Attached files
| file | filename |
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| EX-99.1 - EXHIBIT 99.1 - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE | a20181qpressrelease.htm |
| 8-K - 8-K - FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE | a2018q18k.htm |
Fannie Mae Quarterly Financial Supplement
Q1 2018
May 3, 2018
© 2018 Fannie Mae. Trademarks of Fannie Mae.
Some of the terms and other information in this presentation are defined and discussed more fuly in Fannie Mae’s Form 10-Q for
the quarter ended March 31, 2018 (“Q1 2018 10-Q”) and Form 10-K for the year ended December 31, 2017 (“2017 Form 10-K”).
This presentation should be reviewed together with the Q1 2018 10-Q and the 2017 Form 10-K, which are available at
www.fanniemae.com in the “About Us—Investor Relations—SEC Filings” section. Information on or available through the
company's website is not part of this supplement.
Some of the information in this presentation is based upon information from third-party sources such as selers and servicers of
mortgage loans. Although we generaly consider this information reliable, we do not independently verify al reported
information.
Due to rounding, amounts reported in this presentation may not add to totals indicated (or 100%).
Unless otherwise indicated, data labeled as "YTD 2018" is as of March 31, 2018 or for the first three months of 2018. Data for
prior years is as of December 31 or for the ful year indicated.
Note references are to endnotes, appearing on pages 22 to 24.
Terms used in presentation
CAS: Connecticut Avenue Securities™
CIRT™: Credit Insurance Risk Transfer™
CRT: credit risk transfer
DTI ratio: Debt-to-income ratio
DUS : Fannie Mae’s Delegated Underwriting and Servicing program
GDP: U.S. gross domestic product
HARP : Home Afordable Refinance Program, which alows eligible Fannie Mae borrowers with high LTV ratio loans to refinance
into more sustainable loans
LTV ratio: loan-to-value ratio
MSA: metropolitan statistical area
MTMLTV ratio: mark-to-market loan-to-value ratio
OLTV ratio: origination loan-to-value ratio
Refi Plus™: our Refi Plus initiative, which ofers refinancing flexibility to eligible Fannie Mae borrowers
REO: real estate owned
TCCA: Temporary Payrol Tax Cut Continuation Act of 2011
UPB: unpaid principal balance
§
§
§
§
§
§
© 2018 Fannie Mae. Trademarks of Fannie Mae. 1
®
®
Table of Contents
Corporate Financial Highlights
Market Liquidity
Key Market Economic Indicators
Treasury Draws and Dividend Payments 7
6
5
4
Financial Overview
Single-Family Highlights
Certain Credit Characteristics of Single-Family Loan Acquisitions
Certain Credit Characteristics of Single-Family Conventional Guaranty Book of Business
Single-Family Credit Risk Transfer
Single-Family Problem Loan Statistics
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
Single-Family Cumulative Default Rates 15
14
13
12
11
10
9
Single-Family Business
Multifamily Highlights
Certain Credit Characteristics of Multifamily Acquisitions
Certain Credit Characteristics of Multifamily Guaranty Book of Business
Multifamily Serious Delinquency Rates and Credit Losses 20
19
18
17
Multifamily Business
Financial Overview Endnotes
Single-Family Business Endnotes
Multifamily Business Endnotes 24
23
22
Endnotes
© 2018 Fannie Mae. Trademarks of Fannie Mae. 2
Financial Overview
© 2018 Fannie Mae. Trademarks of Fannie Mae. 3
1Q18 4Q17 Variance
Net interest income
Fee and other income
Net revenues
Investment gains, net
Fair value gains (losses), net
Administrative expenses
Credit-related income
Benefit for credit losses
Foreclosed property expense
Total credit-related income
Temporary Payrol Tax Cut Continuation Act of 2011
(TCCA) fees
Other expenses, net
Income before federal income taxes
Provision for federal income taxes
Net Income
Other comprehensive income (loss)
Total comprehensive income $10,625
(169)
$10,794
10,358
436
208
(13)
(375)
(32)
(343)
(47)
1,236
(583)
10
(111)
$121
($6,687)
(154)
($6,533)
(11,489)
4,956
(411)
(544)
430
(130)
560
(703)
(191)
833
5,542
431
$5,111
$3,938
(323)
$4,261
(1,131)
5,392
(203)
(557)
55
(162)
217
(750)
1,045
250
5,552
320
$5,232
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
%
Ne
t In
ter
est
In
com
e
$0
$100
$200
$300
$400
$500
$600
Re
tai
ne
d M
ort
ga
ge
Po
rfo
lio
($
) B
illi
on
s
$272.4
$413.3
$345.1
$230.8 $228.3
Net interest income from retained mortgage portfolio and other activities
Net interest income from guaranty fees and other consolidated trust income
Retained mortgage portfolio at end of period
Key Highlights
Summary of Q1 2018 Financial Results Sources of Net Interest Income and Retained MortgagePortfolio Balance
Corporate Financial Highlights
© 2018 Fannie Mae. Trademarks of Fannie Mae. 4
_______________________________
_______________________________
_______________________________
_______________________________
_______________________________
_______________________________
i ome (loss)
enues
(1)
comprhensve income (loss)
§ Fannie Mae reported first quarter 2018 net income of $4.3 bilion and
comprehensive income of $3.9 bilion. This compares to a net loss of $6.5 bilion
in the fourth quarter of 2017, which was due to remeasurement of the company's
deferred tax assets resulting from enactment of tax legislation during the quarter.
