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) — Q1 2012 Earnings Presentation
21 slides from Federal National Mortgage Association's earnings presentation, May 9, 2012
Slide 1: Fannie Mae First-Quarter 2012 Credit Supplement
Exhibit Fannie 2012 May 9, First-Quarter Mae 2012 99.2 Credit Supplement
Slide 2: the reviewed be www.fanniemae.com.
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Slide 3: Table of Contents
Table of Home Slide Fannie Delinquency Monthly Performance 2ProfilePrice by Mae Contents Payment Loan Growth/Decline Credit of Rates Fannie Attributes Change Profile by States Maeby 17 and Modified Rates and Origination Fannie Type Region in13 Mae the Loans 10 U.S. Year Multifamily Fannie 143and Fan
Slide 4: Home Price Growth/Decline Rates
Home Fannie 15% 7.5% 10.6% 11.3% -3.3% -0.8% 2.8% 6.3% 2000 -9.0% S&P/Case-Shiller Growth *Year-to-date different We Note: property exclude the internal data 3areas impact expect combined 10% 2001 of 7.7% Our -3.6% Price Mae home rates foreclosed the value, results. 5% estimates peak-to-trough of 20
Slide 5: Home Price Change by State and Region
Home United AK Mountain 8.4% 5.0% New 12.0% Pacific 5.8% HI 25.0% 0.8% Below West East 7.1% South 3.4% Middle 20.2% WA 12.7% OR 3.5% CA 1.6% NV 18.9% ID MT WY UT AZ 1.0% NM 2.4% CO ND SD 0.1% NE KS OK TX MN 5.2% IA MO AR LA WI 0.9% IL 1.8% MI 4.3% IN OH KY 2.3% MS 0.6% TN NH 1.3% VT 0.5% MA 0.3% 14.
Slide 6: Fannie Mae Single-Family Credit Profile by Acquisition Year
Fannie Credit Acquisition Unpaid Origination <= >60% >70% >80% >90% > 0FICO >= >=660 >=700 >=740 Missing Weighted Product Fixed-rate Adjustable-rate Alt-A Subprime Interest Negative Refinance Total HARP Investor Condo/Co-op (1) single-family commitment (2) (3) 5(5) to 100% 60% 620 The Percentage Ref
Slide 7: Single-Family Credit Profile: Key Features by Product
(3) Fannie Categories Negative Interest As Loans > Unpaid Share Average Serious Origination Mark-to-Market Weighted FICO Fixed-rate Primary Condo/Co-op Credit % (1) securities conventional (4)90% of of Loans 2007 2008 2009 2010 2011 Q1 March of << with LTV Characteristics Enhanced 90%(3) Mae Princip
Slide 8: Single-Family Credit Profile: Overall Book
(3) Fannie Overall As Book Unpaid Share Average Serious Origination Mark-to-Market Weighted FICO Interest Negative Fixed-rate Primary Condo/Co-op Credit % Cumulative (1) over (2) of of The Excludes (4)the 99% 2007 2008 2009 2010 2011 Q1 Earlier March of <Enhanced Characteristics Mae Principal increa
Slide 9: Single-Family Credit Profile: Selected States
(2) Fannie Overall As Book Unpaid Share Average Serious Origination Mark-to-Market Weighted FICO Interest Negative Fixed-rate Primary Condo/Co-op Credit % (1) over (3)of of Excludes 99% 2007 2008 2009 2010 2011 Q1 States March of <Enhanced Characteristics Mae Principal Select Only Delinquency 620 Re
Slide 10: Single-Family Alt-A Credit Profile
Fannie As Unpaid Earlier Share Origination Mark-to-Market Weighted FICO Adjustable-rate Interest Negative Investor Condo/Co-op California Florida Credit 2011 2012 % (1) alternative other label (2) (3) over (4) seller (6) carried credit (7) (8) Cumulative 9conventional of of The “Alt-A Newly Excludes
Slide 11: Serious Delinquency Rates by State and Region
Fannie 16% AZ Serious 8% 2009 Midwest (1) (3) 10 Calculated For CA 7% 14% Q1Mae information 6% FL Delinquency 2009 Northeast 12% NV 5% Single-Family based Q2 Select 10% 4%2009 Southeast 3% on 8% on Rate Midwest which 2% Q3 the 6%by Serious 1% 2009 number 4% States Region states Southwest 0% States 2
