UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): February 14, 2018
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
Federally chartered corporation | 000-50231 | 52-0883107 | ||
(State or other jurisdiction of incorporation) | (Commission File Number) | (IRS Employer Identification Number) | ||
3900 Wisconsin Avenue, NW Washington, DC | 20016 | |||
(Address of principal executive offices) | (Zip Code) | |||
Registrant’s telephone number, including area code: (800) 2FANNIE (800-232-6643)
(Former name or former address, if changed since last report): ______________
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):
¨ | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |
¨ | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |
¨ | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
¨ | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§203.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ¨ | |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
The information in this report, including information in the exhibits submitted with this report, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to Fannie Mae (formally known as the Federal National Mortgage Association), except to the extent, if any, expressly incorporated by specific reference in that document.
Item 2.02 Results of Operations and Financial Condition.
On February 14, 2018, Fannie Mae filed its annual report on Form 10-K for the year ended December 31, 2017 and issued a news release reporting its financial results for the periods covered by the Form 10-K. The news release, a copy of which is furnished as Exhibit 99.1 to this report, is incorporated herein by reference. A copy of the news release may also be found on Fannie Mae’s website, www.fanniemae.com, in the “About Us” section under “Investor Relations/Quarterly and Annual Results.” Information appearing on the company’s website is not incorporated into this report.
Item 7.01 Regulation FD Disclosure.
On February 14, 2018, Fannie Mae posted to its website a 2017 Credit Supplement presentation consisting primarily of information about Fannie Mae’s guaranty book of business. The presentation, a copy of which is furnished as Exhibit 99.2 to this report, is incorporated herein by reference. A copy of the presentation may also be found on Fannie Mae’s website, www.fanniemae.com, in the “About Us” section under “Investor Relations/Quarterly and Annual Results.”
Item 9.01 Financial Statements and Exhibits.
(d) Exhibits. The following exhibits are being submitted with this report:
Exhibit Number | Description of Exhibit | |
99.1 | ||
99.2 | ||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
FEDERAL NATIONAL MORTGAGE ASSOCIATION | ||
By | /s/ David C. Benson | |
David C. Benson | ||
Executive Vice President and Chief Financial Officer | ||
Date: February 14, 2018
Resource Center: 1-800-732-6643
Exhibit 99.1
Contact: Pete Bakel
202-752-2034
Date: February 14, 2018
Fannie Mae Reports Net Income of $2.5 Billion and
Comprehensive Income of $2.3 Billion for 2017
Fannie Mae Reports Net Loss of $6.5 Billion and
Comprehensive Loss of $6.7 Billion for Fourth Quarter 2017
Fannie Mae Reports Pre-Tax Income of $18.4 Billion for 2017 and
Pre-Tax Income of $5.0 Billion for Fourth Quarter 2017
Full Year and Fourth Quarter 2017 Results | “Our 2017 results demonstrate that the fundamentals of our business are strong. While the fourth quarter was affected by a one-time accounting charge, we expect to benefit from a lower tax rate going forward. “As we mark 80 years of serving America’s housing market, our focus is on building a strong, stable housing finance system for the future. We are doing this by delivering innovative solutions for our customers and demonstrating leadership on our country’s most persistent housing challenges. “We are in a strong position to serve the changing needs of homeowners and renters, and to advance our vision to be America’s most valued housing partner.” Timothy J. Mayopoulos, President and Chief Executive Officer | |
• Fannie Mae reported 2017 net income of $2.5 billion, compared with net income of $12.3 billion in 2016. Fannie Mae’s annual pre-tax income for 2017 was $18.4 billion, compared with $18.3 billion in 2016, reflecting the strength of the company’s underlying business fundamentals. | ||
• Fannie Mae reported a fourth quarter 2017 net loss of $6.5 billion, compared with net income of $3.0 billion in the third quarter. | ||
• The primary driver of changes in the company’s net income for full year 2017 and the fourth quarter of 2017 was a $9.9 billion provision for federal income taxes in the fourth quarter resulting from the remeasurement of the company's deferred tax assets due to the Tax Cuts and Jobs Act (Tax Act). As a result, Fannie Mae reported a net worth deficit of $3.7 billion as of December 31, 2017. To eliminate the company’s net worth deficit, the company expects the Director of the Federal Housing Finance Agency (FHFA) will submit a request to Treasury on the company’s behalf for $3.7 billion. | ||
Business Highlights | ||
• In December 2017, FHFA entered into an agreement with Treasury on Fannie Mae’s behalf that modified the dividend provisions of the senior preferred stock. The agreement increased the applicable capital reserve amount to $3.0 billion, effective January 1, 2018, and reduced the dividend amount otherwise payable for the fourth quarter of 2017 by $2.4 billion. | ||
• Fannie Mae provided approximately $570 billion in liquidity to the mortgage market in 2017 and was the largest issuer of single-family mortgage-related securities in the secondary market in the fourth quarter and full year of 2017. The company’s estimated market share of new single-family mortgage-related securities issuances was 39 percent for full year 2017 and 37 percent for the fourth quarter of 2017. | ||
• Fannie Mae provided more than $67 billion in multifamily and other rental financing and supported 770,000 units of multifamily housing in 2017, the highest multifamily rental volume in the history of its Delegated Underwriting and Servicing (DUS®) program. | ||
• Fannie Mae has transferred a portion of the credit risk on single-family mortgages with an unpaid principal balance of more than $1.2 trillion since 2013, measured at the time of the transactions, including more than $390 billion in 2017. As of December 31, 2017, $922 billion in single-family mortgages or approximately 32 percent of the loans in the company’s single-family conventional guaranty book of business, measured by unpaid principal balance, were covered by a credit risk transfer transaction. | ||
Full Year 2017 Results | 1 | |
WASHINGTON, DC — Fannie Mae (FNMA/OTC) reported annual net income of $2.5 billion (after-tax), annual pre-tax income of $18.4 billion, and annual comprehensive income of $2.3 billion in 2017. For the fourth quarter of 2017, Fannie Mae reported a net loss of $6.5 billion (after-tax), pre-tax income of $5.0 billion, and a comprehensive loss of $6.7 billion resulting from the remeasurement of the company’s deferred tax assets due to the enactment of the Tax Act. The company reported a net worth deficit of $3.7 billion as of December 31, 2017. To eliminate the company’s net worth deficit, the company expects the Director of the Federal Housing Finance Agency (FHFA) will submit a request to Treasury on the company’s behalf for $3.7 billion.
SUMMARY OF FANNIE MAE’S FINANCIAL PERFORMANCE
Fannie Mae’s pre-tax income was $18.4 billion in 2017, compared with $18.3 billion in 2016, reflecting the strength of the company’s underlying business fundamentals.
The company’s net revenues, which consist of net interest income and fee and other income, were higher in 2017 compared with 2016.
• | Net interest income decreased slightly in 2017 compared with 2016. Net interest income was derived primarily from guaranty fees from the company’s $3.2 trillion guaranty book of business. Fannie Mae receives guaranty fees as compensation for managing the credit risk on loans underlying Fannie Mae MBS held by third parties. |
• | Fee and other income increased in 2017 compared with 2016 primarily as a result of a settlement agreement resolving legal claims related to private-label mortgage-related securities the company purchased prior to entering conservatorship in 2008. |
The decrease in Fannie Mae’s net income and comprehensive income in 2017 was driven primarily by a $9.9 billion provision for federal income taxes resulting from the enactment of the Tax Act. This one-time charge was due to the remeasurement of the company’s deferred tax assets using the lower corporate tax rate enacted in the fourth quarter of 2017 with an effective date of January 1, 2018. Fannie Mae expects its future net income will benefit from the lower federal corporate income tax rate. The company expects its effective tax rate to be approximately 20 percent in 2018.
Full Year 2017 Results | 2 | |
Summary of Financial Results |
(Dollars in millions) | 4Q17 | 3Q17 | Variance | 2017 | 2016 | Variance | ||||||||||||||||||
Net interest income | $ | 5,111 | $ | 5,274 | $ | (163 | ) | $ | 20,733 | $ | 21,295 | $ | (562 | ) | ||||||||||
Fee and other income | 431 | 1,194 | (763 | ) | 2,227 | 966 | 1,261 | |||||||||||||||||
Net revenues | 5,542 | 6,468 | (926 | ) | 22,960 | 22,261 | 699 | |||||||||||||||||
Investment gains, net | 833 | 313 | 520 | 1,522 | 1,256 | 266 | ||||||||||||||||||
Fair value losses, net | (191 | ) | (289 | ) | 98 | (1,211 | ) | (1,081 | ) | (130 | ) | |||||||||||||
Administrative expenses | (703 | ) | (664 | ) | (39 | ) | (2,737 | ) | (2,741 | ) | 4 | |||||||||||||
Credit-related income (expense) | ||||||||||||||||||||||||
Benefit (provision) for credit losses | 560 | (182 | ) | 742 | 2,041 | 2,155 | (114 | ) | ||||||||||||||||
Foreclosed property expense | (130 | ) | (140 | ) | 10 | (521 | ) | (644 | ) | 123 | ||||||||||||||
Total credit-related income (expense) | 430 | (322 | ) | 752 | 1,520 | 1,511 | 9 | |||||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) fees | (544 | ) | (531 | ) | (13 | ) | (2,096 | ) | (1,845 | ) | (251 | ) | ||||||||||||
Other expenses, net | (411 | ) | (427 | ) | 16 | (1,511 | ) | (1,028 | ) | (483 | ) | |||||||||||||
Income before federal income taxes | 4,956 | 4,548 | 408 | 18,447 | 18,333 | 114 | ||||||||||||||||||
Provision for federal income taxes | (11,489 | ) | (1,525 | ) | (9,964 | ) | (15,984 | ) | (6,020 | ) | (9,964 | ) | ||||||||||||
Net income (loss) | $ | (6,533 | ) | $ | 3,023 | $ | (9,556 | ) | $ | 2,463 | $ | 12,313 | $ | (9,850 | ) | |||||||||
Total comprehensive income (loss) | $ | (6,687 | ) | $ | 3,048 | $ | (9,735 | ) | $ | 2,257 | $ | 11,665 | $ | (9,408 | ) | |||||||||
Net revenues, which consist of net interest income and fee and other income, were $5.5 billion for the fourth quarter of 2017, compared with $6.5 billion for the third quarter of 2017. For the year, net revenues were $23.0 billion, compared with $22.3 billion in 2016.
Net interest income was $5.1 billion for the fourth quarter of 2017, compared with $5.3 billion for the third quarter of 2017. For 2017, net interest income was $20.7 billion, compared with $21.3 billion for 2016. The decrease in net interest income for the fourth quarter and the year was due primarily to lower net interest income from the company’s retained mortgage portfolio.
More than 75 percent of Fannie Mae’s 2017 net interest income was derived from the loans underlying Fannie Mae MBS in consolidated trusts, which primarily generate income through guaranty fees. As shown in the chart below, in recent years, an increasing portion of Fannie Mae’s net interest income has been derived from guaranty fees, rather than from the company’s retained mortgage portfolio assets. This shift has been driven by both the guaranty fee increases the company implemented in 2012 and the reduction of its retained mortgage portfolio.
Full Year 2017 Results | 3 | |
__________
(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. |
Fee and other income was $431 million for the fourth quarter of 2017, compared with $1.2 billion for the third quarter of 2017. Fee and other income for the fourth quarter of 2017 was lower due primarily to a settlement agreement in the third quarter of 2017 that resolved legal claims relating to private-label mortgage-related securities the company purchased prior to entering conservatorship in 2008. For the year, fee and other income was $2.2 billion, compared with $1.0 billion for 2016. The increase in fee and other income for the year was driven primarily by the settlement agreement described above.
Net fair value losses were $191 million in the fourth quarter of 2017, compared with $289 million in the third quarter of 2017. Net fair value losses in the fourth quarter of 2017 were due primarily to the impact of increases in short-term interest rates on both the value of the company’s risk management derivatives, and its commitments to sell mortgage-related securities. For the year, net fair value losses were $1.2 billion, compared with $1.1 billion in 2016. The company recognized total risk management derivatives fair value losses for 2017 primarily as a result of interest expense accruals on interest rate swaps. These losses were partially offset by an increase in the fair value of the company’s interest rate swaps in 2017 due to movements in swap rates during the year. The estimated fair value of the company’s derivatives, trading securities, and other financial instruments carried at fair value may fluctuate substantially from period to period because of changes in interest rates, the yield curve, mortgage and credit spreads, implied volatility, and activity related to these financial instruments.
Full Year 2017 Results | 4 | |
Credit-related income (expense) consists of a benefit or provision for credit losses and foreclosed property expense. Credit-related income was $430 million in the fourth quarter of 2017, compared with credit-related expense of $322 million in the third quarter of 2017. Credit-related income in the fourth quarter was due to a benefit for credit losses driven primarily by an increase in actual and forecasted home prices and the redesignation of mortgage loans from held-for-investment to held-for-sale during the quarter. The shift to credit-related income in the fourth quarter reflected the impact of the recent hurricanes, which resulted in credit-related expense in the third quarter of 2017. Credit-related income was $1.5 billion in both 2017 and 2016. Credit-related income in 2017 was due to a benefit for credit losses driven primarily by an increase in actual and forecasted home prices and the redesignations of loans from held-for-investment to held-for-sale during the year, partially offset by the impact of estimated incurred losses from Hurricanes Harvey, Irma, and Maria in 2017.
