SEC Filing | Fannie Mae

View:

Download DOC

Download PDF

Download XLS

e8vk

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 8-K

CURRENT REPORT
Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): August 5, 2011

Federal National Mortgage Association

(Exact name of registrant as specified in its charter)


Federally chartered corporation	000-50231	52-0883107
(State or other jurisdiction	(Commission	(IRS Employer
of incorporation)	File Number)	Identification Number)


3900 Wisconsin Avenue, NW
Washington, DC		20016
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: 202-752-7000

(Former Name or Former Address, if Changed Since Last Report): ________________

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):


o		Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)


o		Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)


o		Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))


o		Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

The information in this report, including information in the exhibits submitted herewith, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to Fannie Mae (formally known as the Federal National Mortgage Association), except to the extent, if any, expressly incorporated by specific reference in that document.


*Item 2.02*		*Results of Operations and Financial Condition*

On August 5, 2011, Fannie Mae filed its quarterly report on Form 10-Q for the quarter ended June 30, 2011 and issued a news release reporting its financial results for the periods covered by the Form 10-Q. The news release, a copy of which is furnished as Exhibit 99.1 to this report, is incorporated herein by reference.


*Item 7.01*		*Regulation FD Disclosure*

On August 5, 2011, Fannie Mae posted to its Web site a 2011 Second-Quarter Credit Supplement presentation consisting primarily of information about Fannie Mae’s guaranty book of business. The presentation, a copy of which is furnished as Exhibit 99.2 to this report, is incorporated herein by reference. Fannie Mae’s Web site address is www.fanniemae.com. Information appearing on the company’s Web site is not incorporated into this report.


*Item 9.01*		*Financial Statements and Exhibits.*

(d) Exhibits. The exhibit index filed herewith is incorporated herein by reference.

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, hereunto duly authorized.


	FEDERAL NATIONAL MORTGAGE ASSOCIATION
	By	/s/ David C. Hisey
		David C. Hisey
		Executive Vice President and Deputy Chief Financial Officer

Date: August 5, 2011

EXHIBIT INDEX

The following exhibits are submitted herewith:


Exhibit Number		Description of Exhibit
	99.1	News release, dated August 5, 2011
	99.2	2011 Second-Quarter Credit Supplement presentation, dated August 5, 2011

exv99w1

Exhibit 99.1

Resource Center: 1-800-732-6643


Contact:		Pete Bakel 202-752-2034

Number:		5458a

Date:		August 5, 2011

Fannie Mae Reports Second-Quarter 2011 Results

Company Focused on Providing Liquidity to the Mortgage Market,

Building Strong New Book of Business, and Limiting Losses on Legacy Book

WASHINGTON, DC — Fannie Mae (FNMA/OTC) today reported a net loss of $2.9 billion in the second quarter of 2011, compared to a net loss of $6.5 billion in the first quarter of the year. The company’s net loss in the second quarter reflected $6.1 billion in credit-related expenses, substantially all of which were related to the company’s legacy (pre-2009) book of business. The loss in the second quarter of 2011 reflects the continued weakness in the housing and mortgage markets, which remain under pressure from high levels of unemployment, underemployment, and the prolonged decline in home prices since their peak in the third quarter of 2006. Pursuing loan modifications, a key aspect of the company’s strategy to reduce defaults, also contributed to its loss in the quarter. Fannie Mae expects its credit-related expenses to remain elevated in 2011 due to these factors.

“We remain the largest source of liquidity for the U.S. mortgage market, and we are committed to creating long-term value by helping to build a stable, sustainable housing market for the future,” said Michael J. Williams, president and chief executive officer. “We are focused on reducing taxpayer exposure by limiting our credit losses and building a strong new book of business. Our new book of business is now nearly half of our overall single-family book and we expect these new loans will be profitable over their lifetime.”

“With regard to our legacy book of business, our goal is to reduce our credit losses while helping as many families as possible stay in their homes, protecting property values in communities across the country,” said Susan McFarland, executive vice president and chief financial officer. “Home retention solutions, including loan modifications, are an important component of our effort to limit losses on our legacy book of business. While modifications contribute to credit-related expenses, successful modifications reduce foreclosures and keep families in homes, which we expect to benefit the housing market and reduce long-term credit losses.”

Fannie Mae’s net loss attributable to common stockholders in the second quarter of 2011 was $5.2 billion, or $(0.90) per diluted share, including $2.3 billion in dividend payments to the U.S. Treasury. The company’s net worth deficit of $5.1 billion as of June 30, 2011 reflects the recognition of its total comprehensive loss of $2.9 billion and its payment to Treasury of $2.3 billion in senior preferred stock dividends during the second quarter of 2011. The Acting Director of the Federal Housing Finance Agency (“FHFA”) will submit a request to Treasury on Fannie Mae’s behalf for $5.1 billion to eliminate the company’s net worth deficit. Upon receipt of those funds, the company’s total obligation



Second-Quarter 2011 Results	1

to Treasury for its senior preferred stock will be $104.8 billion. The table below shows the amount of Fannie Mae’s requested draws from Treasury and dividend payments to Treasury since entering into conservatorship on September 6, 2008.

Treasury Draw Requests and Dividend Payments


⁽¹⁾		Treasury draw requests do not include the initial $1.0 billion liquidation preference of Fannie Mae’s senior preferred stock, for which we did not receive any cash proceeds.

⁽²⁾		Fannie Mae paid dividends of $31 million in the fourth quarter of 2008 and $25 million in the first quarter of 2009.

⁽³⁾		Represents the draw required and requested based on Fannie Mae’s net worth deficit for the quarters presented. Draw requests were funded in the quarter following each quarterly net worth deficit.

⁽⁴⁾		Represents quarterly cash dividends paid during the quarters presented by Fannie Mae to Treasury, based on an annual rate of 10% per year on the aggregate liquidation preference of the senior preferred stock.

PROVIDING LIQUIDITY AND SUPPORT TO THE MARKET

Fannie Mae has continued to provide liquidity and support to the U.S. mortgage market in a number of important ways:

•

The company served as a stable source of funds for purchases of homes and multifamily rental housing, as well as for refinancing existing mortgages, having provided nearly $2 trillion in



Second-Quarter 2011 Results	2

liquidity to the mortgage market from January 1, 2009 through June 30, 2011 through its purchases and guarantees of mortgage loans.

•

The company has been a consistent market presence as it continued to provide liquidity to the mortgage market even when other sources of capital exited the market, as evidenced by the events of the last few years. It is estimated that Fannie Mae, Freddie Mac, and Ginnie Mae collectively guaranteed more than 80 percent of single-family mortgages originated in the United States since January 1, 2009.

•

The company has strengthened its lending standards to support sustainable homeownership, enabling borrowers to have access to a variety of conforming mortgage products, including long-term, fixed-rate mortgages, such as the prepayable 30-year fixed-rate mortgage that protects homeowners from interest rate swings.

•

The company helped more than 874,000 homeowners struggling to pay their mortgages work out their loans from January 1, 2009 through June 30, 2011, which helped to support neighborhoods, home prices, and the housing market. Workouts refer to home retention strategies, such as modifications, repayment plans, and forbearances, as well as preforeclosure sales and deeds-in-lieu of foreclosure.

•

The company continued to support affordability in the multifamily rental market. The vast majority of the multifamily units it financed during 2009 and 2010 were affordable to families earning at or below the median income in their area.

•

The company remained the largest single issuer of mortgage-related securities in the secondary market in the second quarter of 2011, with an estimated market share of new single-family mortgage-related securities issuances of 43.2 percent, compared to 48.6 percent in the first quarter of 2011 and 39.1 percent in the second quarter of 2010. Fannie Mae also remained a constant source of liquidity in the multifamily market. As of March 31, 2011 (the latest date for which information was available), the company owned or guaranteed approximately one-fifth of the outstanding debt on multifamily properties.

In the first half of 2011, Fannie Mae purchased or guaranteed approximately $306 billion in loans, measured by unpaid principal balance, which included approximately $36 billion in delinquent loans purchased from its single-family mortgage-backed securities (MBS) trusts. Excluding delinquent loans purchased from its MBS trusts, Fannie Mae’s purchases and guarantees enabled its lender customers to finance approximately 1,238,000 single-family conventional loans and loans secured by multifamily properties with approximately 179,000 units.

CREDIT QUALITY

New Single-Family Book of Business: Forty-seven percent of Fannie Mae’s single-family guaranty book of business as of June 30, 2011 consisted of loans it had purchased or guaranteed since the beginning of 2009. Its new single-family book of business has a strong overall credit profile and is performing well. While it is too early to know how loans in its new single-family book of business will ultimately perform, the company expects loans it has acquired in 2009, 2010, and the first half of 2011 to be profitable over their lifetime, generating more fee income than credit losses and administrative



Second-Quarter 2011 Results	3

costs. If future macroeconomic conditions turn out to be significantly more adverse than our expectations, these loans could become unprofitable. Conventional single-family loans added to Fannie Mae’s book of business since January 1, 2009 have a weighted average loan-to-value ratio at origination of 68 percent, and a weighted average credit score at origination of 761. For more information on the expected lifetime profitability of the company’s new single-family book of business, please refer to the discussion around Table 2 in the company’s quarterly report on Form 10-Q for the quarter ended June 30, 2011.

2005 — 2008 Single-Family Book of Business: The single-family credit losses the company realized from January 1, 2009 through June 30, 2011, combined with the amounts the company has reserved for single-family credit losses as of June 30, 2011, total approximately $130 billion, which includes a portion of the company’s fair value losses on credit impaired loans that the company deems an “effective reserve” for future credit losses. The vast majority of these losses were attributable to single-family loans the company acquired from 2005 through 2008. The company expects that future defaults on loans in its legacy book and the resulting charge-offs will occur over a period of years.

The 2005 to 2008 acquisitions are becoming a smaller percentage of the company’s guaranty book of business, having decreased from 39 percent of its guaranty book of business as of December 31, 2010 to 34 percent as of June 30, 2011.

