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 17, 2004
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
Fannie Mae
Federally chartered corporation (State or other jurisdiction of incorporation) |
0-50231 (Commission File Number) |
52-0883107 (IRS Employer Identification Number) |
3900 Wisconsin Avenue, NW Washington, DC (Address of principal executive offices) |
20016 (Zip Code) |
Registrants telephone number, including area code: 202-752-7000
Item 9. Regulation FD Disclosure.
On May 17, 2004, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release and voluntary initiatives disclosure for the month of April 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: May 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 April 2004 issued by Fannie Mae on May 17, 2004. |
EXHIBIT 99.1
FANNIE MAE
MONTHLY SUMMARY
APRIL 2004
Fannie Maes summary of monthly business volumes, delinquency rates, and interest rate risk measures reflect the companys 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 APRIL INCLUDE:
| Total business volume rose to $73.8 billion from $59.1 billion in March. |
| Mortgage portfolio purchases rose for the third month to $27.4 billion in April from $20.3 billion in March. Retained commitments were $28.9 billion in April. |
| Fannie Maes book of business grew at an annualized 3.9 percent rate compared with 5.0 percent the previous month. |
| Outstanding MBS growth slowed to a 6.9 percent annual rate and the mortgage portfolio declined at a 0.6 percent annual rate, the result of higher liquidations in April. |
| The duration gap on Fannie Maes mortgage portfolio averaged three months in April. |
| Both the conventional single-family and multifamily delinquency rates declined in March to 0.58 percent and 0.17 percent, respectively. |
BUSINESS BALANCES AND GROWTH ($ 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/ |
|||||||||||||||||||
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 | % | ||||||||||||
February 2004 |
882,108 | (6.0 | )% | 1,335,714 | 16.6 | % | 2,217,822 | 7.0 | % | |||||||||||||||
March 2004 |
880,911 | (1.6 | )% | 1,345,892 | 9.5 | % | 2,226,803 | 5.0 | % | |||||||||||||||
April 2004 |
880,481 | (.6 | )% | 1,353,399 | 6.9 | % | 2,233,880 | 3.9 | % | |||||||||||||||
YTD
2004 |
$ | 880,481 | (5.9 | )% | $ | 1,353,399 | 12.8 | % | $ | 2,233,880 | 4.9 | % | ||||||||||||
BUSINESS VOLUMES ($ in Millions) 1/
MBS |
||||||||||||||||||||||||||||
Total | Fannie Mae | MBS Issues | ||||||||||||||||||||||||||
Single-family | Multifamily | Lender-original | MBS | Acquired | Portfolio | Business | ||||||||||||||||||||||
Issues |
Issues |
Issues 6/ |
Purchases 7/ |
by Others |
Purchases |
Volume |
||||||||||||||||||||||
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 | ||||||||||||||
February 2004 |
38,605 | 200 | 38,804 | 181 | 38,624 | 12,170 | 50,794 | |||||||||||||||||||||
March 2004 |
44,345 | 1,019 | 45,365 | 6,507 | 38,858 | 20,260 | 59,118 | |||||||||||||||||||||
April 2004 |
56,117 | 424 | 56,541 | 10,198 | 46,344 | 27,448 | 73,792 | |||||||||||||||||||||
YTD
2004 |
$ | 183,357 | $ | 2,149 | $ | 185,505 | $ | 17,154 | $ | 168,352 | $ | 68,452 | $ | 236,804 | ||||||||||||||
MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
Purchases |
||||||||||||||||||||||||||
Mortgage | ||||||||||||||||||||||||||
Retained | Single- | Total | Portfolio | |||||||||||||||||||||||
Commitments |
family |
Multifamily |
Purchases |
Net Yield 8/ |
Sales |
|||||||||||||||||||||
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 | ||||||||||||||
February 2004 |
12,576 | 11,834 | 337 | 12,170 | 3.68 | % | 1,326 | |||||||||||||||||||
March 2004 |
29,411 | 19,406 | 854 | 20,260 | 4.60 | % | 1,023 | |||||||||||||||||||
April 2004 |
28,860 | 25,997 | 1,451 | 27,448 | 4.37 | % | 1,583 | |||||||||||||||||||
YTD
2004 |
$ | 82,543 | $ | 65,233 | $ | 3,219 | $ | 68,452 | 4.37 | % | $ | 5,957 | ||||||||||||||
1/ | Represents unpaid principal balance. | |
2/ | Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $527 billion of Fannie Mae MBS as of April 30, 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 Maes portfolio. | |
5/ | Growth rates are compounded. | |
6/ | Excludes MBS issued from Fannie Maes portfolio, which was $2,144 million in April 2004. | |
7/ | Included in total portfolio purchases. | |
8/ | Yields shown on a taxable-equivalent basis. | |
Numbers may not foot due to rounding. |
LIQUIDATIONS ($ in
Millions) 1/ |
||||||||||||||||||
Mortgage Portfolio | Outstanding MBS | |||||||||||||||||
