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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 24, 2007
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    
Washington, DC   20016
(Address of principal executive offices)   (Zip Code)
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 August 24, 2007, Fannie Mae (formally known as the Federal National Mortgage Association) issued its monthly financial summary release for the month of July 2007. 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.

2


 

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/ David C. Hisey    
 
         
 
      David C. Hisey    
 
      Senior Vice President and Controller    
Date: August 24, 2007

3


 

EXHIBIT INDEX
The following exhibit is submitted herewith:
     
Exhibit Number   Description of Exhibit
 
   
99.1    
  Monthly summary release for July 2007 issued by Fannie Mae on August 24, 2007

4

exv99w1
 

Exhibit 99.1
(LOGO)

MONTHLY SUMMARY HIGHLIGHTS
 
JULY 2007
Ø   Fannie Mae’s Book of Business grew at a compound annualized rate of 15.0 percent in July driven by growth in Fannie Mae MBS and Other Guarantees and the Gross Mortgage Portfolio.
 
Ø   Fannie Mae MBS and Other Guarantees rose at a compound annualized rate of 15.5 percent during the month. Growth was attributable to continued strong issuance of Fannie Mae MBS, which rose to $56.1 billion in July, and a decline in liquidations.
 
Ø   The Gross Mortgage Portfolio balance rose to $729.8 billion in July driven by purchases of $21.2 billion. Into the month of August, option-adjusted spreads have continued to widen. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $723 billion in July.
 
Ø   The conventional Single-Family Serious Delinquency Rate rose two basis points in June to 0.64 percent (latest data available). The Multifamily Serious Delinquency Rate declined two basis points to 0.09 percent in June.
 
Ø   The Effective Duration Gap on Fannie Mae’s portfolio averaged plus one month in July.
MORTGAGE MARKET HIGHLIGHTS
Ø   Agency-backed MBS issuance totaled $97 billion in July, up by 31 percent from the volume of agency MBS issued in July 2006. In contrast, non-agency MBS/ABS issuance totaled $55 billion during the month, down by 13 percent from year-ago levels. The volume of non-agency MBS/ABS issued during July was the lowest recorded since May 2004.

 


 

 
TABLE 1. TOTAL BOOK OF BUSINESS COMPONENTS ($ in Millions) 1
 
                                                             
    Gross Mortgage       Total Fannie Mae MBS       Fannie Mae MBS                
    Portfolio       and Other Guarantees       in Portfolio       Total Book   Compounded   New Business
    [Table 3]   +   [Table 4]   -   [Table 5]   =   of Business   Growth Rate   Acquisitions
 
July 2006
  $ 731,443         $ 2,033,533         $ 326,963         $ 2,438,013       2.4 %   $ 42,827  
August 2006
    726,811           2,046,522           321,150           2,452,183       7.2 %     49,055  
September 2006
    725,534           2,066,127           310,219           2,481,442       15.3 %     66,722  
October 2006
    720,959           2,085,252           309,861           2,496,350       7.5 %     48,766  
November 2006
    717,438           2,094,401           301,750           2,510,090       6.8 %     49,470  
December 2006
    724,400           2,102,275           298,756           2,527,920       8.9 %     57,776  
Full Year 2006
  $ 724,400         $ 2,102,275         $ 298,756         $ 2,527,920       7.7 %   $ 614,723  
 
                                                           
January 2007
  $ 721,442         $ 2,116,483         $ 295,399         $ 2,542,527       7.2 %   $ 51,059  
February 2007
    712,145           2,130,622           284,191           2,558,577       7.8 %     50,158  
March 2007
    712,806           2,150,759           277,848           2,585,717       13.5 %     60,455  
April 2007
    710,586           2,167,274           275,253           2,602,608       8.1 %     52,690  
May 2007
    718,257           2,198,466           274,360           2,642,363       20.0 %     66,387  
June 2007
    722,475           2,222,813           274,507           2,670,782       13.7 %     64,039  
July 2007
    729,840           2,249,638           277,468           2,702,010       15.0 %     66,368  
YTD 2007
  $ 729,840         $ 2,249,638         $ 277,468         $ 2,702,010       12.1 %   $ 411,156  

 
TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) 1
 
                         
    Commitments   Commitments   Net Retained
    to Purchase, Net   to Sell   Commitments
 
