Federal National Mortgage Association · OTC:FNMA
Federal National Mortgage Association — Federal National Mortgage Association Fannie MAE (Fnma, Fnmag, Fnmah, Fnmai, Fnmaj, Fnmak, Fnmal, Fnmam, Fnman, Fnmao, Fnmas, Fnmat, Fnmfm, Fnmfn) — Q2 2021 Earnings Presentation
30 slides from Federal National Mortgage Association's earnings presentation, Aug 3, 2021
Slide 1: Financial Supplement Q2 2021
© 2021 Fannie Mae DRAFT Financial Supplement Q2 2021 August 3, 2021
Slide 2: Notes and terms used in this presentation
Q2 2021 Financial Supplement 2© 2021 Fannie Mae DRAFT ▪ Some of the terms and other information in this presentation are defined and discussed more fully in Fannie Mae's Form 10-Q for the quarter ended June 30, 2021 (“Q2 2021 Form 10-Q”) and Form 10-K for year ended December 31, 2020 ("2020 Form 10-
Slide 3: Table of Contents
Q2 2021 Financial Supplement 3© 2021 Fannie Mae DRAFTTable of Contents Overview Corporate Financial Highlights 5 Guaranty Book of Business Highlights 6 Single-Family Credit Characteristics 7 Multifamily Credit Characteristics 8 Single-Family Conventional and Multifamily Guaranty Books of Business in
Slide 4: Overview
© 2021 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
Q2 2021 Financial Supplement 5© 2021 Fannie Mae DRAFTCorporate Financial Highlights (Dollars in millions) Q2 2021 Q1 2021 Variance Q2 YTD 2021 Q2 YTD 2020 Variance Net interest income $8,286 $6,742 $1,544 $15,028 $11,124 $3,904 Fee and other income 103 87 16 190 210 (20) Net revenues 8,389 6,829 1,5
Slide 6: Guaranty Book of Business Highlights
Q2 2021 Financial Supplement 6© 2021 Fannie Mae DRAFT U P B (D ol la rs in tr ill io ns ) A verage G fee (in bps) $3.1 $3.1 $3.2 $3.3 $3.4$0.4 $0.4 $0.4 $0.4 $0.4 44.2 44.4 44.5 44.9 45.2 72.3 73.3 74.5 75.9 76.8 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 $0.0 $1.0 $2.0 $3.0 $4.0 0 25 50 75 Guaranty Bo
Slide 7: Single-Family Credit Characteristics
Q2 2021 Financial Supplement 7© 2021 Fannie Mae DRAFT Single-Family Credit Characteristics Credit Ratios Highlights Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT W ei gh te d- A ve ra ge F IC O C re di t S co re W eighted-A verage M TM LTV 745 746 746 750 752 58% 57% 57% 58%
Slide 8: Multifamily Credit Characteristics
Q2 2021 Financial Supplement 8© 2021 Fannie Mae DRAFT Multifamily Credit Characteristics Credit Ratios Highlights Certain Credit Characteristics of Guaranty Book Guaranty Book in a CRT W ei gh te d- A ve ra ge D S C R W eighted-A verage O LTV R atio 2.1 2.0 1.9 2.0 2.1 67% 66% 66% 66% 66% 2017 2018
Slide 9: Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance
Q2 2021 Financial Supplement 9© 2021 Fannie Mae DRAFT Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance Single-Family Delinquency Status of Loans in Forbearance(14) Multifamily Delinquency Status of Loans in Forbearance(14) U P B (D ol la rs in b ill io ns ) $77.9
Slide 10: Portfolio and Liquidity Management
Q2 2021 Financial Supplement 10© 2021 Fannie Mae DRAFTPortfolio and Liquidity Management Sources of Net Interest Income and Retained Mortgage Portfolio Balance Net Worth of Fannie Mae Aggregate Indebtedness of Fannie Mae(26) Other Investments Portfolio ("OIP") % N et In te re st In co m e R etained
Slide 11: Key Market Economic Indicators
Q2 2021 Financial Supplement 11© 2021 Fannie Mae DRAFT R at e (a s of p er io d en d) 4.1% 3.9% 3.6% 6.7% 5.9% 2.3% 2.9% 2.3% (3.4)% 6.5% 2017 2018 2019 2020 Q2 YTD 2021 -10% -5% 0% 5% 10% Key Market Economic Indicators 2.86% 2.01% 0.66% 1.47% 3.60% 2.74% 1.57% 1.83% 4.55% 3.73% 3.13% 3.02% 6/30/201
Slide 12: Single-Family Business
© 2021 Fannie Mae DRAFT Single-Family Business
Slide 13: Single-Family Highlights
Q2 2021 Financial Supplement 13© 2021 Fannie Mae DRAFT Fannie Mae 40% Freddie Mac 34% Ginnie Mae 23% Private-label securities 3% U P B (D ol la rs in b ill io ns ) $3,014 $3,086 $3,161 $3,237 $3,325 44.2 44.4 44.5 44.9 45.2 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 $0 $1,000 $2,000 $3,000 $4,000 0 10
Slide 14: Credit Characteristics of Single-Family Conventional Loan Acquisitions
Q2 2021 Financial Supplement 14© 2021 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 56% 65% 52% 30% 30% 20% 12% 28% 51% 49% 22% 22% 20% 19% 21% 2017 2018 2019 2020 Q2 YTD 2021 0% 25% 50% 75% 100% W ei gh te d- A ve ra ge F IC O C re di t S co re % FIC O C redit S core < 680 745 743 749 760 759 10.6