Fannie Mae’s single-family serious delinquency rate has decreased each month since February 2010. This decrease is primarily the result of home retention solutions, as well as foreclosure alternatives and completed foreclosures. The decrease also is attributable to acquisition of loans with stronger credit profiles since the beginning of 2009, as these loans have become an increasingly larger portion of the single-family guaranty book of business, resulting in fewer loans becoming seriously delinquent. The company expects serious delinquency rates will continue to be affected in the future by home price changes, changes in other macroeconomic conditions, the length of the foreclosure process, and the extent to which borrowers with modified loans continue to make timely payments.

To reduce the credit losses Fannie Mae ultimately incurs on its single-family guaranty book of business, the company has been focusing its efforts on several strategies, including reducing defaults. Pursuing home retention solutions, such as loan modifications, is a key aspect of this strategy. The company has completed over 603,000 loan modifications since January 1, 2009. The ultimate long-term success of the company’s current modification efforts is uncertain and will be highly dependent on economic factors, such as unemployment rates, household wealth and income, and home prices.

Improving servicing is another key aspect of this strategy. On June 6, 2011, Fannie Mae issued new standards for mortgage servicers regarding the management of delinquent loans, default prevention, and foreclosure time frames under FHFA’s Servicing Alignment Initiative. This initiative is a FHFA-directed effort to establish consistent policies and processes for the servicing of delinquent loans owned or guaranteed by Fannie Mae and Freddie Mac. The new standards, reinforced by new incentives and compensatory fees, require servicers to take a more consistent approach to homeowner communications, loan modifications and other workouts, and, when necessary, foreclosures. Servicers are required to implement the new servicing standards related to the management of delinquent loans and default prevention by no later than October 1, 2011. The new standards relating to foreclosure time frames were effective as of January 1, 2011. The company believes these standards will bring greater



Second-Quarter 2011 Results	4

consistency, clarity, fairness, and efficiency to the process, help improve servicer performance, and hold servicers accountable for their effectiveness in assisting homeowners.

FORECLOSURE PREVENTION

Loan Workouts: During the second quarter of 2011, Fannie Mae completed more than 80,000 single-family loan workouts, including more than 59,000 home-retention solutions (modifications, repayment plans, and forbearances). Details of the company’s home-retention solutions and foreclosure alternatives include:

•

Loan modifications, which consist of permanent modifications under the Treasury Department’s Home Affordable Modification Program and Fannie Mae’s own modification options, decreased in the second quarter of 2011 to 50,336 from 51,043 in the first quarter of 2011. These figures do not include modifications in trial periods.

•

Repayment plans/forbearances of 8,683, compared with 9,916 in the first quarter of 2011.

•

Preforeclosure sales and deeds-in-lieu of foreclosure of 21,176, compared with 17,120 in the first quarter of 2011.

Homeowner Initiatives: In the second quarter of 2011, Fannie Mae continued to develop programs and invest in initiatives designed to help keep people in homes, assist prospective homeowners, and support the mortgage and housing markets overall. As of June 30, 2011, Fannie Mae had established nine Mortgage Help Centers across the nation to accelerate the response time for struggling borrowers with loans owned by Fannie Mae. In the first half of 2011, these centers helped borrowers obtain nearly 2,300 home retention plans. The company also uses direct mail and phone calls to encourage homeowners to pursue foreclosure alternatives, and also has established partnerships with counseling agencies in seven states across the country to provide similar services.

FORECLOSURES AND REO

Fannie Mae acquired 53,697 single-family real-estate owned (REO) properties, primarily through foreclosure, in the second quarter of 2011, compared with 53,549 in the first quarter of 2011. Fannie Mae disposed of 71,202 single-family REO in the second quarter of 2011, compared with 62,814 in the first quarter of 2011. As of June 30, 2011, the company’s inventory of single-family REO properties was 135,719, compared with 153,224 as of March 31, 2011. The carrying value of the company’s single-family REO was $12.5 billion, compared with $14.1 billion as of March 31, 2011.

The company’s single-family foreclosure rate was 1.20 percent on an annualized basis in the second quarter of 2011, compared with 1.19 percent in the first quarter of 2011 and 1.52 percent in the second quarter of 2010. This reflects the annualized number of single-family properties acquired through foreclosure as a percentage of the total number of loans in Fannie Mae’s conventional single-family guaranty book of business.

The changing foreclosure environment has significantly lengthened the time it takes to foreclose on a mortgage loan in many states, which has slowed the pace of Fannie Mae’s REO property acquisitions. The increase in foreclosure timelines also has increased Fannie Mae’s credit-related expenses and negatively affected its single-family serious delinquency rates. Fannie Mae believes these changes in the foreclosure environment will continue to negatively affect its foreclosure timelines, credit-related expenses, and single-family serious delinquency rates. Moreover, Fannie Mae believes these changes in the foreclosure environment will delay the recovery of the housing market because it will take



Second-Quarter 2011 Results	5

longer to clear the housing market’s supply of distressed homes, which typically sell at a discount to non-distressed homes and therefore negatively affect overall home prices.

SUMMARY OF SECOND-QUARTER 2011 RESULTS

Fannie Mae reported a net loss of $2.9 billion for the second quarter of 2011, compared to a net loss of $6.5 billion in the first quarter of 2011. The company’s net loss attributable to common stockholders was $5.2 billion, or $(0.90) per diluted share, compared with a loss of $8.7 billion in the first quarter of 2011, or $(1.52) per diluted share. The net worth deficit of $5.1 billion as of June 30, 2011 takes into account dividends paid on senior preferred stock held by Treasury.


(dollars in millions, except per share amounts)⁽¹⁾	2Q11			1Q11			Variance			2Q11			2Q10			Variance
Net interest income	$	4,972		$	4,960		$	12		$	4,972		$	4,207		$	765
Fee and other income		265			237			28			265			294			(29	)

Net revenues		5,237			5,197			40			5,237			4,501			736
Investment gains, net		171			75			96			171			23			148
Net other-than-temporary impairments		(56	)		(44	)		(12	)		(56	)		(137	)		81
Fair value gains (losses), net		(1,634	)		289			(1,923	)		(1,634	)		303			(1,937	)
Administrative expenses		(569	)		(605	)		36			(569	)		(670	)		101
Credit-related expenses⁽²⁾		(6,059	)		(11,042	)		4,983			(6,059	)		(4,851	)		(1,208	)
Other non-interest expenses⁽³⁾		(75	)		(339	)		264			(75	)		(383	)		308

Net losses and expenses		(8,222	)		(11,666	)		3,444			(8,222	)		(5,715	)		(2,507	)
Loss before federal income taxes		(2,985	)		(6,469	)		3,484			(2,985	)		(1,214	)		(1,771	)
Benefit (provision) for federal income taxes		93			(2	)		95			93			(9	)		102

Net loss		(2,892	)		(6,471	)		3,579			(2,892	)		(1,223	)		(1,669	)
Less: Net (income) loss attributable to the noncontrolling interest		(1	)		—			(1	)		(1	)		5			(6	)

Net loss attributable to Fannie Mae	$	(2,893	)	$	(6,471	)	$	3,578		$	(2,893	)	$	(1,218	)	$	(1,675	)
Preferred stock dividends		(2,282	)		(2,216	)		(66	)		(2,282	)		(1,907	)		(375	)

Net loss attributable to common stockholders	$	(5,175	)	$	(8,687	)	$	3,512		$	(5,175	)	$	(3,125	)	$	(2,050	)

Diluted loss per common share	$	(0.90	)	$	(1.52	)	$	0.62		$	(0.90	)	$	(0.55	)	$	(0.35	)


⁽¹⁾		Certain prior period amounts have been reclassified to conform to the current period presentation.

⁽²⁾		Consists of provision for loan losses, provision for guaranty losses and foreclosed property expense (income).

⁽³⁾		Consists of debt extinguishment losses, net and other expenses.

Net revenues were relatively flat at $5.2 billion in the second quarter of 2011.

Credit-related expenses, which are the total provision for credit losses plus foreclosed property expense, were $6.1 billion in the second quarter of 2011, down from $11.0 billion in the first quarter of 2011. The decrease in our credit-related expenses in the second quarter of 2011 was driven by (1) the deterioration in home prices in the first quarter of 2011, which was not present in the second quarter of 2011 and (2) an increase in the amounts received from lenders related to our outstanding repurchase requests.



Second-Quarter 2011 Results	6

Credit losses, which the company defines generally as net charge-offs plus foreclosed property expense, excluding the effect of certain fair-value losses, were $3.9 billion in the second quarter of 2011, compared with $5.7 billion in the first quarter of 2011. The decline in credit losses was primarily due to an increase in amounts received related to outstanding repurchase requests.

Total loss reserves, which reflect an estimate of the probable losses the company has incurred in its guaranty book of business, increased to $74.8 billion as of June 30, 2011, compared with $72.1 billion as of March 31, 2011. The total loss reserve coverage to total nonperforming loans was 36.91 percent as of June 30, 2011, compared with 34.66 percent and 30.85 percent as of March 31, 2011 and December 31, 2010, respectively. The continued stress on a broad segment of borrowers from persistent high levels of unemployment and underemployment and the prolonged decline in home prices have caused the company’s total loss reserves to remain high for the past few years.

Net fair value losses were $1.6 billion in the second quarter of 2011, driven primarily by fair value losses on Fannie Mae’s derivatives due to a decline in interest rates, compared with net fair value gains of $289 million in the first quarter of 2011.

NET WORTH AND U.S. TREASURY FUNDING

The Acting Director of FHFA will request $5.1 billion of funds from Treasury on the company’s behalf under the terms of the senior preferred stock purchase agreement between Fannie Mae and Treasury to eliminate the company’s net worth deficit as of June 30, 2011. Fannie Mae’s second-quarter dividend of $2.3 billion on its senior preferred stock held by Treasury was declared by FHFA and paid by the company on June 30, 2011.