July 2006
  $ 15,446     $ (9,401 )   $ 6,045  
August 2006
    29,644       (22,757 )     6,887  
September 2006
    23,624       (13,133 )     10,491  
October 2006
    26,694       (18,638 )     8,056  
November 2006
    19,159       (10,508 )     8,651  
December 2006
    20,273       (5,422 )     14,851  
Full Year 2006
  $ 251,966     $ (119,498 )   $ 132,468  
 
                       
January 2007
  $ 23,208     $ (22,133 )   $ 1,075  
February 2007
    23,233       (13,256 )     9,977  
March 2007
    27,723       (13,630 )     14,093  
April 2007
    20,110       (8,420 )     11,689  
May 2007
    29,600       (12,077 )     17,523  
June 2007
    33,297       (9,197 )     24,100  
July 2007
    34,416       (15,896 )     18,520  
YTD 2007
  $ 191,587     $ (94,609 )   $ 96,978  
 
TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions) 1
 
                                                 
                                    Compounded   Annualized
    Purchases 2   Sales   Liquidations   End Balance   Growth Rate   Liquidation Rate
 
 
  $ 15,242     $ (2,819 )   $ (11,880 )   $ 731,443       0.9 %     (19.50 %)
 
    16,026       (8,898 )     (11,760 )     726,811       (7.3 %)     (19.29 %)
 
    20,308       (9,698 )     (11,888 )     725,534       (2.1 %)     (19.63 %)
 
    13,159       (6,746 )     (10,987 )     720,959       (7.3 %)     (18.17 %)
 
    14,035       (6,326 )     (11,230 )     717,438       (5.7 %)     (18.69 %)
 
    19,718       (1,860 )     (10,896 )     724,400       12.3 %     (18.22 %)
 
  $ 197,252     $ (61,184 )   $ (139,224 )   $ 724,400       (0.4 %)     (19.14 %)
 
                                               
 
  $ 9,659     $ (1,927 )   $ (10,690 )   $ 721,442       (4.8 %)     (17.71 %)
 
    10,359       (9,555 )     (10,101 )     712,145       (14.4 %)     (16.80 %)
 
    16,452       (5,505 )     (10,286 )     712,806       1.1 %     (17.33 %)
 
    9,964       (2,111 )     (10,073 )     710,586       (3.7 %)     (16.96 %)
 
    21,776       (3,640 )     (10,466 )     718,257       13.8 %     (17.67 %)
 
    16,936       (2,341 )     (10,378 )     722,475       7.3 %     (17.34 %)
 
    21,219       (4,588 )     (9,266 )     729,840       12.9 %     (15.39 %)
 
  $ 106,366     $ (29,665 )   $ (71,260 )   $ 729,840       1.3 %     (16.86 %)


 


 

     
 
TABLE 4. FANNIE MAE GUARANTEED SECURITIES AND MORTGAGE LOANS ($ in Millions) 1
 
                                                                         
                            Fannie Mae   Other   Total Fannie Mae                   Fannie Mae
    Total Fannie Mae MBS   MBS Annualized   Fannie Mae   MBS and Other   Compounded   Mortgage   Guaranteed Securities
    Issuances 3   Liquidations   End Balance   Liquidation Rate   Guarantees   Guarantees   Growth Rate   Loans   and Mortgage Loans
         
July 2006
  $ 35,962     $ (30,001 )   $ 2,010,414       (17.96 %)   $ 23,119     $ 2,033,533       3.5 %   $ 263,717     $ 2,297,250  
August 2006
    39,571       (26,462 )     2,023,523       (15.80 %)     22,999       2,046,522       7.9 %     265,876       2,312,397  
September 2006
    48,485       (28,971 )     2,043,037       (17.18 %)     23,090       2,066,127       12.1 %     273,732       2,339,859  
October 2006
    45,697       (26,459 )     2,062,275       (15.54 %)     22,977       2,085,252       11.7 %     270,477       2,355,729  
November 2006
    37,850       (29,033 )     2,071,091       (16.89 %)     23,310       2,094,401       5.4 %     273,928       2,368,329  
December 2006
    40,677       (32,939 )     2,078,829       (19.09 %)     23,446       2,102,275       4.6 %     279,146       2,381,421  
Full Year 2006
  $ 481,686     $ (342,495 )   $ 2,078,829       (17.66 %)   $ 23,446     $ 2,102,275       7.2 %   $ 279,146     $ 2,381,421  
 
