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

MONTHLY SUMMARY HIGHLIGHTS

September 2020

• Fannie Mae's Guaranty Book of Business increased at a compound annualized rate of 6.2% in September.

• The Conventional Single-Family Serious Delinquency Rate decreased 12 basis points to 3.20% in September.

• The Multifamily Serious Delinquency Rate decreased 8 basis points to 1.12% in September.

• As of September 30, 2020, 4.7% and 4.1% of our Single-Family Conventional Book of Business based on unpaid principal 

balance and loan count, respectively, was in active forbearance, the vast majority of which were related to COVID-19; 20% of 

these loans in forbearance (based on loan count) were still current. 

• As of September 30, 2020, 0.5% of our Multifamily Guaranty Book of Business based on unpaid principal balance, was in an 

active forbearance, the vast majority of which were related to COVID-19. 

• In September 2020, Fannie Mae issued resecuritizations that were backed by $8.7 billion in Freddie Mac securities. 

• As of September 30, 2020, Fannie Mae's maximum exposure to Freddie Mac collateral that was included in outstanding Fannie 

Mae resecuritizations was $117.7 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

+ =

September 2019 $ 3,231,290 $ 121,520 $ 3,352,810 5.0 % $ 71,488 

October 2019 3,242,888 116,163 3,359,051 2.3 % 73,559 

November 2019 3,250,825 109,226 3,360,051 0.4 % 67,541 

December 2019 3,261,940 105,558 3,367,498 2.7 % 65,801 

Full Year 2019 $ 3,261,940 $ 105,558 $ 3,367,498 3.0 % $ 666,878 

January 2020 $ 3,272,087 $ 102,097 $ 3,374,184 2.4 % $ 62,449 

February 2020 3,283,602 100,806 3,384,408 3.7 % 59,428 

March 2020 3,303,001 110,092 3,413,093 10.7 % 83,004 

April 2020 3,336,487 125,332 3,461,819 18.5 % 121,839 

May 2020 3,375,500 115,616 3,491,116 10.6 % 120,930 

June 2020 3,409,998 117,994 3,527,992 13.4 % 128,210 

July 2020 3,437,108 115,438 3,552,546 8.7 % 128,168 

August 2020 3,472,422 124,386 3,596,808 16.0 % 149,365 

September 2020 3,493,512 121,341 3,614,853 6.2 % 129,252 

YTD 2020 $ 3,493,512 $ 121,341 $ 3,614,853 9.9 % $ 982,645 

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

September 2019 $ 34,644 $ (39,179) $ (2,759) $ 176,989 $ 49,694 $ 121,520 $ 3,802 $ 1,973 $ 176,989 

October 2019 36,954 (36,459) (2,235) 175,249 53,307 116,163 3,819 1,960 175,249 

November 2019 30,123 (40,477) (1,896) 162,999 48,210 109,226 4,011 1,552 162,999 

December 2019 30,525 (37,965) (1,948) 153,611 41,994 105,558 4,537 1,522 153,611 

Full Year 2019 $ 337,959 $ (338,622) $ (24,879) $ 153,611 $ 41,994 $ 105,558 $ 4,537 $ 1,522 $ 153,611 

January 2020 $ 27,572 $ (30,368) $ (1,675) $ 149,140 $ 41,144 $ 102,097 $ 4,393 $ 1,506 $ 149,140 

