Multifamily DUS®
MBS & Fannie Mae
GeMS™ Overview
March 2022
© 2022 Fannie Mae
1
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Table of contents
Fannie Mae Overview
Page 3
Multifamily Overview
Page 7
Multifamily Programs
Page 10
Multifamily Green Bonds
Page 22
Multifamily Social Bonds
Page 36
Appendix
Page 42
© 2022 Fannie Mae
2
Fannie Mae Overview
© 2022 Fannie Mae
3
Who We Are
We help create opportunities for people to buy, refinance, or
rent a home.
Fannie Mae sits at the very heart of the U.S. housing industry.
We purchase qualifying mortgages from lenders and bundle them
into mortgage-backed securities that we guarantee and sell to
investors. Lenders use their replenished cash to originate new
mortgages, and we use ours to start the process again. This
continuous flow of money promotes a healthy housing market.
We partner with lenders to create
home purchase and refinance
(single-family) and rental
(multifamily) opportunities for
millions of borrowers and renters
across the country.
© 2022 Fannie Mae
4
We provided
$69.5 billion in
financing to support
694,000 units of
multifamily housing in
2021.
Our Conservatorship
In September 2008, the Federal Housing Finance Agency (FHFA) placed Fannie Mae into conservatorship.
As conservator and acting on our behalf, FHFA entered into a
Senior Preferred Stock Purchase Agreement (SPSPA) with the
U.S. Treasury (Treasury).
Under the SPSPA:
• Fannie Mae issued senior preferred stock and a warrant to
Treasury to purchase up to 79.9% of Fannie Mae’s
common stock.
• Treasury committed to provide financial support to Fannie
Mae under certain circumstances if Fannie Mae has a
negative net worth as of the end of a quarter.
Upon entering into the SPSPA, Treasury stated that current
holders of senior debt, subordinated debt, and MBS issued or
guaranteed by Fannie Mae are protected by the agreement.
FHFA
Serves as conservator and
regulator of the Enterprises
© 2022 Fannie Mae
5
We are not obligated to pay dividends to Treasury on our senior
preferred stock until our adjusted total capital meets the capital
requirements and buffers under FHFA’s enterprise regulatory
capital framework.
$113.9 billion
$47.4 billion
Amount remaining
under SPSPA
commitment as of
December 31, 2021
Fannie Mae’s net worth
as of
December 31, 2021
Fannie Mae
Fannie Mae is a shareholder-owned corporation and is federally chartered. Treasury has a
warrant to purchase 79.9% of the common stock of Fannie Mae.
U.S. Treasury
Provides financial support
under the terms of the SPSPA.
Our Business Lines
We support the U.S. mortgage market through two distinct business lines.
Number
of Units
Single-Family
Many more loans,
smaller, less complex
Multifamily
Smaller number of
loans, larger, and more
complex
1As
1 to 4 residential
units, generally
homes or
condominiums
owned
by individuals
5 or more
residential units,
including
affordable, senior,
student, military,
and manufactured
housing
communities
General
Borrower
Individual
Public or private
owner / operator
Collateral
Single-Family
residential
property
Income-producing
Multifamily rental
property
of December 31, 2021
2As of December 31, 2021 1% of Fannie Mae's single-family conventional guaranty book of business was comprised of ARMs.
Source: 2021 Form 10-K for the Quarter Ended December 31, 2021.
© 2022 Fannie Mae
6
Average Loan
Size¹
Typical Term
and Rate
UPB of Loans
Acquired in
Q4 2021
$198,865
30 years, fixed-rate
fully amortizing.
Other terms
include 20, 15, 10
and other fixedrate mortgages as
well as ARMs2
$284.8 billion
$14 million
5, 7, 10 years,
payable on a 25-,
30-, or 40-year
amortization
schedule with a
balloon payment at
maturity. Other
terms include ARMs
$20.7 billion
Multifamily Overview
© 2022 Fannie Mae
7
Our Size and Scale: Multifamily
Fannie Mae Multifamily continues to issue predominately 10-year fixed-rate DUS® MBS to
meet investor demand.
As of Q3 2021, U.S. multifamily mortgage debt outstanding totaled $1.84 trillion. Fannie
Mae’s share stood at approximately $399 billion, representing a 22% share of the market. *
Fannie Mae
$2,000
Total
Billions
$1,500
$1,000
$500
$-
Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3
2015 2016 2016 2017 2017 2018 2018 2019 2019 2020 2020 2021 2021
Fannie Mae issued $48.8
billion in multifamily
MBS through Q3 2021,
comprising 17.1% of the
market. **
*Source: Federal Reserve’s Flow of Funds
** Mortgage-related Securities Issuances
Market Share
8 © 2022 Fannie Mae
Conduits
4% Depository
Institutions
Other
6%
17%
Fannie Mae
17%
NonTraditional
MF Lenders
19%
Life Insurers
8% Ginnie Mae
13%
Freddie
Mac
16%
Through Q4 2021,
Fannie Mae provided
$69.5 billion in
mortgage liquidity
across the country
through multifamily
acquisitions.
>$500M
$100M-$500M
<$100M
Estimated Competitive Multifamily Market
Acquisitions by Participant¹
Notes:
1. Estimated competitive market size is Fannie Mae’s internal estimate of multifamily originations activity.
2. Non-Traditional MF Lenders are non-institutional lenders that generate 1-2 multifamily loans a year with a typical size of less than $1M
3. Other includes state and local credit agencies, FHLBs and other financial institutions.
4. Loans securitized by Ginnie Mae include non-dedicated multifamily housing (e.g. healthcare and new construction.)
5. Excludes purchases of loans from others’ portfolios and Treasury HFA New Issue Bond program volume in 2009 and 2010; therefore amounts may not tie to Fannie Mae 10-Qs or 10-Ks.
9
© 2022 Fannie Mae
Fannie Mae Multifamily
Programs
© 2022 Fannie Mae
10
Fannie Mae Multifamily Stakeholder
Interests & Risk Sharing
For over 30 years, Fannie Mae Multifamily has relied on its Delegated Underwriting and Servicing (DUS®)
program to finance multifamily rental housing. DUS is a unique program that relies on three core principles:
•
Leveraging private capital
•
Aligning interests through risk-sharing
•
Providing superior asset management
Risk
Sharing
Interests
Borrower
DUS Lender
Fannie Mae
Investor
•
Competitive pricing

Delegated authority

Steady guaranty fee income

Highly rated credit strength
•
Broad range of financing products


Scalable

Enhanced liquidity
•
Standardized loan documents
Consistent underwriting
and servicing standards


Shorter timelines to loan closing

Higher servicing fee income
Strong legal protections
•

Provides financing through
economic cycles
Superior call (prepayment)
protection*

Lower spread volatility

Stable cash flows
Contributes 20% or more in equity
Shares 1/3 of the credit
risk over life of the loan
* Not all DUS loans require payment of a prepayment premium.
**Fannie Mae’s guaranty of timely payment of interest and principal.
© 2022 Fannie Mae
11
Shares 2/3 of credit risk
over the life of the loan
Manages interest rate risk
but protected from credit losses**
Delegated Underwriting and Servicing
(DUS®) Lenders
DUS lenders adhere to rigorous credit and underwriting standards and submit to Fannie Mae's ongoing credit review and monitoring. They underwrite, close,
deliver, and service Fannie Mae loans on multifamily properties and typically retain one-third of the risk on every loan.
Arbor Commercial Funding, LLC
Greystone Servicing Company LLC
Newpoint Real Estate Capital LLC
Bellwether Enterprise Real Estate, LLC
HomeStreet Capital Corporation
NorthMarq
Berkadia Commercial Mortgage, LLC
JLL Real Estate Capital, LLC
PGIM Real Estate
Capital One, National Association
JPMorgan Chase Bank
PNC Real Estate
CBRE Multifamily Capital, Inc.
