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) — Q3 2021 Earnings Presentation

30 slides from Federal National Mortgage Association's earnings presentation, Oct 29, 2021

  1. Slide 1: Financial Supplement Q3 2021

    © 2021 Fannie Mae DRAFT Financial Supplement Q3 2021 October 29, 2021

  2. Slide 2: Notes and terms used in this presentation

    Q3 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 September 30, 2021 (“Q3 2021 Form 10-Q”) and Form 10-K for year ended December 31, 2020 ("2020 For

  3. Slide 3: Table of Contents

    Q3 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

  4. Slide 4: Overview

    © 2021 Fannie Mae DRAFT Overview

  5. Slide 5: Corporate Financial Highlights

    Q3 2021 Financial Supplement 5© 2021 Fannie Mae DRAFTCorporate Financial Highlights (Dollars in millions) Q3 2021 Q2 2021 Variance Q3 YTD 2021 Q3 YTD 2020 Variance Net interest income $6,972 $8,286 $(1,314) $22,000 $17,780 $4,220 Fee and other income 111 103 8 301 303 (2) Net revenues 7,083 8,389 (1

  6. Slide 6: Guaranty Book of Business Highlights

    Q3 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 $3.2 $3.3 $3.4 $3.4 $0.4 $0.4 $0.4 $0.4 $0.4 44.4 44.5 44.9 45.2 45.4 73.3 74.5 75.9 76.8 77.5 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021 $0.0 $1.0 $2.0 $3.0 $4.0 0 25 50 75 Guaranty B

  7. Slide 7: Single-Family Credit Characteristics

    Q3 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%

  8. Slide 8: Multifamily Credit Characteristics

    Q3 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% 65% 2017 2018

  9. Slide 9: Single-Family Conventional and Multifamily Books in Forbearance

    Q3 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 ) $95.0

  10. Slide 10: Portfolio and Liquidity Management

    Q3 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

  11. Slide 11: Key Market Economic Indicators

    Q3 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% 4.8% 2.7% 2.3% 2.6% (2.3)% 2.0% 2017 2018 2019 2020 Q3 YTD 2021 -10% -5% 0% 5% 10% Key Market Economic Indicators 3.06% 1.66% 0.68% 1.49% 3.81% 2.61% 1.40% 1.97% 4.72% 3.64% 2.90% 3.01% 9/30/201

  12. Slide 12: Single-Family Business

    © 2021 Fannie Mae DRAFT Single-Family Business

  13. Slide 13: Single-Family Highlights

    Q3 2021 Financial Supplement 13© 2021 Fannie Mae DRAFT Fannie Mae 36% Freddie Mac 36% Ginnie Mae 24% Private-label securities 4% U P B (D ol la rs in b ill io ns ) $3,086 $3,161 $3,237 $3,325 $3,400 44.4 44.5 44.9 45.2 45.4 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021 $0 $1,000 $2,000 $3,000 $4,000 0 10

  14. Slide 14: Credit Characteristics of Single-Family Conventional Loan Acquisitions

    Q3 2021 Financial Supplement 14© 2021 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 56% 65% 52% 30% 32% 20% 12% 28% 51% 46% 22% 22% 20% 19% 22% 2017 2018 2019 2020 Q3 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 < 680 745 743 749 760 757 10.6

  15. Slide 15: Credit Characteristics of Single-Family Conventional Guaranty Book

    Q3 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% 1% 2% 97% 1.62% 4.25% 7.21% 1.31% Total 2004 and Prior 2005- 2008 2009- 2021 0% 25% 50% 75% 100% 0% 5% 10% Certain Credit Characteristics of Single-Family Con

  16. Slide 16: Single-Family Credit Risk Transfer

    Q3 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 Q3 YTD 2021 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol

  17. Slide 17: Single-Family Conventional Guaranty Book in Forbearance

    Q3 2021 Financial Supplement 17© 2021 Fannie Mae DRAFTSingle-Family Conventional Guaranty Book of Business in Forbearance Delinquency Status of Loans in Forbearance as of September 30, 2021(14) Single-Family Loan Forbearance Exits Certain Credit Characteristics of Single-Family Loans in Forbearance(

  18. Slide 18: Single-Family Problem Loan Statistics

    Q3 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 $6.1 $56.0 $50.5 100.6K 118.1K 56.3K 299.2K 275.7K 2017 2018 2019 2020 Q3 YTD 2021 $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 0K 50K 100K 150K 20

  19. Slide 19: Credit Loss Concentration of Single-Family Guaranty Book

    Q3 2021 Financial Supplement 19© 2021 Fannie Mae DRAFT 43.9% 2.5% 6.0% 23.5% 8.1% 16.0% 64.1% 3.2% 3.4% 3.2% 6.6% 19.5% 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

  20. Slide 20: Single-Family Cumulative Default Rates

    Q3 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

  21. Slide 21: Multifamily Business

    © 2021 Fannie Mae DRAFT Multifamily Business

  22. Slide 22: Multifamily Highlights

    Q3 2021 Financial Supplement 22© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $366.8 $384.5 $399.1 $401.9 $408.1 73.3 74.5 75.9 76.8 77.5 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 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 ) $15.2 $27.1 $21.5 $10.9 $1

  23. Slide 23: Credit Characteristics of Multifamily Loan Acquisitions

    Q3 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 Q3 YTD 2021 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition

  24. Slide 24: Credit Characteristics of Multifamily Guaranty Book of Business

    Q3 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 September 30, 2021 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not m

  25. Slide 25: Multifamily Serious Delinquency Rates and Credit Losses

    Q3 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% 0.42% 1.36% 1.20% 0.92% 0.55% 0.34% 0.15% 0.21% 0.21% 0.08% 0.33% 0.69% 2009 2010 2011 2012 2013 2014

  26. Slide 26: Endnotes

    © 2021 Fannie Mae DRAFT Endnotes

  27. Slide 27: Endnotes

    Q3 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

  28. Slide 28: Endnotes

    Q3 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

  29. Slide 29: Endnotes

    Q3 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 annual "percentage change from fourth quarter to fourth quarter one year ago" calculated by the Bureau of Economic Analysis and are

  30. Slide 30: Endnotes

    Q3 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 nine months ended September 30, 2021. Home Equity

Federal National Mortgage Association Fannie MAE (Fnma, Fnmag, Fnmah, Fnmai, Fnmaj, Fnmak, Fnmal, Fnmam, Fnman, Fnmao, Fnmas, Fnmat, Fnmfm, Fnmfn) — Q3 2021 Earnings Presentation on 6ix