Federal National Mortgage Association (Fannie Mae)

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Yale University EliScholar – A Digital Platform for Scholarly Publishing at Yale YPFS Documents (Series 1) Browse by Media Type 12-1-2016 Fannie Mae Monthly Summary: December 2016 Federal National Mortgage Association (Fannie Mae) Follow this and additional works at: https://elischolar.library.yale.edu/ypfs-documents Recommended Citation Federal National Mortgage Association (Fannie Mae), "Fannie Mae Monthly Summary: December 2016" (2016). YPFS Documents (Series 1). 9893. https://elischolar.library.yale.edu/ypfs-documents/9893 This Document is brought to you for free and open access by the Browse by Media Type at EliScholar – A Digital Platform for Scholarly Publishing at Yale. It has been accepted for inclusion in YPFS Documents (Series 1) by an authorized administrator of EliScholar – A Digital Platform for Scholarly Publishing at Yale. For more information, please contact elischolar@yale.edu. @) Fannie Mae-I TABLE 1. TOTAL BOOK OF BUSINESS COMPONENTS (S In Million•) 1 Gross Total Fannie Mortgage Mae MBS Portfolio and Other Guarantees (Table 2) [Table3J December 2015 345103 2,a221974 Full Year 2015 34S,103 2,822,974 Jaouarv 2016 346 505 2 825 076 February 2016 337 210 2 827 506 March 2016 332 644 2 835491 April 2016 328,035 2 ,837,180 May2016 317,655 2,841,013 June 2016 316 2n 2 846 007 July2016 308,875 2,850,932 August2016 311,125 2,863,733 September 2016 306,537 2,876,765 October 2016 300 865 2 890 513 November 2016 289461 2 889 326 December 2016 272 354 2 913 936 Full Year 2016 272,354 2,913,936 I TABLE 2. GROSS MORTGAGE PORTFOLIO fS In Mllllona) 1 Fannie Mae MBS lnPortfollo [Table4J 68,697 68.697 74 546 66 732 66159 64,645 57,738 58463 56,607 61 ,887 60,019 61 721 41143 42 054 42,054 Total Book of Business 3,099,380 3,099,380 3 097 035 3 097 984 3101 976 3,100,570 3,100,930 3103821 3,103,200 3,112,971 3,123,283 3129657 3 137 644 3 144 236 3,144,236 Compounded New Business Growth (Decline) Rate Acquisitions (0.2)% 36868 (0.8)% 515,541 (09)% 38323 04 % 35948 16% 40906 (0.5)% 45562 0.1 % 46,333 1.1 % 53529 (0.2)% 53401 3.8 % 59044 4.0 % 71,420 2.5 % 66774 3.1 % 64 514 2.6 % 61 671 1.4 °/o 637,425 Compounded Annualized Purchases Sain Liquidations Growth (Oecllne) Rate Liquidation Rate _,D.,ece=maabeaar.a2a.0.aa15'---"---'-18a.5aa8aa2 ____ ...:,._-"12:.1.a8"-18,..) ____ -"-__ .,(5"1""68.._) ___ .,:.-_-=="',-------'(2.,5"'.1-"')% ____ _.l-"17.a5.._)o/."', =•="="=v"='=20'::'1::s ===='2=52=19=s=======1=2•=1=0=24=J=======1s=3=3a=2=1===:;::::====:;:======11'::'s::.5"::':)% =====1=15::.3::)%': '172)% (150)% (152)% (15.5)% (16.2)% June 2016 28010 316 277 (18.6)% Jul 2016 25,446 308 875 (14.6)% Au ust2016 32517 311 125 (17.0)% Se tember 2016 35150 306 537 (15.5)% October 2016 35,682 300 865 (15.2)% November 2016 28344 289461 (15.7)% December 2016 27926 (40428) (4 605) Fu11Year2016 3191378 (3401290) (51 1837) ---"==-------==---+---'2~7~2.,354'-',-_____ _.(5"'1-".9=)% ____ _.1.a19~.1"-)%"' 272,35,C (21.1)% (15.0)% I TABLE 3. FANNIE MAE GUARANTEED SECURITIES AND MORTGAGE LOANS (S In MIiiion■) 1 December 2016 • Fannie Mae's Book of Business increased at a compound annualized rate of 2.6 percent in December. • Fannie Mae's Gross Mortgage Portfolio decreased at a compound annualized rate of 51 .9 percent in December. • The Conventional Single-Family Serious Delinquency Rate decreased three basis points to 1.20 percent in December; the Multifamily Serious Delinquency Rate decreased one basis point to 0.05 percent in December. • Fannie Mae completed 5,907 loan modifications in December for a total of 80,304 loan modifications for the year ended December 31, 2016. IMPORTANT NOTE: Fannie Mae has