KeyBank National Association
Regions Bank
Citi Community Capital
Lument
Walker & Dunlop, LLC
Colliers Mortgage LLC
M&T Realty Capital Corporation
Wells Fargo Multifamily Capital
Grandbridge Real Estate Capital, LLC
Newmark
As of March 31, 2022
Fannie Mae executes its multifamily business through the DUS network of 23 financial institutions and independent mortgage lenders.
12
© 2022 Fannie Mae
DUS Risk Sharing Model
Fannie Mae’s DUS model serves as an example of the successful large-scale application of risk-sharing with a network of lenders based on
strict guidelines. It encourages conservative underwriting, which improves investment quality.
Note
Borrower
Loan
DUS lenders
$
Servicing Fee
(with fee for
credit risk)
MBS
Sell MBS to
3rd party- investor
Fannie Mae
Capital
Markets
Market
MakingActivity
Sell MBS
to
3rd partyInvestor
Fannie Mae
If loan defaults
Fannie Mae
securitizes
loan as MBS
Package MBS
into structured
security
Sell
security
to 3rd
partyinvestor
Note: The risk-sharing model represents the most common form of risk-sharing, pari-passu loss sharing. Other loss-sharing arrangements are possible.
© 2022 Fannie Mae
13
Risk-Sharing
Fannie Mae
2/3 credit
loss
DUS lender
1/3 credit
loss
Fannie Mae’s DUS MBS Underwriting History
Monthly Multifamily Serious Delinquency Rate
• Serious delinquency rate of multifamily book of business as of
December 31, 2021: 42 bps (0.42%)
1.20%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
• As of Q4 2021, CMBS SDQ stands at 4.57%.*
• Serious delinquency rate of Fannie Mae's multifamily guaranty book of
business excluding loans that have received forbearance was 4 bps
(0.04%) as of December 31, 2021.**
• Annual average credit characteristics have remained relatively
consistent over time
Average Underwritten Net Cash Flow Debt Service Coverage Ratio
Average Underwritten LTV Ratio
2.00
100%
1.50
75%
1.00
0.50
0.00
50%
25%
0%
Reflects UW DSCR per Guide Requirements for periods prior to 2017 and UW NCF DSCR after 2017.
*CMBS SDQ based on 30+ day delinquency rates
**Fannie Mae’s multifamily loans are classified as seriously delinquent when payment is 60 days or more past due.
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© 2022 Fannie Mae
Our Response to the
COVID-19 Pandemic
We strengthened our underwriting criteria, instituted renter protection, and enhanced transparency to investors.
Multifamily MBS COVID-19 Forbearance Activity
•
Alternative inspection
protocols to ensure
safety
• Flexibility to allow tenants
to repay back rent over
time and not in a lump
sum
4,000
1.20%
3,000
0.80%
2,000
0.40%
In Repayment
Jan-22
Feb-22
Dec-21
Oct-21
Nov-21
Sep-21
Jul-21
Aug-21
Jun-21
Apr-21
May-21
Mar-21
Jan-21
Feb-21
Dec-20
Oct-20
Nov-20
Sep-20
0
Jul-20
1,000
Aug-20
• Evictions suspended that • New weekly
are solely for non-payment
disclosures made
of rent and assess no
available to provide
tenant late fees or
transparency of loans
Pre-approval required
penalties
in a COVID-19-related
for seniors and
forbearance
student housing
© 2022 Fannie Mae
15
• Fannie Mae
continues to advance
timely payment of
principal and interest
in the event the loan
becomes delinquent
1.60%
Jun-20
•
New increased
escrow requirements
for Tier 2 and
Tier 3 mortgage loans
• Borrowers required to
inform residential tenants
in writing about tenant
protections during the
forbearance and
repayment periods
5,000
Apr-20
•
Forbearance policy
extended
for a total of up to six
months
INVESTORS
May-20
•
RENTERS
Total UPB in $ millions
PROPERTY OWNERS
0.00%
Typical Multifamily DUS Loan
Most DUS MBS are backed by a single loan on a standard multifamily asset. A typical deal is a “10/9.5/30” with terms:
$5.025.0MM
Loan size*
10-year
30-year
1.25X
80%
Balloon term with
9.5 years of call protection
Amortization
Debt service
coverage ratio
Loan-to-value
ratio
*Loan size describes 53% by loan count and 36% by UPB
© 2022 Fannie Mae
16
Key Features of Fannie Mae
Multifamily Securities
GeMS are comprised of numerous DUS MBS. GeMS maintains the characteristics of DUS MBS with additional benefits, outlined below:
Fannie Mae GeMS
DUS MBS
•
Backed by previously issued DUS MBS
•
Generally backed by a single multifamily loan
•
Collateral selected with consistent credit quality and tight maturity profile
•
Guaranty of timely payment of principal and interest
•
Structures offering block size, collateral diversity, and pricing close to par
•
Lower spread volatility relative to other products with similar collateral
•
A1 and A2 sequential classes offer customized cash flows protected by
AB class
•
Liquidity enhanced by the large number of dealers engaged in market making
•
A3 classes offer greater prepayment protection
•
Stable cash flows that are easy to model
•
Floaters carry hard final maturities and no extension risk when compared
to agency CMO Floaters
•
Superior call protection
•
Readily customized to accommodate reverse inquiry
•
Positive convexity
•
Share the same weighting of 20% for bank risk-based capital requirements
as Fannie Mae single-family MBS
•
Definitive final maturities of 5, 7, and 10 years
© 2022 Fannie Mae
17
Fannie Mae’s Multifamily MBS Issuance
80
Fannie Mae MBS Issuance1
60
40
20
34.1
37.7
31.4
32.0
2011
2012
2013
2014
55.0
43.9
64.3
65.4
69.9
75.7
400
69.5
300
200
100
0
2015
2016
2017
Issuances
2018
2019
2020
2021 **
0
Outstanding
Outstanding $B
500
 Daily Issuance
 Typical Deal Terms:*
 Single loan backs each pool
 $3-$10 million Loan Size
 10-year Balloon
 9.5 Years of Call Protection
 30-year Amortization
 No more than 80% LTV
 Not less than 1.25 DSCR
*The terms of individual DUS may vary from the terms listed below.
1 Reflects unpaid
principal balance of multifamily Fannie Mae MBS issued during the period. The number includes Fannie Mae portfolio resecuritization transactions and conversions
of adjustable-rate loans to fixed-rate loans and DMBS securities to MBS securities. Bond Credit Enhancements and Cash Credit Enhancements are excluded.
Issuances $B
15
9.5
5
Fannie Mae GeMSTM Issuance
0.3
0.6
10
10.1
12.0
11.4
10.6
12.0
9.6
9.1
8.5
2019
2020
2021
7.5
2.0
4.4
0
2011
2012
2013
2014
2015
2016
GeMS REMICs
2017
2018
GeMS Megas
**








DUS MBS Collateral
Executed via REMIC or Mega Structures
Monthly Issuance
Collateral Diversification
Customizable Cash Flows
Block Size
Par Pricing
Dealer Syndicate Distribution
** Through December 31, 2021
© 2022 Fannie Mae
18 © 2022 Fannie Mae
Fannie Mae GeMS and DUS MBS offer different options for investing in the same multifamily collateral,
providing similar cash flows, variations on structure, and slightly different risk profiles.