                                                                       
January 2007
  $ 43,988     $ (29,560 )   $ 2,093,257       (17.06 %)   $ 23,226     $ 2,116,483       8.4 %   $ 281,524     $ 2,398,007  
February 2007
    41,679       (28,065 )     2,106,871       (16.09 %)     23,750       2,130,622       8.3 %     282,586       2,413,208  
March 2007
    46,756       (26,497 )     2,127,130       (15.09 %)     23,629       2,150,759       11.9 %     285,304       2,436,063  
April 2007
    45,833       (30,099 )     2,142,864       (16.98 %)     24,410       2,167,274       9.6 %     286,262       2,453,536  
May 2007
    50,915       (30,430 )     2,163,349       (17.04 %)     35,117       2,198,466       18.7 %     291,299       2,489,765  
June 2007
    53,130       (31,794 )     2,184,685       (17.64 %)     38,128       2,222,813       14.1 %     292,997       2,515,810  
July 2007
    56,129       (28,932 )     2,211,883       (15.89 %)     37,756       2,249,638       15.5 %     295,314       2,544,953  
YTD 2007
  $ 338,431     $ (205,377 )   $ 2,211,883       (16.94 %)   $ 37,756     $ 2,249,638       12.3 %   $ 295,314     $ 2,544,953  
         
Numbers may not sum due to rounding.   See Endnotes and Glossary on Page 3.   Page 1 of 3

 


 

     
 
TABLE 5. MORTGAGE PORTFOLIO COMPOSITION ($ in Millions) 1
 
                                                                         
                                                    Non-Fannie Mae        
    Fannie Mae MBS in Portfolio     Mortgage     Mortgage Securities     Mortgage Portfolio
    Purchases     Sales     Liquidations     Securitizations 4     End Balance     Loans     Agency     Non-Agency     End Balance
         
July 2006
  $ 6,315     $ (2,355 )   $ (4,485 )   $ 2,062     $ 326,963     $ 263,717     $ 33,717     $ 107,046     $ 731,443  
August 2006
    4,523       (8,309 )     (4,046 )     2,019       321,150       265,876       33,412       106,373       726,811  
September 2006
    624       (8,626 )     (4,377 )     1,448       310,219       273,732       32,933       108,649       725,534  
October 2006
    3,483       (6,360 )     (4,088 )     6,606       309,861       270,477       32,631       107,990       720,959  
November 2006
    706       (6,317 )     (4,209 )     1,709       301,750       273,928       32,313       109,446       717,438  
December 2006
    939       (1,721 )     (3,892 )     1,680       298,756       279,146       31,970       114,529       724,400  
Full Year 2006
  $ 38,432     $ (55,267 )   $ (51,752 )   $ 25,783     $ 298,756     $ 279,146     $ 31,970     $ 114,529     $ 724,400  
 
                                                                       
January 2007
  $ 1,099     $ (1,927 )   $ (4,018 )   $ 1,488     $ 295,399     $ 281,524     $ 31,730     $ 112,789     $ 721,442  
February 2007
    350       (9,406 )     (3,682 )     1,531       284,191       282,586       31,230       114,137       712,145  
March 2007
    1,342       (5,496 )     (3,599 )     1,411       277,848       285,304       31,118       118,537       712,806  
April 2007
    588       (2,111 )     (3,591 )     2,519       275,253       286,262       30,896       118,176       710,586  
May 2007
    3,627       (3,640 )     (3,557 )     2,677       274,360       291,299       31,084       121,514       718,257  
June 2007
    3,155       (2,236 )     (3,645 )     2,872       274,507       292,997       32,151       122,820       722,475  
July 2007
    7,796       (4,521 )     (3,499 )     3,185       277,468       295,314       33,136       123,922       729,840  
YTD 2007
  $ 17,957     $ (29,337 )   $ (25,591 )   $ 15,684     $ 277,468     $ 295,314     $ 33,136     $ 123,922     $ 729,840  

 
TABLE 6. LIQUID INVESTMENTS ($ in Millions) 1
 
         
       
    Liquid Investments  
    End Balance  
 
July 2006
  $ 61,535  
August 2006
    67,794  
September 2006
    48,778  
October 2006
    52,229  
November 2006
    51,792  
December 2006
    57,819  
Full Year 2006
  $ 57,819  
 
       
January 2007
  $ 57,484  
February 2007
    68,959  
March 2007
    66,830  
April 2007
    57,355  
May 2007
    55,650  
June 2007
    55,244  
July 2007
    59,231  
YTD 2007
  $ 59,231  
 
