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1、UNITED STATES SECURITIES AND EXCHANGE COMMISSIONWashington,D.C.20549Form 10-Q QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934For the quarterly period ended June 30,2023 ORTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934For
2、 the transition period from to Commission file number:0-50231 Federal National Mortgage Association(Exact name of registrant as specified in its charter)Fannie MaeFederally chartered corporation52-08831071100 15th Street,NW800232-6643Washington,DC 20005(State or other jurisdiction ofincorporation or
3、 organization)(I.R.S.EmployerIdentification No.)(Address of principal executive offices,including zip code)(Registrants telephone number,including area code)Securities registered pursuant to Section 12(b)of the Act:Title of each classTrading Symbol(s)Name of each exchange on which registeredNoneN/AN
4、/AIndicate by check mark whether the registrant(1)has filed all reports required to be filed by Section 13 or 15(d)of the Securities Exchange Act of 1934 during the preceding 12 months(or for such shorter period that the registrant was required to file such reports),and(2)has been subject to such fi
5、ling requirements for the past 90 days.Yes No Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T(232.405 of this chapter)during the preceding 12 months(or for such shorter period that
6、the registrant was required to submit such files).Yes No Indicate by check mark whether the registrant is a large accelerated filer,an accelerated filer,a non-accelerated filer,a smaller reporting company,or an emerging growth company.See the definitions of“large accelerated filer,”“accelerated file
7、r,”“smaller reporting company,”and“emerging growth company”in Rule 12b-2 of the Exchange Act.Large accelerated filer Accelerated filerNon-accelerated filerSmaller reporting companyEmerging growth companyIf an emerging growth company,indicate by check mark if the registrant has elected not to use the
8、 extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a)of the Exchange Act.Indicate by check mark whether the registrant is a shell company(as defined in Rule 12b-2 of the Exchange Act).Yes No As of July 14,2023,there were 1
9、,158,087,567 shares of common stock of the registrant outstanding.TABLE OF CONTENTSPagePART IFinancial Information .1Item 1.Financial StatementsCondensed Consolidated Balance Sheets .63Condensed Consolidated Statements of Operations and Comprehensive Income .64Condensed Consolidated Statements of Ca
10、sh Flows .65Condensed Consolidated Statements of Changes in Equity .66Note 1Summary of Significant Accounting Policies .68Note 2Consolidations and Transfers of Financial Assets .71Note 3Mortgage Loans .73Note 4Allowance for Loan Losses .88Note 5Investments in Securities .90Note 6Financial Guarantees
11、 .92Note 7Short-Term and Long-Term Debt .93Note 8Derivative Instruments .94Note 9Segment Reporting .98Note 10Concentrations of Credit Risk .100Note 11Netting Arrangements .104Note 12Fair Value .105Note 13Commitments and Contingencies .114Note 14Regulatory Capital Requirements .115Item 2.Managements
12、Discussion and Analysis of Financial Condition and Results of Operations .1Introduction .1Executive Summary .2Summary of Our Financial Performance .2Liquidity Provided in the First Half of 2023 .3Legislation and Regulation .4Key Market Economic Indicators .5Consolidated Results of Operations .9Conso
13、lidated Balance Sheet Analysis .18Retained Mortgage Portfolio .19Guaranty Book of Business .21Business Segments .22Single-Family Business .22Single-Family Mortgage Market .22Single-Family Mortgage-Related Securities Issuances Share .23Single-Family Business Metrics .23Single-Family Business Financia
14、l Results .25Single-Family Mortgage Credit Risk Management .26Multifamily Business .37Multifamily Mortgage Market .38Multifamily Business Metrics .38Multifamily Business Financial Results .40Multifamily Mortgage Credit Risk Management .41Consolidated Credit Ratios and Select Credit Information .45Li
15、quidity and Capital Management .46Risk Management .54Market Risk Management,including Interest-Rate Risk Management .54Critical Accounting Estimates .56Impact of Future Adoption of New Accounting Guidance .59Forward-Looking Statements .59Fannie Mae Second Quarter 2023 Form 10-QiItem 3.Quantitative a
16、nd Qualitative Disclosures about Market Risk .117Item 4.Controls and Procedures .117PART IIOther Information .119Item 1.Legal Proceedings .119Item 1A.Risk Factors .120Item 2.Unregistered Sales of Equity Securities and Use of Proceeds .120Item 3.Defaults Upon Senior Securities .122Item 4.Mine Safety
17、Disclosures .122Item 5.Other Information .122Item 6.Exhibits .122Fannie Mae Second Quarter 2023 Form 10-QiiPART IFINANCIAL INFORMATIONItem 2.Managements Discussion and Analysis of Financial Condition and Results of OperationsWe have been under conservatorship,with the Federal Housing Finance Agency(
18、“FHFA”)acting as conservator,since September 6,2008.As conservator,FHFA succeeded to all rights,titles,powers and privileges of the company,and of any shareholder,officer or director of the company with respect to the company and its assets.The conservator has since provided for the exercise of cert
19、ain functions and authorities by our Board of Directors.Our directors owe their fiduciary duties of care and loyalty solely to the conservator.Thus,while we are in conservatorship,the Board has no fiduciary duties to the company or its stockholders.We do not know when or how the conservatorship will
20、 terminate,what further changes to our business will be made during or following conservatorship,what form we will have and what ownership interest,if any,our current common and preferred stockholders will hold in us after the conservatorship is terminated or whether we will continue to exist follow
21、ing conservatorship.We are not currently permitted to pay dividends or other distributions to stockholders.Our agreements with the U.S.Department of the Treasury(“Treasury”)include a commitment from Treasury to provide us with funds to maintain a positive net worth under specified conditions;however
22、,the U.S.government does not guarantee our securities or other obligations.Our agreements with Treasury also include covenants that significantly restrict our business activities.For additional information on the conservatorship,the uncertainty of our future,and our agreements with Treasury,see“Busi
23、nessConservatorship and Treasury Agreements”and“Risk FactorsGSE and Conservatorship Risk”in our Form 10-K for the year ended December 31,2022(“2022 Form 10-K”).You should read this Managements Discussion and Analysis of Financial Condition and Results of Operations(“MD&A”)in conjunction with our una
24、udited condensed consolidated financial statements and related notes in this report and the more detailed information in our 2022 Form 10-K.You can find a“Glossary of Terms Used in This Report”in MD&A in our 2022 Form 10-K.Forward-looking statements in this report are based on managements current ex
25、pectations and are subject to significant uncertainties and changes in circumstances,as we describe in“Forward-Looking Statements.”Future events and our future results may differ materially from those reflected in our forward-looking statements due to a variety of factors,including those discussed i
26、n“Risk Factors”in our 2022 Form 10-K and elsewhere in our 2022 Form 10-K and in this report.IntroductionFannie Mae is a leading source of financing for mortgages in the United States.Organized as a government-sponsored enterprise,Fannie Mae is a shareholder-owned corporation.We were chartered by Con
27、gress to provide liquidity and stability to the residential mortgage market and to promote access to mortgage credit.Our revenues are primarily driven by guaranty fees we receive for assuming the credit risk on loans underlying the mortgage-backed securities we issue.We do not originate mortgage loa
28、ns or lend money directly to borrowers.Rather,we work primarily with lenders who originate mortgage loans to borrowers.We acquire and securitize those loans into mortgage-backed securities that we guarantee(which we refer to as Fannie Mae MBS or our MBS).MD&A|IntroductionFannie Mae Second Quarter 20
29、23 Form 10-Q1Executive SummarySummary of Our Financial PerformanceQuarterly Condensed Consolidated Results(Dollars in billions)$7.9$7.1$4.7$5.0Net revenuesNet incomeQ2 2022Q2 2023Net revenues decreased$784 million in the second quarter of 2023 compared with the second quarter of 2022,primarily due t
30、o lower net amortization income,partially offset by higher income from portfolios.Lower amortization income was driven by a higher interest-rate environment in the second quarter of 2023,which significantly slowed refinancing activity,driving lower loan prepayment volumes compared with the second qu
31、arter of 2022.Higher income from portfolios was primarily driven by higher interest rates in the second quarter of 2023 than in the second quarter of 2022 on securities in our other investments portfolio.Net income increased$341 million for the second quarter of 2023 compared with the second quarter
32、 of 2022,driven primarily by a shift to benefit for credit losses in the second quarter of 2023 from provision for credit losses in the second quarter of 2022,partially offset by a decrease in net revenues.Our benefit for credit losses in the second quarter of 2023 was driven primarily by increases
33、in actual and forecasted single-family home prices.Net worth increased to$69.0 billion as of June 30,2023 from$64.0 billion as of March 31,2023.The increase is attributable to$5.0 billion of comprehensive income for the second quarter of 2023.MD&A|Executive SummaryFannie Mae Second Quarter 2023 Form
34、 10-Q2Year-to-Date Condensed Consolidated Results(Dollars in billions)$15.4$14.0$9.1$8.8Net revenuesNet incomeFirst Half 2022First Half 2023Net revenues decreased$1.4 billion in the first half of 2023 compared with the first half of 2022,primarily due to lower net amortization income,partially offse
35、t by higher income from portfolios.Lower amortization income was driven by a higher interest-rate environment in the first half of 2023,which significantly slowed refinancing activity,driving lower loan prepayment volumes compared with the first half of 2022.Higher income from portfolios was primari
36、ly driven by higher interest rates in the first half of 2023 than in the first half of 2022 on securities in our other investments portfolio.Net income decreased$295 million for the first half of 2023 compared with the first half of 2022,driven primarily by lower net revenues and a decrease in fair
37、value gains,partially offset by a shift to benefit for credit losses in the first half of 2023 from provision for credit losses in the first half of 2022 due to increases in actual and forecasted single-family home prices.Net worth increased to$69.0 billion as of June 30,2023 from$60.3 billion as of
38、 December 31,2022.The increase is attributable to$8.8 billion of comprehensive income for the first half of 2023.Liquidity Provided in the First Half of 2023Through our single-family and multifamily business segments,we provided$182 billion in liquidity to the mortgage market in the first half of 20
39、23,enabling the financing of approximately 726,000 home purchases,refinancings and rental units.Fannie Mae Provided$182 Billion in Liquidity in the First Half of 2023Unpaid Principal BalanceUnits$133B397KSingle-Family Home Purchases$24B99KSingle-Family Refinancings$25B230KMultifamily Rental UnitsMD&
40、A|Executive SummaryFannie Mae Second Quarter 2023 Form 10-Q3Legislation and RegulationThe information in this section updates and supplements information regarding legislative,regulatory,conservatorship and other developments affecting our business set forth in“BusinessConservatorship and Treasury A