GeMS REMIC Transaction: FNA 2022-M1G
GeMS REMIC STRUCTURE
Original Face
APT
$263,420,425
WAL
Coupon Type
Spread
Offer Price
6.63
WAC
S+50
96.07
A1
$38,692,000
5.98
WAC
S+31
97.51
A2
$478,657,084
9.11
WAC
S+62
93.40
Total Fully Guaranteed
$780,769,509
Structure
Group 2
Structure
Group 1
WAC
Class
A1
$38.7MM
5.98y WAL
APT
$263.4MM
6.63y WAL
WAC
COLLATERAL CHARACTERISTICS
UPB
Currency
$780,769,509
USD
Collateral
Group 1
6 Fannie Mae DUS Green MBS
Geographic Distribution
Group 1: Top 3 – CA (31.08%), NV (28.89%), TX (26.95%)
Group 2: Top 3 – CA (27.32%), TX (17.93%), AZ (13.78%)
Weighted Average DSCR
Group 1: 2.25x
Group 2: 1.83x
Weighted Average LTV
Group 1: 61.8%
Group 2: 64.3%
Settlement Date
Managers
February 28, 2022
Lead Manager: BofA Securities
Co-Managers: Citigroup, Academy Securities, Morgan Stanley
Group 2
28 Fannie Mae Green DUS MBS
Additional information on GeMS deals can be found on the Fannie Mae GeMS Archive website page: https://capitalmarkets.fanniemae.com/mortgage-backed-securities/multifamily-mbs/fannie-mae-gems-archives
© 2022 Fannie Mae
19
A2
$478.7MM
9.11y WAL
GeMS REMIC Investor Summary
DUS MBS and GeMS investors vary in size and type
across the spectrum of institutional investors.
5.41%
27.14%
56.52%
10.94%
Bank
March 2021 through Feb 2022
GeMS Deal
Original Balance ($M)
Deal Characteristics
FNA 2021-M1G
$715.4
G1: 10-yr Fixed with 9.5 YM
FNA 2021-M11
$878.5
G1: 10-yr Fixed with 9.5 YM
FNA 2021-M13
$691.3
G1: Adjustable 7/6YM SOFR
G2: 10-yr Fixed with 9.5 YM
G3: 12-yr Fixed with 11.5 YM
FNA 2021-M2G
$879.0
G1: 10-yr Fixed with 9.5 YM, GBC Only
FNA 2021-M17
$802.1
G1: 10-yr Fixed with 9.5 YM
FNA 2021-M18
$210.3
G1: Hybrid ARM
G2: Hybrid ARM
G3: Hybrid ARM
FNA 2021-M3G
$796.3
G1: 10-yr Fixed with 9.5 YM
FNA 2021-M19
$736.3
G1: 10-yr Fixed with 9.5 YM
FNA 2021-M2S
$639.8
FNA 2022-M1
$1,002.2
FNA 2022-M1G
$780.8
G1: 10-yr Fixed with 9.5 YM
G2: 15-yr Fixed with 14.5 YM
G1: 10-yr Fixed with 9.5 YM
G1: 7-yr Fixed with 6.5 YM
G2: 10-yr Fixed with 9.5 YM
Insurance
Our GeMS program has seen participation from nearly 350 unique investors.
© 2022 Fannie Mae
20
Fannie Mae GeMS REMIC Deal Timeline
The Multifamily Capital Markets trading desk aims to bring a GeMS REMIC deal to market each month based
on market conditions. Our issuance calendar is flexible each month in order to maximize investor focus.
GeMS REMIC Deal Calendar (Simple)
Sunday
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
Factors for current month are
released
Announce, Launch, and Price the
deal in the market (2-3 days)
Final Structure Due Date for
Fannie Mae issuance
Print Disclosure Date deadline to
finalize disclosure materials
Settlement Date for GeMS
usually set for day before the end
of month
Notes:
• GeMS REMICs are typically brought to market in the second week, but this can occur anytime prior to the print
disclosure date deadline.
• Final structure due date is when the REMIC deal’s structure is due to the Fannie Mae Structured Transactions team.
© 2022 Fannie Mae
21
Multifamily Green Bonds
22
© 2022 Fannie Mae
Fannie Mae Green Bond Framework
Financial
Benefits
Social
Environmental
•
Lower credit risk
•
Greater affordability for tenants
•
Lower energy use
•
Higher cash flows
•
Higher quality, more durable housing
•
Lower water use
•
Higher property value
•
Generate clean energy
•
Greater resiliency to natural disasters
As a result of Green Mortgage Loan financing, through 2020, Fannie Mae’s portfolio projected to:
•
Contribute $9.5 billion in workers’ income
and $19.9 billion in gross domestic product
(GDP)
•
Produce $2.83 of economic output for every
$1.00 spent in constructing or retrofitting
multifamily properties*
Impact
•
Invest $410 million committed by borrowers
for energy and water efficiency upgrades at
3,696 properties
•
Convert approximately 792,000 units into
improved, more comfortable homes
•
Save approximately 8.5 billion gallons
of water annually
•
Reduce tenant energy and water
expenditures by an average of $184 annually
per family
•
Save 9.5 billion kBTU
of source energy annually
•
Support 224,000 well-paying jobs for
construction or renovation of properties with
green building certifications or installation of
energy- and water-efficient property
improvements
•
Reduce greenhouse gas emissions by
634,000 metric tons annually
*Also includes the projected impact from 12 Fannie Mae Single-Family Green MBS issuances for a total of approximately $94 million
23
© 2022 Fannie Mae
Deep Investments, Long-Term
Commitment to Green Financing
2010
Launched in 2010
 Piloted Green Financing products
 Launched first commercial Agency Green MBS
 Helped create industry tools with US EPA:
2021
Milestones through 2021
 Surpassed $100 billion in Multifamily Green Bonds MBS Issuance since program
inception
 Included in Bloomberg Barclay’s MSCI Green Bond Index
 ENERGY STAR® 1 to 100 Score
 Largest Global Green Bond Issuer Over the Last 10 Years 2020 and Largest Issuer of Green
Bonds globally by Climate Bonds Initiative in 2017, 2018, 2019, and 2020
 Water 1 to 100 Score
 Environmental Finance 2018 Green Bond Award for Biggest Issuer – SSA
 Developed energy audit standard used nationally (2015)
 Global Capital CMBS Deal of the year for FNA 2017-M15
 Global Capital Most Impressive SRI/ABS Issuer 2018
24
© 2022 Fannie Mae
 EPA ENERGY STAR® Partner of the Year 2015-16; Sustained Excellence Award 2017-20
 Global Capital CMBS Deal of the year for FNA 2020-M14
CICERO Second Opinion on Fannie Mae
Framework
CICERO, Center for International Climate and Environmental Research at Oslo
University, provided a second opinion on Fannie Mae’s Green Bond framework.
CICERO recognized the following strengths in Fannie Mae’s Green Bond framework:
•
Well-established governance and risk management procedures
•
Internal annual review and revision by the Green Financing Business team
•
Transparent reporting procedures
•
In-house technical expertise and tools
CICERO Second Opinion is available at: www.fanniemaegreenfinancing.com
25
© 2022 Fannie Mae
Fannie Mae Multifamily Green Bond Framework
provides a structured, sound and innovative
approach to green financing for energy and water
efficiency investments in the multifamily rental
property market in the United States. . . . The
Framework is aligned with the recommendations
laid out in the Green Bond Principles and uses
established green building certifications (GBCs) to
inform its selection criteria for Green Mortgage
Backed Securities (MBS).”
CICERO
Growth of Fannie Mae Green Financing
Fannie Mae Green MBS Issuance and Cash Loans
Fannie Mae Green MBS issuances increased to over $100 billion since the program’s inception, as the program developed incentives, aligned
processes, and attracted more borrowers to the products.
