Numbers may not sum due to rounding See Glossary and Endnotes on Pages 3 and 4

MONTHLY SUMMARY HIGHLIGHTS

January 2023

•Fannie Mae's Guaranty Book of Business decreased at a compound annualized rate 

of 0.4% in January.

•The Conventional Single-Family Serious Delinquency Rate decreased 1 basis point 

to 0.64% in January.

•The Multifamily Serious Delinquency Rate remained flat at 0.24% in January.

•As of January 31, 2023, Fannie Mae's maximum exposure to Freddie Mac collateral 

that was included in outstanding Fannie Mae resecuritizations was $232.4 billion.

IMPORTANT NOTE:

Fannie Mae has been under conservatorship, with the Federal Housing Finance 

Agency (FHFA) acting as conservator, since September 6, 2008.

TABLE 1. GUARANTY BOOK OF BUSINESS ($ in Millions) 1

Fannie Mae MBS, excluding 

the portion backed by 

Freddie Mac securities, and 

Other Guarantees

[Table 4]

Mortgage 

Loans

[Table 3]

Fannie Mae 

Guaranty Book 

of Business

Compounded 

Growth Rate

New Business 

Acquisitions

+ =

January 2022 $ 3,933,261 $ 67,745 $ 4,001,006 8.6 % $ 100,865 

February 2022 3,951,974 64,248 4,016,222 4.7 % 71,755 

March 2022 3,979,208 68,271 4,047,479 9.7 % 82,966 

April 2022 3,992,451 65,147 4,057,598 3.0 % 68,367 

May 2022 4,002,086 66,256 4,068,342 3.2 % 61,189 

June 2022 4,018,018 64,599 4,082,617 4.3 % 61,547 

July 2022 4,025,585 59,085 4,084,670 0.6 % 45,725 

August 2022 4,031,471 56,999 4,088,470 1.1 % 43,743 

September 2022 4,037,886 55,942 4,093,828 1.6 % 44,286 

October 2022 4,043,368 54,658 4,098,026 1.2 % 40,338 

November 2022 4,044,199 55,221 4,099,420 0.4 % 33,301 

December 2022 4,046,353 55,717 4,102,070 0.8 % 30,456 

Full Year 2022 $ 4,046,353 $ 55,717 $ 4,102,070 3.2 % $ 684,538 

January 2023 $ 4,047,493 $ 53,292 $ 4,100,785 (0.4) % $ 25,479 

YTD 2023 $ 4,047,493 $ 53,292 $ 4,100,785 (0.4) % $ 25,479 

Page 1 of 4

TABLE 2. RETAINED MORTGAGE PORTFOLIO ACTIVITY ($ in Millions) 1,7 TABLE 3. RETAINED MORTGAGE PORTFOLIO COMPOSITION ($ in Millions) 1,7

Retained Mortgage 

Portfolio End Balance

Fannie Mae MBS 

in Portfolio

Non-Fannie Mae Mortgage Securities Retained Mortgage Portfolio 

Purchases Sales Liquidations Mortgage Loans Agency Non-Agency End Balance

January 2022 $ 39,658 $ (39,248) $ (1,134) $ 108,497 $ 37,462 $ 67,745 $ 2,812 $ 478 $ 108,497 

February 2022 30,070 (41,693) (1,138) 95,736 28,257 64,248 2,759 472 95,736 

March 2022 36,824 (28,412) (1,398) 102,750 31,315 68,271 2,699 465 102,750 

April 2022 30,635 (37,162) (1,307) 94,916 26,681 65,147 2,638 450 94,916 

May 2022 25,624 (28,119) (1,161) 91,260 21,982 66,256 2,577 445 91,260 

June 2022 23,864 (22,735) (1,069) 91,320 23,780 64,599 2,503 438 91,320 

July 2022 17,232 (23,958) (991) 83,603 21,649 59,085 2,435 434 83,603 

August 2022 16,594 (20,152) (941) 79,104 19,307 56,999 2,369 429 79,104 

September 2022 18,295 (12,528) (889) 83,982 25,331 55,942 2,284 425 83,982 

October 2022 15,999 (22,353) (884) 76,744 19,462 54,658 2,206 418 76,744 

November 2022 12,112 (13,307) (753) 74,796 17,031 55,221 2,129 415 74,796 

December 2022 10,733 (6,929) (858) 77,742 19,577 55,717 2,044 404 77,742 

Full Year 2022 $ 277,640 $ (296,596) $ (12,523) $ 77,742 $ 19,577 $ 55,717 $ 2,044 $ 404 $ 77,742 