TABLE 7. DEBT ACTIVITY ($ in Millions) 5
 
                                                   
    Original Maturity       Original Maturity > 1 Year        
    £ 1 Year               Maturities and                     Total Debt  
    End Balance       Issuances     Redemptions     Repurchases     End Balance     Outstanding  
July 2006
  $ 168,783       $ 12,944     $ (13,064 )   $ (1,705 )   $ 614,551     $ 783,334  
August 2006
    160,315         17,571       (7,938 )     (1,125 )     623,059       783,374  
September 2006
    152,743         10,271       (19,047 )     (424 )     613,858       766,601  
October 2006
    152,136         13,403       (12,717 )     (5,208 )     609,336       761,472  
November 2006
    152,146         12,450       (15,231 )     (606 )     605,949       758,096  
December 2006
    168,623         15,510       (14,664 )     (1,035 )     605,760       774,384  
Full Year 2006
  $ 168,623       $ 181,313     $ (153,743 )   $ (15,513 )   $ 605,760     $ 774,384  
 
                                                 
January 2007
  $ 161,731       $ 19,970     $ (19,991 )   $ (592 )   $ 605,147     $ 766,877  
February 2007
    164,969         17,129       (16,527 )     (328 )     605,420       770,389  
March 2007
    160,901         22,013       (15,859 )     (290 )     611,284       772,185  
April 2007
    159,782         17,049       (16,720 )     (82 )     611,531       771,313  
May 2007
    162,161         20,988       (12,458 )     (691 )     619,370       781,531  
June 2007
    167,586         16,043       (11,020 )     (2,540 )     621,853       789,439  
July 2007
    169,128         15,422       (12,296 )     (2,209 )     622,770       791,898  
YTD 2007
  $ 169,128       $ 128,613     $ (104,871 )   $ (6,732 )   $ 622,770     $ 791,898  


 


 

     

 
TABLE 8. INTEREST RATE RISK DISCLOSURES
 
                         
    Effective     Market Value Sensitivity 7
    Duration Gap     Rate Level     Rate Slope  
    (in months) 6     Shock (50 bp)     Shock (25 bp)  
     
July 2006
    (1 )            
August 2006
    (1 )            
September 2006
    0              
October 2006
    0              
November 2006
    0              
December 2006
    0              
 
                       
January 2007
    0              
February 2007
    0              
March 2007
    (1 )            
April 2007
    0              
May 2007
    0              
June 2007
    1       (1 %)     0 %
July 2007
    1       (1 %)     0 %
 
TABLE 9. SERIOUS DELINQUENCY RATES
 
    Conventional Single-Family 8   Multifamily
    Non-Credit   Credit        
    Enhanced 9   Enhanced 10   Total 11   Total 12
         
June 2006
    0.35 %     1.70 %     0.60 %     0.21 %
July 2006
    0.35 %     1.73 %     0.61 %     0.16 %
August 2006
    0.34 %     1.73 %     0.60 %     0.16 %
September 2006
    0.35 %     1.74 %     0.61 %     0.12 %
October 2006
    0.35 %     1.76 %     0.62 %     0.09 %
November 2006
    0.36 %     1.78 %     0.63 %     0.09 %
December 2006
    0.37 %     1.81 %     0.65 %     0.08 %
 
                               
January 2007
    0.38 %     1.86 %     0.66 %     0.10 %
February 2007
    0.38 %     1.84 %     0.66 %     0.10 %
March 2007
    0.35 %     1.74 %     0.62 %     0.09 %
April 2007
    0.35 %     1.74 %     0.62 %     0.10 %
May 2007
    0.34 %     1.75 %     0.62 %     0.11 %
June 2007
    0.35 %     1.81 %     0.64 %     0.09 %


ADDITIONAL INFORMATION
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. Our “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, excluding consolidated mortgage-related assets acquired through the assumption of debt. 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 current and prior 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 may cause some of this information to change include those related to our securities accounting, loan accounting, consolidation and amortization.
         
Numbers may not sum due to rounding.   See Endnotes and Glossary on Page 3.   Page 2 of 3

 


 

     

ENDNOTES
 
1.   The end balances and business activity in this report represent unpaid principal balances (“UPB”), which do not reflect, for example, market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and discounts and the impact of consolidation of variable interest entities.
 
2.   Includes capitalized interest.
 
3.   Includes Fannie Mae mortgage-backed securities (“Fannie Mae MBS”) issued from Fannie Mae’s portfolio. See Table 5 for monthly activity and balances for Fannie Mae MBS held in the mortgage portfolio.
 
4.   Represents new Fannie Mae MBS created from mortgage loans previously held in the mortgage portfolio. These amounts, included in the Issuance balance in Table 4, have been transferred from mortgage loans to securities, and may be included in sales.
 
