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 

2

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

October 2014 436,225 2,793,388 111,330 3,118,283 (0.9%) 42,302

November 2014 423,992 2,791,123 95,125 3,119,990 0.7% 42,457

December 2014 413,313 2,803,564 92,819 3,124,058 1.6% 43,247

Full Year 2014 $ 413,313 $ 2,803,564 $ 92,819 $ 3,124,058 (1.3%) $ 433,838

January 2015 $ 414,485 $ 2,802,809 $ 95,693 $ 3,121,601 (0.9%) $ 39,651

February 2015 409,106 2,805,739 93,424 3,121,421 (0.1%) 38,463

March 2015 411,684 2,809,893 98,999 3,122,578 0.4% 45,874

April 2015 405,165 2,810,583 98,693 3,117,055 (2.1%) 51,602

May 2015 395,158 2,809,948 94,990 3,110,116 (2.6%) 43,738

YTD 2015 $ 395,158 $ 2,809,948 $ 94,990 $ 3,110,116 (1.1%) $ 219,328

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

1

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 

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%)

October 2014 73,954 (74,384) (430) 18,741 (13,863) (6,753) 436,225 (5.0%) (18.50%)

November 2014 56,080 (59,445) (3,365) 14,988 (22,014) (5,207) 423,992 (28.9%) (14.32%)

December 2014 69,796 (68,034) 1,762 18,455 (22,928) (6,206) 413,313 (26.4%) (17.56%)

Full Year 2014 $ 624,854 $ (626,989) $ (2,135) $ 178,315 $ (179,760) $ (75,943) $ 413,313 (15.8%) (15.48%)

January 2015 $ 81,722 $ (83,976) $ (2,254) $ 16,656 $ (10,289) $ (5,195) $ 414,485 3.5% (15.08%)

February 2015 68,677 (71,854) (3,177) 16,126 (16,730) (4,775) 409,106 (14.5%) (13.83%)

March 2015 84,745 (83,735) 1,010 24,696 (16,649) (5,469) 411,684 7.8% (16.04%)

April 2015 87,133 (88,702) (1,569) 23,668 (24,072) (6,115) 405,165 (17.4%) (17.82%)

May 2015 75,530 (76,609) (1,079) 21,994 (26,139) (5,862) 395,158 (25.9%) (17.36%)

YTD 2015 $ 397,807 $ (404,876) $ (7,069) $ 103,140 $ (93,879) $ (27,416) $ 395,158 (10.2%) (15.92%)

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

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 

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

October 2014 41,269 (34,981) 2,774,579 (15.16%) 18,809 2,793,388 1.0% 287,949 3,081,337

November 2014 33,628 (35,732) 2,772,475 (15.45%) 18,648 2,791,123 (1.0%) 293,491 3,084,614

December 2014 46,058 (33,749) 2,784,784 (14.61%) 18,780 2,803,564 5.5% 285,610 3,089,174

Full Year 2014 $ 407,673 $ (396,141) $ 2,784,784 (14.28%) $ 18,780 $ 2,803,564 (0.0%) $ 285,610 $ 3,089,174

January 2015 $ 38,293 $ (38,912) $ 2,784,165 (16.77%) $ 18,644 $ 2,802,809 (0.3%) $ 285,125 $ 3,087,934

February 2015 37,789 (34,592) 2,787,362 (14.91%) 18,377 2,805,739 1.3% 284,138 3,089,877

March 2015 46,330 (42,054) 2,791,638 (18.10%) 18,255 2,809,893 1.8% 281,402 3,091,295

April 2015 52,680 (51,511) 2,792,807 (22.14%) 17,776 2,810,583 0.3% 277,437 3,088,020

May 2015 45,520 (45,887) 2,792,440 (19.72%) 17,508 2,809,948 (0.3%) 272,848 3,082,796

YTD 2015 $ 220,612 $ (212,956) $ 2,792,440 (22.94%) $ 17,508 $ 2,809,948 0.5% $ 272,848 $ 3,082,796

May 2015

MONTHLY SUMMARY HIGHLIGHTS

and Mortgage Loans 

Fannie Mae

Total Fannie Mae MBS Guaranteed Securities

+ - =

 Fannie Mae’s Book of Business decreased at a 

compound annualized rate of 2.6 percent in May.

 Fannie Mae’s Gross Mortgage Portfolio decreased at 

a compound annualized rate of 25.9 percent in May. 

 The Conventional Single-Family Serious Delinquency 

Rate fell three basis points to 1.70 percent in May; the 

Multifamily Serious Delinquency Rate decreased one 

basis point to 0.06 percent in May.

