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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): December 22, 2006
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
         
Federally chartered corporation   000-50231   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 December 22, 2006, Fannie Mae issued its monthly financial summary release for the month of November 2006. 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 Exhibit 99.1 submitted herewith, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to Fannie Mae, except to the extent, if any, expressly set forth by specific reference in such document.
Item 9.01. Financial Statements and Exhibits.
     (d) 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/ Mary B. Doyle
 
       
 
      Mary B. Doyle
 
      Senior Vice President,
 
      Financial Controls and Systems
 
       
Date: December 22, 2006

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EXHIBIT INDEX
     The following exhibit is submitted herewith:
     
Exhibit Number   Description of Exhibit
   
 
99.1  
Monthly summary release for November 2006 issued by Fannie Mae on December 22, 2006

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exv99w1
 

EXHIBIT 99.1
FANNIE MAE
MONTHLY SUMMARY
November 2006
HIGHLIGHTS FOR NOVEMBER INCLUDE:
  The gross mortgage portfolio balance was $717.4 billion in November. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $718 billion in November. (For a discussion of the differences between these measures see Portfolio Note on page 2.)
 
  Fannie Mae’s book of business grew at a compound annualized rate of 6.7 percent, driven by outstanding MBS which grew at a 12.2 percent compound annualized rate in November.
 
  Total business volume was $49.3 billion, compared with $48.7 billion in October.
 
  Lender-originated MBS issues were $36.1 billion, compared with $39.1 billion the previous month.
 
  Net retained commitments rose to $8.6 billion in November, compared with $8.0 billion the previous month.
 
  The conventional single-family delinquency rate rose one basis point in October to 0.62 percent (latest data available). The multifamily delinquency rate fell three basis points to 0.08 percent.
  The duration gap on Fannie Mae’s portfolio averaged zero months in November.
MORTGAGE MARKET HIGHLIGHT:
  According to the Federal Reserve, total residential mortgage debt outstanding grew at a compound annual rate of 7.6 percent during the third quarter of 2006 to a level of $10.7 trillion, the slowest quarterly pace of growth recorded since early 2001.

 


 

 
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/  
December 2005
  $ 727,545       21.4 %   $ 1,598,079       2.9 %   $ 2,325,624       8.3 %
Full year 2005
  $ 727,545       (19.6 %)   $ 1,598,079       13.9 %   $ 2,325,624       0.8 %
 
                                               
January 2006
  $ 725,661       (3.1 %)   $ 1,613,005       11.8 %   $ 2,338,666       6.9 %
February 2006
    721,189       (7.1 %)     1,630,900       14.2 %     2,352,089       7.1 %
March 2006
    721,544       0.6 %     1,644,793       10.7 %     2,366,337       7.5 %
April 2006
    730,367       15.7 %     1,649,919       3.8 %     2,380,286       7.3 %
May 2006
    733,786       5.8 %     1,657,987       6.0 %     2,391,773       5.9 %
June 2006
    730,906       (4.6 %)     1,679,027       16.3 %     2,409,933       9.5 %
July 2006
    731,439       0.9 %     1,683,451       3.2 %     2,414,890       2.5 %
August 2006
    726,801       (7.3 %)     1,702,373       14.4 %     2,429,173       7.3 %
September 2006
    725,530       (2.1 %)     1,732,818       23.7 %     2,458,348       15.4 %
October 2006
    720,947       (7.3 %)     1,752,414       14.4 %     2,473,361       7.6 %
November 2006
    717,430       (5.7 %)     1,769,341       12.2 %     2,486,772       6.7 %
YTD 2006
  $ 717,430       (1.5 %)   $ 1,769,341       11.7 %   $ 2,486,772       7.6 %
 
BUSINESS VOLUMES ($ in Millions) 1/
 
                                         
    MBS              
            Fannie Mae     MBS Issues              
    Lender-originated     MBS     Acquired     Portfolio     Business  
    Issues 5/     Purchases 6/     by Others     Purchases     Volume  
December 2005
  $ 39,553     $ 10,393     $ 29,160     $ 28,760     $ 57,920  
Full year 2005
  $ 481,260     $ 15,628     $ 465,632     $ 146,640     $ 612,272  
 
                                               
January 2006
  $ 41,524     $ 2,606     $ 38,918     $ 12,199     $ 51,117  
February 2006
    34,416       821       33,595       11,417       45,012  
March 2006
    34,236       1,073       33,162       14,165       47,327  
April 2006
    36,968       7,926       29,042       23,042       52,084  
May 2006
    35,494       6,341       29,153       18,704       47,857  
June 2006
    40,547       3,073       37,474       18,697       56,171  
July 2006
    33,900       6,304       27,596       15,133       42,729  
August 2006
    37,552       4,523       33,029       15,927       48,956  
September 2006
    47,038       624       46,413       20,180       66,594  
October 2006
    39,090       3,483       35,607       13,045       48,652  
November 2006
    36,141       706       35,435       13,902       49,337  
YTD 2006
  $ 416,906     $ 37,482     $ 379,424     $ 176,411     $ 555,836  
 
MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
 
                                 
                            Mortgage  
    Net Retained                     Portfolio  
    Commitments 7/     Purchases     Purchase Yield 8/     Sales  
December 2005
  $ 19,595     $ 28,760       5.43 %   $ 2,876  
Full year 2005
  $ 35,469     $ 146,640       5.16 %   $ 113,295  
 
                                               
January 2006
  $ 9,187     $ 12,199       5.47 %   $ 1,774  
February 2006
    9,704       11,417       5.68 %     5,142  
March 2006
    16,584       14,165       5.76 %     2,547  
April 2006
    17,378       23,042       5.47 %     2,436  
May 2006
    12,186       18,704       5.88 %     3,729  
June 2006
    13,181       18,697       5.81 %     9,216  
July 2006
    5,950       15,133       6.23 %     2,819  
August 2006
    6,790       15,927       6.14 %     8,898  
September 2006
    10,398       20,180       6.04 %     9,698  
October 2006
    7,971       13,045       6.04 %     6,746  
November 2006
    8,582       13,902       6.06 %     6,317  
YTD 2006
  $ 117,912     $ 176,411       5.87 %   $ 59,322  
 
                               
 
1/   Represents unpaid principal balance.
 
