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 2011 Earnings Presentation
21 slides from Federal National Mortgage Association's earnings presentation, Aug 5, 2011
Slide 1: 2011 Second-Quarter Credit Supplement
Fannie Mae 2011 Second-Quarter Credit Supplement August 05, 2011
Slide 2: Presentation notes and forward-looking statements
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, 2011, the “2011 Q2 Form 10-Q.” Some of the terms used in these materials are defined and discussed more fully in the 2011 Q2 Form 10-Q
Slide 3: Table of Contents
Table of Contents Slide Home Price Growth/Decline Rates in the U.S. 3 Home Price Change Peak-to-Current as of 2011 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 Features
Slide 4: Home Price Growth/Decline Rates in the U.S.
Home Price Growth/Decline Rates in the U.S. Fannie Mae Home Price Index 15% 10.7% 11.5% 10% 7.0% 7.5% 7.6% 6.3% 5% 2.7% 0% -0.3% -5% -4.1% -3.7% -4.0% -10% -10.4% -15% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011* S&P/Case-Shiller Index 9.8% 7.7% 10.6% 10.7% 14.6% 14.7% -0.3% -8.4% -1
Slide 5: Home Price Change Peak-to-Current as of 2011 Q2
Home Price Change Peak-to-Current as of 2011 Q2* Top %: State/Region Home Price Decline Rate percentage from applicable peak in that state/region through June 30, 2011 Bottom %: Percent of Fannie Mae single-family conventional guaranty book of business by unpaid principal balance as of June 30, 2011
Slide 6: Acquisition Profile by Key Product Features
Fannie Mae Acquisition Profile by Key Product Features Credit Characteristics of Single-Family Business Volume (1) Acquisition Year 2011 Q2 2011 Q1 2010 2009 2008 2007 2006 2005 2004 Unpaid Principal Balance (billions) $93.3 $162.2 $595.0 $684.7 $557.2 $643.8 $515.8 $524.2 $568.8 Weighted Average Or
Slide 7: Credit Profile by Key Product Features
Fannie Mae Credit Profile by Key Product Features Credit Characteristics of Single-Family Conventional Guaranty Book of Business Categories Not Mutually Exclusive (1) Loans with Loans with FICO < Negative Sub-total of Interest Only Loans with FICO Loans with FICO Origination LTV 620 and Overall As o
Slide 8: Credit Profile by Origination Year and Key Product Features
Fannie Mae Credit Profile by Origination Year and Key Product Features Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year Origination Year Overall 2004 and As of June 30, 2011 2011 2010 2009 2008 2007 2006 2005 Book Earlier Unpaid Principal Balance $2,
Slide 9: Credit Profile by State
Fannie Mae Credit Profile by State Credit Characteristics of Single-Family Conventional Guaranty Book of Business by State Select Overall As of June 30, 2011 AZ CA FL NV Midwest Book (5) States Unpaid Principal Balance (billions) (1) $2,794.0 $68.6 $516.8 $180.7 $29.8 $290.6 Share of Single-Family C
Slide 10: Alt-A Credit Profile by Key Product Features
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) 2004 and As of June 30, 2011 Alt-A 2011 (2) 2010 (2) 2009 (2) 2008 2007 2006 2005 Earlier Unpaid principal balance (billions) (3) $195.
