© 2022 Fannie Mae

DRAFT

Financial Supplement 

Q2 2022

July 29, 2022
© 2022 Fannie Mae Q2 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 June 30, 2022

(“Q2 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 Q2 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 "Q2 YTD 2022" data is as of June 30, 2022 or for the first half 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 Q2 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 Q2 2022 Financial Supplement 5

DRAFT

Net income increased $245 million in the second 

quarter of 2022 compared with the first quarter of 2022 

driven primarily by an increase in net interest income.

Net Interest income 

• Higher income earned on investments as a result 

of increases in interest rates during the quarter 

contributed to an increase in net interest income 

from the company’s retained mortgage portfolio 

and other investments portfolio. 

• Net interest income from the company’s guaranty 

book of business decreased slightly due to a 

decline in net amortization income driven by 

reduced refinancing activity, partially offset by 

higher base guaranty fee income.

Credit-related expense

Credit-related expense for the second quarter was 

driven in part by an increase in interest rates that was 

partially offset by home price growth. 

• Benefit from home price growth. While home price 

growth was strong in the second quarter of 2022, 

the positive impact on the company’s allowance 

was reduced by some recent market indicators that 

suggest home price growth may be moderating at 

a faster pace than the company anticipates.

• Provision from interest rate increases. The rise in 

actual and projected interest rates in the second 

quarter of 2022 more than offset the benefit from 

home price growth. Increases in interest rates 

reduce the expected volume of loan prepayments 

and extend the expected life of previously modified 

loans accounted for as troubled debt 

restructurings, or TDRs, as it is less likely these 

loans will refinance.

Corporate Financial Highlights

(Dollars in millions) Q2 2022 Q1 2022 Variance

Q2 YTD 

2022

Q2 YTD 

2021 Variance

Net interest income $7,808 $7,399 $409 $15,207 $15,028 $179

Fee and other income 81 83 (2) 164 190 (26)

Net revenues 7,889 7,482 407 15,371 15,218 153

Investment gains (losses), net (49) (102) 53 (151) 691 (842)

Fair value gains, net 529 480 49 1,009 338 671

Administrative expenses (795) (808) 13 (1,603) (1,494) (109)

Credit-related income (expense) (251) (201) (50) (452) 3,317 (3,769)

TCCA fees (841) (824) (17) (1,665) (1,489) (176)

Credit enhancement expense (332) (278) (54) (610) (558) (52)

Change in expected credit 

 enhancement recoveries (47) 60 (107) 13 (75) 88

Other expenses, net(1) (228) (236) 8 (464) (599) 135

Income before federal income taxes 5,875 5,573 302 11,448 15,349 (3,901)

Provision for federal income taxes (1,222) (1,165) (57) (2,387) (3,204) 817

Net income $4,653 $4,408 $245 $9,061 $12,145 $(3,084)

Total comprehensive income $4,649 $4,401 $248 $9,050 $12,086 $(3,036)

Net worth $56,407 $51,758 $4,649 $56,407 $37,345 $19,062

Net worth ratio(2) 1.3 % 1.2 % 1.3 % 0.9 %

Summary of Q2 2022 Financial Results Q2 2022 Key Highlights

$4.7 billion net income in Q2 2022, with net worth 

reaching $56.4 billion as of June 30, 2022
© 2022 Fannie Mae Q2 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 Q2 YTD

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 $65 $70 $76 $69

$156

$283

$948 $904

$197

$291

$313

$411 $451

$215

$512

$666

$1,435 $1,424

$447

2018 2019 2020 2021 Q2 YTD

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 

second quarter of 2022 was $191B

Unpaid Principal Balance Units

$111B 334K

Single-Family Home Purchases

$61B 240K

Single-Family Refinancings

$19B 156K 

Multifamily Rental Units

UPB

(Dollars in billions) $1,180

$1,425

$1,056

$862

$1,123

$84 $101 $112 $105

$1,143

$1,341

$955

$750

$1,018

2018 2019 2020 2021 Q2 YTD

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 Q2 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

$15.2

$11.2 $12.1

$13.9

$17.3

$9.6

$5.7

$5.9

$9.1

$11.2

$4.5

$4.4

$3.3

$1.9

$1.1

$1.1

2018 2019 2020 2021 Q2 YTD

2022

$0

$10

$20

$30

Total base guaranty fee income(12)

Net amortization income(6)

