Federal National Mortgage Association · OTC:FNMA
Federal National Mortgage Association — Federal National Mortgage Association Fannie MAE (Fnma, Fnmag, Fnmah, Fnmai, Fnmaj, Fnmak, Fnmal, Fnmam, Fnman, Fnmao, Fnmas, Fnmat, Fnmfm, Fnmfn) — Q2 2013 Earnings Presentation
23 slides from Federal National Mortgage Association's earnings presentation, Aug 8, 2013
Slide 1: Fannie Mae 2013 Second Quarter Credit Supplement
August 08, 2013 Fannie Mae 2013 Second Quarter Credit Supplement Exhibit 99.2
Slide 2: This presentation includes information about Fannie Mae, including information contained in Fannie Mae’s
1 This presentation includes information about Fannie Mae, including information contained in Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013, the “2013 Q2 Form 10-Q.” Some of the terms used in these materials are defined and discussed more fully in the 2013 Q2 Form
Slide 3: Table of Contents
2 Home Prices Home Price Growth/Decline Rates in the U.S. 3 One Year Home Price Change as of 2013 Q2 4 Home Price Change Peak-to-Current as of 2013 Q2 5 Credit Profile of Fannie Mae Single-Family Loans Credit Characteristics of Single-Family Business Acquisitions 6 Credit Characteristics of Single-F
Slide 4: Home Price Growth/Decline Rates in the U.S.
3 7.5% 7.6% 10.6% 11.4% 2.8% -3.4% -9.1% -4.8% -4.3% -3.7% 4.3% 5.9% -15% -10% -5% 0% 5% 10% 15% 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 10.6% 10.7% 14.6% 14.7% -0.3% -8.4% -18.4% -2.5% -3.8% -3.7% 7.3% 1.2%** Home Price Growth/Decline Rates in the U.S. Fannie Mae Home Price Inde
Slide 5: One Year Home Price Change as of 2013 Q2
4 T X 4 . 7 % 5 . 3 % M T 5 . 3 % 0 . 3 % N M 2 . 1 % 0 . 5 % C O 8 . 5 % 2 . 6 % W Y 3 . 2 % 0 . 2 % M N 7 . 1 % 1 . 9 % K S 2 . 6 % 0 . 5 % N E 2 . 5 % 0 . 4 % S D 3 . 1 % 0 . 2 % N D 8 . 5 % 0 . 1 % O K 3 . 4 % 0 . 6 % M O 2 . 2 % 1 . 4 % W A 8 . 2 % 3 . 5 % I L 3 . 6 % 4 . 2 % I A 3 . 3 % 0 . 7
Slide 6: Home Price Change Peak-to-Current as of 2013 Q2
5 DC 0 .0 % 0 .4 % R I - 3 1 . 0 % 0 . 4 % T X 0 . 0 % 5 . 3 % M T - 4 . 0 % 0 . 3 % C O - 0 . 9 % 2 . 6 % N M - 1 4 . 1 % 0 . 5 % W Y - 2 . 0 % 0 . 2 % SD 0 . 0 % 0 . 2 % N D 0 . 0 % 0 . 1 % O K 0 . 0 % 0 . 6 % K S - 0 . 8 % 0 . 5 % N E - 2 . 3 % 0 . 4 % M O - 8 . 8 % 1 . 4 % U T - 1 2 . 6 % 1 . 0
Slide 7: Credit Characteristics of Single-Family Business Acquisitions
6 Acquisition Year YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Unpaid Principal Balance (billions) $429.7 $832.2 $562.3 $595.0 $684.7 $557.2 $643.8 $515.8 $524.2 $568.8 Weighted Average Origination Note Rate 3.55% 3.78% 4.35% 4.64% 4.93% 6.00% 6.51% 6.45% 5.73% 5.63% Origination Loan-to-Va
Slide 8: Credit Characteristics of Acquisitions under Refi Plus Initiative
