Federal National Mortgage Association · OTC:FNMA
Federal National Mortgage Association — Federal National Mortgage Association Fannie MAE — IPO Roadshow (December 2007)
23 slides from Federal National Mortgage Association's IPO roadshow presentation, Dec 5, 2007
Slide 1: Fannie Mae Preferred Offering Roadshow
Fannie Mae Preferred Offering Roadshow December 5, 2007
Slide 2: Disclaimer/Safe Harbor
Disclaimer/Safe Harbor 2 This presentation includes forward-looking statements, including statements relating to our future financial performance and condition, capital position, ability to take advantage of business opportunities, market share and credit losses; our strategy; and our expectations r
Slide 3: Highlights
Market share returning to GSEs Guaranty fee prices increasing Tightening underwriting standards Wider spreads on mortgage portfolio acquisitions Delinquencies are lower than industry average Book has significant credit enhancement Capital cushion over regulatory requirements in this difficult enviro
Slide 4: Market Environment Changes in 2007
Following a period of extended strength (2000-2007), liquidity has declined substantially, starting with subprime From the end of June to date, AAA-rated subprime ABS spreads have widened about 175 bps and AAA-rated CMBS spreads have widened by about 80 bps Market Environment Changes in 2007 4 Marke
Slide 5: Implications for Fannie Mae
Implications for Fannie Mae 5 Single-family serious delinquency rate of 78 bps in September 2007, vs 61 bps in September 2006 Increased credit losses - forecast 4-6 bps for 2007, increasing to 8-10 bps in 2008 Negative credit mark-to-market impacts Earnings and capital pressure in 2007 and 2008 Nega
Slide 6: Strategy
Strategy 6 Stricter eligibility and tightened underwriting Work servicing relationships with intent to increase workouts to over 50% Increased focus on counterparty risk management Minimize credit losses Increase fees and maintain share Capitalize on business opportunities Deliver on mission: afford
Slide 7: Credit
&R FannieMae Credit
Slide 8: 2008 Credit Loss Outlook
2008 Credit Loss Outlook 8 A peak-to-trough decline of 10-12%; 3% decline in home prices through the end of 2007 and 4-5% in 2008, although the precise timing of the declines is difficult to predict Single-family seriously delinquent loans as of December 31, 2006 and October 31, 2007 were approximat
Slide 9: Credit - Market Environment
Credit - Market Environment 9 Fannie Mae single-family serious delinquency rates are increasing, but remain below industry averages 1 Loans 90 or more days past due or in the process of foreclosure as of the end of each quarter. Source: Mortgage Bankers Association, National Delinquency Survey and F
Slide 10: Fannie Mae Credit Loss
Fannie Mae Credit Loss 10 Losses concentrated in a few key areas: Midwest, Alt-A and Affordable Housing Top Single-Family Credit Losses* by State * Credit losses are net charge-offs, excluding losses on loans we purchase from our MBS trusts, plus foreclosed property expenses. (For the nine months en
Slide 11: Fannie Mae Credit Profile by Key Product Features
Fannie Mae Credit Profile by Key Product Features Credit Characteristics of Single-Family Mortgage Credit Book of Business 11 Credit losses are net charge-offs, excluding losses on loans we purchase from our MBS trusts, plus foreclosed property expenses.
Slide 12: Management Actions on Credit
Management Actions on Credit 12 Tightening underwriting standards / reduced participation in riskier segments Stricter eligibility on riskier business Increased FICO, LTV and documentation requirements Increased loss mitigation efforts Increased focus on work-outs More aggressive in early buyouts wh
Slide 13: Businesses
& FannieMae Businesses
Slide 14: Single-family Business
Single-family Business 14 #1 market position reestablished Market share gains - over 40% market share on new acquisitions Increased pricing MBS retains significant liquidity advantage Total book of business grew at a 13.3%1 annualized rate through October 2007 Guaranty fees on new business in Q3 was
Slide 15: Housing and Community Development (HCD)
Housing and Community Development (HCD) 15 Multifamily business having a good year Rental markets remain strong Gaining share back Improving pricing on new business Wider spreads on portfolio acquisitions Guaranty book growth 10% year-to-date to $134B Serious delinquencies remain low - 8 bps in Sept
Slide 16: Capital Markets Group
Capital Markets Group 16 Estimated $723 billion mortgage portfolio for November 2007 Net interest yield stabilizing in the mid-50 bps range 99% of subprime and 100% of Alt-A private label securities currently rated AAA Single-family loans 0.43 Non-Agency Subprime Mortgage Securities 0.06 Multifamily
Slide 17: Exposure to Subprime and Alt-A Securities
Exposure to Subprime and Alt-A Securities 17 (Data as of September 30, 2007) Securities Wraps Securities Wraps Balance (UPB $ billion) $ 42.4 $ 6.2 $ 33.8 $ 0.6 Share of Total SF Credit Book 1.6% 1.3% % AAA 99% 100% % AA or below Subprime Alt-A 1% 8% 92% 0.2% 0% 0.0% 100% 0% Weighted Average Subordi
Slide 18: Financials
&R FannieMae Financials
Slide 19: GAAP Financials - Historical Income Statement
GAAP Financials - Historical Income Statement 19
Slide 20: Non-GAAP Supplemental Consolidated Fair Value Balance Sheets
& FannieMae Non-GAAP Supplemental Consolidated Fair Value Balance Sheets ‘As of September 30,2007 ‘As of December 31,2006, GAAP “GAAP carrying Fair Value, Estimated carrying Fair Value Estimated Val adjustment _FairValu Values Adjustment” _ Fair Valu (Dollars ia mifions) Assets: Cash and cash equiva
Slide 21: Losses on Loans Purchased from Trusts
21 Losses on Loans Purchased from Trusts The average market price of loans purchased from pools in Q3 2007 was 71%1 of UPB If market conditions deteriorate, cure rates are expected to decline
Slide 22: Conclusion
Market share returning to GSEs Guaranty fee prices increasing Tightening underwriting standards Wider spreads on mortgage portfolio acquisitions Delinquencies are lower than industry average Book has significant credit enhancement Capital cushion over regulatory requirements in this difficult enviro
Slide 23: Appendix: Explanation and Reconciliation of Non-GAAP Measures
Appendix 23 Explanation and Reconciliation of Non-GAAP Measures Included in Fair Value Balance Sheet to GAAP Measures: 1 Each of the amounts listed as a "fair value adjustment" represents the difference between the carrying value included in our GAAP condensed consolidated balance sheets and our bes
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