41、greements”and“BusinessLegislation and Regulation”in our 2022 Form 10-K,as well as in“MD&ALegislation and Regulation”in our Form 10-Q for the quarter ended March 31,2023(“First Quarter 2023 Form 10-Q”).Also see“Risk Factors”in our 2022 Form 10-K for discussions of risks relating to legislative and re
42、gulatory matters.Middle Class Borrower Protection Act of 2023On May 1,2023,Fannie Mae implemented changes to our single-family pricing framework that introduced redesigned and recalibrated upfront fee matrices for purchase,rate-term refinance,and cash-out refinance loans.These changes are described
43、in“MD&ASingle-Family BusinessSingle-Family Business MetricsRecent and Future Price Changes”in our 2022 Form 10-K and“Single-Family BusinessSingle-Family Business MetricsRecent Price Changes”in this report.On June 23,2023,the House of Representatives passed the Middle Class Borrower Protection Act of
44、 2023.If enacted,the bill would require the Director of FHFA to revise Fannie Mae and Freddie Macs(together,referred to as the“Enterprises”)single-family pricing framework to the version that was in effect immediately before May 1,2023,and to maintain the revised framework without further adjustment
45、 until 90 days after the Government Accountability Office submits a report to Congress on its analysis of the May 1,2023 pricing changes.After this period,the bill would restrict FHFAs authority to engage in future pricing changes,including prohibiting any loan-level pricing adjustments based on deb
46、t-to-income ratio and requiring FHFA to follow procedures similar to those required for a federal agency issuing a rule under the Administrative Procedure Act when proposing adjustments to the Enterprises single-family pricing framework.In addition,the bill would extend by one year(to October 1,2033
47、)the Enterprises obligations under the Temporary Payroll Tax Cut Continuation Act of 2011 to collect 10 basis points in guaranty fees on single-family residential mortgages delivered to us and pay the associated revenue to Treasury.A companion bill has been introduced in the Senate;however,as of the
48、 date of this filing,neither the House nor Senate bill has been considered by the Senate.If either bill is enacted,our single-family guaranty fees on new acquisitions could decline,which could adversely affect our revenues,our ability to improve our capital position and our ability to meet FHFAs min
49、imum return on equity targets for single-family acquisitions.In addition,the changes in our pricing could significantly affect our single-family loan acquisition volumes,the credit risk profile of our single-family acquisitions,our competitive position,and the type and mix of loans we acquire.Single
50、-Family Pricing Request for InputIn May 2023,FHFA issued a request for input(“RFI”)on the Enterprises single-family pricing framework.The RFI seeks public feedback on the goals and policy priorities that FHFA should pursue in its oversight of the pricing framework,as well as input on the process for
51、 setting the Enterprises single-family upfront guaranty fees.Specific topics on which FHFA requested input included,among other things,the appropriate long-term commercially reasonable return on capital threshold for the Enterprises to achieve,whether upfront guaranty fees should be eliminated,and w
52、hether risk-based pricing should be calibrated to the enterprise regulatory capital framework.As described in“Risk FactorsGSE and Conservatorship Risk”in our 2022 Form 10-K,FHFAs control over our guaranty fee pricing can constrain our ability to address changing market conditions,pursue certain stra
53、tegic objectives,or manage the mix of loans we acquire.Multifamily Tenant Protections Request for InputIn May 2023,FHFA issued an RFI to gather input on tenant protections at multifamily properties with mortgages backed by the Enterprises.The RFI states that FHFA is soliciting public input on issues
54、 faced by tenants in multifamily properties,and on any opportunities and potential impacts associated with requiring or encouraging specific tenant protections at multifamily properties backed by the Enterprises.Stress TestingThe Dodd-Frank Wall Street Reform and Consumer Protection Act(the“Dodd-Fra
55、nk Act”)requires certain financial companies to conduct annual stress tests to determine whether the companies have the capital necessary to absorb losses as a result of adverse economic conditions.Under FHFA regulations implementing this requirement,each year we are required to conduct a stress tes
56、t using two different scenarios of financial conditions provided by FHFAbaseline and severely adverseand to publish a summary of our stress test results for the severely adverse scenario by August 15.MD&A|Legislation and RegulationFannie Mae Second Quarter 2023 Form 10-Q4Following our publication of
57、 our 2022 stress test results on our website in August 2022,we discovered errors in a model we use to prepare our annual stress test results that affected these results for 2022 and prior years.We have completed our evaluation of the errors relating to our stress test results for 2018 to 2022.We hav
58、e posted corrected 2022 and 2021 stress test results for the severely adverse scenario on our website.We posted 2022 results on June 12,2023 and 2021 results on July 27,2023.We determined the errors for 2018,2019 and 2020 were not material and therefore will not post revised stress test results for
59、these years.Quality Control Standards for Automated Valuation Models Proposed RuleIn June 2023,FHFA and five other federal regulatory agencies issued a proposed rule to implement the quality control standards mandated by the Dodd-Frank Act for the use of automated valuation models(referred to as“AVM
60、s”)by mortgage originators and secondary market issuers in determining the collateral worth of a mortgage secured by a consumers principal dwelling.Under the proposed rule,the agencies would require institutions that engage in certain credit decisions or securitization determinations to adopt polici
61、es,practices,procedures and control systems to:ensure that AVMs used to determine the value of mortgage collateral in these transactions adhere to quality control standards designed to ensure a high level of confidence in the estimates produced by AVMs;protect against the manipulation of data;seek t
62、o avoid conflicts of interest;require random sample testing and reviews;and comply with applicable nondiscrimination laws.Key Market Economic IndicatorsBelow we discuss how varying macroeconomic conditions can influence our financial results across different business and economic environments.Our fo
63、recasts and expectations are based on many assumptions,subject to many uncertainties and may change,perhaps substantially,from our current forecasts and expectations.See“Risk Factors”in our 2022 Form 10-K and“Forward-Looking Statements”in this report for a discussion of factors that could cause actu
64、al results to differ materially from our current forecasts and expectations.For further discussion on housing activity,see“Single-Family BusinessSingle-Family Mortgage Market”and“Multifamily BusinessMultifamily Mortgage Market.”Selected Benchmark Interest Rates3.02%5.70%6.71%1.83%4.38%5.63%1.47%3.01
65、%3.84%1.43%3.09%3.86%0.15%2.29%5.55%0.05%1.50%5.09%30-year FRM rate 30-year Fannie Mae MBS par coupon rate10-year Treasury rate10-year swap rate3-month London Inter-Bank Offered Rate(LIBOR)Secured Overnight Financing Rate(SOFR)06/30/2109/30/2112/31/2103/31/2206/30/2209/30/2212/31/2203/31/236/30/2023
66、(1)Refers to the U.S.weekly average fixed-rate mortgage rate according to Freddie Macs Primary Mortgage Market Survey.These rates are reported using the latest available data for a given period.(2)According to Bloomberg.The final U.S.dollar LIBOR bank panel ended on June 30,2023.(3)Refers to the dai
67、ly rate per the Federal Reserve Bank of New York.MD&A|Legislation and RegulationFannie Mae Second Quarter 2023 Form 10-Q5How Interest Rates Can Affect Our Financial ResultsNet interest income.In a rising interest-rate environment,our mortgage loans generally prepay more slowly as borrowers are less
68、likely to refinance.We amortize various cost basis adjustments over the life of the mortgage loan,including those relating to certain upfront fees we receive at the time we acquire single-family loans.As a result,prepayment of a loan results in an accelerated realization of those upfront fees as inc
69、ome.Therefore,as loan prepayments slow,the accelerated realization of amortization income also slows.Conversely,in a declining interest-rate environment,our mortgage loans generally prepay faster as borrowers are more likely to refinance,typically resulting in the opposite trend of higher amortizati
70、on income from cost basis adjustments on mortgage loans.Interest rates also affect the amount of interest income we earn on our assets.Our other investments portfolio and our retained mortgage portfolio typically earn more interest income in a higher interest-rate environment and less interest incom
71、e in a lower interest-rate environment,which,depending on the size of these portfolios,can impact the amount of interest income we recognize during the period.See“Consolidated Results of OperationsNet Interest Income”for a discussion of how interest rate changes impacted our financial results.Fair v
72、alue gains(losses).We have exposure to fair value gains and losses resulting from changes in interest rates,primarily through our mortgage commitment derivatives and risk management derivatives,which we mark to market through earnings.Fair value gains and losses on our mortgage commitment derivative
73、s fluctuate depending on how interest rates and prices move between the time a commitment is opened and when it settles.The net position and composition across the yield curve of our risk management derivatives changes over time.As a result,interest rate changes(increases or decreases)and yield curv
74、e changes(parallel,steepening or flattening shifts)will generate varying amounts of fair value gains or losses in a given period.For more information about fair value gains(losses),including the impact of hedge accounting,see“Consolidated Results of OperationsFair Value Gains,Net.”Benefit(provision)
75、for credit losses.Increases in mortgage interest rates tend to lengthen the expected lives of our loans as borrowers are less likely to refinance,which generally increases the expected impairment and provision for credit losses on loans.Decreases in mortgage interest rates tend to shorten the expect
76、ed lives of our loans as borrowers are more likely to refinance,which generally reduces the impairment and provision for credit losses on such loans.For more information on benefit(provision)for credit losses,see“Consolidated Results of OperationsBenefit(Provision)for Credit Losses.”Single-Family Qu
77、arterly Home Price Growth(Decline)Rate(1)5.4%(0.6)%(1.3)%1.4%3.6%Fannie Mae national home price index2Q223Q224Q221Q232Q23(1)Calculated internally using property data on loans purchased by Fannie Mae,Freddie Mac and other third-party home sales data.Fannie Maes home price index is a weighted repeat-t
78、ransactions index,measuring average price changes in repeat sales on the same properties.Fannie Maes home price index excludes prices on properties sold in foreclosure.Fannie Maes home price estimates are based on non-seasonally adjusted preliminary data and are subject to change as additional data
79、becomes available.How Home Prices Can Affect Our Financial ResultsActual and forecasted home prices impact our provision or benefit for credit losses as well as the growth and size of our guaranty book of business.Changes in home prices affect the amount of equity that borrowers have in their homes.