February 2020 26,885 (29,840) (1,581) 144,604 37,860 100,806 4,688 1,250 144,604 

March 2020 45,558 (36,983) (1,752) 151,427 35,905 110,092 4,199 1,231 151,427 

April 2020 63,954 (49,254) (1,339) 164,788 34,210 125,332 4,032 1,214 164,788 

May 2020 72,053 (71,385) (1,235) 164,221 44,090 115,616 3,311 1,204 164,221 

June 2020 74,053 (69,771) (1,515) 166,988 44,627 117,994 3,195 1,172 166,988 

July 2020 70,008 (76,571) (1,455) 158,970 38,998 115,438 3,783 751 158,970 

August 2020 81,373 (72,151) (1,818) 166,374 37,302 124,386 3,956 730 166,374 

September 2020 78,171 (70,833) (1,604) 172,108 46,538 121,341 3,516 713 172,108 

YTD 2020 $ 539,627 $ (507,156) $ (13,974) $ 172,108 $ 46,538 $ 121,341 $ 3,516 $ 713 $ 172,108 

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

September 2019 $ 73,460 $ (56,161) $ 3,218,309 (21.1) % $ 12,981 $ 3,231,290 6.5 %

October 2019 72,977 (61,323) 3,229,963 (22.9) % 12,925 3,242,888 4.4 %

November 2019 73,325 (65,261) 3,238,027 (24.2) % 12,798 3,250,825 3.0 %

December 2019 65,891 (54,648) 3,249,270 (20.3) % 12,670 3,261,940 4.2 %

Full Year 2019 $ 660,950 $ (540,310) $ 3,249,270 (17.3) % $ 12,670 $ 3,261,940 3.8 %

January 2020 $ 65,778 $ (55,530) $ 3,259,518 (20.5) % $ 12,569 $ 3,272,087 3.8 %

February 2020 60,626 (48,993) 3,271,151 (18.0) % 12,451 3,283,602 4.3 %

March 2020 73,420 (53,969) 3,290,602 (19.8) % 12,399 3,303,001 7.3 %

April 2020 106,183 (72,614) 3,324,171 (26.5) % 12,316 3,336,487 12.9 %

May 2020 130,671 (91,562) 3,363,280 (33.1) % 12,220 3,375,500 15.0 %

June 2020 125,481 (90,926) 3,397,835 (32.4) % 12,163 3,409,998 13.0 %

July 2020 129,768 (102,677) 3,424,926 (36.3) % 12,182 3,437,108 10.0 %

August 2020 140,729 (105,352) 3,460,303 (36.9) % 12,119 3,472,422 13.1 %

September 2020 128,517 (107,258) 3,481,562 (37.2) % 11,950 3,493,512 7.5 %

YTD 2020 $ 961,173 $ (728,881) $ 3,481,562 (29.9) % $ 11,950 $ 3,493,512 9.6 %
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

September 2019 $ 81,488 $ 35,856 $ 2,925 $ (7,472) $ — $ 5 $ 177,718 $ 213,574 

October 2019 69,321 30,504 3,200 (14,677) — 23 166,264 196,768 

November 2019 67,231 25,975 10 (7,714) — (1) 158,559 184,534 

December 2019 74,001 26,688 — (3,011) — 11 155,559 182,247 

Full Year 2019 $ 74,001 $ 26,688 $ 21,545 $ (73,523) $ (35) $ 16 $ 155,559 $ 182,247 

January 2020 $ 67,271 $ 20,731 $ 5,160 $ (9,321) $ — $ (2) $ 151,396 $ 172,127 

February 2020 77,428 24,862 2,045 (5,942) — (13) 147,486 172,348 

March 2020 132,137 58,398 32,113 (8,835) (67) (14) 170,683 229,081 

April 2020 162,468 55,423 45,502 (8,601) — 6 207,590 263,013 

May 2020 168,413 48,851 20,490 (5,067) — (9) 223,004 271,855 

June 2020 175,364 42,266 16,921 (6,131) — 2 233,796 276,062 

July 2020 188,765 36,078 19,869 (8,357) — 24 245,332 281,410 

August 2020 196,240 28,928 23,620 (3,500) — 10 265,462 294,390 

September 2020 185,582 23,529 2,379 (1,263) (193) (16) 266,369 289,898 

YTD 2020 $ 185,582 $ 23,529 $ 168,099 $ (57,017) $ (260) $ (12) $ 266,369 $ 289,898 

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 - 2020 Overall Other4 Transfer5 Overall Multifamily6

