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) — Q1 2018 Earnings Presentation
25 slides from Federal National Mortgage Association's earnings presentation, May 3, 2018
Slide 1: Fannie Mae Quarterly Financial Supplement Q1 2018
Fannie Mae Quarterly Financial Supplement Q1 2018 May 3, 2018 © 2018 Fannie Mae. Trademarks of Fannie Mae.
Slide 2: Terms and information used in this presentation
Some of the terms and other information in this presentation are defined and discussed more fuly in Fannie Mae’s Form 10-Q for the quarter ended March 31, 2018 (“Q1 2018 10-Q”) and Form 10-K for the year ended December 31, 2017 (“2017 Form 10-K”). This presentation should be reviewed together with t
Slide 3: Table of Contents
Table of Contents Corporate Financial Highlights Market Liquidity Key Market Economic Indicators Treasury Draws and Dividend Payments 7 6 5 4 Financial Overview Single-Family Highlights Certain Credit Characteristics of Single-Family Loan Acquisitions Certain Credit Characteristics of Single-Family
Slide 4: Financial Overview
Financial Overview © 2018 Fannie Mae. Trademarks of Fannie Mae. 3
Slide 5: Financial Overview
1Q18 4Q17 Variance Net interest income Fee and other income Net revenues Investment gains, net Fair value gains (losses), net Administrative expenses Credit-related income Benefit for credit losses Foreclosed property expense Total credit-related income Temporary Payrol Tax Cut Continuation Act of 2
Slide 6: Market Liquidity
2014 2015 2016 2017 YTD 2018 0.0M 0.5M 1.0M 1.5M 2.0M 2.5M 3.0M 0.8M 0.6M 0.9M 0.9M 0.4M 0.2M 0.2M 0.3M 0.7M 1.0M 1.0M 1.4M 1.2M 1.2M 1.1M Rental Units Home Purchases (Loans) Mortgage Refinancings (Loans) 252K Home Purchases 232K Refinancings 154K Rental Units Key Highlights: Liquidity Provided Fann
Slide 7: Key Market Economic Indicators
2014 2015 2016 2017 YTD 2018 0.0% 2.0% 4.0% 2.83% 3.00% 3.46% 0.90% 1.18% 1.45% 2.08% 2.58%2.17% 2.41% 2.74% 3.13% 2.45% 3.00% 2.27% 2014 2015 2016 2017 YTD 2018 0.0% 2.0% 4.0% 6.0% 4.6%4.2% 1.0% 5.7% 5.7% 2014 2015 2016 2017 YTD 2018 0.0% 2.0% 4.0% 6.0% 5.60% 4.10% 2.40% 2.30% 4.70% 2.30% 5.00% 1.5
Slide 8: Treasury Draws and Dividend Payments
Draws from Treasury Dividend payments to Treasury Draws from Treasury Dividend payments to Treasury Draws from Treasury Dividend payments to Treasury Draws from Treasury Dividend payments to Treasury Draws from Treasury Dividend payments to Treasury $0.0 $20.0 $40.0 $60.0 $80.0 $100.0 $120.0 $140.0
Slide 9: Single-Family Business
Single-Family Business © 2018 Fannie Mae. Trademarks of Fannie Mae. 8
Slide 10: Single-Family Highlights
Private-label securities 3% Freddie Mac 22% Fannie Mae 42% Ginnie Mae 33% Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018 $0 $50 $100 $150 $200 UP B ( $) Bil lio ns 0 10 20 30 40 50 Ba sis Po int s $60 $84 $50 $66 $69 $59 $52 $53 $47 $74 47.147.1 45.4 48.0 48.7 $118 $121 $134 $128 $112 Q1 2017 Q2 2017 Q3 20
Slide 11: Certain Credit Characteristics of Single-Family Loan Acquisitions
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Ful Year 2017 Q1 2018 Total Unpaid Principal Balance (UPB) ($B) Total UPB excluding Refi Plus ($B) Weighted Average Origination LTV (OLTV) Ratio Origination LTV Ratio > 90% Weighted Average FICO Credit Score FICO Credit Score < 660 DTI Ratio > 45% Fixed-rate Condo/Co-
Slide 12: Certain Credit Characteristics of Single-Family Conventional Guaranty Book
Overal Book 2004 & Earlier 2005-2008 2009-2015 2016 2017 2018 Total Unpaid Principal Balance (UPB) ($B) Average Unpaid Principal Balance Share of Single-Family Conventional Guaranty Book Serious Delinquency Rate Weighted Average Origination LTV Ratio Origination LTV Ratio > 90% Weighted Average Mark
Slide 13: Single-Family Credit Risk Transfer