been under conservatorship, with the Federal Housing Finance Agency (FHFA) acting as conservator, since September 6, 2008. IRIII EIDllil MIi Mlil:i lssuances2 Liquidations End Balance Fannie Mae MBS Liquidation Ri1ft Other Fannie Mae Guarantees Total Fannie Mae MBS and Other Guarantees Compounded Growth (Decline) Rate Mortgage Loans Fannie Mae Guaranteed Securities and Mortgage Loans December 2015 41 746 (33 757) 2 806 470 Full Year 2015 516,394 (494,708) 2,so&,470 January2016 39,733 (37,506) 2,808,697 February 2016 33,776 (31,223) 2,811 ,250 March 2016 40,838 (32,678) 2,819i410 April 2016 45,602 (43,860) 2,821,152 May 2016 46,549 (42,445) 2,825,256 June 2016 50,119 (45,112) 2,830,263 July2016 53,852 (48,810) 2,835,305 August 2016 58,557 (45,681) 2,848,181 September 2016 11i498 (58,383) 2 861 ,296 October 2016 69,545 (55,732) 2 875,109 November 2016 52493 (53,507) 2 874 095 December 2016 75275 (50 769) 2 898 601 Full Year 2016 637,837 (545,706) 2,898,601 Numbers may not sum due to rounding (14.5)% (17.8)% (16.0)% (13.3)% (14.0)% (18.7)% (18.1)% (19.2)% (20.7)% (19.3)% (24.6)% (23.4)% (22.3)% (21 .2)% (19.4)% I 16 504 $ 16,504 S 16 319 Is 16256 ' 16,081 ' 16,028 1 15,757 1 15,744 1 15,627 1 15,552 1 15469 1 15404 1 15231 1 15335 1 15,335 IS See Endnotes and Glossary on Pages 3 and 4 2 822 974 2,122,174 2 8250761 2 827 506 2,835,491 2,837,180 2,841,013 2,846,007 2,850,932 2,883,733 2,876,765 2,890,513 2,889,326 2 913 938 2,113,138 3.5% 253 592 3 076 566 0.7% 253,592 3,076,566 09% 250 560 3,075 636 1.0% 251 070 3 078 576 3.4% 248 360 3 083 851 0.7% 246 279 3 083459 1.6% 243 464 3 084 477 2.1 % 242 661 3 088 668 2.1 % 239 844 3 090 776 5.5% 236 394 3 100 127 5.6% 233 990 3 110 755 5.9% 228180 3 118 693 (0.5)% 238100 3 127 426 10.7% 220 069 3 134 005 3.2% 220.069 3,134,005 Page I of4 ! TABLE 4. MORTGAGE PORTFOLIO COMPOSITION IS In MIiiions) 1 Fannie Mae MBS In Portfolio Purchases Sales Liquidations Securttlzatlons3 End Balance Mortgage Loans Non-Fannie Mae Mortgage Securities Agency Non-Agency Mortgage Portfolio End Balance December2015 $ 3,401 $ (20,448) $ (969) $ 18,073 Is 68,6971 $ 253,592 $ 5,980 $ 16,834 .. s ___ .;:.34.a.;5;,_,1a.:0;;a3_ Full Year 2015 $ 381309 $ (234,414) $ (16,290) $ 1881273 Is 681897 1 $ 253,592 $ 5,980 $ 16,834 =$====345=,1=0=3= January2016 $ 6187 $ 1128021 $ 1970) $ 13434 Is 745461 s 250550 s 6186 s 15212 ~s~--~34= 5=5=05_ ~F~e~b~ru~aury~2~0~16~ -----------~3~6~2~3~ ____ J/~20= 10~2~) ____ J/~1 ~32~3~) _____ ~9~9=8~8~ -.,1---~66= 7~3,..21--~ 25=1u0~7~0~---~5u1=83~ ____ 1~4~2~2~5 ---~3~3~7~2~10_ March 2016 3142 118 524l /900l 15 709 66159 248 360 4 879 13 246 332 644 Aoril 2016 3,797 122,503) /803l Mav2016 3,417 127,568) /671l June 2016 4,673 120,963) /610l Julv 2016 3,643 125,267) /592l Auaust 2016 4,981 123,751) /517l Seotember 2016 5,800 133,602) /535l October 2016 8,050 133,348) /552l November 2016 3,441 133,638) /551l December 2016 5,024 (36,890) (408) fuH year 2016 s 55 zzs s f30B 9581 s rs 4321 ! TABLE 5. OTHER INVESTMENTS IS In MIiiions) 1 I ! TABLE 8. DEBT ACTIVITY IS In MIiiions) • Other Investments End Balance December 2015 $ 71,353 December 2015 Full Year 2015 $ 71 353 Full Year 2015 January 2016 $ 59920 January 2016 February 2016 74 348 February 2016 March 2016 67060 March 2016 Aeril 2016 63,827 Aeril 2016 May2016 67,849 May2016 June 2016 75,140 June 2016 July 2016 83,871 July 2016 August2016 75,391 August2016 Seetember 2016 75,833 September 2016 October 2016 76,125 October2016 November 2016 81,940 November 2016 December 2016 87,641 December 2016 EuH Year 2016 S 87 641 Eun Year 2016 ! TABLE 7. INTEREST RATE RISK DISCLOSURES($ In BIiiions) Market Value Sensitivity Rate Level Rate Slope =============S"h-"o'-'c-"k_..