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

MONTHLY SUMMARY HIGHLIGHTS

December 2021

• Fannie Mae's Guaranty Book of Business increased at a compound annualized rate of 7.0% in December.

• The Conventional Single-Family Serious Delinquency Rate decreased 8 basis points to 1.25% in December.

• The Multifamily Serious Delinquency Rate increased 1 basis point to 0.42% in December.

• As of December 31, 2021, 0.7% of our Single-Family Conventional Guaranty Book of Business based on 

unpaid principal balance and loan count was in active forbearance, the vast majority of which were related to 

COVID-19; 17% of these loans in forbearance (based on loan count) were current. 

• As of December 31, 2021, 0.1% of our Multifamily Guaranty Book of Business based on unpaid principal 

balance was in an active forbearance, the majority of which were related to COVID-19. 

• In December 2021, Fannie Mae issued resecuritizations that were backed by $13.1 billion in Freddie Mac 

securities.8

• As of December 31, 2021, Fannie Mae's maximum exposure to Freddie Mac collateral that was included in 

outstanding Fannie Mae resecuritizations was $212.3 billion.8

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

+ =

December 2020 $ 3,594,975 $ 119,479 $ 3,714,454 7.6 % $ 135,174 

Full Year 2020 $ 3,594,975 $ 119,479 $ 3,714,454 10.3 % $ 1,435,305 

January 2021 $ 3,626,956 $ 105,629 $ 3,732,585 6.0 % $ 138,558 

February 2021 3,647,756 104,519 3,752,275 6.5 % 124,414 

March 2021 3,687,853 114,158 3,802,011 17.1 % 159,216 

April 2021 3,715,594 106,425 3,822,019 6.5 % 145,048 

May 2021 3,753,350 93,315 3,846,665 8.0 % 125,179 

June 2021 3,782,734 90,465 3,873,199 8.6 % 114,039 

July 2021 3,794,273 80,143 3,874,416 0.4 % 91,082 

August 2021 3,822,535 81,874 3,904,409 9.7 % 113,036 

September 2021 3,842,136 80,260 3,922,396 5.7 % 108,784 

October 2021 3,866,327 71,779 3,938,106 4.9 % 107,073 

November 2021 3,884,920 66,324 3,951,244 4.1 % 97,557 

December 2021 3,905,934 67,637 3,973,571 7.0 % 100,721 

YTD 2021 $ 3,905,934 $ 67,637 $ 3,973,571 7.0 % $ 1,424,707 

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

December 2020 $ 79,720 $ (78,733) $ (1,620) $ 162,650 $ 39,085 $ 119,479 $ 3,431 $ 655 $ 162,650 

Full Year 2020 $ 790,192 $ (762,339) $ (18,814) $ 162,650 $ 39,085 $ 119,479 $ 3,431 $ 655 $ 162,650 

January 2021 $ 69,576 $ (84,722) $ (1,445) $ 146,059 $ 36,214 $ 105,629 $ 3,577 $ 639 $ 146,059 

February 2021 60,205 (61,443) (1,393) 143,428 34,792 104,519 3,493 624 143,428 

March 2021 87,668 (72,116) (1,733) 157,247 39,072 114,158 3,405 612 157,247 

April 2021 71,013 (80,561) (1,720) 145,979 35,624 106,425 3,343 587 145,979 

May 2021 59,123 (71,322) (1,465) 132,315 35,070 93,315 3,350 580 132,315 

June 2021 54,171 (60,815) (1,685) 123,986 29,690 90,465 3,282 549 123,986 

July 2021 41,265 (48,696) (1,477) 115,078 31,224 80,143 3,174 537 115,078 

August 2021 48,720 (43,375) (1,452) 118,971 33,446 81,874 3,123 528 118,971 

September 2021 47,543 (54,220) (1,384) 110,910 27,036 80,260 3,093 521 110,910 

October 2021 42,678 (47,201) (1,376) 105,011 29,738 71,779 2,977 517 105,011 

November 2021 41,895 (38,419) (1,305) 107,182 37,435 66,324 2,923 500 107,182 

December 2021 44,143 (40,677) (1,427) 109,221 38,240 67,637 2,860 484 109,221 

YTD 2021 $ 668,000 $ (703,567) $ (17,862) $ 109,221 $ 38,240 $ 67,637 $ 2,860 $ 484 $ 109,221 

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

December 2020 $ 140,715 $ (110,431) $ 3,583,147 (37.3) % $ 11,828 $ 3,594,975 10.6 %