Full Year 2017 Results | 5 | |
PROVIDING LIQUIDITY AND SUPPORT TO THE MARKET
Liquidity
Fannie Mae provided approximately $570 billion in liquidity to the mortgage market in 2017, including approximately $148 billion in liquidity in the fourth quarter of 2017, through its purchases and guarantees of loans, which resulted in:
• | Approximately 1.2 million home purchases in 2017, including approximately 293,000 in the fourth quarter of 2017 |
• | Approximately 1 million mortgage refinancings in 2017, including approximately 246,000 in the fourth quarter of 2017 |
• | Approximately 770,000 units of multifamily housing in 2017, including approximately 217,000 in the fourth quarter of 2017 |
Full Year 2017 Results | 6 | |
SUMMARY OF FOURTH QUARTER AND FULL YEAR 2017 BUSINESS SEGMENT RESULTS
Fannie Mae’s two reportable business segments—Single-Family and Multifamily—engage in complementary business activities in pursuing Fannie Mae’s vision to be America’s most valued housing partner and to provide liquidity, access to credit, and affordability in all U.S. housing markets at all times, while effectively managing and reducing risk to Fannie Mae’s business, taxpayers, and the housing finance system. Fannie Mae is advancing this vision by pursuing four strategic objectives: advancing a sustainable and reliable business model that reduces risk to the housing finance system and taxpayers; providing great service to its customers and partners, enabling them to serve the needs of American households more effectively; supporting and sustainably increasing access to credit and affordable housing; and building a simple, efficient, innovative, and continuously improving company.
Business Segments |
Single-Family Business
(Dollars in millions) | 4Q17 | 3Q17 | Variance | 2017 | 2016 | Variance | ||||||||||||||||||
Single-Family Segment: | ||||||||||||||||||||||||
Net interest income | $ | 4,463 | $ | 4,627 | $ | (164 | ) | $ | 18,212 | $ | 19,010 | $ | (798 | ) | ||||||||||
Fee and other income | 186 | 1,005 | (819 | ) | 1,378 | 521 | 857 | |||||||||||||||||
Net revenues | 4,649 | 5,632 | (983 | ) | 19,590 | 19,531 | 59 | |||||||||||||||||
Credit-related income (expense) | 437 | (294 | ) | 731 | 1,550 | 1,439 | 111 | |||||||||||||||||
Investment gains, net | 795 | 286 | 509 | 1,352 | 944 | 408 | ||||||||||||||||||
Fair value losses, net | (191 | ) | (300 | ) | 109 | (1,188 | ) | (1,040 | ) | (148 | ) | |||||||||||||
Administrative expenses | (610 | ) | (580 | ) | (30 | ) | (2,391 | ) | (2,418 | ) | 27 | |||||||||||||
TCCA fees | (544 | ) | (531 | ) | (13 | ) | (2,096 | ) | (1,845 | ) | (251 | ) | ||||||||||||
Other expenses, net | (273 | ) | (320 | ) | 47 | (1,004 | ) | (1,012 | ) | 8 | ||||||||||||||
Income before federal income taxes | 4,263 | 3,893 | 370 | 15,813 | 15,599 | 214 | ||||||||||||||||||
Provision for federal income taxes | (10,287 | ) | (1,361 | ) | (8,926 | ) | (14,301 | ) | (5,417 | ) | (8,884 | ) | ||||||||||||
Net income (loss) | $ | (6,024 | ) | $ | 2,532 | $ | (8,556 | ) | $ | 1,512 | $ | 10,182 | $ | (8,670 | ) | |||||||||
Financial Results
• | Single-Family pre-tax income was $4.3 billion in the fourth quarter of 2017, compared with $3.9 billion in the third quarter of 2017. The increase in pre-tax income in the fourth quarter was driven primarily by a shift to credit-related income, as the impact of the recent hurricanes resulted in credit-related expense in the third quarter of 2017, and an increase in net investment gains, resulting from higher gains on loan sales consistent with the company’s reduction of its retained mortgage portfolio. The increase in pre-tax income in the fourth quarter was partially offset by lower fee and other income from a settlement agreement reached in the third quarter of 2017 resolving legal claims relating to private-label mortgage-related securities the company purchased prior to entering conservatorship in 2008. |
▪ | For the year, Single-Family pre-tax income was $15.8 billion, compared with $15.6 billion in 2016. The increase in pre-tax income in 2017 was driven primarily by an increase in net investment gains, resulting from higher gains on loan sales, consistent with the company’s reduction of its retained mortgage portfolio, and an increase in fee and other income from a settlement agreement reached in the third quarter of 2017 resolving legal claims relating to private-label mortgage-related securities the company purchased prior to entering conservatorship in 2008. The increase in pre-tax income in 2017 was partially offset by a reduction in net interest income due mainly to a decline in the average balance of the single-family retained mortgage portfolio and lower amortization income partially offset by higher base guaranty fee income. |
Full Year 2017 Results | 7 | |
Business Highlights
• | The single-family guaranty book of business grew in size by approximately 40 basis points in the fourth quarter. The average charged guaranty fee, net of Temporary Payroll Tax Cut Continuation Act of 2011 (TCCA) fees, on the single-family guaranty book increased by 0.2 basis points, to 42.6 basis points in the fourth quarter, compared with the third quarter of 2017. The average charged guaranty fee on the single-family guaranty book of business continued to increase as loans with lower guaranty fees were replaced with loans with higher guaranty fees. |
• | The average charged guaranty fee, net of TCCA, on new single-family acquisitions decreased by 1.7 basis points in the fourth quarter to 45.4 basis points, compared with the third quarter of 2017, driven primarily by increased competition. The average charged guaranty fee on newly acquired single-family loans increased in 2017 compared with 2016 due primarily to an increase in total loan level price adjustments charged on the company’s 2017 acquisitions. |
• | In December 2017 and February 2018, FHFA, in its capacity as conservator, provided guidance relating to Fannie Mae’s guaranty fee pricing for new single-family acquisitions. FHFA’s guidance requires that the company meet a specified minimum return on equity target based on the conservator capital framework. The company must implement this target in the first quarter of 2018. The company may be required to increase guaranty fees charged on some loans in order to meet this requirement. |
• | The single-family serious delinquency rate increased from 1.01 percent as of September 30, 2017 to 1.24 percent as of December 31, 2017, driven by the impact of the hurricanes. |
Multifamily Business
(Dollars in millions) | 4Q17 | 3Q17 | Variance | 2017 | 2016 | Variance | ||||||||||||||||||
Multifamily Segment: | ||||||||||||||||||||||||
Net interest income | $ | 648 | $ | 647 | $ | 1 | $ | 2,521 | $ | 2,285 | $ | 236 | ||||||||||||
Fee and other income | 245 | 189 | 56 | 849 | 445 | 404 | ||||||||||||||||||
Net revenues | 893 | 836 | 57 | 3,370 | 2,730 | 640 | ||||||||||||||||||
Credit-related income (expense) | (7 | ) | (28 | ) | 21 | (30 | ) | 72 | (102 | ) | ||||||||||||||
Fair value gains (losses), net | — | 11 | (11 | ) | (23 | ) | (41 | ) | 18 | |||||||||||||||
Administrative expenses | (93 | ) | (84 | ) | (9 | ) | (346 | ) | (323 | ) | (23 | ) | ||||||||||||
Other income (expenses) | (100 | ) | (80 | ) | (20 | ) | (337 | ) | 296 | (633 | ) | |||||||||||||
Income before federal income taxes | 693 | 655 | 38 | 2,634 | 2,734 | (100 | ) | |||||||||||||||||
Provision for federal income taxes | (1,202 | ) | (164 | ) | (1,038 | ) | (1,683 | ) | (603 | ) | (1,080 | ) | ||||||||||||
Net income (loss) | $ | (509 | ) | $ | 491 | $ | (1,000 | ) | $ | 951 | $ | 2,131 | $ | (1,180 | ) | |||||||||
Financial Results
• | Multifamily pre-tax income was $693 million in the fourth quarter of 2017, compared with $655 million in the third quarter of 2017. The increase in pre-tax income for the fourth quarter of 2017 was driven by higher yield maintenance fees due to prepayment activity and lower credit-related expense, as the third quarter of 2017 included the estimated losses from the hurricanes. |
• | Multifamily pre-tax income was $2.6 billion in 2017, compared with $2.7 billion in 2016. Pre-tax income was lower in 2017 due primarily to higher gains on the sale of available-for sale securities and gains on the sale of partnership investments in 2016. The decrease was partially offset by higher net interest income in 2017 driven by growth in the multifamily guaranty book of business, and new multifamily loan acquisitions with higher guaranty fees replacing liquidating loans with lower guaranty fees. |
Business Highlights
• | New multifamily business volume was more than $20 billion in the fourth quarter of 2017, an increase from approximately $16 billion in the third quarter. Fannie Mae provided more than $67 billion in multifamily and |
Full Year 2017 Results | 8 | |
other rental financing and supported approximately 770,000 units of multifamily housing in 2017, the highest multifamily rental volume in the history of Fannie Mae’s DUS program. Approximately 46 percent of Fannie Mae’s 2017 multifamily new business and other rental volume counted toward FHFA’s 2017 multifamily volume cap.
• | The multifamily guaranty book of business continued to grow in the fourth quarter of 2017, while the average charged guaranty fee on the multifamily book remained relatively flat at 79 basis points as of December 31, 2017. |
• | The multifamily serious delinquency rate increased from 0.03 percent as of September 30, 2017 to 0.11 percent as of December 31, 2017, driven by the impact of the hurricanes. |
CREDIT QUALITY
While continuing to make it possible for families to buy, refinance, or rent homes, Fannie Mae has maintained responsible credit standards. Fannie Mae monitors various loan attributes, in conjunction with housing market and economic conditions, to determine if its pricing, eligibility, and underwriting criteria accurately reflect the risks associated with loans the company acquires or guarantees. Single-family conventional loans acquired by Fannie Mae in 2017 had a weighted average borrower FICO credit score at origination of 745 and a weighted average original loan-to-value ratio of 75 percent.
Full Year 2017 Results | 9 | |
__________
(1) | Calculated as of the end of each period based on the number of single-family conventional loans that are 90 days or more past due and loans that have been referred to foreclosure but not yet foreclosed upon, divided by the number of loans in Fannie Mae’s single-family conventional guaranty book of business. |
(2) | Fannie Mae has acquired HARP loans and other Refi Plus loans under its Refi PlusTM initiative since 2009. Fannie Mae’s Refi Plus initiative offers refinancing flexibility to eligible borrowers who are current on their loans and whose loans are owned or guaranteed by us and meet certain additional criteria. HARP loans, which have loan-to-value (“LTV”) ratios at origination greater than 80%, refers to loans Fannie Mae has acquired pursuant to the Home Affordable Refinance Program® (“HARP®”). Other Refi Plus loans, which have LTV ratios at origination of 80% or less, refers to loans the company has acquired under its Refi Plus initiative other than HARP loans. Loans the company acquires under Refi Plus and HARP are refinancings of loans that were originated prior to June 2009. |
While Fannie Mae’s single-family delinquency rates continued their downward trend in the first part of 2017, the impact of the hurricanes in the third quarter of 2017 resulted in an increase in the company’s single-family delinquency rates in the latter part of the year. In response to the hurricanes, the company permitted its servicers to grant an initial temporary 90-day period of disaster forbearance to any homeowner in the hurricane-affected regions they believe has been impacted by the disaster. Servicers are permitted to extend the forbearance period beyond 90 days after making contact with the homeowner or with Fannie Mae’s approval. As a result, a large number of borrowers in the hurricane-affected regions became delinquent while in this forbearance period, particularly in Texas, Florida, and Puerto Rico, which were most significantly impacted by the hurricanes.
Fannie Mae expects its single-family serious delinquency rate to remain higher during the short-term while borrowers are in forbearance periods. The company expects many of these delinquent borrowers to resolve their delinquencies in the next several months, either through resuming their mortgage payments or by obtaining a loan modification. Over the long term, the company expects the impact of the hurricanes on its serious delinquency rate to subside and for this rate to resume its previous downward trend; however, because the company’s single-family serious delinquency rate has already declined significantly over the past several years, it expects more modest declines and may experience period to period fluctuations in this rate.
The company’s single-family serious delinquency rate and the period of time that loans remain seriously delinquent continue to be negatively affected by the length of time required to complete a foreclosure in some states. Other factors that affect its single-family serious delinquency rate include: the pace of loan modifications; the timing and volume of nonperforming loan sales made by the company; natural disasters; servicer performance; and changes in home prices, unemployment levels and other macroeconomic conditions.
Full Year 2017 Results | 10 | |
FINANCIAL PERFORMANCE OUTLOOK
Fannie Mae expects to remain profitable on an annual basis for the foreseeable future; however, certain factors could result in significant volatility in the company’s financial results from quarter to quarter or year to year. Fannie Mae expects volatility from quarter to quarter in its financial results due to a number of factors, particularly changes in market conditions that result in fluctuations in the estimated fair value of the financial instruments that it marks to market through its earnings. Other factors that may result in volatility in the company’s quarterly financial results include developments that affect its loss reserves, such as changes in interest rates, home prices or accounting standards, or events such as natural disasters.
The potential for significant volatility in the company’s financial results could result in a net loss in a future quarter. Because the company had a net worth deficit as of December 31, 2017, it has no remaining capital reserves as of that date. Pursuant to the December 2017 letter agreement described below, Fannie Mae is now permitted to retain up to $3.0 billion in future earnings as capital reserves. Once the company is able to rebuild its capital reserves to $3.0 billion, the capital reserves will provide a buffer in the event of a net loss in a future quarter. However, any net loss the company experiences in the future could be greater than the amount of its capital reserves. If this were to occur, it would result in a net worth deficit for that quarter. If the company has another net worth deficit in a future quarter, it will be required to draw additional funds from Treasury under the senior preferred stock purchase agreement to avoid being placed into receivership.