2014 2015 2016 2017 YTD 2018 $0 $500 $1,000 $1,500 UP B ( $) Bil lio ns 0% 10% 20% 30% 40% % Sin gle -Fa mi ly Co nv en tio na l G ua ran ty Bo ok $1,002 $250 $429 $627 $927 22% 15% 9% 32% 35% % Single-family conventional guaranty book in a CRT transaction UPB outstanding of loans in a CRT transacti
Slide 14: Single-Family Problem Loan Statistics
NM NM MN MN MO MO WA WA WV WV MA MAWY WY NH NH ME ME OH OH MT MTND ND MS MS OR OR OK OK NV NV NE NE GA GA NC NC NY NY AR AR TN TN CO COUT UT WI WI VA VACA CAKY KY TX TX MI MI SD SD PA PA LA LA NJ NJ AL AL AZ AZ KS KS FL FL SC SC IN IN ID ID IA IA IL IL Less than 0.50% 0.50% to 0.99% 1.00% to 1.99% 2
Slide 15: Credit Loss Concentration of Single-Family Conventional Guaranty Book
2014 2015 2016 2017 YTD 2018 2014 2015 2016 2017 YTD 2018 Alt-A Interest Only Origination LTV Ratio > 90% FICO Credit Score < 660 and Origination LTV Ratio > 90% FICO Credit Score < 660 Refi Plus including HARP 12.8% 6.9% 1.6% 16.9% 1.1% 2.4% 13.2% 7.0% 1.7% 16.7% 1.2% 2.5% 15.4% 7.3% 1.8% 16.4% 1.7
Slide 16: Single-Family Cumulative Default Rates
Yr 1-Q 1 Yr 1-Q 2 Yr 1-Q 3 Yr 1-Q 4 Yr 2-Q 1 Yr 2-Q 2 Yr 2-Q 3 Yr 2-Q 4 Yr 3-Q 1 Yr 3-Q 2 Yr 3-Q 3 Yr 3-Q 4 Yr 4-Q 1 Yr 4-Q 2 Yr 4-Q 3 Yr 4-Q 4 Yr 5-Q 1 Yr 5-Q 2 Yr 5-Q 3 Yr 5-Q 4 Yr 6-Q 1 Yr 6-Q 2 Yr 6-Q 3 Yr 6-Q 4 Yr 7-Q 1 Yr 7-Q 2 Yr 7-Q 3 Yr 7-Q 4 Yr 8-Q 1 Yr 8-Q 2 Yr 8-Q 3 Yr 8-Q 4 Yr 9-Q 1 Yr
Slide 17: Multifamily Business
Multifamily Business © 2018 Fannie Mae. Trademarks of Fannie Mae. 16
Slide 18: Multifamily Highlights
Multifamily Highlights Q1 2018 Acquisitions Guaranty Book of Business Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018 $0.0 $5.0 $10.0 $15.0 $20.0 UP B ( $) Bil lio ns $20.3 $16.2 $12.3 $17.4 $11.3 $17.4 $13.2 $16.2 $20.3 $11.3 Multifamily Guaranty Fee and Credit Loss (Benefit) Ratio Q1 2017 Q2 2017 Q3 2017
Slide 19: Certain Credit Characteristics of Multifamily Acquisitions
Certain Credit Characteristics of Multifamily Acquisitions 2014 2015 2016 2017 YTD 2018 0% 20% 40% 60% 80% 100% Sh are of Ac qu isi tio ns 48% 48% 50% 49% 58% 43% 57% 41% 51% 51% % Origination LTV less than or equal to 70% % Origination LTV greater than 70% and less than or equal to 80% % Originatio
Slide 20: Certain Credit Characteristics of Multifamily Guaranty Book of Business
Certain Credit Characteristics of Multifamily Guaranty Book of Business 2014 2015 2016 2017 YTD 2018 0% 20% 40% 60% 80% 100% Sh are of M ult ifa mi ly Bo ok of Bu sin ess 80% 80% 20% 20% 82% 82% 18% 18% 81% 19% $20.2B $25.2B $13.5B $12.1B $8.8B $8.3B $8.3B $6.4B $6.3B $7.9B Atlanta Chicago Dalas Hou
Slide 21: Multifamily Serious Delinquency Rates and Credit Losses
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018 0.0% 0.5% 1.0% 1.5% 2.0% Cr ed it L oss Ra te 0.0% 0.2% 0.1% 0.0% 0.4%0.3% 0.0% 0.4% 0.5% 0.9% 0.2% 0.7% 0.9% 1.2% 1.1% 0.8% 0.9% 1.4% 0.3%0.3% 0.1% 0.1%0.0%0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% DUS Credit Los
Slide 22: Endnotes
Endnotes © 2018 Fannie Mae. Trademarks of Fannie Mae. 21
Slide 23: Financial Overview Endnotes
Financial Overview Endnotes Guaranty fee income includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payrol Tax Cut Continuation Act of 2011, the incremental revenue from which is remitted to Treasury and not retained by the company. Home price
Slide 24: Single-Family Business Endnotes
Single-Family Business Endnotes Single-family conventional population consists of: (a) single-family mortgage loans of Fannie Mae; (b) single-family mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that we provide on single-family mortgage assets, such as long-term standby
Slide 25: Multifamily Business Endnotes
Multifamily Business Endnotes Our multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that we provide on multifamily mortgage assets. It excludes non-Fannie Mae mu