Net interest income from portfolios(13) (Dollars in billions) $250.4 $228.1

$199.7 $179.4

$140.7

$252.7

$236.1

$202.5

$183.4

$148.3

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$50

$100

$150

$200

$250

$300

(Dollars in billions) $48.8

$67.3

$42.4 $36.3 $41.6

$26.1

$0.5

$7.2 $8.2 $2.0

$89.7 $92.2

$83.6

$80.0

$60.9

$164.6 $160.0

$133.2

$124.5

$104.5

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$50

$100

$150

$200

Cash and cash equivalents(15)

Securities purchased under agreements to resell

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

$56.4

2018 2019 2020 2021 Q2 YTD

2022

$0

$15

$30

$45

$60
© 2022 Fannie Mae Q2 2022 Financial Supplement 8

DRAFT Rate (as of period end) 3.9% 3.6%

6.7%

3.9%

3.6% 3.6%

2.3% 2.6%

(2.3)%

5.5%

(1.6)% (0.9)%

2018 2019 2020 2021 Q1

2022

Q2

2022

-10%

-5%

0%

5%

10%

Key Market Economic Indicators

2.01%

0.66%

1.47%

3.01%

2.74%

1.57%

1.83%

4.38%

3.73%

3.13% 3.02%

5.70%

6/30/2019 6/30/2020 6/30/2021 6/30/2022

Top 10 States by UPB(18)

State

One Year Home Price 

 Growth Rate Q2 2022

Share of Single-Family 

Conventional Guaranty 

Book

CA 19.8% 19%

TX 23.0% 7%

FL 33.7% 6%

NY 13.8% 4%

WA 19.6% 4%

NJ 18.5% 3%

CO 20.5% 3%

IL 13.6% 3%

VA 15.8% 3%

NC 26.3% 3% Home Price Growth 5.0% 4.4%

10.4%

18.9%

11.2%

2018 2019 2020 2021 Q2 YTD

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 Q2 2022(18)

United States 19.4% 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 Q2 2022 Financial Supplement 10

DRAFT

Fannie Mae

36%

Freddie Mac 29%

Ginnie Mae

29%

Private-label securities 6%

UPB

(Dollars in billions) $3,325

$3,400 $3,453

$3,525

$3,591

45.2 45.4 45.5 45.6 45.9

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$1,000

$2,000

$3,000

$4,000

0

10

20

30

40

50

UPB

(Dollars in billions) $130 $115 $107 $104 $111

$244

$181 $178

$135

$61

47.9 47.3 47.1

48.9

51.7

$374

$296 $285

$239

$172

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$250

$500

0

10

20

30

40

50

Single-Family Highlights

Q2 2022

$6,573M

Net interest income 

$(27)M 

Investment losses, 

net

$543M

Fair value gains, net

$(231)M

Credit-related 

expense

$3,886M

Net income

Single-Family Conventional 

Loan Acquisitions(7)

Single-Family Conventional 

Guaranty Book of Business(7)

Q2 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 $172.3 billion

in Q2 2022, a decline from $239.5 billion in Q1 2022 due to the 

higher mortgage interest rate environment. Purchase acquisition 

volume was 64% of total single-family acquisition volume in the 

second quarter of 2022, compared to 43% in the first quarter of 

2022, as refinance volumes continued to decline.

• The average single-family conventional guaranty book of 

business in Q2 2022 increased from Q1 2022 by 1.9% driven 

primarily by growth in the average balance of loans acquired 

during the quarter.

• Single-family serious delinquency rate decreased to 0.81% as of 

June 30, 2022, from 1.01% as of March 31, 2022 driven by 

borrowers exiting forbearance through a loan workout or by 

otherwise reinstating their loan. 
© 2022 Fannie Mae Q2 2022 Financial Supplement 11

DRAFT

Share of Acquisitions 65%

52%

30% 33%

52%

12%

28%

51% 43%

18%

22% 20% 19% 24%

30%

2018 2019 2020 2021 Q2 YTD

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%

9.0%

2018 2019 2020 2021 Q2

YTD

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

Q2 YTD 2022 Acquisition 

Credit Profile 

by Certain Loan Features

Categories are not mutually exclusive Q2 2021 Q3 2021 Q4 2021

Full Year 

2021 Q1 2022 Q2 2022

OLTV Ratio 

>95%

HomeReady®(21)FICO Credit

Score < 680(10)

DTI Ratio 

> 43%(20)

Total UPB (Dollars in billions) $373.3 $296.4 $284.5 $1,354.7 $239.5 $172.3 $18.4 $10.1 $37.7 $123.8