80、Borrowers with less equity typically have higher delinquency and default rates,particularly in times of economic stress.MD&A|Key Market Economic IndicatorsFannie Mae Second Quarter 2023 Form 10-Q6As home prices increase,the severity of losses we incur on defaulted loans that we hold or guarantee dec
81、reases because the amount we can recover from the properties securing the loans increases.Declines in home prices increase the losses we incur on defaulted loans.As home prices rise,the principal balance of loans associated with newly acquired purchase loans may increase,causing growth in the size o
82、f our guaranty book.Additionally,rising home prices can increase the amount of equity borrowers have in their home,which may lead to an increase in origination volumes for cash-out refinance loans with higher principal balances than the existing loan.Replacing existing loans with newly acquired cash
83、-out refinances can affect the growth and size of our guaranty book.Home prices on a national basis grew by 5.0%in the first half of 2023.We forecast home prices will decline in the second half of 2023;however,as a result of the strong home price growth in the first half of the year,we forecast nati
84、onal home price growth of 3.9%for the full year of 2023.We expect regional variation in home price changes.New Housing Starts(1)1,6351,4461,4061,3861,4471,08490518(8.3)%(16.9)%(5.7)%(1.9)%11.4%3.0%(1.1)%2.0%(0.7)%(6.1)%quarterly change in multifamily housing starts%quarterly ch
85、ange in single-family housing startsMultifamily starts(in thousands of units)Single-family starts(in thousands)2Q223Q224Q221Q232Q23(1)According to the U.S.Census Bureau and subject to revision.How Housing Activity Can Affect Our Financial ResultsHousing is among the most interest-rate sensitive sect
86、ors of the economy.In addition to interest rates,two key aspects of economic activity that can impact supply and demand for housing,and thus our business and financial results,are the rates of household formation and housing construction.Household formation is a key driver of demand for both single-
87、family and multifamily housing as a newly formed household will either rent or purchase a home.Thus,changes in the pace of household formation can affect home prices,multifamily property values and credit performance as well as the degree of loss on defaulted loans.Growth of household formation stim
88、ulates homebuilding.Homebuilding has typically been a cyclical leader,weakening prior to a slowdown in U.S.economic activity and accelerating prior to a recovery,which contributes to the growth of U.S.gross domestic product(“GDP”)and employment.A decline in housing starts results in fewer new homes
89、being available for purchase and potentially a lower volume of mortgage originations.Construction activity can also affect credit losses through its impact on home prices.If the growth of demand exceeds the growth of supply,prices will appreciate and impact the risk profile of newly originated home
90、purchase mortgages,depending on where in the housing cycle the market is.A MD&A|Key Market Economic IndicatorsFannie Mae Second Quarter 2023 Form 10-Q7reduced pace of construction is often associated with a broader economic slowdown and may signal expected increases in delinquency and losses on defa
91、ulted loans.Although we expect continued increases in new home construction and new home sales over the short term,we expect total home sales to decrease due to a decline in sales of existing homes.We expect existing home sales to decline due to the reluctance of existing homeowners to give up their
92、 low mortgage rates and the likelihood of a recession beginning in the fourth quarter of 2023 or the first quarter of 2024.GDP,Unemployment Rate and Personal Consumption12.1%3.0%3.1%1.3%2.0%2.3%1.0%4.2%1.6%7.0%2.7%7.0%(1.6)%(0.6)%3.2%2.6%2.0%2.4%5.9%4.8%3.9%3.6%3.6%3.5%3.5%3.5%3.6%Growth(decline)in
93、U.S.personal consumption,annualized percentage changeGrowth(decline)in GDP,annualized percentage changeU.S.unemployment rate,as of period end2Q213Q214Q211Q222Q223Q224Q221Q232Q23(1)Real GDP growth(decline)and personal consumption growth(decline)are based on the quarterly series calculated by the Bure
94、au of Economic Analysis and are subject to revision.(2)According to the U.S.Bureau of Labor Statistics and subject to revision.How GDP,the Unemployment Rate and Personal Consumption Can Affect Our Financial ResultsChanges in GDP,the unemployment rate and personal consumption can affect several mortg
95、age market factors,including the demand for both single-family and multifamily housing and the level of loan delinquencies,which impacts credit losses.Economic growth is a key factor for the performance of mortgage-related assets.In a growing economy,employment and income are typically rising,thus a
96、llowing borrowers to meet payment requirements,existing homeowners to consider purchasing and moving to another home,and renters to consider becoming homeowners.Homebuilding typically increases to meet the rise in demand.Mortgage delinquencies typically fall in an expanding economy,thereby decreasin
97、g credit losses.In a slowing economy,income growth and housing activity typically slow as an early indicator of reduced economic activity,followed by slowing employment.Typically,as an economic slowdown intensifies,households reduce their spending.This reduction in consumption then accelerates the s
98、lowdown.An economic slowdown can lead to employment losses,impairing the ability of borrowers and renters to meet mortgage and rental payments,thus causing loan delinquencies to rise.Home sales and mortgage originations also typically fall in a slowing economy.GDP increased in the first half of 2023
99、.We expect that a modest recession is likely to occur beginning in the fourth quarter of 2023 or the first quarter of 2024,resulting in an increase in the unemployment rate.We expect our economic outlook will be influenced by a number of factors that are subject to change,such as the persistence of
100、inflationary pressures,the speed at which expected monetary policy tightening is adjusted and the risk of further financial market disruptions.MD&A|Key Market Economic IndicatorsFannie Mae Second Quarter 2023 Form 10-Q8Stress in the banking sector,particularly for regional banks with significant exp
101、osure to commercial real estate,could further tighten bank credit conditions,dampen consumer and business confidence,and lead to reduced consumer spending,business investment,and hiring activity.See“Market and Industry Risk”and“Credit Risk”in“Risk Factors”in our 2022 Form 10-K for further discussion
102、 of risks to our business and financial results associated with interest rates,home prices,housing activity,economic conditions,and our reliance on institutional counterparties and mortgage servicers.Consolidated Results of OperationsThis section discusses our condensed consolidated results of opera
103、tions and should be read together with our condensed consolidated financial statements and the accompanying notes.Summary of Condensed Consolidated Results of OperationsFor the Three Months Ended June 30,For the Six Months Ended June 30,20232022Variance20232022Variance(Dollars in millions)Net intere
104、st income$7,035$7,808$(773)$13,821$15,207$(1,386)Fee and other income 70 81 (11)133 164 (31)Net revenues 7,105 7,889 (784)13,954 15,371 (1,417)Investment gains(losses),net 25 (49)74 (42)(151)109 Fair value gains,net 404 529 (125)608 1,009 (401)Administrative expenses(864)(795)(69)(1,732)(1,603)(129)
105、Benefit(provision)for credit losses 1,266 (218)1,484 1,134 (458)1,592 TCCA fees(1)(856)(841)(15)(1,711)(1,665)(46)Credit enhancement expense(2)(384)(332)(52)(725)(610)(115)Change in expected credit enhancement recoveries(3)(160)(47)(113)(40)13 (53)Other expenses,net(4)(257)(261)4 (387)(458)71 Income
106、 before federal income taxes 6,279 5,875 404 11,059 11,448 (389)Provision for federal income taxes(1,285)(1,222)(63)(2,293)(2,387)94 Net income$4,994$4,653$341$8,766$9,061$(295)Total comprehensive income$4,995$4,649$346$8,767$9,050$(283)(1)TCCA fees refers to the expense recognized as a result of th
107、e 10 basis point increase in guaranty fees on all single-family residential mortgages delivered to us on or after April 1,2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 and as extended by the Infrastructure Investment and Jobs Act,which we remit to Treasury.For more informat
108、ion on TCCA fees,see“Note 1,Summary of Significant Accounting PoliciesRelated PartiesTransactions with Treasury”in our 2022 Form 10-K.(2)Consists of costs associated with our freestanding credit enhancements,which primarily include our Connecticut Avenue Securities(“CAS”)and Credit Insurance Risk Tr
109、ansferTM(“CIRTTM”)programs,enterprise-paid mortgage insurance and certain lender risk-sharing programs.(3)Includes estimated changes in benefits,as well as any realized amounts,from our freestanding credit enhancements.(4)Consists of debt extinguishment gains and losses,foreclosed property income(ex
110、pense),gains and losses from partnership investments,housing trust fund expenses,loan subservicing costs,and servicer fees paid in connection with certain loss mitigation activities.Net Interest IncomeOur primary source of net interest income is guaranty fees we receive for managing the credit risk
111、on loans underlying Fannie Mae MBS held by third parties.Guaranty fees consist of two primary components:base guaranty fees that we receive over the life of the loan;andupfront fees that we receive at the time of loan acquisition primarily related to single-family loan-level price adjustments and ot
112、her fees we receive from lenders,which are amortized into net interest income as cost basis adjustments over the contractual life of the loan.We refer to this as amortization income.MD&A|Key Market Economic IndicatorsFannie Mae Second Quarter 2023 Form 10-Q9We recognize almost all of our guaranty fe
113、e revenue in net interest income because we consolidate the substantial majority of loans underlying our Fannie Mae MBS in consolidated trusts in our condensed consolidated balance sheets.Guaranty fees from these loans account for the difference between the interest income on loans in consolidated t
114、rusts and the interest expense on the debt of consolidated trusts.The timing of when we recognize the upfront fees received on loan acquisitions as amortization income can vary based on a number of factors,the most significant of which is a change in mortgage interest rates.Although we amortize thes
115、e upfront fees over the contractual life of the mortgage loan,when a loan prepays,the remaining upfront fees on the loan are recognized as income in that period.As a result,in a declining interest-rate environment,our mortgage loans generally prepay faster as borrowers are more likely to refinance,t
116、ypically resulting in higher amortization income as it accelerates the realization of those upfront fees as income.Conversely,in a rising interest-rate environment,our mortgage loans generally prepay more slowly as borrowers are less likely to refinance,which typically results in lower amortization
117、income as those upfront fees are amortized over a longer period of time.We also recognize net interest income on the difference between interest income earned on the assets in our retained mortgage portfolio and our other investments portfolio(collectively,our“portfolios”)and the interest expense as
118、sociated with the debt that funds those assets.See“Retained Mortgage Portfolio”and“Liquidity and Capital ManagementLiquidity ManagementOther Investments Portfolio”for more information about our portfolios.We recognize the effects of hedge accounting as a component of net interest income,as demonstra
119、ted in the table below.As of June 30,2023,we had$4.2 billion in net cumulative fair value hedge basis adjustments,which will be amortized as net expenses over the remaining contractual life of the respective hedged items in the“Income(expense)from hedge accounting”line item in the table below.The su
120、bstantial majority of these hedge basis adjustments relate to our funding debt.See“Fair Value Gains,Net”below and“Note 8,Derivative Instruments”in this report for more information about our hedge accounting program,as well as“Note 1,Summary of Significant Accounting Policies”in our 2022 Form 10-K.MD
121、&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q10The table below displays the components of our net interest income from our guaranty book of business,which we discuss in“Guaranty Book of Business,”and from our portfolios,as well as from hedge accounting.Components of N
