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

MONTHLY SUMMARY HIGHLIGHTS

July 2019

Ä Fannie Mae's Guaranty Book of Business increased at a compound annualized

rate of 6.8% in July.

Ä The Conventional Single-Family Serious Delinquency Rate decreased 3 basis

points to 0.67% in July. 

Ä The Multifamily Serious Delinquency Rate increased 2 basis points to 0.07% in

July.

Ä In July 2019, Fannie Mae issued resecuritzations that were backed by $7.4

billion in Freddie Mac securities. 

Ä As of July 31, 2019, Fannie Mae's maximum exposure to Freddie Mac collateral

that was included in outstanding Fannie Mae resecuritizations was $14.2 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

New Business

Acquisitions

+ = Compounded Growth

(Decline) Rate

July 2018 $ 3,084,197 $ 163,025 $ 3,247,222 2.6 % $ 47,198

August 2018 3,102,137 156,445 3,258,582 4.3 % 50,165

September 2018 3,111,251 144,491 3,255,742 (1.0)% 42,932

October 2018 3,123,683 140,834 3,264,517 3.3 % 43,772

November 2018 3,130,084 136,408 3,266,492 0.7 % 39,084

December 2018 3,142,477 126,675 3,269,152 1.0 % 39,675

Full Year 2018 $ 3,142,477 $ 126,675 $ 3,269,152 1.8 % $ 512,023

January 2019 $ 3,151,242 $ 125,649 $ 3,276,891 2.9 % $ 38,389

February 2019 3,154,375 123,770 3,278,145 0.5 % 29,772

March 2019 3,158,815 122,012 3,280,827 1.0 % 33,867

April 2019 3,162,087 120,787 3,282,874 0.8 % 39,807

May 2019 3,172,540 122,910 3,295,450 4.7 % 52,857

June 2019 3,177,350 122,081 3,299,431 1.5 % 52,676

July 2019 3,190,432 127,157 3,317,589 6.8 % 63,436

YTD 2019 $ 3,190,432 $ 127,157 $ 3,317,589 2.6 % $ 310,804

Page 1 of 4

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

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

July 2018 $ 25,918 $ (28,031) $ (2,357) $ 221,335 $ 51,061 $ 163,025 $ 3,640 $ 3,609 $ 221,335

August 2018 27,333 (24,745) (2,773) 221,150 56,370 156,445 4,778 3,557 221,150

September 2018 20,429 (40,301) (2,164) 199,114 47,297 144,491 3,817 3,509 199,114

October 2018 22,445 (23,313) (2,506) 195,740 45,758 140,834 5,675 3,473 195,740

November 2018 18,170 (27,057) (2,399) 184,454 39,870 136,408 4,731 3,445 184,454

December 2018 19,036 (22,422) (1,915) 179,153 45,405 126,675 3,656 3,417 179,153

Full Year 2018 $ 277,060 $ (299,517) $ (29,173) $ 179,153 $ 45,405 $ 126,675 $ 3,656 $ 3,417 $ 179,153

January 2019 $ 18,197 $ (18,817) $ (2,066) $ 176,467 $ 44,647 $ 125,649 $ 3,310 $ 2,861 $ 176,467