Weighted-Average OLTV Ratio 70% 70% 70% 69% 71% 75% 97% 90% 70% 75%

OLTV Ratio > 95% 2% 4% 4% 3% 4% 5% 100% 41% 2% 5%

Weighted-Average FICO® Credit Score(10) 757 753 751 756 748 746 743 742 655 740

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

DTI Ratio > 43%(20) 22% 24% 25% 23% 29% 32% 33% 51% 35% 100%

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

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

HomeReady®(21) 3% 3% 3% 3% 2% 3% 23% 100% 2% 4%

Weighted-Average OLTV Ratio Origination LTV > 95%

77% 76%

71% 69%

73%

7.5%

6.6%

2.0%

3.0%

5.0%

2018 2019 2020 2021 Q2

YTD

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 Q2 2022 Financial Supplement 12

DRAFT

Serious Delinquency Rate (%) 0.76%

0.66%

2.87%

1.25% 0.81%

0.66%

0.81%

0.59%

2018 2019 2020 2021 Q2 YTD

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 June 30, 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) $3,613.9 $84.0 $851.1 $179.0 $973.2 $1,211.2 $315.4 $164.8 $104.8 $290.7 $135.3 $842.2

Average UPB $204,264 $80,157 $132,345 $201,064 $254,533 $273,262 $295,474 $169,781 $180,333 $158,560 $105,341 $221,855

Share of SF Conventional Guaranty Book 100% 2% 23% 5% 27% 34% 9% 5% 3% 9% 4% 23%

Loans in Forbearance by UPB(24) 0.3% 1.1% 0.5% 0.7% 0.3% 0.3% 0.1% 0.7% 0.8% 1.2% 0.5% 0.6%

Share of Loans with Credit Enhancement(25) 39% 10% 47% 55% 34% 41% 29% 83% 81% 37% 40% 43%

Serious Delinquency Rate(11) 0.81% 3.53% 1.12% 1.32% 0.34% 0.19% 0.02% 1.91% 1.34% 2.98% 1.25% 1.30%

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

OLTV Ratio > 95% 5% 9% 7% 8% 3% 3% 5% 100% 34% 7% 28% 6%

Amortized OLTV Ratio(26) 67% 70% 61% 71% 67% 68% 73% 92% 83% 70% 72% 70%

Weighted-Average Mark-to-Market LTV Ratio(9) 50% 32% 34% 49% 50% 57% 70% 64% 64% 49% 32% 52%

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

FICO Credit Score < 680(10) 9% 38% 11% 9% 4% 7% 9% 12% 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%

9.0%

2018 2019 2020 2021 Q2

YTD

2022

0

200

400

600

800

0%

5%

10%

15%

20%

25%

Weighted-Average MTMLTV

MTMLTV >100%

57% 57% 58%

54%

50%

0.4% 0.3% 0.1% 0.0% 0.0%

2018 2019 2020 2021 Q2

YTD

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 Q2 2022 Financial Supplement 13

DRAFT

UPB

(Dollars in billions) $76

$102 $86 $82 $67 $63

$140

$240

$265

$206

$290

$58

$142

$242

$44

$45

$73

$57

$331

$410

$338

$445

$182

$205

$382

2016 2017 2018 2019 2020 2021 Q2 YTD 2022

$0

$200

$400

$600

Single-Family Credit Risk Transfer

UPB

(Dollars in billions) $698

$616

$750

$906

21% $1,018

18%

21%

25%

28%

Q2

2021

Q3

2021

Q4

2021

Q1

2022

Q2

2022

$0

$500

$1,000

$1,500

0%

10%

20%

30%

40%

2020 2021 Q2 YTD 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% $734 20%

Connecticut Avenue Securities(29) $608 19% $512 14% $681 19%

Credit Insurance Risk

Transfer(27) $216 7% $168 5% $276 7%

Lender risk-sharing(29) $131 4% $70 2% $61 2%

(Less: loans covered by multiple 

credit enhancements) ($304) (9)% ($253) (7)% ($328) (9)%

Total single-family loans with 

credit enhancement $1,332 42% $1,194 34% $1,424 39%

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 Q2 2022 Financial Supplement 14

DRAFT Single-Family Conventional Guaranty Book of Business in Forbearance

Delinquency Status of $12.3B UPB in 

Forbearance(33) as of June 30, 2022

Single-Family Loan Forbearance Status(34)

As of June 30, 2022

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

As of June 30, 2022 Origination Year

Categories are not mutually exclusive Total 

2008 &

Earlier

2009-

2018 2019 2020 2021 2022

Total UPB (Dollars in billions) $12.3 $1.0 $4.0 $1.2 $2.8 $3.1 $0.2

Average UPB $212,127 $115,447 $167,989 $229,352 $278,068 $312,964 $357,377

Share of Single-Family Conventional Guaranty Book

based on Loan Count 0.3% 0.0% 0.1% 0.0% 0.1% 0.1% 0.0%

Share of Single-Family Conventional Guaranty Book

based on UPB(32) 0.3% 0.0% 0.1% 0.0% 0.1% 0.1% 0.0%

MTMLTV Ratio > 80% without Mortgage Insurance 0.3% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0%

