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Www Mortagagemortgagelender Tag Swamp Gas Content 88030 2 Mortgage Mortgage Lender FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE - FORM 8-K - EX-99.2 - August 5, 2010

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search 88030 asearchn Content e Tag M0esearchA Content q Mortagagemortgagelender ii Gas isearchnP Content osearchi1337844624843_Re Swamp by Mortagagemortgagelender Ksearchy Tag Psearchou Content t Mortagagemortgagelender F Tag a Gas usearche Content Mortagagemortgagelender C Swamp e Tag i Tag searchh1337844624843_Rra 88030 tr Content s Www i1337844624843_Rs1337844624843_Rosearch Tag isearchg Swamp e-searchasearchi Www ysearchB 88030 ssearchnessearch V Content l Tag m Tag Gas 1search Swamp 1search searchPsearchr Content esearcht 88030 g Gas Gas a1337844624843_Rc Swamp l Content t Mortagagemortgagelender d searcha1337844624843_Re Tag o Gas np Mortagagemortgagelender i0 pi Tag cisearcha Tag baa 88030 ce 1337844624843_Rf lsearchanssearchatsearchtim Mortagagemortgagelender ofsearchac0usearchsisearchi Www n.Ssearchn Mortagagemortgagelender le- Gas ailsearch b Swamp ssearchnesearchs Content osearchum Www searchef Www r0 Mortagagemortgagelender o Www b Content tsearch isearchgsearche Www fmi Swamp y0motgasearche on Gas Tag epursearchhsearchse for our mortgage portfolio and single-family mortgage loans we securitize into Fannie Mae MBS. (2) FICO Credit scores presented in the table are borrower credit scores, as reported by the seller of the mortgage loan, at the time of delivery to Fannie Mae. (3) The Home Affordable Refinance Program (HARP) started in April 2009.

 

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 multiple categories. (2) 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 detailed loan-level information for over 99% of its single-family conventional guaranty book of business as of June 30, 2010. (3) FICO Credit scores presented in the table are borrower credit scores, as reported by the seller of the mortgage loan, at the time of delivery to Fannie Mae. (4) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae had access to loan level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement. (5) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2010 Q2 Form 10-Q.

 

Fannie Mae Credit Profile by Origination Year and Key Product Features (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 detailed loan-level information for over 99% of its single-family conventional guaranty book of business as of June 30, 2010. (2) FICO Credit scores presented in the table are borrower credit scores, as reported by the seller of the mortgage loan, at the time of delivery to Fannie Mae. (3) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae has access to loan-level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement. (4) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2010 Q2 Form 10-Q. (5) Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and includes 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 the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year. For 2000 to 2004 cumulative default rates, refer to slide 8. Credit Characteristics of Single-Family Conventional Guaranty Book of Business by Origination Year

 

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 the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year. Data as of June 30, 2010 are not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods. Fannie Mae Single-Family Cumulative Default Rates Cumulative Default Rates of Single-Family Conventional Guaranty Book of Business by Origination Year

 

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 detailed loan-level information for over 99% of its single-family conventional guaranty book of business as of June 30, 2010. (2) FICO Credit scores presented in the table are borrower credit scores, as reported by the seller of the mortgage loan, at the time of delivery to Fannie Mae. (3) Unpaid principal balance of all loans with credit enhancement as a percentage of unpaid principal balance of single-family conventional guaranty book of business for which Fannie Mae has access to loan-level information. Includes primary mortgage insurance, pool insurance, lender recourse and other credit enhancement. (4) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2010 Q2 Form 10-Q. (5) Select Midwest states are Illinois, Indiana, Michigan and Ohio.

