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) — FY2020 Earnings Presentation
31 slides from Federal National Mortgage Association's earnings presentation, Feb 12, 2021
Slide 1: Financial Supplement Q4 and Full Year 2020
© 2021 Fannie Mae DRAFT Financial Supplement Q4 and Full Year 2020 February 12, 2021
Slide 2: Notes and terms used in presentation
2020 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-K for the year ended December 31, 2020 (“2020 Form 10-K”). This presentation should be reviewed together with the 2020 Form 1
Slide 3: Table of Contents
2020 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 Fo
Slide 4: Overview
© 2021 Fannie Mae DRAFT Overview
Slide 5: Corporate Financial Highlights
2020 Financial Supplement 5© 2021 Fannie Mae DRAFTCorporate Financial Highlights (Dollars in millions) 2020 2019 Variance Q4 2020 Q3 2020 Variance Net interest income(1) $24,866 $21,293 $3,573 $7,086 $6,656 $430 Fee and other income 462 566 (104) 159 93 66 Net revenues 25,328 21,859 3,469 7,245 6,74
Slide 6: Guaranty Book of Business Highlights
2020 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) $3.0 $3.0 $3.1 $3.1 $3.2 $0.3 $0.3 $0.4 $0.4 $0.4 43.6 43.8 44.2 44.4 44.5 71.8 71.9 72.3 73.3 74.5 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 $0.0 $1.0 $2.0 $3.0 $4.0 0 25 50 75 Guaranty Book
Slide 7: Single-Family Credit Characteristics
2020 Financial Supplement 7© 2021 Fannie Mae DRAFT Single-Family Credit Characteristics Credit Ratios Highlights 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 T M LT V 745 745 746 746 750 60% 58% 57% 57% 58% 2016
Slide 8: Multifamily Credit Characteristics
2020 Financial Supplement 8© 2021 Fannie Mae DRAFT Multifamily Credit Characteristics Credit Ratios Highlights 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 LT V R atio 2.2 2.1 2.0 1.9 2.0 67% 67% 66% 66% 66% 2016 2017 2018 2019 2
Slide 9: Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance
2020 Financial Supplement 9© 2021 Fannie Mae DRAFT Single-Family Conventional and Multifamily Guaranty Books of Business in Forbearance Delinquency Status of Loans in Forbearance as of December 31, 2020(13) Highlights Single-family UPB Multifamily UPB U P B (D ol la rs in b ill io ns ) $0.5 $1.1 $1.
Slide 10: Portfolio and Liquidity Management
2020 Financial Supplement 10© 2021 Fannie Mae DRAFTPortfolio and Liquidity Management Sources of Net Interest Income and Retained Mortgage Portfolio Balance Highlights Debt of Fannie Mae(22) Other Investments Portfolio ("OIP") % N et In te re st In co m e R etained M ortgage P ortfolio (D ollars in
Slide 11: Key Market Economic Indicators
2020 Financial Supplement 11© 2021 Fannie Mae DRAFT R at e (a s of p er io d en d) 4.7% 4.1% 3.9% 3.6% 6.7% 1.6% 2.4% 3.0% 2.2% (3.5)% 2016 2017 2018 2019 2020 -10% -5% 0% 5% 10% Key Market Economic Indicators 2.41% 2.68% 1.92% 0.91% 3.00% 3.50% 2.71% 1.34% 3.99% 4.55% 3.74% 2.67% 12/31/2017 12/31/2
Slide 12: Net Worth, Treasury Funding and Senior Preferred Stock Dividends
2020 Financial Supplement 12© 2021 Fannie Mae DRAFT Net Worth, Treasury Funding and Senior Preferred Stock Dividends Net Worth and Treasury Funding Commitment (Dollars in billions) Dividend Payments and Draws (Dollars in billions) Net worth Cumulative dividend payments to Treasury(27) Remaining Trea
Slide 13: Single-Family Business
© 2021 Fannie Mae DRAFT Single-Family Business
Slide 14: Single-Family Highlights
2020 Financial Supplement 14© 2021 Fannie Mae DRAFT Fannie Mae 41% Freddie Mac 33% Ginnie Mae 24% Private-label securities 2% U P B (D ol la rs in b ill io ns ) $2,946 $2,964 $3,014 $3,086 $3,161 43.6 43.8 44.2 44.4 44.5 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 $0 $1,000 $2,000 $3,000 $4,000 0 10 20
Slide 15: Credit Characteristics of Single-Family Conventional Loan Acquisitions
2020 Financial Supplement 15© 2021 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 44% 56% 65% 52% 30% 33% 20% 12% 28% 51% 19% 22% 22% 20% 19% 2016 2017 2018 2019 2020 0% 25% 50% 75% 100% W ei gh te d A ve ra ge F IC O C re di t S co re % F IC O C redit S core < 680 750 745 743 749 760 8.7% 10.6% 11.