Slide 12: Single-Family Completed Workouts by Type
Fannie Number 100,000 82,684 87,533 2011 77,748 Modifications both plans least Forbearances Deeds-in-lieu In 11 a preforeclosure completed 60 Q1 involve Mae 78,079 days 75,000 of 2011 Loans Single-Family delinquent involve plans of Repayment involve Q2 80,195 modifications 50,000 foreclosure 2011 sa
Slide 13: Home Affordable Modification Program (HAMP) Modifications
Home Fannie Active As Total Modification Rate Term Forbearance Median Principal % Delinquent Data (1) Provides 12 of Active ofReduction Source: March 17,774 Extension March Affordable Permanent Mae Monthly immediate Payment Permanent Loans Loans 31, 21% 253,210 31, United Structure 93% 2012 65% 2012
Slide 14: Single-Family Modification Type and Payment Change
Fannie Change Modification Decrease Increase 100% Q1 Capitalization (1) but (2) remaining 13 Excludes Represents 2011 do 80% not Mae in in Q2 oflife reflect Monthly Principal 60% greater Single-Family 2011 loans Type of the40% Missed the loans Q3 change of that than Principal loan. and Single-Family
Slide 15: Re-performance Rates of Modified Loans
314 Performance Re-performance % Q3 Current Q4 Q1 96 months 12 15 18 21 24 (1) but months months or Q2 Excludes do notpostof Paid Q3 Fannie reflect post post Rates loans Q4 Offmodification Q1 2009 of Mae modification modification loans that Modified Q245% were 2009 Modified Q3 Q4 currently in2010 57
Slide 16: Cumulative Default Rates by Origination Year
Fannie 2012 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% 9.0% 9.5% 10.0% Yr1-Q1 2003 2004 2005 2008 2006 2007 Time 2002 Note: Cumulative conventional Data 15 as 2011 2003 Since Defaults Mae of Yr2-Q1 March 2004 Beginning Default Single-Family loans includ
Slide 17: Single-Family Real Estate Owned (REO)
(1) Fannie Average From State of Foreclosure 2012 Beginning Arizona California Florida Nevada Select All Total Ending (2)March (3) other Acquisitions Installment (2) Dispositions Last Midwest Mae 1,031 Inventory 566 foreclosure 407, REO Q1 57% 16 387 Select Days (3) Measured Fannie Net 2012 479, 55%
Slide 18: Multifamily Credit Profile Key Features
(3) Fannie % Unpaid As Balance Business Total Credit Non-Credit Originating Delegated DUS Non-DUS—Small Non-DUS—Non Non-DUS—Total Maturity Loans Other Loan Less Greater (1) (4)of of Excludes and/or (5) 17 than Multifamily ®—Small ®—Non ®—Total Multifamily Size March maturities maturing Enhanced Mae
Slide 19: Multifamily Credit Profile by Acquisition Year
118 Fannie Multifamily SDQ Year 2005 2006 2007 2008 2009 2010 2011 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 0.50% 1.50% 2.00% 2.50% % Unpaid As Total By 2012 Prior (1)of ofYear (%) Mae Cumulative 2 Year 34%———- Acquisition Excludes 4Multifamily SDQ 5Year 62008 7#Rate Default Defaults Mu
Slide 20: Multifamily Credit Profile by Region, Asset Class and Lender
(3) Fannie % Unpaid As Balance Business Total Region: Midwest Northeast Southeast Southwest Western Top California New Texas Florida Virginia Asset Conventional/Co-op Seniors Manufactured Student Targeted Privately DUS Non-DUS (1) (4)of of Excludes Five York Multifamily & Lender: Lender Multifamily
Slide 21: Credit Losses by State
(1) Fannie Example: Portfolio Numbers: Balance 20 Mae (UPB) Excludes UPB(1) UPB Represent Multifamily in forConcentration Ohio loans each Q1isthat state 2012 Q1 $2.8B have 2012 which credit by and been Credit State total losses Q1defeased. 2012 Losses as $194.8B for of Credit each 03/31/2012 by Defe