7 YTD 2013 2012 2011 2010 2009 YTD 2013 2012 2011 2010 2009 Unpaid Principal Balance (billions) $64.9 $129.9 $55.6 $59.0 $27.9 $40.7 $73.8 $81.2 $80.5 $44.7 Weighted Average Origination Note Rate 3.89% 4.14% 4.78% 5.00% 5.05% 3.64% 3.89% 4.44% 4.68% 4.85% Origination Loan-to-Value Ratio <= 80%
Slide 9: Credit Characteristics by Key Product Features
8 As of June 30, 2013 Negative Amortizing Loans Interest Only Loans Loans with FICO < 620 (3) Loans with FICO ≥ 620 and < 660 (3) Loans with Origination LTV Ratio > 90% Loans with FICO < 620 and Origination LTV Ratio > 90% (3) Alt-A Loans Subprime Loans Sub-total of Key Product Features (1) Overall
Slide 10: Credit Characteristics by Origination Year
9 As of June 30, 2013 Overall Book 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 and Earlier Unpaid Principal Balance (billions) (1) $2,768.9 $327.4 $761.5 $349.1 $310.8 $237.2 $96.1 $159.4 $114.3 $115.1 $298.0 Share of Single-Family Conventional Guaranty Book 100.0% 11.8% 27.5% 12.6% 11.2% 8.6%
Slide 11: Credit Characteristics by Select States
10 As of June 30, 2013 Overall Book AZ CA FL NV Select Midwest States (1) Unpaid Principal Balance (billions) (2) $2,768.9 $65.9 $533.4 $161.3 $26.7 $276.2 Share of Single-Family Conventional Guaranty Book 100.0% 2.4% 19.3% 5.8% 1.0% 10.0% Average Unpaid Principal Balance (2) $158,952 $148,892 $224,
Slide 12: Credit Characteristics of Alt-A Loans
11 As of June 30, 2013 Alt-A (1) 2013(2) 2012(2) 2011 (2) 2010 (2) 2009 (2) 2008 2007 2006 2005 2004 and Earlier Unpaid principal balance (billions) (3) $141.7 $4.5 $7.8 $6.1 $3.0 $1.2 $3.0 $30.8 $33.1 $23.3 $28.9 Share of Alt-A 100.0% 3.2% 5.5% 4.3% 2.1% 0.8% 2.1% 21.8% 23.3% 16.5% 20.4% Weighted A
Slide 13: Credit Characteristics of Refi Plus Loans
12 2013 2012 2011 2010 2009 2013 2012 2011 2010 2009 Unpaid Principal Balance (billions) $51.5 $129.3 $47.6 $45.2 $21.3 $31.9 $68.7 $57.5 $47.5 $21.2 Share of Single-Family Conventional Guaranty Book 1.9% 4.7% 1.7% 1.6% 0.8% 1.2% 2.5% 2.1% 1.7% 0.8% Average Unpaid Principal Balance $182,493 $196,190
Slide 14: Serious Delinquency Rates by Select States and Region
13 0% 1% 2% 3% 4% 5% 6% 7% 8% Q2 2013Q1 20132012 Q42012 Q32012 Q22012 Q12011 Q42011 Q32011 Q22011 Q12010 Q42010 Q32010 Q2 Serious Delinquency Rate by Region (3) Midwest Northeast Southeast Southwest West 0% 2% 4% 6% 8% 10% 12% 14% Q2 2013Q1 20132012 Q42012 Q32012 Q22012 Q12011 Q42011 Q32011 Q22011 Q
Slide 15: Single-Family Completed Workouts by Type
14 65,239 69,258 63,228 63,761 61,492 0 25,000 50,000 75,000 2012 Q2 2012 Q3 2012 Q4 2013 Q1 2013 Q2 Nu mb er o f Lo an s Modifications Repayment Plans and Forbearances Completed Short Sales and Deeds-in-Lieu Single-Family Completed Workouts by Type Modifications involve changes to the original mo
Slide 16: Re-performance Rates of Modified Single-Family Loans