ABOUT FANNIE MAE’S CONSERVATORSHIP AND AGREEMENTS WITH TREASURY
Fannie Mae has operated under the conservatorship of FHFA since September 6, 2008. Treasury has made a commitment under a senior preferred stock purchase agreement to provide funding to Fannie Mae under certain circumstances if the company has a net worth deficit. Pursuant to this agreement and the senior preferred stock the company issued to Treasury in 2008, the Director of FHFA has directed Fannie Mae to pay dividends to Treasury on a quarterly basis since entering into conservatorship in 2008 for every dividend period for which dividends were payable.
In December 2017, FHFA entered into a letter agreement with Treasury on Fannie Mae’s behalf that amended the dividend provisions of the senior preferred stock to:
• | increase the applicable capital reserve amount to $3.0 billion, effective January 1, 2018; and |
• | reduce the dividend amount otherwise payable for the fourth quarter of 2017 by $2.4 billion. |
The amended dividend provisions of the senior preferred stock also provide that, if Fannie Mae does not declare and pay a dividend in the full amount provided for in the senior preferred stock for any future dividend period, the capital reserve amount will thereafter be zero. In his December 21, 2017 statement announcing this reinstatement of the $3.0 billion capital reserve, the Director of FHFA noted that FHFA contemplates that going forward Fannie Mae and Freddie Mac dividends will be declared and paid beyond the $3.0 billion capital reserve in the absence of exigent circumstances.
The chart below shows the funds Fannie Mae has drawn from Treasury pursuant to the senior preferred stock purchase agreement, as well as the dividend payments the company has made to Treasury on the senior preferred stock, since entering into conservatorship.
Full Year 2017 Results | 11 | |
__________
(1) | Under the terms of the senior preferred stock purchase agreement, dividend payments the company makes to Treasury do not offset prior draws of funds from Treasury, and the company is not permitted to pay down draws it has made under the agreement except in limited circumstances. Amounts may not sum due to rounding. |
(2) | Treasury draws are shown in the period for which requested, not when the funds were received by the company. Accordingly, the 2017 draw amount and 2008-2017 total draw amount reflect the $3.7 billion the company will draw to eliminate its net worth deficit as of December 31, 2017. Draw requests have been funded in the quarter following a net worth deficit. |
Under the terms of the senior preferred stock, if Fannie Mae does not have a positive net worth or if our net worth does not exceed the applicable capital reserve amount as of the end of a fiscal quarter, then no dividend amount will accrue or be payable for the applicable dividend period. Because the company had a net worth deficit of $3.7 billion as of December 31, 2017, no dividend will be payable to Treasury for the first quarter of 2018, and the company expects the Director of FHFA will submit a request to Treasury on the company’s behalf for $3.7 billion to eliminate its net worth deficit. After Fannie Mae receives these funds, the maximum amount of remaining funding under the agreement will be $113.9 billion. If the company were to draw additional funds from Treasury under the agreement in respect of a future period, the amount of remaining funding under the agreement would be reduced by the amount of the company’s draw. Dividend payments Fannie Mae makes to Treasury do not restore or increase the amount of funding available to the company under the agreement.
For a description of the terms of the senior preferred stock purchase agreement and the senior preferred stock, including additional information on the December 2017 letter agreement amending the terms of the senior preferred stock, see “Conservatorship and Treasury Agreements—Treasury Agreements” in the company’s 2017 Form 10-K.
Although Treasury owns Fannie Mae’s senior preferred stock and a warrant to purchase 79.9 percent of the company’s common stock, and has made a commitment under a senior preferred stock purchase agreement to provide the company with funds to maintain a positive net worth under specified conditions, the U.S. government does not guarantee the company’s securities or other obligations.
Full Year 2017 Results | 12 | |
Fannie Mae’s financial statements for the full year of 2017 are available in the accompanying Annex; however, investors and interested parties should read the company’s 2017 Form 10-K, which was filed today with the Securities and Exchange Commission and is available on Fannie Mae’s website, www.fanniemae.com. The company provides further discussion of its financial results and condition, credit performance, and other matters in its 2017 Form 10-K. Additional information about the company’s credit performance, the characteristics of its guaranty book of business, its foreclosure-prevention efforts, and other measures is contained in the “2017 Credit Supplement” at www.fanniemae.com.
# # #
In this release, the company has presented a number of estimates, forecasts, expectations, and other forward-looking statements, including statements regarding: actions by the Director of FHFA relating to requests for funding from Treasury to eliminate the company’s net worth deficit and future dividend payments on the senior preferred stock; actions by Treasury to provide funding to eliminate the company’s net worth deficit; the company’s profitability and financial results and the factors that will affect the company’s profitability and financial results; the company’s effective tax rate; and the company’s future serious delinquency rates and the factors that will affect the company’s single-family serious delinquency rates. These estimates, forecasts, expectations, and statements are forward-looking statements based on the company’s current assumptions regarding numerous factors. Actual results, and future projections, could be materially different from what is set forth in the forward-looking statements as a result of: home price changes; interest rate changes; unemployment rates; other macroeconomic and housing market variables; the company’s future serious delinquency rates; the company’s future guaranty fee pricing and the impact of that pricing on the company’s guaranty fee revenues and competitive environment; government policy; credit availability; changes in borrower behavior; the volume of loans it modifies; the effectiveness of its loss mitigation strategies; significant changes in modification and foreclosure activity; the volume and pace of future nonperforming and reperforming loan sales and their impact on the company’s results and serious delinquency rates; the effectiveness of its management of its real estate owned inventory and pursuit of contractual remedies; changes in the fair value of its assets and liabilities; future legislative or regulatory requirements or changes that have a significant impact on the company’s business, such as the enactment of housing finance reform legislation; actions by FHFA, Treasury, the Department of Housing and Urban Development or other regulators that affect the company’s business; the size, composition and quality of the company’s guaranty book of business and retained mortgage portfolio; the company’s market share; the life of the loans in the company’s guaranty book of business; future updates to the company’s models relating to loss reserves, including the assumptions used by these models; changes in generally accepted accounting principles; changes to the company’s accounting policies; whether the company’s counterparties meet their obligations in full; effects from activities the company takes to support the mortgage market and help borrowers; the company’s future objectives and activities in support of those objectives, including actions the company may take to reach additional underserved creditworthy borrowers; actions the company may be required to take by FHFA, in its role as the company’s conservator or as its regulator, such as changes in the type of business the company does or the implementation of the Single Security Initiative; limitations on the company’s business imposed by FHFA, in its role as the company’s conservator or as its regulator; the conservatorship and its effect on the company’s business; the investment by Treasury and its effect on the company’s business; the uncertainty of the company’s future; challenges the company faces in retaining and hiring qualified executives and other employees; the deteriorated credit performance of many loans in the company’s guaranty book of business; a decrease in the company’s credit ratings; defaults by one or more institutional counterparties; resolution or settlement agreements the company may enter into with its counterparties; operational control weaknesses; changes in the fiscal and monetary policies of the Federal Reserve, including implementation of the Federal Reserve’s balance sheet normalization program; changes in the structure and regulation of the financial services industry; the company’s ability to access the debt markets; disruptions in the housing, credit, and stock markets; government investigations and litigation; the company’s reliance on and the performance of the company’s servicers; conditions in the foreclosure environment; global political risks; natural disasters, environmental disasters, terrorist attacks, pandemics, or other major disruptive events; cyber attacks or other information security breaches or threats; and many other factors, including those discussed in the “Risk Factors” and “Forward-Looking Statements” sections of and elsewhere in the company’s annual report on Form 10-K for the year ended December 31, 2017, and elsewhere in this release.
Fannie Mae provides website addresses in its news releases solely for readers’ information. Other content or information appearing on these websites is not part of this release.
Fannie Mae helps make the 30-year fixed-rate mortgage and affordable rental housing possible for millions of Americans. We partner with lenders to create housing opportunities for families across the country. We are driving positive changes in housing finance to make the home buying process easier, while reducing costs and risk. To learn more, visit fanniemae.com and follow us on twitter.com/fanniemae.
Full Year 2017 Results | 13 | |
ANNEX
FANNIE MAE
(In conservatorship)
Consolidated Balance Sheets
(Dollars in millions, except share amounts)
As of December 31, | |||||||||||
2017 | 2016 | ||||||||||
ASSETS | |||||||||||
Cash and cash equivalents | $ | 32,110 | $ | 25,224 | |||||||
Restricted cash (includes $22,132 and $31,536, respectively, related to consolidated trusts) | 28,150 | 36,953 | |||||||||
Federal funds sold and securities purchased under agreements to resell or similar arrangements | 19,470 | 30,415 | |||||||||
Investments in securities: | |||||||||||
Trading, at fair value (includes $747 and $1,277, respectively, pledged as collateral) | 34,679 | 40,562 | |||||||||
Available-for-sale, at fair value (includes $87 and $107, respectively, related to consolidated trusts) | 4,843 | 8,363 | |||||||||
Total investments in securities | 39,522 | 48,925 | |||||||||
Mortgage loans: | |||||||||||
Loans held for sale, at lower of cost or fair value | 4,988 | 2,899 | |||||||||
Loans held for investment, at amortized cost: | |||||||||||
Of Fannie Mae | 162,809 | 204,318 | |||||||||
Of consolidated trusts | 3,029,812 | 2,896,001 | |||||||||
Total loans held for investment (includes $10,596 and $12,057, respectively, at fair value) | 3,192,621 | 3,100,319 | |||||||||
Allowance for loan losses | (19,084 | ) | (23,465 | ) | |||||||
Total loans held for investment, net of allowance | 3,173,537 | 3,076,854 | |||||||||
Total mortgage loans | 3,178,525 | 3,079,753 | |||||||||
Deferred tax assets, net | 17,350 | 33,530 | |||||||||
Accrued interest receivable, net (includes $7,560 and $7,064, respectively, related to consolidated trusts) | 8,133 | 7,737 | |||||||||
Acquired property, net | 3,220 | 4,489 | |||||||||
Other assets | 19,049 | 20,942 | |||||||||
Total assets | $ | 3,345,529 | $ | 3,287,968 | |||||||
LIABILITIES AND EQUITY (DEFICIT) | |||||||||||
Liabilities: | |||||||||||
Accrued interest payable (includes $8,598 and $8,285, respectively, related to consolidated trusts) | $ | 9,682 | $ | 9,431 | |||||||
Debt: | |||||||||||
Of Fannie Mae (includes $8,186 and $9,582, respectively, at fair value) | 276,752 | 327,097 | |||||||||
Of consolidated trusts (includes $30,493 and $36,524, respectively, at fair value) | 3,053,302 | 2,935,219 | |||||||||
Other liabilities (includes $492 and $390, respectively, related to consolidated trusts) | 9,479 | 10,150 | |||||||||
Total liabilities | 3,349,215 | 3,281,897 | |||||||||
Commitments and contingencies | — | — | |||||||||
Fannie Mae stockholders’ equity (deficit): | |||||||||||
Senior preferred stock, 1,000,000 shares issued and outstanding | 117,149 | 117,149 | |||||||||
Preferred stock, 700,000,000 shares are authorized— 555,374,922 shares issued and outstanding | 19,130 | 19,130 | |||||||||
Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 1,158,087,567 and 1,158,082,750 shares outstanding, respectively | 687 | 687 | |||||||||