January 2023 $ 10,398 $ (9,438) $ (922) $ 77,780 $ 22,140 $ 53,292 $ 1,946 $ 402 $ 77,780 

YTD 2023 $ 10,398 $ (9,438) $ (922) $ 77,780 $ 22,140 $ 53,292 $ 1,946 $ 402 $ 77,780 

TABLE 4. FANNIE MAE MBS AND OTHER GUARANTEES ($ in Millions) 1

Fannie Mae MBS, excluding the portion backed by Freddie Mac securities

+ Other Fannie Mae 

Guarantees =

Fannie Mae MBS, excluding the portion backed by 

Issuances Liquidations End Balance Liquidation Rate Freddie Mac securities, and Other Guarantees Compounded Growth Rate

January 2022 $ 101,585 $ (74,211) $ 3,922,885 (22.9) % $ 10,376 $ 3,933,261 8.7 %

February 2022 76,961 (58,223) 3,941,623 (17.8) % 10,351 3,951,974 5.9 %

March 2022 80,603 (53,346) 3,968,880 (16.2) % 10,328 3,979,208 8.6 %

April 2022 71,539 (58,175) 3,982,244 (17.6) % 10,207 3,992,451 4.1 %

May 2022 59,649 (49,966) 3,991,927 (15.1) % 10,159 4,002,086 2.9 %

June 2022 61,939 (45,958) 4,007,908 (13.8) % 10,110 4,018,018 4.9 %

July 2022 51,331 (43,547) 4,015,692 (13.0) % 9,893 4,025,585 2.3 %

August 2022 44,712 (38,687) 4,021,717 (11.6) % 9,754 4,031,471 1.8 %

September 2022 45,746 (39,311) 4,028,152 (11.7) % 9,734 4,037,886 1.9 %

October 2022 40,854 (35,353) 4,033,653 (10.5) % 9,715 4,043,368 1.6 %

November 2022 32,167 (31,284) 4,034,536 (9.3) % 9,663 4,044,199 0.2 %

December 2022 30,132 (27,888) 4,036,780 (8.3) % 9,573 4,046,353 0.6 %

Full Year 2022 $ 697,218 $ (555,949) $ 4,036,780 (14.3) % $ 9,573 $ 4,046,353 3.6 %

January 2023 $ 27,916 $ (26,756) $ 4,037,940 (8.0) % $ 9,553 $ 4,047,493 0.3 %

YTD 2023 $ 27,916 $ (26,756) $ 4,037,940 (8.0) % $ 9,553 $ 4,047,493 0.3 %
Numbers may not sum due to rounding See Glossary and Endnotes on Pages 3 and 4 Page 2 of 4

TABLE 5. OTHER INVESTMENTS ($ in Millions) 1 TABLE 6. DEBT ACTIVITY($ in Millions) 2