Full Year 2020 $ 1,412,092 $ (1,078,215) $ 3,583,147 (33.2) % $ 11,828 $ 3,594,975 10.2 %

January 2021 $ 151,522 $ (119,304) $ 3,615,365 (40.0) % $ 11,591 $ 3,626,956 11.2 %

February 2021 124,827 (103,986) 3,636,206 (34.5) % 11,550 3,647,756 7.1 %

March 2021 148,886 (108,631) 3,676,461 (35.8) % 11,392 3,687,853 14.0 %

April 2021 151,678 (123,781) 3,704,358 (40.4) % 11,236 3,715,594 9.4 %

May 2021 135,230 (97,359) 3,742,229 (31.5) % 11,121 3,753,350 12.9 %

June 2021 112,510 (83,056) 3,771,683 (26.6) % 11,051 3,782,734 9.8 %

July 2021 100,582 (88,943) 3,783,322 (28.3) % 10,951 3,794,273 3.7 %

August 2021 108,636 (80,273) 3,811,685 (25.5) % 10,850 3,822,535 9.3 %

September 2021 110,262 (90,583) 3,831,364 (28.5) % 10,772 3,842,136 6.3 %

October 2021 113,466 (89,161) 3,855,669 (27.9) % 10,658 3,866,327 7.8 %

November 2021 101,776 (83,039) 3,874,406 (25.8) % 10,514 3,884,920 5.9 %

December 2021 97,792 (76,687) 3,895,511 (23.8) % 10,423 3,905,934 6.7 %

YTD 2021 $ 1,457,167 $ (1,144,803) $ 3,895,511 (31.9) % $ 10,423 $ 3,905,934 8.6 %
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 and 

Redemptions

Foreign Exchange 

Adjustments

Total Debt 

End Balance Issuances Repurchases End Balance Outstanding

December 2020 $ 196,599 $ 12,226 $ 8,290 $ (4,313) $ (42) $ 12 $ 277,793 $ 290,019 

Full Year 2020 $ 196,599 $ 12,226 $ 198,529 $ (74,931) $ (1,378) $ 14 $ 277,793 $ 290,019 

January 2021 $ 203,685 $ 11,290 $ 2,815 $ (3,970) $ — $ 1 $ 276,639 $ 287,929 

February 2021 208,736 10,521 — (3,753) — 8 272,894 283,415 

March 2021 146,622 2,908 — (727) — (5) 272,162 275,070 

April 2021 155,556 3,124 — (7,577) — 1 264,586 267,710 

May 2021 170,284 3,439 — (4,615) — 13 259,984 263,423 

June 2021 164,946 2,331 — (9,585) — (9) 250,390 252,721 

July 2021 165,902 3,056 — (7,175) — 2 243,217 246,273 

August 2021 159,912 3,296 — (4,765) — (4) 238,448 241,744 

September 2021 160,386 8,045 20 (10,391) — (7) 228,070 236,115 

October 2021 143,292 3,045 — (20,342) — 5 207,733 210,778 

November 2021 142,747 3,045 — (150) (2,090) (10) 205,483 208,528 

December 2021 133,933 2,795 — (5,800) — 6 199,689 202,484 

YTD 2021 $ 133,933 $ 2,795 $ 2,835 $ (78,850) $ (2,090) $ 1 $ 199,689 $ 202,484 

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 - 2021 Overall Other4 Transfer5 Overall Multifamily6

