multifamily Loan Acquisitions 

Certain Credit Characteristics of Multifamily Loans by Acquisition Period(8)

Categories are not mutually exclusive 2018 2019 2020 2021 Q1 2022

Total UPB (Dollars in billions) $65.4 $70.2 $76.0 $69.5 $16.0

Weighted-Average OLTV Ratio 65% 66% 64% 65% 63%

Loan Count 3,723 4,113 5,051 4,203 943

% Lender Recourse(41) 100% 100% 99% 100% 100%

% DUS(42) 99% 100% 99% 99% 99%

% Full Interest-Only 33% 33% 38% 40% 37%

Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions 58% 59% 58% 59% 58%

Weighted-Average OLTV Ratio on Non-Full Interest-Only Acquisitions 68% 69% 68% 68% 66%

% Partial Interest-Only(43) 53% 56% 50% 50% 49%

Share of Acquisitions

32% 33% 29% 27% 25%

68% 66% 70% 72% 75%

2018 2019 2020 2021 Q1

2022

0%

20%

40%

60%

80%

100%

$1.0B

$0.6B

$0.6B

$0.5B $0.5B

$0.5B

$0.4B

$0.4B

$0.3B

$0.3B Share of 

Acquisitions:

31.9%

Total Top 10 

UPB:

$5.1B

Origination Loan-to-Value 

Ratio(8)

Top 10 MSAs by Q1 2022 

Acquisition UPB(8) Acquisitions by Note Type(8)

% 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%

New York Washington D.C 

Chicago Houston

Los Angeles San Diego

Atlanta Phoenix

Dallas Indianapolis

Variable-rate

Fixed-rate
© 2022 Fannie Mae Q1 2022 Financial Supplement 20

DRAFT

Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(8)

As of March 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(44)

Seniors

Housing(44)

Student

Housing(44)

Manufactured

Housing(44)

Privately Owned

with Subsidy(48)

Total UPB (Dollars in billions) $419.8 $6.8 $134.0 $54.9 $65.8 $73.4 $68.9 $16.0 $369.5 $16.7 $14.8 $18.8 $48.2

% of Multifamily Guaranty Book 100% 2% 32% 13% 16% 17% 16% 4% 88% 4% 4% 4% 11%

Loan Count 28,739 2,664 9,312 3,040 3,728 4,890 4,162 943 25,834 628 620 1,657 3,842

Average UPB (Dollars in millions) $14.6 $2.5 $14.4 $18.1 $17.7 $15.0 $16.5 $17.0 $14.3 $26.6 $23.9 $11.3 $12.5

Weighted-Average OLTV Ratio 65% 69% 66% 64% 66% 64% 65% 63% 65% 66% 66% 65% 68%

Weighted-Average DSCR(46) 2.1 3.1 1.9 1.9 2.0 2.4 2.3 2.3 2.2 1.6 1.9 2.3 2.2

% Fixed rate 91% 23% 91% 93% 94% 94% 90% 87% 92% 62% 82% 92% 86%

% Full Interest-Only 34% 28% 27% 35% 34% 39% 40% 37% 35% 13% 32% 24% 25%

% Partial Interest-Only(43) 51% 18% 50% 52% 56% 50% 50% 49% 50% 60% 61% 59% 44%

% Small Balance Loans(45) 41% 91% 44% 28% 35% 36% 26% 21% 41% 14% 23% 50% 48%

% DUS(8) 99% 92% 98% 100% 100% 99% 99% 99% 99% 98% 100% 100% 98%

Serious Delinquency Rate(47) 0.38% 0.06% 0.80% 0.43% 0.38% 0.04% 0.00% 0.00% 0.26% 1.60% 2.47% 0.02% 0.13%

Credit Characteristics of Multifamily Guaranty Book of Business 

$37.1B

$27.0B

$17.2B $17.6B

$11.8B

$11.2B

$10.8B

$10.6B

$10.3B

$10.1B

Share of Book

of Business: 

39.0%

Total Top 10 

UPB:

$163.7B

$4.0B

$10.0B

$14.7B

$21.8B

$122.3B

$167.6B

$79.4B

Total UPB:

$419.8B 

UPB by Maturity Year 

 As of March 31, 2022(8)

Top 10 MSAs by UPB 

As of March 31, 2022(8)

 Certain Credit Characteristics of 

Guaranty Book

New York Chicago

Los Angeles Houston

Washington D.C. Phoenix

Dallas Seattle

Atlanta San Francisco

2022 2026 - 2028

2023 2029 - 2031

2024 Other

2025

Weighted-Average DSCR

Weighted-Average OLTV Ratio

2.0 1.9 2.0 2.1 2.1

66% 66% 66% 65% 65%

2018 2019 2020 2021 Q1

2022

0.0

1.0

2.0

0

10

20

30

40

50

60

70

Weighted-Average DSCR(46)

Weighted-Average OLTV Ratio
© 2022 Fannie Mae Q1 2022 Financial Supplement 21

DRAFT

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%

0.38%

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Q1

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 

1.1%

0.9%

0.3%

0.1%

—% —% —%

0.1%

0.1% 0.1% —% —% —% —% —% —%

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

—%

0.5%

1%

1.5%

2%

Serious Delinquency Rates(47) COVID-19-Related Loan Forbearance

Status as of March 31, 2022(50)

Cumulative Total Credit Loss Rate, Net by Acquisition Year Through Q1 2022(49)

Reinstated(53) Repayment Plan Active Forbearance(51)

Defaulted(52) Liquidations Foreclosure

58.3%

15.6%

3.8%

3.5%

13.7%

5.1% $5.3B UPB 

in Forbearance 
© 2022 Fannie Mae

DRAFT

Endnotes
© 2022 Fannie Mae Q1 2022 Financial Supplement 23

DRAFT

(1) Other expenses, net are comprised of debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection with certain 

loss mitigation activities, and gains and losses from partnership investments.