Original Maturity Original Maturity > 1 Year

Other Investments End 

Balance

< 1 Year Maturities, Redemptions 

and Repurchases

Foreign Exchange 

Adjustments

Total Debt 

End Balance Issuances End Balance Outstanding

January 2022 $ 127,753 $ 2,545 $ — $ (13,697) $ (2) $ 185,970 $ 188,515 

February 2022 139,423 2,795 — (345) (1) 185,624 188,419 

March 2022 126,804 4,045 — (6,311) (7) 179,306 183,351 

April 2022 112,097 2,795 — (15,111) (14) 164,181 166,976 

May 2022 109,898 2,545 — (15,198) 1 148,984 151,529 

June 2022 107,278 7,595 — (8,253) (10) 140,721 148,316 

July 2022 90,895 3,295 — (6,478) — 134,243 137,538 

August 2022 111,596 3,045 1,000 (1,174) (14) 134,055 137,100 

September 2022 106,001 2,995 — (2,124) (12) 131,919 134,914 

October 2022 113,200 2,795 — (2,177) 8 129,750 132,545 

November 2022 125,616 9,927 730 (132) 14 130,362 140,289 

December 2022 121,091 10,229 231 (1,570) — 129,023 139,252 

Full Year 2022 $ 121,091 $ 10,229 $ 1,961 $ (72,570) $ (37) $ 129,023 $ 139,252 

January 2023 $ 124,010 $ 11,664 $ 730 $ (2,037) $ 5 $ 127,721 $ 139,385 

YTD 2023 $ 124,010 $ 11,664 $ 730 $ (2,037) $ 5 $ 127,721 $ 139,385 

TABLE 7. SERIOUS DELINQUENCY RATES

Conventional Single-Family3

Credit Enhanced

Vintage by Origination Year Non-Credit 

Enhanced

Primary MI and Credit Risk 

2004 and Prior 2005 - 2008 2009 - 2023 Overall Other4 Transfer5 Overall Multifamily6

January 2022 3.39 % 5.67 % 0.95 % 1.17 % 0.93 % 2.03 % 1.63 % 1.17 % 0.39 %

February 2022 3.30 % 5.46 % 0.89 % 1.11 % 0.89 % 1.92 % 1.45 % 1.11 % 0.40 %

March 2022 3.12 % 5.14 % 0.81 % 1.01 % 0.83 % 1.77 % 1.23 % 1.01 % 0.38 %

April 2022 2.98 % 4.88 % 0.74 % 0.94 % 0.78 % 1.64 % 1.08 % 0.94 % 0.35 %

May 2022 2.86 % 4.67 % 0.69 % 0.87 % 0.73 % 1.52 % 0.94 % 0.87 % 0.35 %

June 2022 2.75 % 4.45 % 0.63 % 0.81 % 0.69 % 1.40 % 0.84 % 0.81 % 0.34 %

July 2022 2.60 % 4.11 % 0.60 % 0.76 % 0.65 % 1.32 % 0.77 % 0.76 % 0.32 %

August 2022 2.48 % 3.95 % 0.57 % 0.72 % 0.62 % 1.25 % 0.72 % 0.72 % 0.30 %

September 2022 2.41 % 3.83 % 0.55 % 0.69 % 0.60 % 1.21 % 0.68 % 0.69 % 0.26 %

October 2022 2.34 % 3.71 % 0.53 % 0.67 % 0.58 % 1.19 % 0.67 % 0.67 % 0.27 %

November 2022 2.15 % 3.49 % 0.52 % 0.64 % 0.55 % 1.16 % 0.65 % 0.64 % 0.27 %

December 2022 2.16 % 3.49 % 0.53 % 0.65 % 0.55 % 1.19 % 0.66 % 0.65 % 0.24 %

January 2023 2.11 % 3.40 % 0.52 % 0.64 % 0.55 % 1.17 % 0.65 % 0.64 % 0.24 %

January 2023 % of Book Outstanding 1 % 1 % 98 % 58 % 21 % 31 %

Table 8. INTEREST RATE RISK DISCLOSURES

Market Value Sensitivity ($ in Millions)

Rate Level Rate Slope Duration Gap

Shock (50 bp) Shock (25 bp) (in years)

January 2022 (60) 9 (0.05) 

February 2022 (71) (6) (0.05) 

March 2022 (56) (10) (0.03) 

April 2022 (39) (4) (0.03) 

May 2022 (43) (5) (0.03) 

June 2022 (27) (5) (0.02) 

July 2022 (41) (8) (0.04) 

August 2022 (31) (7) (0.03) 