Green MBS Issuance (mm)
2012
$56 4
2013
$58 4
2014
$20 3
2015
$247 * 7
2016
$3,624
111
2017
$27,756
2018
$20,168
2019
1,383
1,258
$22,780
2020
$12,999
2021
$13,467
* 2015
26
# of loans
1,021
586
527
includes one cash loan and does not include one Green Bond Credit Enhancement of $136 million.
© 2022 Fannie Mae
$1
6.6
B
Growth of Green GeMS REMIC Issuance
Issuance Month
•
•
•
27
February-17
FNA 2017-M2
A1, A2
Green Collateral
Group
Group 2
August-17
FNA 2017-M10
AV1, AV2
Only group
$873.0
November-17
FNA 2017-M13
A1, A2, X
Group 3
$764.1
December-17
FNA 2017-M15
ATS1, ATS2, X2
Group 2
$587.9
December-17
FNA 2017-M15
A1, A2
Group 3
$559.0
February-18
FNA 2018-M2
A1, A2, X
Only group
$904.5
Created over $14 billion in new
investment opportunities for
the Socially Responsible
Investment (SRI) community
through February 2022.
April-18
FNA 2018-M4
A1, A2, X
Only group
$705.9
June-18
FNA 2018-M8
A1, A2
Only group
$535.2
October-18
FNA 2018-M13
A1, A2
Group 2
$596.2
January-19
FNA 2019-M1
A1, A2, X
Group 1
$996.5
June-19
FNA 2019-M9
A1, A2, A3, X, X3
Group 1
$805.3
Oct-19
FNA 2019-M22
A1, A2, A3, X1, X3
Group 1
$1,108.1
Fannie Mae became the first
Agency CMBS included in the
Bloomberg Barclays MSCI
Green Bond Index
with the FNA 2017-M15 A2
tranche.
Jan-20
FNA 2020-M1
A1, A2, A3, X1, X3
Group 1
$873.0
May-20
FNA 2020-M20
A1, A2, X
Group 1
$529.4
Oct-20
FNA 2020-M46
A1, A2, A3, X1, X3
Group 1
$455.5
Oct-20
FNA 2020-M46
AL, X2
Group 2
Mar-21
FNA 2021-M1G
A1, A2, X
Only group
$715.4
Jun-21
FNA 2021-M2G
A1, A2, A3, X, X3
Only group
$879.0
Sep-21
FNA 2021-M3G
A1, A2, X
Only group
$796.3
Feb-22
FNA 2022-M1G
APT
Group 1
$263.4
Feb-22
FNA 2022-M1G
A1, A2
Group 2
Fannie Mae began
resecuritizing a portion of the
Green MBS through
its GeMS program in 2017.
© 2022 Fannie Mae
TOTAL
Deal Name
Tranches
Green Deal Size ($M)
$611.7
$80.2
$517.3
$14,157.3
Fannie Mae Green Bond Framework
Use and Management
of Proceeds
28
© 2022 Fannie Mae
Green Mortgage Loans Backing
Green Bonds
Fannie Mae offers multiple Green Mortgage Loan products for the acquisition or refinance of existing
multifamily properties in the U.S. Both types of Green Mortgage Loans result in a Green MBS.
Green Mortgage Loan Product
Green Rewards
Green Building Certification (GBC)
% of Multifamily Green Portfolio*
85%
15%
Use of Proceeds
Mortgage includes energy and water efficiency retrofits or
renewable energy generation installations
Mortgage for property constructed or renovated to meet
Green Building Certification standards
Eligibility
Owner will install equipment projected to reduce energy
and/or water consumption by 30%, of which 15% is from
energy efficiency and/or renewable energy generation (solar)
Property must have one of the GBC’s recognized by Fannie
Mae before locking interest rate
CICERO Shades of Green Rating
Light to Medium Green
Light Green
Bond
Green Bond
Green Bond
*Multifamily Green bonds from 2012-2020.
29
© 2022 Fannie Mae
Green Rewards Eligibility:
High Performance Building Report
HPB Report identifies and quantifies energy and water savings opportunities
Sample Improvement
Opportunities
Energy Audit is ordered by lender, completed by an
energy auditor, and requires a site visit.
High Efficiency Lighting in Units
and Common Areas
Borrower selects final scope of work by selecting
from list of energy- and water-saving opportunities
from the HPB Report.
HPB Report can be completed up to 6 months prior
to rate lock.
Low-flow Faucets &
Showerheads
Estimated
Project Cost
$144,000
6%
-
$6,000
$3,000
$5,000
4%
14%
$18,000
-
Install Programmable
Thermostats
$25,000
4%
-
-
$4,000
ENERGY STAR© rated
dishwashers
$100,000
3%
2%
$2,000
$3,000
17%
16%
$26,000
$10,000
Total
$274,000
Escrow
at
100%
*ASHRAE: American Society of Heating, Refrigerating and Air-Conditioning Engineers.
30
© 2022 Fannie Mae
Projected Projected
Tenant
Owner
Annual
Annual
Energy Water
Cost
Cost
Savings Savings Savings Savings
Consumption
Property must have a High Performance Building
(HPB) Report completed meeting ASHRAE* Level II
requirements and additional Fannie Mae standards.
Save at
least 30%
energy and
water
combined,
with at least
15% energy
savings to
be eligible
Underwrite a
portion of
projected
savings
Green Building
Certification Eligibility
Fannie Mae publishes annually a list of the accepted
Green Building Certifications
Owner must provide proof of the award to the Lender prior
to locking in interest rate
Fannie Mae does not accept “interim” or “pending”
Detailed list of certifications available at: www.fanniemaegreenfinancing.com
31
© 2022 Fannie Mae
Fannie Mae accepts select certifications
from the following organizations:
Use and Management of Proceeds
• Fannie Mae manages use of
proceeds through its network of
DUS Lenders
• DUS Lenders follow documented
processes to release escrows
only upon completion of the
capital improvement
No greater than 12 months post loan closing
At loan closing
Borrower
Fannie Mae
Lender
Loan proceeds for energy
and water improvements
Verifies green
improvement
s
Releases green improvement escrow
Lender-managed
Escrow Account
32
© 2022 Fannie Mae
Reporting on Green Bonds
Fannie Mae is committed to reporting on the performance of its Green Bonds. Fannie Mae offers two methods to access data:
1. Annual reporting through the Fannie Mae Multifamily Green Bond Impact Report, published online
Data available per CUSIP:
• Greenhouse Gas Reduction (MT)
• Energy Consumption Reduction (kBtu)
• Water Consumption Reduction (gallons)
2. At issuance disclosure through DUS Disclose, an online web-based system
Data available per CUSIP:
• Source Energy Use Intensity
• ENERGY STAR 1 to 100 Score
• ENERGY STAR Portfolio Manager ID
• Year Ending Date for the data
• Water Use Intensity
• EPA Water 1 to 100 Score
• Energy Generated (kBtu) – applies to properties with solar improvements
33
© 2022 Fannie Mae
Fannie Mae Impact Reporting
Fannie Mae published its third Green Bond Impact Report in
June 2021. The Impact Report describes Fannie Mae’s
Multifamily Green Bond Business and the triple bottom line –
environmental, social, and financial – impact of the Green MBS
issued by Fannie Mae from 2012 through 2020. This is the first
Green Bond Impact Report that also includes our Single-Family
Green Bond Business.
The Impact Report is accompanied by a file that details the
MBS-level environmental impacts and includes a roll up to the
GeMS REMIC tranche level to enable investors to quantify the
impact of their investments.
Check out the 2020 Green Bond Impact Report and the
Environmental Impact per CUSIP at:
www. fanniemae.com/greenimpact
34
© 2022 Fannie Mae
DUS Disclose® At-Issuance
and Ongoing Reporting
Fannie Mae’s DUS Disclose website provides investors access to loan- and property-level
reporting, including the type of Green financing, the ENERGY STAR Score, Source Energy Use
Intensity, EPA Water Score, and Water Use Intensity.