Fannie Mae’s pre-tax income was $5.4 bilion for the first quarter of 2018 and
$5.0 bilion for the fourth quarter of 2017, reflecting the strength of the company’s
underlying business fundamentals.
§ Two primary factors drove the diference between net income in the first
quarter of 2018 compared to the net loss in the fourth quarter of 2017: a $9.9
bilion provision for federal income taxes in the fourth quarter of 2017 that
resulted from the enactment of the Tax Cuts and Jobs Act of 2017; and net fair
value gains of $1.0 bilion in the first quarter of 2018, primarily driven by gains on
the company’s mortgage commitment and risk management derivatives.
2014 2015 2016 2017 YTD 2018
0.0M
0.5M
1.0M
1.5M
2.0M
2.5M
3.0M
0.8M
0.6M
0.9M
0.9M
0.4M
0.2M
0.2M
0.3M
0.7M
1.0M
1.0M
1.4M
1.2M
1.2M
1.1M
Rental Units
Home Purchases (Loans)
Mortgage Refinancings (Loans)
252K
Home Purchases
232K
Refinancings
154K
Rental Units
Key Highlights:
Liquidity Provided
Fannie Mae provided $124 bilion in liquidity to the mortgage market in the first
quarter of 2018, through its purchases of loans and guarantees of loans and securities,
which enabled the financing of:
Providing Liquidity to the Mortgage Market
Market Liquidity
© 2018 Fannie Mae. Trademarks of Fannie Mae. 5
2014 2015 2016 2017 YTD 2018
0.0%
2.0%
4.0%
2.83% 3.00%
3.46%
0.90% 1.18%
1.45%
2.08%
2.58%2.17%
2.41%
2.74%
3.13%
2.45%
3.00%
2.27%
2014 2015 2016 2017 YTD 2018
0.0%
2.0%
4.0%
6.0%
4.6%4.2%
1.0%
5.7% 5.7%
2014 2015 2016 2017 YTD 2018
0.0%
2.0%
4.0%
6.0% 5.60%
4.10%
2.40% 2.30%
4.70%
2.30%
5.00%
1.50%
2.60%
4.10%
NM
MN
MO
WA
WV
MAWY
NH
ME
OH
MT ND
MS
OR
OK
NV
NE
GA
NC
NY
AR
CO
TN
UT
WI
VACA KY
TX
MI
SD
PA
LA
NJ
AL
AZ
KS
SC
FL
IN
ID
IA
IL
Benchmark Interest Rates Single-Family Home Price Growth Rate U.S. GDP Growth Rate andUnemployment Rate
One Year Home Price Change as of Q1 2018
United States 5.5%
Key Market Economic Indicators
HI
AK
State Home Price
Growth Rate
Share of Fannie
Mae Single-Family
Guaranty Book
CA
TX
FL
NY
IL
NJ
WA
VA
CO 3.0%
3.4%
3.6%
3.7%
3.7%
5.1%
5.7%
6.3%
19.5%
7.9%
3.6%
12.0%
3.8%
2.8%
5.6%
7.0%
3.8%
8.7%
Top 10 States by UPB
© 2018 Fannie Mae. Trademarks of Fannie Mae. 6
State Growth Rate
0 to 4.9%
5 to 9.9%
10% and above
(2)
(2)
(2)
(3)
10-year Treasury rate
2-year swap rate
30-year Fannie MBS par coupon rate
Change based on Fannie Mae national home price index U.S. GDP Growth Rate, annualized for most recent period
U.S. Unemployment Rate
Draws from
Treasury
Dividend payments
to Treasury
Draws from
Treasury
Dividend payments
to Treasury
Draws from
Treasury
Dividend payments
to Treasury
Draws from
Treasury
Dividend payments
to Treasury
Draws from
Treasury
Dividend payments
to Treasury
$0.0
$20.0
$40.0
$60.0
$80.0
$100.0
$120.0
$140.0
$160.0
($)
Bi
llio
ns
$144.8
$116.1
$0.0
$9.6 $12.0
$3.7
$0.0 $0.0
$166.4
$119.8
Draws from Treasury Dividend payments to Treasury
Treasury Draws and Dividend Payments
Treasury Draws and Dividend Payments: 2008 - YTD 2018
2008-2015 2016 2017 YTD 2018 Total
© 2018 Fannie Mae. Trademarks of Fannie Mae. 7
(5)
(4)
Single-Family Business
© 2018 Fannie Mae. Trademarks of Fannie Mae. 8
Private-label securities
3%
Freddie Mac
22%
Fannie Mae
42%
Ginnie Mae
33%
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018
$0
$50
$100
$150
$200
UP
B (
$)
Bil
lio
ns
0
10
20
30
40
50
Ba
sis
Po
int
s
$60
$84
$50
$66
$69
$59
$52
$53
$47
$74
47.147.1
45.4
48.0
48.7
$118 $121
$134 $128
$112
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018
$0
$1,000
$2,000
$3,000
$4,000
UP
B (
$)
Bil
lio
ns
0
10
20
30
40
50
Ba
sis
Po
int
s
$2,850 $2,870$2,823 $2,835$2,811
42.642.442.141.9 42.8
Refinance
Purchase
Average charged guaranty fee on new acquisitions, net of TCCA (bps)
Average charged guaranty fee on conventional guaranty book, net of TCCA (bps)
Average UPB outstanding of Single-Family conventional guaranty book
Key HighlightsQ1 2018 Market Share: New Single-Family Mortgage-Related Securities Issuances
§ Fannie Mae provided approximately $113 bilion in liquidity to the
single-family mortgage market in the first quarter 2018 while serving as
the largest issuer of single-family mortgage-related securities in the
secondary market. The company’s estimated market share of new
single-family mortgage-related securities issuances was 42 percent for
the first quarter of 2018.