In June 2011, Treasury provided to the company $8.5 billion to cure its net worth deficit as of March 31, 2011. As a result of this draw, the aggregate liquidation preference of the senior preferred stock increased from $91.2 billion to $99.7 billion as of June 30, 2011. It will increase to $104.8 billion upon the receipt of funds from Treasury to eliminate the company’s second-quarter 2011 net worth deficit, which will require an annualized dividend payment of $10.5 billion. This amount exceeds the company’s reported annual net income for each year since its inception.

Through June 30, 2011, Fannie Mae has paid an aggregate of $14.7 billion to Treasury in dividends on the senior preferred stock.

FAIR VALUE UPDATE

The $7.7 billion decrease in the fair value of Fannie Mae’s net assets during the first half of 2011 was attributable to a net decrease in the fair value due to credit-related items principally related to declining actual and expected home prices as well as a decrease in the estimated rate of prepayments, which increased the expected life of the guaranty book of business and increased expected credit losses. This net decrease due to credit-related items was partially offset by an increase in the fair value of the net portfolio attributable to the positive impact of the spread between mortgage assets and associated debt and derivatives. Additionally, the fair value of the company’s net assets was impacted by the receipt of



Second-Quarter 2011 Results	7

funds from Treasury to reduce the company’s net worth deficits and payment to Treasury of dividends under the senior preferred stock purchase agreement.

As part of Fannie Mae’s disclosure requirements with FHFA, the company discloses on a quarterly basis supplemental non-GAAP consolidated fair value balance sheets, reflecting the company’s assets and liabilities at estimated fair value. The fair value of the company’s net assets is not a measure defined within generally accepted accounting principles and may not be comparable to similarly titled measures reported by other companies. The estimated fair value of the company’s net assets is calculated as of a particular point in time based on its existing assets and liabilities, and does not incorporate other factors that may have a significant impact on its long-term fair value. As a result, the estimated fair value of the company’s net assets presented in its non-GAAP consolidated fair value balance sheets does not represent an estimate of its net realizable value, liquidation value, or its market value as a whole. In addition, the fair value of the company’s net assets attributable to common stockholders presented in its fair value balance sheet does not represent an estimate of the value it expects to realize from operating the company, nor what it expects to draw from Treasury under the terms of the senior preferred stock purchase agreement.

For more information on the change in the company’s fair value net deficit, please refer to “Supplemental Non-GAAP Information — Fair Value Balance Sheets” in the company’s quarterly report on Form 10-Q for the quarter ended June 30, 2011. See also “Supplemental Non-GAAP Consolidated Fair Value Balance Sheets” and “Explanation and Reconciliation of Non-GAAP Measures to GAAP Measures” later in this release for a reconciliation of the company’s fair value balance sheets to its GAAP consolidated balance sheets.

BUSINESS SEGMENT RESULTS

Fannie Mae conducts its activities through three complementary businesses: its Single-Family business, its Multifamily business, and its Capital Markets group. The company’s Single-Family and Multifamily businesses work with Fannie Mae’s lender customers, who deliver mortgage loans that the company purchases and securitizes into Fannie Mae MBS. The Capital Markets group manages the company’s investment activity in mortgage-related assets, funding investments primarily with proceeds received from the issuance of Fannie Mae debt securities in the domestic and international capital markets. The Capital Markets group also provides liquidity to the mortgage market through short-term financing and other activities.

Single-Family guaranty book of business was $2.88 trillion as of June 30, 2011 compared with $2.90 trillion as of March 31, 2011. Single-Family guaranty fee income for both the first and second quarter of 2011 was $1.9 billion. The Single-Family business lost $5.0 billion in the second quarter of 2011, compared with a loss of $10.7 billion in the first quarter of 2011, due primarily to credit-related expenses of $5.9 billion, the vast majority of which were attributable to loans purchased or guaranteed from 2005 through 2008.

Multifamily guaranty book of business was $191.5 billion as of June 30, 2011, compared with $190.6 billion as of March 31, 2011. Multifamily recorded credit-related expenses of $126 million in the second quarter of 2011, compared with credit-related income of $64 million in the first quarter of 2011. Multifamily earned $87 million in the second quarter of 2011, compared with $247 million in the first quarter of 2011.



Second-Quarter 2011 Results	8

Capital Markets’ net interest income was $3.9 billion in the second quarter of 2011, compared with $3.7 billion for the first quarter of 2011. Fair value losses were $1.5 billion, compared with fair value gains of $218 million in the first quarter of 2011. The net mortgage investment portfolio balance decreased to $731.8 billion as of June 30, 2011, compared with $757.6 billion as of March 31, 2011, resulting from purchases of $32.8 billion, liquidations of $37.0 billion, and sales of $21.6 billion during the quarter. Capital Markets earned $2.8 billion in the second quarter of 2011, compared with $4.3 billion in the first quarter of 2011.

The company provides further discussion of its financial results and condition, credit performance, fair value balance sheets, and other matters in its quarterly report on Form 10-Q for the quarter ended June 30, 2011, which was filed today with the Securities and Exchange Commission. Further information about the company’s credit performance, the characteristics of its guaranty book of business, the drivers of its credit losses, its foreclosure-prevention efforts, and other measures is contained in the “2011 Second-Quarter Credit Supplement” on Fannie Mae’s Web site, www.fanniemae.com.

# # #

In this release, the company has presented a number of estimates, forecasts, expectations, and other forward-looking statements regarding the company’s future financial results; the profitability of its loans; the impact of successful loan modifications; FHFA’s future requests to Treasury on Fannie Mae’s behalf; Fannie Mae’s future serious delinquency rates, credit losses, credit-related expenses, defaults, and charge-offs; its draws from and dividends to be paid to Treasury; the performance and caliber of loans it has acquired and will acquire; the impact of the changing foreclosure environment; and the impact of Fannie Mae’s actions under FHFA’s Servicing Alignment Initiative. These estimates, forecasts, expectations, and statements are forward-looking statements and are based on the company’s current assumptions regarding numerous factors, including assumptions about future home prices and the future performance of its loans. The company’s future estimates of these amounts, as well as the actual amounts, may differ materially from its current estimates as a result of home price changes, interest rate changes, unemployment, other macroeconomic variables, government policy matters, changes in generally accepted accounting principles, credit availability, social behaviors, the volume of loans it modifies, the effectiveness of its loss mitigation strategies, management of its real estate owned inventory and pursuit of contractual remedies, changes in the fair value of its assets and liabilities, impairments of its assets, the adequacy of its loss reserves, its ability to maintain a positive net worth, effects from activities the company takes to support the mortgage market and help homeowners, the conservatorship and its effect on the company’s business, the investment by Treasury and its effect on the company’s business, changes in the structure and regulation of the financial services industry, the company’s ability to access the debt markets, disruptions in the housing, credit, and stock markets, government investigations and litigation, the extent of the servicer foreclosure process deficiencies and the duration of the related foreclosure pause, and many other factors. Changes in the company’s underlying assumptions and actual outcomes, which could be affected by the economic environment, government policy, and many other factors, including those discussed in the “Risk Factors” sections of the company’s annual report on Form 10-K for the year ended December 31, 2010 and quarterly report on Form 10-Q for the quarter ended June 30, 2011 and elsewhere in this release, could result in actual results being materially different from what is set forth in the forward-looking statements.

Fannie Mae provides Web site addresses in its news releases solely for readers’ information. Other content or information appearing on these Web sites is not part of this release.

Fannie Mae exists to expand affordable housing and bring global capital to local communities in order to serve the U.S. housing market. Fannie Mae has a federal charter and operates in America’s secondary mortgage market to enhance the liquidity of the mortgage market by providing funds to mortgage bankers and other lenders so that they may lend to home buyers. Our job is to help those who house America.



Second-Quarter 2011 Results	9

ANNEX I

FANNIE MAE
(In conservatorship)

Condensed Consolidated Balance Sheets —(Unaudited)
(Dollars in millions, except share amounts)


	As of
	June 30,			December 31,
	2011			2010

ASSETS
Cash and cash equivalents (includes $3 and $348, respectively, related to consolidated trusts)	$	14,274		$	17,297
Restricted cash (includes $33,136 and $59,619, respectively, related to consolidated trusts)		37,579			63,678
Federal funds sold and securities purchased under agreements to resell or similar arrangements		19,500			11,751
Investments in securities:
Trading, at fair value (includes $21 as of both periods related to consolidated trusts)		61,907			56,856
Available-for-sale, at fair value (includes $1,590 and $1,055, respectively, related to consolidated trusts)		86,616			94,392

Total investments in securities		148,523			151,248

Mortgage loans:
Loans held for sale, at lower of cost or fair value (includes $73 and $661, respectively, related to consolidated trusts)		439			915
Loans held for investment, at amortized cost:
Of Fannie Mae		386,356			407,228
Of consolidated trusts (includes $3,084 and $2,962, respectively, at fair value and loans pledged as collateral that may be sold or repledged of $460 and $2,522, respectively)		2,610,540			2,577,133

Total loans held for investment		2,996,896			2,984,361
Allowance for loan losses		(69,506	)		(61,556	)

Total loans held for investment, net of allowance		2,927,390			2,922,805

Total mortgage loans		2,927,829			2,923,720
Accrued interest receivable, net (includes $8,683 and $8,910, respectively, related to consolidated trusts)		10,681			11,279
Acquired property, net		13,592			16,173
Other assets (includes $59 and $593, respectively, related to consolidated trusts)		24,134			26,826

Total assets	$	3,196,112		$	3,221,972


LIABILITIES AND EQUITY (DEFICIT)
Liabilities:
Accrued interest payable (includes $9,584 and $9,712, respectively, related to consolidated trusts)	$	13,289		$	13,764
Federal funds purchased and securities sold under agreements to repurchase		—			52
Debt:
Of Fannie Mae (includes $862 and $893, respectively, at fair value)		724,799			780,044
Of consolidated trusts (includes $3,273 and $2,271, respectively, at fair value)		2,450,046			2,416,956
Other liabilities (includes $707 and $893, respectively, related to consolidated trusts)		13,065			13,673