122、et Interest IncomeFor the Three Months Ended June 30,For the Six Months Ended June 30,20232022Variance20232022Variance(Dollars in millions)Net interest income from guaranty book of business:Base guaranty fee income(1)$4,025$4,078$(53)$8,017$7,975$42 Base guaranty fee income related to TCCA(2)856 841
123、 15 1,711 1,665 46 Net amortization income(3)888 2,121 (1,233)1,669 4,495 (2,826)Total net interest income from guaranty book of business 5,769 7,040 (1,271)11,397 14,135 (2,738)Net interest income from portfolios(4)1,568 711 857 2,958 953 2,005 Income(expense)from hedge accounting(302)57 (359)(534)
124、119 (653)Total net interest income$7,035$7,808$(773)$13,821$15,207$(1,386)Income(expense)from hedge accounting included in net interest income:Fair value losses on designated risk management derivatives in fair value hedges$(371)$(231)$(140)$(153)$(1,528)$1,375 Fair value gains on hedged mortgage lo
125、ans held for investment and debt of Fannie Mae(5)525 404 121 463 1,789 (1,326)Contractual interest income(expense)accruals related to interest-rate swaps designated as hedging instruments(266)(2)(264)(469)37 (506)Discontinued hedge-related basis adjustment amortization(190)(114)(76)(375)(179)(196)To
126、tal income(expense)from hedge accounting in net interest income$(302)$57$(359)$(534)$119$(653)(1)Excludes revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA,the incremental revenue from which is remitted to Treasury and not retained by us.(2)Represents
127、 revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA,the incremental revenue from which is remitted to Treasury and not retained by us.(3)Net amortization income refers primarily to the amortization of premiums and discounts on mortgage loans and debt o
128、f consolidated trusts.These cost basis adjustments represent the difference between the initial fair value and the carrying value of these instruments as well as upfront fees we receive at the time of loan acquisition.It does not include the amortization of cost basis adjustments resulting from hedg
129、e accounting,which is included in income(expense)from hedge accounting.(4)Includes interest income from assets held in our retained mortgage portfolio and our other investments portfolio,as well as other assets used to support lender liquidity.Also includes interest expense associated with the debt
130、that funds those assets and our outstanding Connecticut Avenue Securities debt.(5)Amounts are recorded as cost basis adjustments on the hedged loans or debt and amortized over the hedged items remaining contractual life beginning at the termination of the hedging relationship.See“Note 8,Derivative I
131、nstruments”for additional information on the effect of our fair value hedge accounting program and related disclosures.Net interest income decreased in the second quarter and first half of 2023 compared with the second quarter and first half of 2022,primarily as a result of lower net amortization in
132、come partially offset by higher income from portfolios.Lower net amortization income.Throughout the second quarter and first half of 2023,we were in a higher interest-rate environment and observed significantly lower volumes of refinancing activity compared with the second quarter and first half 202
133、2,which drove fewer loan prepayments.As a result,we had lower amortization income in the second quarter and first half of 2023 compared with the second quarter and first half of 2022.MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q11Higher income from portfolios.Higher
134、 income from portfolios in the second quarter and first half of 2023 compared with the second quarter and first half of 2022 was primarily driven by higher interest rates in the first half of 2023 than in the first half of 2022 on securities in our other investments portfolio,primarily U.S.Treasurie
135、s and securities purchased under agreements to resell.This was partially offset by higher interest expense on funding debt,also as a result of higher interest rates.See“Liquidity and Capital ManagementLiquidity ManagementOther Investments Portfolio”for more information about our other investments po
136、rtfolio.We expect significantly lower amortization income in 2023 compared with 2022,driven by our expectation that refinancing activity will remain low,as we expect most single-family loans in our guaranty book of business will continue to have interest rates significantly lower than current market
137、 rates.However,we expect the decline in our amortization income in 2023 to be partially offset by higher interest income on our other investments portfolio.As of June 29,2023,the U.S.weekly average interest rate for a single-family 30-year fixed-rate mortgage was 6.71%,according to Freddie Macs Prim
138、ary Mortgage Market Survey.Ninety percent of our single-family conventional guaranty book of business as of June 30,2023 had an interest rate below 5.50%,resulting in a low likelihood these loans would refinance at current rates.In addition,over 70%of our single-family conventional guaranty book of
139、business as of June 30,2023 had an interest rate below 4.00%.Accordingly,even if interest rates decline meaningfully from current levels,most of the borrowers whose loans are in our single-family conventional guaranty book of business still would not be incentivized to refinance.Analysis of Net Inte
140、rest IncomeThe table below displays an analysis of our net interest income,average balances and related yields earned on assets and incurred on liabilities.For most components of the average balances,we use a daily weighted average of unpaid principal balance net of unamortized cost basis adjustment
141、s.When daily average balance information is not available,such as for mortgage loans,we use monthly averages.Analysis of Net Interest Income and Yield(1)For the Three Months Ended June 30,20232022Average Balance Interest Income/(Expense)Average Rates Earned/PaidAverage BalanceInterest Income/(Expens
142、e)Average Rates Earned/Paid(Dollars in millions)Interest-earning assets:Mortgage loans of Fannie Mae$51,961$611 4.70%$63,702$945 5.93%Mortgage loans of consolidated trusts 4,075,543 32,044 3.15 4,021,070 28,137 2.80 Total mortgage loans(2)4,127,504 32,655 3.16 4,084,772 29,082 2.85 Investments in se
143、curities(3)117,921 1,101 3.73 136,680 318 0.93 Securities purchased under agreements to resell 41,131 524 5.10 16,171 28 0.69 Advances to lenders 3,798 60 6.32 5,508 27 1.96 Total interest-earning assets$4,290,354$34,340 3.20%$4,243,131$29,455 2.78%Interest-bearing liabilities:Short-term funding deb
144、t$14,841$(183)4.93%$3,125$(5)0.64%Long-term funding debt 119,572 (936)3.13 143,064 (539)1.51 CAS debt 4,319 (109)10.09 10,046 (128)5.10 Total debt of Fannie Mae 138,732 (1,228)3.54 156,235 (672)1.72 Debt securities of consolidated trusts held by third parties 4,078,979 (26,077)2.56 4,024,468 (20,975
145、)2.08 Total interest-bearing liabilities$4,217,711$(27,305)2.59%$4,180,703$(21,647)2.07%Net interest income/net interest yield$7,035 0.66%$7,808 0.74%MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q12For the Six Months Ended June 30,20232022Average Balance Interest Inc
146、ome/(Expense)Average Rates Earned/PaidAverage BalanceInterest Income/(Expense)Average Rates Earned/Paid(Dollars in millions)Interest-earning assets:Mortgage loans of Fannie Mae$52,251$1,218 4.66%$65,006$1,574 4.84%Mortgage loans of consolidated trusts 4,074,813 63,574 3.12 3,983,347 54,650 2.74 Tota
147、l mortgage loans(2)4,127,064 64,792 3.14 4,048,353 56,224 2.78 Investments in securities(3)116,882 2,082 3.54 146,941 484 0.66 Securities purchased under agreements to resell 38,951 942 4.81 18,260 34 0.37 Advances to lenders 3,082 94 6.07 6,233 53 1.69 Total interest-earning assets$4,285,979$67,910
148、 3.17%$4,219,787$56,795 2.69%Interest-bearing liabilities:Short-term funding debt$12,733$(302)4.72%$4,019$(6)0.30%Long-term funding debt 119,016 (1,744)2.93 158,158 (1,089)1.38 CAS debt 4,727 (232)9.82 10,444 (247)4.73 Total debt of Fannie Mae 136,476 (2,278)3.34 172,621 (1,342)1.55 Debt securities
149、of consolidated trusts held by third parties 4,078,066 (51,811)2.54 3,995,645 (40,246)2.01 Total interest-bearing liabilities$4,214,542$(54,089)2.57%$4,168,266$(41,588)2.00%Net interest income/net interest yield$13,821 0.64%$15,207 0.72%(1)Includes the effects of discounts,premiums and other cost ba
150、sis adjustments.(2)Average balance includes mortgage loans on nonaccrual status.Interest income from yield maintenance revenue and the amortization of loan fees,primarily consisting of upfront cash fees,was$746 million and$1.4 billion,respectively,for the second quarter of 2023 and first half of 202
151、3,compared with$1.4 billion and$3.2 billion,respectively,for the second quarter of 2022 and first half of 2022.(3)Consists of cash,cash equivalents,U.S.Treasury securities and mortgage-related securities.Deferred Amortization IncomeWe initially recognize mortgage loans and debt of consolidated trust
152、s in our condensed consolidated balance sheets at fair value.The difference between the initial fair value and the carrying value of these instruments is recorded as a cost basis adjustment,either as a premium or a discount,in our condensed consolidated balance sheets.We amortize these cost basis ad
153、justments over the contractual lives of the loans or debt.On a net basis,for mortgage loans and debt of consolidated trusts,we are in a premium position with respect to debt of consolidated trusts,which represents deferred income we will recognize in our condensed consolidated statements of operatio
154、ns and comprehensive income as amortization income in future periods.Deferred Amortization Income Represented by Net Premium Positionon Debt of Consolidated Trusts(Dollars in billions)$23.4$22.4$21.56/30/202212/31/20226/30/2023MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 For
155、m 10-Q13Fair Value Gains,NetThe estimated fair value of our derivatives,trading securities and other financial instruments carried at fair value may fluctuate substantially from period to period because of changes in interest rates,the yield curve,spreads and implied volatility,as well as activity r
156、elated to these financial instruments.We apply fair value hedge accounting to reduce earnings volatility in our financial statements driven by changes in benchmark interest rates.Accordingly,we recognize the fair value gains and losses and the contractual interest income and expense associated with
157、risk management derivatives designated in qualifying hedging relationships in net interest income.For more information about our hedge accounting program,see“Impact of Hedge Accounting on Fair Value Gains(Losses),Net”below and“Note 8,Derivative Instruments”in this report,as well as“Market Risk Manag
158、ement,including Interest-Rate Risk Management”and“Note 1,Summary of Significant Accounting Policies”in our 2022 Form 10-K.The table below displays the components of our fair value gains and losses.Fair Value Gains,NetFor the Three Months Ended June 30,For the Six Months Ended June 30,202320222023202
159、2(Dollars in millions)Risk management derivatives fair value gains(losses)attributable to:Net contractual interest expense on interest-rate swaps$(394)$(30)$(775)$(2)Net change in fair value during the period 505 (219)692 (1,702)Impact of hedge accounting(1)637 233 622 1,491 Risk management derivati
160、ves fair value gains(losses),net 748 (16)539 (213)Mortgage commitment derivatives fair value gains,net 198 844 84 2,416 Credit enhancement derivatives fair value gains(losses),net 29 (29)14 (51)Total derivatives fair value gains,net 975 799 637 2,152 Trading securities gains(losses),net(723)(665)23
161、(2,435)Long-term debt fair value gains(losses),net 219 558 (50)1,637 Other,net(2)(67)(163)(2)(345)Fair value gains,net$404$529$608$1,009(1)The“Impact of hedge accounting”reflected in this table shows the net gain or loss from swaps in hedging relationships plus any accrued interest during the applic
162、able periods.(2)Consists primarily of fair value gains and losses on mortgage loans held at fair value.Fair value gains,net in the second quarter of 2023 were primarily driven by gains on:risk management derivatives due to rising interest rates;andlong-term debt of consolidated trusts held at fair v
163、alue due to rising interest rates and widening of the secondary spread,which is the spread between the 30-year MBS current coupon yield and 10-year U.S.Treasury rate.These gains were partially offset by losses on trading securities,primarily driven by rising interest rates,which resulted in losses o
164、n fixed-rate securities as prices fell.Fair value gains,net in the first half of 2023 were primarily driven by rising interest rates,which drove gains on risk management derivatives.Fair value gains,net in the second quarter and first half of 2022 were primarily driven by:increases in the fair value