February 2019 13,924 (15,229) (1,730) 173,432 43,215 123,770 3,602 2,845 173,432

March 2019 19,811 (14,887) (1,923) 176,433 48,290 122,012 3,309 2,822 176,433

April 2019 23,477 (23,509) (1,940) 174,461 47,190 120,787 3,684 2,800 174,461

May 2019 28,283 (24,637) (2,080) 176,027 46,623 122,910 4,421 2,073 176,027

June 2019 27,631 (31,097) (2,045) 170,516 42,679 122,081 3,728 2,028 170,516

July 2019 36,512 (26,749) (2,077) 178,202 44,610 127,157 4,424 2,011 178,202

YTD 2019 $ 167,835 $ (154,925) $ (13,861) $ 178,202 $ 44,610 $ 127,157 $ 4,424 $ 2,011 $ 178,202

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

Other Fannie Mae

Guarantees

Fannie Mae MBS, excluding the

portion backed by Freddie Mac

securities, and Other Guarantees

Compounded

Growth Rate

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

Issuances Liquidations End Balance Liquidation Rate

July 2018 $ 45,632 $ (38,438) $ 3,070,456 (15.1)% $ 13,741 $ 3,084,197 2.8%

August 2018 55,379 (37,258) 3,088,577 (14.6)% 13,560 3,102,137 7.2%

September 2018 46,438 (37,788) 3,097,227 (14.7)% 14,024 3,111,251 3.6%

October 2018 44,524 (31,939) 3,109,812 (12.4)% 13,871 3,123,683 4.9%

November 2018 41,008 (34,655) 3,116,165 (13.4)% 13,919 3,130,084 2.5%

December 2018 44,146 (31,681) 3,128,630 (12.2)% 13,847 3,142,477 4.9%

Full Year 2018 $ 534,805 $ (426,403) $ 3,128,630 (14.1)% $ 13,847 $ 3,142,477 3.6%

January 2019 $ 38,760 $ (29,900) $ 3,137,490 (11.5)% $ 13,752 $ 3,151,242 3.4%

February 2019 31,287 (28,050) 3,140,727 (10.7)% 13,648 3,154,375 1.2%

March 2019 35,062 (30,600) 3,145,189 (11.7)% 13,626 3,158,815 1.7%

April 2019 37,495 (34,055) 3,148,629 (13.0)% 13,458 3,162,087 1.3%

May 2019 49,807 (39,193) 3,159,243 (14.9)% 13,297 3,172,540 4.0%

June 2019 49,733 (45,046) 3,163,930 (17.1)% 13,420 3,177,350 1.8%

July 2019 56,575 (43,414) 3,177,091 (16.5)% 13,341 3,190,432 5.1%

YTD 2019 $ 298,719 $ (250,258) $ 3,177,091 (13.7)% $ 13,341 $ 3,190,432 2.6%
Numbers may not sum due to rounding See Glossary and Endnotes on Pages 3 and 4

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

Original Maturity Original Maturity > 1 Year

Other Investments < 1 Year Maturities and Foreign Exchange Total Debt

End Balance End Balance Issuances Redemptions Repurchases Adjustments End Balance Outstanding

July 2018 $ 76,085 $ 27,710 $ 2,779 $ (6,360) $ (144) $ (3) $ 221,696 $ 249,406

August 2018 72,880 23,278 1,058 (561) (78) (6) 222,109 245,387

September 2018 91,701 28,282 2,208 (5,275) (250) 2 218,794 247,076

October 2018 92,399 25,878 2,418 (5,478) Å (9) 215,725 241,603

November 2018 100,458 26,185 2,000 (5,139) (25) (1) 212,560 238,745

December 2018 93,951 24,915 Å (5,004) Å Å 207,556 232,471

Full Year 2018 $ 93,951 $ 24,915 $ 22,028 $ (57,154) $ (1,348) $ (27) $ 207,556 $ 232,471

January 2019 $ 96,909 $ 24,725 $ 4,515 $ (4,646) $ Å $ 12 $ 207,437 $ 232,162

February 2019 95,381 25,801 2,080 (9,385) Å 5 200,137 225,938

March 2019 84,671 23,099 Å (1,779) Å (8) 198,350 221,449

April 2019 84,089 17,730 4,800 (2,375) Å Å 200,775 218,505

May 2019 87,724 21,848 Å (1,812) (35) (14) 198,914 220,762

June 2019 85,349 22,924 Å (4,877) Å 2 194,039 216,963

July 2019 76,813 18,878 4,015 (4,584) Å (19) 193,451 212,329

YTD 2019 $ 76,813 $ 18,878 $ 15,410 $ (29,458) $ (35) $ (22) $ 193,451 $ 212,329

TABLE 7. SERIOUS DELINQUENCY RATES

Conventional Single-Family3

Vintage by Origination Year

Credit Enhanced

Non-Credit Primary MI Credit Risk

2004 and Prior 2005 - 2008 2009 - 2019 Overall Enhanced and Other4Transfer5 Overall Multifamily6