Total liabilities		3,201,199			3,224,489

Commitments and contingencies (Note 14)		—			—
Fannie Mae stockholders’ equity (deficit):
Senior preferred stock, 1,000,000 shares issued and outstanding		99,700			88,600
Preferred stock, 700,000,000 shares are authorized—555,374,922 and 576,868,139 shares issued and outstanding, respectively		19,130			20,204
Common stock, no par value, no maximum authorization—1,308,762,703 and 1,270,092,708 shares issued, respectively; 1,157,750,434 and 1,118,504,194 shares outstanding, respectively		687			667
Accumulated deficit		(115,784	)		(102,986	)
Accumulated other comprehensive loss		(1,499	)		(1,682	)
Treasury stock, at cost, 151,012,269 and 151,588,514 shares, respectively		(7,402	)		(7,402	)

Total Fannie Mae stockholders’ deficit		(5,168	)		(2,599	)

Noncontrolling interest		81			82

Total deficit		(5,087	)		(2,517	)

Total liabilities and equity (deficit)	$	3,196,112		$	3,221,972

See Notes to Condensed Consolidated Financial Statements



Second-Quarter 2011 Results	10

FANNIE MAE
(In conservatorship)

Condensed Consolidated Statements of Operations and Comprehensive Loss —(Unaudited)
(Dollars and shares in millions, except per share amounts)


	For the Three						For the Six
	Months Ended						Months Ended
	June 30,						June 30,
	2011			2010			2011			2010

Interest income:
Trading securities	$	264		$	330		$	548		$	645
Available-for-sale securities		1,152			1,389			2,365			2,862
Mortgage loans (includes $31,613 and $33,682, respectively, for the three months ended and $63,478 and $68,003, respectively, for the six months ended related to consolidated trusts)		35,333			37,632			70,923			75,251
Other		25			41			53			80

Total interest income		36,774			39,392			73,889			78,838

Interest expense:
Short-term debt (includes $2 and $3, respectively, for the three months ended and $5 for the six months ended, for both periods, related to consolidated trusts)		81			167			188			285
Long-term debt (includes $27,919 and $30,043, respectively, for the three months ended and $55,771 and $61,501, respectively, for the six months ended related to consolidated trusts)		31,721			35,018			63,769			71,557

Total interest expense		31,802			35,185			63,957			71,842

Net interest income		4,972			4,207			9,932			6,996
Provision for loan losses		(5,802	)		(4,295	)		(16,389	)		(16,234	)

Net interest loss after provision for loan losses		(830	)		(88	)		(6,457	)		(9,238	)

Investment gains, net		171			23			246			189
Other-than-temporary impairments		(28	)		(48	)		(85	)		(234	)
Noncredit portion of other-than-temporary impairments recognized in other comprehensive income		(28	)		(89	)		(15	)		(139	)

Net other-than-temporary impairments		(56	)		(137	)		(100	)		(373	)
Fair value gains (losses), net		(1,634	)		303			(1,345	)		(1,402	)
Debt extinguishment losses, net		(43	)		(159	)		(30	)		(283	)
Fee and other income		265			294			502			527

Non-interest income (loss)		(1,297	)		324			(727	)		(1,342	)

Administrative expenses:
Salaries and employee benefits		310			324			630			648
Professional services		169			260			358			454
Occupancy expenses		43			40			85			81
Other administrative expenses		47			46			101			92

Total administrative expenses		569			670			1,174			1,275
Provision for guaranty losses		735			69			702			33
Foreclosed property expense (income)		(478	)		487			10			468
Other expenses		32			224			384			454

Total expenses		858			1,450			2,270			2,230

Loss before federal income taxes		(2,985	)		(1,214	)		(9,454	)		(12,810	)
Provision (benefit) for federal income taxes		(93	)		9			(91	)		(58	)

Net loss		(2,892	)		(1,223	)		(9,363	)		(12,752	)
Other comprehensive (loss) income:
Changes in unrealized losses on available-for-sale securities, net of reclassification adjustments and taxes		(1	)		1,667			178			3,037
Other		3			3			5			5

Total other comprehensive income		2			1,670			183			3,042

Total comprehensive (loss) income		(2,890	)		447			(9,180	)		(9,710	)
Less: Comprehensive (income) loss attributable to the noncontrolling interest		(1	)		5			(1	)		4

Total comprehensive (loss) income attributable to Fannie Mae	$	(2,891	)	$	452		$	(9,181	)	$	(9,706	)

Net loss	$	(2,892	)	$	(1,223	)	$	(9,363	)	$	(12,752	)
Less: Net (income) loss attributable to the noncontrolling interest		(1	)		5			(1	)		4

Net loss attributable to Fannie Mae		(2,893	)		(1,218	)		(9,364	)		(12,748	)
Preferred stock dividends		(2,282	)		(1,907	)		(4,498	)		(3,434	)

Net loss attributable to common stockholders	$	(5,175	)	$	(3,125	)	$	(13,862	)	$	(16,182	)

Loss per share—Basic and Diluted	$	(0.90	)	$	(0.55	)	$	(2.43	)	$	(2.84	)
Weighted-average common shares outstanding—Basic and Diluted		5,730			5,694			5,714			5,693

See Notes to Condensed Consolidated Financial Statements



Second-Quarter 2011 Results	11

FANNIE MAE
(In conservatorship)

Condensed Consolidated Statements of Cash Flows —(Unaudited)
(Dollars in millions)


	For the Six Months
	Ended June 30,
	2011			2010

Net cash used in operating activities	$	(2,095	)	$	(47,133	)
Cash flows provided by investing activities:
Purchases of trading securities held for investment		(545	)		(7,887	)
Proceeds from maturities and paydowns of trading securities held for investment		1,051			1,398
Proceeds from sales of trading securities held for investment		516			20,442
Purchases of available-for-sale securities		(44	)		(142	)
Proceeds from maturities and paydowns of available-for-sale securities		6,933			9,022
Proceeds from sales of available-for-sale securities		1,850			5,949
Purchases of loans held for investment		(26,000	)		(25,743	)
Proceeds from repayments of loans held for investment of Fannie Mae		11,722			9,188
Proceeds from repayments of loans held for investment of consolidated trusts		226,210			219,380
Net change in restricted cash		26,099			9,798
Advances to lenders		(27,990	)		(23,131	)
Proceeds from disposition of acquired property and preforeclosure sales		24,142			17,693
Net change in federal funds sold and securities purchased under agreements to resell or similar agreements		(7,749	)		15,618
Other, net		(33	)		(627	)

Net cash provided by investing activities		236,162			250,958
Cash flows used in financing activities:
Proceeds from issuance of debt of Fannie Mae		345,028			592,508
Payments to redeem debt of Fannie Mae		(401,125	)		(519,120	)
Proceeds from issuance of debt of consolidated trusts		117,760			135,809
Payments to redeem debt of consolidated trusts		(305,465	)		(412,359	)
Payments of cash dividends on senior preferred stock to Treasury		(4,497	)		(3,436	)
Proceeds from senior preferred stock purchase agreement with Treasury		11,100			23,700
Net change in federal funds purchased and securities sold under agreements to repurchase		—			142
Other, net		109			(37	)

Net cash used in financing activities		(237,090	)		(182,793	)
Net (decrease) increase in cash and cash equivalents		(3,023	)		21,032
Cash and cash equivalents at beginning of period		17,297			6,812

Cash and cash equivalents at end of period	$	14,274		$	27,844

Cash paid during the period for interest	$	65,710		$	73,272

See Notes to Condensed Consolidated Financial Statements



Second-Quarter 2011 Results	12

Supplemental Non-GAAP Consolidated Fair Value Balance Sheets


	As of June 30, 2011									As of December 31, 2010
	GAAP									GAAP
	Carrying			Fair Value			Estimated			Carrying			Fair Value			Estimated
	Value			Adjustment⁽¹⁾			Fair Value			Value			Adjustment⁽¹⁾			Fair Value
	(Dollars in millions)

Assets:
Cash and cash equivalents	$	51,853		$	—		$	51,853		$	80,975		$	—		$	80,975
Federal funds sold and securities purchased under agreements to resell or similar arrangements		19,500			—			19,500			11,751			—			11,751
Trading securities		61,907			—			61,907			56,856			—			56,856
Available-for-sale securities		86,616			—			86,616			94,392			—			94,392
Mortgage loans:
Mortgage loans held for sale		439			—			439			915			—			915
Mortgage loans held for investment, net of allowance for loan losses:
Of Fannie Mae		330,390			(30,847	)		299,543			358,698			(39,331	)		319,367
Of consolidated trusts		2,597,000			42,555	⁽²⁾		2,639,555	⁽³⁾		2,564,107			46,038	⁽²⁾		2,610,145	⁽³⁾

Total mortgage loans		2,927,829			11,708			2,939,537	⁽⁴⁾		2,923,720			6,707			2,930,427	⁽⁴⁾
Advances to lenders		3,829			(188	)		3,641	⁽⁵⁾⁽⁶⁾		7,215			(225	)		6,990	⁽⁵⁾⁽⁶⁾
Derivative assets at fair value		668			—			668	⁽⁵⁾⁽⁶⁾		1,137			—			1,137	⁽⁵⁾⁽⁶⁾
Guaranty assets and buy-ups, net		483			446			929	⁽⁵⁾⁽⁶⁾		458			356			814	⁽⁵⁾⁽⁶⁾

Total financial assets		3,152,685			11,966			3,164,651	⁽⁷⁾		3,176,504			6,838			3,183,342	⁽⁷⁾
Credit enhancements		471			2,958			3,429	⁽⁵⁾⁽⁶⁾		479			3,286			3,765	⁽⁵⁾⁽⁶⁾
Other assets		42,956			(267	)		42,689	⁽⁵⁾⁽⁶⁾		44,989			(261	)		44,728	⁽⁵⁾⁽⁶⁾