2/   Does not reflect market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and discounts and the impact of consolidation of variable interest entities. Includes $302 billion of Fannie Mae MBS as of November 30, 2006.
 
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 $1,709 million in November 2006.
 
6/   Included in total portfolio purchases.
 
7/   Represents commitments to purchase, net of commitments to sell, entered into during the month, including any modifications to original amounts.
 
8/   Calculated as commitment yield for single-family loans, pass-thru rate for multifamily loans and coupon divided by price for securities. Yields are presented on a taxable-equivalent basis.
 
    Numbers may not sum due to rounding.

 


 

                                                                 
         
LIQUIDATIONS ($ in Millions) 1/     DELINQUENCY RATES  
    Mortgage Portfolio     Outstanding MBS     Single-family Conventional 2/     Multifamily  
    Liquidations     Liquidations     Non-Credit     Credit              
    Amount     Annual Rate     Amount     Annual Rate     Enhancement 3/     Enhancement 4/     Total 5/     Total 6/  
December 2005
  $ 14,318       23.81 %   $ 28,167       21.18 %     0.47 %     2.14 %     0.79 %     0.27 %
Full year 2005
  $ 211,416       26.24 %   $ 368,067       24.59 %                                
 
                                                               
January 2006
  $ 12,405       20.49 %   $ 25,765       19.26 %     0.45 %     2.12 %     0.77 %     0.27 %
February 2006
    10,843       17.99 %     20,830       15.41 %     0.43 %     2.05 %     0.74 %     0.27 %
March 2006
    11,366       18.91 %     21,433       15.70 %     0.39 %     1.85 %     0.67 %     0.26 %
April 2006
    11,895       19.66 %     26,149       19.05 %     0.37 %     1.79 %     0.64 %     0.18 %
May 2006
    11,669       19.13 %     22,707       16.47 %     0.35 %     1.74 %     0.62 %     0.14 %
June 2006
    12,480       20.45 %     25,089       18.04 %     0.35 %     1.70 %     0.60 %     0.19 %
July 2006
    11,901       19.53 %     25,517       18.21 %     0.35 %     1.73 %     0.61 %     0.14 %
August 2006
    11,791       19.41 %     22,416       15.89 %     0.34 %     1.73 %     0.60 %     0.15 %
September 2006
    11,879       19.63 %     24,594       17.18 %     0.35 %     1.74 %     0.61 %     0.11 %
October 2006
    11,005       18.26 %     22,424       15.44 %     0.35 %     1.76 %     0.62 %     0.08 %
November 2006
    11,218       18.72 %     24,824       16.92 %                                
YTD 2006
  $ 128,451       19.30 %   $ 261,749       17.04 %                                
 
AVERAGE INVESTMENT BALANCES
 

Fannie Mae has determined at this time not to provide average investment balances, which are derived from numbers that will not be available until financial statements for the relevant period are complete.
 
INTEREST RATE RISK DISCLOSURE
 
         
    Effective  
    Duration Gap 7/  
    (in months)  
December 2005
    0  
January 2006
    0  
February 2006
    0  
March 2006
    0  
April 2006
    1  
May 2006
    0  
June 2006
    -1  
July 2006
    -1  
August 2006
    -1  
September 2006
    0  
October 2006
    0  
November 2006
    0  
 
       
 
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/or 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. We have included non-mortgage assets and liabilities in the duration gap calculation. Our portfolio duration gap calculation excludes any interest rate sensitivity of the guaranty business.
 
    Numbers may not sum due to rounding.

 


 

PORTFOLIO NOTE:
As previously announced, on May 23, 2006, Fannie Mae agreed to a consent order issued by its regulator, OFHEO. Under the consent order, Fannie Mae may not increase its “mortgage portfolio” assets above the amount shown in its December 31, 2005 minimum capital report, except under specified circumstances at the discretion of OFHEO. Fannie Mae believes it is in compliance with the terms of its consent order with OFHEO.
The “gross mortgage portfolio” balances set forth in this monthly summary report represent unpaid principal balances, which represent statistical measures rather than amounts computed in accordance with GAAP. “Mortgage portfolio” assets that are reported to OFHEO under the consent order reflect GAAP adjustments, including market valuation adjustments, allowance for loan losses, impairments and unamortized premiums and discounts. These adjustments are not reflected in the “gross mortgage portfolio” amounts shown in this report.
We expect that some of the information in this monthly summary report will change when the financial statements and related audits for the relevant periods are completed. Management believes that the information may be useful to investors for comparing current business activities with those of prior periods and for reviewing trends in our business, notwithstanding that information may change, perhaps materially, from what is reported herein. Issues that will cause some of this information to change include those related to securities accounting, loan accounting, consolidation and amortization. Information regarding the restatement of our financial statements may be found in our Form 10-K for the year ended December 31, 2004, which we filed with the Securities and Exchange Commission on December 6, 2006.
For more information about Fannie Mae, please visit www.fanniemae.com or contact us at (202) 752-7115.