December 2020 5.88 % 9.98 % 2.39 % 2.87 % 2.36 % 4.36 % 3.69 % 2.87 % 0.98 %

January 2021 5.87 % 9.98 % 2.32 % 2.80 % 2.28 % 4.29 % 3.71 % 2.80 % 0.96 %

February 2021 5.90 % 10.01 % 2.29 % 2.76 % 2.23 % 4.30 % 3.77 % 2.76 % 0.84 %

March 2021 5.66 % 9.65 % 2.13 % 2.58 % 2.06 % 4.06 % 3.65 % 2.58 % 0.66 %

April 2021 5.44 % 9.33 % 1.94 % 2.38 % 1.89 % 3.76 % 3.45 % 2.38 % 0.55 %

May 2021 5.27 % 9.09 % 1.82 % 2.24 % 1.76 % 3.55 % 3.34 % 2.24 % 0.53 %

June 2021 5.04 % 8.75 % 1.69 % 2.08 % 1.63 % 3.31 % 3.21 % 2.08 % 0.53 %

July 2021 4.82 % 8.26 % 1.57 % 1.94 % 1.52 % 3.08 % 3.04 % 1.94 % 0.46 %

August 2021 4.47 % 7.57 % 1.46 % 1.79 % 1.39 % 2.88 % 2.93 % 1.79 % 0.42 %

September 2021 4.25 % 7.21 % 1.31 % 1.62 % 1.26 % 2.64 % 2.66 % 1.62 % 0.42 %

October 2021 4.02 % 6.90 % 1.17 % 1.46 % 1.13 % 2.43 % 2.40 % 1.46 % 0.45 %

November 2021 3.61 % 6.05 % 1.08 % 1.33 % 1.01 % 2.26 % 2.28 % 1.33 % 0.41 %

December 2021 3.48 % 5.87 % 1.01 % 1.25 % 0.98 % 2.14 % 1.80 % 1.25 % 0.42 %

December 2021 % of Book Outstanding 1 % 2 % 97 % 66 % 20 % 22 %

Table 8. INTEREST RATE RISK DISCLOSURES

Market Value Sensitivity ($ in Millions) Effective

Rate Level Rate Slope Duration Gap

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

December 2020 $ (93) $ (16) 0.03 

Full Year 2020 $ (36) $ (24) 

January 2021 $ (75) $ (10) 0.02 

February 2021 (78) (11) 0.01 

March 2021 (59) (17) 0.03 

April 2021 (41) (12) 0.05 

May 2021 (62) (11) 0.01 

June 2021 (78) (10) (0.01) 

July 2021 (79) (2) (0.02) 

August 2021 (84) 1 (0.03) 

September 2021 (86) (1) (0.04) 

October 2021 (62) (2) (0.03) 

November 2021 (84) (5) (0.06) 

December 2021 (84) (8) (0.07) 

YTD 2021 $ (73) $ (7) 
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. When Fannie Mae resecuritizes Freddie Mac securities in a Fannie Mae 

structured security, Fannie Mae reports the additive portion of the Freddie Mac securities that Fannie Mae guarantees in the Monthly Summary Highlights.

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 long-term standby commitments Fannie Mae has 

issued and credit enhancements it has provided.

Table 5

Other Investments. Primarily consists of cash and readily marketable instruments such as certificates of deposit, federal funds sold, 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 

three months 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 Macacquired 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 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 $250 billion and this cap will decrease to $225 billion on December 31, 2022 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 $225 billion cap pursuant to instructions from FHFA. For this 

purpose, the balance of our retained mortgage portfolio was $111.2 billion as of December 31, 2021, which includes $2.0 billion representing 10% of the notional amount of the interest-only 

securities we held as of December 31, 2021.

8. December 2021 Monthly Summary reposted on February 25, 2022 to correct December 2021 resecuritization information in the Monthly Summary Highlights.