Total assets	$	3,196,112		$	14,657		$	3,210,769		$	3,221,972		$	9,863		$	3,231,835

Liabilities:
Federal funds purchased and securities sold under agreements to repurchase	$	—		$	—		$	—		$	52		$	(1	)	$	51
Short-term debt:
Of Fannie Mae		162,005			36			162,041			151,884			90			151,974
Of consolidated trusts		5,193			1			5,194			5,359			—			5,359
Long-term debt:
Of Fannie Mae		562,794	⁽⁸⁾		22,604			585,398			628,160	⁽⁸⁾		21,524			649,684
Of consolidated trusts		2,444,853	⁽⁸⁾		113,038	⁽²⁾		2,557,891			2,411,597	⁽⁸⁾		103,332	⁽²⁾		2,514,929
Derivative liabilities at fair value		592			—			592	^(9)(10)		1,715			—			1,715	^(9)(10)
Guaranty obligations		778			2,922			3,700	^(9)(10)		769			3,085			3,854	^(9)(10)

Total financial liabilities		3,176,215			138,601			3,314,816	⁽⁷⁾		3,199,536			128,030			3,327,566	⁽⁷⁾
Other liabilities		24,984			(1,102	)		23,882	^(9)(10)		24,953			(472	)		24,481	^(9)(10)

Total liabilities		3,201,199			137,499			3,338,698			3,224,489			127,558			3,352,047
Equity (deficit):
Fannie Mae stockholders’ equity (deficit):
Senior preferred⁽¹¹⁾		99,700			—			99,700			88,600			—			88,600
Preferred		19,130			(17,593	)		1,537			20,204			(19,829	)		375
Common		(123,998	)		(105,249	)		(229,247	)		(111,403	)		(97,866	)		(209,269	)

Total Fannie Mae stockholders’ deficit/non-GAAP fair value of net assets	$	(5,168	)	$	(122,842	)	$	(128,010	)	$	(2,599	)	$	(117,695	)	$	(120,294	)
Noncontrolling interests		81			—			81			82			—			82

Total deficit		(5,087	)		(122,842	)		(127,929	)		(2,517	)		(117,695	)		(120,212	)

Total liabilities and equity (deficit)	$	3,196,112		$	14,657		$	3,210,769		$	3,221,972		$	9,863		$	3,231,835

See Explanation and Reconciliation of Non-GAAP Measures to GAAP Measures



Second-Quarter 2011 Results	13

Explanation and Reconciliation of Non-GAAP Measures 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 best judgment of the estimated fair value of the listed item.

⁽²⁾		Fair value exceeds carrying value of consolidated loans and consolidated debt as a significant portion of these were consolidated at unpaid principal balance as of January 1, 2010, upon adoption of accounting standards on transfers of financial assets and consolidation of variable interest entities (“VIEs”). Also impacting the difference between fair value and carrying value of the consolidated loans is the credit component included in consolidated loans, which has no corresponding impact on the consolidated debt.

⁽³⁾		Includes certain mortgage loans that we elected to report at fair value in our GAAP condensed consolidated balance sheets of $3.1 billion and $3.0 billion as of June 30, 2011 and December 31, 2010, respectively.

⁽⁴⁾		Performing loans had both a fair value and an unpaid principal balance of $2.8 trillion as of June 30, 2011 compared with a fair value of $2.8 trillion and an unpaid principal balance of $2.7 trillion as of December 31, 2010. Nonperforming loans, which include loans that are delinquent by one or more payments, had a fair value of $139.7 billion and an unpaid principal balance of $247.3 billion as of June 30, 2011 compared with a fair value of $168.5 billion and an unpaid principal balance of $287.4 billion as of December 31, 2010. See “Note 13, Fair Value” for additional information on valuation techniques for performing and nonperforming loans.

⁽⁵⁾		The following line items: (a) Advances to lenders; (b) Derivative assets at fair value; (c) Guaranty assets and buy-ups, net; (d) Credit enhancements; and (e) Other assets, together consist of the following assets presented in our GAAP condensed consolidated balance sheets: (a) Accrued interest receivable, net; (b) Acquired property, net; and (c) Other assets.

⁽⁶⁾		“Other assets” include the following GAAP condensed consolidated balance sheets line items: (a) Accrued interest receivable, net and (b) Acquired property, net. The carrying value of these items in our GAAP condensed consolidated balance sheets totaled $24.3 billion and $27.5 billion as of June 30, 2011 and December 31, 2010, respectively. “Other assets” in our GAAP condensed consolidated balance sheets include the following: (a) Advances to Lenders; (b) Derivative assets at fair value; (c) Guaranty assets and buy-ups, net; and (d) Credit enhancements. The carrying value of these items totaled $5.5 billion and $9.3 billion as of June 30, 2011 and December 31, 2010, respectively.

⁽⁷⁾		We determined the estimated fair value of these financial instruments in accordance with the fair value accounting standard as described in “Note 13, Fair Value.”

⁽⁸⁾		Includes certain long-term debt instruments that we elected to report at fair value in our GAAP condensed consolidated balance sheets of $4.1 billion and $3.2 billion as of June 30, 2011 and December 31, 2010, respectively.

⁽⁹⁾		The following line items: (a) Derivative liabilities at fair value; (b) Guaranty obligations; and (c) Other liabilities, consist of the following liabilities presented in our GAAP condensed consolidated balance sheets: (a) Accrued interest payable and (b) Other liabilities.

⁽¹⁰⁾		“Other liabilities” include Accrued interest payable in our GAAP condensed consolidated balance sheets. The carrying value of this item in our GAAP condensed consolidated balance sheets totaled $13.3 billion and $13.8 billion as of June 30, 2011 and December 31, 2010, respectively. We assume that certain other liabilities, such as deferred revenues, have no fair value. Although we report the “Reserve for guaranty losses” as part of “Other liabilities” in our GAAP condensed consolidated balance sheets, it is incorporated into and reported as part of the fair value of our guaranty obligations in our non-GAAP supplemental consolidated fair value balance sheets. “Other liabilities” in our GAAP condensed consolidated balance sheets include the following: (a) Derivative liabilities at fair value and (b) Guaranty obligations. The carrying value of these items totaled $1.4 billion and $2.5 billion as of June 30, 2011 and December 31, 2010, respectively.

⁽¹¹⁾		The amount included in “estimated fair value” of the senior preferred stock is the liquidation preference, which is the same as the GAAP carrying value, and does not reflect fair value.



Second-Quarter 2011 Results	14

exv99w2

Exhibit 99.2

Fannie Mae 2011 Second-Quarter Credit Supplement August 05, 2011

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 and in Fannie Mae’s Form 10-K for the year ended December 31, 2010, the “2010 Form 10-K.” These materials should be reviewed together with the 2011 Q2 Form 10-Q and the 2010 Form 10-K, copies of which are available on the “SEC Filings” page in the “Investors” section of Fannie Mae’s Web site at www.fanniemae.com. Some of the information in this presentation is based upon information that we received from third-party sources such as sellers and servicers of mortgage loans. Although we generally consider this information reliable, we do not independently verify all reported information. This presentation includes forward-looking statements relating to future home price changes. These statements are based on our opinions, analyses, estimates, forecasts and other views on a variety of economic and other information, and changes in the assumptions and other information underlying these views could produce materially different results. The impact of future home price changes on our business, results or financial condition will depend on many other factors. Due to rounding, amounts reported in this presentation may not add to totals indicated (or 100%). A zero indicates less than one half of one percent. A dash indicates a null value. 1

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 7 Fannie Mae Credit Profile by State 8 Fannie Mae Alt-A Credit Profile by Key Product Features 9 Fannie Mae Single-Family Serious Delinquency Rates by State and Region 10 Fannie Mae Single-Family Completed Workouts by Type 11 Home Affordable Modification Program (HAMP) 12 Fannie Mae Modifications of Single-Family Delinquent Loans 13 Performance of Fannie Mae Modified Loans 14 Fannie Mae Single-Family Cumulative Default Rates 15 Fannie Mae Single-Family Real Estate Owned (REO) in Selected States 16 Fannie Mae Multifamily Credit Profile by Loan Attributes 17 Fannie Mae Multifamily Credit Profile by Acquisition Year 18 Fannie Mae Multifamily Credit Profile by Region and State 19 Fannie Mae Multifamily 2011 YTD Credit Losses by State 20 2

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% -18.4% -2.5% -3.8% -4.2** Growth rates are from period-end to period-end. *Year-to-date as of Q2 2011. Initial estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 2011, supplemented by preliminary data available for July 2011. Including subsequent data may lead to materially different results. ** Year-to-date as of Q1 2011. We expect peak-to-trough declines in home prices to be in the 23% to 29% range (comparable to a decline in the 32% to 40% range using the S&P/Case-Shiller index method). Note: Our estimates differ from the S&P/Case-Shiller index in two principal ways: (1) our estimates weight expectations by number of properties, whereas the S&P/Case-Shiller index weights expectations based on property value, causing changes in home prices on higher priced homes to have a greater effect on the overall result; and (2) our estimates attempt to exclude sales of foreclosed homes because we believe that differing maintenance practices and the forced nature of the sales make foreclosed home prices less representative of market values, whereas the S&P/Case-Shiller index includes sales of foreclosed homes. We calculate S&P/Case-Shiller comparison numbers shown above for the peak-to-trough forecast by modifying our internal home price estimates to account for weighting based on property value and the impact of foreclosed property sales. In addition to these differences, our estimates are based on our own internally available data combined with publicly available data, and are therefore based on data collected nationwide, whereas the S&P/Case-Shiller index is based on publicly available data, which may be limited in certain geographic areas of the country. Our comparative calculations to the S&P/Case- Shiller index provided above are not modified to account for this data pool difference. 3

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 Note: Regional home price decline percentages are a housing stock unit-weighted average of home price decline percentages of states within each region. * Source: Fannie Mae. Initial estimate based on purchase transactions in Fannie-Freddie acquisition and public deed data available through the end of June 2011, supplemented by preliminary data available for July 2011. Including subsequent data may lead to materially different results. 4