(5:'0':b"'p=l= Shock (25 bp) December 2015 EuH Vear 2015 January 2016 February 2016 March 2016 April 2016 May2016 June 2016 July 2016 August2016 Seetember 2016 October 2016 November 2016 December 2016 Full Year 2016 m n .. s.__ ____ _.o.,o,_ oo ~s======o~o= o.o ~s~----~o~.o~ 0.0 0.0 0.0 /0.1} 0.0 /0.1) 0.0 /0.1} 0.0 /0.1} 0.0 0.0 0.0 0.0 0.0 0.0 /0. 1) 0.0 /0.1) /0.1} oo ro 1i 0.0 ~$ ____ ~(0~.1~) $ $ $ Original < 1 Year End Balance 71 ,050 71,050 56 905 62 010 60469 55,712 56,582 60,561 57,286 48,843 51,491 40,114 37,459 35,025 35 025 Effective Duration Gap (in months) 17,995 j 17,915 17,625 20,360 24,567 26,469 27,552 10,170 33,185 234 969 Is Issuances $ 872 $ $ 76,425 $ $ 3840 $ 13081 7 348 8,687 6.405 12.293 17.588 16.430 14.838 11.969 3.776 2.269 s 118 524 s 64,645 246,279 4,541 12,570 328,035 57,738 243,464 4,734 11,719 317,655 58,463 242,661 3,714 11,439 316,277 56,607 239,844 2,226 10,198 308,875 61,887 236,394 2,817 10,027 311 ,125 60,019 233,990 2,669 9,859 306,537 61,721 228,180 2,238 8,726 300,865 41,143 238,100 1,905 8,313 289,461 42,054 220,069 2,499 7,732 272,354 42 0541 s 220 069 S 2 499 S 7 732 S 272 354 Original Maturity> 1 Year Maturities and Redemptions Repurchases (6,215) $ (1 ,402) (115,690) $ (1,683) (631) $ /9800} (18866} (24} (14,512) (12,179) (15) (9,478) (15) (17,082) (15,530) (18,633) (9,009) (8,747) (8,565) (143 0321 s (541 Foreign Exchange Adjustments $ (12) $ (28) $ (18) (13) 16 9 (4) (41) (3) (3) (6) (25) 9 (6) s (851 $ $ $ End Balance Total Debi Outstanding 318,446 "$ ___ "-38'-'9"-,4'-'96"--318,446 =$===3=89=,49=6 = 321 637 -$~--~3~7=8-54- 2_ 324 905 386 915 313 379 373 848 307,563 363,275 301,770 358,352 304,529 365,090 305,032 362,318 305,929 354,772 302,128 353,619 305,063 345,177 300,101 337,560 293,799 328,824 293 799 S 328 824 ! TABLE 8. SERIOUS DELINQUENCY RATES Conventional Single-Famili:5 Multifamili: Non-Credit Credit Enhanced Enhanced Total Total6 December 2015 1.34% 2.65% 1.55% 0.07% January 2016 1.35% 2.65% 1.55% 0.08% February 2016 1.32% 2.56% 1.52% 0.07% March 2016 1.25% 2.39% 1.44% 0.06% April 2016 1.22% 2.29% 1.40% 0.05% May2016 1.21% 2.23% 1.38% 0.05% June 2016 1.15% 2.17% 1.32% 0.07% July 2016 1.13% 2.14% 1.30% 0.08% August 2016 1.05% 2.27% 1.24% 0.07% Seetember 2016 1.06% 2.19% 1.24% 0.07% October 2016 1.03% 2.21% 1.21% 0.06% November 2016 1.05% 2.21% 1.23% 0.06% December 2016 1.02% 2.18% 1.20% 0.05% Nwnbers may not swn due to rowiding See Endnotes and Glossary on Pages 3 and 4 Page 2 of 4 ENDNOTES 1. The end balances and business activity in this report represent unpaid principal balances ("UPB"), which do not reflect market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and discounts, and the impact of consolidation of variable interest entities. 2. Includes Fannie Mae mortgage-backed securities ("Fannie Mae MBS") issued from Fannie Mae's mortgage portfolio. See Table 4 for monthly activity and balances for Fannie Mae MBS held in portfolio. 3. Securitizations in Table 4 represent new Fannie Mae MBS created from mortgage assets held in the mortgage portfolio, including whole loans. These amounts are included in issuances in Table 3 and, if sold during the month, will be included in sales in Table 4. Our securitizations of loans we held in our portfolio the prior month will reduce the mortgage loans reported in Table 4. 4. Reported amounts represent the UPB at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. UPB does not reflect the effect of debt basis adjustments, including discounts, premiums, and issuance costs. 5. Includes seriously delinquent conventional single-family loans as a percent of the total number of conventional single-family loans. These rates are based on conventional single-family mortgage loans and exclude reverse mortgages and non-Fannie Mae mortgage securities held in our portfolio. Credit enhanced refers to loans that have primary mortgage insurance and/or other credit enhancements. 