Slide 16: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
2020 Financial Supplement 16© 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% 1.61% 2.40% 95.99% 2.87% 5.88% 9.98% 2.39% Total 2004 and Prior 2005- 2008 2009- 2020 0% 25% 50% 75% 100% 0% 5% 10% Credit Characteristics of Single-Family Co
Slide 17: Single-Family Credit Risk Transfer
2020 Financial Supplement 17© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $40 $76 $102 $86 $82 $67 $222 $189 $240 $265 $206 $290 $58 $15 $44 $45 $73 $57 $233 $239 $331 $410 $338 $445 $182 2014 2015 2016 2017 2018 2019 2020 $0 $200 $400 $600 Single-Family Credit Risk Transfer U P B (D ol
Slide 18: Single-Family Conventional Guaranty Book of Business in Forbearance
2020 Financial Supplement 18© 2021 Fannie Mae DRAFTSingle-Family Conventional Guaranty Book of Business in Forbearance Delinquency Status of Loans in Forbearance as of December 31, 2020(13) Single-Family Loan Forbearance Exits Credit Characteristics of Single-Family Loans in Forbearance(39) As of De
Slide 19: Single-Family Problem Loan Statistics
2020 Financial Supplement 19© 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) $17.5 $16.7 $19.0 $9.3 $62.9 $13.5 $13.8 $16.6 $7.7 $5.3 $56.0 103.5K 100.6K 118.1K 56.3K 299.2K 2016 2017 2018 2019 2020 $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 0K 50
Slide 20: Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
2020 Financial Supplement 20© 2021 Fannie Mae DRAFT 52.5% 7.1% 9.3% 14.2% 8.4% 8.5% 63.6% 19.1% 4.6% 3.4% 3.4% 5.9% Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business % of Single-Family Conventional Guaranty Book of Business(35) % of Single-Family Credit Losses (44) Fo
Slide 21: Single-Family Cumulative Default Rates
2020 Financial Supplement 21© 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** Y r1 Y r2 Y r3 Y r4 Y r5 Y r6 Y r7 Y r8 Y r9 Y r1 0 Y r1 1
Slide 22: Multifamily Business
© 2021 Fannie Mae DRAFT Multifamily Business
Slide 23: Multifamily Highlights
2020 Financial Supplement 23© 2021 Fannie Mae DRAFT U P B (D ol la rs in b ill io ns ) $338.8 $345.4 $357.8 $366.8 $384.5 71.8 71.9 72.3 73.3 74.5 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 $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 ) $18.1 $14.1 $19.6 $15.2 $27.1
Slide 24: Credit Characteristics of Multifamily Loan Acquisitions
2020 Financial Supplement 24© 2021 Fannie Mae DRAFT S ha re o f A cq ui si tio ns 76% 80% 89% 93% 93% 24% 20% 11% 7% 7% 2016 2017 2018 2019 2020 0% 20% 40% 60% 80% 100% Credit Characteristics of Multifamily Loan Acquisitions Credit Characteristics of Multifamily Loans by Acquisition Period(3) Catego
Slide 25: Credit Characteristics of Multifamily Guaranty Book of Business
2020 Financial Supplement 25© 2021 Fannie Mae DRAFT Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(3) As of December 31, 2020 Acquisition Year Asset Class or Targeted Affordable Segment Categories are not mutually excl
Slide 26: Multifamily Serious Delinquency Rates and Credit Losses
2020 Financial Supplement 26© 2021 Fannie Mae DRAFT S er io us D el in qu en cy R at e 0.30% 0.63% 0.71% 0.59% 0.24% 0.10% 0.05% 0.07% 0.05% 0.11% 0.06% 0.04% 0.98% 0.24% 0.39% 0.56% 0.50% 0.18% 0.99% 0.44% 1.36% 1.20% 0.92% 0.55% 0.34% 0.15% 0.21% 0.21% 0.33% 2008 2009 2010 2011 2012 2013 2014 2015
Slide 27: Endnotes
© 2021 Fannie Mae DRAFT Endnotes
Slide 28: Endnotes
2020 Financial Supplement 28© 2021 Fannie Mae DRAFT (1) Prior period amounts have been adjusted to reflect the current year change in presentation related to yield maintenance fees. As of January 1, 2020, all yield maintenance fees have been reported in interest income. For consolidated loans, the p
Slide 29: Endnotes
2020 Financial Supplement 29© 2021 Fannie Mae DRAFT Endnotes (14) As a part of the company's relief programs and pursuant to the CARES Act, it is providing payment forbearance to borrowers experiencing a COVID-19-related financial hardship for up to 12 months or, for borrowers already in forbearance
Slide 30: Endnotes
2020 Financial Supplement 30© 2021 Fannie Mae DRAFT (30) Refers to HomeReady® mortgage loans, a low down payment mortgage product offered by the company that is designed for creditworthy low-income borrowers. HomeReady allows up to 97% loan-to-value ratio financing for home purchases. The company of
Slide 31: Endnotes
2020 Financial Supplement 31© 2021 Fannie Mae DRAFT Endnotes (44) Credit losses consist of (a) charge-offs net of recoveries and (b) foreclosed property expense (income). Percentages exclude the impact of recoveries that have not been allocated to specific loans. (45) For a description of Alt-A loan