September 2022 (23) (6) (0.02) 

October 2022 (18) (4) (0.01) 

November 2022 (13) (5) 0.01 

December 2022 (15) (7) 0.01 

Full Year 2022 (36) (6) 

January 2023 (27) (12) 0.02 

YTD 2023 (27) (12) 
GLOSSARY & OTHER INFORMATION

General

Fannie Mae's maximum exposure to Freddie Mac collateral. Fannie Mae and Freddie Mac began issuing uniform mortgage-backed securities (“UMBS”) in June 2019. Fannie Mae also began issuing 

commingled resecuritizations backed in whole or in part by Freddie Mac securities. Fannie Mae excludes the portion of Fannie Mae MBS outstanding ultimately backed by Freddie Mac securities from its 

guaranty book of business and reports its maximum exposure to Freddie Mac collateral in its Monthly Summary Highlights. This amount represents the maximum amount of Freddie Mac securities that 

Fannie Mae guarantees.

Risk Disclosures. In addition to the interest rate risk disclosures provided in Table 8, Fannie Mae's most recent available information relating to debt, liquidity management and credit risk is included in its 

most recent Form 10-K or Form 10-Q filed with the Securities and Exchange Commission.

Compounded Growth Rate. Monthly growth rates are compounded to provide an annualized growth rate.

Table 1

Guaranty Book of Business. Consists of (1) Fannie Mae MBS outstanding (excluding the portions of any structured securities Fannie Mae issues that are backed by Freddie Mac securities), (2) other 

credit enhancements that Fannie Mae provides on mortgage assets, and (3) mortgage loans of Fannie Mae held in its retained mortgage portfolio. 

New Business Acquisitions. Single-family and multifamily mortgage loans purchased during the period and single-family and multifamily mortgage loans underlying Fannie Mae MBS issued pursuant to 

lender swaps. 

Table 2

Retained Mortgage Portfolio Activity. Ending balance represents the unpaid principal balance ("UPB") of Fannie Mae's retained mortgage portfolio. Excludes certain matched trades and certain early 

funding activities.

Purchases. Acquisition of mortgage loans and mortgage securities for the retained mortgage portfolio.

Sales. Sales of mortgage securities and mortgage loans from the retained mortgage portfolio.

Liquidations. Represents the total amount of repayments, curtailments, payoffs, and foreclosures on mortgage loans and mortgages underlying securities held in the retained mortgage portfolio.

Table 3

Retained Mortgage Portfolio Composition. Shows the primary components of Fannie Mae's retained mortgage portfolio.

Fannie Mae MBS in portfolio. Includes Fannie Mae commingled securities, which may be backed in whole or in part by Freddie Mac securities. 

Non-Fannie Mae Agency Securities. Represents mortgage-related securities issued by Freddie Mac and Ginnie Mae. May include commingled Freddie Mac securities backed in whole or in part by 

Fannie Mae MBS.

Table 4

Fannie Mae MBS, excluding the portion backed by Freddie Mac securities. Includes Fannie Mae MBS, private-label wraps, whole loan real estate mortgage investment conduit securities (REMICs), 

and Ginnie Mae wraps. 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 retained mortgage 

portfolio.

Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized.

Other Fannie Mae Guarantees. Outstanding balance of Fannie Mae guaranty arrangements that are not Fannie Mae MBS. This primarily includes credit enhancements Fannie Mae has provided and 

long-term standby commitments it has issued.

Table 5

Other Investments. Primarily consists of cash and readily marketable instruments such as certificates of deposit, securities purchased under agreements to resell and Treasury bills.

Table 6

Debt Activity. Debt is classified in the table based on its original maturity. For debt with an original term of more than one year, the portion of that long-term debt that is due within one year is not 

reclassified to "Original Maturity < 1 Year." For more information about Fannie Mae's debt activity, please visit www.fanniemae.com/debtreports.

