EX-99.3 4 w29502exv99w3.htm EX-99.3 exv99w3
 

EXHIBIT 99.3
FANNIE MAE
MONTHLY SUMMARY
DECEMBER 2006
HIGHLIGHTS FOR DECEMBER INCLUDE:
•   The gross mortgage portfolio balance was $724.4 billion in December. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $722 billion in December. (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 8.9 percent in December, driven by a double-digit rise in the gross mortgage portfolio, and continued strength in outstanding MBS. The gross mortgage portfolio increased due to high volume of year-end transactions and a drop in sales.
 
•   Total business volume was $57.7 billion, compared with $49.3 billion in November.
 
•   Lender-originated MBS issues were $39.0 billion, compared with $36.1 billion the previous month.
 
•   Net retained commitments rose to $15.2 billion in December, compared with $8.6 billion the previous month.
 
•   The conventional single-family delinquency rate rose one basis point in November to 0.63 percent (latest data available). The multifamily delinquency rate remained stable at 0.08 percent.
 
•   The duration gap on Fannie Mae’s portfolio averaged zero months in December.
MORTGAGE MARKET HIGHLIGHT:
•   The monthly average ARM share of the number of conventional mortgage applications decreased by 2.4 percentage points during December to 23.7 percent — the lowest monthly average share recorded since July 2003.

 

 

 
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/  
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 %
December 2006
     724,398       12.3 %     1,780,074       7.5 %     2,504,472       8.9 %
Full year 2006
   $ 724,398       (0.4 %)   $ 1,780,074       11.4 %   $ 2,504,472       7.7 %
 
BUSINESS VOLUMES ($ in Millions) 1/
 
                                         
    MBS              
            Fannie Mae     MBS Issues              
    Lender-originated     MBS     Acquired     Portfolio     Business  
    Issues 5/     Purchases 6/     by Others     Purchases     Volume  
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  
December 2006
     38,997       941       38,056       19,606       57,662  
Full year 2006
   $ 455,903     $ 38,423     $ 417,481     $ 196,017     $ 613,498  
 
MORTGAGE PORTFOLIO COMMITMENTS, PURCHASES, AND SALES ($ in Millions) 1/
 
                                 
                            Mortgage  
    Net Retained                     Portfolio  
    Commitments 7/     Purchases     Purchase Yield 8/     Sales  
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  
December 2006
     15,225       19,606       5.63 %     1,860  
Full year 2006
   $ 133,137     $ 196,017       5.84 %   $ 61,182  
 
                                
 
     
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 $299 billion of Fannie Mae MBS as of December 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 $1,680 million in December 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/  
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 %     0.36 %     1.78 %     0.63 %     0.08 %
December 2006
     10,906       18.15 %     29,047       19.64 %                                
Full year 2006
   $ 139,357       19.20 %   $ 290,796       17.27 %                                
 
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)  
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  
December 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.