At-issuance disclosures identify the Fannie Mae green loan product and provides green
measurements for properties under our Green Reward program. At-issuance data is
developed from each property’s trailing 12-month historical energy and water usage, as
collected and reported by the initial energy and water audit.
35
© 2022 Fannie Mae
Ongoing disclosures enables investors to understand the energy and water
performance over time and is provided for properties under both our Green
Rewards program and our Green Building Certification program.
Multifamily Social Bonds
36
© 2022 Fannie Mae
Sustainable Bond Framework
Under Fannie Mae’s Sustainable Bond Framework, we could issue green bonds, social bonds, or sustainable bonds,
which are a combination of green and social.
Corporate Debt
•
Supports financing for vulnerable groups, such as those
impacted by natural disaster or global pandemics
•
Finances sustainable assets that align to the ICMA project
categories and UN Sustainable Development Goals
•
Eligible Assets may include existing assets within Fannie
Mae’s general accounts funded up to 36 months prior to
the issuance date and new assets acquired post-issuance
•
Proceeds generally fully allocated within 24 months of
issuance
Single-Family MBS
Multifamily MBS
•
Single-Family affordable housing, with an
area median income (AMI) limitation of
120% or less for primary residence loans
•
Multifamily restricted and unrestricted
affordable housing and manufactured
housing communities
•
Single-Family Green MBS include only
mortgage loans backed by newly
constructed single-family residential
homes with ENERGY STAR® certifications
that meet or exceed the national program
requirements for ENERGY STAR certified
homes
•
Multifamily Green MBS offered through our
Delegated Underwriting and Servicing
(DUS®) business, each MBS is generally
secured by a single Green loan
•
Green Guaranteed Multifamily Structures
(GeMS™) backed by blocks of previously
issued Green DUS MBS
Sustainalytics’ Second Party Opinion for Fannie Mae’s Sustainable Bond Framework noted:
“Sustainalytics is of the opinion that the Fannie Mae Sustainable Bond Framework is credible, impactful and aligns with the four core
components of the Green Bond Principles 2018 (GBP) and Social Bond Principles 2020 (SBP).”
37
© 2022 Fannie Mae
Multifamily Social Bonds
Our Multifamily social bonds support initiatives to preserve affordable housing.
38
© 2022 Fannie Mae
Restricted Affordable Housing
Fannie Mae’s Restricted Affordable
Housing offering finances properties that
provide rent-restricted housing subsidized
by various government programs
including Low-Income Housing Tax
Credits (LIHTC), the U.S. Department of
Housing and Urban Development’s
Section 8 program, and state and local
housing incentive initiatives.
Unrestricted Affordable Housing
Fannie Mae provides financing for
market-rate units that do not receive
support from government housing
programs, but still offer affordable
rents in their local markets. These
units are generally in class B or C
properties that may provide
affordable rents due to the age,
condition, or location of the asset.
Manufactured Housing Communities
Fannie Mae has been a leading source of
liquidity for Manufactured Housing
Community (MHC) transactions with staff
dedicated to the product since 2000.
Healthy Housing Rewards™
Our Healthy Housing Rewards™ initiative
provides financial incentives for
borrowers who incorporate healthpromoting design features and practices
or resident services in their newly
constructed or rehabilitated multifamily
affordable rental properties.
Use and Management of Proceeds
•
•
•
Fannie Mae manages use
of proceeds through its
network of DUS Lenders
The proceeds from each
DUS bond finance the
acquisition or refinancing
of an affordable housing
property or manufactured
housing community
Fannie Mae
Compliance
with
Regulatory
Agreement
Loan proceeds for
acquisition or refinance
Underwrites
rent
restrictions
The Restricted Affordable
property includes either
government or third-party
compliance
Releases proceeds
Lender
39
© 2022 Fannie Mae
Government/Third Party
Borrower
Reporting on Social Bonds
Fannie Mae is committed to reporting on the performance of its Social Bonds by offering multiple methods to access the data.
At-issuance disclosure through DUS Disclose, an online webbased system
Fannie Mae provides a “Social” flag for each Restricted Affordable
Housing and MHC MBS for loans acquired on or after January
1, 2021, in order to increase transparency for investors.
Annual reporting, published online.
Per CUSIP impact metrics will be disclosed.
Current Green Bond Impact Reports are available here as an
example.
Data available per Restricted Affordable CUSIP:
•
Nature of rent restrictions at property
•
% of units affordable to 50% AMI
•
% of units affordable to 60% AMI
•
% of units affordable to 80% AMI
Data available per Manufactured Housing CUSIP:
•
Nature of property type
In 2021, Fannie Mae issued 829 multifamily social MBS for a total of approximately $10,456 million and brought to market two multifamily social GeMS for a total of
approximately $955 million.
© 2022 Fannie Mae
40
Social GeMS REMIC Transaction: FNA 2021-M1S
GeMS REMIC STRUCTURE
Original Face
WAL
Coupon Type
Spread
Offer Price
A1
$33,500,000
6.06
FIX
S+15
100.00
A2
$281,280,738
9.62
WAC
S+21
100.93
X
$33,500,000
N/A
WAC/IO
Not Offered
Not Offered
Total Fully Guaranteed
$314,780,738
Structure
Group 1
WAC I/O
Class
A1
$33.5 MM
6.06y WAL
COLLATERAL CHARACTERISTICS
UPB
Currency
GROUP 1
$314,780,738
USD
Collateral
26 Fannie Mae DUS MBS pools
10-year term
9.5-year yield maintenance
Affordability
23 properties with rent restrictions, average 88% of units restricted
3 MHC properties
Top 3 – Washington (18.2%), California (14.5%), and Florida (11.4%)
Mortgaged properties located in 14 states
1.85x
71.5%
January 29, 2021
Lead Manager: Morgan Stanley
Co-Managers: BMO Capital Markets, JP Morgan, Ramirez
Geographic Distribution
Weighted Average DSCR
Weighted Average LTV
Settlement Date
Managers
*Preliminary; Subject to change.
Additional information on GeMS deals can be found on the Fannie Mae GeMS Archive website page: http://www.fanniemae.com/portal/jsp/mbs/mbsmultifamily/gems_archive.html.
41
© 2022 Fannie Mae
A2
$281.3 MM
9.62y WAL
Appendix
42
© 2022 Fannie Mae
Fannie Mae Multifamily
Disclosure Websites
Name
Description
Web Link
DUS Disclose
Provides pool information, loan information, collateral information, and at-issuance documents for a specific
pool or CUSIP. Downloadable spreadsheets with all active DUS securities.
https://mfdusdisclose.fanniemae.com/#/home
Sustainable Bonds
Access to our green and social bond offerings
https://capitalmarkets.fanniemae.com/sustainabl
e-bonds
Green MBS
Provides an excel file of all Green MBS issuances and additional information on green financing.
https://www.fanniemae.com/multifamily/greeninitiative-green-mbs
Green Bond Impact Report
Provides a link to the Multifamily Green Bond Impact Report as well as a link to the Environmental Impact per
CUSIP.
https://www.fanniemae.com/greenimpact
Corporate ESG
Allows accessibility to the Sustainable Bond Framework, Single-family and Multifamily Green Bond Frameworks,
and the third-party Second Party Opinions (SPOs)
https://www.fanniemae.com/about-us/esg
MBSenger
References documents on Fannie Mae products and programs, including DUS MBS and Multifamily structured
products.
https://capitalmarkets.fanniemae.com/mortgagebacked-securities/multifamily-mbs/celebrating30-years-fannie-mae-delegated-underwritingservicing-dus-program
Multifamily DUS Prepayment
History Report
Provides prepayment activity by original balance and loan count presented in several different data categories.