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 Origination Note Rate 4.75% 4.40% 4.64% 4.93% 6.00% 6.51% 6.45% 5.73% 5.63% Origination Loan-to-Value Ratio <= 60% 27.3% 30.3% 30.3% 32.6% 22.7% 16.7% 18.6% 21.4% 23.1% >60% and <= 70% 14.4% 15.7% 15.9% 17.0% 16.1% 13.5% 15.1% 16.3% 16.2% >70% and <= 80% 36.6% 37.5% 38.5% 39.9% 39.5% 44.7% 49.6% 46.2% 43.1% >80% and <= 90% 10.2% 8.5% 8.6% 6.9% 11.7% 9.1% 6.8% 7.4% 8.2% >90% and <= 100% (2) 8.1% 5.8% 5.2% 3.3% 10.0% 15.8% 9.7% 8.5% 9.3% > 100% (2) 3.4% 2.2% 1.6% 0.4% 0.1% 0.1% 0.2% 0.2% 0.2% Weighted Average Origination Loan-to-Value Ratio 70.6% 68.5% 68.4% 66.8% 72.0% 75.5% 73.4% 72.0% 71.4% Weighted Average Origination Loan-to-Value 67.6% 66.0% 66.0% 65.8% Ratio Excluding HARP (3) FICO Credit Scores (4) 0 to < 620 0.7% 0.4% 0.4% 0.4% 2.8% 6.4% 6.2% 5.4% 5.6% >= 620 and < 660 2.7% 1.5% 1.6% 1.5% 5.7% 11.5% 11.2% 10.7% 11.5% >=660 and < 700 9.1% 6.8% 6.6% 6.5% 13.9% 19.2% 19.6% 18.9% 19.4% >=700 and < 740 18.1% 16.9% 16.1% 17.2% 21.7% 22.6% 23.0% 23.2% 23.9% >=740 69.2% 74.4% 75.1% 74.4% 55.8% 40.1% 39.7% 41.5% 39.2% Missing 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.3% 0.4% Weighted Average FICO Credit Score (4) 756 762 762 761 738 716 716 719 715 Product Distribution Fixed-rate 91.5% 93.5% 93.7% 96.6% 91.7% 90.1% 83.4% 78.7% 78.8% Adjustable-rate 8.5% 6.5% 6.3% 3.4% 8.3% 9.9% 16.6% 21.3% 21.2% Alt-A (6) 1.8% 1.0% 0.9% 0.2% 3.1% 16.7% 21.8% 16.1% 11.9% Subprime 0.3% 0.7% 0.7% 0.0% Interest Only 0.7% 0.7% 1.3% 1.0% 5.6% 15.2% 15.2% 10.1% 5.0% Negative Amortizing 0.0% 0.3% 3.1% 3.2% 1.9% Refinance 68.9% 81.9% 77.4% 79.9% 58.6% 50.4% 48.3% 53.1% 57.3% Total Refi Plus (3)(5) 31.2% 24.4% 23.4% 10.6% HARP (3)(5) 11.1% 9.1% 9.0% 3.8% HARP Weighted Average Origination Loan-to-Value 94.5% 93.7% 92.1% 90.7% Ratio (3) Investor 9.0% 5.7% 4.6% 2.5% 5.6% 6.5% 7.0% 6.4% 5.4% Condo/Co-op 10.5% 9.0% 8.6% 8.2% 10.3% 10.4% 10.5% 9.8% 8.8% (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 our mortgage portfolio and single-family mortgage loans we securitized into Fannie Mae MBS. (2) The increase for 2010 and 2011 is the result of our Refi PlusTM initiative, which involves the refinance of existing Fannie Mae loans with loan-to-value ratios up to 125%. (3) Refi Plus and Home Affordable Refinance Program (HARP) started in April 2009. (4) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery. (5) Represented as a percentage of total unpaid principal balance of loans at time of acquisition. (6) Primarily represents the refinance of existing Fannie Mae Alt-A loans through Refi Plus. 5

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 of June 30, 2011 Amortizing Alt-A Loans Subprime Loans Key Product Loans < 620(3) 620 and < 660(3) Ratio Origination LTV Book Loans Features(1) > 90% Ratio > 90%(3) Unpaid Principal Balance $9.9 $141.6 $92.5 $194.8 $267.2 $20.1 $195.3 $6.2 $735.1 $2,794.0 (billions) (2) Share of Single-Family 0.4% 5.1% 3.3% 7.0% 9.6% 0.7% 7.0% 0.2% 26.3% 100.0% Conventional Guaranty Book Average Unpaid Principal Balance $115,729 $242,797 $121,419 $134,688 $151,587 $118,303 $160,221 $147,572 $150,837 $156,294 (2) Serious Delinquency Rate 7.97% 16.28% 13.65% 10.37% 8.82% 19.36% 13.04% 25.86% 10.06% 4.08% Origination Years 2005-2008 56.3% 83.5% 60.9% 57.6% 50.8% 67.0% 72.3% 85.3% 59.6% 33.7% Weighted Average Origination 70.8% 75.0% 76.7% 77.1% 97.4% 98.1% 73.2% 77.1% 80.8% 71.2% Loan-to-Value Ratio Origination Loan-to-Value Ratio 0.3% 8.9% 21.7% 20.3% 100.0% 100.0% 6.2% 6.7% 36.4% 9.6% > 90% Weighted Average Mark-to-Market 100.9% 115.5% 89.1% 90.1% 109.4% 112.5% 99.7% 108.5% 97.9% 77.8% Loan-to-Value Ratio Mark-to-Market Loan-to-Value 13.0% 24.4% 17.0% 16.5% 33.0% 32.9% 18.3% 22.8% 22.0% 9.7% Ratio > 100% and <= 125% Mark-to-Market Loan-to-Value 34.7% 33.9% 13.3% 14.4% 19.2% 24.6% 22.7% 25.6% 17.7% 7.2% Ratio > 125% Weighted Average FICO (3) 707 725 588 641 709 591 717 621 690 737 FICO < 620 (3) 6.9% 1.4% 100.0% 7.5% 100.0% 0.9% 49.4% 12.6% 3.3% Fixed-rate 0.6% 32.1% 81.6% 83.9% 88.5% 78.8% 67.3% 66.9% 76.0% 89.4% Primary Residence 68.7% 85.3% 96.7% 94.1% 96.0% 99.2% 77.7% 96.7% 89.9% 89.7% Condo/Co-op 13.7% 16.2% 4.8% 6.5% 10.1% 5.9% 10.5% 4.3% 9.6% 9.4% Credit Enhanced (4) 56.8% 18.7% 30.0% 28.5% 75.5% 87.7% 18.1% 59.6% 35.8% 14.3% % of 2007 Credit Losses (5) 0.9% 15.0% 18.8% 21.9% 17.4% 6.4% 27.8% 1.0% 72.3% 100.0% % of 2008 Credit Losses (5) 2.9% 34.2% 11.8% 17.4% 21.3% 5.4% 45.6% 2.0% 81.3% 100.0% % of 2009 Credit Losses (5) 2.0% 32.6% 8.8% 15.5% 19.2% 3.4% 39.6% 1.5% 75.0% 100.0% % of 2010 Credit Losses (5) 1.9% 28.6% 8.0% 15.1% 15.9% 2.7% 33.2% 1.1% 68.4% 100.0% % of Q1 2011 Credit Losses (5) 1.9% 27.9% 7.8% 14.9% 16.5% 2.3% 29.7% 0.9% 66.8% 100.0% % of Q2 2011 Credit Losses (5) (6) 2.2% 27.5% 6.7% 14.1% 6.2% 1.0% 28.4% -0.4% 59.9% 100.0% (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, 2011. (3) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery. (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 2011 Q2 Form 10-Q. (6) Q2 credit losses are negative (gain) for some loan categories due to a change in our estimates relating to make whole receivables. The increase in make whole receivables resulted in recoveries to credit losses. 6

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 $2,794.0 $167.4 $578.8 $537.8 $224.5 $298.9 $207.1 $212.4 $567.0 (billions) (1) Share of Single-Family 100.0% 6.0% 20.7% 19.2% 8.0% 10.7% 7.4% 7.6% 20.3% Conventional Guaranty Book Average Unpaid Principal $156,294 $196,911 $211,738 $201,933 $178,809 $176,393 $160,980 $147,979 $95,180 Balance(1) Serious Delinquency Rate 4.08% 0.01% 0.11% 0.37% 5.17% 12.75% 11.90% 7.06% 3.05% Weighted Average Origination 71.2% 70.1% 68.7% 67.7% 74.6% 78.3% 75.3% 72.9% 70.1% Loan-to-Value Ratio Origination Loan-to-Value Ratio 9.6% 10.4% 7.2% 4.5% 12.5% 21.0% 12.4% 9.0% 8.6% > 90% (2) Weighted Average Mark-to-Market 77.8% 69.5% 69.0% 69.9% 88.1% 108.7% 108.9% 93.0% 59.5% Loan-to-Value Ratio Mark-to-Market Loan-to-Value 9.7% 3.2% 2.9% 3.5% 20.4% 25.8% 21.6% 16.5% 5.0% Ratio > 100% and <= 125% Mark-to-Market Loan-to-Value 7.2% 0.1% 0.2% 0.2% 7.7% 25.6% 27.3% 16.7% 2.4% Ratio > 125% Weighted Average FICO(3) 737 757 762 760 731 705 708 717 718 FICO < 620 (3) 3.3% 0.6% 0.4% 0.4% 3.2% 8.2% 6.8% 5.0% 5.4% Interest Only 5.1% 0.7% 1.1% 0.9% 6.0% 15.8% 17.3% 10.3% 1.9% Negative Amortizing 0.4% 0.1% 1.2% 1.4% 0.8% Fixed-rate 89.4% 92.6% 94.5% 97.2% 88.1% 80.3% 78.2% 79.9% 89.0% Primary Residence 89.7% 86.9% 90.9% 92.4% 87.4% 88.3% 86.4% 87.0% 90.7% Condo/Co-op 9.4% 9.8% 8.5% 8.4% 12.0% 11.4% 11.7% 10.6% 7.6% Credit Enhanced (4) 14.3% 9.0% 6.9% 6.9% 27.0% 32.2% 22.0% 17.3% 12.1% % of 2007 Credit Losses (5) 100.0% 1.9% 21.3% 23.6% 53.2% % of 2008 Credit Losses (5) 100.0% 0.5% 27.9% 34.9% 19.3% 17.3% % of 2009 Credit Losses (5) 100.0% 4.8% 36.0% 30.9% 16.4% 11.9% % of 2010 Credit Losses (5) 100.0% 0.4% 7.0% 35.8% 29.2% 15.9% 11.7% % of Q1 2011 Credit Losses (5) 100.0% 0.2% 1.0% 7.5% 36.5% 27.0% 16.1% 11.7% % of Q2 2011 Credit Losses (5) 100.0% 0.7% 1.6% 0.1% 19.1% 33.2% 27.3% 18.0% Cumulative Default Rate (6) 0.02% 0.10% 1.99% 7.65% 7.49% 4.49% (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, 2011. (2) The increase for 2010 and 2011 is the result of our Refi Plus loans, which started in April 2009, and involve the refinance of existing Fannie Mae loans with loan-to-value ratios up to 125%. (3) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery. (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 has 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 2011 Q2 Form 10-Q. (6) 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. For 2000 to 2004 cumulative default rates, refer to slide 15. 7