165、 of mortgage commitment derivatives due to gains on commitments to sell mortgage-related securities as prices decreased during the commitment period due to rising interest rates and widening of the secondary spread;and gains on the fair value of long-term debt of consolidated trusts held at fair val
166、ue,also due to rising interest rates and widening of the secondary spread.MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q14These gains were partially offset by fair value losses in the second quarter and first half of 2022 on trading securities,primarily driven by inc
167、reases in U.S.Treasury yields,which resulted in losses on fixed-rate securities held in our other investments portfolio.Impact of Hedge Accounting on Fair Value Gains(Losses),NetOur earnings can experience volatility due to interest-rate changes and differing accounting treatments that apply to cert
168、ain financial instruments on our balance sheet.To help address this volatility,we apply hedge accounting to reduce the current-period impact on our earnings related to changes in specified benchmark interest rates.Hedge accounting aligns the timing of when we recognize fair value changes in hedged i
169、tems attributable to these benchmark interest-rate movements with fair value changes in the hedging instrument.For additional information on our hedge accounting program,see“Risk ManagementMarket Risk Management,including Interest-Rate Risk ManagementEarnings Exposure to Interest-Rate Risk”in our 20
170、22 Form 10-K and in this report and“Note 8,Derivative Instruments”in this report.For additional discussion of our fair value hedge accounting policy,see“Note 1,Summary of Significant Accounting Policies”in our 2022 Form 10-K.The table below displays the amount of contractual interest accruals and fa
171、ir value gains and losses related to designated interest-rate swaps in qualifying hedging relationships that are recognized in“Net interest income”rather than“Fair value gains,net”in our condensed consolidated statements of operations and comprehensive income as a result of hedge accounting.Derivati
172、ves not in hedging relationships are not affected.Impact of Hedge Accounting on Fair Value Gains(Losses),NetFor the Three Months Ended June 30,For the Six Months Ended June 30,2023202220232022(Dollars in millions)Net contractual interest income(expense)accruals related to interest-rate swaps designa
173、ted as hedging instruments recognized in net interest income$(266)$(2)$(469)$37 Fair value losses on derivatives designated as hedging instruments recognized in net interest income(371)(231)(153)(1,528)Fair value losses,net recognized in net interest income(expense)from hedge accounting$(637)$(233)$
174、(622)$(1,491)Benefit(Provision)for Credit LossesOur benefit or provision for credit losses can vary substantially from period to period based on a number of factors,such as changes in actual and forecasted home prices or property valuations,fluctuations in actual and forecasted interest rates,borrow
175、er payment behavior,events such as natural disasters or pandemics,the types,volume and effectiveness of our loss mitigation activities,including forbearances and loan modifications,the volume of foreclosures completed and the volume and pricing of loans redesignated from held for investment(“HFI”)to
176、 held for sale(“HFS”).The benefit or provision for credit losses includes our benefit or provision for loan losses,accrued interest receivable losses,our guaranty loss reserves and credit losses on our available-for-sale(“AFS”)debt securities.Our benefit or provision for credit losses and our relate
177、d loss reserves can also be impacted by updates to the models,assumptions and data used in determining our allowance for loan losses.Although we believe the estimates underlying our allowance as of June 30,2023 are reasonable,they are subject to uncertainty.Changes in future economic conditions and
178、loan performance from our current expectations may result in volatility in our allowance for loan losses and,as a result,our benefit or provision for credit losses.See“Critical Accounting Estimates”for additional information about how our estimate of credit losses is subject to uncertainty.MD&A|Cons
179、olidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q15The table below provides a quantitative analysis of the drivers of our single-family and multifamily benefit or provision for credit losses and the change in expected credit enhancement recoveries.Many of the drivers that contri
180、bute to our benefit or provision for credit losses overlap or are interdependent.The attribution shown below is based on internal allocation estimates.Components of Benefit(Provision)for Credit Losses and Change in Expected Credit Enhancement RecoveriesFor the Three Months Ended June 30,For the Six
181、Months Ended June 30,2023202220232022(Dollars in millions)Single-family benefit(provision)for credit losses:Changes in loan activity(1)$(390)$(252)$(740)$(591)Redesignation of loans from HFI to HFS (54)(4)Actual and forecasted home prices 1,724 272 2,104 538 Actual and projected interest rates(146)(
182、288)(24)(891)Release of economic concessions(2)17 203 44 603 Other(3)213 (87)81 (131)Single-family benefit(provision)for credit losses 1,418 (206)1,465 (476)Multifamily benefit(provision)for credit losses:Changes in loan activity(1)(74)21 (84)11 Actual and projected interest rates(65)(112)8 (161)Act
183、ual and projected economic data(4)(121)82 (303)88 Other(3)108 (3)48 80 Multifamily benefit(provision)for credit losses(152)(12)(331)18 Total benefit(provision)for credit losses(5)$1,266$(218)$1,134$(458)Change in expected credit enhancement recoveries for active loans:Single-family$(223)$(43)$(128)$
184、26 Multifamily 63 (4)81 (13)Change in expected credit enhancement recoveries for active loans$(160)$(47)$(47)$13(1)Primarily consists of loan acquisitions,liquidations and amortization of modification concessions granted to borrowers and write-offs of amounts determined to be uncollectible.For multi
185、family,“Changes in loan activity”also includes changes in the allowance due to loan delinquencies and the impact of changes in debt service coverage ratios(“DSCRs”)based on updated property financial information,which is used to assess loan credit quality.(2)Represents the benefit from the release o
186、f economic concessions related to loans previously designated as troubled debt restructurings that received loss mitigation arrangements during the period.(3)Includes provision for allowance on accrued interest receivable.For single-family,also includes any benefit or provision for our guaranty loss
187、 reserves that are not separately included in the other components.(4)Primarily consists of changes attributed to projected property net operating income,actual and projected property values,and labor market forecasts.(5)For purposes of this attribution table,credit losses on AFS securities are excl
188、uded.MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q16Single-Family Benefit(Provision)for Credit Losses Our single-family benefit for credit losses in the second quarter and first half of 2023 was primarily driven by a benefit from actual and forecasted home price gro
189、wth,partially offset by a provision from changes in loan activity,as described in more detail below:Benefit from actual and forecasted home price growth.During the second quarter and first half of 2023,we observed strong actual home price appreciation.In addition,our updated 2023 home price forecast
190、 changed from our prior estimate,resulting in a shift to positive home price appreciation for the year.Higher home prices decrease the likelihood that loans will default and reduce the amount of losses on loans that do default,which impacts our estimate of losses and ultimately reduces our loss rese
191、rves and provision for credit losses.See“Key Market Economic Indicators”for additional information about how home prices affect our credit loss estimates,including a discussion of home price growth and declines,and our home price forecast.Also see“Critical Accounting Estimates”for more information a
192、bout our home price forecast.Provision from changes in loan activity,which includes provision on newly acquired loans.The portion of our single-family acquisitions consisting of purchase loans increased in the second quarter and first half of 2023 compared with the second quarter and first half of 2
193、022.As our acquisitions consisted of a greater percentage of purchase loans,which generally have higher origination loan to value(“LTV”)ratios than refinance loans,the credit profile of our acquisitions weakened.This factor drove a higher estimated risk of default and loss severity in the allowance
194、and therefore a higher credit loss provision for those loans at the time of acquisition.See“Single-Family BusinessSingle-Family Mortgage Credit Risk Management”for more information on our single-family loan acquisitions in the second quarter and first half of 2023.The largest driver of our single-fa
195、mily provision for credit losses in the second quarter and first half of 2022 was an increase in actual and projected interest rates as of June 30,2022 compared with March 31,2022 and December 31,2021.As mortgage rates increased,we expected a decrease in future prepayments on single-family loans,inc
196、luding modified loans accounted for as troubled debt restructurings(“TDRs”).Lower expected prepayments extended the expected lives of these TDR loans,which increased the expected impairment relating to economic concessions provided on them,resulting in a provision for credit losses.Some of the provi
197、sion from increased actual and projected interest rates in the first half of 2022 was offset by a benefit from actual and forecasted home price growth.While home price growth was strong in the second quarter and first half of 2022,some market indicators at that time suggested that home price growth
198、may have been moderating at a faster pace than indicated by our home price forecast,which reduced the benefit from home price growth recognized in the second quarter and first half of 2022.Multifamily Benefit(Provision)for Credit LossesOur multifamily provision for credit losses for the second quart
199、er and first half of 2023 was primarily driven by decreases in estimated multifamily property values.This resulted in higher estimated LTV ratios on the loans in our multifamily guaranty book of business,which increased our estimate of expected credit losses on these loans.This provision is included
200、 in the“actual and projected economic data”line item in the table above.See“Multifamily BusinessMultifamily Mortgage Credit Risk ManagementMultifamily Portfolio Monitoring”for a discussion of risks within specific property types that we are monitoring,including a discussion of seniors housing loans
201、and loans with adjustable-rates.The primary factor that contributed to our multifamily provision for credit losses in the second quarter of 2022 was a provision for higher actual and projected interest rates.This provision was partially offset by a benefit from actual and projected economic data,inc
202、luding strong property value growth,driven by continued demand for multifamily housing.The primary factor that contributed to our multifamily benefit for credit losses in the first half of 2022 was a benefit from actual and projected economic data.This benefit was partially offset by a provision fro
203、m higher actual and projected interest rates.MD&A|Consolidated Results of OperationsFannie Mae Second Quarter 2023 Form 10-Q17Consolidated Balance Sheet AnalysisThis section discusses our condensed consolidated balance sheets and should be read together with our condensed consolidated financial stat
204、ements and the accompanying notes.Summary of Condensed Consolidated Balance SheetsAs of June 30,2023December 31,2022Variance(Dollars in millions)Assets Cash and cash equivalents and securities purchased under agreements to resell$85,279$72,552$12,727 Restricted cash and cash equivalents 27,206 29,85
205、4 (2,648)Investments in securities,at fair value 51,231 50,825 406 Mortgage loans:Of Fannie Mae 50,293 54,085 (3,792)Of consolidated trusts 4,080,814 4,071,698 9,116 Allowance for loan losses(9,982)(11,347)1,365 Mortgage loans,net of allowance for loan losses 4,121,125 4,114,436 6,689 Deferred tax a
206、ssets,net 11,990 12,911 (921)Other assets 26,879 24,710 2,169 Total assets$4,323,710$4,305,288$18,422 Liabilities and equityDebt:Of Fannie Mae$137,696$134,168$3,528 Of consolidated trusts 4,094,654 4,087,720 6,934 Other liabilities 22,316 23,123 (807)Total liabilities 4,254,666 4,245,011 9,655 Fanni
