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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): May 13, 2003

Federal National Mortgage Association
(Exact name of registrant as specified in its charter)

Fannie Mae

         
Federally chartered corporation       0-50231       52-0883107
(State or other jurisdiction of incorporation)   (Commission
File Number) 		  (IRS Employer
Identification Number)
       
3900 Wisconsin Avenue, NW
Washington, DC		   20016
(Zip Code)		  
(Address of principal executive offices)    

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

 

 

Item 5. Other Events.

     On May 13, 2003, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release for the month of April 2003, a copy of which is filed as Exhibit 99.1 to this report, and which is incorporated herein by reference.

Item 7. Financial Statements and Exhibits.

  (a)   Not applicable.
  (b)   Not applicable
  (c)   Exhibits.

  An index to exhibits has been filed as part of this Report immediately following the signature page, and is incorporated herein by reference.

 

 

SIGNATURES

     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/ Leanne G. Spencer
Leanne G. Spencer
Senior Vice President and Controller		  

Date: May 13, 2003

 

 

EXHIBIT INDEX

The following is a list of the Exhibits furnished herewith.

     
Exhibit Number   Description of Exhibit
     
     
99.1   Monthly summary release issued by Fannie Mae on May 13, 2003.

 

exv99w1
 

Fannie Mae
3900 Wisconsin Avenue, NW
Washington, DC 20016-2892

Monthly Summary

Published monthly by Fannie Mae’s
Office of Investor Relations

APRIL 2003

Fannie Mae’s regular monthly financial disclosures for April reflect the company’s continued record of disciplined growth.

HIGHLIGHTS FOR APRIL INCLUDE:

•   Total business volume rose to a record high of $139.0 billion, up almost 28 percent from March.
 
•   Fannie Mae’s book of business grew at an extremely strong compound annual rate of 36.6 percent.
 
•   Outstanding MBS grew at the highest rate in a decade, at a compound annual rate of 67.6 percent.
 
•   Portfolio purchases rose to $43.0 billion from $34.3 billion while liquidations rose to $40.5 billion. These two factors led to mortgage portfolio growth of 2.9 percent annualized rate.
 
•   Retained commitments rose slightly to $41.4 billion, while outstanding portfolio commitments were a strong $72.0 billion at month-end.
 
•   Interest rate risk measures continued to be favorable.
 
•   The conventional single-family delinquency rate fell two basis points to 0.57 percent. The multifamily delinquency rate rose three basis points to 0.09 percent.

 

BUSINESS BALANCES AND GROWTH ($ in Millions)
                                                         
    Mortgage Portfolio Balance 1/   Outstanding MBS2/   Book of Business        
   
 
 
       
    End Balance   Growth Rate 3/   End Balance   Growth Rate 3/   End Balance   Growth Rate 3/        
May 2002
   $ 741,084       3.0 %   $ 925,419       21.4 %   $ 1,666,503       12.8 %        
June 2002
     740,744       -0.5 %     945,497       29.4 %     1,686,241       15.2 %        
July 2002
     743,025       3.8 %     960,114       20.2 %     1,703,140       12.7 %        
August 2002
     746,101       5.1 %     974,021       18.8 %     1,720,122       12.6 %        
September 2002
     751,423       8.9 %     990,393       22.1 %     1,741,816       16.2 %        
October 2002
     751,347       -0.1 %     1,018,303       39.6 %     1,769,650       21.0 %        
November 2002
     760,759       16.1 %     1,019,031       .9 %     1,779,790       7.1 %        
December 2002
     790,800       59.2 %     1,029,456       13.0 %     1,820,256       31.0 %        
YTD 2002
   $ 790,800       11.9 %   $ 1,029,456       19.9 %   $ 1,820,256       16.4 %        
January 2003
   $ 810,609       34.6 %   $ 1,047,903       23.8 %   $ 1,858,512       28.3 %        
February 2003
     816,747       9.5 %     1,073,564       33.7 %     1,890,311       22.6 %        
March 2003
     815,964       -1.1 %     1,107,520       45.3 %     1,923,484       23.2 %        
April 2003
     817,894       2.9 %     1,156,205       67.6 %     1,974,099       36.6 %        
YTD 2003
   $ 817,894       10.6 %   $ 1,156,205       41.7 %   $ 1,974,099       27.6 %        

BUSINESS VOLUMES ($ in Millions)
                                                                 
