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 2012 Earnings Presentation
21 slides from Federal National Mortgage Association's earnings presentation, Aug 8, 2012
Slide 1: Fannie Mae 2012 Second-Quarter Credit Supplement
August 8, 2012 Fannie Mae 2012 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, 2012, the “2012 Q2 Form 10-Q.” Some of the terms used in these materials are defined and discussed more fully in the 2012 Q2 Form
Slide 3: Table of Contents
2 Table of Contents Slide Home Price Growth/Decline Rates in the U.S. 3 Home Price Change Peak-to-Current as of 2012 Q2 4 Fannie Mae Acquisition Profile by Key Product Features 5 Fannie Mae Credit Profile by Key Product Features 6 Fannie Mae Credit Profile by Origination Year and Key Product Feature
Slide 4: Home Price Growth/Decline Rates in the U.S.
3 7.0% 6.3% 7.5% 7.7% 10.6% 11.3% 2.8% -3.3% -9.0% -4.7% -4.4% -3.7% 2.9%* -15% -10% -5% 0% 5% 10% 15% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Home Price Growth/Decline Rates in the U.S. S&P/Case-Shiller Index 9.8% 7.7% 10.6% 10.7% 14.6% 14.7% -0.3% -8.4% -18.4% -2.5% -3.7%
Slide 5: Home Price Peak-to-Current as of 2012 Q2
4 Top %: State/Region Home Price Decline Rate percentage from applicable peak in that state/region through June 30, 2012. Bottom %: Percent of Fannie Mae single-family conventional guaranty book of business by unpaid principal balance as of June 30, 2012. Note: Regional home price decline percentage
Slide 6: Fannie Mae Acquisition Profile by Key Product Features
5 Fannie Mae Acquisition Profile by Key Product Features Credit Characteristics of Single-Family Business Volume (1) (1) Percentage calculated based on unpaid principal balance of loans at time of acquisition. Single-family business volume refers to both single-family mortgage loans we purchased for
Slide 7: Fannie Mae Credit Profile by Key Product Features
6 Fannie Mae Credit Profile by Key Product Features Credit Characteristics of Single-Family Conventional Guaranty Book of Business (1) Loans with multiple product features are included in all applicable categories. The subtotal is calculated by counting a loan only once even if it is included in mul
Slide 8: Fannie Mae Credit Profile by Origination Year and Key Product Features
7 Fannie Mae Credit Profile by Origination Year and Key Product Features Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year (1) Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have l
Slide 9: Fannie Mae Credit Profile by State
8 Fannie Mae Credit Profile by State Credit Characteristics of Single-Family Conventional Guaranty Book of Business by State (1) Excludes non-Fannie Mae securities held in portfolio and those Alt-A and subprime wraps for which Fannie Mae does not have loan-level information. Fannie Mae had access to
Slide 10: Fannie Mae Alt-A Credit Profile by Key Product Features
9 Fannie Mae Alt-A Credit Profile by Key Product Features Credit Characteristics of Alt-A Single-Family Conventional Guaranty Book of Business by Origination Year (1) In reporting our Alt-A exposure, we have classified mortgage loans as Alt-A if and only if the lenders that deliver the mortgage loan
Slide 11: Single-Family Serious Delinquency Rates by States and Region
10 Fannie Mae Single-Family Serious Delinquency Rates by States and Region (1) (1) Calculated based on the number of loans in Fannie Mae’s single-family conventional guaranty book of business within each specified category. (2) Select Midwest states are Illinois, Indiana, Michigan, and Ohio. (3) For
Slide 12: Single-Family Completed Workouts by Type
11 Fannie Mae Single-Family Completed Workouts by Type Modifications involve changes to the original mortgage loan terms, which may include a change to the product type, interest rate, amortization term, maturity date and/or unpaid principal balance. Modifications include both completed modificati
Slide 13: Single-Family Loan Modifications by Monthly Payment Change and Type
12 0% 20% 40% 60% 80% 100% Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Capitalization of Missed Payments and Other Extend Term, Reduce Rate and Forbear Principal Extend Term and Reduce Rate Extend Term Only Reduce Rate Only Fannie Mae Single-Family Loan Modifications by Monthly Payment Change and Type C
Slide 14: Performance of Fannie Mae Modified Loans
13 Performance of Fannie Mae Modified Loans Re-performance Rates of Modified Single-Family Loans(1) (1) Excludes loans that were classified as subprime adjustable rate mortgages that were modified into fixed rate mortgages. Modifications include permanent modifications, but do not reflect loans curr
Slide 15: Single-Family Cumulative Default Rates
14 Note: Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and include loan foreclosures, preforeclosure sales, sales to third parties and deeds in lieu of foreclosure. Cumulative Default Rate is the total number of single-family conventional loans in t
Slide 16: Single-Family Real Estate Owned (REO) in Selected States
15 Fannie Mae Single-Family Real Estate Owned (REO) in Selected States (1) Select Midwest States are Illinois, Indiana, Michigan, and Ohio. (2) Measured from the last monthly period for which the borrowers fully paid their mortgages to when the related properties were added to our REO inventory for
Slide 17: REO Sales Price / UPB of Mortgage Loans
16 Real Estate Owned (REO) Sales Price / UPB of Mortgage Loans(1) REO Net Sales Prices to UPB - Top 10 States (Based on Volume of REO Properties Sold YTD 2012) Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 CA 51.7% 47.8% 49.3% 52.9% 53.7% 56.2% 55.9% 53.3% 53.1% 53.5% 53.1% 54.7% 55.4% 58.8% MI 41.6% 41
Slide 18: Multifamily Credit Profile by Loan Attributes
17 Fannie Mae Multifamily Credit Profile by Loan Attributes Total Multifamily Guaranty Book of Business (1) 39,557 $196.1 100% 0.29% 100% 100% 100% Credit Enhanced Loans: Credit Enhanced 35,501 $176.2 90% 0.25% 80% 83% 68% Non-Credit Enhanced 4,056 $19.9 10% 0.70% 20% 17% 32% Origination loan-to-val
Slide 19: Multifamily Credit Profile by Acquisition Year
18 2005 2006 2007 2008 2009 20102011 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 SD Q (% ) 2005 2006 2007 2008 2009 2010 2011 2012 2012 2009 2010 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Yea
Slide 20: Fannie Mae Multifamily Credit Profile
19 Fannie Mae Multifamily Credit Profile (1) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral. (2) We classify multifamily loans as seriously delinquent when payment is 60 days or more past due. (3) For information on which states are incl
Slide 21: Multifamily 2012 YTD Credit Losses by State
20 Fannie Mae Multifamily 2012 YTD Credit Losses(1) by State ($ Millions) Example: UPB in Ohio is $2.8B and YTD 2012 Credit Losses have been $11M Numbers: Represent YTD 2012 credit losses for each state which total $186M as of June 30, 2012. States with no numbers had less than $1 million in credit