§ The single-family guaranty book of business continued to grow in the
first quarter of 2018, while the average charged guaranty fee (net of
TCCA fees) on the single-family guaranty book as of March 31, 2018
remained relatively flat compared to year end at 42.8 basis points.
Single-Family Conventional Loan Acquisitions Conventional Guaranty Book of Business
Single-Family Highlights
Q1 2018
$4,561M
Net interest income
$1,034M
Fair value gains,
net
$242M
Investment gains,
net
$3,681M
Net income
$34M
Credit-related
income
© 2018 Fannie Mae. Trademarks of Fannie Mae. 9
(2)
(2)
(1)(1)
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Ful Year 2017 Q1 2018
Total Unpaid Principal Balance (UPB) ($B)
Total UPB excluding Refi Plus ($B)
Weighted Average Origination LTV (OLTV) Ratio
Origination LTV Ratio > 90%
Weighted Average FICO Credit Score
FICO Credit Score < 660
DTI Ratio > 45%
Fixed-rate
Condo/Co-op 9%
98%
23%
6%
743
19%
75%
$110.3
$112.2
10%
97%
10%
6%
745
18%
75%
$487.7
$501.8
10%
98%
19%
6%
743
18%
76%
$125.2
$127.9
10%
97%
8%
5%
745
20%
76%
$131.5
$134.2
10%
97%
7%
6%
745
19%
76%
$117.6
$121.2
10%
98%
7%
5%
746
15%
73%
$113.4
$118.5
Loans with
OLTV
Ratio > 90%
Loans with
FICO Credit
Score < 660
Loans with
DTI
Ratio > 45%
10%
98%
100%
7%
734
20%
76%
$25.9
$25.9
6%
100%
29%
100%
640
15%
73%
$6.0
$6.5
9%
100%
25%
5%
738
100%
95%
$20.5
$20.7
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
We
igh
ted
Av
era
ge
OL
TV
Ra
tio
0%
5%
10%
15%
20%
25%
30%
Or
igi
na
tio
n L
TV
>
90
%
74%75% 75% 75%77%
18%18%
15%16%
19%
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
Sh
are
of
Ac
qu
isi
tio
ns
20%
20%
30%
44%
26%22%
33%
56%
45%52% 53%
19%
16%
19% 19%
12% 6%
OLTV > 90%
Weighted Average OLTV Ratio
2014 2015 2016 2017 YTD 2018
0
200
400
600
800
We
igh
ted
Av
era
ge
FIC
O C
red
it S
cor
e
0%
2%
4%
6%
8%
10%
12%
14%
FIC
O C
red
it S
cor
e <
66
0
748 750744 743745
6%5% 6%
4%
7%
FICO Credit Score < 660
Weighted Average FICO Credit Score
Certain Credit Characteristics of Single-Family Conventional Loans
by Acquisition Period
YTD 2018 Acquisition
Credit Profile by
Certain Product Features
Origination
Loan-to-Value Ratio FICO Credit Score Acquisitions by Loan Purpose
Certain Credit Characteristics of Single-Family Loan Acquisitions
Refi Plus including HARP
Refinance (excluding cash-out & Refi Plus)
Cash-out refinance
Purchase
© 2018 Fannie Mae. Trademarks of Fannie Mae. 10
(3)
(3)
(3)
(3)
®
(4)
(4)
(1)
Overal
Book
2004 &
Earlier 2005-2008 2009-2015 2016 2017 2018
Total Unpaid Principal Balance (UPB) ($B)
Average Unpaid Principal Balance
Share of Single-Family Conventional Guaranty Book
Serious Delinquency Rate
Weighted Average Origination LTV Ratio
Origination LTV Ratio > 90%
Weighted Average Mark-to-Market LTV Ratio
Weighted Average FICO Credit Score
Share of Loans with Credit Enhancement
Fixed-rate 99%
33%
742
75%
18%
75%
0.00%
2%
$230,300
$63.3
98%
55%
744
72%
19%
76%
0.22%
16%
$221,340
$463.6
99%
64%
751
64%
16%
74%
0.41%
18%
$218,450
$505.0
98%
37%
752
51%
17%
75%
0.61%
55%
$161,002
$1,579.3
67%
19%
696
66%
15%
76%
6.22%
6%
$131,412
$171.2
79%
7%
701
40%
13%
74%
3.24%
3%
$68,737
$94.3
95%
43%
745
58%
17%
75%
1.16%
100%
$167,594
$2,876.7
Refi Plus
Including HARP Alt-A
Loans with
FICO Credit
Score < 660
Origination LTV
Ratio > 90%
98%
73%
732
79%
100%
101%
1.82%
17%
$175,547
$485.4
90%
32%
628
63%
24%
79%
4.91%
7%
$133,034
$198.6
70%
9%
709
63%
18%
79%
4.76%
2%
$139,999
$68.9
99%
11%
730
57%
38%
86%
0.98%
13%
$138,300
$367.1
2014 2015 2016 2017 YTD 2018
0%
10%
20%
30%
40%
50%