DTI Ratio > 43%(20) 39.6% 3.1% 12.5% 4.3% 8.6% 10.4% 0.7%

FICO Credit Score < 680(10) 28.9% 4.1% 11.0% 2.5% 4.5% 6.4% 0.4%

OLTV Ratio > 95% 10.0% 0.9% 4.4% 1.5% 1.6% 1.5% 0.1%

U

P

B

(Dollars in billions)Number of Loans

$1.3

$1.5 $1.4

$4.2

$3.9

6K 7K 6K

19K 19K

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

4.0%

2.9%

41.2%

19.0%

26.8%

6.1%

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

Reinstated(37) Payment Deferral Modification(36)

1,446,970

Total loans 

that have received 

a forbearance 
© 2022 Fannie Mae Q2 2022 Financial Supplement 15

DRAFT

U

P

B

(Dollars in billions) Number of Loan Workouts $16.6 $7.7 $5.3 $8.4 $11.1

$56.0

$62.1

$12.3

118.1K

56.3K

299.2K

342.7K

111.8K

2018 2019 2020 2021 Q2 YTD

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

8

2018 2019 2020 2021 Q2 YTD

2022

0

10

20

30

Single-Family Problem Loan Statistics

State

Serious

Delinquency 

Rate(11)

Average 

Months to

Foreclosure(38)

CA 0.59% 47

TX 0.89% 29

FL 0.92% 67

NY 1.54% 71

WA 0.52% —

NJ 1.17% 55

CO 0.51% —

IL 1.08% 36

VA 0.67% 29

NC 0.69% 42

Single-Family Serious Delinquency Rate by State as of June 30, 2022(11) Top 10 States by UPB

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

$23.6

State SDQ Rate:
© 2022 Fannie Mae Q2 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(54)

 * Loans originated prior to 2009 represent only 2% of the single-family conventional guaranty book of business as of June 30, 2022.

**As of June 30, 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 Q2 2022 Financial Supplement 18

DRAFT

UPB

(Dollars in billions)$401.9

$408.1 $413.1 $419.8

$425.7

76.8 77.5 78.4 79.3 79.5

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$100

$200

$300

$400

0

10

20

30

40

50

60

70

80

90

UPB

(Dollars in billions) $10.9

$16.4

$20.7

$16.0

$18.7

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022

$0

$5

$10

$15

$20

$25

Multifamily Highlights

• New multifamily business volume was $18.7 billion in Q2 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 1.4% in Q2 

2022 to $425.7 billion. The average charged guaranty fee on the 

multifamily book increased from 79.3 basis points as of March 31, 

2022 to 79.5 basis points as of June 30, 2022.

• The multifamily serious delinquency rate decreased to 0.34% as 

of June 30, 2022, compared with 0.38% as of March 31, 2022, as 

recovery from COVID-19 continues. The multifamily serious 

delinquency rate, excluding loans that have received a 

forbearance since the start of the pandemic, remained flat at 

0.03% as of June 30, 2022. Multifamily seriously delinquent loans 

are loans that are 60 days or more past due. 

Q2 2022

$1,235M

Net interest income

$21M

Fee and other 

income

$(14)M

Fair value losses, net

$(20)M

Credit-related 

expense

$767M

Net income

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

Multifamily Credit Risk Transfer Highlights

UPB

(Dollars in billions) $28.6 $28.2 $27.1 $26.6 $25.7

$70.0 $68.3

$84.9

$82.4

$79.3

25% 24%

27% 26% 25%

$98.6 $96.5

$112.0

$109.0

$105.0

Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 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 Q2 2022 Financial Supplement 19

DRAFT

Share of Acquisitions 89% 93% 93% 89%

78%

11% 7% 7% 11%

22%

2018 2019 2020 2021 Q2 YTD

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 Q2 YTD 2022

Total UPB (Dollars in billions) $65.4 $70.2 $76.0 $69.5 $34.7

Weighted-Average OLTV Ratio 65% 66% 64% 65% 61%

Loan Count 3,723 4,113 5,051 4,203 1,893

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

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

% Full Interest-Only 33% 33% 38% 40% 47%

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% 65%

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

Share of Acquisitions 32% 33% 29% 27%

19%

68% 66% 70% 72%

81%

2018 2019 2020 2021 Q2

YTD

2022

0%

20%

40%

60%

80%

100%

$1.6B

$1.5B

$1.5B

$1.1B $1.4B

$1.0B

$1.0B

$1.0B

$0.9B

$0.8B

Share of 

Acquisitions:

