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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): October 20, 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

(Former Name or Former Address, if Changed Since Last Report): ________________

     Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):

     
o   Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
     
o   Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
     
o   Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
     
o   Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

 

 

Item 7.01. Regulation FD Disclosure.

     On October 20, 2004, Fannie Mae (formally, the Federal National Mortgage Association) issued its monthly financial summary release for the month of September 2004. The summary, a copy of which is furnished as Exhibit 99.1 to this report, is incorporated herein by reference.

     The information in this item, 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.

Item 9.01. Financial Statements and Exhibits.

     (c) Exhibits. The exhibit index filed herewith is incorporated herein by reference.

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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:  October 20, 2004

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EXHIBIT INDEX

The following exhibit is submitted herewith.

     
Exhibit Number
  Description of Exhibit

   
99.1
  Monthly summary release for September 2004 issued by Fannie Mae on October 20, 2004.

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exv99w1
 

EXHIBIT 99.1

FANNIE MAE
MONTHLY SUMMARY

September 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 SEPTEMBER INCLUDE:

•   Fannie Mae’s book of business grew at an annual rate of 10.0 percent in September compared with 4.5 percent in August.

•   The mortgage portfolio grew at a 13.3 percent annual rate in September.

•   September mortgage portfolio purchases rose to $27.7 billion. Retained commitments rose to $30.8 billion from $24.7 billion in August.

•   The net yield on September’s mortgage purchases fell to 3.61 percent, reflecting a continued shift in both origination volumes and Fannie Mae portfolio purchases towards an increased proportion of hybrid ARMs and Aaa Libor floating rate mortgage securities.

•   The duration gap on Fannie Mae’s mortgage portfolio averaged a negative two months in September for the second consecutive month.

•   The conventional single-family delinquency rate rose one basis point to 0.58 percent in August, while the multifamily delinquency rate remained stable at 0.13 percent.

MORTGAGE MARKET HIGHLIGHTS:

•   Total residential mortgage debt outstanding grew at a compound annual rate of 12.4 percent during the second quarter of 2004 to $8.1 trillion.

 

 

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/
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 %
August 2004
     895,428       3.7 %     1,368,918       5.0 %     2,264,345       4.5 %
September 2004
     904,766       13.3 %     1,377,680       8.0 %     2,282,446       10.0 %
YTD 2004
   $ 904,766       .9 %   $ 1,377,680       8.0 %   $ 2,282,446       5.1 %

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
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  
August 2004
     34,685       276       34,961       4,676       30,285       21,787       52,072  
September 2004
     40,647       224       40,870       5,074       35,796       27,661       63,457  
YTD 2004
   $ 408,017     $ 5,207     $ 413,224     $ 56,579     $ 356,645     $ 203,368     $ 560,013  

MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
                                                 
            Purchases   Mortgage
    Retained   Single-           Total           Portfolio
    Commitments   family   Multifamily   Purchases   Net Yield 7/   Sales
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       4.53 %     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  
August 2004
     24,683       20,747       1,040       21,787       4.14 %     1,932  
September 2004
     30,783       24,193       3,468       27,661       3.61 %     1,195  
YTD 2004
   $ 215,570     $ 191,077     $ 12,292     $ 203,368       4.28 %   $ 12,345  

1/   Represents unpaid principal balance.
2/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $515 billion of Fannie Mae MBS as of September 30, 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 $758 million in September 2004.
6/   Included in total portfolio purchases.
7/   Yields shown on a taxable-equivalent basis.
 
    Numbers may not foot due to rounding.

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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/
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 %     0.30 %     1.65 %     0.60 %     0.27 %
Full year 2003
   $ 451,487       53.29 %   $ 591,351       50.15 %                                

                                                               
January 2004
   $ 18,274       24.57 %   $ 27,717       25.40 %     0.31 %     1.70 %     0.61 %     0.24 %
February 2004
     15,419       20.92 %     22,948       20.75 %     0.31 %     1.70 %     0.61 %     0.24 %
March 2004
     20,444       27.83 %     29,702       26.58 %     0.30 %     1.62 %     0.58 %     0.17 %
April 2004
     26,086       35.54 %     40,419       35.94 %     0.29 %     1.58 %     0.56 %     0.16 %
May 2004
     27,917       38.09 %     48,013       42.56 %     0.29 %     1.61 %     0.57 %     0.14 %
June 2004
     22,783       30.90 %     36,063       31.89 %     0.29 %     1.62 %     0.57 %     0.14 %
July 2004
     19,467       26.19 %     31,363       27.64 %     0.29 %     1.65 %     0.57 %     0.13 %
August 2004
     17,179       23.06 %     26,442       23.23 %     0.30 %     1.67 %     0.58 %     0.13 %
September 2004
     17,138       22.85 %     27,168       23.74 %                                
YTD 2004
   $ 184,705       27.70 %   $ 289,835       28.67 %                                

AVERAGE INVESTMENT BALANCES ($ in Millions)
                         
    Net   Liquid   Total Net
    Mortgages   Investments   Investments
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  
August 2004
     887,471       64,853       952,324  
September 2004
     895,701       69,256       964,958  
YTD 2004
   $ 880,667     $ 69,662     $ 950,329  

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
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 %
August 2004
     -2       2.8 %     3.2 %     4.0 %     6.6 %
September 2004
     -2       4.2 %     4.5 %     4.5 %     7.7 %

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 and securities 60 days or more past due and is calculated based on 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.

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