15 2010 2010 2010 2011 2011 2011 2011 2012 2012 2012 2012 2013 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 3 Months post modification 79% 78% 81% 84% 84% 83% 84% 85% 84% 84% 85% 86% 6 months post modification 73% 75% 77% 78% 79% 79% 79% 78% 77% 80% 82% n/a 9 months post modification 71% 73% 72% 75% 77% 76%
Slide 17: Cumulative Default Rates by Origination Year
16 2003 2004 2005 2006 2007 2008 2009201020112012 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% 12.0% Yr1-Q1 Yr2-Q1 Yr3-Q1 Yr4-Q1 Yr5-Q1 Yr6-Q1 Yr7-Q1 Yr8-Q1 Yr9-Q1 Yr10-Q1 Yr11-Q1 Cu mu lat ive D efa ult R ate Time Since Beginning of Origination Year 2003 2004 2005 2006 2007 2008 20
Slide 18: Single-Family REO in Select States
17 YTD 2013 2012 2011 2010 2009 2008 Beginning Balance N/A 105,666 118,528 162,489 86,155 63,538 33,729 N/A N/A Arizona 419 2,471 8,133 16,172 20,691 12,854 5,532 2,311 3,673 California 549 3,546 14,980 27,589 34,051 19,565 10,624 5,590 10,039 Florida 1,194 15,733 23,586 13,748 29,628 13,282 6,159 1
Slide 19: Short Sales and REO Sales Price / UPB
18 Q2 Q3 Q4 Q1 Q2 FL 56.8% 59.6% 62.2% 64.5% 67.8% CA 63.7% 68.5% 73.2% 78.0% 85.3% IL 51.8% 53.1% 55.0% 57.2% 61.9% MI 54.5% 57.2% 56.9% 59.9% 65.1% OH 56.1% 60.1% 59.2% 61.7% 62.4% Top 5 58.8% 61.8% 63.9% 66.9% 71.1% All Others 69.4% 71.1% 72.2% 73.5% 77.6% Total 65.0% 67.2% 68.5% 70.6% 74.6% 2012
Slide 20: Multifamily Credit Profile by Loan Attributes
19 Total Multifamily Guaranty Book of Business (1) 37,781 $203.4 100% 0.28% 100% 100% 100% 100% Credit Enhanced Loans: Credit Enhanced 33,941 $184.4 91% 0.16% 36% 73% 83% 68% Non-Credit Enhanced 3,840 $19.1 9% 1.44% 64% 27% 17% 32% Origination loan-to-value ratio: (4) Less than or equal to 70% 24,30
Slide 21: Multifamily Credit Profile by Acquisition Year
20 As of June 30, 2013 Unpaid Principal Balance (Billions) % of Multifamily Guaranty Book of Business (UPB) % Seriously Delinquent (2) # of Seriously Delinquent loans (2) % of YTD 2013 Multifamily Credit Losses (3) % of 2012 Multifamily Credit Losses (3) % of 2011 Multifamily Credit Losses % of 2010
Slide 22: Multifamily Credit Profile
21 Total Multifamily Guaranty Book of Business (1) $203.4 100% 0.28% 100% 100% 100% 100% Region: (4) Midwest $17.6 9% 0.58% -13% 15% 23% 10% Northeast $41.6 20% 0.16% -5% 10% 3% 5% Southeast $42.8 21% 0.24% 48% 53% 42% 40% Southwest $37.1 18% 0.20% 12% 8% 26% 40% Western $64.2 32% 0.34% 58% 14% 6% 6
Slide 23: Multifamily YTD 2013 Credit Losses by State
22 Example: UPB in NY is $24.9B and 2013 Credit Losses are $928K Numbers: Represents YTD 2013 credit losses/(gains) for each state, which total $58M as of June 30, 2013. States with no numbers had less than $500K in credit losses or less than $500K in credit-related income in 2013. Shading: Represen