EX-99.2 3 w18924exv99w2.htm EXHIBIT 99.2 exv99w2
 

EXHIBIT 99.2
FANNIE MAE
MONTHLY SUMMARY
FEBRUARY 2006
HIGHLIGHTS FOR FEBRUARY INCLUDE:
•   Fannie Mae’s book of business grew at a compound annualized rate of 7.1 percent in February, driven by outstanding MBS, which grew at a 14.2 percent compound annualized rate.
 
•   Total business volume was $45.0 billion, compared to $51.1 billion the previous month.
 
•   Portfolio purchases of $11.4 billion were offset by portfolio liquidations of $10.8 billion and portfolio sales of $5.1 billion, which resulted in a 7.2 percent compound annualized decline in the gross mortgage portfolio.
 
•   Lender-originated MBS issues were $34.4 billion compared to $41.5 billion the previous month.
 
•   The conventional single-family delinquency rate (90 days or more delinquent) fell two basis points in January to 0.77 percent. The multifamily delinquency rate (60 days or more delinquent) remained stable at 0.27 percent.
 
•   The duration gap on Fannie Mae’s portfolio averaged zero months in February.
MORTGAGE MARKET HIGHLIGHTS:
•   Total residential mortgage debt outstanding (MDO) grew at a compound annual rate of 13.8 percent during 2005 to a level of $9.8 trillion. Last year’s rate of growth matched that recorded in 2004 as the fastest pace recorded in two decades.

 

 
 
 
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/  
March 2005
   $ 864,648       (13.6 %)   $ 1,441,003       8.9 %   $ 2,305,652       (0.2 %)
April 2005
     851,936       (16.3 %)     1,445,353       3.7 %     2,297,288       (4.3 %)
May 2005
     828,079       (28.9 %)     1,464,884       17.5 %     2,292,963       (2.2 %)
June 2005
     808,225       (25.3 %)     1,485,149       17.9 %     2,293,374       0.2 %
July 2005
     788,786       (25.3 %)     1,498,717       11.5 %     2,287,503       (3.0 %)
August 2005
     768,280       (27.1 %)     1,520,943       19.3 %     2,289,223       0.9 %
September 2005
     727,824       (47.8 %)     1,573,810       50.7 %     2,301,634       6.7 %
October 2005
     717,254       (16.1 %)     1,587,014       10.6 %     2,304,268       1.4 %
November 2005
     715,532       (2.8 %)     1,594,277       5.6 %     2,309,808       2.9 %
December 2005
     727,173       21.4 %     1,598,079       2.9 %     2,325,251       8.3 %
Full year 2005
   $ 727,173       (19.6 %)   $ 1,598,079       13.9 %   $ 2,325,251       0.8 %
 
                                                
January 2006
   $ 725,287       (3.1 %)   $ 1,613,005       11.8 %   $ 2,338,291       6.9 %
February 2006
     720,815       (7.2 %)     1,630,900       14.2 %     2,351,715       7.1 %
YTD 2006
   $ 720,815       (5.1 %)   $ 1,630,900       13.0 %   $ 2,351,715       7.0 %
 
BUSINESS VOLUMES ($ in Millions) 1/
 
                                         
    MBS              
            Fannie Mae     MBS Issues              
    Lender-originated     MBS     Acquired     Portfolio     Business  
    Issues 5/     Purchases 6/     by Others     Purchases     Volume  
March 2005
   $ 31,493     $ 326     $ 31,166     $ 11,206     $ 42,372  
April 2005
     36,838       429       36,409       8,865       45,274  
May 2005
     34,343       219       34,124       11,198       45,322  
June 2005
     40,039       210       39,829       8,964       48,793  
July 2005
     43,344       207       43,138       9,365       52,502  
August 2005
     46,540       176       46,363       11,564       57,927  
September 2005
     61,013       410       60,603       10,021       70,625  
October 2005
     41,563       446       41,117       10,136       51,253  
November 2005
     37,818       1,823       35,995       16,021       52,016  
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  
YTD 2006
   $ 75,940     $ 3,427     $ 72,512     $ 23,616     $ 96,129  
 
MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
 
                                 
                            Mortgage  
    Net Retained                     Portfolio  
    Commitments 7/     Purchases     Purchase Yield 8/     Sales  
March 2005
   $ 9,945     $ 11,206       4.79 %   $ 4,806  
April 2005
     5,104       8,865       5.04 %     1,680  
May 2005
     (8,768 )     11,198       4.99 %     17,812  
June 2005
     (3,185 )     8,964       5.33 %     10,350  
July 2005
     3,858       9,365       5.43 %     9,288  
August 2005
     (21,943 )     11,564       5.27 %     12,507  
September 2005
     (403 )     10,021       5.44 %     31,071  
October 2005
     8,314       10,136       5.50 %     4,437  
November 2005
     20,084       16,021       5.17 %     2,571  
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  
YTD 2006
   $ 18,892     $ 23,616       5.57 %   $ 6,916  
 
1/   Represents unpaid principal balance.
2/   Excludes mark-to-market adjustments, deferred balances and allowance for losses. Includes $332 billion of Fannie Mae MBS as of February 28, 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 $1,350 million in February 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/  
March 2005
   $ 17,049       23.52 %   $ 24,956       20.86 %     0.31 %     1.72 %     0.59 %     0.09 %
April 2005
     19,899       27.82 %     33,740       28.05 %     0.30 %     1.68 %     0.57 %     0.10 %
May 2005
     17,301       24.72 %     27,844       22.96 %     0.30 %     1.68 %     0.57 %     0.10 %
June 2005
     18,502       27.14 %     29,243       23.79 %     0.30 %     1.69 %     0.57 %     0.10 %
July 2005
     19,575       29.42 %     34,429       27.69 %     0.32 %     1.74 %     0.59 %     0.08 %
August 2005
     19,624       30.25 %     34,976       27.80 %     0.32 %     1.76 %     0.59 %     0.08 %
September 2005
     19,468       31.23 %     37,036       28.72 %     0.33 %     1.78 %     0.61 %     0.09 %
October 2005
     16,407       27.25 %     32,350       24.56 %     0.35 %     1.86 %     0.64 %     0.24 %
November 2005
     15,247       25.54 %     31,156       23.50 %     0.46 %     2.11 %     0.77 %     0.27 %
December 2005
     14,318       23.82 %     28,167       21.18 %     0.47 %     2.14 %     0.79 %     0.27 %
Full year 2005
   $ 211,416       26.25 %   $ 368,067       24.59 %                                
 
                                                                
January 2006
   $ 12,405       20.50 %   $ 25,765       19.26 %     0.45 %     2.12 %     0.77 %     0.27 %
February 2006
     10,843       18.00 %     20,830       15.41 %                                
YTD 2006
   $ 23,248       21.34 %   $ 46,595       18.04 %                                
 
AVERAGE INVESTMENT BALANCES
 

Fannie Mae has determined at this time not to provide average investment balances, which are derived from numbers that are subject to restatement.
 
INTEREST RATE RISK DISCLOSURE
 
    Effective  
    Duration Gap 7/  
    (in months)  
March 2005
     1  
April 2005
     -1  
May 2005
     -1  
June 2005
     0  
July 2005
     1  
August 2005
     0  
September 2005
     1  
October 2005
     1  
November 2005
     0  
December 2005
     0  
January 2006
     0  
February 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. Since October 2005, 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 guarantee business.
 
    Numbers may not sum due to rounding.

 

 

In connection with the pending re-audit and restatement of Fannie Mae’s previously published financial statements, management is undertaking a comprehensive review of Fannie Mae’s accounting routines and controls, financial reporting process and the application of generally accepted accounting principles. While most of the information contained in this summary is not derived from Fannie Mae’s financial statements, we expect that some of this information will be impacted by the re-audit and restatement. 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 under review that will cause some of this information to change include those related to securities accounting, loan accounting, consolidation and amortization. More information regarding the re-audit and restatement may be found in Form 8-Ks Fannie Mae filed with the Securities and Exchange Commission on December 22, 2004, March 18, 2005, May 11, 2005, August 9, 2005, November 10, 2005, and March 13, 2006.
For more information about Fannie Mae, please visit www.fanniemae.com or contact us at (202) 752-7115.