TABLE 1. TOTAL BOOK OF BUSINESS COMPONENTS ($ in Millions) 

1

Gross Mortgage Total Fannie Mae MBS Fannie Mae MBS

Portfolio and Other Guarantees in Portfolio Total Book Compounded New Business

[Table 3] [Table 4] [Table 5] of Business Growth Rate Acquisitions 

September 2013 516,259 2,784,540 137,240 3,163,559 (1.3%) 55,973

October 2013 504,832 2,794,938 134,168 3,165,602 0.8% 49,209

November 2013 495,654 2,798,759 128,647 3,165,766 0.1% 42,069

December 2013 490,701 2,803,849 129,841 3,164,709 (0.4%) 39,695

Full Year 2013 $ 490,701 $ 2,803,849 $ 129,841 $ 3,164,709 (0.8%) $ 796,562

January 2014 $ 480,705 $ 2,798,928 $ 124,354 $ 3,155,279 (3.5%) $ 30,734

February 2014 471,379 2,798,723 118,403 3,151,699 (1.4%) 29,331

March 2014 467,712 2,796,591 117,283 3,147,020 (1.8%) 26,539

April 2014 461,731 2,794,025 115,876 3,139,880 (2.7%) 30,018

May 2014 456,613 2,790,733 113,760 3,133,586 (2.4%) 30,411

June 2014 452,772 2,790,709 114,396 3,129,085 (1.7%) 35,631

July 2014 449,878 2,792,181 114,627 3,127,432 (0.6%) 39,899

August 2014 443,078 2,784,982 111,159 3,116,901 (4.0%) 37,670

September 2014 438,100 2,791,097 108,460 3,120,737 1.5% 45,599

YTD 2014 $ 438,100 $ 2,791,097 $ 108,460 $ 3,120,737 (1.8%) $ 305,832

TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) 1, 2, 3 TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions) 

1, 2

Commitments Commitments Net Retained Compounded Annualized

to Purchase, Net to Sell Commitments Purchases 3 Sales

 3

Liquidations End Balance

 3 Growth Rate 

3

Liquidation Rate 

September 2013 53,287 (57,460) (4,173) 17,410 (23,047) (9,386) 516,259 (29.1%) (21.20%)

October 2013 55,475 (56,996) (1,521) 19,233 (20,906) (9,754) 504,832 (23.6%) (22.67%)

November 2013 47,427 (46,348) 1,079 15,329 (16,672) (7,835) 495,654 (19.8%) (18.62%)

December 2013 37,706 (34,899) 2,807 15,612 (11,999) (8,566) 490,701 (11.4%) (20.74%)

Full Year 2013 $ 801,291 $ (802,693) $ (1,402) $ 269,430 $ (279,667) $ (132,116) $ 490,701 (22.5%) (20.87%)

January 2014 $ 39,501 $ (38,729) $ 772 $ 12,634 $ (15,434) $ (7,196) $ 480,705 (21.9%) (17.60%)

February 2014 36,191 (35,059) 1,132 10,199 (13,647) (5,878) 471,379 (21.0%) (14.67%)

March 2014 40,053 (42,192) (2,139) 11,597 (9,178) (6,086) 467,712 (8.9%) (15.49%)

April 2014 39,300 (38,484) 816 12,144 (11,826) (6,299) 461,731 (14.3%) (16.16%)

May 2014 48,656 (48,059) 597 13,147 (11,769) (6,496) 456,613 (12.5%) (16.88%)

June 2014 47,746 (48,228) (482) 15,571 (13,109) (6,303) 452,772 (9.6%) (16.56%)

July 2014 62,754 (62,962) (208) 17,251 (13,803) (6,342) 449,878 (7.4%) (16.81%)

August 2014 61,911 (62,351) (440) 16,827 (17,552) (6,075) 443,078 (16.7%) (16.20%)

September 2014 48,912 (49,062) (150) 16,761 (14,637) (7,102) 438,100 (12.7%) (19.24%)