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 Conventional Guaranty Book 100.0% 2.5% 18.5% 6.5% 1.1% 10.4% Average Unpaid Principal Balance (1) $156,294 $152,471 $222,329 $141,052 $165,015 $122,806 Serious Delinquency Rate 4.08% 4.19% 2.94% 12.19% 7.88% 4.54% Origination Years 2005-2008 33.7% 48.9% 28.4% 55.6% 54.0% 31.6% Weighted Average Origination Loan-to-Value Ratio 71.2% 74.3% 64.5% 73.5% 74.7% 74.9% Origination Loan-to-Value Ratio > 90% 9.6% 11.3% 4.2% 11.0% 9.9% 13.0% Weighted Average Mark-to-Market Loan-to-Value Ratio 77.8% 108.9% 78.4% 107.5% 133.5% 81.7% Mark-to-Market Loan-to-Value Ratio >100% and 9.7% 18.0% 9.9% 16.6% 15.3% 14.0% <=125% Mark-to-Market Loan-to-Value Ratio >125% 7.2% 30.2% 11.2% 31.7% 50.3% 6.5% Weighted Average FICO (2) 737 737 746 723 732 731 FICO < 620 (2) 3.3% 2.7% 1.8% 4.8% 2.7% 4.3% Interest Only 5.1% 10.3% 7.7% 9.2% 14.3% 3.1% Negative Amortizing 0.4% 0.4% 1.1% 0.8% 1.1% 0.1% Fixed-rate 89.4% 83.7% 86.0% 83.9% 77.0% 89.3% Primary Residence 89.7% 82.1% 88.1% 82.3% 79.5% 93.5% Condo/Co-op 9.4% 4.7% 11.9% 14.3% 6.3% 10.8% Credit Enhanced (3) 14.3% 14.1% 6.2% 16.5% 15.7% 18.1% % of 2007 Credit Losses (4) 100.0% 1.8% 7.2% 4.7% 1.2% 46.6% % of 2008 Credit Losses (4) 100.0% 8.0% 25.2% 10.9% 4.9% 21.1% % of 2009 Credit Losses (4) 100.0% 10.8% 24.4% 15.5% 6.5% 14.8% % of 2010 Credit Losses (4) 100.0% 10.0% 22.6% 17.5% 6.1% 13.6% % of Q1 2011 Credit Losses (4) 100.0% 13.0% 29.2% 10.5% 7.5% 12.5% % of Q2 2011 Credit Losses (4) 100.0% 17.5% 33.0% 3.3% 14.9% 6.1% (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, 2011. (2) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery. (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 For information on total credit losses, refer to Fannie Mae’s 2011 Q2 Form 10-Q. guaranty book of business. (5) Select Midwest states are Illinois, Indiana, Michigan and Ohio. 8

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) $195.3 $2.9 $4.2 $1.6 $4.8 $48.6 $51.8 $36.1 $45.3 Share of Alt-A 100.0% 1.5% 2.1% 0.8% 2.5% 24.9% 26.5% 18.5% 23.2% Weighted Average Origination Loan-to-Value Ratio 73.2% 72.1% 79.0% 74.4% 68.0% 75.0% 74.2% 72.7% 70.6% Origination Loan-to-Value Ratio > 90% (4) 6.2% 20.0% 28.3% 19.9% 2.6% 8.5% 4.8% 3.3% 4.7% Weighted Average Mark-to-Market Loan-to-Value 99.7% 71.7% 81.0% 78.7% 84.8% 114.0% 116.6% 103.7% 67.6% Ratio Mark-to-Market Loan-to-Value Ratio > 100% and 18.3% 8.3% 15.2% 14.4% 17.0% 24.5% 22.3% 18.7% 8.0% <=125% Mark-to-Market Loan-to-Value Ratio > 125% 22.7% 0.1% 0.4% 0.7% 8.3% 31.3% 33.6% 25.0% 5.0% Weighted Average FICO (5) 717 747 734 736 725 710 712 722 719 FICO < 620 (5) 0.9% 1.9% 3.2% 3.5% 0.2% 0.6% 0.6% 0.4% 1.5% Adjustable-rate 32.7% 2.1% 4.5% 3.8% 20.0% 32.2% 37.3% 42.7% 27.0% Interest Only 27.8% 0.1% 7.2% 37.3% 37.5% 29.2% 13.0% Negative Amortizing 2.6% 3.8% 6.1% 2.2% Investor 17.6% 12.9% 11.9% 5.3% 18.4% 19.2% 16.9% 20.2% 15.6% Condo/Co-op 10.5% 5.0% 9.5% 8.9% 6.8% 9.4% 11.4% 12.9% 9.7% California 21.2% 20.8% 19.9% 16.4% 20.3% 21.3% 18.9% 20.3% 24.7% Florida 11.9% 4.6% 3.5% 3.3% 9.7% 12.9% 14.0% 13.4% 8.8% Credit Enhanced (6) 18.1% 2.0% 2.3% 1.6% 14.2% 18.4% 17.8% 20.7% 19.3% 2010 Serious Delinquent Rate 13.87% 0.44% 2.24% 10.29% 20.39% 19.41% 13.22% 6.44% 2011 Serious Delinquent Rate 13.04% 0.02% 1.17% 3.44% 10.43% 19.32% 18.41% 12.58% 6.46% % of 2007 Credit Losses (7) 27.8% 0.7% 9.8% 9.7% 7.7% % of 2008 Credit Losses (7) 45.6% 0.0% 12.4% 20.1% 9.7% 3.4% % of 2009 Credit Losses (7) 39.6% 0.4% 13.4% 15.8% 7.3% 2.6% % of 2010 Credit Losses (7) 33.2% 0.0% 0.0% 0.5% 11.8% 12.8% 5.7% 2.3% % of Q1 2011 Credit Losses (7) 29.7% 0.4% 10.9% 11.3% 5.1% 2.0% % of Q2 2011 Credit Losses (7) (8) 28.4% 0.1% 0.1% -0.2% 4.7% 11.3% 9.0% 3.4% Cumulative Default Rate (9) 0.18% 0.86% 6.14% 14.81% 14.31% 9.18% (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) Newly originated Alt-A loans acquired in 2009, 2010, and 2011 consist of the refinance of existing alt-A loans under our Refi Plus Initiative. (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, 2011. (4) The increase for 2009, 2010, and 2011 is the result of Refi Plus loans, which started in April 2009 and can have loan-to-value ratios up to 125%. (5) FICO credit scores as reported by the seller of the mortgage loan at the time of delivery. (6) 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, 2011, 10.2% of unpaid principal balance of Alt-A loans carried only primary mortgage insurance (no deductible), 6.3% had only pool insurance (which is generally subject to a deductible), 1.2% had primary mortgage insurance and pool insurance, and 0.4% carr ied other credit enhancement such as lender recourse. (7) 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 2011 Q2 Form 10-Q. (8) Q2 credit losses are negative (gain) for some loan categories due to a change in our estimates relating to make whole receivables. The increase in make whole receivables resulted in recoveries to credit losses. (9) 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. 9

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 Serious Delinquency Rate by Region (3) 8% 7% 6% 5% 4% 3% 2% 1% 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 Midwest Northeast Southeast Southw Southwest West All (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 footnote 9 to Table 35 in Fannie Mae’s 2011 Q2 Form 10-Q. 10

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 Preforeclosure Sales and Deeds-in-Lieu 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 completed modifications made under the Administration’s Home Affordable Modification Program (HAMP), which was implemented in March 2009, but do not reflect loans currently in trial modifications. Information on Fannie Mae loans under the Home Affordable Modification Program is provided on Slide 12. Repayment plans involve plans to repay past due principal and interest over a reasonable period of time through temporarily higher monthly payments. Loans with completed repayment plans are included for loans that were at least 60 days delinquent at initiation. Forbearances involve an agreement to suspend or reduce borrower payments for a period of time. Loans with forbearance plans are included for loans that were at least 90 days delinquent at initiation. Deeds in lieu of foreclosure involve the borrower’s voluntarily signing over title to the property. In a preforeclosure sale, the borrower, working with the servicer, sells the home prior to foreclosure to pay off all or part of the outstanding loan, accrued interest and other expenses from the sale proceeds. HomeSaver Advance TM are unsecured, personal loans designed to help qualified borrowers bring their delinquent mortgage loans current after a temporary financial difficulty. The Program was retired on September 30, 2010. 11