6. Calculated based on the UPB of seriously delinquent multifamily loans owned by Fannie Mae or underlying Fannie Mae guaranteed securities, divided by the UPB of multifamily loans owned by Fannie Mae or underlying Fannie Mae guaranteed securities. Page3 of4 ! GLOSSARY & OTHER INFORMATION General Risk Disclosures. In addition to the interest rate risk disclosures provided in Table 7, Fannie Mae's most recent available information relating to subordinated debt, liquidity management, corporate risk ratings and credit risks is included in its most recent Form 10-K or Form 10-Q filed with the Securities and Exchange Commission. Compounded Growth Rate. Monthly growth rates are compounded to provide an annualized rate of growth. Table 1 Total Book of Business. Sum of the Gross Mortgage Portfolio balance and Total Fannie Mae MBS and Other Guarantees balance, less Fannie Mae MBS held In the mortgage portfolio. New Business Acquisitions. Single-family and multifamily mortgage loans purchased during the period and single-family and multifamily mortgage loans underlying Fannie Mae MBS issued pursuant to lender swaps. These amounts reflect new business purchases on which our statutory affordable housing allocations are based. Table 2 Gross Mortgage Portfolio. End balance represents the unpaid principal balance (•ups•) of the mortgage portfolio that Fannie Mae holds for invesbnent and liquldlty purposes. Excludes certain matched trades and certain ear1y funding activities. Purchases. Acquisition of mortgage loans and mortgage securities for the mortgage portfolio. Sales. Sales of mortgage securities and mortgage loans from the mortgage portfolio. Liquidations. Represents the total amount of repayments, curtailments, payoffs, and foreclosures on mortgage loans and mortgages under1ying securities held in the mortgage portfolio. Annuallzed Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of the mortgage portfolio, annualized. Table 3 Fannie Mae Guaranteed Securities and Mortgage Loans. Consists of securities and mortgage loans for which Fannie Mae manages credit risk. This table excludes non-Fannie Mae securities held in the mortgage portfolio, which are shown in Table 4. ~c:~::~~:Ofi~ ~r~~id lb~1riv~ssio~~~~a:a~BF~n~:~~!~~;~~~~i h:~!~~~:ilf~~ni~t~i~~~~~~tsi~t·e~~~~~~~~~~~:%a~~:~ ~~~~J;~ ~n~ f~~~:~irat Fannie Mae guarantees, regardless of whether those MBS are held in the Issuances. Represents the total amount of Fannie Mae MBS created during the month, including lender-originated issues and Fannie Mae MBS created from mortgage loans previously held in Fannie Mae's portfolio. Fannie Mae MBS may be held in portfolio after their creation. Liquidations. Represents the total amount of repayments, curtailments, payoffs, and foreclosures on mortgages under1ying Fannie Mae MBS, including Fannie Mae MBS held in the mortgage portfolio. Other Fannie Mae Guarantees. Outstanding balance of Fannie Mae guarantees, other than Fannie Mae MBS. This primarily Includes long-term standby commitments we have Issued and credit enhancements we have provided. Annualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized. Tabla 4 Mortgage Portfolio Composition. Shows the primary components of Fannie Mae's mortgage portfolio and activity relating to Fannie Mae MBS held in the mortgage portfolio. Non-Fannie Mae Agency Securities. Represents mortgage-related securities issued by Freddie Mac and Ginnie Mae. Non-Fannie Mae Non-A.gency Securities. These primarily include private-label securities , mortgage revenue bonds, and commercial mortgage-backed securities. Tabla 