    MBS                        
   
                       
                    Total   Fannie Mae   MBS Issues                        
    Single-family   Multifamily   Lender-originated   MBS   Acquired   Portfolio   Business        
    Issues   Issues   Issues 4/   Purchases 5/   by Others   Purchases   Volume        
May 2002
   $ 40,856     $ 597     $ 41,453     $ 8,396     $ 33,057     $ 17,432     $ 50,489          
June 2002
     42,641       579       43,220       8,231       34,989       16,310       51,299          
July 2002
     41,523       826       42,349       10,618       31,731       17,586       49,317          
August 2002
     49,941       548       50,489       14,447       36,042       23,123       59,165          
September 2002
     63,426       597       64,023       19,204       44,819       33,518       78,338          
October 2002
     80,624       699       81,323       19,043       62,280       32,853       95,132          
November 2002
     80,375       951       81,326       33,535       47,791       47,807       95,599          
December 2002
     94,054       3,777       97,831       51,947       45,884       67,891       113,775          
YTD 2002
   $ 710,961     $ 12,336     $ 723,299     $ 245,039     $ 478,260     $ 370,641     $ 848,901          
January 2003
   $ 105,256     $ 1,390     $ 106,646     $ 42,858     $ 63,788     $ 57,281     $ 121,069          
February 2003
     92,720       465       93,185       27,530       65,655       40,420       106,075          
March 2003
     92,023       719       92,742       18,252       74,490       34,304       108,794          
April 2003
     120,976       667       121,643       25,648       95,995       43,028       139,024          
YTD 2003
   $ 410,975     $ 3,241     $ 414,216     $ 114,288     $ 299,928     $ 175,033     $ 474,962          

MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions)
                                                         
            Purchases            
           
  Mortgage        
    Retained   Single-           Total           Portfolio        
    Commitments   family   Multifamily   Purchases   Net Yield 6/   Sales        
May 2002
   $ 18,181     $ 16,695     $ 737     $ 17,432       6.49 %   $ 223          
June 2002
     22,165       15,897       414       16,310       6.52 %     2,470          
July 2002
     29,724       17,173       413       17,586       6.27 %     51          
August 2002
     41,263       22,650       473       23,123       5.97 %     2          
September 2002
     57,039       33,112       406       33,518       5.75 %     1,383          
October 2002
     67,342       32,297       556       32,853       5.61 %     951          
November 2002
     52,766       47,131       676       47,807       5.52 %     142          
December 2002
     29,214       66,703       1,188       67,891       5.42 %     293          
YTD 2002
   $ 388,059     $ 363,149     $ 7,492     $ 370,641       5.92 %   $ 9,582          
January 2003
   $ 25,097     $ 56,402     $ 879     $ 57,281       5.44 %   $ 60          
February 2003
     51,238       39,814       606       40,420       5.32 %     780          
March 2003
     39,548       33,621       683       34,304       5.20 %     431          
April 2003
     41,427       42,395       633       43,028       5.20 %     646          
YTD 2003
   $ 157,310     $ 172,232     $ 2,801     $ 175,033       5.31 %   $ 1,917          

1/ Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $529 billion of Fannie Mae MBS as of April 30, 2003.
2/ MBS held by investors other than Fannie Mae’s portfolio.
3/ Growth rates are compounded.
4/ Excludes MBS issued from Fannie Mae’s portfolio, which was $829 million in April 2003.
5/ Included in total portfolio purchases.
6/ Yields shown on a taxable-equivalent basis.

 

LIQUIDATIONS ($ in Millions)
                                 
    Mortgage Portfolio     Outstanding MBS  
    Liquidations     Liquidations  
   
   
 
  Amount   Annual Rate   Amount   Annual Rate
May 2002
     15,414       24.99 %     18,357       24.00 %
June 2002
     14,193       22.99 %     17,383       22.30 %
July 2002
     15,265       24.69 %     17,153       21.60 %
August 2002
     20,059       32.33 %     22,137       21.47 %
September 2002
     26,824       42.99 %     29,797       36.40 %
October 2002
     31,990       51.09 %     35,321       42.20 %
November 2002
     38,265       60.73 %     47,184       55.58 %
December 2002
     37,569       58.11 %     42,714       50.04 %
YTD 2002
   $ 277,419       37.35 %   $ 324,177       34.37 %
January 2003
   $ 37,423       56.09 %   $ 45,343       52.38 %
February 2003
     33,517       49.43 %     40,771       46.12 %
March 2003
     34,668       50.96 %     40,915       45.02 %
April 2003
     40,465       59.44 %     47,956       50.84 %
YTD 2003
   $ 146,072       54.07 %   $ 174,985       48.48 %