60%
70%
We
igh
ted
Av
era
ge
MT
ML
TV
0%
2%
4%
6%
8%
10%
%
MT
ML
TV
>
10
0%
60%
64% 62%
58% 58%
2%
3%
5%
1% 1%
2014 2015 2016 2017 YTD 2018
0
200
400
600
800
We
igh
ted
Av
era
ge
FIC
O C
red
it S
cor
e
0%
5%
10%
15%
20%
%
FIC
O C
red
it S
cor
e <
66
0
744 744 745 745 745
7%8% 8% 7%7%
Weighted Average Mark-To-Market
Loan-to-Value (MTMLTV) Ratio FICO Credit Score
2014 2015 2016 2017 YTD 2018
0.0%
2.0%
4.0%
6.0%
8.0%
Se
rio
us
De
lin
qu
en
cy
Ra
te
6.39%
1.20%
6.55%
8.39%
7.60%
1.89%
1.55% 1.24%
6.22%
3.06% 2.82%
3.24%3.26%
1.16%
3.28%
0.36% 0.36%0.35% 0.53% 0.51%
Serious Delinquency Rate by Vintage
Origination Year Certain Product Features
% FICO Credit Score < 660
Weighted Average FICO Credit Score
% MTMLTV > 100%
Weighted Average MTMLTV
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 Product Features
Total single-family conventional guaranty book of business
2004 and prior
2005-2008
2009-2018
As of March 31, 2018
© 2018 Fannie Mae. Trademarks of Fannie Mae. 11
(8)
(9)
(11)
(3)
(13) (3)
(12)
(10)
(10)
(3)
(1)
2014 2015 2016 2017 YTD 2018
$0
$500
$1,000
$1,500
UP
B (
$)
Bil
lio
ns
0%
10%
20%
30%
40%
%
Sin
gle
-Fa
mi
ly
Co
nv
en
tio
na
l G
ua
ran
ty
Bo
ok
$1,002
$250
$429
$627
$927
22%
15%
9%
32%
35%
% Single-family conventional guaranty book in a CRT transaction
UPB outstanding of loans in a CRT transaction
Single-Family Loans Included in Credit Risk Transfer
Transactions, Balance of Covered Loans
Single-Family Credit Risk Transfer
Single-Family Loans with Credit Enhancement
Single-Family Credit Risk Transfer Issuance
2016
Outstanding
UPB
Percent of
Book
Outstanding
2017
Outstanding
UPB
Percent of
Book
Outstanding
YTD 2018
Outstanding
UPB
Percent of
Book
Outstanding
Primary mortgage insurance & other
Connecticut Avenue Securities™ (CAS)
Credit Insurance Risk Transfer™ (CIRT™)
Lender risk-sharing
(Less: loans covered by multiple credit
enhancements)
Total UPB of single-family loans with credit
enhancement 33%
(8%)
1%
4%
18%
18%
$925B
($211B)
$23B
$101B
$503B
$509B
40%
(12%)
2%
6%
24%
20%
$1,158B
($335B)
$65B
$181B
$681B
$566B
43%
(12%)
3%
7%
25%
20%
$1,223B
($362B)
$78B
$193B
$731B
$583B
2013 2014 2015 2016 2017 YTD 2018
$0
$100
$200
$300
$400
UP
B (
$)
Bil
lio
ns
$240
$222
$265
$102
$189
$40
$44
$76$27
$71
$17
$32
$233 $239
$331
$410
$103
Lender risk-sharing Connecticut Avenue Securities Credit Insurance Risk Transfer
Credit Enhancement
© 2018 Fannie Mae. Trademarks of Fannie Mae. 12
___________________________________________________________________________________________
___________________________________________________________________________________________
(7)
(6)
(5)
(6)
(7)
NM NM
MN MN
MO MO
WA WA
WV WV
MA MAWY WY
NH NH
ME ME
OH OH
MT MTND ND
MS MS
OR OR
OK OK
NV NV
NE NE
GA GA
NC NC
NY NY
AR AR
TN TN
CO COUT UT
WI WI
VA VACA CAKY KY
TX TX
MI MI
SD SD
PA PA
LA LA
NJ NJ
AL AL
AZ AZ
KS KS
FL FL
SC SC
IN IN
ID ID
IA IA
IL IL
Less than 0.50% 0.50% to 0.99% 1.00% to 1.99% 2.00% to 2.99% 3.00% and Above
2014 2015 2016 2017 YTD 2018
$0
$10
$20
$30
$40
UP
B (
$)
Bil
lio
ns
0
50
100
150
200
(N
um
be
r o
f L
oa
n W
ork
ou
ts)
Th
ou
san
ds
$16.6 $14.6$14.4
$21.7
$6.6
$4.2
$3.9
$2.1$3.1
26.0K
103.5K 100.6K
122.3K
164.6K
$28.3
$20.7
$17.5 $16.7
$4.2
2014 2015 2016 2017 YTD 2018
0K
20K
40K
60K
80K
100K
RE
O E
nd
ing
In
ven
tor
y
87K
57K
38K
26K 24K
Single-Family Problem Loan Statistics
Single-Family Serious Delinquency Rate by State as of March 31, 2018
Single-Family Loan Workouts REO Ending Inventory
REO Ending Inventory
AK AK
PR
HI HI
PR PR
VI VI
State
Serious
Delinquency