5.   Reported amounts represent the unpaid principal balance at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. Unpaid principal balance does not reflect the effect of currency adjustments, debt basis adjustments, amortization of discounts, premiums, and issuance costs.
 
6.   Beginning with June 2007, the effective duration gap is weighted based on the proportional fair value weightings of Fannie Mae’s assets and liabilities. In prior months, the duration gap was not calculated on a weighted basis.
 
7.   These measurements show the estimated loss in the pre-tax fair value of Fannie Mae’s assets and liabilities, including debt and derivatives, that would result from an immediate adverse change in the level of LIBOR rates and in the slope of the LIBOR yield curve, expressed in each case as a percentage of the estimated after-tax fair value of Fannie Mae’s net assets as of December 31, 2006, adjusted for capital transactions since year end. These measurements exclude the sensitivity of the guaranty business.
 
8.   Includes conventional single-family loans three months or more past due or in foreclosure process as a percent of the total number of conventional single-family loans. These rates are based on conventional single-family mortgage loans and exclude reverse mortgages and non-Fannie Mae mortgage securities held in our portfolio.
 
9.   Loans without primary mortgage insurance and/or other credit enhancements.
 
10.   Loans with primary mortgage insurance and/or other credit enhancements.
 
11.   Total conventional single-family serious delinquency rate includes non-credit enhanced and credit enhanced loans.
 
12.   Includes multifamily loans and securities 60 days or more past due and is calculated based on UPB of delinquent multifamily loans owned by Fannie Mae or underlying Fannie Mae guaranteed securities divided by the UPB of multifamily loans owned by Fannie Mae or underlying Fannie Mae guaranteed securities. Data for 2006 have been revised from amounts previously reported to conform to current presentation.