DELINQUENCY RATES
                         
Single-family Conventional 1/      
     
No Credit   Credit           Multifamily
Enhancement 2/   Enhancement 3/   Total 4/   Total 5/
0.27%
     0.99 %     0.48 %     0.27 %
0.27%
     1.02 %     0.49 %     0.12 %
0.27%
     1.04 %     0.49 %     0.10 %
0.28%
     1.07 %     0.51 %     0.10 %
0.29%
     1.12 %     0.53 %     0.08 %
0.29%
     1.16 %     0.53 %     0.08 %
0.30%
     1.24 %     0.56 %     0.10 %
0.31%
     1.29 %     0.57 %     0.05 %
0.32%
     1.34 %     0.59 %     0.03 %
0.31%
     1.36 %     0.59 %     0.06 %
0.30%
     1.34 %     0.57 %     0.09 %

 

AVERAGE INVESTMENT BALANCES ($ in Millions)
                         
    Net     Liquid     Total Net  
    Mortgages     Investments     Investments  
May 2002
     733,400       72,043       805,443  
June 2002
     735,741       69,478       805,219  
July 2002
     736,718       67,460       804,178  
August 2002
     737,600       62,434       800,034  
September 2002
     742,119       63,856       805,975  
October 2002
     746,529       64,923       811,452  
November 2002
     749,432       76,959       826,391  
December 2002
     773,717       85,206       858,923  
YTD 2002
   $ 735,943     $ 68,658     $ 804,601  
January 2003
   $ 794,278     $ 75,849     $ 870,127  
February 2003
     808,377       63,706       872,083  
March 2003
     811,757       61,851       873,608  
April 2003
     809,928       75,874       885,804  
YTD 2003
   $ 806,085     $ 69,320     $ 875,406  

INTEREST RATE RISK DISCLOSURES
                                         
            Rate Level Shock (50bp) 7/     Rate Slope Shock (25bp) 7/  
           
   
 
    Effective     1 Year Portfolio     4 Year Portfolio     1 Year Portfolio     4 Year Portfolio  
    Duration Gap 6/     Net Interest     Net Interest     Net Interest     Net Interest  
    (in months)     Income at Risk     Income at Risk     Income at Risk     Income at Risk  
May 2002
     -1       1.9 %     3.4 %     1.9 %     4.4 %
June 2002
     -4       1.2 %     2.4 %     3.0 %     5.7 %
July 2002
     -9       3.8 %     5.1 %     4.5 %     6.6 %
August 2002
     -14       6.5 %     6.7 %     6.7 %     8.2 %
September 2002
     -10       4.4 %     3.9 %     5.3 %     6.4 %
October 2002
     -6       2.7 %     2.0 %     6.0 %     7.5 %
November 2002
     2       6.3 %     4.9 %     3.5 %     5.9 %
December 2002
     -5       0.6 %     1.6 %     4.7 %     6.6 %
January 2003
     -3       2.9 %     3.8 %     3.5 %     5.7 %
February 2003
     -5       3.6 %     1.3 %     4.9 %     6.8 %
March 2003
     -2       1.7 %     2.8 %     4.4 %     6.7 %
April 2003
     -2       2.1 %     2.5 %     4.6 %     6.5 %

1/ Includes conventional loans three or more months delinquent or in foreclosure process as a percent of the number of loans.
2/ Loans without primary mortgage insurance or any credit enhancements.
3/ Loans with primary mortgage insurance and other credit enhancements.
4/ Total of single-family non-credit enhanced and credit enhanced loans.
5/ Includes loans two or more months delinquent as a percent of loan dollars and includes the total credit book of business.
6/ Effective January 2003, the duration gap is a weighted average for the month. Prior to 2003, the duration gap was calculated on the last day of the month.
7/ Expresses projected core net interest income under the more adverse of the interest rate and yield curve scenarios as a percentage of projected net interest income without the rate shocks.

The information presented in this report is unaudited and includes in the opinion of management all adjustments (consisting of normally recurring accruals) necessary for a fair presentation. The data should be read in conjunction with audited financial statements that are available from the corporation. For more information regarding Fannie Mae, or for a more detailed quarterly report on Fannie Mae activity please visit www.fanniemae.com or contact us at (202) 752-7115.

 


Voluntary Initiatives Disclosure
April 2003

INTEREST RATE RISK

                                         
            Rate Level Shock (50bp)     Rate Slope Shock (25bp)  
           
   
 
    Effective   1 Year Portfolio   4 Year Portfolio   1 Year Portfolio   4 Year Portfolio
    Duration Gap   Net Interest   Net Interest   Net Interest   Net Interest
    (in months)   Income at Risk   Income at Risk   Income at Risk   Income at Risk
2000
                                        
1st Qtr
     5       0.1 %     4.3 %     1.0 %     3.0 %
2nd Qtr
     4       0.6 %     4.8 %     1.0 %     3.0 %
3rd Qtr
     2       0.8 %     4.3 %     1.0 %     3.1 %
4th Qtr
     -3       0.5 %     2.0 %     3.0 %     4.3 %
2001
                                        
