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 2019 Earnings Presentation
26 slides from Federal National Mortgage Association's earnings presentation, May 1, 2019
Slide 1: Quarterly Financial Supplement Q1 2019
Quarterly Financial Supplement Q1 2019 May 1, 2019 © 2019 Fannie Mae. Trademarks of Fannie Mae.
Slide 2: Notes and terms used in this presentation
▪ 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 March 31, 2019 (“Q1 2019 Form 10-Q”) and Form 10-K for the year ended December 31, 2018 (“2018 Form 10-K”). This presentation should be reviewed togethe
Slide 3: Table of Contents
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 Chara
Slide 4: Financial Overview
Financial Overview © 2019 Fannie Mae. Trademarks of Fannie Mae. Q1 2019 Financial Supplement 3
Slide 5: Corporate Financial Highlights
Corporate Financial Highlights Sources of Net Interest Income and Retained Mortgage Summary of Q1 2019 Financial Results Portfolio Balance 100% $600 ($) in millions Q1 2019 Q4 2018 Variance s n o i l $500 l Net interest income $4,733 $4,973 $(240) 80% i B ) e $ ( m o o $400 Fee and other income 227
Slide 6: Market Liquidity
Market Liquidity Key Highlights: Providing Liquidity to the Mortgage Market Liquidity Provided 3.5M Fannie Mae provided $102 billion in liquidity to the mortgage market in the first quarter of 2019, through its purchases of loans and guarantees of loans and securities, which enabled the financing of
Slide 7: Key Market Economic Indicators
Key Market Economic Indicators U.S. GDP Growth Rate and Benchmark Interest Rates Unemployment Rate(3) 5% 4.44% 7% 4.14% 4.06% ) ) 6% d d 4% 5.0% n n 3.46% e 4.7% e 5% d d 3.13% 3.11% 4.1% o o 3.9% i 3.8% i r r 3% 4% e e p p f f 2.74% o o 3% 2.40% 2.41% s s 2% 3.2% a a ( 2.9% 2.9% ( 2% e e t t 2.2% a
Slide 8: Treasury Draws and Dividend Payments
Treasury Draws and Dividend Payments Treasury Draws and Dividend Payments: 2008 - Q1 2019(5) $179.0 $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 $3.2 $0.0 $0.0 $0 2008-2016 2017 2018 YTD 2019 Total Draws from Treasury(6) Dividend payments to Tre
Slide 9: Single-Family Business
Single-Family Business © 2019 Fannie Mae. Trademarks of Fannie Mae. Q1 2019 Financial Supplement 8
Slide 10: Single-Family Highlights
Single-Family Highlights Q1 2019 Single-Family Conventional Loan Acquisitions(1) SF Conventional Guaranty Book of Business(1) $200 60 $4,000 50 50.4 42.3 42.5 42.8 43.0 43.3 49.7 48.5 47.8 50 40 $4,039M $150 42.9 $3,000 Net interest income s $122 s n 40 n $2,868 $2,879 $2,889 $2,900 $2,904 s s o $11
Slide 11: Certain Credit Characteristics of Single-Family Loan Acquisitions
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 exclusi
Slide 12: Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business
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 March 31, 2019 Origination Year Certain Loan Features Overall 2004 & 2005- 2
Slide 13: Single-Family Credit Risk Transfer
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 Outstand
Slide 14: Single-Family Problem Loan Statistics
Single-Family Problem Loan Statistics Single-Family Serious Delinquency Rate by State as of March 31, 2019(9) Top 10 States by UPB Serious Average Delinquency Months to State Rate(9) Foreclosure(16) CA 0.34% 19 TX 0.56% 20 FL 1.03% 47 NY 1.38% 65 WA 0.37% 30 IL 0.98% 21 NJ 1.32% 42 VA 0.55% 17 CO 0.
Slide 15: Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
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 2015 2
Slide 16: Single-Family Cumulative Default Rates
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% 2009 2012 2011 2010 0% 1 1 1 1 1 1 1 1 1 1 1 3 3 3 3 3 3 3 3
Slide 17: Multifamily Business
Multifamily Business © 2019 Fannie Mae. Trademarks of Fannie Mae. Q1 2019 Financial Supplement 16
Slide 18: Multifamily Highlights
Multifamily Highlights Q1 2019 Multifamily Loan Acquisitions MF Guaranty Book of Business(1) $25 $400 90 78.9 78.6 77.0 75.4 74.1 80 $20 $21.4 $694M 70 $300 Net interest income $305.9 $314.1 s $18.2 s $287.6 $296.1 60 n n $281.3 s o o $16.9 t i i l $15 l n l l i i i 50 o B $14.5 B P ) ) $200 s $ $ i
Slide 19: Certain Credit Characteristics of Multifamily Loan Acquisitions
Certain Credit Characteristics of Multifamily Loan Acquisitions Certain Credit Characteristics of Multifamily Loans by Acquisition Period 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 $16.9 Weighted Average Origin
Slide 20: Certain Credit Characteristics of Multifamily Guaranty Book of Business
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 March 31, 2019 Acquisition Year Asset Class or Targeted Affordable Segment Overall
Slide 21: Multifamily Serious Delinquency Rates and Credit Losses
Multifamily Serious Delinquency Rates and Credit Losses DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through YTD 2019 (4)(13) 2.0% 1.5% 1.4% e t 1.2% a R 1.1% s s o 1.0% 0.9% 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
Endnotes © 2019 Fannie Mae. Trademarks of Fannie Mae. Q1 2019 Financial Supplement 21
Slide 23: Financial Overview Endnotes
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. (2) Re
Slide 24: Single-Family Business Endnotes
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; and (c) other credit enhancements that we provide on single-family mortgag
Slide 25: Single-Family Business Endnotes
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 home
Slide 26: Multifamily Business Endnotes
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-Fannie Ma