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) — Q2 2019 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, Aug 1, 2019
Slide 1: Quarterly Financial Supplement Q2 2019
ExhibitDRAFT 99.2 Quarterly Financial Supplement Q2 2019 August 1, 2019 © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 2: Notes and terms used in presentation
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 June 30, 2019 ("Q2 2019 Form 10-Q") and Form 10-K for the year ended December 31, 2018 (“2018 Form 10-K”). This presentation should be reviewed to
Slide 3: Table of Contents
DRAFT Table of Contents Financial Overview Corporate Financial Highlights 4 Market Liquidity 5 Key Market Economic Indicators 6 Treasury Draws and Dividend Payments 7 Single-Family Business Single-Family Highlights 9 Certain Credit Characteristics of Single-Family Loan Acquisitions 10 Certain Credit
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 Q2 2019 Financial Results Portfolio Balance 100% $600 ($) in millions Q2 2019 Q1 2019 Variance s n o i l $500 l Net interest income $5,150 $4,733 $417 80% i B ) e $ ( m o o $400 Fee and other income
Slide 6: Market Liquidity
DRAFT Market Liquidity Key Highlights: Providing Liquidity to the Mortgage Market Liquidity Provided Q2 2019 3.5M Fannie Mae provided $145 billion in liquidity to the mortgage market in the second quarter of 2019, through its purchases of loans and guarantees of loans and securities, which enabled t
Slide 7: Key Market Economic Indicators
DRAFT Key Market Economic Indicators U.S. GDP Growth Rate and Benchmark Interest Rates Unemployment Rate(3) 5% 4.55% 7% ) ) 3.88% 6% 3.73% d d 4% 5.0% n n 3.60% e 4.7% e 5% d d 3.03% 4.1% o o 3.9% i i 3.7% 2.74% r r 3% 4% e e p p 2.86% f f o o 3% s s 2% 2.30% a a ( 2.9% 2.9% ( 2.01% 2% e e t t 2.2%
Slide 8: Treasury Draws and Dividend Payments
DRAFT Treasury Draws and Dividend Payments Treasury Draws and Dividend Payments: 2008 - Q2 2019(5) $181.4 $180 $160 $154.4 $140 $119.8 $120 $116.1 s $100 n o i l l i B ) $ ( $80 $60 $40 $20 $12.0 $9.4 $3.7 $5.6 $0.0 $0.0 $0 2008-2016 2017 2018 YTD 2019 Total Draws from Treasury(6) Dividend payments
Slide 9: Single-Family Business
DRAFT Single-Family Business © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 10: Single-Family Highlights
DRAFT Single-Family Highlights Q2 2019 Single-Family Conventional Loan Acquisitions(1) SF Conventional Guaranty Book of Business(1) $200 60 $4,000 50 50.4 42.5 42.8 43.0 43.3 43.4 49.7 48.5 47.8 46.7 50 $4,419M 40 $150 $128 $3,000 Net interest income s $122 s n 40 n $2,879 $2,889 $2,900 $2,904 $2,90
Slide 11: Certain Credit Characteristics of Single-Family Loan Acquisitions
DRAFT Certain Credit Characteristics of Single-Family 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 not mutually e
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 June 30, 2019 Origination Year Certain Loan Features FICO Credit Refi
Slide 13: Single-Family Credit Risk Transfer
DRAFT Single-Family Credit Risk Transfer Single-Family Loans Included in Credit Risk Transfer Single-Family Loans with Credit Enhancement Transactions, Balance of Covered Loans $1,750 50% k o o 42% B 2017 2018 YTD 2019 $1,500 y 39% t n (15) (15) (15) 40% a Credit Enhancement Outstanding % of Book Ou
Slide 14: Single-Family Problem Loan Statistics
DRAFT Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of June 30, 2019(9) Top 10 States by UPB Serious Average Delinquency Months to State Rate(9) Foreclosure(16) CA 0.33% 21 TX 0.52% 21 FL 0.94% 46 NY 1.32% 66 WA 0.36% 29 IL 0.95% 21 NJ 1.28% 42 VA 0.53% 17
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 % of Single-Family Credit Losses(19) % of Single-Family Conventional Guaranty Book of Business(15) 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) 16% 2007 2006 14% 12% e t a R 10% t l u a f 2005 e D 8% e v i t a l u m 6% 2008 u C 2004 4% 2% 2012 2011 2010 2009 0% 1 1 1 1 1 1 1 1 1 1 1 3 3 3 3 3
Slide 17: Multifamily Business
DRAFT Multifamily Business © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 18: Multifamily Highlights
DRAFT Multifamily Highlights Q2 2019 Multifamily Loan Acquisitions MF Guaranty Book of Business(1) $25 $400 78.6 77.0 75.4 74.1 73.3 80 $731M $20 $21.4 70 $300 $314.1 $322.6 Net interest income $305.9 60 s $18.2 s $287.6 $296.1 n n $17.2 s o o $16.9 t i i l $15 l 50 n l l i i i o B $14.5 B P ) ) $20
Slide 19: Certain Credit Characteristics of Multifamily Loan Acquisitions
DRAFT Certain Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1) Categories are not mutually exclusive 2015 2016 2017 2018 YTD 2019 Total Unpaid Principal Balance (UPB) ($B) $42.4 $55.3 $67.1 $65.4 $34.1 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 June 30, 2019 Acquisition Year Asset Class or Targeted Affordable Segment Ov
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 (4)(12) 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
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