The report shows active loans and liquidated loans acquired from January 2000 to the stated calendar quarter
for each given category. It also includes the type of prepayment, including voluntary and involuntary
prepayment, as well as loans that have paid at maturity.
http://www.fanniemae.com/portal/funding-themarket/mbs/multifamily/dusprepaymenthistory.html
MBS Prospectuses
Provides a link to all Fannie Mae MBS Prospectuses, both single-family and multifamily.
http://www.fanniemae.com/portal/jsp/mbs/docu
ments/mbs/prospectus/index.html
Multifamily Master Trust
Agreement
Provides a link to the Trust Agreements for Fannie Mae MBS, both single-family and multifamily.
http://www.fanniemae.com/portal/jsp/mbs/docu
ments/mbs/trustindentures/index.html
43
© 2022 Fannie Mae
Eligibility: Sample HPB Report
44
© 2022 Fannie Mae
Yield Maintenance Prepayment Protection in
Fannie Mae Multifamily Securities
A majority of fixed-rate DUS MBS
use yield maintenance as the form
of prepayment protection. If a
borrower voluntarily prepays
during the Yield Maintenance term,
the following process is initiated:
Borrower notifies
Servicer of
prepayment
Servicer and Fannie
Mae compare Yield
Maintenance
calculation results
Servicer notifies
Fannie Mae of
prepayment
Prepayment is
processed and
reported
Investor’s portion of
Prepayment Premium
(if collected) is passed
through to the investor
Borrower Yield Maintenance Payment Calculation
THE GREATER OF….
Amount of principal being repaid *
[(Interest rate – CMT yield rate) * PV Factor]
1% of the amount of principal being prepaid
Amount Received by Investor1
Fannie Mae calculates the share of the prepayment fee to be retained by the company and the share of prepayment fee to be passed on
to the investor. The investor portion will equal:
Amount of principal being prepaid * (pass through rate – CMT yield rate) * PV factor
Note: A detailed explanation and a numerical example of yield maintenance prepayment protection calculation can be found in Fannie Mae’s DUS Program Overview entitled “Celebrating 30 Years of the Fannie Mae Delegated Underwriting &
Servicing (DUS) Program” available at the following link: https://capitalmarkets.fanniemae.com/media/4046/display.
1 Fannie Mae does not guarantee prepayment premiums.
** This Yield Maintenance formula is applicable for all new fixed rate loans acquired by Fannie Mae. Not all existing Fannie Mae multifamily loans have the same or any yield maintenance formula and not all MBS provide that investors receive a
portion of any yield maintenance premiums. The offering documents for each Fannie Mae Multifamily MBS or GeMSTM security will describe the yield maintenance formula, if any, applicable to the underlying mortgage loans and the portion of
any yield maintenance premiums to be passed through to investors.
45
© 2022 Fannie Mae
Multifamily DUS Prepayment History
To provide market participants transparency into the performance of our loans, Fannie Mae provides historical prepayment information for its
multifamily Delegated Underwriting and Servicing (DUS®) loans. The prepayment information offers performance details to help investors analyze DUS
prepayment behavior, credit performance, and other multifamily market trends to determine some of the risks associated with an investment in
multifamily MBS.
Loans Included
Loans Excluded
Standard: DUS Fixed Rate MBS and cash loans with
yield maintenance terms ending six months prior to
maturity
•
•
•
SARM: DUS Structured Adjustable Rate (SARM) MBS and
cash loans with an initial 12-month lockout followed by
1% prepayment premium
Non-Standard: DUS fixed rate MBS and cash loans with
other yield maintenance terms (5/3, 7/5, 10/7, 18/15,
30/15)
ARM 7-6: DUS 7-Year Adjustable-Rate MBS and cash
loans with a maximum lifetime interest rate capped at
6% and an initial 12-month lockout followed by 1%
prepayment premium
Fixed Rate, Declining Premium: 10 Year DUS fixed rate
MBS and cash loans with a percentage of UPB
prepayment provision of 5%-5%-4%-4%-3%-3%-2%2%-1%-1%
•
•
•
•
•
•
•
•
Aggregation
Bulk Deliveries
Credit
Enhancements
Credit Facilities
DMBS
Funded Forwards
Hybrid ARMs
Inactive Non-DUS
Lenders
Negotiated
Transactions
New Prior Approval
Whole Loan REMICs
Access the multifamily prepayment history
information through Data Dynamics®, our free
analytical tool: fanniemae.com/data-dynamics
Additional information, including prepayment content, update frequency, and additional resources, such as a User Guide and Video
Demo, is available here: http://fanniemae.com/portal/funding-the-market/mbs/multifamily/dusprepayment-history.html.
46
© 2022 Fannie Mae
2022 Multifamily Caps
Multifamily Cap Highlights
•
•
•
•
•
Multifamily loan purchases cap of $78 billion for Fannie Mae (and $78 billion for Freddie Mac for a combined total of $156 billion) during the calendar year of 2022
To prevent market disruption, FHFA will not reduce the caps even if FHFA determines that the actual size of the 2022 market is smaller than was initially projected
Minimum of 50% of the multifamily business must be mission-driven affordable housing
Minimum of 25% of the multifamily business must be affordable to residents at 60% of area median income (AMI) or below
Loan purchases that meet the 25% requirement also count as loan purchases toward the 50% requirement
Multifamily Property Type
Mission-Driven Affordable Requirements/Portion of Loan that Qualifies as Mission-Driven
Targeted affordable housing properties
Properties encumbered by a regulatory agreement or a recorded use restriction
•
100% of loan amount qualifies if 50% or more of the units have rent restrictions
•
50% of loan amount qualifies if less than 50% of the units have rent restrictions
Other affordable units
Properties that are not subject to a regulatory agreement or recoded use restriction
•
In standard markets (those not located in rural areas or in designated cost- or very cost-burdened renter markets), pro rata portion of the loan amount qualifies based on
the percentage of units affordable at or below 80% of AMI
•
In cost-burdened renter markets, pro rata portion of the loan amount qualifies based on the percentage of units affordable at or below 100% of AMI
•
In very cost-burdened renter markets, pro rata portion of the loan amount qualifies based on the percentage of units affordable at or below 120% of AMI
Rural area properties
Pro rata portion of the loan amount qualifies based on % units affordable at 100% of AMI or below
Small multifamily properties (5 to 50 units)
•
•
•
Manufactured housing rental community blanket loans
The portion of the loan amount qualifies that reflects the share of units that receives credit under the Duty to Serve regulation
Seniors housing assisted living properties
Pro rata portion of the loan amount qualifies based on the percentage of units affordable at 80% of AMI or below
Loans to finance energy or water efficiency improvements
Pro rata portion of the loan amount qualifies based on % affordable units at or below 80% AMI in standard renter markets
Pro rata portion of the loan amount qualifies based on % affordable units at or below 100% AMI in cost-burdened renter markets
Pro rata portion of the loan amount qualifies based on % affordable units at or below 120% AMI in very cost-burdened renter markets
Under the Fannie Mae Green Rewards/Green Building Certification programs:
•
50% of the loan amount qualifies if at least 20% but less than 50% of the unit rents are affordable at or below 60% AMI
•
100% of the loan amount qualifies if the percentage of affordable units is equal to or more than 50%
Additionally, under the Fannie Mae Green Rewards program:
•
Renovations must project a minimum 15% reduction in annual whole property energy consumption and a minimum 15% reduction in annual whole property water and/or
energy consumption
Source: https://www.fhfa.gov/Media/PublicAffairs/Pages/FHFA-Announces-2022-Multifamily-Loan-Purchase-Caps-for-Fannie-Mae-and-Freddie-Mac.aspx
•
Must have a third-party data collection firm engaged for ongoing data collection for the life of the loan
© 2022 Fannie Mae
47
Fannie Mae Securities Compared
to Covered Bonds
FNMA MBS
FNMA GeMS
Asset Pool
Generally one loan – one pool
Asset Type
MBS
Liquidity
Regulatory Treatment
Covered Bonds
EUR RMBS
Fixed group of MBS
Dynamic
Static / Revolving
REMIC
Mortgage Loans (may include commercial assets)
Mortgage Loans
High
High
High
Limited
High degree of standardization
High degree of standarization
High degree of standardization*
Limited degree of standardization
No
Yes, time tranched classes
No
Yes
Tranching
Extension Risk
None, hard final
None, hard final
Soft/hard bullet
Yes
Accounting Treatment
On balance sheet
On balance sheet
On Balance Sheet
On/Off Balance Sheet
Underlying loan risk shared with lender
Overcollateralization, ranges between 3%-25% depending
on the bond
Overcollateralization, subordination,
1st loss and excess spread
Credit Enhancement
Underlying loan risk shared with lender
Loan-To-Value Limits
≤80%
≤80%
Max 80% residential, max 60% commercial (Local
differences may occur)
No
n/a
Yes, time tranched classes
Yes
No, tranches with different seniority
Yes, originator and collateral pool
No, limited to asset pool and reserve
fund
Yes, linked to issuing bank
Yes, not linked to originating bank
Pari-Passu
Dual Recourse
Rating/Government Support
Guaranteed payment of principal and interest
Commitment of funds from U.S. Treasury
Department under Senior Preferred Stock
Purchase Agreement
*Art. 52 (4) UCITS & Art. 129 (4), (5) CRR compliant.