Table 7

Serious Delinquency Rates. A measure of credit performance and indicator of potential future defaults for the single-family and multifamily guaranty books. Single-family seriously delinquent loans are 

loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans are 60 days or more past due. We report loans receiving payment forbearance as delinquent 

according to the contractual terms of the loan. Fannie Mae includes in its single-family delinquency rate conventional single-family loans that it owns and that back Fannie Mae MBS and excludes Freddie 

Mac-acquired mortgage loans underlying Freddie Mac securities that Fannie Mae has resecuritized.

Page 3 of 4
GLOSSARY & OTHER INFORMATION (Continued)

Table 8

The interest rate risk measures provide useful estimates of interest-rate risk and include the impact of Fannie Mae's purchases and sales of derivative instruments, which Fannie Mae uses to limit its 

exposure to changes in interest rates. While we believe that our market value sensitivity and duration gap metrics are useful risk management tools, they should be understood as estimates rather than 

precise measurements. Methodologies employed to calculate interest-rate risk sensitivity disclosures are periodically changed on a prospective basis to reflect improvements in the underlying estimation 

processes.

Market Value Sensitivity to Rate Level Shock (50bp). This measurement shows the most adverse pre-tax impact on the market value of Fannie Mae’s on-balance sheet assets and liabilities from an 

immediate adverse 50 basis point shift in the level of LIBOR rates. The amounts shown are estimates, not precise measurements. The measurement excludes any sensitivity 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 most adverse pre-tax impact on the market value of Fannie Mae’s on-balance sheet assets and liabilities 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 amounts shown are estimates, not precise measurements. The measurement excludes any sensitivity of the guaranty business. Fannie Mae tracks the daily average of this measurement for 

the reported month.

Effective Duration Gap. The effective duration gap estimates the net sensitivity of the fair value of Fannie Mae’s on-balance sheet assets and liabilities to movements in interest rates. This statistic is 

expressed as a number of years, based on the daily average for the reported month. 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.

Page 4 of 4

ENDNOTES

Note:

1. The end balances and business activity in this report represent UPB, which does not reflect market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and 

discounts, and the impact of consolidation of variable interest entities.

2. Reported amounts represent the UPB at each reporting period or, in the case of long-term zero coupon bonds, at maturity. Also includes credit risk-sharing securities that were issued as 

Connecticut Avenue Securities® prior to November 2018. UPB does not reflect the effect of debt basis adjustments, including discounts, premiums, and issuance costs.

3. Delinquency rates represent seriously delinquent conventional single-family loans as a percentage 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 Fannie Mae's portfolio. The credit-enhanced categories are not mutually exclusive. 

A loan with primary mortgage insurance that is also covered by a credit risk transfer transaction will be included in both the "Primary MI and Other" category and the "Credit Risk Transfer" 

category. The percentage of book outstanding is calculated based on the aggregate UPB of conventional single-family loans for each category, divided by the aggregate UPB of loans in Fannie 

Mae's single-family conventional book of business.

4. Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, collateral, letters of credit, corporate guarantees, or other agreements to provide an 

entity with some assurance that it will be compensated to some degree in the event of a financial loss. Excludes loans covered by credit risk transfer transactions unless such loans are also 

covered by primary mortgage insurance.

5. Refers to loans included in reference pools for credit risk transfer transactions, including loans in these transactions that are also covered by primary mortgage insurance. For Connecticut Avenue 

Securities and some lender risk-sharing transactions, this represents the outstanding UPB of the underlying loans on the single-family mortgage credit book, not the outstanding reference pool, as 

of the specified date. 

6. Calculated based on the UPB of seriously 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.

7. The amount of mortgage assets that we may own in our retained mortgage portfolio is capped at $225 billion under the terms of our senior preferred stock purchase agreement with the U.S. 

Department of Treasury. We are currently managing our business to a $202.5 billion mortgage asset cap pursuant to instructions from FHFA. For this purpose, the balance of our retained 

mortgage portfolio was $79.5 billion as of January 31, 2023, which includes $1.7 billion representing 10% of the notional amount of the interest-only securities we held as of January 31, 2023.