YTD 2014 $ 425,024 $ (425,126) $ (102) $ 126,131 $ (120,955) $ (57,777) $ 438,100 (14.0%) (15.70%)

#############

TABLE 4. FANNIE MAE GUARANTEED SECURITIES AND MORTGAGE LOANS ($ in Millions) 1

Fannie Mae Other Total Fannie Mae

MBS Annualized Fannie Mae MBS and Other Compounded Mortgage

Issuances 4 Liquidations End Balance Liquidation Rate Guarantees Guarantees Growth Rate Loans 

September 2013 53,330 (46,806) 2,752,813 (20.45%) 31,727 2,784,540 2.7% 328,405 3,112,945

October 2013 47,790 (37,030) 2,763,573 (16.14%) 31,365 2,794,938 4.6% 322,522 3,117,460

November 2013 39,335 (35,147) 2,767,761 (15.26%) 30,998 2,798,759 1.7% 320,293 3,119,052

December 2013 38,439 (32,948) 2,773,252 (14.29%) 30,597 2,803,849 2.2% 314,664 3,118,513

Full Year 2013 $ 764,514 $ (696,311) $ 2,773,252 (25.74%) $ 30,597 $ 2,803,849 2.3% $ 314,664 $ 3,118,513

January 2014 $ 29,089 $ (33,836) $ 2,768,505 (14.64%) $ 30,423 $ 2,798,928 (2.1%) $ 310,992 $ 3,109,920

February 2014 28,300 (28,180) 2,768,625 (12.21%) 30,097 2,798,723 (0.1%) 308,076 3,106,799

March 2014 24,462 (26,341) 2,766,746 (11.42%) 29,845 2,796,591 (0.9%) 305,989 3,102,580

April 2014 27,930 (30,245) 2,764,431 (13.12%) 29,594 2,794,025 (1.1%) 303,860 3,097,885

May 2014 28,551 (31,428) 2,761,554 (13.64%) 29,179 2,790,733 (1.4%) 301,471 3,092,204

June 2014 33,134 (32,930) 2,761,758 (14.31%) 28,951 2,790,709 (0.0%) 298,683 3,089,392

July 2014 37,918 (36,087) 2,763,589 (15.68%) 28,592 2,792,181 0.6% 296,017 3,088,198

August 2014 35,419 (37,031) 2,761,977 (16.08%) 23,005 2,784,982 (3.1%) 294,134 3,079,116

September 2014 41,915 (35,601) 2,768,291 (15.47%) 22,806 2,791,097 2.7% 292,543 3,083,640

YTD 2014 $ 286,718 $ (291,679) $ 2,768,291 (14.02%) $ 22,806 $ 2,791,097 (0.6%) $ 292,543 $ 3,083,640

MONTHLY SUMMARY HIGHLIGHTS

and Mortgage Loans 

Fannie Mae

Total Fannie Mae MBS Guaranteed Securities

+ - =

September 2014

 Fannie Mae’s Book of Business increased at a 

compound annualized rate of 1.5 percent in September. 

 Fannie Mae’s Gross Mortgage Portfolio declined at a 

compound annualized rate of 12.7 percent in 

September. 

 The Conventional Single-Family Serious Delinquency 

Rate fell three basis points to 1.96 percent in

September; the Multifamily Serious Delinquency Rate

remained at 0.09 percent in September.

 The Effective Duration Gap on Fannie Mae’s portfolio 

averaged zero months in September.

 Fannie Mae completed 8,684 loan modifications in 

September, for a total of 96,915 loan modifications in 

the nine months ended September 30, 2014.

IMPORTANT NOTE:

Fannie Mae has been under conservatorship, with the 

Federal Housing Finance Agency (FHFA) acting as 

conservator, since September 6, 2008. 