© 2022 Fannie Mae
48
Guaranteed payment of principal and interest
Commitment of funds from U.S. Treasury
Department under Senior Preferred Stock
Purchase Agreement
Multifamily Serious Delinquency Rates and
Credit Losses
Cumulative Total Credit Loss Rate, Net by Acquisition Year Through 2021(1)
Serious Delinquency Rates(2)
49
© 2022 Fannie Mae
1.
Cumulative net credit loss rate is the cumulative net credit losses (gains) through December 31, 2021 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. Net credit losses include expected benefit of freestanding losssharing benefit, primarily multifamily DUS lender-risk sharing transactions.
2.
Multifamily SDQ rate refers to multifamily loans that are 60 days or more past due, expressed as a percentage of the
company’s multifamily guaranty book of business, based on unpaid principal balance. Multifamily SDQ rate for loans
in a particular category (such as acquisition year, asset class or targeted affordable segment), refers to SDQ loans in
the applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of
business in that category.
Certain Credit Characteristics of Multifamily
Guaranty Book of Business (1/2)
Certain Credit Characteristics of Multifamily Guaranty Book of Business by Acquisition Year, Asset Class, or Targeted Affordable Segment(1)
As of December 31, 2021
4.
5.
6.
7.
50
Seniors
Student
Manufactured
Privately Ow ned
2021
/Co-op(2)
Housing(2)
Housing(2)
Housing(2)
w ith Subsidy (3)
$74.2
$69.2
$363.5
$16.8
$14.6
$18.2
$47.2
16%
18%
17%
88%
4%
4%
4%
11%
3,147
3,818
4,958
4,192
25,977
629
641
1,609
3,838
$18.6
$17.9
$17.5
$15.0
$16.5
$14.0
$26.6
$22.8
$11.3
$12.3
66%
65%
66%
64%
65%
65%
66%
66%
65%
68%
1.9
2.0
1.9
1.9
2.4
2.3
2.1
1.8
1.8
2.2
2.2
25%
92%
88%
93%
94%
94%
89%
92%
62%
82%
93%
85%
Book
Earlier
2009-2016
2017
2018
2019
2020
Total UPB (Dollars in billions)
$413.1
$7.0
$87.6
$51.9
$56.3
$66.9
% of Multifamily Guaranty Book
100%
2%
21%
12%
14%
Loan Count
28,856
2,784
7,169
2,788
Average UPB (Dollars in millions)
$14.3
$2.5
$12.2
Weighted-Average OLTV Ratio
65%
69%
66%
Weighted-Average DSCR(4)
2.1
3.1
% Fixed rate
91%
% Full Interest-Only
33%
28%
23%
31%
35%
34%
38%
40%
35%
13%
30%
25%
25%
% Partial Interest-Only (5)
51%
19%
48%
54%
53%
56%
50%
50%
50%
59%
63%
58%
44%
% Small Balance Loans (6)
42%
91%
50%
31%
28%
35%
36%
26%
42%
14%
24%
50%
48%
% DUS(1)
99%
91%
99%
98%
100%
100%
99%
99%
99%
98%
100%
100%
98%
0.42%
0.03%
0.80%
0.90%
0.47%
0.36%
0.08%
0.00%
0.30%
1.30%
2.87%
0.06%
0.13%
Serious Delinquency Rate(7)
2.
3.
Asset Class or Targeted Affordable Segment
Conventional
2008 &
Categories are not m utually exclusive
1.
Acquisition Year
Overall
The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that the company provided on multifamily mortgage assets. It excludes nonFannie Mae multifamily mortgage-related securities held in the retained mortgage portfolio for which Fannie Mae does not provide a guaranty. Data reflects the latest available information as of December 31, 2021.
See https://multifamily.fanniemae.com/financing-options/products for definitions. Loans with multiple product features are included in all applicable categories.
The Multifamily Affordable Business Channel focuses on financing properties that are under an agreement that provides long-term affordability, such as properties with rent subsidies or income restrictions. The parameters to qualify under Privately Owned with Subsidy were
expanded in Q3 2021, resulting in an increase in properties classified as targeted affordable volume.
Weighted-average debt service coverage ratio, or "DSCR", is calculated using the latest available income information from annual statements for these properties. When operating statement information is not available, the DSCR at the time of acquisition is used. If both are
unavailable, the underwritten DSCR is used. Although the company uses the most recently available results from their multifamily borrowers, there is a lag in reporting, which typically can range from three to six months, but in some cases may be longer. Accordingly, the
financial information Fannie Mae has received from borrowers may not reflect the most recent impacts of the COVID-19 pandemic. Co-op loans are excluded from this metric.
Includes any loan that was underwritten with an interest-only term less than the term of the loan, regardless of whether it is currently in its interest-only period.
Small balance loans refers to multifamily loans with an original unpaid balance of up to $6 million nationwide.
Multifamily SDQ rate refers to multifamily loans that are 60 days or more past due, expressed as a percentage of the company’s multifamily guaranty book of business, based on unpaid principal balance. Multifamily SDQ rate for loans in a particular category (such as acquisition
year, asset class or targeted affordable segment), refers to SDQ loans in the applicable category, divided by the unpaid principal balance of the loans in the multifamily guaranty book of business in that category.
© 2022 Fannie Mae
Certain Credit Characteristics of Multifamily
Guaranty Book of Business (2/2)
UPB by Maturity Year as of December 31, 2021(1) Top 10 MSAs by UPB as of December 31, 2021(1)
Share of Book
of Business:
39.4%
Total Top 10
UPB:
$162.8B
Total UPB:
$413.1B
1.
51
Certain Characteristics of Guaranty Book
2022
2025
2023
2026
2024
Other
New York
Houston
Los Angeles
Chicago
Dallas
Phoenix
Washington D.C.
