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 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
   (Commission   (IRS Employer
of incorporation)
   File Number)   Identification Number)
     
3900 Wisconsin Avenue, NW
  
20016
Washington, DC
  

(Zip Code)
(Address of principal executive offices)
        

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

 

Item 5. Other Events.

     On August 13, 2003, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release for the month of July 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/ Janet L. Pennewell
       Janet L. Pennewell
       Vice President

Date: August 13, 2003

 

 

EXHIBIT INDEX

The following is a list of the Exhibits furnished herewith.

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

 

exv99w1
 

Exhibit 99.1

JULY 2003

Fannie Mae’s summary of monthly business volumes, delinquency rates, and interest rate risk measures reflect the company’s continued record of disciplined growth.

HIGHLIGHTS FOR JULY INCLUDE:

•   Total business volume rose to $144.1 billion, the highest on record, from $142.4 billion in June.

•   Purchases for the mortgage portfolio rose to a record $72.4 billion, up 76 percent from last month.

•   Mortgage portfolio growth surged to a 41.1 percent annualized rate, even as liquidations rose to an annualized rate of 70.3 percent.

•   Retained commitments hit a record for the third consecutive month, rising to $77.7 billion. Outstanding portfolio commitments rose to $139.0 billion from $134.6 billion at the end of June. These commitments should result in strong portfolio growth in future months.

•   The conventional single-family delinquency rate rose one basis point to 0.56 percent. The multifamily delinquency rate fell two basis points to 0.13 percent.

•   The duration gap on Fannie Mae’s mortgage portfolio averaged a positive six months during July.

     NOTE: A further discussion of this month’s financial data is attached.

 

BUSINESS BALANCES AND GROWTH ($ in Millions)
                                                         
            Mortgage Portfolio, Gross 1/   Outstanding MBS 2/   Book of Business
           
 
 
            End Balance   Growth Rate 3/   End Balance   Growth Rate 3/   End Balance   Growth Rate 3/
           
 
 
 
 
 
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 %
May 2003
             815,560       -3.4 %     1,186,128       35.9 %     2,001,688       18.1 %
June 2003
             812,467       -4.5 %     1,237,461       66.3 %     2,049,928       33.1 %
July 2003
             836,104       41.1 %     1,248,869       11.6 %     2,084,973       22.6 %
 
            
     
     
     
     
     
 
YTD 2003
           $ 836,104       10.0 %   $ 1,248,869       39.3 %   $ 2,084,973       26.2 %
 
            
     
     
     
     
     
 

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
   
 
 
 
 
 
 
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  
May 2003
     107,447       989       108,436       23,180       85,256       43,749       129,005  
June 2003
     121,457       1,449       122,906       21,655       101,251       41,183       142,434  
July 2003
     118,545       1,420       119,965       48,266       71,699       72,447       144,146  
 
    
     
     
     
     
     
     
 
YTD 2003
   $ 758,424     $ 7,099     $ 765,523     $ 207,389     $ 558,134     $ 332,411     $ 890,545  
 
    
     
     
     
     
     
     
 

MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions)
                                                 
            Purchases    
           
  Mortgage
    Retained   Single-           Total           Portfolio
    Commitments   family   Multifamily   Purchases   Net Yield 6/   Sales
   
 
 
 
 
 
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       S 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  
May 2003
     73,784       42,795       954       43,749       5.12 %     1,894  
June 2003
     75,515       40,306       877       41,182       4.96 %     2,885  
July 2003
     77,679       70,246       2,201       72,447       4.86 %     513  
 
    
     
     
     
     
     
 
YTD 2003
   $ 384,288     $ 325,578     $ 6,833     $ 332,411       5.14 %   $ 7,209  
 
    
     
     
     
     
     
 
     
1/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $530 billion of Fannie Mae MBS as of July 31, 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 $2,047 million in July 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
   
 
 
 
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 %
May 2003
     44,203       64.95 %     57,226       58.64 %
June 2003
     41,279       60.85 %     52,607       52.09 %
July 2003
     48,309       70.33 %     60,611       58.51 %
 
    
     
     
     
 
YTD 2003
   $ 279,864       58.90 %   $ 345,429       52.13 %
 
    
     
     
     
 

DELINQUENCY RATES
                           
  Single-family Conventional 1/  
 
 
  Non-Credit   Credit           Multifamily
  Enhancement 2/   Enhancement 3/   Total 4/   Total 5/
 
 
 
