Fannie  Mae    GIOA    Conference  

 

March 2014

©2014  Fannie  Mae.  Trademarks  of  Fannie  Mae  

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This   presenta9on   contains   a   number   of   es9mates,   forecasts,   expecta9ons,   beliefs,   and   other   forward-­‐looking   statements,   including   statements   regarding   Fannie   Mae’s   future   dividend   payments,   serious  delinquency   rates,   and   funding   needs.   These   es9mates,   forecasts,   expecta9ons,   beliefs   and   other  forward-­‐looking   statements   are   based   on   the   company’s   current   assump9ons   regarding   numerous  factors  and  are   subject   to   change.  Actual  outcomes  may  differ  materially   from   those   reflected   in   these  forward-­‐looking  statements  due  to  a  variety  of   factors,   including,  but  not   limited  to,   those  described   in  “Execu9ve  Summary,” “Forward-­‐Looking  Statements”  and  “Risk  Factors” in  our  annual  report  on  Form  10-­‐K  for  the  year  ended  December  31,  2013  (our  “2013  Form  10-­‐K”).        Any  forward-­‐looking  statements  made  by  Fannie  Mae  speak  only  as  of  the  date  on  which  they  were  made.  Fannie   Mae   is   under   no   obliga9on   to,   and   expressly   disclaims   any   obliga9on   to,   update   or   alter   its  forward-­‐looking  statements,  whether  as  a  result  of  new  informa9on,  subsequent  events,  or  otherwise.  

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James  (Jim)  Zucco      Jim  Zucco  is  the  Director  of  Funding  at  Fannie  Mae.    In  this  capacity,  he  is  responsible  for  program  design  of  Fannie  Mae’s  Discount  Notes,  Benchmark  Bills®,  Benchmark  Notes®,  Global  and  MTN  funding  ini9a9ves.    Jim  also  manages  the  daily  pricing  and  execu9on  of  these  programs  which  includes  bullet,  callable,  floater,  structured  and  non-­‐dollar  issuance  with  a  no9onal  outstanding  balance  in  excess  of  $450  billion.    Further,  Jim  oversees  the  management  of  the  Other  Investment  Por^olio.        Jim  joined  Fannie  Mae  in  1998  as  a  Trader  on  the  Structured  Transac9ons  desk.    Prior  to  his  9me  at  Fannie  Mae,  he  worked  at  the  FHLB’s  Office  of  Finance  and  for  a  private  label  CMO  issuer.    Jim  has  a  Masters  in  Business  Administra9on  from  the  University  of  Bal9more  and  an  undergraduate  degree  in  Finance  from  Towson  University.  

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773 789 708 633491 481

650553

470399

339 288 245

$-­‐

$200  

$400  

$600  

$800  

$1,000  

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

$  in  billions

Year  End

Mortgage  PortfolioPortfolio  Size   ($   in  B)

Portfolio  Cap   ($  in  B)

Corporate  Update  2013  Performance  

Wind-­‐down  of  the  mortgage  asset  porFolio:  

Sources: U.S. Treasury Department Senior Preferred Stock Purchase Agreement; Fannie Mae 20123Form 10-K; Fannie Mae January 2014 Monthly Summary

§  Maximum  mortgage  por^olio  size  at  the  end  of  2014  =  $469.6B  (end  of  2013  =  $552.5B)  

§  Each  year  aher  2013,  the  por^olio  cap  is  reduced  by  15%  un9l  it  reaches  $250B  

§  Maintain  funding  programs  as  needs  decline  to  support  liquid  markets  and  maintain  dealer  engagement  

(1)  Treasury  draw  requests  are  shown  in  the  period  for  which  requested  and  do  not  include  the  ini9al  $1.0  billion  liquida9on  preference  of  Fannie  Mae’s  senior  preferred  stock,  for  which  Fannie  Mae  did  not  receive  any  cash  proceeds.  The  payment  of  dividends  does  not  offset  prior  Treasury  draws.  (2)  The  company’s  dividend  for  the  first  quarter  of  2014  is  calculated  based  on  the  company’s  net  worth  of  $9.6  billion  as  of  December  31,  2013  less  the  applicable  capital  reserve  amount  of  $2.4  billion.  (3)  Amounts  may  not  sum  due  to  rounding.  

