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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): August 16, 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 August 16, 2004, Fannie Mae (formally, the Federal National Mortgage Association), issued its monthly financial summary release and voluntary initiatives disclosure for the month of July 2004. The summary and voluntary initiatives disclosure, copies of which are furnished as Exhibit 99.1 to this report, are incorporated herein by reference.

               This information, including the exhibit submitted herewith, 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 Fannie Mae, except as shall be expressly set forth by specific reference in such document.

 


 

SIGNATURE

     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: August 16, 2004
   

 


 

EXHIBIT INDEX

The following Exhibit is furnished herewith.

     
Exhibit Number
  Description of Exhibit
     
     99.1
  Monthly summary release and voluntary initiatives disclosure for July 2004 issued by Fannie Mae on August 16, 2004.

 

exv99w1
 

 

EXHIBIT 99.1

FANNIE MAE
MONTHLY SUMMARY

July 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 JULY INCLUDE:

  Fannie Mae’s book of business grew at an annual rate of 2.6 percent in July.
 
  The mortgage portfolio grew at a 2.1 percent annual rate in July, driven largely by a modest decline in the liquidation rate and moderate purchases.
 
  Outstanding MBS grew at a 2.9 percent annual rate in July compared with 5.3 percent in June.
 
  July mortgage portfolio purchases were $21.6 billion. Retained commitments were $19.5 billion.
 
  The duration gap on Fannie Mae’s mortgage portfolio averaged zero months in July.
 
  The conventional single-family and multifamily delinquency rates remained stable in June at 0.57 percent and 0.14 percent, respectively.

MORTGAGE MARKET HIGHLIGHTS:

  Long-term mortgage rates dropped sharply during July, as the rate on the 30-year fixed-rate mortgage averaged 6.06 percent, down by 23 basis points from 6.29 percent in June.
 
  According to the MBA Survey, July’s ARM share remained high at 34.2 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/
August 2003
  $ 865,471       46.7 %   $ 1,227,115       (19.0 %)   $ 2,092,586       3.2 %
September 2003
    917,131       100.5 %     1,211,079       (14.6 %)     2,128,210       22.5 %
October 2003
    912,665       (5.7 %)     1,239,925       32.6 %     2,152,590       14.6 %
November 2003
    906,387       (7.9 %)     1,264,673       26.8 %     2,171,060       10.8 %
December 2003
    898,445       (10.0 %)     1,300,166       39.4 %     2,198,611       16.3 %
Full year 2003
  $ 898,445       13.1 %   $ 1,300,166       26.3 %   $ 2,198,611       20.6 %
 
January 2004
  $ 886,730       (14.6 %)   $ 1,318,711       18.5 %   $ 2,205,441       3.8 %
February 2004
    882,124       (6.1 %)     1,335,714       16.6 %     2,217,838       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 %
May 2004
    878,386       (2.8 %)     1,354,160       0.7 %     2,232,546       (.7 %)
June 2004
    891,210       19.0 %     1,360,045       5.3 %     2,251,255       10.5 %
July 2004
    892,724       2.1 %     1,363,317       2.9 %     2,256,041       2.6 %
YTD 2004
  $ 892,724       (1.1 %)   $ 1,363,317       8.5 %   $ 2,256,041       4.5 %

      


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        
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          
May 2004
    57,629       931       58,559       10,670       47,889       26,686       74,575          
June 2004
    52,981       711       53,692       13,330       40,362       37,164       77,526          
July 2004
    38,719       916       39,636       5,676       33,960       21,618       55,578          
YTD 2004
  $ 332,686     $ 4,706     $ 337,392     $ 46,829     $ 290,563     $ 153,921     $ 444,484          


MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/

                                                 
        Purchases   Mortgage
    Retained   Single-       Total       Portfolio
    Commitments   family   Multifamily   Purchases   Net Yield 7/   Sales
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  
May 2004
    28,389       25,461       1,226       26,686       4.55 %     885  
June 2004
    29,668       34,775       2,389       37,164       4.44 %     1,695  
July 2004
    19,504       20,667       950       21,618       4.44 %     681  
YTD 2004
  $ 160,105     $ 146,137     $ 7,784     $ 153,921       4.42 %   $ 9,218  


1/   Represents unpaid principal balance.
 
2/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $514 billion of Fannie Mae MBS as of July 31, 2004.
 
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 $655 million in July 2004.
 
6/   Included in total portfolio purchases.
 
7/   Yields shown on a taxable-equivalent basis.
 
    Numbers may not foot due to rounding.

1


 


LIQUIDATIONS ($ in Millions) 1/

                                 
    Mortgage Portfolio   Outstanding MBS
    Liquidations   Liquidations
    Amount   Annual Rate   Amount   Annual Rate
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 %
May 2004
    27,917       38.09 %     48,013       42.56 %
June 2004
    22,783       30.90 %     36,063       31.89 %
July 2004
    19,467       26.19 %     31,363       27.64 %
YTD 2004
  $ 150,389       29.09 %   $ 236,225       30.19 %

DELINQUENCY RATES

                         
Single-family Conventional 2/
Non-Credit   Credit       Multifamily
Enhancement 3/   Enhancement 4/   Total 5/   Total 6/
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 %
0.29%
    1.58 %     0.56 %     0.16 %
0.29%
    1.61 %     0.57 %     0.14 %
0.29%
    1.62 %     0.57 %     0.14 %



AVERAGE INVESTMENT BALANCES ($ in Millions)

                         
    Net   Liquid   Total Net
    Mortgages   Investments   Investments
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  
May 2004
    866,855       82,711       949,567  
June 2004
    873,386       71,698       945,084  
July 2004
    883,135       63,078       946,213  
YTD 2004
  $ 877,547     $ 70,407     $ 947,954  


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
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 %
May 2004
    3       2.9 %     2.5 %     2.5 %     4.5 %
June 2004
    2       1.6 %     3.5 %     2.3 %     4.1 %
July 2004
    0       0.8 %     1.9 %     2.3 %     4.6 %


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.

2


 

Voluntary Initiatives Disclosure
July 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
                   
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%
May
  3   2.9%   2.5%   2.5%   4.5%
June
  2   1.6%   3.5%   2.3%   4.1%
July
  0   0.8%   1.9%   2.3%   4.6%

  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
September 30, 2003
    5.6 %
December 31, 2003
    6.5 %
March 31, 2004
    6.4 %
June 30, 2004
    5.2 %

  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)    
June 30, 2003
  $ 2,408     $ 983  
September 30, 2003
    2,678       1,138  
December 31, 2003
    2,402       1,113  
March 31, 2004 (1)
    3,231       1,453  

  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)      
March 31, 2004
  $ 36.481     $ 12.429       4.3  
June 30, 2004
    36.862       12.432       4.4  

  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 subordinated debt of at least five years. At June 30, 2004, the original weighted-average term to maturity was 8.1 years with a remaining weighted-average maturity of 6.1 years.


(1)   Most recent data available.