July 2018 2.80% 5.01% 0.37% 0.88% 0.97% 1.28% 0.26% 0.88% 0.09%

August 2018 2.71% 4.74% 0.34% 0.82% 0.90% 1.19% 0.24% 0.82% 0.08%

September 2018 2.77% 4.90% 0.34% 0.82% 0.90% 1.19% 0.23% 0.82% 0.07%

October 2018 2.73% 4.82% 0.33% 0.79% 0.88% 1.17% 0.22% 0.79% 0.06%

November 2018 2.62% 4.50% 0.33% 0.76% 0.83% 1.11% 0.23% 0.76% 0.06%

December 2018 2.69% 4.61% 0.34% 0.76% 0.85% 1.11% 0.24% 0.76% 0.06%

January 2019 2.71% 4.58% 0.33% 0.76% 0.84% 1.10% 0.25% 0.76% 0.07%

February 2019 2.72% 4.58% 0.34% 0.76% 0.84% 1.11% 0.25% 0.76% 0.07%

March 2019 2.68% 4.50% 0.33% 0.74% 0.83% 1.07% 0.24% 0.74% 0.07%

April 2019 2.64% 4.45% 0.33% 0.72% 0.82% 1.04% 0.23% 0.72% 0.06%

May 2019 2.57% 4.36% 0.32% 0.70% 0.79% 1.01% 0.23% 0.70% 0.07%

June 2019 2.61% 4.45% 0.32% 0.70% 0.79% 1.01% 0.24% 0.70% 0.05%

July 2019 2.51% 4.22% 0.32% 0.67% 0.75% 0.96% 0.24% 0.67% 0.07%

July 2019 % of Book Outstanding 3% 4% 93% 51% 22% 42%

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)

July 2018 $ (54) $ (9) 0.01

August 2018 (41) (18) 0.01

September 2018 (61) (11) 0.02

October 2018 (66) (8) Å

November 2018 (53) (5) Å

December 2018 (78) (12) (0.03)

Full Year 2018 $ (56) $ (8)

January 2019 $ (62) $ (5) (0.03)

February 2019 (46) (6) (0.02)

March 2019 (37) (7) (0.02)

April 2019 (22) (7) (0.01)

May 2019 (7) (17) 0.01

June 2019 (26) (18) 0.04

July 2019 (23) (5) 0.04

YTD 2019 $ (31) $ (9)

Page 2 of 4
GLOSSARY & OTHER INFORMATION

General

Fannie Mae MBS backed by Freddie Mac securities. Fannie Mae and Freddie Mac began issuing uniform mortgage-backed securities (ÇUMBSÉ) pursuant to the Single Security Initiative 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.

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 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 (Decline) Rate. Monthly growth/decline rates are compounded to provide an annualized rate of growth/decline.

Table 1

Fannie Mae 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. These amounts reflect new business purchases on which Fannie Mae's statutory affordable housing allocations are based. 

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 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

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

Table 7

Serious Delinquency Rates. A measure of credit performance and indicator of future defaults for the single-family and multifamily guaranty books. Fannie Mae includes single-family loans that are three

months or more past due or in the foreclosure process, and multifamily loans that are 60 days or more past due. 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 key 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 MaeÑs 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 MaeÑs 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 MaeÑs 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 SecuritiesÖ 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 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 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 percent 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. Loans included in Fannie Mae's credit risk transfer transactions have all been acquired since 2012 and newer vintages typically have significantly lower delinquency rates than

more seasoned loans.

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.