*As  of  January  31,  2014  

*

5 5 5

T X6 . 8 %5 . 4 %

MT7 . 3 %0 . 3 %

C A25 . 4 %1 9 . 6 %

N M3 . 0 %0 . 5 %

C O9 . 3 %2 . 6 %

WY2 . 6 %0 . 2 %

AZ18 . 9 %2 . 4 %

NV27 . 2 %1 . 0 %

U T9 . 4 %1 . 0 %

M N7 . 3 %1 . 9 %I D

8 . 9 %0 . 5 %

KS3 . 2 %0 . 5 %

OR11 . 9 %1 . 7 %

N E5 . 3 %0 . 4 %

S D4 . 3%0 . 2%

ND7 . 7 %0 . 1 %

OK3 . 2 %0 . 6 %

M O4 . 1 %1 . 3 %

I L7 . 8 %4 . 1 %

I A2 . 9 %0 . 7 %

W I2 . 7 %1 . 8 %

WA1 0 . 9 %3 . 5 %

AR1 . 7 %0 . 5 % A L

2 . 5 %1 . 0 %

M S2 . 4 %0 . 4 %

GA14 . 6 %2 . 7 %

PA3 . 1 %3 . 1 %OH

4 . 3 %2 . 1 %

N C3 . 9 %2 . 5 %

N Y4 . 8 %5 . 6 %

L A2 . 8 %0 . 9 %

F L1 7 . 0 %5. 7 %

T N3 . 3 %1 . 3 %

KY2 . 7%0 . 6%

VA4 . 6 %3 . 6 %

I N3 . 4%1 . 2%

M I1 2 . 0 %2 . 4 %

M E4 . 1 %0 . 3 %

S C4 . 6 %1 . 2 %

WV1 . 1 %0 . 2 %

M D7 . 0 %2 . 8 %

V T1 . 9 %0 . 2 %

NH7 . 1 %0 . 5 %

M A7 . 7 %3 . 1 %

N J4 . 7 %4 . 0 %

CT2 . 7 %1 . 4 %

D E2 . 7 %0 . 4 %

R I4 . 0 %0 . 3 %

D C9 . 3 %0 . 4 %

       One  Year  Home  Price  Change  as  of  2013  Q4*  

Source: Fannie Mae 2013 Credit Supplement

United  States    8.8%  AK4 . 0%0 . 2%

H I9 . 0 %0 . 8 %

*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of January 2014. UPB estimates are based on data available through the end of December 2013. Including subsequent data may lead to materially different results.

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Home  Price  Change  Peak-­‐to-­‐Current  as  of  2013  Q4*  United  States    -­‐13.5%  

