Federal National Mortgage Association · OTC:FNMA
Federal National Mortgage Association — Federal National Mortgage Association Fannie MAE — IPO Roadshow (May 2008)
21 slides from Federal National Mortgage Association's IPO roadshow presentation, May 6, 2008
Slide 1: May 2008 Fannie Mae Capital Raise Roadshow
May 2008 Fannie Mae Capital Raise Roadshow
Slide 2: Disclaimer/Forward-Looking Statements/Risk Factors
This presentation includes forward-looking statements, including statements relating to our future capital position, financial performance and condition, portfolio growth, ability to take advantage of business opportunities, market share and credit losses; our strategy; the fair value of our net ass
Slide 3: Offering Summaries
1 Market data as of May 2, 2008 Offering Summaries
Slide 4: Transaction Rationale and Investment Highlights
Transaction Rationale and Investment Highlights
Slide 5: Transaction Rationale
Transaction Rationale Maintain a strong, conservative balance sheet Build capital to allow Fannie Mae to operate and grow from a position of strength Maintain a prudent capital cushion in a volatile and challenging market through 2008 and 2009 Mix of the offering maintains an appropriate ratio of pr
Slide 6: Investment Highlights
Investment Highlights Long-term growth and profitability prospects Rising guaranty fees and net interest yields Highly accretive growth opportunities Improved underwriting Estimated 50% Q1 2008 market share on the issuance of new single-family mortgage- related securities Addressing market-related v
Slide 7: Strong, Stable Revenues
Strong, Stable Revenues Revenues 1Q'06 3.3 2Q'06 3 3Q'06 2.8 4Q'06 3 1Q'07 2.7 2Q'07 2.7 3Q'07 2.7 4Q'07 3.1 1Q'08 3.8 Net Revenues ($ in billions) Note: Revenues defined as net interest income plus guaranty fee, trust management, and fee and other income. Certain amounts prior to 2008 Q1 have been
Slide 8: Core Earnings and Increased Market Share
Core Earnings 1Q06 0.42 2Q06 0.3735125 3Q06 0.40005298 4Q06 0.417277778 1Q07 0.479661765 2Q07 0.484863014 3Q07 0.642947369 4Q07 0.81 Fannie Mae's Market Share (2) Percentage of GSE Eligible Originations (1) GSE-eligible originations have increased rapidly, as has Fannie Mae's share of the overall si
Slide 9: Guaranty Fees and Net Interest Yield
Guaranty Fees Net Interest Yield Avg. Effective G-Fee Avg. Outstanding MBS Avg. Effective G-Fee Excluding LCGC Accretion 1Q'07 21.8 2 19.9 2Q'07 21.5 2.1 19.8 3Q'07 22.8 2.2 20.1 4Q'07 28.5 2.3 23.7 1Q'08 29.5 2.4 24.5 Net Interest Yield Net Interest Yield Excluding Step-Rate Avg. Interest-Earning A
Slide 10: Spreads on Mortgage Investments
Spreads on Mortgage Investments Current market presents a wide range of growth opportunities with potential returns at historic highs Fannie Mae's low cost of funds should help generate attractive returns on invested capital given the available spreads on mortgage assets Fannie Mae will deploy capit
Slide 11: Credit
Credit
Slide 12: Credit Outlook
Credit Outlook Home prices fell an estimated 3% in Q1, more than previously expected New estimate of national home price decline of 7-9% in 2008 Projected peak-to-trough decline of 15-19% Based on this new estimate and related increases in anticipated severity, we currently expect a credit loss rati
Slide 13: Fannie Mae Home Price Index and Home Price Growth Forecast
Growth rates are from period-end to period-end. Note: Using the S&P/Case-Shiller weighting method, but excluding the increased impact of foreclosure sales on that index, our 2008 expected home price decline would be 10-13% (vs. 7-9%); our expected peak-to-trough decline would be 20-25% (vs. 15-19%).
Slide 14: Fannie Mae Credit Profile by Key Product Features
Fannie Mae Credit Profile by Key Product Features Note: Categories are not mutually exclusive, so numbers are not additive across columns Credit Characteristics of Single-Family Conventional Mortgage Credit Book of Business Certain data contained in this presentation are based upon information that
Slide 15: Credit Loss Ratio/Delinquency Rates
Credit Loss Ratio/Delinquency Rates Higher credit loss ratio primarily due to worsening decline in home prices, particularly in California, Florida, Nevada, and Arizona, economic weakness in the Midwest, and rising delinquencies in our Alt-A book and 2006-2007 vintages. Our credit loss ratio exclude
Slide 16: Proactive Credit Management
Proactive Credit Management Tightening underwriting and eligibility standards / reduced participation in riskier segments Stricter eligibility requirements - increasing FICOs, lowering LTVs and increasing documentation requirements Significantly reduced Alt-A acquisitions Increasing loss mitigation
Slide 17: Financial Overview
Financial Overview
Slide 18: Consolidated Financial Results
Consolidated Financial Results Numbers may not foot due to rounding (dollars in millions, except per share amounts) 2008 Q1 2007 Q4 (1) 2007 Q3 (1) 2007 Q2 (1) 2007 Q1 (1) 1 Net interest income 1,690 $ 1,136 $ 1,058 $ 1,193 $ 1,194 $ 2 Guaranty fee income 1,752 1,621 1,232 1,120 1,098 3 Trust manage
Slide 19: Effect on Earnings of Significant Market-Based Valuation Adjustments
Reduced levels of liquidity in the mortgage and credit markets resulted in wider credit spreads creating significant losses - primarily on our CMBS, Subprime, Alt-A, and non-mortgage trading securities. Declines in interest rates drove derivative losses with only partial offsets from trading securit
Slide 20: Credit-Related Expenses/Credit Loss Performance Metrics
Credit-Related Expenses/Credit Loss Performance Metrics Allowance for loan losses and reserve for guaranty losses are influenced by a variety of factors such as delinquency trends, borrower behavior in rapidly declining markets, and the pace and depth of home price declines, which are pronounced in
Slide 21: Investment Highlights
Investment Highlights Long-term growth and profitability prospects Rising guaranty fees and net interest yields Highly accretive growth opportunities Improved underwriting Estimated 50% Q1 2008 market share on the issuance of new single-family mortgage- related securities Addressing market-related v
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