Accumulated deficit | (133,805 | ) | (124,253 | ) | |||||||
Accumulated other comprehensive income | 553 | 759 | |||||||||
Treasury stock, at cost, 150,675,136 and 150,679,953 shares, respectively | (7,400 | ) | (7,401 | ) | |||||||
Total stockholders’ equity (deficit) | (3,686 | ) | 6,071 | ||||||||
Total liabilities and equity (deficit) | $ | 3,345,529 | $ | 3,287,968 | |||||||
See Notes to Consolidated Financial Statements in 2017 Form 10-K
Full Year 2017 Results | 14 | |
FANNIE MAE
(In conservatorship)
Consolidated Statements of Operations and Comprehensive Income
(Dollars in millions, except share amounts)
For the Year Ended December 31, | |||||||||||||||||
2017 | 2016 | 2015 | |||||||||||||||
Interest income: | |||||||||||||||||
Trading securities | $ | 706 | $ | 516 | $ | 444 | |||||||||||
Available-for-sale securities | 335 | 620 | 1,156 | ||||||||||||||
Mortgage loans (includes $100,593, $95,266 and $97,971, respectively, related to consolidated trusts) | 108,319 | 104,642 | 107,699 | ||||||||||||||
Other | 496 | 243 | 143 | ||||||||||||||
Total interest income | 109,856 | 106,021 | 109,442 | ||||||||||||||
Interest expense: | |||||||||||||||||
Short-term debt | (250 | ) | (206 | ) | (146 | ) | |||||||||||
Long-term debt (includes $82,580, $77,575 and $80,326, respectively, related to consolidated trusts) | (88,873 | ) | (84,520 | ) | (87,887 | ) | |||||||||||
Total interest expense | (89,123 | ) | (84,726 | ) | (88,033 | ) | |||||||||||
Net interest income | 20,733 | 21,295 | 21,409 | ||||||||||||||
Benefit for credit losses | 2,041 | 2,155 | 795 | ||||||||||||||
Net interest income after benefit for credit losses | 22,774 | 23,450 | 22,204 | ||||||||||||||
Investment gains, net | 1,522 | 1,256 | 1,336 | ||||||||||||||
Fair value losses, net | (1,211 | ) | (1,081 | ) | (1,767 | ) | |||||||||||
Fee and other income | 2,227 | 966 | 1,348 | ||||||||||||||
Non-interest income | 2,538 | 1,141 | 917 | ||||||||||||||
Administrative expenses: | |||||||||||||||||
Salaries and employee benefits | (1,328 | ) | (1,336 | ) | (1,319 | ) | |||||||||||
Professional services | (933 | ) | (955 | ) | (984 | ) | |||||||||||
Other administrative expenses | (476 | ) | (450 | ) | (747 | ) | |||||||||||
Total administrative expenses | (2,737 | ) | (2,741 | ) | (3,050 | ) | |||||||||||
Foreclosed property expense | (521 | ) | (644 | ) | (1,629 | ) | |||||||||||
Temporary Payroll Cut Continuation Act of 2011 (“TCCA”) fees | (2,096 | ) | (1,845 | ) | (1,621 | ) | |||||||||||
Other expenses, net | (1,511 | ) | (1,028 | ) | (613 | ) | |||||||||||
Total expenses | (6,865 | ) | (6,258 | ) | (6,913 | ) | |||||||||||
Income before federal income taxes | 18,447 | 18,333 | 16,208 | ||||||||||||||
Provision for federal income taxes | (15,984 | ) | (6,020 | ) | (5,253 | ) | |||||||||||
Net income | 2,463 | 12,313 | 10,955 | ||||||||||||||
Other comprehensive loss: | |||||||||||||||||
Changes in unrealized gains on available-for-sale securities, net of reclassification adjustments and taxes | (206 | ) | (642 | ) | (763 | ) | |||||||||||
Other | — | (6 | ) | 437 | |||||||||||||
Total other comprehensive loss | (206 | ) | (648 | ) | (326 | ) | |||||||||||
Total comprehensive income | 2,257 | 11,665 | 10,629 | ||||||||||||||
Less: Comprehensive income attributable to noncontrolling interest | — | — | (1 | ) | |||||||||||||
Total comprehensive income attributable to Fannie Mae | $ | 2,257 | $ | 11,665 | $ | 10,628 | |||||||||||
Net income | $ | 2,463 | $ | 12,313 | $ | 10,955 | |||||||||||
Less: Net income attributable to noncontrolling interest | — | — | (1 | ) | |||||||||||||
Net income attributable to Fannie Mae | $ | 2,463 | $ | 12,313 | $ | 10,954 | |||||||||||
Dividends distributed or available for distribution to senior preferred stockholder | (8,944 | ) | (12,236 | ) | (11,216 | ) | |||||||||||
Net income (loss) attributable to common stockholders | $ | (6,481 | ) | $ | 77 | $ | (262 | ) | |||||||||
Earnings (loss) per share: | |||||||||||||||||
Basic | $ | (1.12 | ) | $ | 0.01 | $ | (0.05 | ) | |||||||||
Diluted | (1.12 | ) | 0.01 | (0.05 | ) | ||||||||||||
Weighted-average common shares outstanding: | |||||||||||||||||
Basic | 5,762 | 5,762 | 5,762 | ||||||||||||||
Diluted | 5,762 | 5,893 | 5,762 | ||||||||||||||
See Notes to Consolidated Financial Statements in 2017 Form 10-K
Full Year 2017 Results | 15 | |
FANNIE MAE
(In conservatorship)
Consolidated Statements of Cash Flows
(Dollars in millions)
For the Year Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Cash flows provided by (used in) operating activities: | |||||||||||
Net income | $ | 2,463 | $ | 12,313 | $ | 10,955 | |||||
Reconciliation of net income to net cash used in operating activities: | |||||||||||
Amortization of cost basis adjustments | (6,641 | ) | (6,821 | ) | (6,298 | ) | |||||
Benefit for credit losses | (2,041 | ) | (2,155 | ) | (795 | ) | |||||
Valuation gains | (1,573 | ) | (472 | ) | (510 | ) | |||||
Current and deferred federal income taxes | 14,369 | 4,309 | 4,083 | ||||||||
Net change in trading securities | 4,511 | (3,005 | ) | (10,153 | ) | ||||||
Net gains related to the disposition of acquired property and preforeclosure sales, including credit enhancements | (2,426 | ) | (3,124 | ) | (3,055 | ) | |||||
Other, net | (406 | ) | (1,778 | ) | (900 | ) | |||||
Net cash provided by (used in) operating activities | 8,256 | (733 | ) | (6,673 | ) | ||||||
Cash flows provided by investing activities: | |||||||||||
Proceeds from maturities and paydowns of trading securities held for investment | 1,206 | 1,840 | 768 | ||||||||
Proceeds from sales of trading securities held for investment | 241 | 1,618 | 1,104 | ||||||||
Proceeds from maturities and paydowns of available-for-sale securities | 2,009 | 2,927 | 4,394 | ||||||||
Proceeds from sales of available-for-sale securities | 1,990 | 11,378 | 8,249 | ||||||||
Purchases of loans held for investment | (189,593 | ) | (233,935 | ) | (187,194 | ) | |||||
Proceeds from repayments of loans acquired as held for investment of Fannie Mae | 22,557 | 25,294 | 25,776 | ||||||||
Proceeds from sales of loans acquired as held for investment of Fannie Mae | 10,241 | 5,222 | 3,196 | ||||||||
Proceeds from repayments and sales of loans acquired as held for investment of consolidated trusts | 435,637 | 543,690 | 484,230 | ||||||||
Net change in restricted cash | 8,803 | (6,074 | ) | 1,663 | |||||||
Advances to lenders | (123,687 | ) | (140,147 | ) | (118,746 | ) | |||||
Proceeds from disposition of acquired property and preforeclosure sales | 12,221 | 16,115 | 20,757 | ||||||||
Net change in federal funds sold and securities purchased under agreements to resell or similar arrangements | 10,945 | (3,065 | ) | 3,600 | |||||||
Other, net | 641 | 116 | 527 | ||||||||
Net cash provided by investing activities | 193,211 | 224,979 | 248,324 | ||||||||
Cash flows used in financing activities: | |||||||||||
Proceeds from issuance of debt of Fannie Mae | 1,034,742 | 982,272 | 443,371 | ||||||||
Payments to redeem debt of Fannie Mae | (1,086,470 | ) | (1,043,108 | ) | (518,575 | ) | |||||
Proceeds from issuance of debt of consolidated trusts | 383,793 | 437,392 | 347,614 | ||||||||
Payments to redeem debt of consolidated trusts | (514,637 | ) | (580,642 | ) | (511,158 | ) | |||||
Payments of cash dividends on senior preferred stock to Treasury | (12,015 | ) | (9,624 | ) | (10,278 | ) | |||||
Other, net | 6 | 14 | 26 | ||||||||
Net cash used in financing activities | (194,581 | ) | (213,696 | ) | (249,000 | ) | |||||
Net increase (decrease) in cash and cash equivalents | 6,886 | 10,550 | (7,349 | ) | |||||||
Cash and cash equivalents at beginning of period | 25,224 | 14,674 | 22,023 | ||||||||
Cash and cash equivalents at end of period | $ | 32,110 | $ | 25,224 | $ | 14,674 | |||||
Cash paid during the period for: | |||||||||||
Interest | $ | 109,480 | $ | 104,318 | $ | 104,928 | |||||
Income taxes | 3,090 | 1,711 | 1,170 | ||||||||
Non-cash activities: | |||||||||||
Net mortgage loans acquired by assuming debt | $ | 258,312 | $ | 275,710 | $ | 220,168 | |||||
Net transfers from mortgage loans of Fannie Mae to mortgage loans of consolidated trusts | 193,809 | 223,705 | 175,104 | ||||||||
Transfers from advances to lenders to loans held for investment of consolidated trusts | 118,282 | 130,886 | 114,851 | ||||||||
Net transfers from mortgage loans to acquired property | 10,262 | 13,768 | 17,534 | ||||||||
Transfers of mortgage loans from held for investment to held for sale | 12,886 | 3,878 | 8,601 | ||||||||
See Notes to Consolidated Financial Statements in 2017 Form 10-K
Full Year 2017 Results | 16 | |
FANNIE MAE
(In conservatorship)
Consolidated Statements of Changes in Equity (Deficit)
(Dollars and shares in millions)
Fannie Mae Stockholders’ Equity (Deficit) | |||||||||||||||||||||||||||||||||||||||||
Shares Outstanding | Senior Preferred Stock | Preferred Stock | Common Stock | Accumulated Deficit | Accumulated Other Comprehensive Income | Treasury Stock | Non Controlling Interest | Total Equity (Deficit) | |||||||||||||||||||||||||||||||||
Senior Preferred | Preferred | Common | |||||||||||||||||||||||||||||||||||||||
Balance as of December 31, 2014 | 1 | 556 | 1,158 | $ | 117,149 | $ | 19,130 | $ | 687 | $ | (127,618 | ) | $ | 1,733 | $ | (7,401 | ) | $ | 40 | $ | 3,720 | ||||||||||||||||||||
Change in investment in noncontrolling interest | — | — | — | — | — | — | — | — | — | (12 | ) | (12 | ) | ||||||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 10,954 | — | — | 1 | 10,955 | ||||||||||||||||||||||||||||||
Other comprehensive income, net of tax effect: | |||||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains on available-for-sale securities (net of tax of $151) | — | — | — | — | — | — | — | (280 | ) | — | — | (280 | ) | ||||||||||||||||||||||||||||
Reclassification adjustment for gains included in net income (net of tax of $253) | — | — | — | — | — | — | — | (483 | ) | — | — | (483 | ) | ||||||||||||||||||||||||||||
Prior service cost and actuarial gains, net of amortization for defined benefit plans, net of tax | — | — | — | — | — | — | — | 437 | — | — | 437 | ||||||||||||||||||||||||||||||
Total comprehensive income | 10,629 | ||||||||||||||||||||||||||||||||||||||||
Senior preferred stock dividends | — | — | — | — | — | — | (10,278 | ) | — | — | — | (10,278 | ) | ||||||||||||||||||||||||||||
Balance as of December 31, 2015 | 1 | 556 | 1,158 | 117,149 | 19,130 | 687 | (126,942 | ) | 1,407 | (7,401 | ) | 29 | 4,059 | ||||||||||||||||||||||||||||
Change in investment in noncontrolling interest | — | — | — | — | — | — | — | — | — | (29 | ) | (29 | ) | ||||||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 12,313 | — | — | — | 12,313 | ||||||||||||||||||||||||||||||
Other comprehensive income, net of tax effect: | |||||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains on available-for-sale securities (net of tax of $30) | — | — | — | — | — | — | — | (55 | ) | — | — | (55 | ) | ||||||||||||||||||||||||||||
Reclassification adjustment for gains included in net income (net of tax of $316) | — | — | — | — | — | — | — | (587 | ) | — | — | (587 | ) | ||||||||||||||||||||||||||||
Other, net of tax | — | — | — | — | — | — | — | (6 | ) | — | — | (6 | ) | ||||||||||||||||||||||||||||
Total comprehensive income | 11,665 | ||||||||||||||||||||||||||||||||||||||||
Senior preferred stock dividends | — | — | — | — | — | — | (9,624 | ) | — | — | — | (9,624 | ) | ||||||||||||||||||||||||||||
Balance as of December 31, 2016 | 1 | 556 | 1,158 | 117,149 | 19,130 | 687 | (124,253 | ) | 759 | (7,401 | ) | — | 6,071 | ||||||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 2,463 | — | — | — | 2,463 | ||||||||||||||||||||||||||||||
Other comprehensive income, net of tax effect: | |||||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains on available-for-sale securities (net of tax of $28) | — | — | — | — | — | — | — | 53 | — | — | 53 | ||||||||||||||||||||||||||||||
Reclassification adjustment for gains included in net income (net of tax of $139) | — | — | — | — | — | — | — | (259 | ) | — | — | (259 | ) | ||||||||||||||||||||||||||||
Total comprehensive income | 2,257 | ||||||||||||||||||||||||||||||||||||||||
Senior preferred stock dividends | — | — | — | — | — | — | (12,015 | ) | — | — | — | (12,015 | ) | ||||||||||||||||||||||||||||
Other | — | — | — | — | — | — | — | — | 1 | — | 1 | ||||||||||||||||||||||||||||||
Balance as of December 31, 2017 | 1 | 556 | 1,158 | $ | 117,149 | $ | 19,130 | $ | 687 | $ | (133,805 | ) | $ | 553 | $ | (7,400 | ) | $ | — | $ | (3,686 | ) | |||||||||||||||||||
See Notes to Consolidated Financial Statements in 2017 Form 10-K
Full Year 2017 Results | 17 | |
2017 Credit Supplement
February 14, 2018
© 2018 Fannie Mae. Trademarks of Fannie Mae.
Exhibit 99.2
§
This presentation includes information about Fannie Mae, including information contained in
Fannie Mae’s Annual Report on Form 10-K for the year ended December 31, 2017, the “2017
Form 10-K.” Some of the terms used in these materials are defined and discussed more fuly
in the 2017 Form 10-K. These materials should be reviewed together with the 2017 Form
10-K, copies of which are available through the “SEC Filings” page in the
“About Us/Investor Relations” section of Fannie Mae’s website at www.fanniemae.com.