Source: Fannie Mae 2013 Credit Supplement

T X0 . 0 %5 . 4 %

M T- 1 . 3 %0 . 3 %

C A- 2 8 . 5 %1 9 . 6%

C O0 . 0 %2 . 6 %

N M- 1 3 . 3%0 . 5 %

WY- 1 . 5%0 . 2 %

AZ- 3 3 . 4 %2 . 4 %

N E0 . 0 %0 . 4 %N V

- 4 3 . 7 %1 . 0 %

ND0 . 0 %0 . 1 %

OK0 . 0 %0 . 6 %

KS- 0 . 6 %0 . 5 %

OR- 1 6 . 9 %1 . 7 % S D

- 0 . 5%0 . 2 %

UT- 1 1 . 8 %1 . 0 %

M O- 8 . 3%1 . 3 %

I A- 0 . 6 %0 . 7 %

WA- 1 8 . 0 %3 . 5 %

AR- 3 . 2 %0 . 5 %

A L- 8 . 8 %1 . 0 %

OH- 9 . 9 %2 . 1 %

M N- 1 3 . 9 %1 . 9 %I D

- 1 8 . 5 %0 . 5 %

W I- 9 . 9%1 . 8 %

L A0 . 0 %0 . 9 %

N C- 8 . 1 %2 . 5%

GA- 1 8 . 6 %2 . 7 %

MS- 8 . 8 %0 . 4 %

N Y- 8 . 2 %5 . 6 %

I L- 2 0 . 6 %4 . 1 %

F L- 3 9 . 3 %5. 7 %

P A- 4 . 2 %3 . 1 %

T N- 5 . 8 %1 . 3 %

KY- 1 . 0 %0 . 6 %

I N- 2 . 0 %1 . 2 %

M I- 2 1 . 8 %2 . 4%

VA- 1 5 . 5%3 . 6 %

M E- 9 . 5%0 . 3 %

S C- 9 . 9 %1 . 2 %

WV0 . 0 %0 . 2 %

V T- 7 . 6 %0 . 2 %

M D- 2 3 . 4 %2 . 8 %

N H- 1 7 . 5 %0 . 5 %

M A- 1 2 . 8 %3 . 1%

N J- 2 3 . 5 %4 . 0 %

CT- 1 9 . 6 %1 . 4 %

D E- 1 8 . 3%0 . 4 %

R I- 2 9 . 8 %0 . 3 %

D C- 1 . 5 %0 . 4 %

H I- 1 0 . 3 %0 . 8 %

AK- 1 . 3%0 . 2%

*Source: Fannie Mae. Home price estimates are based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of January 2014. UPB estimates are based on data available through the end of December 2013. Including subsequent data may lead to materially different results. Note: Date of peak is determined for each state individually. States currently at peak prices show 0.0% change.

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Selected  Credit  CharacterisTcs  of  Single-­‐Family  ConvenTonal  Loans  Held,  by          AcquisiTon  Period  

1- Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in our single-family conventional 2- The majority of loans in our new single-family book of business as of December 31, 2013 with mark-to-market LTV ratios over 100% were loans acquired under the Administration’s Home Affordable Refinance Program. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management—Credit Profile Summary—HARP and Refi Plus Loans” in our 2013 Form 10-K for more information on our recent acquisitions of loans with high LTV ratios. 3- The serious delinquency rates for loans acquired in more recent years will be higher after the loans have aged, but we do not expect them to approach the levels of the December 31, 2013 serious delinquency rates of loans in our legacy book of business. The serious delinquency rate as of December 31, 2013 for loans we acquired in 2009, the oldest vintage in our new book of business, was 1.05%.

Loans  we  have  acquired  since  January  1,  2009  were  77%  of  our  single-­‐family  guaranty  book  of  business  as  of  December  31,  2013.  

Percentage  of    Single-­‐Family  ConvenTonal  Guaranty  Book  of  Business  (1)  

Current  EsTmated  

Mark-­‐to-­‐Market  LTV  RaTo  

Current  Mark-­‐to-­‐Market  

LTV  RaTo  >100%  (2)  

Serious  Delinquency  

Rate  (3)  

As  of  December  31,  2013  

Year  of  Acquisi9on:  

New  Single-­‐Family  Book  of  Business  (2009  –  2013)     77%   65%   4%   0.33%  

Legacy  Single-­‐Family  Book  of  Business:  

2005  –  2008   15%   86%   27%   9.32%  

2004  and  prior   8%   50%   3%   3.52%  

 Total  Single-­‐Family  Book  of  Business  

100%   67%   7%   2.38%*  

Source: Fannie Mae 2013 Form 10-K

*The  SDQ  Rate  was  2.33%  as  of  January  31,  2014  

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Capital  Markets  Mortgage  PorFolio  ComposiTon  

Source: Fannie Mae

The  Capital  Markets  Mortgage  porFolio  decreased  22%  YoY  (2012  to  2013)  due  primarily  to  a  decline  in  purchases  of  delinquent  loans  from  MBS  trusts  and  increase  in  sales  of  mortgage-­‐related  assets  to  meet  

FHFA’s  2013  conservatorship  scorecard  objecTve.,  

UPB ($ billions)* 2008 2009 2010 2011 2012 2013

Agency Fixed Rate SF MBS/Loans 359 336 243 187 156 104

Agency CMOs 87 67 38 29 23 16

Agency SF Hybrids/ARMs 65 49 34 28 22 17

Non-Agency SF Mortgage Securities 58 50 45 40 36 27

Non-Agency MF (CMBS) 26 26 25 23 21 4

MF MBS/Loans 115 117 113 102 87 57

Reverse Mortgages Loans & Securities 41 50 51 52 50 48

Municipals (MRB) 15 14 13 11 8 6

Subtotals 766 709 561 472 403 280

Loans restructured in a TDR and Nonaccrual Loans** 22 63 228 236 230 211 TDRs on accrual status 130 136 Nonaccrual loans 100 75

