Fannie Mae 2002 Annual Report Download - page 51

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49
FANNIE MAE 2002 ANNUAL REPORT
Guaranteed MBS and other mortgage-related securities held
by investors other than Fannie Mae, which we refer to as
outstanding MBS, grew 20 percent to $1.029 trillion at
December 31, 2002, from $859 billion at December 31, 2001.
REMICs that could subject Fannie Mae to additional credit
exposure totaled $35 billion at December 31, 2002 or
3 percent of outstanding MBS held by investors other than
Fannie Mae. Total MBS, which includes guaranteed MBS
and other mortgage-related securities held in our mortgage
portfolio, grew 19 percent to $1.538 trillion at year-end 2002
from $1.290 trillion at year-end 2001.
MBS issues acquired by investors other than Fannie Mae
increased $134 billion to $478 billion in 2002, while
liquidations of outstanding MBS increased $124 billion to
$324 billion. The increase in MBS issuances and liquidations
in 2002 was attributable to the decline in mortgage interest
rates during the year resulting in higher levels of mortgage
originations, including refinancings. Total MBS issues,
excluding MBS issued from Fannie Mae’s mortgage
portfolio, increased 38 percent to $723 billion in 2002 from
$525 billion in 2001, while total MBS liquidations grew
69 percent to $499 billion from $296 billion in 2001.
REMIC issuances totaled $144 billion in 2002, compared
with $124 billion in 2001. Our REMIC issuances rebounded
in 2001 with the rest of the REMIC market and steadily
increased in 2002. The steeper yield curve made the REMIC
market more attractive, resulting in an increased demand for
REMICs. In addition, lower interest rates contributed to
higher MBS issuances and increased collateral available for
REMICs. The outstanding balance of REMICs (including
REMICs held in Fannie Mae’s portfolio) was $347 billion
at December 31, 2002, compared with $346 billion at
December 31, 2001.
Commitments
Fannie Mae enters into master delivery commitments on
either a mandatory or an optional basis. Under a mandatory
master commitment, a lender must either deliver loans under
an MBS contract at a specified guaranty fee rate or enter into
a mandatory portfolio commitment with the yield established
upon executing the portfolio commitment. We also accept
mandatory or lender-option delivery commitments not
issued pursuant to a master commitment. These
commitments may be for our mortgage portfolio or for
issuances of Fannie Mae MBS. The guaranty fee rate on
MBS lender-option commitments is specified in the contract,
while the yield for portfolio lender-optional commitments
is set at the date of conversion to a mandatory commitment.
We generally hedge the cost of funding future portfolio
purchases upon issuance of, or conversion to, a mandatory
commitment. Therefore, we largely mitigate the interest
rate risk relating to loans purchased pursuant to those
commitments. Our outstanding mandatory portfolio
commitments, excluding commitments under master
agreements, totaled $85 billion and $55 billion at
December 31, 2002 and 2001, respectively.
TABLE 17: GUARANTEED MBS AND OTHER MORTGAGE-RELATED SECURITIES1
Outstanding
Issues
Held by Acquired Total
Dollars in millions
Other Investors Total
2
by Others Issued
3
2002 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$1,029,456
$1,538,287 $478,260 $723,299
2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 858,867 1,290,351 344,739 525,321
2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706,684 1,057,750 105,407 210,311
1MBS may be resecuritized to back Fannie Megas, SMBS, or REMICs. With respect to those MBS, the amounts shown only include the principal amount of the MBS once. Amounts also include REMICs created from
whole loans not owned or guaranteed by Fannie Mae.
2Includes $509 billion, $431 billion, and $351 billion at December 31, 2002, 2001, and 2000, respectively, of MBS and other mortgage-related securities in Fannie Mae’s mortgage portfolio.
3Total issued includes $245 billion, $181 billion, and $105 billion of MBS purchased by Fannie Mae in 2002, 2001, and 2000, respectively. Total issued excludes $16 billion, $3 billion, and $2 billion of MBS in 2002,
2001, and 2000, respectively, that Fannie Mae issued from loans in our portfolio.