34.0%

Total Top 10 

UPB:

$11.8B

Origination Loan-to-Value 

Ratio(8)

Top 10 MSAs by Q2 YTD 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%

Variable-rate

Fixed-rate

New York Los Angeles Denver Seattle 

Phoenix Chicago Dallas

Washington D.C Houston Atlanta
© 2022 Fannie Mae Q2 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 June 30, 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) $425.7 $6.4 $126.4 $52.9 $64.6 $72.5 $68.2 $34.7 $375.3 $16.7 $14.5 $19.2 $49.9

% of Multifamily Guaranty Book 100% 2% 30% 12% 15% 17% 16% 8% 88% 4% 3% 5% 12%

Loan Count 28,284 2,479 8,474 2,908 3,604 4,805 4,122 1,892 25,374 622 588 1,700 3,832

Average UPB (Dollars in millions) $15.1 $2.6 $14.9 $18.2 $17.9 $15.1 $16.5 $18.3 $14.8 $27.0 $24.6 $11.3 $13.0

Weighted-Average OLTV Ratio 65% 69% 66% 64% 66% 64% 64% 61% 65% 66% 66% 64% 68%

Weighted-Average DSCR(46) 2.2 2.6 2.0 1.9 2.1 2.5 2.4 2.2 2.2 1.6 1.9 2.3 2.1

% Fixed rate 90% 23% 90% 94% 94% 95% 90% 78% 91% 61% 82% 92% 84%

% Full Interest-Only 35% 29% 28% 36% 34% 39% 40% 47% 37% 13% 33% 26% 25%

% Partial Interest-Only(43) 50% 18% 50% 52% 56% 50% 50% 43% 49% 61% 61% 58% 45%

% Small Balance Loans(45) 39% 90% 43% 28% 34% 36% 26% 23% 40% 14% 22% 49% 46%

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

Serious Delinquency Rate(47) 0.34% 0.34% 0.73% 0.43% 0.36% 0.05% 0.01% 0.00% 0.23% 1.39% 2.41% 0.02% 0.15%

Credit Characteristics of Multifamily Guaranty Book of Business

$37.0B

$27.6B

$18.1B $16.8B

$11.6B

$11.5B

$11.5B

$10.8B

$10.8B

$10.4B

Share of Book

of Business: 

39.0%

Total Top 10 

UPB:

$166.1B

$2.1B $9.0B

$13.7B

$20.9B

$118.5B

$169.0B

$92.5B

Total UPB:

$425.7B 

UPB by Maturity Year 

As of June 30, 2022(8)

Top 10 MSAs by UPB 

As of June 30, 2022(8)

 Certain Credit Characteristics of 

Guaranty Book

New York Dallas Phoenix San Francisco

Los Angeles Atlanta Houston

Washington D.C. Chicago Seattle

2022 2024 2026 - 2028

2023 2025 2029 - 2031

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% 65%

2018 2019 2020 2021 Q2

YTD

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 Q2 2022 Financial Supplement 21

DRAFT

55.9%

17.4%

0.6%

2.7%

18.2%

5.2%

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%

0.34%

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Q2

YTD

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% —% 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 Rate(47) COVID-19-Related Loan Forbearance

Status as of June 30, 2022(50)

Cumulative Total Credit Loss Rate, Net by Acquisition Year Through Q2 2022(49)

Reinstated(53) Repayment Plan Active Forbearance(51)

Defaulted(52) Liquidations Foreclosure

$5.3B UPB 

that took 

Forbearance 
© 2022 Fannie Mae

DRAFT

Endnotes
© 2022 Fannie Mae Q2 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 cost basis adjustments and 

debt of consolidated trusts.

Endnotes
© 2022 Fannie Mae Q2 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 rates for periods in 2022 are the annualized GDP decline rates based on 

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

(18) Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 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 June 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 June 30, 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 June 30, 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 June 30, 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 Q2 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 transactions. 

(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 42,275 loans that were delinquent upon the expiration of the forbearance arrangement and 743 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 and 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 six months ended June 30, 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 25,000 loans in a trial modification period that was not complete as of June 30, 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 Q2 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 June 30, 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 and 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 June 30, 2022 is not necessarily indicative of the ultimate performance of the loans and performance may 

change, perhaps materially, in future periods.