Seattle
Atlanta
San Francisco
Weighted-Average DSCR(2)
Weighted-Average OLTV Ratio
The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that the company provided on multifamily
mortgage assets. It excludes non-Fannie Mae multifamily mortgage-related securities held in the retained mortgage portfolio for which Fannie Mae does not provide a guaranty. Data reflects the latest available information as of December 31,
2021.
2.
Weighted-average debt service coverage ratio, or "DSCR", is calculated using the latest available income information from annual statements for these properties. When operating statement information is not available, the DSCR at the time of
acquisition is used. If both are unavailable, the underwritten DSCR is used. Although the company uses the most recently available results from their multifamily borrowers, there is a lag in reporting, which typically can range from three to six
months, but in some cases may be longer. Accordingly, the financial information Fannie Mae has received from borrowers may not reflect the most recent impacts of the COVID-19 pandemic. Co-op loans are excluded from this metric.
© 2022 Fannie Mae
Certain Credit Characteristics of Multifamily
Loan Acquisitions
Certain Credit Characteristics of Multifamily Loans by Acquisition Period(1)
2017
$67.1
67%
3,861
100%
98%
26%
58%
70%
57%
Categories are not m utually exclusive
Total UPB (Dollars in billions)
Weighted-Average OLTV Ratio
Loan Count
% Lender Recourse(2)
% DUS(3)
% Full Interest-Only
Weighted-Average OLTV Ratio on Full Interest-Only Acquisitions
Weighted-Average OLTV Ratio on Non-Full Interest-Only Acquisitions
% Partial Interest-Only (4)
Origination Loan-to-Value Ratio(1)
% OLTV ratio less than or equal
to 70%
% OLTV ratio greater than 70%
and less than or equal to 80%
% OLTV ratio greater than 80%
1.
52
2.
3.
© 2022 Fannie Mae
4.
2018
$65.4
65%
3,723
100%
99%
33%
58%
68%
53%
2019
$70.2
66%
4,113
100%
100%
33%
59%
69%
56%
Top 10 MSAs by 2021 Acquisition UPB(1)
Share of
Acquisitions:
36%
Total UPB:
$25.3B
2020
$76.0
64%
5,051
99%
99%
38%
58%
68%
50%
2021
$69.5
65%
4,203
100%
99%
40%
59%
68%
50%
Acquisitions by Note Type(1)
New York
Chicago
Los Angeles
Phoenix
Dallas
Denver
Variable-rate
Washington D.C
Houston
Fixed-rate
Atlanta
San Diego
The multifamily guaranty book of business consists of: (a) multifamily mortgage loans of Fannie Mae; (b) multifamily mortgage loans underlying Fannie Mae MBS; and (c) other credit enhancements that the company provided on multifamily mortgage assets. It
excludes non-Fannie Mae multifamily mortgage-related securities held in the retained mortgage portfolio for which Fannie Mae does not provide a guaranty. Data reflects the latest available information as of December 31, 2021.
Represents the percentage of loans with lender risk-sharing agreements in place, measured by unpaid principal balance.
Under the Delegated Underwriting and Servicing ("DUS") program, Fannie Mae acquires individual, newly originated mortgages from specially approved DUS lenders using DUS underwriting standards and/or DUS loan documents. Because DUS lenders generally
share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and service most loans without a pre-review by the company.
Includes any loan that was underwritten with an interest-only term less than the term of the loan, regardless of whether it is currently in its interest-only period.
Disclaimers
Copyright© 2022 by Fannie Mae.
Forward-Looking Statements. This presentation and the accompanying discussion contain a number of estimates, forecasts, expectations, beliefs, and other forward-looking statements, which may include
statements regarding future benefits of investing in Fannie Mae products, future macroeconomic conditions, future actions by and plans of the Federal Reserve, Fannie Mae’s green and social bond issuance activity and
its impact, Fannie Mae’s future business plans, strategies and activities and the impact of those plans, strategies and activities. These estimates, forecasts, expectations, beliefs and other forward-looking statements
are based on the company’s current assumptions regarding numerous factors and are subject to change. Actual outcomes may differ materially from those reflected in these forward-looking statements due to a variety
of factors, including, but not limited to, those described in “Forward-Looking Statements” and “Risk Factors” in our annual report on Form 10-K for the year ended December 31, 2021. Any forward-looking statements
made by Fannie Mae speak only as of the date on which they were made. Fannie Mae is under no obligation to, and expressly disclaims any obligation to, update or alter its forward-looking statements, whether as a
result of new information, subsequent events, or otherwise.
No Offer or Solicitation Regarding Securities. This document is for general information purposes only. No part of this document may be duplicated, reproduced, distributed or displayed in public in any manner or by
any means without the written permission of Fannie Mae. The document is neither an offer to sell nor a solicitation of an offer to buy any Fannie Mae security mentioned herein or any other Fannie Mae security. Fannie
Mae securities are offered only in jurisdictions where permissible by offering documents available through qualified securities dealers or banks.
No Warranties; Opinions Subject to Change; Not Advice. This document is based upon information and assumptions (including financial, statistical, or historical data and computations based upon such data) that
we consider reliable and reasonable, but we do not represent that such information and assumptions are accurate or complete, or appropriate or useful in any particular context, including the context of any
investment decision, and it should not be relied upon as such. Opinions and estimates expressed herein constitute Fannie Mae's judgment as of the date indicated and are subject to change without notice. They
should not be construed as either projections or predictions of value, performance, or results, nor as legal, tax, financial, or accounting advice. No representation is made that any strategy, performance, or result
illustrated herein can or will be achieved or duplicated. The effect of factors other than those assumed, including factors not mentioned, considered or foreseen, by themselves or in conjunction with other factors,
could produce dramatically different performance or results. We do not undertake to update any information, data or computations contained in this document, or to communicate any change in the opinions, limits,
requirements and estimates expressed herein. Investors considering purchasing a Fannie Mae security should consult their own financial and legal advisors for information about such security, the risks and investment
considerations arising from an investment in such security, the appropriate tools to analyze such investment, and the suitability of such investment in each investor's particular circumstances.
Fannie Mae securities, together with interest thereon, are not guaranteed by the United States and do not constitute a debt or obligation of the United States or of any agency or instrumentality thereof other than
Fannie Mae.
Opinions, analyses, estimates, forecasts, and other views of Fannie Mae's Economic & Strategic Research (ESR) group included in these materials should not be construed as indicating Fannie Mae's business
prospects or expected results, are based on a number of assumptions, and are subject to change without notice. How this information affects Fannie Mae will depend on many factors. Although the ESR group bases
its opinions, analyses, estimates, forecasts, and other views on information it considers reliable, it does not guarantee that the information provided in these materials is accurate, current, or suitable for any particular
purpose. Changes in the assumptions or the information underlying these views, including assumptions about the duration and magnitude of shutdowns and social distancing, could produce materially different
results. The analyses, opinions, estimates, forecasts, and other views published by the ESR group represent the views of that group as of the date indicated and do not necessarily represent the views of Fannie Mae or
its management.
53 © 2022 Fannie Mae
Contact Information
Email
@fanniemae
Fixedincome_markeing@fanniemae.com
www.facebook.com/fanniemae
or call 800-2FANNIE (800-232-6643)
@fanniemae.com
for more information.
Dan Dresser
Helen McNally
Senior Vice President, Multifamily Capital Markets
Director, Investor Relations & Marketing
202.752.6039
202.752.8738
Daniel_t_Dresser@fanniemae.com
Helen_McNally@fanniemae.com
Fannie Mae is headquartered in Washington, DC and operates
regional offices in Chicago, Philadelphia, Plano, and the greater
Washington, DC area.
Headquarters
1100 15th Street NW
Washington, DC 20005
54
© 2022 Fannie Mae