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 Principal and $407 $487 Interest Reduction % of June 30, 2011 SDQ Loans (2) 3% Data Source: United States Treasury Department as reported by servicers to the system of record for the Home Affordable Modification Program. (1) Active Permanent HAMP modifications exclude modifications on loans that subsequently canceled because the loans were 90+ days delinquent or have paid off. (2) Re-performance rates for modified single-family loans, including permanent HAMP modifications, are presented on Slide 14. Provides immediate payment relief to borrowers who are delinquent or in imminent risk of payment default. We require servicers to first evaluate all Fannie Mae problem loans for HAMP eligibility. If a borrower is not eligible for HAMP, our servicers are required to exhaust all other workout alternatives before proceeding to foreclosure. 12

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 2010 Q1 2011 Q2 2011 Decrease greater than 20% of Principal and Interest Payment Capitalization of missed payments & other Decrease of less than or equal to 20% in Principal and Interest Payment Extend term, reduce rate and forbear principal No Change in Principal and Interest Payment Extend term and reduce rate Extend term only Increase in Principal and Interest Payment Reduce rate only (1) Excludes loans that were classified as subprime adjustable rate mortgages that were modified into fixed rate mortgages and were current at the time of modification. Modifications include permanent modifications, but do not reflect loans currently in trial modifications. (2) Represents the change in the monthly principal and interest payment at the effective date of the modification. The monthly principal and interest payment on modified loans may vary, and may increase, during the remaining life of the loan. 13

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 post modification 45% 62% 65% 71% 73% n/a n/a 12 months post modification 42% 58% 65% 70% n/a n/a n/a 15 months post modification 40% 60% 63% n/a n/a n/a n/a 18 months post modification 41% 58% n/a n/a n/a n/a n/a 21 months post modification 40% n/a n/a n/a n/a n/a n/a (1) Excludes loans that were classified as subprime adjustable rate mortgages that were modified into fixed rate mortgages and were current at the time of modification. Modifications include permanent modifications, but do not reflect loans currently in trial modifications. (2) Includes loans that are paid off. 14

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% 2010 0.0% 2009 Yr1-Q1 Yr2-Q1 Yr3-Q1 Yr4-Q1 Yr5-Q1 Yr6-Q1 Yr7-Q1 Yr8-Q1 Yr9-Q1 Yr10-Q1 Yr11-Q1 Yr12-Q1 Time Since Beginning of Origination Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 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, 2011 are not necessarily indicative of the ultimate performance of the loans and performance is likely to change, perhaps materially, in future periods. 15

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 5,971 20,691 12,854 5,532 751 7,738 8,427 California 8,179 9,571 34,051 19,565 10,624 1,681 20,224 16,630 Florida 3,154 2,919 29,628 13,282 6,159 1,714 9,510 13,179 Nevada 3,099 2,678 9,418 6,075 2,906 530 5,035 3,668 Select Midwest States (1) 7,316 8,962 45,411 28,464 23,668 16,678 30,266 29,945 All other States 27,091 23,448 122,879 65,377 45,763 27,767 62,946 57,461 Total Acquisitions 53,697 53,549 262,078 145,617 94,652 49,121 NA NA Total Dispositions (71,202) (62,814) (185,744) (123,000) (64,843) (40,517) NA NA Ending Inventory 135,719 153,224 162,489 86,155 63,538 33,729 NA NA (1) Select Midwest states are Illinois, Indiana, Michigan and Ohio. REO Net Sales Prices Compared With Unpaid Principal Balances of Mortgage Loans 2011 Q2 2011 Q1 2010 2009 2008 2007 2006 2005 55% 54% 57% 55% 68% 78% 83% 87% 16

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 Guaranty Book of Business (1) 41,075 $189.0 100% 0.46% 100% 100% Credit Enhanced Loans: Credit Enhanced 36,821 $169.3 90% 0.43% 68% 77% Non-Credit Enhanced 4,254 $19.7 10% 0.80% 32% 23% Originating loan-to-value ratio: (3) Less than or equal to 70% 25,552 $98.5 52% 0.19% 8% 12% Greater than 70% and less than or equal to 80% 12,160 $81.3 43% 0.80% 89% 80% Greater than 80% 3,363 $9.1 5% 0.50% 3% 8% Delegated Underwriting and Servicing (DUS ^®) Loans: (4) DUS ^® — Small Balance Loans (5) 7,601 $14.8 8% 0.50% 7% 6% DUS ^® — Non Small Balance Loans 11,197 $134.1 71% 0.31% 61% 76% DUS ^® — Total 18,798 $148.9 79% 0.33% 68% 82% Non-DUS — Small Balance Loans (5) 20,892 $17.8 9% 1.36% 10% 12% Non-DUS — Non Small Balance Loans 1,385 $22.3 12% 0.65% 22% 6% Non-DUS — Total 22,277 $40.1 21% 0.96% 32% 18% Maturity Dates: Loans maturing in 2011 600 $2.8 1% 2.33% 8% 1% Loans maturing in 2012 1,814 $11.9 6% 0.27% 15% 9% Loans maturing in 2013 3,366 $19.2 10% 0.39% 10% 6% Loans maturing in 2014 2,698 $15.1 8% 0.13% 11% 11% Loans maturing in 2015 3,274 $16.8 9% 0.59% 4% 6% Other maturities 29,323 $123.1 65% 0.48% 52% 68% Loan Size Distribution: Less than or equal to $750K 12,390 $4.0 2% 1.35% 2% 4% Greater than $750K and less than or equal to $3M 15,014 $22.1 12% 1.09% 16% 14% Greater than $3M and less than or equal to $5M 4,763 $17.3 9% 0.76% 17% 6% Greater than $5M and less than or equal to $25M 7,892 $79.0 42% 0.49% 48% 55% Greater than $25M 1,016 $66.6 35% 0.09% 17% 21% (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) Weighted Average Original loan-to-value ratio is 66% as of June 30, 2011. (4) Under the Delegated Underwriting and Servicing, or DUS ^®, product line, Fannie Mae purchases individual, newly originated mortgages from specially approved DUS lenders using DUS underwriting standards and/or DUS loan documents. Because DUS lenders generally share the risk of loss with Fannie Mae, they are able to originate, underwrite, close and service most loans without our pre-review. (5) Multifamily loans under $3 million and up to $5 million in high income areas. 17

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% 0.20% 2005 2009 0.00% 0.00% 2010 Year Year Year Year Year Year Year &nbs p; Year Year Year Year Year Year Year 1 2 3 4 5 6 7 1 2 3 4 5 6 7 2005 2006 2007 2008 2009 2010 2005 2006 2007 2008 2009 % of Multifamily # of Seriously % of 2010% of 2011 YTD Unpaid Principal % Seriously As of June 30, 2011 Guaranty Book of Delinquent Multifamily Multifamily Balance (Billions) Delinquent (2) Business (UPB) loans (2) Credit Losses Credit Losses Total Multifamily Guaranty Book of Business (1) $189.0 100% 0.46% 394 100% 100% By Acquisition Year: 2011 $10.5 6% — — — - 2010 $17.3 9% 0.04% 1 — - 2009 $18.5 10% 0.05% 3 2% 13% 2008 $31.9 17% 0.91% 98 17% 30% 2007 $40.4 21% 0.54% 149 38% 24% 2006 $18.3 10% 0.49% 43 17% 6% 2005 $15.4 8% 0.24% 26 2% 5% Prior to 2005 $36.7 19% 0.61% 74 25% 23% (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. 18

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 Business (1) $189.0 100% 0.46% 100% 100% Region: (3) Midwest $15.9 8% 0.98% 10% 14% Northeast $41.4 22% 0.38% 5% 4% Southeast $37.0 20% 0.81% 40% 46% Southwest $30.1 16% 0.50% 40% 25% Western $64.6 34% 0.18% 6% 10% Top Five States by UPB: California $50.9 27% 0.19% 2% 1% New York $24.7 13% 0.28% 1% 0% Texas $14.8 8% 0.39% 12% 19% Florida $9.1 5% 1.46% 13% 10% Virginia $7.4 4% — 0% 0% Asset Class: (4) Conventional/Co-op $168.0 89% 0.52% 100% 93% Seniors Housing $14.2 8% — — - Manufactured Housing $4.5 2% 0% — 0% Student Housing $2.3 1% 0.14% — 7% Targeted Affordable Segment: Privately Owned with Subsidy (5) $25.9 14% 0.35% 6% 16% DUS & Non-DUS Lenders: DUS Lender: Bank (Direct, Owned Entity, or Subsidiary) $92.7 49% 0.51% 44% 42% DUS Lender Non-Bank Financial Institution $79.5 42% 0.35% 33% 57% Non-DUS Lender: Bank (Direct, Owned Entity, or Subsidiary) $15.4 8% 0.82% 15% 0% Non-DUS Lender: Non-Bank Financial Institution $1.1 1% — 9% 1% Non-DUS Lender: Public Agency/Non Profit $0.2 0% 0.48% 0% 0% (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 included in each region, refer to Fannie Mae’s 2011 Q2 Form 10-Q. (4) Asset Class Definitions: Conventional/Co-Op Housing: Privately owned multifamily properties or multifamily properties in which the residents collectively own the property through their shares in the cooperative corporation. Seniors Housing: Multifamily rental properties for senior citizens. Manufactured Housing: A residential real estate development consisting of housing sites for manufactured homes, related amenities, utility services, landscaping, roads and other infrastructure. Student Housing: Multifamily rental properties in which 80% or more of the units are leased to undergraduate and/or graduate students. (5) The Multifamily Affordable Business Channel focuses on financing properties which are under a regulatory agreement that provides long-term affordability, such as properties with rent subsidies or income restrictions. 19

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 than $1 million in credit losses. Shading: Represent Unpaid Principal Balance (UPB) for each state as of June 30, 2011. (1) Excludes loans that have been defeased. Defeasance is prepayment of a loan through substitution of collateral. (2) Excludes $19M of credit related income from other Multifamily Mortgage Business investments. 20