Slide 11: Single-Family Serious Delinquency Rates by State and Region
Fannie Mae Single-Family Serious Delinquency Rates by State and Region (1) Serious Delinquency Rate by States 16% 14% 12% 10% 8% 6% 4% 2% 0% 2008 Q1 2008 Q2 2008 Q3 2008 Q4 2009 Q1 2009 Q2 2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 AZ CA FL NV Select Midwest States (2) All Serio
Slide 12: Single-Family Completed Workouts by Type
Fannie Mae Single-Family Completed Workouts by Type 180,000 153,707 150,000 134,285 122,352 120,000 105,323 90,000 78,079 80,195 Number of Loans 60,000 30,000 0 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 TM Modifications Repayment Plans Completed Forbearances Completed HomeSaver Advance Prefore
Slide 13: Home Affordable Modification Program (HAMP)
Home Affordable Modification Program (HAMP) Fannie Mae Loans Under HAMP Active Permanent HAMP As of June 30, 2011 reporting period Active HAMP Trials (1) Modification Total 33,129 220,275 Modification Structure Rate Reduction 100% 100% Term Extension 62% 66% Forbearance 18% 26% Median Monthly Princi
Slide 14: Modifications of Single-Family Delinquent Loans
Fannie Mae Modifications of Single-Family Delinquent Loans Change in Monthly Principal and Interest Payment of Modified Single-Family Loans(1)(2) Modification Type of Single-Family Loans(1)(2) 100% 100% 80% 80% 60% 60% 40% 40% 20% 20% 0% 0% Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q2 2010 Q3 2010 Q4
Slide 15: Performance of Fannie Mae Modified Loans
Performance of Fannie Mae Modified Loans Re-performance Rates of Modified Single-Family Loans(1) 2009 2009 2010 2010 2010 2010 2011 % Current and Performing (2) Q3 Q4 Q1 Q2 Q3 Q4 Q1 3 months post modification 57% 78% 80% 79% 78% 81% 84% 6 months post modification 47% 69% 71% 73% 75% 77% n/a 9 months
Slide 16: Single-Family Cumulative Default Rates
Fannie Mae Single-Family Cumulative Default Rates Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year 8.0% 2007 7.5% 2006 7.0% 6.5% 6.0% 5.5% 5.0% 4.5% 2005 4.0% 3.5% 3.0% Cumulative Default Rate 2.5% 2004 2.0% 2008 1.5% 2000 2003 2001 1.0% 2002 0.5%
Slide 17: Single-Family Real Estate Owned (REO) in Selected States
Fannie Mae Single-Family Real Estate Owned (REO) in Selected States REO Acquisitions (Number of Properties) REO REO Inventory as Inventory State of June 30, as of June Q2 2011 Q1 2011 2010 2009 2008 2007 2011 30, 2010 Beginning Balance 153,224 162,489 86,155 63,538 33,729 25,125 NA NA Arizona 4,858
Slide 18: Multifamily Credit Profile by Loan Attributes
Fannie Mae Multifamily Credit Profile by Loan Attributes % of Multifamily % of 2010% of 2011 YTD Unpaid Principal % Seriously As of June 30, 2011 Loan Counts Guaranty Book of Multifamily Credit Multifamily Credit Balance (Billions) Delinquent (2) Business (UPB) Losses Losses Total Multifamily Guaran
Slide 19: Multifamily Credit Profile by Acquisition Year
Fannie Mae Multifamily Credit Profile by Acquisition Year Multifamily SDQ Rate by Acquisition Year Cumulative Defaults by Acquisition Year 1.60% 1.60% 1.40% 1.40% 2008 1.20% 2007 1.20% 2006 1.00% 1.00% 2008 0.80% 0.80% SDQ Rate 0.60% 0.60% 2005 2007 2009 0.40% Cumulative Default Rate 0.40% 2006 0.20
Slide 20: Multifamily Credit Profile by Region and State
Fannie Mae Multifamily Credit Profile by Region and State % of Multifamily % of 2010% of 2011 YTD Unpaid Principal % Seriously As of June 30, 2011 Guaranty Book of Multifamily Multifamily Balance (Billions) Delinquent (2) Business (UPB) Credit Losses Credit Losses Total Multifamily Guaranty Book of
Slide 21: Multifamily 2011 YTD Credit Losses by State
Fannie Mae Multifamily 2011 YTD Credit Losses by State ($ Millions) Example: UPB in New York is greater than $10B and 2011 YTD Credit Losses were $1M Portfolio UPB(1) Concentration by State as of 06/30/2011 Numbers: Represent 2011 YTD credit losses (2) for each state. States with no numbers had less