Rate
Average
Months to
Foreclosure
CA
TX
FL
NY
IL
NJ
WA
VA
CO
PA 25
22
16
36
60
24
68
51
24
21
1.30%
0.25%
0.62%
0.46%
1.91%
1.15%
1.87%
3.56%
1.34%
0.39%
Top 10 States by UPB
Foreclosure Alternatives
Home Retention Solutions
Total Loan Workouts
© 2018 Fannie Mae. Trademarks of Fannie Mae. 13
(15)
(16)
(10)
(14)
2014 2015 2016 2017 YTD 2018 2014 2015 2016 2017 YTD 2018
Alt-A
Interest Only
Origination LTV Ratio > 90%
FICO Credit Score < 660 and Origination LTV Ratio > 90%
FICO Credit Score < 660
Refi Plus including HARP 12.8%
6.9%
1.6%
16.9%
1.1%
2.4%
13.2%
7.0%
1.7%
16.7%
1.2%
2.5%
15.4%
7.3%
1.8%
16.4%
1.7%
3.1%
17.6%
7.8%
2.0%
16.3%
2.1%
3.7%
19.1%
8.0%
2.0%
15.9%
2.5%
4.2%
16.3%
37.2%
9.9%
23.3%
11.9%
21.6%
15.9%
33.0%
9.0%
23.9%
15.7%
21.9%
14.0%
35.8%
8.8%
21.9%
12.2%
24.9%
7.8%
29.7%
6.5%
16.4%
18.0%
29.3%
10.4%
29.7%
6.6%
15.3%
10.2%
17.4%
2014 2015 2016 2017 YTD 2018 2014 2015 2016 2017 YTD 2018
2009 - YTD 2018
2005 – 2008
2004 & Prior 3.3%
6.0%
90.8%
3.5%
6.2%
90.3%
4.5%
8.1%
87.4%
5.8%
10.1%
84.1%
7.3%
12.2%
80.5%
16.7%
59.7%
23.6%
12.2%
64.8%
23.1%
16.4%
64.7%
19.0%
12.1%
77.6%
10.3%
12.0%
74.7%
13.3%
3.0%
78.9%
3.7%
3.7%
5.7%
5.1%
51.8%
11.2%
11.7%
11.7%
5.4%
8.1%
Al Other States
Florida
Ilinois
New Jersey
New York
Pennsylvania
Al Other States
Florida
Ilinois
New Jersey
New York
Pennsylvania
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
% of Single-Family Conventional Guaranty Book of Business % of Single-Family Credit Losses
% of Single-Family Conventional Guaranty Book of Business
by State as of March 31, 2018 % of Q1 2018 Single-Family Credit Losses by State
© 2018 Fannie Mae. Trademarks of Fannie Mae. 14
100%
$2.9T
100%
$0.5B
(17) (18)
(9)
Certain Product Features
Vintage
(3)
(3)
Yr
1-Q
1
Yr
1-Q
2
Yr
1-Q
3
Yr
1-Q
4
Yr
2-Q
1
Yr
2-Q
2
Yr
2-Q
3
Yr
2-Q
4
Yr
3-Q
1
Yr
3-Q
2
Yr
3-Q
3
Yr
3-Q
4
Yr
4-Q
1
Yr
4-Q
2
Yr
4-Q
3
Yr
4-Q
4
Yr
5-Q
1
Yr
5-Q
2
Yr
5-Q
3
Yr
5-Q
4
Yr
6-Q
1
Yr
6-Q
2
Yr
6-Q
3
Yr
6-Q
4
Yr
7-Q
1
Yr
7-Q
2
Yr
7-Q
3
Yr
7-Q
4
Yr
8-Q
1
Yr
8-Q
2
Yr
8-Q
3
Yr
8-Q
4
Yr
9-Q
1
Yr
9-Q
2
Yr
9-Q
3
Yr
9-Q
4
Yr
10
-Q
1
Yr
10
-Q
2
Yr
10
-Q
3
Yr
10
-Q
4
Yr
11-
Q1
Yr
11-
Q2
Yr
11-
Q3
Yr
11-
Q4
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Cu
mu
lat
ive
De
fau
lt R
ate
2007
2008
2002
2009
20102011201220132014201520162017
2006
2005
2004
2003
2018
Single-Family Cumulative Default Rates
Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012*
2013*
2014*
2015*
2016*
2017*
2018*
Time Since Beginning of Origination Year
© 2018 Fannie Mae. Trademarks of Fannie Mae. 15
* As of March 31, 2018, cumulative default rates on the loans originated from 2012-2018 was less than 1.0%
(19)
Multifamily Business
© 2018 Fannie Mae. Trademarks of Fannie Mae. 16
Multifamily Highlights
Q1 2018 Acquisitions Guaranty Book of Business
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018
$0.0
$5.0
$10.0
$15.0
$20.0
UP
B (
$)
Bil
lio
ns
$20.3
$16.2
$12.3
$17.4
$11.3
$17.4
$13.2
$16.2
$20.3
$11.3
Multifamily Guaranty Fee and
Credit Loss (Benefit) Ratio
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018
$0
$100
$200
$300
$400
UP
B (
$)
Bil
lio
ns
0%
20%
40%
60%
80%
100%
Sh
are
of
M
ult
ifa
mi
ly
Gu
ara
nty
Bo
ok
wi
th
Le
nd
er
Ris
k S
ha
rin
g$265.4$253.3 $257.2
$281.3$277.3
96%96% 97%95%95%
Share of guaranty book with lender risk-sharing
UPB outstanding of Multifamily guaranty book of business
Key Highlights
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018
0
20
40
60
80
100
Ba
sis
Po
int
s
76.7 77.9 79.8 78.7 78.9
0.0 0.3 (2.4) (0.8) 0.6
Annualized credit loss (benefit) ratio