5 Other Investments. Primarily consists of cash and readily marketable instruments such as certificates of deposit, federal funds sold , securities purchased under agreements to resell and Treasury bills. Table 6 Debt Activity. Debt is classified in the table based on its original maturity. For debt with an original term of more than one year, the portion of that long-term debt that is due within one year is not reclassified to ~original Maturity < 1 Year: For more information about Fannie Mae's debt activity, please visit http://www.fanniemae.com/portal/funding-the-market/debt/reports/index.hbnl. Table 7 Our Interest rate risk measures provide useful estimates of key Interest-rate risk and Include the Impact of our purchases and sales of derivative Instruments, which we use to limit our exposure to changes In Interest rates. While we believe that our market value sensitivity and duration gap metrics are useful risk management tools, they should be understood as estimates rather than precise measurements. Methodologies employed to calculate interest-rate risk sensitivity disclosures are periodically changed on a prospective basis to reflect improvements in the under1ying estimation processes. Market Value Sensitivity to Rate Level Shock (SObp). This measurement shows the most adverse pre-tax impact on the market value of Fannie Mae's assets and liabilities from an immediate adverse 50 basis point shift in the level of LIBOR rates. The amounts shown are estimates, not precise measurements. The measurement excludes any sensitivity of the guaranty business. Fannie Mae tracks the daily average of this measurement for the reported month. Market Value Sensitivity to Rate Slope Shock (25bp). This measurement shows the most adverse pre-tax Impact on the market value of Fannie Mae's assets and liabilities from an Immediate adverse 25 basis point change In the slope of the LIBOR yield curve. To calculate the adverse change in the slope of the LIBOR yield curve, the company calculates the effect of a 25 basis point change in slope that results in a steeper LIBOR yield curve and the effect of a 25 basis point change in slope that results in a flatter LIBOR yield curve, and reports the more adverse of the two results. The amounts shown are estimates, not precise measurements. The measurement excludes any sensitivity of the guaranty business. Fannie Mae tracks the daily average of this measurement for the reported month. Effective Duration Gap. The effective duration gap estimates the net sensitivity of the fair value of Fannie Mae's assets and liabilities to movements in interest rates. This statistic is expressed as a number of months, based on the daily average for the reported month. A duration gap of zero implies that the change in the fair value of assets from an interest rate move will be offset by an equal move in the fair value of liabilities, including debt and derivatives, resulting in no change in the fair value of the net assets. The calculation excludes any sensitivity of the guaranty business. Table 8 Serious Delinquency Rates. A measure of credit performance and indicator of future defaults for the single-family and multifamily mortgage credit books. We include single-family loans that are three months or more past due or in the foreclosure process, and multifamily loans that are 60 days or more past due. We include conventional single-family loans that we own and that back Fannie Mae MBS in our single-family delinquency rate, including those with substantial credit enhancement. Page 4 of 4 

Fannie Mae Monthly Summary: December 2016

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Fannie Mae Monthly Summary: December 2016

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