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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): February 17, 2004

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 February 17, 2004, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release and voluntary initiatives disclosure for the month of January 2004, 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: February 17, 2004

 


 

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 January 2004 issued by Fannie Mae on February 17, 2004.

 

exv99w1
 

Exhibit 99.1

FANNIE MAE
MONTHLY SUMMARY
JANUARY 2004

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 JANUARY INCLUDE:

  Fannie Mae’s book of business grew at an annualized 3.8 percent rate.
 
  Outstanding MBS grew at an 18.5 percent annual growth rate compared with 39.4 percent the previous month.
 
  Retained commitments rose slightly to $11.7 billion. Mortgage portfolio purchases in January were $8.6 billion.
 
  The mortgage portfolio declined at a 14.6 percent annualized rate in January.
 
  The duration gap on Fannie Mae’s mortgage portfolio averaged a negative one month for the third consecutive month.
 
  The conventional single-family delinquency rate rose one basis point to 0.60 percent. The multifamily delinquency rate rose fourteen basis points to 0.27 percent.

MORTGAGE MARKET HIGHLIGHTS:

  Mortgage market indicators remain very strong. Fannie Mae now estimates total single-family originations for 2004 will be about $1.9 trillion and residential mortgage debt outstanding will grow at an annualized rate of 9.4 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/
February 2003
  $ 817,630       8.3 %   $ 1,073,564       33.7 %   $ 1,891,194       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 %
December 2003
    898,438       (10.0 %)     1,300,166       39.4 %     2,198,604       16.3 %
 
   
 
     
 
     
 
     
 
     
 
     
 
 
Full year 2003
  $ 898,438       13.1 %   $ 1,300,166       26.3 %   $ 2,198,604       20.6 %
 
   
 
     
 
     
 
     
 
     
 
     
 
 
January 2004
  $ 886,665       (14.6 %)   $ 1,318,712       18.5 %   $ 2,205,376       3.8 %


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
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  
December 2003
    56,598       4,265       60,863       1,226       59,637       13,775       73,412  
 
   
 
     
 
     
 
     
 
     
 
     
 
     
 
 
Full year 2003
  $ 1,175,599     $ 23,018     $ 1,198,617     $ 348,413     $ 850,204     $ 572,852     $ 1,423,056  
 
   
 
     
 
     
 
     
 
     
 
     
 
     
 
 
January 2004
  $ 44,289     $ 505     $ 44,794     $ 268     $ 44,527     $ 8,573     $ 53,100  


MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) /1
                                                 
            Purchases
  Mortgage
    Retained   Single-           Total           Portfolio
    Commitments
  family
  Multifamily
  Purchases
  Net Yield 8/
  Sales
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  
December 2003
    8,057       12,249       1,526       13,775       4.96 %     2,875  
 
   
 
     
 
     
 
     
 
     
 
     
 
 
Full year 2003
  $ 489,073     $ 559,669     $ 13,183     $ 572,852       5.00 %   $ 13,727  
 
   
 
     
 
     
 
     
 
     
 
     
 
 
January 2004
  $ 11,696     $ 7,996     $ 577     $ 8,573       4.77 %   $ 2,025  
     
1/
  Represents unpaid principal balance.
2/
  Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $546 billion of Fannie Mae MBS as of January 31, 2004.
3/
  Prior periods have been revised to be consistent with balance sheet reclassifications 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 $1,691 million in January 2004.
7/
  Included in total portfolio purchases.
8/
  Yields shown on a taxable-equivalent basis.

     Numbers may not foot due to rounding.