Slide 15: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Q2 2021 Financial Supplement 15© 2021 Fannie Mae DRAFT % o f U P B in C on ve nt io na l G ua ra nt y B oo k of B us in es s S D Q R ate 100.00% 1.00% 2.00% 97.00% 2.08% 5.04% 8.75% 1.69% Total 2004 and Prior 2005- 2008 2009- 2021 0% 25% 50% 75% 100% 0% 5% 10% Certain Credit Characteristics of Singl
Slide 16: Single-Family Credit Risk Transfer
Q2 2021 Financial Supplement 16© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $40 $76 $102 $86 $82 $67 $189 $240 $265 $206 $290 $58 $44 $45 $73 $57 $239 $331 $410 $338 $445 $182 $0 2015 2016 2017 2018 2019 2020 Q2 YTD 2021 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol
Slide 17: Single-Family Conventional Guaranty Book of Business in Forbearance
Q2 2021 Financial Supplement 17© 2021 Fannie Mae DRAFTSingle-Family Conventional Guaranty Book of Business in Forbearance Delinquency Status of Loans in Forbearance as of June 30, 2021(14) Single-Family Loan Forbearance Exits Certain Credit Characteristics of Single-Family Loans in Forbearance(41) A
Slide 18: Single-Family Problem Loan Statistics
Q2 2021 Financial Supplement 18© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) N um ber of Loan W orkouts (in thousands) $13.8 $16.6 $7.7 $5.3 $56.0 $34.7 100.6K 118.1K 56.3K 299.2K 189.3K 2017 2018 2019 2020 Q2 YTD 2021 $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 0K 50K 100K 150K 200K 25
Slide 19: Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
Q2 2021 Financial Supplement 19© 2021 Fannie Mae DRAFT 40.7% 10.9%6.5% 14.5% 20.0% 7.4% 63.3% 4.6% 3.4% 19.5% 3.3% 5.9% Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business % of Single-Family Conventional Guaranty Book of Business(38)(46) % of Single-Family Credit Losses
Slide 20: Single-Family Cumulative Default Rates
Q2 2021 Financial Supplement 20© 2021 Fannie Mae DRAFT Time Since Beginning of Origination Year C um ul at iv e D ef au lt R at e 2004* 2005* 2006* 2007* 2008* 2009** 2010** 2011** 2012** 2013** 2014** 2015** 2016** 2017** 2018** 2019** 2020** 2021** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7 Y r8 Y r9 Y r1
Slide 21: Multifamily Business
© 2021 Fannie Mae DRAFT Multifamily Business
Slide 22: Multifamily Highlights
Q2 2021 Financial Supplement 22© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $357.8 $366.8 $384.5 $399.1 $401.9 72.3 73.3 74.5 75.9 76.8 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 $0 $100 $200 $300 $400 0 10 20 30 40 50 60 70 80 U P B (D ol la rs in b ill io ns ) $19.6 $15.2 $27.1 $21.5 $1
Slide 23: Credit Characteristics of Multifamily Loan Acquisitions
Q2 2021 Financial Supplement 23© 2021 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 80% 89% 93% 93% 91% 20% 11% 7% 7% 9% 2017 2018 2019 2020 Q2 YTD 2021 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition
Slide 24: Credit Characteristics of Multifamily Guaranty Book of Business
Q2 2021 Financial Supplement 24© 2021 Fannie Mae DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(4) As of June 30, 2021 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutual
Slide 25: Multifamily Serious Delinquency Rates and Credit Losses
Q2 2021 Financial Supplement 25© 2021 Fannie Mae DRAFT S er io us D el in qu en cy R at e 0.63% 0.71% 0.59% 0.24% 0.10% 0.05% 0.07% 0.05% 0.11% 0.06% 0.04% 0.98% 0.39% 0.56% 0.50% 0.18% 0.07% 0.99% 0.53% 1.36% 1.20% 0.92% 0.55% 0.34% 0.15% 0.21% 0.21% 0.08% 0.33% 0.31% 2009 2010 2011 2012 2013 2014
Slide 26: Endnotes
© 2021 Fannie Mae DRAFT Endnotes
Slide 27: Endnotes
Q2 2021 Financial Supplement 27© 2021 Fannie Mae DRAFT (1) Other expenses, net are comprised of credit enhancement expense, change in expected credit enhancement recoveries, debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection w
Slide 28: Endnotes
Q2 2021 Financial Supplement 28© 2021 Fannie Mae DRAFT Endnotes (14) Pursuant to the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), for purposes of reporting to the credit bureaus, servicers must report a borrower receiving a COVID-19-related payment accommodation, such as a f
Slide 29: Endnotes
Q2 2021 Financial Supplement 29© 2021 Fannie Mae DRAFT (29) U.S. Gross Domestic Product ("GDP") annual growth (decline) rate for periods prior to 2021 are based on the quarterly series calculated by the Bureau of Economic Analysis and are subject to revision. GDP growth rate for Q2 YTD 2021 is the A
Slide 30: Endnotes
Q2 2021 Financial Supplement 30© 2021 Fannie Mae DRAFT Endnotes (43) Measured from the borrowers’ last paid installment on their mortgages to when the related properties were added to the company's REO inventory for foreclosures completed during the six months ended June 30, 2021. Home Equity Conver