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 2020 Earnings Presentation
31 slides from Federal National Mortgage Association's earnings presentation, Oct 29, 2020
Slide 1: Financial Supplement Q3 2020
Exhibit 99.2 Financial Supplement Q3 2020 October 29, 2020 © 2020 Fannie Mae
Slide 2: Notes and terms used in this presentation
DRAFT ▪ Some of the terms and other information in this presentation are defined and discussed more fully in our Form 10-Q for the quarter ended September 30, 2020 (“Q3 2020 Form 10-Q”) and Form 10-K for year ended December 31, 2019 ("2019 Form 10-K"). This presentation should be reviewed together w
Slide 3: Table of Contents
Table of Contents DRAFT Overview Corporate Financial Highlights 5 Guaranty Book of Business Highlights 6 Single-Family Credit Characteristics 7 Multifamily Credit Characteristics 8 Single-Family and Multifamily Conventional Guaranty Books of Business in Forbearance 9 Portfolio and Liquidity Manageme
Slide 4: Overview
DRAFT Overview © 2020 Fannie Mae
Slide 5: Corporate Financial Highlights
DRAFT Corporate Financial Highlights Summary of Q3 2020 Financial Results Q3 Key Financial Highlights Q3 YTD Q3 YTD Comprehensive income increased (Dollars in millions) Q3 2020 Q2 2020 Variance 2020 2019 Variance $1.7 billion from Q2 2020 to $4.2 billion for Q3 2020 Net interest income(1) $6,656 $5,
Slide 6: Guaranty Book of Business Highlights
Guaranty Book of Business Highlights DRAFT Market Liquidity Provided Q3 2020 Q3 2020 $982 Unpaid Principal Balance Units $1,000 $286 $637 $666 $125B 446K $570 Single-Family Home Purchases $512 $500 $257 $313 $281 $291 $647 946K $266B $325 $283 Single-Family Refinancings UP B (dollars in billions) $2
Slide 7: Single-Family Credit Characteristics
DRAFT Single-Family Credit Characteristics Credit Characteristics of Guaranty Book Guaranty Book in a CRT 60% 850 58% 57% 57% 57% 46% 60 We ighted Average MTMLTV $1,500 39% 680 745 745 746 746 749 50 35% 40% 32% $1,341 510 40 $1,000 $1,143 22% $1,067 30 UP B $927 340 20% 20 (D ollars in billions) $5
Slide 8: Multifamily Credit Characteristics
DRAFT Multifamily Credit Characteristics Credit Characteristics of Guaranty Book Guaranty Book in a CRT 28% 30% 67% 67% 66% 66% 66% We ighted Average OLTV Ratio 70 25% $100 $102 60 2.0 2.2 2.1 2.0 1.9 2.0 50 $84 20% 40 12% UP B $50 30 1.0 10% (D ollars in billions) 6% 20 $37 We ighted Average DSCR 4
Slide 9: Single-Family and Multifamily Conventional Guaranty Books of Business in Forbearance
DRAFT Single-Family and Multifamily Conventional Guaranty Books of Business in Forbearance Delinquency Status of Loans in Forbearance as of September 30, 2020(13) Key Highlights $100 • Since the onset of the COVID-19 pandemic, Fannie Mae has provided economic relief to its single-family and multifam
Slide 10: Portfolio and Liquidity Management
Portfolio and Liquidity Management DRAFT Sources of Net Interest Income and Retained Mortgage Portfolio Balance Key Highlights 100% $600 8% • The COVID-19 pandemic and the relief the company is 21% 21% 15% Re tained Mortgage Portfolio 26% 92% offering impacted borrowers has increased its debt 85% (D
Slide 11: Key Market Economic Indicators
DRAFT Key Market Economic Indicators U.S. GDP Growth (Decline) Rate and Benchmark Interest Rates Unemployment Rate(25) 4.72% 7.9% 3.83% 10% 3.64% 4.7% 4.1% 3.9% 3.81% 3.5% 2.90% 5% 2.97% 2.61% 0% 3.06% 1.6% 2.4% 1.3% 2.4% 2.33% -5% (2.6)% 1.40% Ra te (as of period end) 1.66% -10% 0.68% 2016 2017 201
Slide 12: Net Worth, Treasury Funding and Senior Preferred Stock Dividends
DRAFT Net Worth, Treasury Funding and Senior Preferred Stock Dividends Net Worth and Treasury Funding Commitment Dividend Payments and Draws (Dollars in billions) (Dollars in billions) $181.4 $119.8 $113.9 $20.7 As of September 30, 2020 As of September 30, 2020 Net worth Cumulative dividend payments
Slide 13: Single-Family Business
DRAFT Single-Family Business © 2020 Fannie Mae
Slide 14: Single-Family Highlights
Single-Family Highlights DRAFT Single-Family Conventional Loan Single-Family Conventional Guaranty Book Q3 2020 Acquisitions(2) of Business(2) $4,000 50 49.4 44.2 44.4 46.9 46.7 43.5 43.6 43.8 45.9 44.9 50 40 $5,870M $391 $3,000 Net interest income 40 $3,086 $400 $351 $2,924 $2,946 $2,964 $3,014 30
Slide 15: Credit Characteristics of Single-Family Conventional Loan Acquisitions