(2) Calculated based upon net worth divided by total assets outstanding at the end of the period.

(3) Intentionally left blank.

(4) Intentionally left blank.

(5) Intentionally left blank.

(6) 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.

(7) 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.

(8) 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. 

(9) 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.

(10) FICO credit score is as of loan origination, as reported by the seller of the mortgage loan.

(11) 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.

(12) 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. 

(13) Includes interest income from assets held in the company’s retained mortgage portfolio and other investments portfolio, as well as other assets used to generate 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.

(14) Reflects the company's aggregate indebtedness at the end of each period presented measured in unpaid principal balance and excludes effects of debt basis adjustments and 

debt of consolidated trusts.

Endnotes 
© 2022 Fannie Mae Q1 2022 Financial Supplement 24

DRAFT

Endnotes 

(15) Cash equivalents are comprised of overnight repurchase agreements and U.S. Treasuries that have a maturity at the date of acquisition of three months or less.

(16) Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®. These rates are reported using the latest available data 

for a given period.

(17) U.S. Gross Domestic Product ("GDP") annual growth (decline) rates for periods prior to 2022 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. GDP decline rate for Q1 2022 is the annualized GDP decline rate based on the First 

Quarter 2022 (Advance Estimate) published by the Bureau of Economic Analysis on April 28, 2022.

(18) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 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 March 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 March 31, 2022.

(19) 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. 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.

(20) 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.

(21) 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%.

(22) "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%.

(23) 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.

(24) Consists of loans that are in an active forbearance as of March 31, 2022, including $22 million in loans that were originated in 2022.

(25) 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.

(26) 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.

(27) Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $1.4 billion outstanding as of March 31, 2022.

(28) 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.
© 2022 Fannie Mae Q1 2022 Financial Supplement 25

DRAFT

(29) Outstanding unpaid principal balance represents the underlying loan balance, which is different from the reference pool balance for CAS and some lender risk-sharing. 

(30) Based on the unpaid principal balance of the single-family conventional guaranty book of business as of period end.

(31) Calculated based on the unpaid principal balance of loans in forbearance with the specific credit characteristic and vintage divided by the total unpaid principal balance of loans in 

forbearance in that origination year at period end. 

(32) Share of single-family conventional guaranty book based on UPB was calculated based upon the unpaid principal balance of loans in forbearance by vintage divided by the total 

unpaid principal balance of the single-family conventional guaranty book of business at period end. 

(33) Pursuant to the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), for purposes of reporting to the credit bureaus, servicers must report a borrower receiving a 

COVID-19-related payment accommodation, such as a forbearance plan or loan modification, as current if the borrower was current prior to receiving the accommodation and the 

borrower makes all required payments in accordance with the accommodation. For purposes of the company's disclosures regarding delinquency status, loans receiving 

COVID-19-related payment forbearance are reported as delinquent according to the contractual terms of the loan.

(34) As a part of the company's relief programs and pursuant to the CARES Act, the company has authorized servicers to permit payment forbearance to borrowers experiencing a 

COVID-19-related financial hardship for up to 12 months without regard to the delinquency status of the loan, and for borrowers already in forbearance as of February 28, 2021, for 

a total of up to 18 months, provided that the forbearance does not result in the loan becoming greater than 18 months delinquent. 

(35) Consists of 48,642 loans that were delinquent upon the expiration of the forbearance arrangement and 930 loans that exited forbearance through a repayment plan.

(36) Includes loans that are in trial modifications. 

(37) Represents single-family loans that are no longer in forbearance but are current according to the original terms of the loan. Also includes loans that remained current throughout 

the forbearance arrangement and continue to perform.

(38) 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 three months ended March 31, 2022. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this 

calculation.

(39) 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. 

(40) There were approximately 35,600 loans in a trial modification period that was not complete as of March 31, 2022.

(41) Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance.

(42) 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.

(43) 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.

Endnotes 
© 2022 Fannie Mae Q1 2022 Financial Supplement 26

DRAFT

Endnotes 

 

(44) See https://multifamily.fanniemae.com/financing-options/products for definitions. Loans with multiple product features are included in all applicable categories.

(45) Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide. 

(46) Weighted-average debt service coverage ratio, or "DSCR", is calculated using the latest available income information from annual statements for these properties. 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.

(47) Multifamily SDQ 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 SDQ rate for loans in a particular category (such as acquisition year, asset class or targeted affordable segment), refers to SDQ loans in the 

applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that category.

(48) 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.

(49) Cumulative net credit loss rate is the cumulative net credit losses (gains) through March 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 in the applicable period. Net credit losses include expected benefit of freestanding loss-sharing benefit, primarily 

multifamily DUS lender-risk-sharing transactions.

(50) 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. Since the COVID-19 pandemic was declared a national emergency in March 2020, 

Fannie Mae has broadly offered forbearance to affected multifamily borrowers. 

(51) Includes loans that are in the process of extending their forbearance. 

(52) 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.

(53) Represents multifamily loans that are no longer in forbearance but are current according to the original terms of the loan.

(54) 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 singlefamily 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 March 31, 2022 is not necessarily indicative of the ultimate performance of the loans and performance may 

change, perhaps materially, in future periods.