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 2017 Earnings Presentation
23 slides from Federal National Mortgage Association's earnings presentation, Nov 2, 2017
Slide 1: 2017 Third Quarter Credit Supplement
2017 Third Quarter Credit Supplement November 2, 2017 © 2017 Fannie Mae. Trademarks of Fannie Mae. Exhibit 99.2
Slide 2: This presentation includes information about Fannie Mae, including information contained in Fannie Mae’s Quarterly
This presentation includes information about Fannie Mae, including information contained in Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2017, the “2017 Q3 Form 10-Q.” Some of the terms used in these materials are defined and discussed more fuly in the 2017 Q3 Form
Slide 3: Table of Contents
© 2017 Fannie Mae. Trademarks of Fannie Mae. 2 Table of Contents Home Price Growth/Decline Rates in the U.S. One Year Home Price Change as of 2017 Q3 Home Price Change From 2006 Q3 Through 2017 Q3 5 4 3 Home Prices Credit Characteristics of Single-Family Business Acquisitions Credit Risk Profile Sum
Slide 4: Home Price Growth/Decline Rates in the U.S.
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% -3.7% -9.0% -4.8% -4.2% -3.5% 2.6% 4.0% 7.6% 4.2% 4.6% 5.7% 5.3% Fannie Mae Home Price Index Based on our home price index, we estimate that home prices on a national basis increased by 1.1% in the third q
Slide 5: One Year Home Price Change as of 2017 Q3
One Year Home Price Change as of 2017 Q3 NC 4.7% 2.5% WA 11.1% 3.6% CA 6.8% 19.5% AR 3.3% 0.5% IA 3.8% 0.7% IL 4.3% 3.8%KS 4.8% 0.5% LA 2.9% 0.9% MO 4.6% 1.3% MS 3.0% 0.4% MT 4.9% 0.3% ND 1.1% 0.2% NM 3.5% 0.5% OK 2.3% 0.7% PA 4.7% 3.0% TX 4.5% 6.2% VA 3.5% 3.5% WV 1.2% 0.2% WY 2.3% 0.2% AZ 7.0% 2.5
Slide 6: Home Price Change From 2006 Q3 Through 2017 Q3
SC 6.6% 1.2% NC 8.4% 2.5%AZ-18.3% 2.5% FL -19.0% 5.7% NV -22.8% 1.1% CA -6.1% 19.5% IN 14.2% 1.1%KS 17.9% 0.5% KY16.7% 0.6% LA 18.3% 0.9% MT 22.6% 0.3% ND 54.8% 0.2% NE 23.8% 0.5% OK 18.1% 0.7% OR 16.7% 1.8% SD 30.6% 0.2% TN 17.9% 1.3% TX 35.8% 6.2% UT 26.2% 1.3% WA 18.2% 3.6% WY 18.6% 0.2% CO 40.0%
Slide 7: Summary of Single-Family Business Acquisitions
Q3 2017 Single-Family Acquisitions Excl. Refi Plus Q2 2017 Single-Family Acquisitions Excl. Refi Plus Q1 2017 Single-Family Acquisitions Excl. Refi Plus Ful Year 2016 Single-Family Acquisitions Excl. Refi Plus Q4 2016 Single-Family Acquisitions Excl. Refi Plus Q3 2016 Single-Family Acquisitions Excl
Slide 8: Notes on Single-Family Business Acquisitions
Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business acquisitions refer to single-family mortgage loans we acquire through purchase or securitization transactions. FICO credit score is as of loan origination, as reported by the seler of the
Slide 9: Certain Credit Characteristics of Single-Family Business Acquisitions: 2006-2017
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 40% 60% 80% 100% Or igin ati on LT V R ati o 0% 5% 10% 15% 20% % of Sin gle -Fa mi ly B us ine ss Ac qu isit ion s Origination Loan-to-Value (OLTV) Ratio 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 660 680 700 720 740 760 78
Slide 10: Single-Family Business Acquisitions by Loan Purpose
2010 2011 2012 2013 2014 2015 2016 2017 0% 20% 40% 60% 80% 100% % of Sin gle -Fa mi ly B us ine ss Ac qu isit ion s 1%1%2% 2%3%4%6% 14%16%10%10% 6% 9%9%14%14% 41% 52%48%36% 48% 55%52%54% 56% 44%45%52% 30% 21%24%23% Single-Family Business Acquisitions by Loan Purpose HARP Refi Plus Acquisitions (Excl
Slide 11: Credit Characteristics by Origination Year
Overal Book Origination Year 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 & Earlier Unpaid Principal Balance (UPB) ($B) Share of Single-Family Conventional Guaranty Book Average Unpaid Principal Balance Serious Delinquency Rate Weighted Average Origination LTV Ratio Origination LTV Ratio > 90%
Slide 12: Credit Characteristics by Certain Product Features
