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) — FY2019 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Feb 13, 2020
Slide 1: Financial Supplement Q4 and Full Year 2019
Exhibit 99.2AFT Financial Supplement Q4 and Full Year 2019 February 13, 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-K for the year ended December 31, 2019 (“2019 Form 10-K”). This presentation should be reviewed together with the 2019 Form 10-K, which is available at www.fanniemae.com in the “A
Slide 3: Table of Contents
DRAFT Table of Contents Financial Overview Corporate Financial Highlights 5 Market Liquidity 6 Key Market Economic Indicators 7 Net Worth, Treasury Funding and Senior Preferred Stock Dividends 8 Single-Family Business Single-Family Highlights 10 Certain Credit Characteristics of Single-Family Conven
Slide 4: Financial Overview
DRAFT Financial Overview © 2020 Fannie Mae
Slide 5: Corporate Financial Highlights
DRAFT Corporate Financial Highlights Sources of Net Interest Income and Retained Mortgage Summary of 2019 Financial Results Portfolio Balance 100% $600 (Dollars in millions) 2019 2018 Variance Re tained Mortgage Portfolio Net interest income $20,962 $20,951 $11 75% (D ollars in billions) Fee and oth
Slide 6: Market Liquidity
DRAFT Market Liquidity Key Highlights: Liquidity Provided In 2019 Providing Liquidity to the Mortgage Market Fannie Mae provided over $650 billion in liquidity to the mortgage market in 3.5 2019 through its purchases and guarantees of mortgage loans, which enabled the 3.2 financing of approximately
Slide 7: Key Market Economic Indicators
DRAFT Key Market Economic Indicators U.S. GDP Growth Rate and Benchmark Interest Rates Unemployment Rate(3) 4.55% 4.32% 7% 4.01% 3.99% 6% 5.0% 3.74% 4.7% 3.50% 5% 4.1% 3.9% 3.00% 3.13% 3.00% 3.5% 2.71% 4% 3% 2.68% 2% 2.9% 2.9% 2.27% 2.44% 2.41% 2.4% 2.3% 1% 1.92% Ra te (as of period end) 1.6% 0% 12/
Slide 8: 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) $113.9 $181.4 $119.8 $14.6 As of December 31, 2019 As of December 31, 2019 Net worth Cumulative dividend payments t
Slide 9: Single-Family Business
DRAFT Single-Family Business © 2020 Fannie Mae
Slide 10: Single-Family Highlights
Single-Family Highlights DRAFT Single-Family Conventional Loan Single-Family Conventional Guaranty Book 2019 Acquisitions(1) of Business(1) 50.4 $300 $4,000 50 48.5 43.4 43.5 43.6 46.7 45.9 46.9 43.0 43.3 50 $18,013M 40 $3,000 $194 40 Net interest income $189 $200 $2,900 $2,904 $2,907 $2,924 $2,946
Slide 11: Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions
DRAFT Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions Certain Credit Characteristics of Single-Family Conventional Loans 2019 Acquisition by Acquisition Period Credit Profile by Certain Loan Features Full Year Full Year OLTV Ratio Home- FICO Credit DTI Ratio (5) (3) (4
Slide 12: Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Certain Credit Characteristics of Single-Family Conventional Guaranty Book of BusinessDR AFT Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(1)(7) As of December 31, 2019 Origination Year Certain Loan Features (6) FICO Cred
Slide 13: 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% 2017 2018 2019 $1,500 39% 40% Credit Enhancement (15) (15) (15) Outstanding UPB (dollars in Outstanding % of Book Outstanding % of Book Outstanding % of Book $1,250 32%
Slide 14: Single-Family Problem Loan Statistics
DRAFT Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of December 31, 2019(9) Top 10 States by UPB Serious Delinquency Average Months to (9) (16) State Rate Foreclosure CA 0.32% 20 TX 0.56% 19 FL 0.84% 43 NY 1.18% 64 WA 0.33% 29 IL 0.91% 21 NJ 1.13% 39 VA 0.4
Slide 15: Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
DRAFT Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business (19) % of Single-Family Conventional Guaranty Book of Business(15) % of Single-Family Credit Losses For the Period Ended Certain Product Features Categories are not mutually exclusive 2015 2016 2017 2018 2019 201
Slide 16: 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(22) 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 5 Yr 7 Yr 9 Yr 2 Yr 3 Yr 4 Yr 6 Yr 8 Yr 1
Slide 17: Multifamily Business
DRAFT Multifamily Business © 2020 Fannie Mae
Slide 18: Multifamily Highlights
Multifamily Highlights DRAFT 2019 Multifamily Loan Acquisitions Multifamily Guaranty Book of Business(1) $25 $400 75.4 74.1 73.3 71.9 71.8 80 70 $2,949M $20 $21.4 $338.8 $300 $329.6 $314.1 $322.6 Net interest income $305.9 60 $18.0 $18.1 $15 $16.9 $17.2 50 $200 UP B UP B 40 $10 30 (D ollars in billi
Slide 19: Certain Credit Characteristics of Multifamily Loan Acquisitions
DRAFT Certain Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1) Categories are not mutually exclusive 2015 2016 2017 2018 2019 Total UPB (Dollars in billions) $42.4 $55.3 $67.1 $65.4 $70.2 Weighted Average OLTV Ratio
Slide 20: Certain Credit Characteristics of Multifamily Guaranty Book of Business
DRAFT Certain Credit Characteristics of Multifamily Guaranty Book of Business Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(1) As of December 31, 2019 Acquisition Year Asset Class or Targeted Affordable Segmen
Slide 21: 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 YTD 2019(3)(10) 2% 1.5% 1.4% 1.2% 1.1% 0.9% 1% 0.9% 0.9% 0.8% 0.7% Cr edit Loss Rate 0.5% 0.5% 0.4% 0.4% 0.3% 0.2% 0.3% 0.1% 0.1% —% —% —% —% —% —% —% —% —% —% —% —% 0%
Slide 22: Endnotes
DRAFT Endnotes © 2020 Fannie Mae
Slide 23: Financial Overview Endnotes
DRAFT Financial Overview Endnotes (1) Guaranty fee income includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011, the incremental revenue from which is remitted to Treasury and not retained by the company.
Slide 24: Single-Family Business Endnotes
DRAFT Single-Family Business Endnotes (1) Single-family conventional loan population consists of: (a) single-family conventional mortgage loans of Fannie Mae; (b) single-family conventional mortgage loans underlying Fannie Mae MBS other than loans underlying Freddie Mac securities that Fannie Mae ha
Slide 25: Single-Family Business Endnotes
DRAFT Single-Family Business Endnotes (11) The average estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property at period end, which we calculate using an internal valuation model that estimates periodic changes in
Slide 26: Multifamily Business Endnotes
DRAFT Multifamily Business Endnotes (1) 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-Fan