Numbers may not sum due to rounding See Endnotes and Glossary on Page 3 and 4 Page 1 of 4
TABLE 5. MORTGAGE PORTFOLIO COMPOSITION ($ in Millions) 1

Mortgage Mortgage Portfolio

Purchases Sales Liquidations Securitizations

 5 End Balance Loans Agency Non-Agency End Balance 

September 2013 1,688 (17,210) (3,043) 13,079 137,240 328,405 9,781 40,833 516,259

October 2013 3,334 (18,285) (2,601) 14,480 134,168 322,522 9,616 38,526 504,832

November 2013 2,612 (15,670) (2,446) 9,983 128,647 320,293 9,034 37,680 495,654

December 2013 1,895 (11,019) (2,143) 12,461 129,841 314,664 9,023 37,173 490,701

Full Year 2013 $ 29,945 $ (251,045) $ (40,460) $ 207,437 $ 129,841 $ 314,664 $ 9,023 $ 37,173 $ 490,701

January 2014 $ 1,227 $ (14,159) $ (2,317) $ 9,762 $ 124,354 $ 310,992 $ 8,601 $ 36,758 $ 480,705

February 2014 1,001 (13,310) (1,809) 8,167 118,403 308,076 8,454 36,446 471,379

March 2014 906 (9,094) (1,546) 8,614 117,283 305,989 8,335 36,105 467,712

April 2014 847 (9,708) (1,755) 9,209 115,876 303,860 8,153 33,842 461,731

May 2014 1,201 (11,564) (1,839) 10,086 113,760 301,471 8,024 33,358 456,613

June 2014 1,771 (10,765) (1,673) 11,303 114,396 298,683 8,067 31,626 452,772

July 2014 2,155 (13,263) (1,776) 13,115 114,627 296,017 7,941 31,293 449,878

August 2014 2,514 (16,183) (1,861) 12,062 111,159 294,134 7,798 29,987 443,078

September 2014 2,773 (14,133) (1,643) 10,304 108,460 292,543 7,507 29,590 438,100

YTD 2014 $ 14,395 $ (112,179) $ (16,219) $ 92,622 $ 108,460 $ 292,543 $ 7,507 $ 29,590 $ 438,100

TABLE 6. OTHER INVESTMENTS ($ in Millions) 1 TABLE 7. DEBT ACTIVITY ($ in Millions)

 6

Original Maturity 

Other Investments < 1 Year Maturities and Foreign Exchange Total Debt

End Balance End Balance Issuances Redemptions Repurchases Adjustments End Balance Outstanding

September 2013 87,397 September 2013 77,838 2,886 (10,974) (370) 29 492,260 570,098

October 2013 88,420 October 2013 71,147 9,085 (11,552) (282) (6) 489,505 560,652

November 2013 85,180 November 2013 64,248 2,202 (11,655) - 13 480,065 544,313

December 2013 74,445 December 2013 72,325 1,702 (19,890) - 9 461,886 534,211

Full Year 2013 $ 74,445 Full Year 2013 $ 72,325 $ 138,482 $ (190,309) $ (2,815) $ 15 $ 461,886 $ 534,211

January 2014 $ 66,947 January 2014 $ 57,426 $ 4,098 $ (5,650) $ (15) $ (6) $ 460,313 $ 517,739

February 2014 60,165 February 2014 62,632 76 (24,167) (24) 14 436,212 498,844

March 2014 44,322 March 2014 65,470 3,892 (19,203) (74) (5) 420,822 486,292

April 2014 54,869 April 2014 78,588 831 (11,428) (618) 9 409,616 488,204

May 2014 61,997 May 2014 87,003 4,271 (9,505) (55) (5) 404,322 491,325

June 2014 50,554 June 2014 90,944 1 (12,190) (1,525) 14 390,622 481,566

July 2014 68,736 July 2014 104,165 5,581 (4,401) (21) (9) 391,772 495,937

August 2014 75,012 August 2014 106,839 4,673 (9,267) - (13) 387,165 494,004

September 2014 63,465 September 2014 97,430 8,575 (14,105) (2) (14) 381,619 479,049