GLOSSARY & OTHER INFORMATION
 
General
Information Changes. Amounts and rates for 2006 reflect data reclassifications, definitional changes and corrections as well as revisions to this presentation. As a result, these amounts and rates may differ from and may not be shown on a comparable basis to those previously reported in Fannie Mae’s Monthly Summary reports.
Risk Disclosures. In addition to the interest rate risk disclosures provided in Table 8, Fannie Mae’s most recent available information relating to subordinated debt, liquidity management, corporate risk ratings and credit risks is included in its 2006 Form 10-K filed with the Securities and Exchange Commission on August 16, 2007.
Compounded Growth Rate. Monthly growth rates are compounded to provide an annualized rate of growth.
Table 1
Total Book of Business. Sum of the Gross Mortgage Portfolio balance and Total Fannie Mae MBS and Other Guarantees balance, less Fannie Mae MBS held in the mortgage portfolio.
New Business Acquisitions. Sum of MBS issuances and Mortgage Portfolio purchases less Fannie Mae MBS purchases and securitizations of mortgage loans previously held in portfolio.
Table 2
Portfolio Commitments. Represents mandatory commitments entered into during the month. Fannie Mae enters into forward commitments to purchase mortgage securities and mortgage loans, or to sell mortgage securities, for the mortgage portfolio. Purchase commitments typically require mandatory delivery and are subject to the payment of pair-off fees for non-delivery.
Commitments to Purchase, Net. Represents mandatory commitments to purchase mortgage loans and mortgage securities, net of mortgage loans for which a cash pair-off has been paid. Pair-offs occur when loans are not delivered against mandatory commitments.
Commitments to Sell. Represents mandatory commitments to sell mortgage securities.
Net Retained Commitments. Represents mandatory commitments to purchase, less commitments to sell, net of mortgage loans for which a cash pair-off has been paid.
Table 3
Gross Mortgage Portfolio. End balance represents the unpaid principal balance (“UPB”) of the mortgage portfolio that Fannie Mae holds for investment and liquidity purposes.
Purchases. Acquisition of mortgage loans and mortgage securities for the mortgage portfolio.
Sales. Sales of mortgage securities from the mortgage portfolio.
Liquidations. Represents the total amount of repayments, curtailments, payoffs, and foreclosures on mortgage loans and mortgages underlying securities held in the mortgage portfolio.
Annualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of the mortgage portfolio, annualized.
Table 4
Fannie Mae Guaranteed Securities and Mortgage Loans. Consists of securities and mortgage loans for which Fannie Mae manages credit risk. This table excludes non-Fannie Mae securities held in the mortgage portfolio, which are shown in Table 5.
Total Fannie Mae MBS. Includes Fannie Mae MBS, private label wraps, whole loan REMICs, and Multifamily discount MBS (DMBS) that Fannie Mae guarantees, regardless of whether those MBS are held in the mortgage portfolio or held by investors other than Fannie Mae. If an MBS has been resecuritized into another MBS, the principal amount is only included once in this total.
Issuances. Represents the total amount of Fannie Mae MBS created during the month, including lender-originated issues and Fannie Mae MBS created from mortgage loans previously held in Fannie Mae’s portfolio. Fannie Mae MBS may be held in portfolio after their creation.
Liquidations. Represents the total amount of repayments, curtailments, payoffs, and foreclosures on mortgages underlying Fannie Mae MBS, including Fannie Mae MBS held in the mortgage portfolio.
Other Fannie Mae Guarantees. Outstanding balance of Fannie Mae guarantees, other than Fannie Mae MBS. This primarily includes credit enhancements we provide on multifamily mortgage assets and Ginnie Mae securities.
Annualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized.
Table 5
Mortgage Portfolio Composition. Shows the primary components of Fannie Mae’s mortgage portfolio and activity relating to Fannie Mae MBS held in the mortgage portfolio.
Non-Fannie Mae Agency Securities. Represents mortgage-related securities issued by Freddie Mac and Ginnie Mae.
Non-Fannie Mae Non-Agency Securities. These are commonly referred to as “private-label securities.”
Table 6
Liquid Investments. Liquid investments serve as Fannie Mae’s primary source of liquidity and an investment vehicle for surplus capital. This balance includes high-quality securities that are short-term or readily marketable, such as commercial paper, asset-backed securities and corporate floating-rate notes. The balance shown does not include cash and cash-equivalents, which are also used for liquidity purposes.
Table 7
Debt Activity. For more information about Fannie Mae’s debt activity, please visit www.fanniemae.com/markets/debt/debt_activity.
Table 8
Effective Duration Gap. The effective duration gap estimates the net sensitivity of the fair value of Fannie Mae’s assets and liabilities to movements in interest rates. This statistic is expressed as a number of months, based on the daily average for the reported month. Beginning with June, the methodology has been updated such that a duration gap of zero implies that the change in the fair value of assets from an interest rate move will be offset by an equal move in the fair value of liabilities, including debt and derivatives, resulting in no change in the fair value of the net assets. The calculation excludes any sensitivity of the guaranty business.
Market Value Sensitivity to Rate Level Shock (50bp). This measurement shows the estimated loss in pre-tax market value of Fannie Mae’s assets and liabilities, expressed as a percentage of the after-tax fair value of Fannie Mae’s net assets (calculated as described in Endnote (8) above), from an immediate adverse 50 basis point shift in the level of LIBOR rates. The measurement excludes any sensitivity of the guaranty business but the after-tax fair value of Fannie Mae’s net assets includes an estimate of the fair value of the guaranty business. Fannie Mae tracks the daily average of this measurement for the reported month.
Market Value Sensitivity to Rate Slope Shock (25bp). This measurement shows the estimated loss in pre-tax market value of Fannie Mae’s assets and liabilities, expressed as a percentage of the after-tax fair value of Fannie Mae’s net assets (calculated as described in Endnote (8) above), from an immediate adverse 25 basis point change in the slope of the LIBOR yield curve. To calculate the “adverse” change in the slope of the LIBOR yield curve, the company calculates the effect of a 25 basis point change in slope that results in a steeper LIBOR yield curve and the effect of a 25 basis point change in slope that results in a flatter LIBOR yield curve, and reports the more adverse of the two results. The measurement excludes any sensitivity of the guaranty business but the after-tax fair value of Fannie Mae’ net assets includes an estimate of the fair value of the guaranty business. Fannie Mae tracks the daily average of this measurement for the reported month.
Table 9
Serious Delinquency Rates. A measure of credit performance and indicator of future defaults for the single-family and multifamily mortgage credit books. We classify single-family loans as seriously delinquent when a borrower has missed three or more consecutive monthly payments, and the loan has not been brought current or extinguished through foreclosure, payoff, or other resolution. A loan referred to foreclosure but not yet foreclosed is also considered seriously delinquent. We include all of the conventional single-family loans that we own or that back Fannie Mae MBS in our single-family delinquency rate, including those with substantial credit enhancement. We classify multifamily loans as seriously delinquent when payment is 60 days or more past due.

For more information about Fannie Mae, please visit www.fanniemae.com or contact our Investor Relations Department at (202) 752-7115
         
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