 The Effective Duration Gap on Fannie Mae’s portfolio 

averaged zero months in May.

 Fannie Mae completed 8,579 loan modifications in 

May for a total of 44,558 loan modifications in the five 

months ended May 31, 2015.

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 

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

October 2014 2,558 (13,173) (1,665) 15,150 111,330 287,949 7,650 29,296 436,225

November 2014 1,659 (20,664) (1,700) 4,500 95,125 293,491 7,047 28,329 423,992

December 2014 1,962 (22,260) (1,312) 19,304 92,819 285,610 6,940 27,944 413,313

Full Year 2014 $ 20,574 $ (168,276) $ (20,896) $ 131,576 $ 92,819 $ 285,610 $ 6,940 $ 27,944 $ 413,313

January 2015 $ 2,024 $ (8,596) $ (1,428) $ 10,874 $ 95,693 $ 285,125 $ 7,237 $ 26,430 $ 414,485

February 2015 1,720 (14,604) (1,322) 11,937 93,424 284,138 6,874 24,670 409,106

March 2015 2,690 (15,846) (1,216) 19,947 98,999 281,402 7,041 24,242 411,684

April 2015 2,802 (21,258) (1,558) 19,708 98,693 277,437 7,116 21,919 405,165

May 2015 3,635 (23,715) (1,497) 17,874 94,990 272,848 6,541 20,779 395,158

YTD 2015 $ 12,871 $ (84,019) $ (7,021) $ 80,340 $ 94,990 $ 272,848 $ 6,541 $ 20,779 $ 395,158

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

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

October 2014 62,749 October 2014 104,726 4,486 (13,167) - (8) 372,930 477,656

November 2014 69,169 November 2014 104,512 7,381 (15,051) (210) (15) 365,035 469,547

December 2014 72,389 December 2014 105,042 1,960 (7,573) - - 359,422 464,464

Full Year 2014 $ 72,389 Full Year 2014 $ 105,042 $ 45,825 $ (145,707) $ (2,544) $ (38) $ 359,422 $ 464,464

January 2015 $ 75,761 January 2015 $ 103,904 $ 7,702 $ (2,454) $ - $ (18) $ 364,652 $ 468,556

February 2015 69,851 February 2015 95,742 7,578 (11,197) - 15 361,048 456,790

March 2015 63,417 March 2015 99,392 1,454 (9,273) (250) (24) 352,955 452,347

April 2015 65,981 April 2015 95,985 8,340 (7,993) - 20 353,322 449,307

May 2015 66,723 May 2015 89,018 4,705 (10,716) - (2) 347,309 436,327

YTD 2015 $ 66,723 YTD 2015 $ 89,018 $ 29,779 $ (41,633) $ (250) $ (9) $ 347,309 $ 436,327

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

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%

October 2014 0.0 (0.1) 0 October 2014 1.65% 3.56% 1.92% 0.06%

November 2014 0.0 (0.1) 0 November 2014 1.64% 3.56% 1.91% 0.05%

December 2014 (0.1) (0.1) 0 December 2014 1.62% 3.47% 1.89% 0.05%

Full Year 2014 $ (0.1) $ 0.0

January 2015 $ 0.0 $ (0.1) 0 January 2015 1.60% 3.41% 1.86% 0.07%

February 2015 0.0 0.0 0 February 2015 1.57% 3.33% 1.83% 0.08%

March 2015 (0.1) 0.0 0 March 2015 1.53% 3.21% 1.78% 0.09%

April 2015 0.0 0.0 0 April 2015 1.50% 3.11% 1.73% 0.07%

May 2015 0.0 0.0 0 May 2015 1.47% 3.04% 1.70% 0.06%

YTD 2015 $ 0.0 $ 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.

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.

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.

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.

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.

Beginning January 2015, the balance of New Business Acquisitions in Table 1 excludes purchases of non-Fannie Mae agency securities and purchases 

of delinquent loans out of our MBS trusts. 

Page 3 of 4
General

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

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. 

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 three months 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.

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 primarily include "private-label securities," "mortgage revenue bonds," and "commercial mortgage-backed 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.

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.

Commitments to Purchase, Net. Represents 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 

commitments.

Commitments to Sell. Represents commitments to sell mortgage securities and mortgage loans.

Net Retained Commitments. Represents commitments to purchase, less commitments to sell.

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.

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

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. 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 our statutory affordable housing allocations will be based. For periods prior to January 2015, the amounts also include purchases of non-Fannie Mae agency securities and delinquent 

loans purchased out of our MBS trusts.

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

Page 4 of 4