1st Qtr
     1       3.8 %     3.2 %     3.1 %     4.7 %
2nd Qtr
     5       1.7 %     4.4 %     0.9 %     2.0 %
3rd Qtr
     -1       2.4 %     3.6 %     2.8 %     4.0 %
4th Qtr
     5       5.1 %     4.5 %     2.4 %     4.3 %
2002
                                        
1st Qtr
     5       3.8 %     6.1 %     1.0 %     3.1 %
2nd Qtr
     -4       1.2 %     2.4 %     3.0 %     5.7 %
3rd Qtr
     -10       4.4 %     3.9 %     5.3 %     6.4 %
4th Qtr
     -5       0.6 %     1.6 %     4.7 %     6.6 %
2003
                                        
January
     -3       2.9 %     3.8 %     3.5 %     5.7 %
February
     -5       3.6 %     1.3 %     4.9 %     6.8 %
March
     -2       1.7 %     2.8 %     4.4 %     6.7 %
April
     -2       2.1 %     2.5 %     4.6 %     6.5 %


•   Effective duration gap — measures the extent the effective duration of the portfolio’s assets and liabilities are matched. A positive duration gap indicates that the effective duration of our assets exceeds the effective duration of our liabilities by that amount, while a negative duration gap indicates the opposite.

    Effective January 2003, the duration gap is a weighted average for the month. Prior to 2003, the duration gap was calculated on the last day of the month.

•   Net interest income at risk — compares Fannie Mae’s projected change in portfolio net interest income under the financially more adverse of a 50 basis point increase and decrease in interest rates. Fannie Mae also compares the expected change in portfolio net interest income for the more adverse of a 25 basis point decrease and increase in the slope of the yield curve. Both measurements are done for one-year and four-year periods.

    A positive number indicates the percent by which net interest income could be reduced by the increased rate shock. A negative number would indicate the percent by which net interest income could be increased by the shock.

 

LIQUIDITY

         
Ratio of liquid to total assets     Ratio  
 
December 31, 2000
     8.2 %
March 31, 2001
     6.4 %
June 30, 2001
     8.0 %
September 30, 2001
     7.8 %
December 31, 2001
     9.5 %
March 31, 2002
     7.1 %
June 30, 2002
     7.8 %
September 30, 2002
     6.4 %
December 31, 2002
     6.9 %
March 31, 2003
     6.7 %


•   Fannie Mae will maintain at least three months of liquidity to ensure the company can meet all of its obligations in any period of time in which it does not have access to the debt markets. Fannie Mae also will comply with the Basel Committee on Banking Supervision’s fourteen principles for sound liquidity management.

•   To fulfill its liquidity commitment, Fannie Mae will maintain more than five percent of its on-balance sheet assets in high-quality, liquid, non-mortgage securities.

 

CREDIT RISK

                 
    Before     After  
Lifetime credit loss   credit     credit  
sensitivity as of:   enhancements     enhancements  
 
   
 
  (Dollars in millions)                
December 31, 2000
   $ 1,065     $ 295  
March 31, 2001
   $ 1,061     $ 307  
June 30, 2001
   $ 1,045     $ 332  
September 30, 2001
   $ 1,349     $ 467  
December 31, 2001
   $ 1,332     $ 487  
March 31, 2002
   $ 1,285     $ 425  
June 30, 2002
   $ 1,361     $ 465  
September 30, 2002
   $ 1,738     $ 501  
December 31, 2002 /1
   $ 1,838     $ 596  


•   Lifetime credit loss sensitivity measures the sensitivity of Fannie Mae’s expected future credit losses to an immediate five percent decline in home values for all single-family mortgages held in Fannie Mae’s retained portfolio and underlying guaranteed MBS.

•   Credit loss sensitivity is reported in present value terms and measures expected losses in two ways: before receipt of private mortgage insurance claims and any other credit enhancements and after receipt of expected mortgage insurance and other credit enhancements.

 

RISK-BASED CAPITAL

                         
    Risk-based     Total        
Risk-based capital   Capital     Capital     Capital  
stress test   Requirement     Held     Surplus  
 
   
   
 
  (Dollars in billions)                        
September 30, 2002
   $ 21.440     $ 27.278     $ 5.838  
December 31, 2002 1/
     17.434       28.871       11.437  


•   The risk-based capital standard became effective on September 13, 2002. The standard uses a stress test to determine the amount of total capital the company needs to hold in order to protect against credit and interest rate risk, and requires an additional 30 percent capital for management and operations risk. The higher of Fannie Mae’s risk-based or minimum capital standard is binding.

 

1 / Most recent data available.