Totals 787 773 789 708 633 491

Year over Year Percent Change -2% 2% -10% -11% -22%

* Numbers may not foot due to rounding

** Prior to 2012, the break out betw een TDR loans on accrual status and non-accrual loans is not publicly available.

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Funding Liabilities and Debt Outstanding (in millions) 12/31/11 12/31/12 12/31/13 1/31/14

Federal Fund Borrowings -$ -$ -$ -$ Other Short Term Funding Liabilities1 - - - 28 Total Federal Funds Purchased and Securities Sold under Agreements to Repurchase -$ -$ -$ 28$

Average maturity (in days) - - - -

Discount Notes 146,352$ 104,761$ 71,962$ 57,118$ FX Discount Notes 453 505 363 308 Other Short Term Debt2 - - - - Total Short Term Debt3 146,805$ 105,266$ 72,325$ 57,426$

Average maturity (in days) 96 70 105 103

Benchmark Notes & Bonds4 277,389$ 251,999$ 212,440$ 215,440$ Subordinated Benchmark Notes 4,898 2,525 1,169 - Callable Fixed Rate MTNs5,6 186,337 177,634 168,397 163,858 Noncallable Fixed Rate MTNs5,6 53,172 44,355 39,615 40,113 Callable Floating Rate MTNs5,6 1,600 150 - - Noncallable Floating Rate MTNs5,6 70,613 38,762 38,719 38,619 Other LongTerm Debt7 1,479 1,088 1,546 2,284 Total Long Term Debt8,9 595,488$ 516,513$ 461,886$ 460,313$

Average maturity (in months) 48 50 49 48

Total Federal Funds Purchased and Securities Sold under Agreements to Repurchase and Debt Outstanding 742,293$ 621,779$ 534,211$ 517,767$

Average maturity (in months) 39 42 43 43

Fannie  Mae  Funding  LiabiliTes  and  Debt  Outstanding    

See Endnotes to Fannie Mae’s Funding Summary for descriptions.

Our  ability  to  issue  long-­‐term  debt  has  conTnued  to  be  strong  in  recent  quarters  due  to  acTons  taken  by  the  federal  government  to  support  us  and  the  financial  markets.      

Source: Fannie Mae January 2014 Funding Summary

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Fannie  Mae  Funding  LiabiliTes  and  Debt  Issuance  

See Endnotes to Fannie Mae’s Funding Summary for descriptions.

Our  debt  funding  needs  may  vary  from  quarter  to  quarter  depending  on  market  condiTons  and  are  influenced  by  anTcipated  liquidity  needs,  the  size  of  our  retained  mortgage  porFolio,  and  our  dividend  payment  

obligaTons  to  Treasury.  

Source: Fannie Mae January 2014 Funding Summary

Through    Jan  31  

Funding Liabilities and Debt Issuance (in millions) 2011 2012 2013 2014

Federal Fund Borrowings 650$ -$ -$ -$ Other Short Term Funding Liabilities1 2,495 4,790 3,960 505 Total Federal Funds Purchased and Securities Sold under Agreements to Repurchase 3,145$ 4,790$ 3,960$ 505$

Discount Notes 420,638$ 240,441$ 211,773$ 2,292$ FX Discount Notes 718 862 742 - Other Short Term Debt10 2 - - - Total Short Term Debt3 421,358$ 241,303$ 212,515$ 2,292$

Benchmark Notes & Bonds 43,000$ 49,000$ 31,500$ 3,000$ Subordinated Benchmark Notes - - - - Callable Fixed Rate MTNs6 186,105 192,824 86,606 347 Noncallable Fixed Rate MTNs6 2,541 294 1,619 - Callable Floating Rate MTNs6 400 50 - - Noncallable Floating Rate MTNs6 24,616 13,730 18,000 - Other LongTerm Debt7 423 158 757 751 Total Long Term Debt8 257,085$ 256,056$ 138,482$ 4,098$