207、e Mae stockholders equity:Senior preferred stock 120,836 120,836 Other net deficit(51,792)(60,559)8,767 Total equity 69,044 60,277 8,767 Total liabilities and equity$4,323,710$4,305,288$18,422 Cash and Cash Equivalents and Securities Purchased Under Agreements to ResellCash and cash equivalents and
208、securities purchased under agreements to resell increased from December 31,2022 to June 30,2023 primarily driven by our corporate debt issuances outpacing maturities,proceeds from the sale of securities and loans,and the continued accumulation of earnings retained from our operations.For further dis
209、cussion,see“Liquidity and Capital ManagementLiquidity Management.”Mortgage Loans,Net of Allowance The mortgage loans reported in our condensed consolidated balance sheets are classified as either HFS or HFI and include loans owned by Fannie Mae and loans held in consolidated trusts.Mortgage loans,ne
210、t of allowance for loan losses modestly increased from December 31,2022 to June 30,2023,driven primarily by acquisition volumes being higher than loan paydowns during the first half of 2023,as well as a decline in our allowance for loan losses.For additional information on our mortgage loans,see“Not
211、e 3,Mortgage Loans,”and for additional information on changes in our allowance for loan losses,see“Note 4,Allowance for Loan Losses.”Debt The increase in debt of Fannie Mae from December 31,2022 to June 30,2023 was due to new issuances outpacing redemptions.The increase in debt of consolidated trust
212、s from December 31,2022 to June 30,2023 was primarily driven MD&A|Consolidated Balance Sheet AnalysisFannie Mae Second Quarter 2023 Form 10-Q18by sales of Fannie Mae MBS,which also includes sales of Fannie Mae MBS that were previously held in our retained mortgage portfolio.Sales of Fannie Mae MBS a
213、re accounted for as issuances of debt of consolidated trusts in our condensed consolidated balance sheets,since the MBS certificate ownership is transferred from us to a third party.See“Liquidity and Capital ManagementLiquidity ManagementDebt Funding”for a summary of activity in short-term and long-
214、term debt of Fannie Mae.Also see“Note 7,Short-Term and Long-Term Debt”for additional information on our total outstanding debt.Stockholders EquityOur stockholders equity(also referred to as our net worth)increased to$69.0 billion as of June 30,2023,compared with$60.3 billion as of December 31,2022,d
215、ue to the$8.8 billion in comprehensive income recognized during the first half of 2023.The aggregate liquidation preference of the senior preferred stock increased to$185.5 billion as of June 30,2023 from$181.8 billion as of March 31,2023,due to the$3.8 billion increase in our net worth in the first
216、 quarter of 2023.The aggregate liquidation preference of the senior preferred stock will further increase to$190.5 billion as of September 30,2023 due to the$5.0 billion increase in our net worth in the second quarter of 2023.For more information about how this liquidation preference is determined,s
217、ee“BusinessConservatorship and Treasury AgreementsTreasury AgreementsSenior Preferred Stock”in our 2022 Form 10-K and“Liquidity and Capital ManagementCapital ManagementCapital Activity”in this report.Retained Mortgage PortfolioWe use our retained mortgage portfolio primarily to provide liquidity to
218、the mortgage market through our whole loan conduit and to support our loss mitigation activities,particularly in times of economic stress when other sources of liquidity to the mortgage market may decrease or withdraw.Our retained mortgage portfolio consists of mortgage loans and mortgage-related se
219、curities that we own,including Fannie Mae MBS and non-Fannie Mae mortgage-related securities.Assets held by consolidated MBS trusts that back mortgage-related securities owned by third parties are not included in our retained mortgage portfolio.The chart below separates the instruments within our re
220、tained mortgage portfolio,measured by unpaid principal balance,into three categories based on each instruments use:Lender liquidity,which includes balances related to our whole loan conduit activity,supports our efforts to provide liquidity to the single-family and multifamily mortgage markets.Loss
221、mitigation supports our loss mitigation efforts through the purchase of delinquent loans from our MBS trusts.Other represents assets that were previously purchased for investment purposes.The majority of the balance of“Other”as of June 30,2023 consisted of Fannie Mae reverse mortgage securities and
222、reverse mortgage loans.We expect the amount of assets in“Other”will continue to decline over time as they liquidate,mature or are sold.Retained Mortgage Portfolio(Dollars in billions)$23.7$30.6$38.5$36.5$15.5$12.4$77.7$79.5Lender liquidityLoss mitigationOther12/31/20226/30/2023MD&A|Consolidated Bala
223、nce Sheet AnalysisFannie Mae Second Quarter 2023 Form 10-Q19The table below displays the components of our retained mortgage portfolio,measured by unpaid principal balance.Based on the nature of the asset,these balances are included in either“Investments in securities,at fair value”or“Mortgage loans
224、,net of allowance for loan losses”in our“Summary of Condensed Consolidated Balance Sheets”table above.Retained Mortgage PortfolioAs ofJune 30,2023December 31,2022(Dollars in millions)Lender liquidity:Agency securities(1)$23,367$16,410 Mortgage loans 7,256 7,329 Total lender liquidity 30,623 23,739 L
225、oss mitigation mortgage loans(2)36,510 38,458 Other:Reverse mortgage loans(3)4,755 6,565 Mortgage loans 3,306 3,365 Reverse mortgage securities(4)3,600 4,811 Other(5)690 804 Total other 12,351 15,545 Total retained mortgage portfolio$79,484$77,742 Retained mortgage portfolio by segment:Single-family
226、 mortgage loans and mortgage-related securities$74,019$73,769 Multifamily mortgage loans and mortgage-related securities$5,465$3,973(1)Consists of Fannie Mae,Freddie Mac and Ginnie Mae mortgage-related securities,including Freddie Mac securities guaranteed by Fannie Mae.Excludes Fannie Mae and Ginni
227、e Mae reverse mortgage securities and Fannie Mae-wrapped private-label securities.(2)Includes single-family loans on nonaccrual status of$6.8 billion and$7.1 billion as of June 30,2023 and December 31,2022,respectively.Also includes multifamily loans on nonaccrual status of$1.0 billion and$243 milli
228、on as of June 30,2023 and December 31,2022,respectively.(3)We stopped acquiring newly originated reverse mortgage loans in 2010.(4)Consists of Fannie Mae and Ginnie Mae reverse mortgage securities.(5)Consists of private-label and other securities,Fannie Mae-wrapped private-label securities and mortg
229、age revenue bonds.The amount of mortgage assets that we may own is capped at$225 billion under the terms of our senior preferred stock purchase agreement with Treasury.In addition,we are currently required to cap our mortgage assets at$202.5 billion per instructions from FHFA.See“BusinessConservator
230、ship and Treasury Agreements”in our 2022 Form 10-K for additional information on our mortgage assets cap.We include 10%of the notional value of the interest-only securities we hold in calculating the size of the retained portfolio for the purpose of determining compliance with the senior preferred s
231、tock purchase agreement retained portfolio limits and associated FHFA guidance.As of June 30,2023,10%of the notional value of our interest-only securities was$1.6 billion,which is not included in the table above.Under the terms of our MBS trust documents,we have the option or,in some instances,the o
232、bligation,to purchase mortgage loans that meet specific criteria from an MBS trust.The purchase price for these loans is the unpaid principal balance of the loan plus accrued interest.If a delinquent loan remains in a single-family MBS trust,the servicer is responsible for advancing the borrowers mi
233、ssed scheduled principal and interest payments to the MBS holders for up to four months,after which time we must make these missed payments.In addition,we must reimburse servicers for advanced principal and interest payments.In support of our loss mitigation strategies,we purchased$4.5 billion of lo
234、ans from our single-family MBS trusts in the first half of 2023,the substantial majority of which were delinquent,compared with$11.2 billion of loans purchased from single-family MBS trusts in the first half of 2022.We expect the amount of loans we buy out of trusts will decrease in 2023 relative to
235、 the prior year as loans exiting COVID-19-related forbearance drove a higher number of loan modifications in 2022.The size of our retained mortgage portfolio will be impacted by the volume of loans we ultimately buy,the timing of those purchases,and the length of time those loans remain in our retai
236、ned mortgage portfolio.MD&A|Retained Mortgage PortfolioFannie Mae Second Quarter 2023 Form 10-Q20Guaranty Book of BusinessOur“guaranty book of business”consists of:Fannie Mae MBS outstanding,excluding the portions of any structured securities we issue that are backed by Freddie Mac securities;mortga
237、ge loans of Fannie Mae held in our retained mortgage portfolio;and other credit enhancements that we provide on mortgage assets.“Total Fannie Mae guarantees”consists of:our guaranty book of business;and the portions of any structured securities we issue that are backed by Freddie Mac securities.We a
238、nd Freddie Mac issue single-family uniform mortgage-backed securities,or“UMBS.”In this report,we use the term“Fannie Mae-issued UMBS”to refer to single-family Fannie Mae MBS that are directly backed by fixed-rate mortgage loans and generally eligible for trading in the to-be-announced(“TBA”)market.W
239、e use the term“Fannie Mae MBS”or“our MBS”to refer to any type of mortgage-backed security that we issue,including UMBS,Supers,Real Estate Mortgage Investment Conduit securities(“REMICs”)and other types of single-family or multifamily mortgage-backed securities.Some Fannie Mae MBS that we issue are b
240、acked in whole or in part by Freddie Mac securities.When we resecuritize Freddie Mac securities into Fannie Mae-issued structured securities,such as Supers and REMICs,our guaranty of principal and interest extends to the underlying Freddie Mac securities.However,Freddie Mac continues to guarantee th
241、e payment of principal and interest on the underlying Freddie Mac securities that we have resecuritized.See“BusinessMortgage SecuritizationsUniform Mortgage-Backed Securities,or UMBSUMBS and Structured Securities”in our 2022 Form 10-K for information regarding the upfront fee we charge to include Fr
242、eddie Mac securities in our structured securities.Effective April 1,2023,the upfront fee for commingled securities decreased from 50 basis points to 9.375 basis points on the portion of the securities made up of Freddie Mac-issued collateral.References to our single-family guaranty book of business
243、exclude Freddie Mac-acquired mortgage loans underlying Freddie Mac securities that we have resecuritized.Our issuance of structured securities backed in whole or in part by Freddie Mac securities creates additional off-balance sheet exposure.Our guaranty extends to the underlying Freddie Mac securit
244、y included in the structured security,but we do not have control over the Freddie Mac mortgage loan securitizations.Because we do not have the power to direct matters(primarily the servicing of mortgage loans)that impact the credit risk to which we are exposed,which constitute control of these secur
245、itization trusts,we do not consolidate these trusts in our condensed consolidated balance sheet,giving rise to off-balance sheet exposure.See“Liquidity and Capital ManagementLiquidity ManagementOff-Balance Sheet Arrangements”and“Note 6,Financial Guarantees”for information regarding our maximum expos
246、ure to loss on unconsolidated Fannie Mae MBS and Freddie Mac securities.The table below displays the composition of our guaranty book of business based on unpaid principal balance.Composition of Fannie Mae Guaranty Book of BusinessAs ofJune 30,2023December 31,2022Single-Family Multifamily Total Sing
247、le-Family Multifamily Total(Dollars in millions)Conventional guaranty book of business(1)$3,649,552$456,029$4,105,581$3,646,981$442,067$4,089,048 Government guaranty book of business(2)9,879 550 10,429 12,450 572 13,022 Guaranty book of business 3,659,431 456,579 4,116,010 3,659,431 442,639 4,102,07
248、0 Freddie Mac securities guaranteed by Fannie Mae(3)224,877 224,877 234,023 234,023 Total Fannie Mae guarantees$3,884,308$456,579$4,340,887$3,893,454$442,639$4,336,093(1)Refers to mortgage loans and mortgage-related securities that are not guaranteed or insured,in whole or in part,by the U.S.governm
