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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): 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)

   

Registrant’s 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.
exv99w1
 

EXHIBIT 99.1

FANNIE MAE
MONTHLY SUMMARY

APRIL 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 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 Mae’s 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 Mae’s 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 Mae’s portfolio.
 
5/   Growth rates are compounded.
 
6/   Excludes MBS issued from Fannie Mae’s 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 Mae’s activity, please visit www.fanniemae.com or contact us at (202) 752-7115.


 

Voluntary Initiatives Disclosure
April 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  
                                       
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 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
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 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 assets.



CREDIT RISK

                 
    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 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  
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.