 
August 2002
0.28%
     1.07 %     0.51 %     0.10 %
September 2002
0.29%
     1.12 %     0.53 %     0.08 %
October 2002
0.29%
     1.16 %     0.53 %     0.08 %
November 2002
0.30%
     1.24 %     0.56 %     0.10 %
December 2002
0.31%
     1.29 %     0.57 %     0.05 %
January 2003
0.32%
     1.34 %     0.59 %     0.03 %
February 2003
0.31%
     1.36 %     0.59 %     0.06 %
March 2003
0.30%
     1.34 %     0.57 %     0.09 %
April 2003
0.29%
     1.34 %     0.56 %     0.09 %
May 2003
0.29%
     1.38 %     0.55 %     0.15 %
June 2003
0.29%
     1.42 %     0.56 %     0.13 %

AVERAGE INVESTMENT BALANCES ($ in Millions)
                         
    Net   Liquid   Total Net
    Mortgages   Investments   Investments
   
 
 
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  
May 2003
     806,511       83,895       890,406  
June 2003
     808,205       86,136       894,341  
July 2003
     813,728       82,011       895,739  
 
    
     
     
 
YTD 2003
   $ 807,541     $ 75,617     $ 883,158  
 
    
     
     
 

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
   
 
 
 
 
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 %
May 2003
     -5       0.7 %     2.2 %     5.3 %     7.1 %
June 2003
     -1       2.1 %     6.6 %     3.9 %     5.9 %
July 2003
     6       9.3 %     8.7 %     1.9 %     2.9 %
     
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 and notes to financial statements that are available from the corporation. For more information regarding Fannie Mae, or for a more detailed quarterly report on Fannie Mae’s activity, please visit www.fanniemae.com or contact us at (202) 752-7115.

 

Statement by Jayne Shontell, Senior Vice President for Investor Relations
On July 2003 Financial Data

As the results of Fannie Mae’s Monthly Summary for July demonstrate, the company’s disciplined growth strategies resulted in solid business performance in a period of historic volatility, which included the largest change in mortgage rates over the course of one month since 1987.

Highlights for the month included record business volume, record commitments to purchase mortgages, exceptionally strong annualized portfolio growth, and a duration gap within the company’s preferred range.

Total business volume rose to $144.1 billion in July compared with $142.4 billion in June. In contrast to prior months, July’s business volumes were split evenly between mortgage-backed security issues and purchases for portfolio. Record July mortgage purchases of $72.4 billion more than offset $48.3 billion of liquidations, causing Fannie Mae’s portfolio to increase to $836.1 billion from $812.5 billion at the end of June, an annualized growth rate of 41.1 percent.

Mortgage commitments increased to $77.7 billion in July from $75.5 billion in June, as extreme movements in interest rates resulted in favorable mortgage-to-debt spreads and increased selling of existing mortgage product. The company expects July’s retained commitments, coupled with the continued high level of commitments outstanding, to have a substantial positive impact on portfolio growth during the next several months.

Fannie Mae continued to benefit from its adherence to the financial discipline objectives detailed in its second quarter earnings press release and conference call.

The company discloses on a monthly basis five distinct measures that it uses to determine appropriate strategies for managing the portfolio’s interest rate risk. Despite historic levels of interest rate volatility Fannie Mae’s duration gap, at +6 months, remained within the company’s preferred range. The company’s two measures of net interest income at risk used to gauge the effect of shocks in the slope of the yield curve improved in July. The net interest income at risk measures that gauge the impacts over 1- and 4-year time frames of shocks to the level of interest rates worsened, as would be expected given the 114 basis point rise in 10-year swap rates during the month. The July interest rate risk measures do not reflect the impacts of either portfolio actions taken or declines in market interest rates since the month end.

The overall strength of Fannie Mae’s financial data for July demonstrates the company’s ability and capacity –even in historically volatile periods—to achieve the objectives of its mission by providing both liquidity and a stabilizing presence in the markets we serve.

 

Voluntary Initiatives Disclosure
July 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 %
May
     -5       0.7 %     2.2 %     5.3 %     7.1 %
June
     -1       2.1 %     6.6 %     3.9 %     5.9 %
July `
     6       9.3 %     8.7 %     1.9 %     2.9 %

•   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%
June 30, 2003
  
7.5%

•   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
   $ 1,838     $ 596  
March 31, 2003 /1
   $ 1,798     $ 635  

•   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 CAPTIAL
                           
      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
     17.434       28.871       11.437  
March 31, 2003 1/
     16.555       30.309       13.754  

•   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.