YTD 2014 $ 63,465 YTD 2014 $ 97,430 $ 31,998 $ (109,916) $ (2,334) $ (15) $ 381,619 $ 479,049

TABLE 8. INTEREST RATE RISK DISCLOSURES ($ in Billions) TABLE 9. SERIOUS DELINQUENCY RATES

Effective Multifamily

Rate Level Rate Slope Duration Gap Non-Credit Credit

Shock (50 bp) Shock (25 bp) (in months) Enhanced Enhanced Total Total 

8

September 2013 (0.2) 0.0 0 September 2013 2.14% 5.15% 2.55% 0.18%

October 2013 (0.2) 0.0 0 October 2013 2.08% 4.97% 2.48% 0.13%

November 2013 (0.1) 0.0 0 November 2013 2.04% 4.87% 2.44% 0.11%

December 2013 (0.1) (0.1) 0 December 2013 2.00% 4.75% 2.38% 0.10%

Full Year 2013 $ (0.1) $ 0.0

January 2014 $ (0.1) $ 0.0 0 January 2014 1.96% 4.63% 2.33% 0.10%

February 2014 (0.1) 0.0 0 February 2014 1.92% 4.48% 2.27% 0.11%

March 2014 (0.1) 0.0 0 March 2014 1.85% 4.27% 2.19% 0.10%

April 2014 0.0 0.0 0 April 2014 1.80% 4.13% 2.13% 0.11%

May 2014 0.0 0.0 0 May 2014 1.77% 4.01% 2.08% 0.10%

June 2014 (0.1) 0.0 0 June 2014 1.74% 3.91% 2.05% 0.10%

July 2014 (0.1) 0.0 0 July 2014 1.71% 3.81% 2.00% 0.10%

August 2014 (0.1) (0.1) 0 August 2014 1.70% 3.73% 1.99% 0.09%

September 2014 (0.1) 0.0 0 September 2014 1.68% 3.66% 1.96% 0.09%

YTD 2014 $ (0.1) $ 0.0

Market Value Sensitivity Conventional Single-Family 

7

Original Maturity > 1 Year

Non-Fannie Mae

Fannie Mae MBS in Portfolio Mortgage Securities

Numbers may not sum due to rounding See Endnotes and Glossary on Page 3 and 4 Page 2 of 4
1.

2.

3.

4.

5.

6.

7.

8.

Reported amounts represent the UPB at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. UPB does not reflect the 

effect of debt basis adjustments, including discounts, premiums, and issuance costs.

Includes seriously delinquent conventional single-family loans as a percent 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 our portfolio. Credit 

enhanced refers to loans that have primary mortgage insurance and/or other credit enhancements.

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.

ENDNOTES

The end balances and business activity in this report represent unpaid principal balances ("UPB"), which do not reflect market valuation adjustments, 

allowance for loan losses, impairments, unamortized premiums and discounts, and the impact of consolidation of variable interest entities.

As of September 30, 2014, our gross mortgage portfolio end balance, after taking into account net outstanding commitments to sell of $12.0 billion, was 

$426.1 billion.

Gross commitments in Table 2 include dollar roll transactions (purchase commitments with concurrent agreements to re-sell later, or sale commitments 

with concurrent agreements to repurchase later) in the month in which we enter into them. Table 3 reflects activity from settlements of dollar rolls that are 

accounted for as purchases and sales of securities, but does not include activity from settlements of dollar rolls that are accounted for as secured 

financings. Dollar roll activity may result in volatility on a month-to-month basis in our reported portfolio commitments, purchases, sales, end balances, 

and compounded growth rate.

Includes Fannie Mae mortgage-backed securities ("Fannie Mae MBS") issued from Fannie Mae's mortgage portfolio. See Table 5 for monthly activity and 

balances for Fannie Mae MBS held in portfolio. 