Some of the information in this presentation is based upon information that we received
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 “2017” is as of December 31, 2017 or for the ful
year of 2017.
§
§
§
© 2018 Fannie Mae. Trademarks of Fannie Mae.
Table of Contents
Home Price Growth/Decline Rates in the U.S.
One Year Home Price Change as of 2017 Q4
Home Price Change From 2006 Q3 Through 2017 Q4 5
4
3
Home Prices
Credit Characteristics of Single-Family Business Acquisitions
Credit Risk Profile Summary of Single-Family Business Acquisitions
Certain Credit Characteristics of Single-Family Business Acquisitions: 2006 - 2017
Single-Family Business Acquisitions by Loan Purpose
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Certain Product Features 11
10
9
8
7
6
Credit Profile of Fannie Mae Single-Family Loans
Credit Characteristics of Single-Family Conventional Guaranty Book of Business and Single-Family Real Estate Owned (REO) in Select States
Seriously Delinquent Loan and REO Ending Inventory Share by Select States
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance (UPB) of Mortgage Loans 14
13
12
Geographic Credit Profile of Fannie Mae Single-Family Loans and Foreclosed Properties (REO)
Single-Family Loan Workouts
Re-performance Rates of Modified Single-Family Loans 16
15
Workouts of Fannie Mae Single-Family Loans
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year 18
17
Additional Credit Information for Fannie Mae Single-Family Loans
Multifamily Credit Profile by Loan Atributes
Serious Delinquency Rates of Multifamily Book of Business
Cumulative Credit Loss Rates of Multifamily Guaranty Book of Business by Acquisition Year 22
21
19-20
Credit Profile of Fannie Mae Multifamily Loans
© 2018 Fannie Mae. Trademarks of Fannie Mae. 2
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
-10.0%
-5.0%
0.0%
5.0%
10.0%
-3.7%
-9.0%
-4.8% -4.2%
-3.5%
2.6%
4.0%
7.6%
4.2% 4.6%
5.7% 5.6%
Fannie Mae Home Price Index
Based on our home price index, we estimate that home prices on a national basis increased by 5.6% in 2017, folowing increases of 5.7% in 2016, 4.6% in 2015
and 4.2% in 2014. Our home price estimates are based on preliminary data and are subject to change as additional data becomes available.
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
1.7% -5.4% -12.0% -3.8% -4.1% -3.9% 6.5% 10.7% 4.5% 5.2% 5.4% 5.7%
S&P/Case-Shiler Index
Home Price Growth/Decline Rates in the U.S.
Note: Estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2017. Including subsequent data may lead to materialy diferent results.
* Year-to-date as of Q3 2017. As comparison, Fannie Mae's index for the same period is 5.4%.
*
© 2018 Fannie Mae. Trademarks of Fannie Mae. 3
One Year Home Price Change as of 2017 Q4⁽¹⁾
NC
5.3%
2.6%
FL
5.9%
5.7%
CA
7.0%
19.5%
WA
11.1%
3.6%
UT
10.0%
1.3%
ID
11.1%
0.6%
NV
11.9%
1.1% KS3.6%
0.5%
LA
2.4%
0.9%
MO
4.5%
1.3%
MS
1.7%
0.4%
ND
1.7%
0.2%
NM
3.8%
0.5%
NY
4.8%
5.1%
OK
2.7%
0.7%
PA
4.0%
3.0%
TX
4.5%
6.2%
VA
3.3%
3.5%
WV
1.8%
0.2%
WY
4.4%
0.2%
AZ
6.5%
2.5% AL
4.4%
1.0%
GA
6.4%
2.7%
IN
5.1%
1.2%
KY
6.2%
0.6%
ME
6.2%
0.3%
MI
7.9%
2.3%
MN
7.3%
2.1%
MT
6.2%
0.3%
NE
6.8%
0.5% OH
5.3%
2.0%
OR
7.7%
1.8%
SC
5.6%
1.2%
SD
6.9%
0.2%
TN
7.4%
1.3%AR3.6%
0.5%
WI
6.3%
1.8%
IA
4.1%
0.7%
IL
4.4%
3.7%CO8.8%
3.0%
State: FL
Growth Rate: 5.9%
UPB %⁽²⁾: 5.7%
United States: 5.6%
(1) Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2017. UPB estimates are based on
data available through the end of December 2017. Including subsequent data may lead to materialy diferent results.
(2) “UPB %” refers to unpaid principal balance of loans on properties in the applicable state as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie
Mae has access to loan-level information.
AK
2.2%
0.2%
Growth
Rate UPB %
CT
DC
DE
MA
MD
NH
NJ
RI
VT 0.1%
0.3%
3.7%
0.5%
2.7%
2.9%
0.4%
0.4%
1.2%
5.7%
7.8%
3.4%
7.2%
3.3%
6.6%
1.0%
8.9%
1.4%
HI
2.8%
0.7% State Growth Rate
0% to 5%
5% to 10%
10% and Above
© 2018 Fannie Mae. Trademarks of Fannie Mae. 4
(2)
TN
19.5%
1.3%
SC
7.3%
1.2%
NC
9.2%
2.6%AZ-17.7%
2.5%
FL
-18.1%
5.7%
NV
-20.3%
1.1%
CA
-5.1%
19.5%
ID
10.4%
0.6%
IN
14.5%
1.2%KS
17.1%
0.5% KY16.3%
0.6%
LA
18.1%
0.9%
MT
23.9%
0.3%
ND
53.8%
0.2%
NE
23.8%
0.5%
OK
17.8%
0.7%
OR
16.5%
1.8%
SD
31.8%
0.2%
TX
35.9%
6.2%
UT
26.6%
1.3%
WA
19.2%
3.6%
WY
18.9%
0.2%
CO
41.3%
3.0%
IA
18.6%
0.7%
IL
-9.4%
3.7%
VA
-6.0%
3.5%
NM
-1.5%
0.5% AL
3.5%
1.0%
GA
2.5%
2.7%
MI
1.3%
2.3%
MN
4.1%
2.1%
MS
2.5%
0.4%
OH
4.1%
2.0%
AR
8.5%
0.5%
ME
5.2%
0.3%
MO
7.2%
1.3%
NY
5.1%
5.1%
PA
7.8%
3.0%
WV
6.6%
0.2%
WI
6.2%
1.8%
State: FL
Growth Rate: -18.1%
UPB %⁽²⁾: 5.7%
United States: 4.1%
Home Price Change From 2006 Q3 Through 2017 Q4⁽¹⁾
(1) Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of December 2017. UPB estimates are based on
data available through the end of December 2017. Including subsequent data may lead to materialy diferent results.
(2) “UPB %” refers to unpaid principal balance of loans on properties in the applicable state as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae
has access to loan-level information.
Note: Home prices on a national basis prior to the housing crisis of 2008 reached a peak in the third quarter of 2006.
AK
11.7%
0.2%
HI
9.3%
0.7%
Growth
Rate UPB %
CT
DC
DE
MA
MD
NH
NJ
RI
VT 0.1%
0.3%
3.7%
0.5%
2.7%
2.9%
0.4%
0.4%
1.2%
4.2%
-10.1%
-15.2%
-0.9%
-14.5%
8.0%
-11.9%
48.9%
-17.0%
State Growth Rate
Below -15%
-15% to -5%
-5% to 0%
0% to 5%
5% to 10%
10% and Above
(2)
© 2018 Fannie Mae. Trademarks of Fannie Mae. 5
Ful Year 2017
Single-Family
Acquisitions
Excl.
Refi Plus
Q4 2017
Single-Family
Acquisitions
Excl.
Refi Plus
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
Unpaid Principal Balance (UPB) ($B)
Weighted Average Origination Note Rate 4.12%
$487.7
4.12%
$501.8
4.09%
$125.2
4.09%
$127.9
4.13%
$131.5
4.13%
$134.2
4.25%
$117.6
4.26%
$121.2
4.00%
$113.4
4.00%
$118.5
3.73%
$558.9
3.74%
$581.0
<= 60%
60.01% to 70%
70.01% to 80%
80.01% to 90%
90.01% to 100%
> 100%
Weighted Average Origination LTV Ratio 75.6%
0.0%
18.1%
12.3%
39.3%
12.8%
17.4%
75.4%
0.2%
17.8%
12.3%
38.8%
12.9%
17.9%
75.8%
0.0%
18.5%
12.3%
39.1%
13.2%
16.9%
75.7%
0.1%
18.2%
12.3%
38.7%
13.2%
17.4%
76.6%
0.0%
19.7%
12.9%
39.6%
12.0%
15.8%
76.5%
0.1%
19.5%
12.9%
39.2%
12.0%
16.2%
76.3%
0.0%
19.2%
12.7%
39.9%
12.0%
16.2%
76.1%
0.2%
18.8%
12.7%
39.3%
12.1%
16.8%
73.3%
0.0%
14.8%
11.1%
38.6%
14.4%
21.1%
73.2%
0.3%
14.5%
11.1%
37.8%
14.5%
21.7%
73.6%
0.0%
14.8%
11.5%
38.8%
14.5%
20.4%
73.6%
0.4%
14.6%
11.6%
38.1%
14.5%
20.7%
Origination Loan-to-Value (LTV) Ratio
< 620
620 to < 660
660 to < 700
700 to < 740
>=740
Weighted Average FICO Credit Score 746
59.3%
22.6%
13.0%
5.1%
0.0%
745
58.6%
22.6%
13.2%
5.3%
0.3%
744
57.8%
23.1%
13.5%
5.5%
0.0%
743
57.3%
23.1%
13.7%
5.7%
0.2%
746
59.7%
22.5%
12.9%
5.0%
0.0%
745
59.2%
22.4%
13.0%
5.1%
0.2%
746
59.5%
22.6%
12.8%
5.0%
0.0%
745
58.7%
22.6%
13.1%
5.2%
0.3%
747
60.4%
22.2%
12.7%
4.7%
0.0%
746
59.4%
22.1%
13.0%
5.0%
0.4%
752
64.9%
20.4%
10.9%
3.8%
0.0%
750
63.9%
20.4%
11.3%
4.1%
0.3%
FICO Credit Scores
Credit Characteristics of Single-Family Business Acquisitions⁽¹⁾
Fixed-rate
Adjustable-rate
Alt-A
Interest Only
Investor
Condo/Co-op
Refinance 42.6%
9.8%
6.6%
0.0%
0.0%
2.6%
97.4%
44.2%
9.8%
6.9%
0.0%
0.3%
2.6%
97.4%
44.7%
9.7%
6.3%
0.0%
0.0%
1.9%
98.1%
45.9%
9.7%
6.5%
0.0%
0.2%
1.9%
98.1%
36.1%
9.6%
6.1%
0.0%
0.0%
3.0%
97.0%
37.4%
9.6%
6.4%
0.0%
0.2%
3.0%
97.0%
37.1%
9.9%
6.7%
0.0%
0.0%
3.4%
96.6%
39.0%
10.0%
7.0%
0.0%
0.3%
3.4%
96.6%
53.4%
9.9%
7.3%
0.0%
0.0%
2.2%
97.8%
55.4%
9.8%
7.7%
0.0%
0.3%
2.1%
97.9%
54.0%
9.6%
5.6%
0.0%
0.0%
1.6%
98.4%
55.7%
9.6%
6.0%
0.0%
0.3%
1.5%
98.5%
Certain Characteristics
Purchase
Cash-out refinance
Other refinance 20.5%
22.1%
57.4%
22.7%
21.5%
55.8%
20.7%
24.0%
55.3%
22.4%
23.5%
54.1%
16.3%
19.8%
63.9%
17.9%
19.5%
62.6%
16.9%
20.2%
62.9%
19.4%
19.6%
61.0%
28.7%
24.7%
46.6%
31.8%
23.6%
44.6%
33.9%
20.1%
46.0%
36.4%
19.3%
44.3%
Loan Purpose
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.
Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes the Home Afordable Refinance Program ® (“HARP ®”). Our Refi Plus initiative provides expanded refinance
opportunities for eligible Fannie Mae borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
Newly originated Alt-A loans for the applicable periods consist of the refinance of existing loans under our Refi Plus initiative. For a description of our Alt-A loan classification criteria, refer to Fannie Mae's 2017 Form 10-K.
(1)
(2)
(3)
(4)
Single-Family Acquisitions
6.0%
7.3%
20.3%
Single-Family Acquisitions
6.8%
7.6%
18.9%
Single-Family Acquisitions
California
Texas
Florida 6.1%
7.2%
19.5%
Single-Family Acquisitions
5.1%
6.9%
22.9%
Single-Family Acquisitions
6.1%
7.0%
18.4%
Single-Family Acquisitions
5.5%
7.1%
20.4%
Acquisition Period
(4)
Top 3 Geographic Concentrations
© 2018 Fannie Mae. Trademarks of Fannie Mae. 6
(3)
(2) (2) (2) (2) (2) (2)
®
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 mortgage loan. FICO credit scores at origination below 620 primarily consist of the refinance of existing loans under our Refi Plus
initiative, which includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae borowers, and may involve the
refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
Single-family business acquisitions for the applicable period excluding loans acquired under our Refi Plus initiative, which includes HARP.