Average guaranty fee at end of period (bps)
§ New multifamily business volume was $11.3 bilion in the first quarter
of 2018, a decrease from $20.3 bilion in the fourth quarter of 2017.
Approximately 38 percent of Fannie Mae’s first quarter 2018
multifamily new business volume counted toward FHFA’s 2018
multifamily volume cap.
§ Fannie Mae supported 154,000 units of multifamily housing in the
first quarter of 2018. More than 90 percent of the units the company
financed were afordable to families earning at or below 120 percent of
the area median income, providing support for both afordable and
workforce housing.
§ The multifamily guaranty book of business continued to grow in the
first quarter of 2018, while the average charged guaranty fee on the
multifamily guaranty book remained relatively flat compared to year
end at 78.9 basis points as of March 31, 2018.
Other rental business volume Multifamily new business volume
$671M
Net interest income
$162M
Fee and other
income
$21M
Credit-related
income
$11M
Fair value gains
$580M
Net income
© 2018 Fannie Mae. Trademarks of Fannie Mae. 17
(1)
(2)
Certain Credit Characteristics of Multifamily Acquisitions
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
Sh
are
of
Ac
qu
isi
tio
ns
48% 48% 50%
49%
58%
43%
57%
41%
51% 51%
% Origination LTV less than or equal to 70%
% Origination LTV greater than 70% and less than or equal to 80%
% Origination LTV greater than 80%
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
Sh
are
of
Ac
qu
isi
tio
ns
80%
20%
84%
28% 23%
79% 72% 77%
16%21%
$0.6B
$0.6B
$0.6B
$0.4B
$0.2B
$0.2B
$0.2B
$0.5B
$0.5B
$1.0B
Variable Rate
Fixed Rate
2014 2015 2016 2017 YTD 2018
Total Unpaid Principal Balance (UPB) ($B)
Weighted Average Origination LTV Ratio
Loan Count
% Lender Recourse
% DUS™ 100%
100%
811
66%
$11.3
98%
100%
3,861
67%
$67.1
99%
99%
3,335
68%
$55.3
99%
99%
2,869
68%
$42.4
99%
99%
2,361
68%
$28.9
Certain Credit Chacteristics of Multifamily Loans by Acquisition Period
Origination Loan-to-Value Ratio Acquisitions by Note TypeTop 10 MSAs by YTD 2018Acquisition UPB
Atlanta
Dalas
Denver
Houston
Los Angeles
New York
Orlando
Portland
San Francisco
Washington, DC
© 2018 Fannie Mae. Trademarks of Fannie Mae. 18
(3)
(4)
Share of
Acquistions: 43.1%
Total UPB: $4.9B
Certain Credit Characteristics of Multifamily Guaranty Book of Business
2014 2015 2016 2017 YTD 2018
0%
20%
40%
60%
80%
100%
Sh
are
of
M
ult
ifa
mi
ly
Bo
ok
of
Bu
sin
ess
80% 80%
20% 20%
82% 82%
18% 18%
81%
19%
$20.2B
$25.2B
$13.5B
$12.1B
$8.8B
$8.3B
$8.3B
$6.4B
$6.3B
$7.9B
Atlanta
Chicago
Dalas
Houston
Los Angeles
Miami
New York
San Francisco
Seattle
Washington, DC
Overal Book
2004 &
Eariler 2005 - 2008 2009 - 2015 2016 2017 2018
Total Unpaid Principal Balance (UPB) ($B)
Average Unpaid Principal Balance ($M)
Weighted Average Origination LTV Ratio
% Fixed-rate
Loan Count
% of Book
% of Smal Balance Loans
% Lender Recourse
% DUS
Serious Delinquency Rate
100%
100%
22%
4%
813
84%
66%
$13.9
$11.3
0.04%
97%
100%
18%
24%
3,837
80%
67%
$17.4
$66.6
0.17%
99%
100%
18%
19%
3,175
79%
68%
$16.6
$52.7
0.16%
98%
96%
38%
47%
13,998
90%
66%
$9.5
$132.3
0.36%
87%
76%
85%
4%
4,725
54%
64%
$2.5
$11.8
0.01%
96%
95%
69%
2%
1,490
21%
71%
$4.4
$6.5
0.13%
97%
97%
42%
100%
28,038
82%
67%
$10.0
$281.3
Conventional
/ Co-op Senior Student Manufactured
100%
99%
28%
4%
926
87%
67%
$10.7
$9.9
0.11%
100%
99%
15%
4%
563
79%
67%
$18.2
$10.3
0.10%
98%
100%
2%
5%
705
62%
67%
$21.4
$15.1
0.14%
97%
96%
44%
87%
25,844
84%
67%
$9.5
$246.1