Securitizations in Table 5 represent new Fannie Mae MBS created from mortgage assets held in the mortgage portfolio, including whole loans. These 

amounts are included in issuances in Table 4 and, if sold during the month, will be included in sales in Table 5. Our securitizations of loans we held in our 

portfolio the prior month will reduce the mortgage loans reported in Table 5.

Page 3 of 4
General

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

GLOSSARY & OTHER INFORMATION

Risk Disclosures. In addition to the interest rate risk disclosures provided in Table 8, Fannie Mae's most recent available information relating to subordinated debt, liquidity management, corporate risk ratings and credit risks 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 rate of growth.

Total Book of Business. Sum of the Gross Mortgage Portfolio balance and Total Fannie Mae MBS and Other Guarantees balance, less Fannie Mae MBS held in the mortgage portfolio.

New Business Acquisitions. Sum of MBS issuances and Mortgage Portfolio purchases less Fannie Mae MBS purchases and securitizations of mortgage loans previously held in portfolio.

Portfolio Commitments. Represents mandatory commitments entered into during the month. Fannie Mae enters into forward commitments to purchase mortgage securities and mortgage loans, or to sell mortgage securities, for the 

mortgage portfolio. Purchase commitments typically require mandatory delivery and are subject to the payment of pair-off fees for non-delivery. Excludes certain matched trades and certain early funding activities.

Commitments to Purchase, Net. Represents mandatory commitments to purchase mortgage loans and mortgage securities, net of mortgage loans for which a cash pair-off has been paid. Pair-offs occur when loans are not 

delivered against mandatory commitments.

Commitments to Sell. Represents mandatory commitments to sell mortgage securities.

Net Retained Commitments. Represents mandatory commitments to purchase, less commitments to sell, net of mortgage loans for which a cash pair-off has been paid. 

Gross Mortgage Portfolio. End balance represents the unpaid principal balance ("UPB") of the mortgage portfolio that Fannie Mae holds for investment and liquidity purposes. Excludes certain matched trades and certain early funding 

activities.

Purchases. Acquisition of mortgage loans and mortgage securities for the mortgage portfolio. Includes capitalized interest.

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

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

Annualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of the mortgage portfolio, annualized. 

Fannie Mae Guaranteed Securities and Mortgage Loans. Consists of securities and mortgage loans for which Fannie Mae manages credit risk. This table excludes non-Fannie Mae securities held in the mortgage portfolio, which are 

shown in Table 5.

Total Fannie Mae MBS. Includes Fannie Mae MBS, private label wraps, whole loan REMICs, and Ginnie Mae wraps. Also includes Multifamily discount MBS (DMBS) that Fannie Mae guarantees, regardless of whether those MBS 

are held in the mortgage portfolio or held by investors other than Fannie Mae. 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 mortgage portfolio.

Other Fannie Mae Guarantees. Outstanding balance of Fannie Mae guarantees, other than Fannie Mae MBS. This primarily includes long-term standby commitments we have issued and credit enhancements we have provided. 

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

Mortgage Portfolio Composition. Shows the primary components of Fannie Mae's mortgage portfolio and activity relating to Fannie Mae MBS held in the mortgage portfolio.

Non-Fannie Mae Agency Securities. Represents mortgage-related securities issued by Freddie Mac and Ginnie Mae.

Non-Fannie Mae Non-Agency Securities. These are commonly referred to as "private-label securities."

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.

Serious Delinquency Rates. A measure of credit performance and indicator of future defaults for the single-family and multifamily mortgage credit books. We include single-family loans that are 90 days or more past due or in the 

foreclosure process, and multifamily loans that are 60 days or more past due. We include conventional single-family loans that we own and that back Fannie Mae MBS in our single-family delinquency rate, including those with substantial 

credit enhancement.

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 http://www.fanniemae.com/portal/funding-the-market/debt/reports/index.html. 

Our interest rate risk measures provide useful estimates of key interest-rate risk and include the impact of our purchases and sales of derivative instruments, which we use to limit our 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 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 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 assets and liabilities to movements in interest rates. This statistic is expressed as a number of months, 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. 

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