EX-99.1 2 w24539exv99w1.htm EX-99.1 exv99w1
 

EXHIBIT 99.1
FANNIE MAE
MONTHLY SUMMARY
JULY 2006
HIGHLIGHTS FOR JULY INCLUDE:
•   The gross mortgage portfolio balance was $731.4 billion in July. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $724 billion in July. (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 2.5 percent in July compared with 9.5 percent in June.
 
•   Total business volume was $42.7 billion, compared with $56.2 billion the previous month.
 
•   Lender-originated MBS issues were $33.9 billion, compared with $40.5 billion in June.
 
•   Net retained commitments were $6.0 billion in July, compared with $13.2 billion the previous month.
 
•   The conventional single-family delinquency rate (90 days or more delinquent) fell two basis points in June to 0.60 percent. The multifamily delinquency rate (60 days or more delinquent) rose five basis points to 0.19 percent.
 
•   The duration gap on Fannie Mae’s portfolio averaged minus one month in July.
MORTGAGE MARKET HIGHLIGHTS:
•   Overall conventional mortgage application activity fell by 1.9 percent during July (on a seasonally-adjusted basis) to the lowest level recorded since May 2002.

 

 

         
 
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 2005
   $ 768,636       (27.1 %)   $ 1,520,943       19.3 %   $ 2,289,579       0.9 %
September 2005
     728,187       (47.7 %)     1,573,810       50.7 %     2,301,997       6.7 %
October 2005
     717,618       (16.1 %)     1,587,014       10.6 %     2,304,632       1.4 %
November 2005
     715,896       (2.8 %)     1,594,277       5.6 %     2,310,172       2.9 %
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 %
YTD 2006
   $ 731,439       0.9 %   $ 1,683,451       9.3 %   $ 2,414,890       6.7 %
         
 
BUSINESS VOLUMES ($ in Millions) 1/
       
 
                                         
    MBS              
            Fannie Mae     MBS Issues              
    Lender-originated     MBS     Acquired     Portfolio     Business  
    Issues 5/     Purchases 6/     by Others     Purchases     Volume  
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  
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  
YTD 2006
   $ 257,085     $ 28,145     $ 228,940     $ 113,357     $ 342,297  
         
 
MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
       
 
                                 
                            Mortgage  
    Net Retained                     Portfolio  
    Commitments 7/     Purchases     Purchase Yield 8/     Sales  
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  
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  
YTD 2006
   $ 84,171     $ 113,357       5.75 %   $ 27,663  
 
     
 
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 $327 billion of Fannie Mae MBS as of July 31, 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 $2,062 million in July 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/  
August 2005
   $ 19,624       30.23 %   $ 34,976       27.80 %     0.32 %     1.76 %     0.59 %     0.08 %
September 2005
     19,468       31.22 %     37,036       28.72 %     0.33 %     1.78 %     0.61 %     0.09 %
October 2005
     16,407       27.23 %     32,350       24.56 %     0.35 %     1.86 %     0.64 %     0.24 %
November 2005
     15,247       25.53 %     31,156       23.50 %     0.46 %     2.11 %     0.77 %     0.27 %
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 %                                
YTD 2006
   $ 82,559       19.45 %   $ 167,491       17.46 %                                
         
 
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)  
 
      
August 2005
     0  
September 2005
     1  
October 2005
     1  
November 2005
     0  
December 2005
     0  
January 2006
     0  
February 2006
     0  
March 2006
     0  
April 2006
     1  
May 2006
     0  
June 2006
     -1  
July 2006
     -1  
 
     
 
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 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 under review 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 Forms 8-K Fannie Mae filed with the Securities and Exchange Commission, including Forms 8-K filed on March 13, 2006, May 9, 2006 and August 9, 2006.
For more information about Fannie Mae, please visit www.fanniemae.com or contact us at (202) 752-7115.