Categories Not Mutualy Exclusive Interest Only Loans Loans with FICO < 620 Loans with FICO ≥ 620 and < 660 Loans with Origination LTV Ratio > 90% Loans with FICO < 620 and Origination LTV Ratio > 90% Alt-A Loans Refi PlusIncluding HARP Unpaid Principal Balance (UPB) ($B) Share of Single-Family Conve
Slide 13: Credit Characteristics by Region
Midwest Northeast Southeast Southwest West 12.6% 7.1% 24.1% 38.3% 17.8% 909 638 851 1,470 594 2,470 3,186 7,966 8,659 6,732 923 1,417 3,098 2,795 2,468 569 1,107 2,436 2,227 2,004 0.51% 0.70% 1.16% 1.81% 0.94% 10.9% 13.3% 27.5% 30.6% 17.8% 0.5% 0.4% 1.8% 1.6% 1.1% 50.9% 59.2% 61.8% 58.1% 61.6% 28.0%
Slide 14: Seriously Delinquent Loan and REO Inventory Share by Select States
Based on states with the largest volume of seriously delinquent loans in our single-family conventional guaranty book of business as of September 30, 2017. “Seriously delinquent loan share” refers to the percentage of our single-family seriously delinquent loan population in the applicable state. Sh
Slide 15: Single-Family Short Sales and REO Sales Prices to UPB
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance (UPB) of Mortgage Loans 2015 Q2 2015 Q3 2015 Q4 2016 Q1 2016 Q2 2016 Q3 2016 Q4 2017 Q1 2017 Q2 2017 Q3 60% 70% 80% 90% 72.4% 72.6% 73.1% 75.0% 73.9% 73.6% 74.1% 75.8%75.2% 72.5% 79.3% 79.9% 81.9% 80.9% 80.3% 80.9% 83.0%82.3%
Slide 16: Single-Family Loan Workouts
Foreclosure Alternatives Consists of (a) modifications, which do not include trial modifications, loans to certain borowers who have received bankruptcy relief that are accounted for as troubled debt restructurings, or repayment plans or forbearances that have been initiated but not completed and (b
Slide 17: Re-performance Rates of Modified Single-Family Loans
Modifications reflect permanent modifications which does not include loans curently in trial modifications. Defined as total number of completed modifications for the time periods noted. 2014 Q4 2015 Q1 2015 Q2 2015 Q3 2015 Q4 2016 Q1 2016 Q2 2016 Q3 2016 Q4 2017 Q1 2017 Q2 Modifications 21,53919,92
Slide 18: Credit Loss Concentration of Single-Family Book
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of December 31 for the time periods noted, with the exception of 2017 which is as of September 30. Based on the single-family credit losses for the year ended December 31 for the time periods n
Slide 19: Cumulative Default Rates by Origination Year
© 2017 Fannie Mae. Trademarks of Fannie Mae. 18 Note: Defaults include loan foreclosures, short sales, sales to third parties at the time of foreclosure and deeds-in-lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in the guaranty book of business
Slide 20: Multifamily Credit Profile by Loan Attributes
Loan Count UPB ($B) % of Multifamily Guaranty Book of Business % DUS ® Loans % SeriouslyDelinquent YTD 2017 Multifamily Credit Losses ($M) 2016 Multifamily Credit Losses ($M) 2015 Multifamily Credit Losses ($M) Total Multifamily Guaranty Book of Business ($56)($4)($14)0.03%97%100%$265.428,338 Multif
Slide 21: Multifamily Credit Profile by Loan Attributes (cont.)
UPB ($B) % of Multifamily Guaranty Book of Business % DUS Loans % SeriouslyDelinquent YTD 2017 Multifamily Credit Losses ($M) 2016 Multifamily Credit Losses ($M) 2015 Multifamily Credit Losses ($M) Total Multifamily Guaranty Book of Business ($56)($4)($14)0.03%97%100%$265.4 Multifamily Credit Profil
Slide 22: Serious Delinquency Rates of Multifamily Book of Business
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% Se rio us De linq ue nc y R ate 0.09% 0.44% 0.55% 0.34% 0.15% 0.08% 0.03% 0.08% 0.03% 1.36% 0.24% 1.20% 0.30% 0.71% 0.18% 0.56% 0.21%0.24% 0.21% 0.63% 0.50% 0.10% 0.07% 0.59% 0.07% 0.06% 0.11
Slide 23: Cumulative Credit Loss Rates of Multifamily Book by Acquisition Year
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 0 20 40 60 UP B ( $B ) $19 $33 $19 $24 $22 $46 $34 $19 $17 $24 $33 $29 $29 $42 $55 $47 DUS/Non-DUS Acquisition Unpaid Principal Balance ($B) 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017