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
< 620
Total 100.0%
0.3%
5.3%
35.8%
58.6%
0.2%
0.0%
0.0%
0.1%
0.1%
30.2%
0.1%
1.3%
12.1%
16.7%
51.7%
0.1%
2.9%
18.2%
30.5%
17.9%
0.1%
1.1%
5.4%
11.4%
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
< 620
Total 100.0%
0.3%
4.1%
31.6%
63.9%
0.4%
0.0%
0.1%
0.2%
0.1%
26.2%
0.1%
1.0%
10.0%
15.2%
52.7%
0.1%
2.2%
16.5%
33.8%
20.7%
0.1%
0.8%
5.0%
14.8%
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 100.0%
5.1%
35.6%
59.3%
4.7%
0.2%
2.2%
2.3%
25.7%
1.0%
9.9%
14.7%
52.2%
2.9%
18.3%
31.0%
17.4%
1.0%
5.1%
11.3%
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 100.0%
3.8%
31.3%
64.9%
2.4%
0.1%
1.1%
1.2%
23.9%
0.8%
8.8%
14.3%
53.3%
2.1%
16.6%
34.6%
20.4%
0.7%
4.8%
14.9%
Credit Profile for Single-Family Acquisitions (Excluding Refi Plus)⁽³⁾
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
FIC
O
Cr
ed
it S
co
re
(1)
(2)
(3)
<= 60%
60.01%
to 80%
80.01%
to 95% >95% Total
>=740
660 to < 740
620 to < 660
Total 0.0%
1.3%
4.3%
-5.6%
2.3%
0.1%
1.1%
1.1%
1.8%
0.2%
1.1%
0.4%
-1.1%
0.7%
1.7%
-3.6%
-2.9%
0.3%
0.3%
-3.5%
<= 60%
60.01%
to 80%
80.01%
to 100% > 100% Total
>=740
660 to < 740
620 to < 660
<620
Total 0.0%
-0.1%
1.2%
4.1%
-5.3%
-0.2%
0.0%
0.0%
-0.1%
0.0%
3.9%
0.0%
0.3%
2.1%
1.5%
-0.9%
0.0%
0.7%
1.7%
-3.3%
-2.8%
0.0%
0.3%
0.4%
-3.4%
Credit Profile for Single-Family Acquisitions
Credit Risk Profile Summary of Single-Family Business Acquisitions⁽¹⁾
2017
2017 2016
2016
Change in
Acquisitions
Profile
Change in
Acquisitions
Profile
Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio
Origination LTV Ratio Origination LTV Ratio Origination LTV Ratio
© 2018 Fannie Mae. Trademarks of Fannie Mae. 7
(2)
(2)
(2) (2)
(2) (2
)
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⁽²⁾
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
660
680
700
720
740
760
780
FIC
O
Cr
ed
it S
co
re
0%
5%
10%
15%
20%
%
of
Sin
gle
-Fa
mi
ly B
us
ine
ss
Ac
qu
isit
ion
s
FICO Credit Score⁽²⁾
2006 2007 2008 2009 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
Share of Single-Family Business Acquisitions:
Fixed-rate Product
2006 2007 2008 2009 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
Share of Single-Family Business Acquisitions:
Loan Purpose - Purchase
Product Feature⁽²⁾
Weighted Average Origination LTV Ratio Origination LTV > 90% Weighted Average FICO Credit Score FICO Credit Score < 620
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 mortgage loan. Loans acquired after 2009 with FICO credit scores at origination below 620 primarily consist of the refinance of existing
loans under our Refi Plus initiative, which includes HARP.
Certain Credit Characteristics of Single-Family Business Acquisitions: 2006 - 2017⁽¹⁾
(1)
(2)
.
© 2018 Fannie Mae. Trademarks of Fannie Mae. 8
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%
HARP Refi Plus Acquisitions (Excluding HARP) Refinance Acquisitions (Excluding Refi Plus) Purchase Acquisitions
2010
HARP
Refi Plus
(Excl.
HARP)
2011
HARP
Refi Plus
(Excl.
HARP)
2012
HARP
Refi Plus
(Excl.
HARP)
2013
HARP
Refi Plus
(Excl.
HARP)
2014
HARP
Refi Plus
(Excl.
HARP)
2015
HARP
Refi Plus
(Excl.
HARP)
2016
HARP
Refi Plus
(Excl.
HARP)
2017
HARP
Refi Plus
(Excl.
HARP)
Unpaid Principal Balance (UPB) ($B)
Weighted Average Origination Note Rate 4.68%
$80.5
5.00%
$59.0
4.44%
$81.2
4.78%
$55.6
3.89%
$73.8
4.14%
$129.9
3.80%
$64.4
4.04%
$99.5
4.39%
$23.5
4.62%
$21.5
4.08%
$19.2
4.23%
$11.2
3.89%
$14.7
4.05%
$7.4
4.13%
$10.1
4.28%
$4.0
Credit Characteristics of Single-Family Business Acquisitions Under the Refi Plus Initiative⁽¹⁾
Our Refi Plus initiative, which started in April 2009, includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae
borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
<=80%
80.01% to 105%
105.01% to 125%
>125%
Weighted Average Origination LTV Ratio 62.3%
0.0%
0.0%
0.0%
100.0%
92.2%
0.0%
5.6%
94.4%
0.0%
60.2%
0.0%
0.0%
0.0%
100.0%
94.3%
0.0%
11.9%
88.1%
0.0%
61.1%
0.0%
0.0%
0.0%
100.0%
111.0%
20.7%
22.1%
57.2%
0.0%
60.2%
0.0%
0.0%
0.0%
100.0%
109.8%
20.1%
21.5%
58.4%
0.0%
61.3%
0.0%
0.0%
0.0%
100.0%
101.5%
9.9%
16.9%
73.3%
0.0%
60.4%
0.0%
0.0%
0.0%
100.0%
98.4%
7.0%
15.0%
78.0%
0.0%
60.0%
0.0%
0.0%
0.0%
100.0%
96.9%
5.4%
13.5%
81.1%
0.0%
58.6%
0.0%
0.0%
0.0%
100.0%
96.0%
4.7%
12.4%
82.8%
0.0%
Origination LTV Ratio
< 620
620 to < 660
660 to < 740
>=740
Weighted Average FICO Credit Score 760
72.3%
23.9%
2.4%
1.4%
746
61.2%
33.1%
3.6%
2.0%
758
70.0%
25.6%
2.8%
1.7%
746
61.5%
32.6%
3.8%
2.1%
753
66.9%
26.0%
4.2%
2.9%
738
56.6%
33.8%
6.0%
3.7%
737
55.8%
31.9%
6.9%
5.3%
722
45.1%
38.7%
9.5%
6.7%
717
43.0%
36.5%
11.2%
9.3%
704
33.9%
41.0%
14.5%
10.6%
722
46.3%
34.4%
10.5%
8.8%
706
34.8%
41.1%
14.6%
9.5%
717
41.6%
37.5%
11.6%
9.2%
703
30.8%
44.9%
15.3%
9.1%
711
37.6%
40.1%
12.5%
9.8%
702
29.8%
46.2%
15.2%
8.8%
FICO Credit Scores
(1)
(2)
Single-Family Business Acquisitions by Loan Purpose
Acquisition Year
© 2018 Fannie Mae. Trademarks of Fannie Mae. 9
(2)
Acquisitions
Overal Book
Origination Year
2017 2016 2015 2014 2013 2012 2011 2010 2009
2008 &
Earlier
Unpaid Principal Balance (UPB) ($B)
Share of Single-Family Conventional Guaranty Book
Average Unpaid Principal Balance
Serious Delinquency Rate
Weighted Average Origination LTV Ratio
Origination LTV Ratio > 90%
Weighted Average Mark-to-Market LTV Ratio
Mark-to-Market LTV Ratio > 100% and <= 125%
Mark-to-Market LTV Ratio > 125%
Weighted Average FICO Credit Score
FICO < 620
Interest Only
Negative Amortizing
Fixed-rate
Primary Residence
Condo/Co-op
Credit Enhanced
Cumulative Default Rate
40.5%
9.3%
88.5%
95.2%
0.1%
1.2%
1.7%
745
0.2%
0.8%
58.1%
16.7%
75.0%
1.24%
$166,643
100.0%
$2,858.9
15.3%
9.1%
89.5%
71.0%
1.0%
10.9%
9.6%
698
1.4%
4.3%
57.7%
14.5%
75.3%
4.85%
$98,374
9.7%
$277.5
0.9%
3.2%
8.6%
90.6%
97.4%
0.0%
1.1%
1.0%
751
0.0%
0.1%
46.6%
6.2%
69.4%
1.07%
$131,428
2.8%
$80.6
0.7%
4.2%
8.1%
89.1%
96.9%
0.0%
0.9%
0.8%
756
0.0%
0.1%
44.8%
9.9%
71.0%
0.66%
$133,401
4.1%
$117.2
0.4%
6.5%
8.3%
86.9%
96.5%
0.0%
0.5%
0.8%
757
0.0%
0.1%
43.2%
12.1%
71.1%
0.57%
$134,278
5.0%
$143.9
0.4%
22.8%
8.7%
88.6%
98.3%
0.0%
0.2%
1.1%
759
0.2%
0.8%
47.0%
18.8%
76.4%
0.44%
$166,455
14.4%
$411.6
0.4%
46.0%
9.9%
86.0%
98.1%
0.0%
0.2%
1.9%
750
0.3%
1.0%
51.8%
20.5%
76.8%
0.62%
$164,031
12.5%
$357.8
0.2%
60.3%
9.7%
85.7%
96.2%
0.0%
0.0%
1.5%
743
0.1%
0.5%
58.8%
19.8%
76.9%
0.84%
$167,657
6.8%
$195.7
0.1%
64.8%
9.6%
88.0%
97.8%
0.0%
0.0%
0.7%
748
0.0%
0.2%
61.4%
16.7%
75.1%
0.57%
$196,783
11.6%
$331.7
0.0%
63.6%
9.5%
90.4%
98.8%
0.0%
0.0%
0.3%
751
0.0%
0.1%
65.5%
15.5%
73.7%
0.40%
$220,287
18.1%
$518.0
0.0%
41.7%
9.7%
88.9%
97.4%
0.0%
0.0%
0.3%
744
0.0%
0.2%
73.4%
18.7%
75.9%
0.21%
$222,105
14.9%
$424.9
Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information
for approximately 99% of its single-family conventional guaranty book of business as of December 31, 2017.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan. Loans acquired after 2009 with FICO credit scores at origination below 620 primarily consist of the refinance of existing
loans under our Refi Plus initiative, which includes HARP.
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, leters 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 single-family loan acquisitions with credit enhancement wil increase in the future.
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. For 2008 and earlier cumulative default rates, refer to slide 18.
(1)
(2)
(3)
(4)
.
Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year
(1)
(1)
(3)
(4)
As of December 31, 2017
© 2018 Fannie Mae. Trademarks of Fannie Mae. 10
(2)
(2)
n/a n/a
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 Conventional Guaranty Book
Average Unpaid Principal Balance
Serious Delinquency Rate
Acquisition Years 2005-2008
Weighted Average Origination LTV Ratio
Origination LTV Ratio > 90%
Weighted Average Mark-to-Market LTV Ratio
Mark-to-Market LTV Ratio > 100% and <= 125%
Mark-to-Market LTV Ratio > 125%
Weighted Average FICO Credit Score
FICO < 620
Fixed-rate
Primary Residence
Condo/Co-op
Credit Enhanced 11.3%
9.3%
84.3%
99.0%
5.8%
731
0.6%
2.6%
57.6%
38.4%
86.0%
0.0%
0.99%
$139,763
13.2%
$378.5
8.9%
9.4%
76.8%
69.2%
3.5%
709
1.9%
6.0%
63.9%
17.8%
79.3%
54.5%
4.95%
$140,147
2.5%
$71.2
48.4%
5.9%
93.9%
90.6%
100.0%
582
4.4%
11.6%
81.6%
100.0%
109.0%
26.9%
8.74%
$129,754
0.5%
$15.0
72.0%
9.4%
94.5%
97.5%
3.1%
732
0.9%
3.2%
79.1%
100.0%
101.4%
5.8%
1.98%
$174,961
16.7%
$478.8
34.4%
6.0%
93.4%
91.1%
0.0%
642
0.8%
2.7%
63.3%
21.8%
78.2%
20.7%
4.31%
$139,130
5.2%
$149.7
19.9%
4.6%
94.2%
86.1%
100.0%
582
1.8%
5.2%
63.8%
30.6%
82.0%
37.1%
7.59%
$114,488
1.7%
$49.2
12.7%
14.1%
86.0%
25.5%
1.7%
721
2.5%
8.3%
69.9%
8.2%
74.1%
81.0%
6.68%
$219,381
1.2%
$34.5
Loans with multiple product features are included in al applicable categories.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
For a description of our Alt-A loan classification criteria, refer to Fannie Mae's 2017 Form 10-K.
Our Refi Plus initiative, which started in April 2009, includes the Home Afordable Refinance Program (“HARP”). Our Refi Plus initiative provides expanded refinance opportunities for eligible Fannie Mae
borowers, and may involve the refinance of existing Fannie Mae loans with high loan-to-value ratios, including loans with loan-to-value ratios in excess of 100%.
The subtotal is calculated by counting a loan only once even if it is included in multiple categories.
Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level
information for approximately 99% of its single-family conventional guaranty book of business as of December 31, 2017.
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, leters 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.
Subtotal of
Certain Product
Features
43.3%
8.6%
91.2%
93.1%
5.5%
719
0.6%
2.3%
66.8%
53.9%
86.6%
12.2%
2.35%
$151,436
31.1%
$888.4
Credit Characteristics of Single-Family Conventional Guaranty Book of Business
by Certain Product Features
(1)
(2)
(3)
(4)
(5)
(6)
(7).
