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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): December 15, 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    
Washington, DC   20016
(Address of principal executive offices)   (Zip Code)

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

 

 

Item 9. Regulation FD Disclosure.

     On December 15, 2003, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release for the month of November 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: December 15, 2003

 

 

EXHIBIT INDEX

The following is a list of the Exhibits furnished herewith.

     
Exhibit Number   Description of Exhibit
99.1   Monthly summary release and voluntary initiatives disclosure for November 2003 issued by Fannie Mae on December 15, 2003.

 

exv99w1
 

FANNIE MAE
MONTHLY SUMMARY
NOVEMBER 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 NOVEMBER INCLUDE:

•   Business volume was $75.2 billion, compared with $100.3 billion the previous month.

•   Outstanding MBS grew at a compound annual rate of 26.8 percent.

•   The mortgage portfolio declined at a 7.9 percent annualized rate. The company now expects portfolio growth to be negative for the fourth quarter. Year-to-date portfolio growth was 15.5% through November 30.

•   Retained commitments rose to $13.1 billion, still reflecting narrow mortgage to debt spreads during the month. Mortgage portfolio purchases in November were $17.6 billion.

•   Liquidations for both the mortgage portfolio and MBS outstanding continued to decline this month. November portfolio liquidations were $22.4 billion, while MBS liquidations were $34.2 billion.

•   The duration gap on Fannie Mae’s mortgage portfolio averaged a negative one month.

•   The conventional single-family delinquency rate fell one basis point to 0.57 percent. The multifamily delinquency rate remained unchanged at 0.12 percent.

 

BUSINESS BALANCES AND GROWTH ($ in Millions)   1/
                                                 
    Mortgage Portfolio, Gross 2, 3/     Outstanding MBS 4/     Book of Business 3/  
    End Balance     Growth Rate 5/     End Balance     Growth Rate 5/     End Balance     Growth Rate 5/  
 
  
   
   
   
   
   
 
December 2002
   $ 794,253       63.6 %   $ 1,029,456       13.0 %   $ 1,823,709       32.6 %
 
  
   
   
   
   
   
 
Full year 2002
   $ 794,253       12.1 %   $ 1,029,456       19.9 %   $ 1,823,709       16.4 %
 
  
   
   
   
   
   
 
January 2003
   $ 812,345       31.0 %   $ 1,047,903       23.8 %   $ 1,860,248       26.9 %
February 2003
     817,759       8.3 %     1,073,564       33.7 %     1,891,323       22.0 %
March 2003
     817,656       (.2 %)     1,107,520       45.3 %     1,925,176       23.7 %
April 2003
     819,774       3.2 %     1,156,205       67.6 %     1,975,979       36.7 %
May 2003
     817,404       (3.4 %)     1,186,128       35.9 %     2,003,532       18.1 %
June 2003
     814,882       (3.6 %)     1,237,461       66.3 %     2,052,343       33.5 %
July 2003
     838,236       40.4 %     1,248,869       11.6 %     2,087,104       22.3 %
August 2003
     865,461       46.8 %     1,227,115       (19.0 %)     2,092,576       3.2 %
September 2003
     917,123       100.5 %     1,211,079       (14.6 %)     2,128,202       22.5 %
October 2003
     912,658       (5.7 %)     1,239,925       32.6 %     2,152,583       14.6 %
November 2003
     906,380       (7.9 %)     1,264,673       26.8 %     2,171,053       10.8 %
 
  
   
   
   
   
   
 
YTD 2003
   $ 906,380       15.5 %   $ 1,264,673       25.2 %   $ 2,171,053       20.9 %
 
  
   
   
   
   
   
 

BUSINESS VOLUMES ($ in Millions)   1/
                                                         
    MBS              
   
             
                    Total     Fannie Mae     MBS Issues              
    Single-family     Multifamily     Lender-originated     MBS     Acquired     Portfolio     Business  
    Issues     Issues     Issues 6/     Purchases 7/     by Others     Purchases     Volume  
   
   
   
   
   
   
   
 
December 2002
   $ 94,054     $ 3,777     $ 97,831     $ 51,947     $ 45,884     $ 67,891     $ 113,775  
 
  
   
   
   
   
   
   
 
Full year 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  
November 2003
     56,840       3,657       60,497       2,888       57,609       17,596       75,205  
 
  
   
   
   
   
   
   
 
YTD 2003
   $ 1,119,001     $ 18,753     $ 1,137,754     $ 347,187     $ 790,567     $ 559,077     $ 1,349,644  
 
  
   
   
   
   
   
   
 

MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions)   /1
                                                 
            Purchases        
           
    Mortgage  
    Retained     Single-             Total             Portfolio  
    Commitments     family     Multifamily     Purchases     Net Yield 8/     Sales  
   
   
   
   
   
   
 
December 2002
   $ 29,214     $ 66,703     $ 1,188     $ 67,891       5.42 %   $ 293  
 
  
   
   
   
   
   
 
Full year 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  
November 2003
     13,104       16,540       1,056       17,596       4.20 %     1,452  
 
  
   
   
   
   
   
 
YTD 2003
   $ 481,017     $ 547,420     $ 11,657     $ 559,077       5.01 %   $ 10,852  
 
  
   
   
   
   
   
 
     
1/   Represents unpaid principal balance.
2/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $568 billion of Fannie Mae MBS as of November 30, 2003.
3/   Prior periods have been revised to be consistent with changes to our balance sheet presentation we implemented during the third quarter of 2003.
4/   MBS held by investors other than Fannie Mae’s portfolio.
5/   Growth rates are compounded.
6/   Excludes MBS issued from Fannie Mae’s portfolio, which was $1,755 million in November 2003.
7/   Included in total portfolio purchases.
8/   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/  
 
  
   
   
   
   
   
   
   
 
December 2002
   $ 37,569       58.11 %   $ 42,714       50.04 %     0.31 %     1.29 %     0.57 %     0.05 %
 
  
   
   
   
   
   
   
   
 
Full year 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 %     0.29 %     1.56 %     0.57 %     0.12 %
November 2003
     22,438       29.60 %     34,214       32.78 %                                
 
  
   
   
   
                 
YTD 2003
   $ 432,628       55.99 %   $ 565,050       52.72 %                                
 
  
   
   
   
                 

AVERAGE INVESTMENT BALANCES ($ in Millions)
                                 
    Net     Liquid     Total Net          
    Mortgages     Investments     Investments          
   
   
   
         
December 2002
   $ 773,717     $ 85,206     $ 858,923  
 
  
   
   
 
Full year 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  
November 2003
     902,601       63,262       965,863  
 
  
   
   
 
YTD 2003
   $ 833,745     $ 75,946     $ 909,691  
 
  
   
   
 

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  
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 %
November 2003
  
-1
   3.7 %   2.7 %   3.7 %   6.1 %
     
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.

 

 

FannieMae LOGO

Voluntary Initiatives Disclosure
November 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 %
November
   -1     3.7 %   2.7 %   3.7 %   6.1 %

 
•		    
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.