249、ent.(2)Refers to mortgage loans and mortgage-related securities guaranteed or insured,in whole or in part,by the U.S.government.(3)Consists of off-balance sheet arrangements of approximately(i)$186.6 billion and$193.9 billion in unpaid principal balance of Freddie Mac-issued UMBS backing Fannie Mae-
250、issued Supers as of June 30,2023 and December 31,2022,respectively;and(ii)$38.3 billion and$40.1 billion in unpaid principal balance of Freddie Mac securities backing Fannie Mae-issued REMICs as of June 30,2023 and December 31,2022,respectively.See“Liquidity and Capital ManagementLiquidity Managemen
251、tOff-Balance Sheet Arrangements”for more information regarding our maximum exposure to loss on consolidated Fannie Mae MBS and Freddie Mac securities.MD&A|Guaranty Book of BusinessFannie Mae Second Quarter 2023 Form 10-Q21The Federal Housing Enterprises Financial Safety and Soundness Act of 1992,as
252、amended,including by the Housing and Economic Recovery Act of 2008(together,the“GSE Act”)requires us to set aside each year an amount equal to 4.2 basis points of the unpaid principal balance of our new business purchases and to pay this amount to specified U.S.Department of Housing and Urban Develo
253、pment(“HUD”)and Treasury funds in support of affordable housing.In March 2023,we paid$287 million to the funds based on our new business purchases in 2022.For the first half of 2023,we recognized an expense of$77 million related to this obligation based on$182.2 billion in new business purchases dur
254、ing the period.We expect to pay this amount to the funds in 2024,plus additional amounts to be accrued based on our new business purchases in the second half of 2023.See“BusinessLegislation and RegulationGSE-Focused MattersAffordable Housing Allocations”in our 2022 Form 10-K for more information reg
255、arding this obligation.Business SegmentsWe have two reportable business segments:Single-Family and Multifamily.The Single-Family business operates in the secondary mortgage market relating to single-family mortgage loans,which are secured by properties containing four or fewer residential dwelling u
256、nits.The Multifamily business operates in the secondary mortgage market relating primarily to multifamily mortgage loans,which are secured by properties containing five or more residential units.The chart below displays net revenues and net income for each of our business segments for the first half
257、 of 2023 compared with the first half of 2022.Net revenues consist of net interest income and fee and other income.Business Segment Net Revenues and Net Income(Dollars in billions)$13.0$11.7$7.6$7.5Single-Family net revenuesSingle-Family net incomeFirst Half 2022First Half 2023$2.4$2.3$1.5$1.2Multif
258、amily net revenuesMultifamily net incomeFirst Half 2022First Half 2023In the following sections,we describe each segments business metrics,financial results and credit performance.Single-Family BusinessThis section supplements and updates information regarding our Single-Family business segment in o
259、ur 2022 Form 10-K.See“MD&ASingle-Family Business”in our 2022 Form 10-K for additional information regarding the primary business activities,lenders,investors and competition of our Single-Family business.Single-Family Mortgage MarketHousing activity was relatively flat in the second quarter of 2023
260、compared with the first quarter of 2023.Total existing home sales averaged 4.25 million units annualized in the second quarter of 2023,compared with 4.33 million units in the first quarter of 2023,according to data from the National Association of REALTORS.According to the U.S.Census Bureau,new sing
261、le-family home sales averaged an annualized rate of approximately 694,000 units in the second quarter of 2023,compared with approximately 638,000 units in the first quarter of 2023.The 30-year fixed mortgage rate was 6.71%as of June 29,2023,compared with 6.32%as of March 31,2023,and averaged 6.51%in
262、 the second quarter of 2023,compared with 6.37%in the first quarter of 2023,according to Freddie Macs Primary Mortgage Market Survey.Single-family mortgage market originations declined from an estimated$683 billion in the second quarter of 2022 to an estimated$443 billion in the second quarter of 20
263、23.According to the July forecast from our Economic and Strategic Research Group,total originations in the U.S.single-family mortgage market in 2023 are forecasted to decrease from 2022 levels by approximately 32%,from an estimated$2.39 trillion in 2022 to$1.62 trillion in 2023,and the amount of MD&
264、A|Guaranty Book of BusinessFannie Mae Second Quarter 2023 Form 10-Q22refinance originations in the U.S.single-family mortgage market will decrease from an estimated$753 billion in 2022 to$264 billion in 2023.Our Economic and Strategic Research Groups July forecast is based on data available as of Ju
265、ly 10,2023.See“Key Market Economic Indicators”for additional discussion of how housing activity can affect our financial results and the uncertainties that may affect our forecasts and expectations.Single-Family Mortgage-Related Securities Issuances ShareOur single-family Fannie Mae MBS issuances we
266、re$91.6 billion for the second quarter of 2023,compared with$174.5 billion for the second quarter of 2022.This decrease was primarily driven by lower volumes of refinance and purchase lending in the second quarter of 2023 due to higher mortgage rates.Based on the latest data available,the chart belo
267、w displays our estimated share of single-family mortgage-related securities issuances in the second quarter of 2023 as compared with that of our primary competitors for the issuance of single-family mortgage-related securities.Single-Family Mortgage-Related Securities Issuances ShareSecond Quarter 2
268、023 Fannie Mae:32%Freddie Mac:28%Ginnie Mae:36%Private-label securities:4%We estimate our share of single-family mortgage-related securities issuances was 31%in the first quarter of 2023 and 36%in the second quarter of 2022.Presentation of Our Single-Family Conventional Guaranty Book of BusinessFor
269、purposes of the information reported in this“Single-Family Business”section,we measure the single-family conventional guaranty book of business using the unpaid principal balance of our mortgage loans underlying Fannie Mae MBS outstanding.By contrast,the single-family conventional guaranty book of b
270、usiness presented in the“Composition of Fannie Mae Guaranty Book of Business”table in the“Guaranty Book of Business”section is based on the unpaid principal balance of the Fannie Mae MBS outstanding,rather than the unpaid principal balance of the underlying mortgage loans.These amounts differ primar
271、ily as a result of payments we receive on underlying loans that have not yet been remitted to the MBS holders or instances where we have advanced missed borrower payments on mortgage loans to make required distributions to related MBS holders.As measured for purposes of the information reported belo
272、w,our single-family conventional guaranty book of business was$3,632.4 billion as of June 30,2023 and$3,635.2 billion as of December 31,2022.Single-Family Business Metrics Select Business MetricsNet interest income for our Single-Family business is driven by the guaranty fees we charge and the size
273、of our single-family conventional guaranty book of business.The guaranty fees we charge are based on the characteristics of the loans we acquire.We may adjust our guaranty fees in light of market conditions and to achieve return targets.As a result,the average charged guaranty fee on new acquisition
274、s may fluctuate based on the credit quality and product mix of loans acquired,as well as market conditions and other factors.MD&A|Single-Family Business|Single-Family Mortgage MarketFannie Mae Second Quarter 2023 Form 10-Q23The charts below display our average charged guaranty fees,net of TCCA fees,
275、on our single-family conventional guaranty book of business and on new single-family conventional loan acquisitions,along with our average single-family conventional guaranty book of business and our single-family conventional loan acquisitions for the periods presented.Select Single-Family Business
276、 Metrics(Dollars in billions)46.1 bps46.8 bps49.6 bps52.2 bpsQ2 2022Q2 2023$3,590.6$3,630.4$172.3$89.2Q2 2022Q2 2023Average charged guaranty fee on single-family conventional guaranty book of business,net of TCCA fees(1)(3)Average single-family conventional guaranty book of business(2)Average charge
277、d guaranty fee on new single-family conventional acquisitions,net of TCCA fees(1)(3)Single-family conventional acquisitions(1)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
278、us.(2)Our single-family conventional guaranty book of business primarily consists of single-family conventional mortgage loans underlying Fannie Mae MBS outstanding.It also includes single-family conventional mortgage loans of Fannie Mae held in our retained mortgage portfolio,and other credit enhan
279、cements that we provide on single-family conventional mortgage assets.Our single-family conventional guaranty book of business does not include:(a)mortgage loans guaranteed or insured,in whole or in part,by the U.S.government;(b)Freddie Mac-acquired mortgage loans underlying Freddie Mac-issued UMBS
280、that we have resecuritized;or(c)non-Fannie Mae single-family mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty.Our average single-family conventional guaranty book of business is based on quarter-end balances.(3)In the fourth quarter of 2022,w
281、e enhanced the method we use to estimate average loan life at acquisition.Charged fees reported in prior periods have been updated in this report to reflect this updated methodology.Our single-family conventional loan acquisition volumes remained near historically low levels in the second quarter of
282、 2023.This was primarily driven by historically low refinance volumes due to continued higher interest rates in the second quarter of 2023,as few borrowers could benefit from refinancing.In addition,housing affordability constraints and limited supply continued to put downward pressure on the volume
283、 of purchase loans we acquired.Average charged guaranty fee on newly acquired conventional single-family loans is a metric management uses to measure the price we earn as compensation for the credit risk we manage and to assess our return.Average charged guaranty fee represents,on an annualized basi
284、s,the average of the base guaranty fees charged during the period for our single-family conventional guaranty arrangements,which we receive monthly over the life of the loan,plus the recognition of any upfront cash payments,including loan-level price adjustments,based on an estimated average life at
285、 the time of acquisition.Our average charged guaranty fees on newly acquired conventional single-family loans are sensitive to changes in inputs used in the calculation,including assumptions about the weighted average life of the loans,therefore changes in these charged guaranty fees are not always
286、a result of a change in pricing.Our average charged guaranty fee on newly acquired conventional single-family loans,net of TCCA fees,increased in the second quarter of 2023 compared with the second quarter of 2022,primarily driven by the overall weaker credit risk profile of our second quarter 2023
287、acquisitions.We generally charge higher guaranty fees on loans with weaker credit risk characteristics.Loans we acquired in the second quarter of 2023 had a weaker credit profile than loans we acquired in the second quarter of 2022 because a significantly larger share of our second quarter 2023 acqu
288、isitions were purchase loans,which generally have higher origination LTV ratios than refinance loans.In addition,a greater portion of our second quarter 2023 acquisitions were long-term fixed-rate loans,which generally have higher charged guaranty fees than intermediate-term fixed-rate loans.See“Sin
289、gle-Family Mortgage Credit Risk ManagementSingle-Family Portfolio Diversification and Monitoring”below for a description of key risk characteristics of our single-family acquisitions in the second quarter of 2023 and second quarter of 2022.MD&A|Single-Family Business|Single-Family Business MetricsFa
290、nnie Mae Second Quarter 2023 Form 10-Q24Recent Price ChangesIn January 2023,FHFA announced changes to our single-family pricing framework by introducing redesigned and recalibrated upfront fee matrices for purchase,rate-term refinance,and cash-out refinance loans,in addition to a new upfront fee for