 

Fannie Mae Single-Family Serious Delinquency Rates by State 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 information on which states are included in each region, refer to Fannie Mae's 2010 Q2 Form 10-Q. State Arizona California Florida Nevada Select Midwest States (2) All conventional single-family loans Region (3) Midwest Northeast Southeast Southwest West June 30, 2010 7.48% 4.99% 12.60% 12.83% 5.17% 4.99% 4.52% 4.43% 6.67% 3.67% 4.96% 4.99% March 31, 2010 8.76% 5.72% 13.27% 13.95% 5.65% 5.47% 4.96% 4.74% 7.22% 4.17% 5.55% 5.47% December 31, 2009 8.80% 5.73% 12.82% 13.00% 5.62% 5.38% 4.97% 4.53% 7.06% 4.19% 5.45% 5.38% September 30, 2009 7.87% 5.06% 11.31% 11.16% 4.98% 4.72% 4.42% 3.91% 6.18% 3.71% 4.77% 4.72% June 30, 2009 6.54% 4.23% 9.71% 9.33% 4.16% 3.94% 3.71% 3.20% 5.21% 3.07% 3.96% 3.94% All conventional single-family loans

 

Home Price Growth/Decline and Fannie Mae Real Estate Owned (REO) in Selected States (1) Initial estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 2010, supplemented by preliminary data available for purchase transactions to be closed in July and August 2010. Including subsequently available data may lead to materially different results. (2) Select Midwest states are Illinois, Indiana, Michigan and Ohio.

 

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) "Alt-A mortgage loan" generally refers to a mortgage loan that can be underwritten with reduced or alternative documentation than that required for a full documentation mortgage loan but may also include other alternative product features. In reporting our Alt-A exposure, we have classified mortgage loans as Alt-A if the lenders that deliver the mortgage loans to us have classified the loans as Alt-A based on documentation or other product features. We have classified private-label mortgage-related securities held in our investment portfolio as Alt-A if the securities were labeled as such when issued. (2) As a result of our decision to discontinue the purchase of newly originated Alt-A loans effective January 1, 2009, no comparable data will be provided for 2009 and 2010. (3) 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 detailed loan-level information for over 99% of its single-family conventional guaranty book of business as of June 30, 2010. (4) FICO Credit scores presented in the table are borrower credit scores, as reported by the seller of the mortgage loan, at the time of delivery to Fannie Mae. (5) Defined as unpaid principal balance of Alt-A loans with credit enhancement as a percentage of unpaid principal balance of all Alt-A loans. At June 30, 2010,10.3% of unpaid principal balance of Alt-A loans carried only primary mortgage insurance (no deductible), 7.0% had only pool insurance (which is generally subject to a deductible), 1.3% had primary mortgage insurance and pool insurance, and 0.5% carried other credit enhancement such as lender recourse. (6) Expressed as a percentage of credit losses for the single-family guaranty book of business. For information on total credit losses, refer to Fannie Mae's 2010 Q2 Form 10-Q. (7) Defaults include loan liquidations other than through voluntary pay-off or repurchase by lenders and includes 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 the guaranty book of business originated in the identified year that have defaulted, divided by the total number of single-family conventional loans in the guaranty book of business originated in the identified year.

 

Fannie Mae Alt-A Loans Versus Loans Underlying Private-Label Alt-A Securities Includes first liens and any subordinate liens present at origination. The Cumulative Default Rate is based upon the number of months between the loan origination month/year and default month/year. (3) Due to low amount of Alt-A loans originated in 2008 and 2009, no comparable data has been provided for these years. Data as of May 2010 are not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods. Note: Private-label securities data source: First American CoreLogic, LoanPerformance data, which estimates it captures 97% of Alt-A private-label securities. as of May 2010 Fannie Mae Alt-A Private-Label Alt-A Outstanding Alt-A loans in Fannie Mae's Single-Family Guaranty as of May 2010 Outstanding loans backing non-agency Conforming Alt-A MBS FICO 717 709 Original Loan-to-Value Ratio 73% 75% Combined Loan-to-Value Ratio at Origination (1) 77% 81% Geography California 22% 27% Florida 12% 14% Product Type Fixed-Rate 71% 51% Adjustable-Rate 29% 49% Interest Only 20% 24% Negative Amortizing 3% 20% Investor 18% 21% Fannie Mae Alt-A Versus Private-Label Security Conforming Alt-A Book of Business

 

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