As of December 31, 2017
© 2018 Fannie Mae. Trademarks of Fannie Mae. 11
(6)
(2)
(2)
(6)
(2)
(2) (3) (4)
(7)
(2) (5)
(1)
Midwest
Northeast
Southeast
Southwest
West 12.0%
7.3%
24.3%
38.0%
18.4%
905
637
823
1,467
591
2,203
2,929
6,933
8,076
6,170
802
1,307
2,927
2,540
2,324
535
1,050
1,894
1,957
1,762
0.49%
0.99%
1.74%
2.11%
0.92%
8.4%
15.2%
33.6%
28.7%
14.1%
0.4%
0.4%
1.6%
1.6%
1.1%
51.4%
59.9%
62.0%
58.6%
62.4%
28.0%
17.3%
22.1%
17.8%
14.7%
$801.4
$495.8
$633.1
$508.6
$419.9
Regions
Based on the unpaid principal balance (UPB) of the single-family conventional guaranty book of business as of December 31, 2017. Excludes non-Fannie Mae securities held in portfolio and those Alt-A and
subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to detailed loan-level information for approximately 99% of its single-family conventional guaranty book of
business as of December 31, 2017.
“Seriously delinquent loans” refers to single-family conventional loans that are 90 days or more past due or in the foreclosure process. “Seriously delinquent loan share” refers to the percentage of our
single-family seriously delinquent loan population in the applicable state or region. “Serious delinquency rate” refers to the number of single-family conventional loans that were seriously delinquent in the
applicable state or region, divided by the number of loans in our single-family conventional guaranty book of business in that state or region.
Measured from the borowers’ last paid instalment on their mortgages to when the related properties were added to our REO inventory for foreclosures completed in 2017. Home Equity Conversion
Mortgages (HECMs) insured by Department of Housing and Urban Development (HUD) are excluded from this calculation.
Expressed as a percentage of the single-family credit losses for the time periods noted. 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. For more information on credit losses, refer to Fannie Mae’s 2017 Form 10-K.
Select states represent the top ten states in UPB of the single-family conventional guaranty book of business as of December 31, 2017.
For information on which states are included in each region, refer to the single-family mortgage credit risk management discussion in Fannie Mae’s 2017 Form 10-K.
Credit Characteristics of Single-Family Conventional Guaranty Book of Business
and Single-Family Real Estate Owned (REO) in Select States
SF Conventional Guaranty Book of Business
as of December 31, 2017
Seriously Delinquent Loans
as of December 31, 2017 Real Estate Owned (REO) Credit Loss
(1)
(2)
(3)
(4)
(5)
(6)
Al States 100.0%91226,3119,9007,1981.24%100.0%1.0%58.1%100.0%$2,858.9
Unpaid Principal
Balance (UPB)
($B)
Share of
Single-Family
Conventional
Guaranty Book
Weighted
Average
Mark-to-Market
LTV Ratio
Mark-to-Market
LTV >100%
Seriously
Delinquent Loan
Share
Serious
Delinquency
Rate
Q4 2017
Acquisitions
(# of properties)
Q4 2017
Dispositions
(# of properties)
REO Ending
Inventory
as of 12/31/17
Average Days to
Foreclosure
% of 2017 Credit
Losses
California
Texas
Florida
New York
Ilinois
New Jersey
Washington
Virginia
Pennsylvania
Colorado 0.1%
4.5%
1.9%
0.6%
13.7%
9.4%
11.5%
10.4%
0.9%
8.3%
665
836
530
1,139
1,877
736
1,948
1,334
629
626
71
1,164
724
342
2,714
1,872
1,661
1,870
596
900
29
507
250
126
879
639
497
1,118
199
372
29
365
214
62
678
542
364
393
179
297
0.26%
1.39%
0.65%
0.49%
2.15%
1.24%
2.02%
3.71%
1.46%
0.42%
0.5%
4.0%
1.6%
1.2%
5.4%
4.3%
7.2%
19.2%
8.2%
4.6%
0.0%
1.0%
0.9%
0.1%
3.2%
2.8%
1.4%
3.3%
0.0%
0.4%
54.8%
62.5%
62.1%
53.4%
62.1%
64.0%
53.4%
62.1%
59.0%
49.4%
3.0%
3.0%
3.5%
3.6%
3.7%
3.7%
5.1%
5.7%
6.2%
19.5%
$84.9
$85.1
$99.0
$103.6
$105.0
$106.8
$145.7
$161.7
$178.3
$557.2
Select States
Total
© 2018 Fannie Mae. Trademarks of Fannie Mae. 12
(3) (4)(5)
(6)
(2)
(1) (2)
Based on states with the largest volume of seriously delinquent loans in our single-family conventional guaranty book of business as of December 31, 2017.
“Seriously delinquent loan share” refers to the percentage of our single-family seriously delinquent loan population in the applicable state.
Share of REO ending inventory calculated as the number of properties in the single-family REO ending inventory for the state divided by the total number of single-family properties in the REO ending inventory
for the specified time period.
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
0K
40K
80K
120K
160K
200K
240K
280K
320K
360K
SD
Q
Vo
lum
e
0%
5%
10%
15%
20%
25%
212K
19.2%
8.2%
12.5%
7.2%
5.4%
4.6%
3.1%
10.6%
10.1%
5.2%
Seriously Delinquent Loan Share by Select States⁽²⁾
California
Florida
New Jersey
New York
Texas
SDQ Volume
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
0K
10K
20K
30K
40K
50K
60K
70K
80K
90K
100K
RE
O
En
din
g I
nv
en
tor
y
0%
5%
10%
15%
20%
25%
26K
1.8% 2.3%
4.3% 6.3%
6.8%
10.3%
18.0%
7.1%
3.9%
3.4%
REO Ending Inventory Share by Select States⁽³⁾
California
Florida
New Jersey
New York
Texas
REO Ending Inventory
(1)
(2)
(3)
.
Seriously Delinquent Loan and REO Ending Inventory Share by Select States⁽¹⁾
© 2018 Fannie Mae. Trademarks of Fannie Mae. 13
Single-Family Short Sales and REO Sales Prices to Unpaid Principal Balance
(UPB) of Mortgage Loans
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
60%
70%
80%
90%
72.4% 72.6% 73.1%
75.0% 73.9% 73.6% 74.1%
75.8% 75.5%75.2%
79.3% 79.9%
81.9% 80.9% 80.3% 80.9%
83.0% 82.7%82.3%
79.7%
REO⁽¹⁾ Direct Sale Dispositions: Sales Prices to UPB⁽²⁾
Net Sales Prices to UPB Trends for Top 10 States⁽²⁾⁽³⁾
REO Gross Sales/UPB REO Net Sales/UPB
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
60%
70%
80%
90%
73.8% 73.5% 73.3% 74.6% 73.7% 74.1%74.1%
75.8%75.5%75.3%
82.0% 81.7% 83.2% 82.4% 82.5%82.7%
84.5%
82.4%
84.3%84.2%
Short Sales: Sales Prices to UPB⁽²⁾
Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017
Florida
New Jersey
Ilinois
Ohio
New York
Pennsylvania
Michigan
California
Maryland
Georgia 83.8%
71.8%
88.3%
70.1%
69.6%
71.8%
57.3%
63.5%
64.3%
82.7%
83.2%
70.4%
89.4%
69.6%
68.8%
71.3%
63.3%
64.9%
64.1%
83.1%
80.8%
67.7%
87.7%
68.0%
66.6%
70.3%
60.0%
62.5%
65.2%
81.7%
79.9%
70.4%
88.3%
62.4%
60.6%
68.3%
58.6%
64.7%
63.9%
80.5%
79.1%
70.4%
87.2%
60.9%
64.9%
66.9%
58.1%
63.3%
63.0%
79.7%
Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017
Florida
New Jersey
Ilinois
New York
California
Maryland
Nevada
Virginia
Connecticut
Pennsylvania 71.6%
72.5%
77.1%
76.1%
73.7%
82.3%
81.1%
70.5%
65.0%
77.2%
71.7%
74.2%
76.7%
75.6%
72.9%
83.7%
76.0%
70.6%
68.0%
76.0%
74.3%
71.5%
80.3%
76.2%
72.7%
84.1%
73.1%
70.2%
64.0%
77.5%
72.5%
65.4%
79.5%
70.7%
70.0%
81.9%
74.7%
70.6%
62.5%
74.3%
73.7%
69.9%
78.2%
73.3%
73.0%
81.4%
74.8%
69.1%
65.1%
73.4%
Short Sales Gross Sales/UPB Short Sales Net Sales/UPB
Includes REO properties that have been sold to a third party (excluding properties that have been repurchased by the seler/servicer, acquired by a mortgage insurance company, or redeemed by a borower).
Sales Prices to UPB are calculated as the sum of sales proceeds received divided by the aggregate unpaid principal balance (UPB) of the related loans. Gross sales price represents the contract sale price. Net
sales price represents the contract sale price less charges/credits paid by or due to the seler or other parties at closing.
The states shown had the greatest volume of properties sold in 2017 in each respective category.
(1)
(2)
(3)
REO Net Sales
Prices to UPB
Short Sales
Net Sales
Prices to UPB
© 2018 Fannie Mae. Trademarks of Fannie Mae. 14
Foreclosure Alternatives⁽²⁾
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) repayment plans and forbearances completed.
Consists of (a) short sales, in which the borower, 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 borower’s voluntarily signing over title to the property.
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
0K
2K
4K
6K
8K
10K
12K
14K
16K
18K
20K
22K
24K
# o
f L
oa
ns
0K
2K2K2K2K2K
3K3K3K3K
4K 1K
1K1K1K
1K2K2K
2K
2K
6K
5K 5K 4K 4K 4K 3K 3K
2K 2K
Short Sales
Deeds-in-Lieu
2015
Q3
2015
Q4
2016
Q1
2016
Q2
2016
Q3
2016
Q4
2017
Q1
2017
Q2
2017
Q3
2017
Q4
0K
2K
4K
6K
8K
10K
12K
14K
16K
18K
20K
22K
24K
# o
f L
oa
ns
22K
20K
22K
20K
17K
21K21K21K
19K
22K
1K
1K
2K
2K
2K
2K2K1K
1K
1K
24K
20K
22K
23K 22K
19K
22K
23K
21K
23K
Modifications
Repayment Plans and Forbearances Completed
(1)
(2)
Home Retention Solutions⁽¹⁾
Single-Family Loan Workouts
© 2018 Fannie Mae. Trademarks of Fannie Mae. 15
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.
2015 Q1 2015 Q2 2015 Q3 2015 Q4 2016 Q1 2016 Q2 2016 Q3 2016 Q4 2017 Q1 2017 Q2 2017 Q3
Modifications 19,92721,53919,92817,32520,80221,27820,89919,09922,19926,21426,700
Re-performance Rates of Modified Single-Family Loans⁽¹⁾
(1)
(2)
2015Q1 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3
3 Months Post Modification
6 Months Post Modification
9 Months Post Modification
12 Months Post Modification
15 Months Post Modification
18 Months Post Modification
21 Months Post Modification
24 Months Post Modification
70%
65%
75%
64%
70%
79%
63%
66%
71%
77%
62%
65%
67%
69%
75%
62%
64%
66%
67%
68%
77%
63%
65%
65%
66%
65%
70%
79%
65%
65%
65%
64%
64%
67%
72%
78%
65%
65%
63%
62%
64%
67%
69%
76%
68%
65%
64%
64%
67%
67%
69%
77%
67%
65%
65%
66%
67%
68%
72%
79%
% Current or Paid Of
© 2018 Fannie Mae. Trademarks of Fannie Mae. 16
n/a
n/a n/a
n/a n/a n/a
n/a n/a n/a n/a
n/a n/a n/a n/a n/a
n/a n/a n/a n/a n/a n/a
n/a n/a n/a n/a n/a n/a n/a
(2)
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.
Based on single-family credit losses for the year ended December 31 for the time periods noted. Expressed as a percentage of single-family credit losses for the time periods noted. 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. Negative values are the result of recoveries on previously recognized
credit losses. For more information on credit losses, refer to Fannie Mae’s 2017 Form 10-K.
Loans with multiple product features are included in al applicable categories. Categories are not mutualy exclusive.
FICO credit score is as of loan origination, as reported by the seler of the mortgage loan.
Newly originated Alt-A loans acquired after 2008 consist of the refinance of existing loans under our Refi Plus Initiative. For a description of our Alt-A loan classification creteria, refer to Fannie Mae's 2017 Form 10-K.
For a description of our subprime loan classification criteria, refer to Fannie Mae’s 2017 Form 10-K.
Select states represent the top ten states with the highest percentage of single-family credit losses for the year ended December 31, 2017.