Certain Credit Characteristics of Multifamily Book of Business by Acquisition Year, Asset Class, or Targeted Afordable Segment
UPB by Maturity Year Multifamily Book of Businessby Note TypeTop 10 MSAs by UPB
$3.1B
$215.3B
$22.4B
$16.0B
$12.6B$11.9B
2018
2019
2020
2021
2022
Other
Variable Rate
Fixed Rate
Acquisition Year Asset Class or Targeted Afordable Segment
Privately Owned
with Subsidy
0.23%
95%
95%
41%
12%
3,842
66%
70%
$8.7
$33.5
© 2018 Fannie Mae. Trademarks of Fannie Mae. 19
(3)
(8)
(4)
(7)
As of March 31, 2018
Share of Book
of Business: 100%
Total UPB: $281.3B
Share of Book
of Business: 41.6%
Total UPB: $117.0B
(5) (5) (5) (5) (6)
(1)
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018
0.0%
0.5%
1.0%
1.5%
2.0%
Cr
ed
it L
oss
Ra
te
0.0%
0.2%
0.1% 0.0%
0.4%0.3%
0.0%
0.4%
0.5%
0.9%
0.2%
0.7%
0.9%
1.2%
1.1%
0.8%
0.9%
1.4%
0.3%0.3%
0.1% 0.1%0.0%0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
DUS Credit Loss Rate Total Credit Loss Rate Non-DUS Credit Loss Rate
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
Se
rio
us
De
lin
qu
en
cy
Ra
te
0.55%
0.34%
0.15%
0.05%
0.56%
0.11%
1.36%
0.44%
1.20%
0.24%
0.71%
0.21% 0.21%
0.18%
0.24%
0.63%
0.13%
0.50%
0.10%
0.59%
0.09%0.08% 0.08%
0.07%
0.07%
0.05%
0.39%
0.92%
DUS Serious Delinquency Rate
Multifamily Total Serious Delinquency Rate
Non-DUS Serious Delinquency Rate
DUS/Non-DUS Cumulative Credit Loss Rates by Acquisition Year Through YTD 2018
Serious Delinquency Rates
2013 2014 2015 2016 2017 YTD 2018
-2.0
-1.0
0.0
1.0
2.0
3.0
Ba
sis
Po
int
s
(0.7)
(0.2)
2.5
0.6
(2.7)
(2.3)
Credit Loss (Benefit) Ratio
Multifamily Serious Delinquency Rates and Credit Losses
© 2018 Fannie Mae. Trademarks of Fannie Mae. 20
(4) (9)
(4) (8) (2) (10)
Endnotes
© 2018 Fannie Mae. Trademarks of Fannie Mae. 21
Financial Overview Endnotes
Guaranty fee income includes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the Temporary Payrol Tax Cut Continuation Act of
2011, the incremental revenue from which is remitted to Treasury and not retained by the company.
Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of March 2018. UPB estimates
are based on data available through the end of March 2018. Including subsequent data may lead to materialy diferent results. Home price change is not seasonaly
adjusted.
Source: Bureau of Economic Analysis. GDP growth rate is calculated using the quarterly annualized growth rate for the most recent period and the annual growth rate for
prior periods.
Under the terms of the senior preferred stock purchase agreement, dividend payments we make to Treasury do not ofset our prior draws of funds from Treasury, and we
are not permitted to pay down draws we have made under the agreement except in limited circumstances.
Treasury draws are shown in the period for which requested, not when the funds were received by us. Draw requests have been funded in the quarter folowing a net
worth deficit.
(1)
(2)
(3)
(4)
(5)
© 2018 Fannie Mae. Trademarks of Fannie Mae. 22
Single-Family Business Endnotes
Single-family conventional population consists of: (a) single-family mortgage loans of Fannie Mae; (b) single-family mortgage loans underlying Fannie Mae MBS; and (c) other
credit enhancements that we provide on single-family mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae single-family mortgage-related
securities held in our retained mortgage portfolio for which we do not provide a guaranty. Refers to mortgage loans and mortgage-related securities that are not guaranteed or
insured, in whole or in part, by the U.S. government or one of its agencies.