291、 certain borrowers with debt-to-income ratios above 40%.These price changes took effect on May 1,2023,with the exception of the new upfront fee for certain borrowers with debt-to-income ratios above 40%,which FHFA rescinded.See“MD&ASingle-Family BusinessSingle-Family Business Metrics”in our 2022 For
292、m 10-K for more information on the recent price changes on our single-family loan acquisitions.See“Legislation and Regulation”in this report for a description of potential future single-family loan price changes that may result from recent bills introduced in Congress and FHFAs request for input on
293、Fannie Mae and Freddie Macs single-family pricing framework.Single-Family Business Financial ResultsThis section provides a discussion of the primary components of net income for our Single-Family business.This information complements the discussion of financial results in“Consolidated Results of Op
294、erations.”Single-Family Business Financial Results(1)For the Three Months Ended June 30,For the Six Months Ended June 30,20232022Variance20232022Variance(Dollars in millions)Net interest income(2)$5,917$6,573$(656)$11,589$12,828$(1,239)Fee and other income 52 60 (8)100 121 (21)Net revenues 5,969 6,6
295、33 (664)11,689 12,949 (1,260)Investment gains(losses),net 27 (27)54 (44)(93)49 Fair value gains,net 460 543 (83)626 1,070 (444)Administrative expenses(718)(671)(47)(1,438)(1,354)(84)Benefit(provision)for credit losses 1,418 (206)1,624 1,465 (476)1,941 TCCA fees(2)(856)(841)(15)(1,711)(1,665)(46)Cred
296、it enhancement expense(327)(270)(57)(614)(480)(134)Change in expected credit enhancement recoveries(3)(223)(43)(180)(128)26 (154)Other expenses,net(4)(203)(224)21 (319)(388)69 Income before federal income taxes 5,547 4,894 653 9,526 9,589 (63)Provision for federal income taxes(1,153)(1,008)(145)(2,0
297、00)(1,994)(6)Net income$4,394$3,886$508$7,526$7,595$(69)(1)See“Note 9,Segment Reporting”for information about our segment allocation methodology.(2)Reflects the impact of a 10 basis point guaranty fee increase implemented pursuant to the TCCA,the incremental revenue from which is remitted to Treasur
298、y.The resulting revenue is included in“Net interest income”and the expense is recognized as“TCCA fees.”(3)Includes estimated changes in benefits,as well as any realized amounts,from our single-family freestanding credit enhancements,which primarily relate to our CAS and CIRTTM programs.(4)Consists o
299、f 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.Net Interest IncomeThe decrease in single-family n
300、et interest income in the second quarter and first half of 2023 compared with the second quarter and first half of 2022 was primarily the result of lower net amortization income,partially offset by higher income from portfolios.The drivers of net interest income for the Single-Family segment are con
301、sistent with the drivers of net interest income in our condensed consolidated statements of operations and comprehensive income,which we discuss in“Consolidated Results of OperationsNet Interest Income.”Fair Value Gains,NetFair value gains,net in the second quarter of 2023 were primarily driven by g
302、ains on risk management derivatives and long-term debt of consolidated trusts held at fair value,partially offset by losses on trading securities.MD&A|Single-Family Business|Single-Family Business MetricsFannie Mae Second Quarter 2023 Form 10-Q25Fair value gains,net in the first half of 2023 were pr
303、imarily driven by gains on risk management derivatives.Fair value gains,net in the second quarter and first half of 2022 were driven by gains as a result of increases in the fair value of mortgage commitment derivatives and gains on the fair value of long-term debt of consolidated trusts held at fai
304、r value,which were partially offset by fair value losses on trading securities.The drivers of fair value gains,net for the Single-Family segment are consistent with the drivers of fair value gains,net in our condensed consolidated statements of operations and comprehensive income,which we discuss in
305、“Consolidated Results of OperationsFair Value Gains,Net.”Benefit(Provision)for Credit LossesOur single-family benefit for credit losses in the second quarter and first half of 2023 was primarily driven by a benefit from actual and forecasted home prices,partially offset by a provision from changes i
306、n loan activity,which includes provision on newly acquired loans.The largest driver of provision for credit losses for the second quarter and first half of 2022 was a provision for higher actual and projected interest rates due to interest rate increases in the first half of 2022.Some of the provisi
307、on from increased actual and projected interest rates in the second quarter and first half of 2022 was offset by a benefit from actual and forecasted home price growth.See“Consolidated Results of OperationsBenefit(Provision)for Credit Losses”for more information on the primary factors that contribut
308、ed to our single-family benefit or provision for credit losses.Single-Family Mortgage Credit Risk ManagementThis section updates our discussion of single-family mortgage credit risk management in our 2022 Form 10-K.For additional information on our acquisition and servicing policies,underwriting and
309、 servicing standards,quality control process,repurchase requests,and representation and warranty framework,see“MD&ASingle-Family BusinessSingle-Family Mortgage Credit Risk Management”in our 2022 Form 10-K.Single-Family Portfolio Diversification and MonitoringThe following table displays our single-f
310、amily conventional business volumes and our single-family conventional guaranty book of business,based on certain key risk characteristics that we use to evaluate the risk profile and credit quality of our single-family loans.We provide additional information on the credit characteristics of our sin
311、gle-family loans in quarterly financial supplements,which we furnish to the Securities and Exchange Commission(the“SEC”)with current reports on Form 8-K and make available on our website.MD&A|Single-Family Business|Single-Family Business Financial ResultsFannie Mae Second Quarter 2023 Form 10-Q26Key
312、 Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business(1)Percent of Single-Family Conventional Business Volume at Acquisition(2)Percent of Single-Family ConventionalGuaranty Book of Business(3)As ofFor the Three Months Ended June 30,For the Six Months Ended
313、 June 30,2023202220232022June 30,2023December 31,2022Original loan-to-value(“LTV”)ratio:(4)=60%16%21%16%25%26%26%60.01%to 70%10 12 10 14 14 15 70.01%to 80%33 33 33 33 33 33 80.01%to 90%15 12 16 10 11 10 90.01%to 95%19 17 19 13 11 11 95.01%to 100%7 5 6 5 4 4 Greater than 100%*1 1 Total 100%100%100%10
314、0%100%100%Weighted average 78%75%78%73%73%72%Average loan amount$317,748$300,556$316,117$299,852$206,929$206,049 Loan count(in thousands)281 573 496 1,373 17,554 17,643 Estimated mark-to-market LTV ratio:(5)=60%68%66%60.01%to 70%15 16 70.01%to 80%10 10 80.01%to 90%5 5 90.01%to 100%2 3 Greater than 1
315、00%*Total 100%100%Weighted average 51%52%FICO credit score at origination:(6)620*%*%*%*%*%1%620 to 660 2 4 3 4 4 4 660 to 680 3 5 3 5 4 4 680 to 700 5 8 6 8 6 6 700 to=740 70 61 67 62 66 66 Total 100%100%100%100%100%100%Weighted average 756 746 753 747 752 752 Debt-to-income(“DTI”)ratio at originati
316、on:(7)=43%66%68%65%70%75%75%43.01%to 45%10 10 10 10 9 9 Greater than 45%24 22 25 20 16 16 Total 100%100%100%100%100%100%Weighted average 38%37%38%36%35%35%MD&A|Single-Family Business|Single-Family Mortgage Credit Risk ManagementFannie Mae Second Quarter 2023 Form 10-Q27Percent of Single-Family Conve
317、ntional Business Volume at Acquisition(2)Percent of Single-Family ConventionalGuaranty Book of Business(3)As ofFor the Three Months Ended June 30,For the Six Months Ended June 30,2023202220232022June 30,2023December 31,2022Product type:Fixed-rate:(8)Long-term 95%91%95%88%87%86%Intermediate-term 4 8
318、4 11 12 13 Total fixed-rate 99 99 99 99 99 99 Adjustable-rate 1 1 1 1 1 1 Total 100%100%100%100%100%100%Number of property units:1 unit 98%98%98%98%98%98%2-4 units 2 2 2 2 2 2 Total 100%100%100%100%100%100%Property type:Single-family homes 91%91%91%91%91%91%Condo/Co-op 9 9 9 9 9 9 Total 100%100%100%
319、100%100%100%Occupancy type:Primary residence 92%91%92%91%91%91%Second/vacation home 2 2 2 3 3 3 Investor 6 7 6 6 6 6 Total 100%100%100%100%100%100%Loan purpose:Purchase 86%64%85%52%42%40%Cash-out refinance 10 26 10 30 21 22 Other refinance 4 10 5 18 37 38 Total 100%100%100%100%100%100%Geographic con
320、centration:(9)Midwest 14%13%13%12%14%14%Northeast 12 12 12 13 16 16 Southeast 30 27 29 26 23 23 Southwest 24 24 25 22 19 19 West 20 24 21 27 28 28 Total 100%100%100%100%100%100%Origination year:2017 and prior 20%22%2018 2 2 2019 4 5 2020 25 25 2021 31 32 2022 14 14 2023 4 Total 100%100%*Represents l
321、ess than 0.5%of single-family conventional business volume or guaranty book of business.MD&A|Single-Family Business|Single-Family Mortgage Credit Risk ManagementFannie Mae Second Quarter 2023 Form 10-Q28(1)Second-lien mortgage loans held by third parties are not reflected in the original LTV or the
322、estimated mark-to-market LTV ratios in this table.(2)Calculated based on the unpaid principal balance of single-family loans for each category at time of acquisition.(3)Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid
323、 principal balance of loans in our single-family conventional guaranty book of business as of the end of each period.(4)The original LTV ratio generally is based on the original unpaid principal balance of the loan divided by the appraised property value reported to us at the time of acquisition of
324、the loan.Excludes loans for which this information is not readily available.(5)The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported period divided by the estimated current value of the property,which we calculate using a
325、n internal valuation model that estimates periodic changes in home value.Excludes loans for which this information is not readily available.(6)Loans with unavailable FICO credit scores represent less than 0.5%of single-family conventional business volume or guaranty book of business,and therefore ar
326、e not presented separately in this table.(7)Excludes loans for which this information is not readily available.(8)Long-term fixed-rate consists of mortgage loans with maturities greater than 15 years,while intermediate-term fixed-rate loans have maturities equal to or less than 15 years.(9)Midwest c
327、onsists of IL,IN,IA,MI,MN,NE,ND,OH,SD and WI.Northeast consists of CT,DE,ME,MA,NH,NJ,NY,PA,PR,RI,VT and VI.Southeast consists of AL,DC,FL,GA,KY,MD,MS,NC,SC,TN,VA and WV.Southwest consists of AZ,AR,CO,KS,LA,MO,NM,OK,TX and UT.West consists of AK,CA,GU,HI,ID,MT,NV,OR,WA and WY.Characteristics of our N
328、ew Single-Family Loan AcquisitionsRefinancing activity was significantly lower in the second quarter of 2023 compared with the second quarter of 2022 as the sharp rise in interest rates over the last year resulted in fewer borrowers who could benefit from refinancing.Accordingly,the share of our sin
329、gle-family loan acquisitions consisting of refinance loans(versus home purchase loans)decreased to 14%in the second quarter of 2023 compared with 36%in the second quarter of 2022.Typically,home purchase loans have higher LTV ratios than refinance loans.This trend contributed to an increase in the pe
330、rcentage of our single-family loan acquisitions with LTV ratios over 80%,from 34%in the second quarter of 2022 to 41%in the second quarter of 2023.Our share of acquisitions of loans with DTI ratios above 45%increased to 24%in the second quarter of 2023 compared with 22%in the second quarter of 2022.
331、This increase was also driven by the higher share of home purchase acquisitions,which tend to have higher DTI ratios than refinance loan acquisitions.It also reflects the impact of higher interest rates and inflation on borrowers monthly obligations.For a discussion of factors that may impact the vo
332、lume and credit characteristics of loans we acquire in the future,see“MD&ASingle-Family BusinessSingle-Family Mortgage Credit Risk ManagementSingle-Family Portfolio Diversification and Monitoring”in our 2022 Form 10-K.In this section of our 2022 Form 10-K,we also provide more information on the cred
333、it characteristics of loans in our single-family conventional guaranty book of business,including high-balance loans and adjustable-rate mortgages.Single-Family Credit Enhancement and Transfer of Mortgage Credit RiskOur charter generally requires credit enhancement on any single-family conventional mortgage loan that we purchase or securitize if it has an LTV ratio over 80%at the time of purchase.