Liquidations |
Liquidations |
|||||||||||||||||
Amount |
Annual Rate |
Amount |
Annual Rate |
|||||||||||||||
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 | % | ||||||||||||
August 2003 |
55,220 | 77.99 | % | 76,854 | 74.50 | % | ||||||||||||
September 2003 |
44,244 | 59.65 | % | 63,577 | 62.58 | % | ||||||||||||
October 2003 |
30,862 | 40.48 | % | 44,975 | 44.04 | % | ||||||||||||
November 2003 |
22,438 | 29.60 | % | 34,214 | 32.78 | % | ||||||||||||
December 2003 |
18,859 | 25.08 | % | 26,301 | 24.61 | % | ||||||||||||
Full year 2003 |
$ | 451,487 | 53.29 | % | $ | 591,351 | 50.15 | % | ||||||||||
January 2004 |
$ | 18,274 | 24.57 | % | $ | 27,717 | 25.40 | % | ||||||||||
February 2004 |
15,419 | 20.92 | % | 22,948 | 20.75 | % | ||||||||||||
March 2004 |
20,444 | 27.83 | % | 29,702 | 26.58 | % | ||||||||||||
April 2004 |
26,086 | 35.54 | % | 40,419 | 35.94 | % | ||||||||||||
YTD 2004 |
$ | 80,222 | 27.17 | % | $ | 120,786 | 27.23 | % | ||||||||||
DELINQUENCY RATES |
||||||||||||
Single-family Conventional 2/ |
||||||||||||
Non-Credit | Credit | Multifamily | ||||||||||
Enhancement 3/ |
Enhancement 4/ |
Total 5/ |
Total 6/ |
|||||||||
0.29% |
1.38 | % | 0.55 | % | 0.15 | % | ||||||
0.29% |
1.42 | % | 0.56 | % | 0.13 | % | ||||||
0.29% |
1.47 | % | 0.57 | % | 0.13 | % | ||||||
0.29% |
1.52 | % | 0.58 | % | 0.13 | % | ||||||
0.29% |
1.56 | % | 0.58 | % | 0.12 | % | ||||||
0.29% |
1.56 | % | 0.57 | % | 0.12 | % | ||||||
0.30% |
1.63 | % | 0.59 | % | 0.13 | % | ||||||
0.30% |
1.65 | % | 0.60 | % | 0.27 | % | ||||||
0.31% |
1.70 | % | 0.61 | % | 0.24 | % | ||||||
0.31% |
1.70 | % | 0.61 | % | 0.24 | % | ||||||
0.30% |
1.62 | % | 0.58 | % | 0.17 | % |
AVERAGE INVESTMENT BALANCES ($ in Millions)
Net | Liquid | Total Net | ||||||||||
Mortgages |
Investments |
Investments |
||||||||||
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 | ||||||
February 2004 |
883,892 | 63,749 | 947,641 | |||||||||
March 2004 |
876,205 | 66,996 | 943,201 | |||||||||
April 2004 |
870,446 | 75,787 | 946,232 | |||||||||
YTD 2004 |
$ | 879,863 | $ | 68,841 | $ | 948,703 | ||||||
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 |
||||||||||||||||
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 | % | |||||||||||
February 2004 |
-1 | 1.4 | % | 3.3 | % | 3.7 | % | 6.7 | % | |||||||||||
March 2004 |
0 | 3.8 | % | 5.4 | % | 4.0 | % | 6.6 | % | |||||||||||
April 2004 |
3 | 5.0 | % | 5.3 | % | 2.9 | % | 5.4 | % |
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 mortgage credit book of business. | |
7/ | The duration gap is a weighted average for 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. | |
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 Maes activity, please visit www.fanniemae.com or contact us at (202) 752-7115.
Voluntary Initiatives Disclosure
April 2004
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
|
||||||||||||||||||||
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 | % | |||||||||||
February |
-1 | 1.4 | % | 3.3 | % | 3.7 | % | 6.7 | % | |||||||||||
March |
0 | 3.8 | % | 5.4 | % | 4.0 | % | 6.6 | % | |||||||||||
April |
3 | 5.0 | % | 5.3 | % | 2.9 | % | 5.4 | % |
| Effective duration gap measures the extent the effective duration of the portfolios 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 Maes 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. |
Ratio of liquid to total assets |
Ratio |
|||
June 30, 2003 |
7.5 | % | ||
September 30, 2003 |
5.6 | % | ||
December 31, 2003 |
6.5 | % | ||
March 31, 2004 |
6.4 | % |
| 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 Supervisions 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 assets. |
Before | After | |||||||
Lifetime credit loss | Credit | Credit | ||||||
sensitivity as of: |
Enhancements |
Enhancements |
||||||
(Dollars in millions) | ||||||||
March 31, 2003 |
$ | 1,798 | $ | 635 | ||||
June 30, 2003 |
$ | 2,408 | $ | 983 | ||||
September 30, 2003 |
$ | 2,678 | $ | 1,138 | ||||
December 31, 2003 (1) | $ | 2,402 | $ | 1,113 |
| Lifetime credit loss sensitivity measures the sensitivity of Fannie Maes expected future credit losses to an immediate five percent decline in home values for all single-family mortgages held in Fannie Maes 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. |
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 | |||||||
March 31, 2004 |
36.481 | 12.429 | 4.3 |
| 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 March 31, 2004, the weighted-average maturity was 8.1 years. |
(1) Most recent data available.