Calculated based on the average guaranty fee rate for our single-family guaranty arrangements during the period plus the recognition of any upfront cash payments over an
estimated average life. Excludes the impact of a 10 basis point guaranty fee increase implemented in 2012 pursuant to the TCCA, the incremental revenue from which is remitted to
Treasury and not retained by us.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
Population excludes HARP and other Refi Plus loans acquired under our Refi Plus™ initiative.
Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, colateral, letters of credit, corporate guarantees, or other agreements
to provide an entity with some assurance that it wil be compensated to some degree in the event of a financial loss. Excludes loans covered by credit risk transfer transactions
unless such loans are also covered by primary mortgage insurance.
Outstanding unpaid principal balance represents the underlying loan balance, which is diferent from the reference pool balance for CAS and some lender risk-sharing transactions.
Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $7 bilion at issuance and approximately $4 bilion outstanding as
of March 31, 2018.
Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in our single-family
conventional guaranty book of business. Loans with multiple product features are included in al applicable categories.
For a description of our Alt-A loan classification criteria, refer to Fannie Mae’s 2017 Form 10-K. We discontinued the purchase of newly originated Alt-A loans in 2009, except for
those that represent the refinancing of a loan we acquired prior to 2009, which has resulted in our acquisitions of Alt-A mortgage loans remaining low and the percentage of the
book of business attributable to Alt-A to continue to decrease over time.
“Serious delinquency rate" refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process in the applicable origination year, product
feature, or state, divided by the number of loans in our single-family conventional guaranty book of business in that origination year, product feature, or state.
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, which we calculate
using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available.
Percentage of loans in our single-family conventional guaranty book of business, measured by unpaid principal balance, included in an agreement used to reduce credit risk by
requiring colateral, letters of credit, mortgage insurance, corporate guarantees, inclusion in a credit risk transfer transaction reference pool, or other agreement that provides for
our compensation to some degree in the event of a financial loss relating to the loan. Because we include loans in reference pools for our Connecticut Avenue Securities™ and Credit
Insurance Risk Transfer™ credit risk transfer transactions on a lagged basis (typicaly about six months to one year after we initialy acquire the loans), we expect the percentage of
our 2017 and 2018 single-family loan acquisitions with credit enhancement wil increase in the future.
The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each period divided by the estimated value of the property as
of the end of the period.
Measured from the borrowers’ last paid instalment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed during the first
three months of 2018. Home Equity Conversion Mortgages insured by the Department of Housing and Urban Development are excluded from this calculation.
Consists of (a) short sales, in which the borrower, working with the servicer and Fannie Mae, sels the home prior to foreclosure for less than the amount owed to pay of the loan,
accrued interest and other expenses from the sale proceeds and (b) deeds-in-lieu of foreclosure, which involve the borrower’s voluntarily signing over title to the property.
Consists of (a) modifications, which do not include trial modifications, loans to certain borrowers 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; (b) repayment plans, reflects only those plans associated with loans that were 60
days or more delinquent; and (c) forbearances, not including forbearances associated with loans that were less than 90 days delinquent when entered.
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of period end.
Credit losses consist of (a) charge-ofs net of recoveries and (b) foreclosed property expense (income). Percentages exclude the impact of recoveries that have not been alocated to
specific loans.
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 originated in the identified year that have defaulted, divided by the total number of single-family conventional
loans in the guaranty book of business originated in the identified year. Data as of March 31, 2018 is not necessarily indicative of the ultimate performance of the loans and
performance is likely to change, perhaps materialy, in future periods.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
(18)
(19)
© 2018 Fannie Mae. Trademarks of Fannie Mae. 23
Multifamily Business Endnotes
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 Mae multifamily mortgage-related securities held in our retained
mortgage portfolio for which we do not provide a guaranty. The information presented excludes loans for which our loan level information is incomplete, which
comprised less than 1% of our multifamily guaranty book of business as of March 31, 2018.
Credit loss (benefit) ratio represents the credit loss or benefit for the period divided by the average unpaid principal balance of the multifamily guaranty book of
business for the period. Credit benefits are the result of recoveries on previously charged-of amounts.
Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance.
Under the Delegated Underwriting and Servicing, or DUS, program, Fannie Mae acquires individual, newly originated mortgages from specialy approved DUS lenders
using DUS underwriting standards and/or DUS loan documents. Because DUS lenders generaly share the risk of loss with Fannie Mae, they are able to originate,
underwrite, close and service most loans without our pre-review.
See https://www.fanniemae.com/multifamily/products for definitions. Loans with multiple product features are included in al applicable categories.
The Multifamily Afordable Business Channel focuses on financing properties that are under an agreement that provides long-term afordability, such as properties with
rent subsidies or income restrictions.
Multifamily loans with an original unpaid balance of up to $3 milion nationwide or up to $5 milion in high cost markets.
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
Cumulative credit loss rate is the cumulative credit losses (gains) through March 31, 2018 on the multifamily loans that were acquired in the applicable period, as a
percentage of the total acquired unpaid principal balance of multifamily loans in the applicable period.
Credit loss (benefit) ratio is annualized for the most recent period.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
© 2018 Fannie Mae. Trademarks of Fannie Mae. 24