DRAFT Credit Characteristics of Single-Family Conventional Loan Acquisitions Q3 YTD 2020 Acquisition Credit Characteristics of Single-Family Conventional Loans Credit Profile by Acquisition Period by Certain Loan Features Full Year OLTV Ratio Home- FICO Credit DTI Ratio Categories are not mutually e
Slide 16: Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Credit Characteristics of Single-Family Conventional Guaranty Book of BusinessDRAFT Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(2)(32) As of September 30, 2020 Origination Year Certain Loan Features FICO Credit Refi Plus Overal
Slide 17: Single-Family Credit Risk Transfer
DRAFT Single-Family Credit Risk Transfer Single-Family Credit Risk Transfer Single-Family Loans with Credit Enhancement $1,750 46% 46% 2018 2019 Q3 YTD 2020 $1,500 41% 40% 35% 40% Credit Enhancement Outstanding % of Book(35) Outstanding % of Book(35) Outstanding % of Book(35) $1,250 $1,341 $1,371 Ou
Slide 18: Single-Family Conventional Guaranty Book of Business in Forbearance
Single-Family Conventional Guaranty Book of Business in ForbearanceDRAFT Credit Characteristics of Single-Family Loans in Forbearance(39) As of September 30, 2020 Origination Year 2004 & 2005- 2009- Categories are not mutually exclusive Total Earlier 2008 2016 2017 2018 2019 2020 Total UPB (Dollars
Slide 19: Single-Family Problem Loan Statistics
DRAFT Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of September 30, 2020(8) Top 10 States by UPB Serious Average Delinquency Months to (41) State Rate(8) Foreclosure CA 3.04% 21 TX 3.67% 18 FL 4.76% 39 NY 5.39% 61 WA 2.22% 42 IL 3.46% 19 NJ 5.31% 30 CO 2.1
Slide 20: Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
DRAFT Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business (44) % of Single-Family Conventional Guaranty Book of Business(35) % of Single-Family Credit Losses For the Period Ended Certain Product Features Q3 YTD Q3 YTD Categories are not mutually exclusive 2016 2017 2018
Slide 21: Single-Family Cumulative Default Rates
DRAFT Single-Family Cumulative Default Rates Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year(47) 2007 16% 2006 14% 12% 10% 2005 8% 2008 6% Cu mulative Default Rate 2004 4% 2% 2012 2011 2010 2009 0% Yr 1 Yr 3 Yr 5 Yr 7 Yr 9 Yr 2 Yr 4 Yr 6 Yr 8 Yr 1
Slide 22: Multifamily Business
DRAFT Multifamily Business © 2020 Fannie Mae
Slide 23: Multifamily Highlights
Multifamily Highlights DRAFT Q3 2020 Multifamily New Business Volume Multifamily Guaranty Book of Business(3) $25 $400 71.9 71.8 71.9 72.3 73.3 80 70 $357.8 $366.8 $20 $345.4 $786M $329.6 $338.8 $300 60 Net interest income $19.6 $18.0 $18.1 $15 50 $15.2 $14.1 $200 40 UP B UP B $10 30 (D ollars in bi
Slide 24: Credit Characteristics of Multifamily Loan Acquisitions
DRAFT Credit Characteristics of Multifamily Loan Acquisitions Credit Characteristics of Multifamily Loans by Acquisition Period(3) Categories are not mutually exclusive 2016 2017 2018 2019 Q3 YTD 2020 Total UPB (Dollars in billions) $55.3 $67.1 $65.4 $70.2 $48.9 Weighted Average OLTV Ratio 68% 67% 6
Slide 25: Credit Characteristics of Multifamily Guaranty Book of Business
DRAFT Credit Characteristics of Multifamily Guaranty Book of Business Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(3) As of September 30, 2020 Acquisition Year Asset Class or Targeted Affordable Segment Overall 2004
Slide 26: Multifamily Serious Delinquency Rates and Credit Losses
DRAFT Multifamily Serious Delinquency Rates and Credit Losses DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through Q3 YTD 2020(49)(54) 2% 1.5% 1.4% 1.1% 1.1% 1.1% 0.9% 1% 0.9% 0.8% 0.7% Cr edit Loss Rate 0.5% 0.5% 0.3% 0.2% 0.3% 0.3% 0.2% 0.2% 0.1% 0.1% 0.1% 0.1% 0.1% —% —% —% —% —%
Slide 27: Endnotes
DRAFT Endnotes © 2020 Fannie Mae
Slide 28: Endnotes
DRAFT Endnotes (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 portion of the fee passed through to t
Slide 29: Endnotes
DRAFT Endnotes (14) As a part of the company's relief programs and pursuant to the CARES Act, it is providing payment forbearance for up to 12 months to borrowers experiencing a COVID-19- related financial hardship. The company estimates that, through September 30, 2020, approximately 7.3% of the si
Slide 30: Endnotes
DRAFT Endnotes (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 offers additional low down payment mort
Slide 31: Endnotes
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 our Alt-A loan classification criteria, refer to the glo