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):   November 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 9.  Regulation FD Disclosure.

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

     This information, including the exhibits attached hereto, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, nor shall it be deemed incorporated by reference in any disclosure document of the Company, except as shall be expressly set forth by specific reference in such document.

 

 

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:  November 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 October 2003 issued by Fannie Mae on November 13, 2003.

 

exv99w1
 

OCTOBER 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.

Because of increased levels of actual and anticipated variability in performance measures on a month-to-month and quarter-to-quarter basis, management believes that it is important to view these measures on a year-to-date basis, and in the context of our longer-term outlook.

HIGHLIGHTS FOR OCTOBER INCLUDE:

•   Business volume was a strong $100.3 billion, compared with a record $145.6 billion the previous month.
 
•   Outstanding MBS grew at a compound annual rate of 32.6 percent. Portfolio growth declined at a 5.7 percent annualized rate as expected from the extraordinary growth rate of 107.0 percent in September. Year-to-date portfolio growth was 18.8% through October 31.
 
•   Retained commitments were $12.3 billion, reflecting a narrowing of mortgage to debt spreads during the month. Mortgage portfolio purchases in October were $27.6 billion. Outstanding commitments on October 31 were $13.2 billion compared with $29.6 billion on September 30.
 
•   Liquidations for both the mortgage portfolio and MBS outstanding continued to decline this month. October portfolio liquidations were $30.9 billion, while MBS liquidations were $45.0 billion.
 
•   The duration gap on Fannie Mae’s mortgage portfolio averaged a positive one month, unchanged from the previous month.
 
•   The conventional single-family delinquency rate remained unchanged at 0.58 percent. The multifamily delinquency rate fell one basis point to 0.12 percent.

 

BUSINESS BALANCES AND GROWTH ($ in Millions) 1/
                                                 
    Mortgage Portfolio, Gross 2/   Outstanding MBS 3/   Book of Business
    End Balance   Growth Rate 4/   End Balance   Growth Rate 4/   End Balance   Growth Rate 4/
   
 
 
 
 
 
November 2002
   $ 760,759       16.1 %   $ 1,019,031       0.9 %   $ 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 %
August 2003
     863,170       46.6 %     1,227,115       -19.0 %     2,090,285       3.1 %
September 2003
     917,123       107.0 %     1,211,079       -14.6 %     2,128,202       24.1 %
October 2003
     912,658       -5.7 %     1,239,925       32.6 %     2,152,583       14.6 %
YTD 2003
   $ 912,658       18.8 %   $ 1,239,925       25.0 %   $ 2,152,583       22.3 %

 

BUSINESS VOLUMES ($ in Millions) 1/
                                                         
    MBS                  
   
                 
                    Total   Fannie Mae   MBS Issues                
    Single-family   Multifamily   Lender-originated   MBS   Acquired   Portfolio   Business
    Issues   Issues   Issues 5/   Purchases 6/   by Others   Purchases   Volume
   
 
 
 
 
 
 
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  
August 2003
     108,866       796       109,662       54,295       55,367       82,656       138,023  
September 2003
     116,105       4,192       120,297       73,504       46,793       98,804       145,597  
October 2003
     78,765       3,009       81,774       9,110       72,664       27,609       100,273  
YTD 2003
   $ 1,062,160     $ 15,096     $ 1,077,256     $ 344,298     $ 732,958     $ 541,481     $ 1,274,439  

 

MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) /1
                                                 
            Purchases    
           
  Mortgage
    Retained   Single-           Total           Portfolio
    Commitments   family   Multifamily   Purchases   Net Yield 7/   Sales
   
 
 
 
 
 
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  
May 2003
     73,784       42,795       954       43,749       5.12 %     1,894  
June 2003
     75,515       40,306       877       41,183       4.96 %     2,885  
July 2003
     77,679       70,246       2,201       72,447       4.86 %     513  
August 2003
     43,351       81,255       1,401       82,656       4.83 %     384  
September 2003
     27,961       97,693       1,111       98,804       4.85 %     581  
October 2003
     12,313       26,353       1,256       27,609       4.98 %     1,227  
YTD 2003
   $ 467,913     $ 530,880     $ 10,601     $ 541,481       5.03 %   $ 9,401  

1/   Represents unpaid principal balance.
2/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $580 billion of Fannie Mae MBS as of October 31, 2003.
3/   MBS held by investors other than Fannie Mae’s portfolio.
4/   Growth rates are compounded.
5/   Excludes MBS issued from Fannie Mae’s portfolio, which was $2,528 million in October 2003.
6/   Included in total portfolio purchases.
7/   Yields shown on a taxable-equivalent basis.