Credit Loss Concentration of Single-Family Conventional Guaranty Book of Business
(1)
(2)
(3)
(4)
(5)
(6)
(7)
New Jersey
New York
Florida
Ilinois
California
Maryland
Pennsylvania
Ohio
Connecticut
Nevada
Al Other States 50.6%
1.0%
1.4%
2.2%
3.1%
2.8%
19.0%
4.2%
6.0%
5.6%
4.0%
50.8%
1.0%
1.4%
2.1%
3.1%
2.8%
19.6%
4.1%
5.7%
5.6%
4.0%
51.0%
1.0%
1.3%
2.1%
3.0%
2.7%
19.6%
4.1%
5.6%
5.5%
4.0%
51.4%
1.0%
1.3%
2.0%
3.0%
2.7%
19.7%
4.0%
5.6%
5.4%
3.9%
51.9%
1.0%
1.3%
2.0%
3.0%
2.7%
19.6%
3.9%
5.6%
5.2%
3.8%
52.4%
1.1%
1.2%
2.0%
3.0%
2.7%
19.5%
3.7%
5.7%
5.1%
3.7%
35.4%
4.8%
0.9%
3.3%
1.6%
1.8%
18.4%
9.6%
21.4%
0.9%
2.0%
32.1%
3.8%
1.4%
4.1%
3.0%
3.1%
5.1%
12.9%
28.9%
1.9%
3.7%
26.7%
1.4%
2.8%
4.2%
4.2%
5.9%
-0.8%
10.9%
32.6%
4.8%
7.2%
18.6%
1.8%
2.3%
2.2%
3.4%
3.8%
1.4%
7.8%
20.8%
16.4%
21.6%
29.5%
1.2%
2.7%
4.3%
5.0%
3.9%
2.1%
8.7%
7.9%
18.3%
16.5%
28.9%
2.2%
2.8%
3.6%
4.5%
4.7%
8.3%
9.4%
10.4%
11.5%
13.7%
Select State
% of Single-Family Conventional Guaranty Book of Business
2017 2016 2015 2014 2013 2012
% of Single-Family Credit Losses
2017 2016 2015 2014 2013 2012
Negative Amortizing
Interest Only
FICO < 620
FICO 620 to < 660
Origination LTV Ratio > 90%
FICO < 620 and Origination LTV Ratio > 90%
Alt-A
Subprime
Refi Plus including HARP 16.5%
0.2%
5.6%
0.7%
12.8%
6.0%
2.9%
3.7%
0.3%
19.5%
0.1%
4.7%
0.7%
15.1%
5.5%
2.6%
2.9%
0.2%
19.1%
0.1%
4.2%
0.7%
15.9%
5.5%
2.5%
2.5%
0.2%
17.6%
0.1%
3.7%
0.7%
16.3%
5.5%
2.3%
2.1%
0.1%
15.4%
0.1%
3.1%
0.6%
16.4%
5.3%
2.0%
1.7%
0.1%
13.2%
0.1%
2.5%
0.5%
16.7%
5.2%
1.7%
1.2%
0.1%
3.5%
1.1%
23.7%
2.3%
16.8%
14.2%
7.8%
21.8%
0.5%
7.4%
-0.2%
26.0%
2.0%
20.8%
15.7%
7.0%
18.7%
0.8%
10.4%
1.3%
17.4%
2.9%
15.3%
17.6%
12.1%
10.2%
0.9%
7.8%
1.6%
29.3%
2.7%
16.4%
18.3%
11.1%
18.0%
1.2%
14.0%
1.3%
24.9%
3.9%
21.9%
21.3%
14.5%
12.2%
0.3%
15.9%
1.6%
21.9%
4.0%
23.9%
19.5%
13.5%
15.7%
0.2%
2009 - 2017
2005 - 2008
2004 & Prior 13.1%
21.7%
65.3%
9.1%
14.7%
76.2%
7.3%
12.2%
80.5%
5.8%
10.1%
84.1%
4.5%
8.1%
87.4%
3.5%
6.2%
90.3%
13.1%
81.8%
5.1%
12.4%
77.6%
10.0%
12.0%
74.7%
13.3%
12.1%
77.6%
10.3%
16.4%
64.7%
19.0%
12.2%
64.8%
23.1%
Vintage
Certain Product Features⁽³⁾
© 2018 Fannie Mae. Trademarks of Fannie Mae. 17
(4)
(4)
(4)
(5)
(6)
(1) (2)
(7)
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 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.
* As of December 31, 2017, cumulative default rate on the loans originated from 2012 to 2017 was less than 1.2%.
Data as of December 31, 2017 is not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materialy, in future periods.
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
-Q
1
Yr
11
-Q
2
Yr
11
-Q
3
Yr
11
-Q
4
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Cu
mu
lat
ive
De
fau
lt R
ate
2007
2006
2005
2004
2003
2002
2017* 2016* 2015* 2014* 2013* 2012* 2011 2010 2009
2008
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012*
2013*
2014*
2015*
2016*
2017*
Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year
Time Since Beginning of Origination Year
© 2018 Fannie Mae. Trademarks of Fannie Mae. 18
Loan Count UPB ($B)
% of Multifamily
Guaranty Book of
Business
% DUS Loans % SeriouslyDelinquent
2017 Multifamily
Credit Losses ($M)
2016 Multifamily
Credit Losses ($M)
2015 Multifamily
Credit Losses ($M)
Total Multifamily Guaranty Book of Business ($56)($4)($20)0.11%97.4%100%$277.328,184
Loans maturing in 2018
Loans maturing in 2019
Loans maturing in 2020
Loans maturing in 2021
Loans maturing in 2022
Other maturities ($56)
$1
$2
($1)
($2)
$0
($15)
$2
$1
$5
$0
$4
($7)
$0
($1)
($5)
($1)
($7)
0.07%
0.18%
0.31%
0.07%
0.34%
0.18%
98%
97%
97%
97%
98%
94%
75%
8%
6%
5%
5%
2%
$207.0
$22.8
$16.4
$13.5
$12.9
$4.6
17,867
3,154
2,262
2,172
1,715
1,014
Maturity Dates
Less than or equal to 70%
Greater than 70% and less than or equal to 80%
Greater than 80% $2
($34)
($24)
$0
$3
($7)
($2)
$0
($18)
0.21%
0.11%
0.10%
92%
99%
96%
2%
44%
55%
$4.2
$121.4
$151.7
945
9,960
17,279
Origination LTV Ratio
Less than or equal to $750K
Greater than $750K and less than or equal to $3M
Greater than $3M and less than or equal to $5M
Greater than $5M and less than or equal to $25M
Greater than $25M ($15)
($60)
$9
$9
$1
$0
($15)
$6
$5
$0
($2)
($22)
$1
$3
$0
0.07%
0.12%
0.20%
0.29%
0.34%
98%
99%
93%
85%
25%
51%
39%
5%
4%
0%
$142.1
$108.4
$13.6
$12.2
$1.0
2,786
9,794
3,743
7,763
4,098
Loan Size Distribution
(1)
(2)
(3)
(4)
(5)
(6)
Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
Dolar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period may not tie to sum of al categories due to rounding.
Weighted average origination loan-to-value ratio is 67% as of December 31, 2017.
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.
Multifamily loans with an original unpaid balance of up to $3 milion nationwide or up to $5 milion in high cost markets.
DUS - Smal Balance Loans
DUS - Non Smal Balance Loans
Total ($54)
($57)
$3
($3)
($6)
$2
($19)
($25)
$5
0.11%
0.10%
0.24%
100%
100%
100%
97%
93%
5%
$270.0
$257.4
$12.6
22,598
15,793
6,805
Delegated Underwriting and Servicing (DUS) Loans
Non-DUS - Smal Balance Loans
Non-DUS - Non Smal Balance Loans
Total ($2)
($5)
$2
($1)
($2)
$1
($1)
$0
$0
0.08%
0.00%
0.18%
0%
0%
0%
3%
1%
1%
$7.2
$3.9
$3.3
5,586
262
5,324
Non-Delegated Underwriting and Servicing (Non-DUS) Loans
Lender Risk-Sharing
No Recourse to the Lender ($32)
($24)
($14)
$10
($14)
($6)
0.02%
0.11%
68%
98%
4%
96%
$10.1
$267.2
1,763
26,421
Lender Risk-Sharing
Fixed
Variable ($22)
($34)
$2
($6)
$0
($20)
0.09%
0.11%
97%
98%
18%
82%
$51.1
$226.2
5,964
22,220
Interest Rate Type
Multifamily Credit Profile by Loan Attributes
As of December 31, 2017
© 2018 Fannie Mae. Trademarks of Fannie Mae. 19
(1)®
(4)
(5)
(6)
(6)
(2) (3) (3) (3)
19
UPB ($B)
% of Multifamily
Guaranty Book of
Business
% DUS Loans % SeriouslyDelinquent
2017 Multifamily
Credit Losses ($M)
2016 Multifamily
Credit Losses ($M)
2015 Multifamily
Credit Losses ($M)
Total Multifamily Guaranty Book of Business ($56)($4)($20)0.11%97%100%$277.3
Multifamily Credit Profile by Loan Attributes (cont.)
California
Texas
New York
Florida
Washington $1
($3)
$1
($6)
$0
$0
$0
$0
($5)
$0
$0
$0
($1)
($3)
$0
0.00%
0.00%
0.01%
0.50%
0.00%
99%
98%
85%
100%
97%
4%
7%
9%
12%
20%
$10.6
$20.6
$24.1
$33.9
$54.6
Select States
Privately Owned with Subsidy ($4)$2($1)0.21%95%12%$33.3
Targeted Afordable Segment
DUS: Bank (Direct or Guaranteed Entity)
DUS: Non-Bank Financial Institution
Non-DUS: Bank (Direct or Guaranteed Entity)
Non-DUS: Non-Bank Financial Institution
Non-DUS: Public Agency/Non Profit $0
$0
$0
($13)
($44)
$0
($2)
$0
($5)
$3
$0
$0
$0
($4)
($16)
0.00%
0.00%
0.11%
0.12%
0.07%
3%
1%
0%
100%
97%
0%
0%
1%
66%
33%
$0.2
$0.2
$3.2
$181.8
$91.9
DUS & Non-DUS Lenders/Servicers
Represents the percentage of loans for a given category (row) comprised of DUS loans, measured by unpaid principal balance.
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
Dolar amount of multifamily credit-related losses/(gains) for the applicable period and category. Total credit losses for each period wil not tie to sum of al categories due to rounding.
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.
See htps:/www.fanniemae.com/multifamily/products for definitions.
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
Prior to 2007 ($24)
($17)
($20)
$4
($1)
$2
$0
$0
$0
$0
$0
$0
($7)
($3)
($1)
$0
$3
$0
$2
$0
$0
$0
$0
$0
$2
($14)
($5)
$0
($5)
($1)
$0
$0
$2
$0
$1
$0
0.15%
0.63%
0.07%
0.06%
0.00%
0.38%
0.30%
0.11%
0.15%
0.09%
0.02%
0.04%
95%
69%
93%
97%
95%
96%
97%
98%
99%
99%
99%
97%
4%
1%
2%
3%
3%
5%
8%
8%
9%
14%
19%
24%
$12.4
$2.8
$4.9
$8.9
$9.0
$13.3
$22.2
$21.4
$24.1
$37.8
$53.4
$67.0
By Acquisition Year
Midwest
Northeast
Southeast
Southwest
West ($31)
($11)
($19)
$4
$1
($7)
($7)
$6
$1
$3
$0
($18)
$2
($1)
($2)
0.00%
0.30%
0.06%
0.13%
0.02%
97%
99%
99%
90%
99%
27%
23%
26%
15%
9%
$75.3
$63.7
$72.2
$41.2
$24.9
Regions
Conventional/Co-op
Seniors Housing
Manufactured Housing
Student Housing ($7)
$0
$7
($56)
($5)
$0
$2
($1)
$1
$0
($1)
($20)
0.00%
0.00%
0.00%
0.12%
100%
100%
98%
97%
4%
3%
5%
88%
$9.8
$9.5
$14.8
$243.1
Asset Class
(1)
(2)
(3)
(4)
(5)
As of December 31, 2017
© 2018 Fannie Mae. Trademarks of Fannie Mae. 20
(1) (2) (3) (3) (3)
(4)
(5)
19
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%0.08%
1.36%
1.20%
0.24%
0.30%
0.71%
0.18%
0.21%
0.56%
0.24% 0.21%
0.63%
0.50%
0.11%0.10%
0.59%
0.07%
0.07% 0.06% 0.05%
0.05%
0.92%
0.08%0.04%
0.39%
Multifamily Total Serious Delinquency Rate DUS Serious Delinquency Rate Non-DUS Serious Delinquency Rate
Serious Delinquency⁽¹⁾ Rates of Multifamily Book of Business
Multifamily loans are classified as seriously delinquent when payment is 60 days or more past due. Serious delinquency rate represents the year-end percentage of unpaid principal balance that is seriously
delinquent as of December 31 for the time periods noted.
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.
(1)
(2)
.
© 2018 Fannie Mae. Trademarks of Fannie Mae. 21
(2)
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
$67
DUS/Non-DUS Acquisition Unpaid Principal Balance ($B)⁽²⁾
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
0.0%
0.5%
1.0%
1.5%
2.0%
Cr
ed
it L
os
s R
ate
0.2%
0.0%
0.1% 0.2%
0.0%
0.1%
0.4%
0.0%
0.3%
0.5%
0.0%
0.4%
0.9%
0.2%
0.7%
1.2%
0.9%
1.1%
0.8%
1.4%
0.9%
0.3%
0.1%
0.2%
0.1%0.0%0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
DUS/Non-DUS Cumulative Credit Loss Rates through December 31, 2017⁽¹⁾
DUS Credit Loss Rate Non-DUS Credit Loss Rate Multifamily Total Credit Loss Rate
Cumulative Credit Loss Rates of Multifamily Guaranty Book of Business by
Acquisition Year
DUS Non-DUS
* Year-to-date through December 31, 2017. Acquisition Year
Cumulative credit loss rate is the cumulative credit losses (gains) through December 31, 2017 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.
Acquisition unpaid principal balance represents the total Multifamily volume acquired through purchase or securitization transactions for the applicable period.
(1)
(2)
© 2018 Fannie Mae. Trademarks of Fannie Mae. 22