September 2019 2.53 % 4.24 % 0.33 % 0.68 % 0.75 % 0.97 % 0.27 % 0.68 % 0.06 %

October 2019 2.51 % 4.25 % 0.33 % 0.67 % 0.73 % 0.97 % 0.28 % 0.67 % 0.04 %

November 2019 2.45 % 4.08 % 0.34 % 0.66 % 0.73 % 0.96 % 0.29 % 0.66 % 0.04 %

December 2019 2.48 % 4.11 % 0.35 % 0.66 % 0.79 % 0.96 % 0.27 % 0.66 % 0.04 %

January 2020 2.46 % 4.08 % 0.35 % 0.66 % 0.78 % 0.96 % 0.28 % 0.66 % 0.04 %

February 2020 2.46 % 4.07 % 0.35 % 0.65 % 0.78 % 0.95 % 0.28 % 0.65 % 0.07 %

March 2020 2.48 % 4.11 % 0.35 % 0.66 % 0.77 % 0.95 % 0.29 % 0.66 % 0.05 %

April 2020 2.64 % 4.41 % 0.38 % 0.70 % 0.81 % 1.01 % 0.33 % 0.70 % 0.06 %

May 2020 3.09 % 5.22 % 0.53 % 0.89 % 0.98 % 1.30 % 0.52 % 0.89 % 0.47 %

June 2020 5.00 % 8.37 % 2.21 % 2.65 % 2.37 % 3.85 % 2.78 % 2.65 % 1.00 %

July 2020 5.57 % 9.36 % 2.79 % 3.24 % 2.82 % 4.71 % 3.62 % 3.24 % 1.25 %

August 2020 5.79 % 9.74 % 2.86 % 3.32 % 2.85 % 4.87 % 3.84 % 3.32 % 1.20 %

September 2020 5.81 % 9.84 % 2.74 % 3.20 % 2.73 % 4.73 % 3.79 % 3.20 % 1.12 %

September 2020 % of Book Outstanding 2 % 3 % 95 % 55 % 21 % 35 %

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)

September 2019 $ (2) $ (15) (0.01) 

October 2019 (2) (17) (0.03) 

November 2019 9 (19) (0.02) 

December 2019 9 (21) — 

Full Year 2019 $ (21) $ (12) 

January 2020 $ (11) $ (18) (0.03) 

February 2020 (22) (19) (0.03) 

March 2020 (61) (23) 0.01 

April 2020 (42) (22) — 

May 2020 (49) (24) (0.01) 

June 2020 (49) (25) (0.02) 

July 2020 (29) (21) (0.01) 

August 2020 — (19) (0.01) 

September 2020 (24) (25) 0.04 

YTD 2020 $ (32) $ (22) 
GLOSSARY & OTHER INFORMATION

General

Fannie Mae MBS backed by Freddie Mac securities. 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 in its Monthly Summary Highlights. This amount represents the maximum amount of Freddie Mac securities that Fannie Mae 

guarantees. A portion of these Freddie Mac securities may be backed in whole or in part by Fannie Mae MBS, which would also be included in Fannie Mae's guaranty book of business. Our total exposure 

to Freddie Mac securities backing Fannie Mae-issued REMICs reported in prior periods may have been lower, because a portion of the securities backing these REMICS may themselves have been 

backed by Fannie Mae MBS. 

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 under our senior preferred stock purchase agreement with the U.S. Department of the Treasury at 

$250 billion and by FHFA, our conservator, at $225 billion. Effective January 2020, FHFA directed us, for purposes of calculating the size of our retained mortgage portfolio in regard to portfolio 

limits, to include 10% of the notional value of interest-only securities we hold. For this purpose, the balance of our retained mortgage portfolio was $174.5 billion as of September 30, 2020, which 

includes $2.4 billion representing 10% of the notional amount of the interest-only securities we held as of September 30, 2020.