Total Federal Funds Purchased and Securities Sold under Agreements to Repurchase and Debt Issued 681,588$ 502,149$ 354,957$ 6,894$

Net Issuance Long Term Debt11 (46,410)$ (79,007)$ (54,642)$ (1,567)$

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*The  distribuAon  figures  do  not  include  the  reopening  of  Benchmark  Notes  via  Dutch  aucAon  

Source: Fannie Mae

Recent  DistribuTon  of  Fannie  Mae  Noncallable  Benchmark  SecuriTes*  

*Data  through  March  5,  2014.  Numbers  may  not  foot  due  to  rounding.  

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FHFA  Strategic  Plan  &  Housing  Finance  Reform  

¡  Con9nuing  to  build  a  new  infrastructure  for  the  secondary  mortgage  market  

¡  Contrac9ng  the  GSEs’  dominant  presence  in  the  marketplace  while  simplifying  and  shrinking  certain  opera9ons  

¡  Maintaining  foreclosure  preven9on  ac9vi9es  and  credit  availability  for  new  and  refinanced  mortgages  

¡  Obama  administra9on  and  Congress  con9nuing  debate  over  housing  finance  reform  

Source: Fannie Mae

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Copyright©  2014  by  Fannie  Mae.      No  Offer  or  SolicitaTon  Regarding  SecuriTes.    This  document  is  for  general  informa9on  purposes  only.    No  part  of  this  document  may  be  duplicated,  reproduced,  distributed  or  displayed  in  public  in  any  manner  or  by  any  means  without  the  wripen  permission  of  Fannie  Mae.    The  document  is  neither  an  offer  to  sell  nor  a  solicita9on  of  an  offer  to  buy  any  Fannie  Mae  security  men9oned  herein  or  any  other  Fannie  Mae  security.    Fannie  Mae  securi9es  are  offered  only  in  jurisdic9ons  where  permissible  by  offering  documents  available  through  qualified  securi9es  dealers  or  banks.    No  WarranTes;  Opinions  Subject  to  Change;  Not  Advice.    This  document  is  based  upon  informa9on  and  assump9ons  (including  financial,  sta9s9cal,  or  historical  data  and  computa9ons  based  upon  such  data)  that  we  consider  reliable  and  reasonable,  but  we  do  not  represent  that  such  informa9on  and  assump9ons  are  accurate  or  complete,  or  appropriate  or  useful  in  any  par9cular  context,  including  the  context  of  any  investment  decision,  and  it  should  not  be  relied  upon  as  such.    Opinions  and  es9mates  expressed  herein  cons9tute  Fannie  Mae's  present  judgment  and  are  subject  to  change  without  no9ce.    They  should  not  be  construed  as  either  projec9ons  or  predic9ons  of  value,  performance,  or  results,  nor  as  legal,  tax,  financial,  or  accoun9ng  advice.    No  representa9on  is  made  that  any  strategy,  performance,  or  result  illustrated  herein  can  or  will  be  achieved  or  duplicated.    The  effect  of  factors  other  than  those  assumed,  including  factors  not  men9oned,  considered  or  foreseen,  by  themselves  or  in  conjunc9on  with  other  factors,  could  produce  drama9cally  different  performance  or  results.    We  do  not  undertake  to  update  any  informa9on,  data  or  computa9ons  contained  in  this  document,  or  to  communicate  any  change  in  the  opinions,  limits,  requirements  and  es9mates  expressed  herein.    Investors  considering  purchasing  a  Fannie  Mae  security  should  consult  their  own  financial  and  legal  advisors  for  informa9on  about  such  security,  the  risks  and  investment  considera9ons  arising  from  an  investment  in  such  security,  the  appropriate  tools  to  analyze  such  investment,  and  the  suitability  of  such  investment  in  each  investor's  par9cular  circumstances.    Fannie  Mae  securi9es,   together  with   interest   thereon,  are  not  guaranteed  by   the  United  States  and  do  not   cons9tute  a  debt  or  obliga9on  of   the  United  States  or  of  any  agency  or  instrumentality  thereof  other  than  Fannie  Mae.  

Disclaimer