Federal National Mortgage Association · OTC:FNMA
Federal National Mortgage Association — Fannie Mae — Lehman Brothers Mortgage and Specialty Finance Conference 2006
10 slides from Federal National Mortgage Association's conference presentation, Dec 11, 2006
Slide 1: Lehman Brothers Mortgage and Specialty Finance Conference
Lehman Brothers Mortgage and Specialty Finance Conference December 11, 2006 New York, NY Peter Niculescu Executive Vice President Capital Markets
Slide 2: Forward-Looking Statements
Forward-Looking Statements Certain statements made during this presentation and in the presentation materials may be considered forward-looking statements within the meaning of the federal securities laws. Although Fannie Mae believes that the expectations set forth in such statements are based upon
Slide 3: Capital Markets is the Centerpoint for Achievement of Our Mission
Capital Markets is the Centerpoint for the Achievement of Our Mission and Business Objectives Mortgage Portfolio Purchases and Sales Liability Rebalancing Funding Risk Management Strategies 3
Slide 4: Current Coupon Fannie Mae 30-Year Fixed-Rate MBS LIBOR OAS
Current Coupon Fannie Mae 30-Year Fixed-Rate MBS LIBOR OAS Basis Points January 2002 through December 7, 2006 20 15 10 5 0 -5 -10 -15 -20 1/2/02 3/2/02 5/2/02 7/2/02 9/2/02 1/2/03 3/2/03 5/2/03 7/2/03 9/2/03 1/2/04 3/2/04 5/2/04 7/2/04 9/2/04 1/2/05 3/2/05 5/2/05 7/2/05 9/2/05 1/2/06 3/2/06 5/2/06 7
Slide 5: Mortgage Portfolio Purchases and Sales
Mortgage Portfolio Purchases and Sales September 2005 through September 2006 billions $35 $30 $25 $20 $15 $10 $5 $0 6 06 6 6 06 5 6 06 5 5 6 5 6 l-0 -0 n-0 c-0 -0 p-0 v-0 p-0 t-0 r-0 n- b- g- ay ar Ju Oc De No Ju Ja Ap Se Se Fe Au M M Purchases Sales Source: Fannie Mae, as disclosed in Monthly Summa
Slide 6: Effective Modeling is Critical to Our Risk Management Efforts
Effective Modeling is Critical to Our Risk Management Efforts Valuation comparison using standardized collateral assumptions 30-Year 5.0, 95-21+ 30-Year 5.5, 98-02+ 30-Year 6.0, 100-03 30-Year 6.5, 101-20 Model OAS OAD OAC OAS OAD OAC OAS OAD OAC OAS OAD OAC Dealer 1 -7 5.3 -0.6 -11 4.5 -2.0 -18 3.0
Slide 7: Aggregate Distribution of Fannie Mae Noncallable Benchmark Securities by Region
Aggregate Distribution of Fannie Mae Noncallable Benchmark Securities by Region: 2001 vs. 2005 2001 2005 Europe Europe 6.7% 11.2% Other US 4.4% Other 58.0% US 8.0% 65.6% Asia Asia 15.2% 30.9% 7
Slide 8: Home Price Gains Have Been Strong but Uneven Geographically
Home Price Gains Have Been Strong but Uneven Geographically in Recent Years Canada Mexico -5% - 25% 25% - 50% 50% - 75% 75% - 100% 100% - 195% Source: Fannie Mae Five-Year Appreciation (2001 Q2 - 2006 Q2) 8
Slide 9: Fannie Mae Purchase Only Home Price Index
Fannie Mae Purchase Only Home Price Index First Quarter 1987 through Third Quarter 2006 16% 14% Annualized Quarterly 12% Change 10% Year-Ago Percent Change 8% 6% 4% 2% 0% -2% -4% :88 :89 :92 :93 :96 :97 :00 :01 :02 :04 :05 :06 :87 :90 :91 :94 :95 :98 :99 :03 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1
Slide 10: FR FannieMae.
FR FannieMae. 10
Fannie Mae — Lehman Brothers Mortgage and Specialty Finance Conference 2006 on 6ix