 

                                                                                 

LIQUIDATIONS ($ in Millions) /1
               
DELINQUENCY RATES
    Mortgage Portfolio   Outstanding MBS                   Single-family Conventional 3/    
    Liquidations   Liquidations                  
   
   
 
                  Non-Credit   Credit           Multifamily
    Amount
  Annual Rate
  Amount
  Annual Rate
                  Enhancement 4/
  Enhancement 5/
  Total 6/
  Total 7/
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 %                     0.30 %     1.63 %     0.59 %     0.13 %
December 2003
    18,859       25.08 %     26,301       24.61 %2/                     0.30 %     1.65 %     0.60 %     0.27 %
 
   
 
     
 
     
 
     
 
                                                 
Full year 2003
  $ 451,487       53.29 %   $ 591,351       50.15 % 2/                                                
 
   
 
     
 
     
 
     
 
                                                 
January 2004
  $ 18,274       24.57 %   $ 27,717       25.40 %                                                


AVERAGE INVESTMENT BALANCES ($ in Millions)
                         
    Net   Liquid   Total Net
    Mortgages
  Investments
  Investments
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  
December 2003
    898,858       65,966       964,824  
 
   
 
     
 
     
 
 
Full year 2003
  $ 839,171     $ 75,114     $ 914,286  
 
   
 
     
 
     
 
 
January 2004
  $ 888,908     $ 68,830     $ 957,738  


INTEREST RATE RISK DISCLOSURES
                                         
            Rate Level Shock (50bp) 9/
  Rate Slope Shock (25bp) 9/
    Effective   1 Year Portfolio   4 Year Portfolio   1 Year Portfolio   4 Year Portfolio
    Duration Gap 8/   Net Interest   Net Interest   Net Interest   Net Interest
    (in months)
  Income at Risk
  Income at Risk
  Income at Risk
  Income at Risk
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 %
December 2003
    -1       2.6 %     2.1 %     3.6 %     6.1 %
January 2004
    -1       0.9 %     3.1 %     3.0 %     6.4 %
     
1/
  Represents unpaid principal balance.
2/
  December 2003 data revised.
3/
  Includes conventional loans three or more months delinquent or in foreclosure process as a percent of the number of loans.
4/
  Loans without primary mortgage insurance or any credit enhancements.
5/
  Loans with primary mortgage insurance and other credit enhancements.
6/
  Total of single-family non-credit enhanced and credit enhanced loans.
7/
  Includes loans two or more months delinquent as a percent of loan dollars and includes the total credit book of business.
8/
  The duration gap is a weighted average for the month.
9/
  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.

     Numbers may not foot due to rounding.

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.


 

(LOGO)
Voluntary Initiatives Disclosure
January 2004


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
2003
                                       
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 %
December
    -1       2.6 %     2.1 %     3.6 %     6.1 %
2004
                                       
January
    -1       0.9 %     3.1 %     3.0 %     6.4 %

  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. The duration gap is a calculated weighted-average for 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
March 31, 2003
    6.7 %
June 30, 2003
    7.5 %
September 30, 2003
    5.6 %
December 31, 2003
    6.5 %

  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 investments.



CREDIT RISK

                 
    Before   After
Lifetime credit loss   Credit   Credit
sensitivity as of:
  Enhancements
  Enhancements
(Dollars in millions)
               
December 31, 2002
  $ 1,838     $ 596  
March 31, 2003
  $ 1,798     $ 635  
June 30, 2003
  $ 2,408     $ 983  
September 30, 2003 (1)
  $ 2,678     $ 1,138  

  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.



SUBORDINATED DEBT

                         
            Net Proceeds    
Total capital and   Total   on Subordinated    
subordinated debt
  Capital
  Debt
  Percent
(Dollars in billions)
                       
December 31, 2003
  $ 35.182     $ 12.427       4.1  

  Fannie Mae will issue subordinated debt in an amount sufficient to bring the sum of total capital (core capital plus general allowance for losses) and subordinated debt to 4% of on balance sheet assets, after providing for the capitalization of off balance sheet MBS.
 
  Subordinated debt only includes net proceeds on issuances from January 1, 2001
 
  Fannie Mae will maintain a weighted-average maturity of outstanding subordinated debt of at least five years. At December 31, 2003, the weighted-average maturity was 8.1 years.


(1) Most recent data available.