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 2019 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Oct 31, 2019
Slide 1: Quarterly Financial Supplement Q3 2019
Exhibit 99.2 Quarterly Financial Supplement Q3 2019 October 31, 2019 © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 2: Presentation notes and terms used
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, 2019 ("Q3 2019 Form 10-Q") and Form 10-K for the year ended December 31, 2018 (“2018 Form 10-K”). This presentation should be review
Slide 3: Table of Contents
DRAFT Table of Contents Financial Overview Corporate Financial Highlights 4 Market Liquidity 5 Key Market Economic Indicators 6 Net Worth, Treasury Funding and Senior Preferred Stock Dividends 7 Single-Family Business Single-Family Highlights 9 Certain Credit Characteristics of Single-Family Convent
Slide 4: Financial Overview
DRAFT Financial Overview © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 5: Corporate Financial Highlights
DRAFT Corporate Financial Highlights Sources of Net Interest Income and Retained Mortgage Summary of Q3 2019 Financial Results Portfolio Balance 100% $600 ($) in millions Q3 2019 Q2 2019 Variance s n o i l $500 l 80% i Net interest income $5,229 $5,150 $79 B ) e $ ( m o o $400 Fee and other income 4
Slide 6: Market Liquidity
DRAFT Market Liquidity Key Highlights: Liquidity Provided Q3 2019 Providing Liquidity to the Mortgage Market 3.5M Fannie Mae provided over $212 billion in liquidity to the mortgage market in the third quarter of 2019, through its purchases of loans and guarantees of loans and securities, which enabl
Slide 7: Key Market Economic Indicators
DRAFT Key Market Economic Indicators U.S. GDP Growth Rate and Benchmark Interest Rates Unemployment Rate(3) 4.72% 7% 3.83% ) 6% 3.81% 3.64% d 5.0% 3.42% n e 4.7% 5% d 4.1% 2.97% o 3.9% i 2.61% r 4% 3.5% e 2.36% 3.06% p f o 3% 2.33% s a ( 2.9% 2.9% 2% e 2.4% 1.59% 1.66% t a R 1% 1.6% 1.7% 0% 9/30/201
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) $181.4 $119.8 $113.9 $10.3 As of September 30, 2019 As of September 30, 2019 Net worth Cumulative dividend payments
Slide 9: Single-Family Business
DRAFT Single-Family Business © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 10: Single-Family Highlights
Single-Family Highlights DRAFT Single-Family Conventional Loan Single-Family Conventional Guaranty Book Q3 2019 Acquisitions(1) of Business(1) $194 60 $200 $4,000 50 50.4 43.5 49.7 48.5 42.8 43.0 43.3 43.4 $4,484M 46.7 45.9 50 40 $150 $3,000 Net interest income s $128 $90 s n $122 40 s n o $2,904 $2
Slide 11: Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions
DRAFT Certain Credit Characteristics of Single-Family Conventional Loan Acquisitions YTD 2019 Acquisition Certain 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 n
Slide 12: Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business
DRAFT Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year and Loan Features(1)(7) As of September 30, 2019 Origination Year Certain Loan Features FICO Credit
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 50% k o o 42% 42% B 2017 2018 YTD 2019 $1,500 41% y 39% t 38% n (15) (15) (15) 40% a Credit Enhancement Outstanding % of Book Outstanding % of Book Outstanding % of Book r a
Slide 14: Single-Family Problem Loan Statistics
DRAFT Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of September 30, 2019(9) Top 10 States by UPB Serious Average Delinquency Months to State Rate(9) Foreclosure(16) CA 0.32% 20 TX 0.52% 20 FL 0.87% 44 NY 1.24% 66 WA 0.35% 28 IL 0.92% 21 NJ 1.21% 40 VA 0.50
Slide 15: Credit Loss Concentration of Single-Family Conventional Guaranty Book
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 YTD 2019
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% e t a 10% R t 2005 l u a f e D 8% e v i t a l u 2008 m 6% u C 2004 4% 2% 2012 2011 2010 2009 0% 1 1 7 5 5 3 3 2 2 4 4 6 9 8 0 r
Slide 17: Multifamily Business
DRAFT Multifamily Business © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 18: Multifamily Highlights
Multifamily Highlights DRAFT Q3 2019 Multifamily Loan Acquisitions Multifamily Guaranty Book of Business(1) $25 $400 77.0 75.4 74.1 73.3 71.9 80 $745M 70 $20 $21.4 $329.6 Net interest income $300 $314.1 $322.6 s $305.9 60 s $296.1 n n $18.2 $18.0 s o t o i i $17.2 $16.9 l l n $15 l 50 l i i i o B B
Slide 19: Certain Credit Characteristics of Multifamily Loan Acquisitions
DRAFT Certain Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1) Categories are not mutually exclusive 2015 2016 2017 2018 YTD 2019 Total Unpaid Principal Balance (UPB) ($B) $42.4 $55.3 $67.1 $65.4 $52.1 Weighted Avera
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 September 30, 2019 Acquisition Year Asset Class or Targeted Affordable Segme
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) 2.0% 1.5% 1.4% e t 1.2% a R 1.1% s 1.0% s o 1.0% 0.9% 0.9% L 0.8% t i 0.7% d e r C 0.5% 0.5% 0.4% 0.4% 0.3% 0.3% 0.2% 0.1% 0.1% —% —% —% —% —% —% —% —% —
Slide 22: Endnotes
DRAFT Endnotes © 2019 Fannie Mae. Trademarks of 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 (continued)
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