 

 

             
 
LIQUIDATIONS ($ in Millions) /1     DELINQUENCY RATES
 
                                                                 
    Mortgage Portfolio   Outstanding MBS   Single-family Conventional 2/        
    Liquidations   Liquidations  
   
   
 
  Non-Credit   Credit           Multifamily
    Amount   Annual Rate   Amount   Annual Rate   Enhancement 3/   Enhancement 4/   Total 5/   Total 6/
   
 
 
 
 
 
 
November 2002
   $ 38,265       60.73 %   $ 47,184       55.58 %     0.30 %     1.24 %     0.56 %     0.10 %
December 2002
     37,569       58.11 %     42,714       50.04 %     0.31 %     1.29 %     0.57 %     0.05 %
YTD 2002
   $ 277,419       37.35 %   $ 324,177       34.37 %                                
 
January 2003
   $ 37,423       56.09 %   $ 45,343       52.38 %     0.32 %     1.34 %     0.59 %     0.03 %
February 2003
     33,517       49.43 %     40,771       46.12 %     0.31 %     1.36 %     0.59 %     0.06 %
March 2003
     34,668       50.96 %     40,915       45.02 %     0.30 %     1.34 %     0.57 %     0.09 %
April 2003
     40,465       59.44 %     47,956       50.84 %     0.29 %     1.34 %     0.56 %     0.09 %
May 2003
     44,203       64.95 %     57,226       58.64 %     0.29 %     1.38 %     0.55 %     0.15 %
June 2003
     41,279       60.85 %     52,607       52.09 %     0.29 %     1.42 %     0.56 %     0.13 %
July 2003
     48,309       70.33 %     60,611       58.51 %     0.29 %     1.47 %     0.57 %     0.13 %
August 2003
     55,220       77.99 %     76,854       74.50 %     0.29 %     1.52 %     0.58 %     0.13 %
September 2003
     44,244       59.65 %     63,577       62.58 %     0.29 %     1.56 %     0.58 %     0.12 %
October 2003
     30,862       40.48 %     44,975       44.04 %                                
YTD 2003
   $ 410,190       58.80 %   $ 530,836       54.89 %                                

 

AVERAGE INVESTMENT BALANCES ($ in Millions)
                         
    Net   Liquid   Total Net
    Mortgages   Investments   Investments
   
 
 
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  
August 2003
     832,100       95,607       927,708  
September 2003
     876,724       78,892       955,617  
October 2003
     906,989       68,317       975,305  
YTD 2003
   $ 826,860     $ 77,214     $ 904,074  

 

INTEREST RATE RISK DISCLOSURES
                                         
            Rate Level Shock (50bp)    8/   Rate Slope Shock (25bp)    8/
           
 
    Effective   1 Year Portfolio   4 Year Portfolio   1 Year Portfolio   4 Year Portfolio
    Duration Gap 7/   Net Interest   Net Interest   Net Interest   Net Interest
    (in months)   Income at Risk   Income at Risk   Income at Risk   Income at Risk
   
 
 
 
 
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 %
August 2003
     4       4.8 %     3.2 %     3.4 %     5.2 %
September 2003
     1       2.7 %     1.3 %     5.2 %     6.8 %
October 2003
     1       4.5 %     2.4 %     4.1 %     5.9 %

1/   Represents unpaid principal balance.
2/   Includes conventional loans three or more months delinquent or in foreclosure process as a percent of the number of loans.
3/   Loans without primary mortgage insurance or any credit enhancements.
4/   Loans with primary mortgage insurance and other credit enhancements.
5/   Total of single-family non-credit enhanced and credit enhanced loans.
6/   Includes loans two or more months delinquent as a percent of loan dollars and includes the total credit book of business.
7/   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.
8/   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.

 

 

Voluntary Initiatives Disclosure
October 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 %
August
     4       4.8 %     3.2 %     3.4 %     5.2 %
September
     1       2.7 %     1.3 %     5.2 %     6.8 %
October
     1       4.5 %     2.4 %     4.1 %     5.9 %

•   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 %
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 %
September 30, 2003
     5.6 %

•   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 investments.

 

CREDIT RISK
                 
    Before   After
Lifetime credit loss   credit   credit
sensitivity as of:   enhancements   enhancements
 
 
(Dollars in millions)                
December 31, 2000
   $ 1,065     $ 295  
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
   $ 1,798     $ 635  
June 30, 2003 (1)
   $ 2,084     $ 758  

•   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
     17.434       28.871       11.437  
March 31, 2003
     16.555       30.309       13.754  
June 30, 2003 (1)
     18.114       31.469       13.355  

•   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.