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

MONTHLY SUMMARY HIGHLIGHTS

September 2023

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

rate of 1.0% in September.

•The Conventional Single-Family Serious Delinquency Rate increased 1 basis point 

to 0.54% in September.

•The Multifamily Serious Delinquency Rate increased 7 basis points to 0.54% in 

September.

•As of September 30, 2023, Fannie Mae's maximum exposure to Freddie Mac 

collateral that was included in outstanding Fannie Mae resecuritizations was 

$219.3 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 2022 $ 4,037,886 $ 55,942 $ 4,093,828 1.6 % $ 44,286 

October 2022 4,043,368 54,658 4,098,026 1.2 % 40,338 

November 2022 4,044,199 55,221 4,099,420 0.4 % 33,301 

December 2022 4,046,353 55,717 4,102,070 0.8 % 30,456 

Full Year 2022 $ 4,046,353 $ 55,717 $ 4,102,070 3.2 % $ 684,538 

January 2023 $ 4,047,493 $ 53,292 $ 4,100,785 (0.4) % $ 25,479 

February 2023 4,045,460 50,824 4,096,284 (1.3) % 21,627 

March 2023 4,048,648 53,418 4,102,066 1.7 % 30,768 

April 2023 4,050,831 52,970 4,103,801 0.5 % 31,561 

May 2023 4,057,197 52,212 4,109,409 1.7 % 33,760 

June 2023 4,064,183 51,827 4,116,010 1.9 % 38,973 

July 2023 4,069,360 50,313 4,119,673 1.1 % 35,761 

August 2023 4,071,135 53,114 4,124,249 1.3 % 34,611 

September 2023 4,073,092 54,583 4,127,675 1.0 % 35,307 

YTD 2023 $ 4,073,092 $ 54,583 $ 4,127,675 0.8 % $ 287,847 

Page 1 of 4

TABLE 2. RETAINED MORTGAGE PORTFOLIO ACTIVITY ($ in Millions) 1,8 TABLE 3. RETAINED MORTGAGE PORTFOLIO COMPOSITION ($ in Millions) 1,8

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 2022 $ 18,295 $ (12,528) $ (889) $ 83,982 $ 25,331 $ 55,942 $ 2,284 $ 425 $ 83,982 

October 2022 15,999 (22,353) (884) 76,744 19,462 54,658 2,206 418 76,744 

November 2022 12,112 (13,307) (753) 74,796 17,031 55,221 2,129 415 74,796 

December 2022 10,733 (6,929) (858) 77,742 19,577 55,717 2,044 404 77,742 

Full Year 2022 $ 277,640 $ (296,596) $ (12,523) $ 77,742 $ 19,577 $ 55,717 $ 2,044 $ 404 $ 77,742 

January 2023 $ 10,398 $ (9,438) $ (922) $ 77,780 $ 22,140 $ 53,292 $ 1,946 $ 402 $ 77,780 

February 2023 9,092 (15,519) (1,042) 70,311 17,248 50,824 1,842 397 70,311 

March 2023 11,791 (9,226) (1,053) 71,823 16,274 53,418 1,743 388 71,823 

April 2023 12,291 (8,216) (1,137) 74,761 19,782 52,970 1,631 378 74,761 

May 2023 12,248 (11,271) (1,170) 74,568 20,463 52,212 1,522 371 74,568 

June 2023 14,803 (8,483) (1,404) 79,484 25,926 51,827 1,424 307 79,484 

July 2023 14,197 (14,951) (1,153) 77,577 25,661 50,313 1,314 289 77,577 

August 2023 18,389 (17,516) (1,224) 77,226 22,050 53,114 1,784 278 77,226 

September 2023 12,488 (12,733) (1,019) 75,962 19,435 54,583 1,673 271 75,962 

YTD 2023 $ 115,697 $ (107,353) $ (10,124) $ 75,962 $ 19,435 $ 54,583 $ 1,673 $ 271 $ 75,962 

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 2022 $ 45,746 $ (39,311) $ 4,028,152 (11.7) % $ 9,734 $ 4,037,886 1.9 %

October 2022 40,854 (35,353) 4,033,653 (10.5) % 9,715 4,043,368 1.6 %

November 2022 32,167 (31,284) 4,034,536 (9.3) % 9,663 4,044,199 0.2 %

December 2022 30,132 (27,888) 4,036,780 (8.3) % 9,573 4,046,353 0.6 %

Full Year 2022 $ 697,218 $ (555,949) $ 4,036,780 (14.3) % $ 9,573 $ 4,046,353 3.6 %

January 2023 $ 27,916 $ (26,756) $ 4,037,940 (8.0) % $ 9,553 $ 4,047,493 0.3 %

February 2023 22,344 (24,321) 4,035,963 (7.2) % 9,497 4,045,460 (0.6) %

March 2023 28,183 (24,957) 4,039,189 (7.4) % 9,459 4,048,648 0.9 %

April 2023 32,677 (30,462) 4,041,404 (9.0) % 9,427 4,050,831 0.6 %

May 2023 34,614 (28,208) 4,047,810 (8.4) % 9,387 4,057,197 1.9 %

June 2023 39,417 (32,402) 4,054,825 (9.6) % 9,358 4,064,183 2.1 %

July 2023 37,506 (32,313) 4,060,018 (9.6) % 9,342 4,069,360 1.5 %

August 2023 32,011 (30,187) 4,061,842 (8.9) % 9,293 4,071,135 0.5 %

September 2023 34,461 (32,523) 4,063,780 (9.6) % 9,312 4,073,092 0.6 %

YTD 2023 $ 289,129 $ (262,129) $ 4,063,780 (8.7) % $ 9,312 $ 4,073,092 0.9 %
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, Redemptions 

and Repurchases

Foreign Exchange 

Adjustments

Total Debt 

End Balance Issuances End Balance Outstanding

September 2022 $ 106,001 $ 2,995 $ — $ (2,124) $ (12) $ 131,919 $ 134,914 

October 2022 113,200 2,795 — (2,177) 8 129,750 132,545 

November 2022 125,616 9,927 730 (132) 14 130,362 140,289 

December 2022 121,091 10,229 231 (1,570) — 129,023 139,252 

Full Year 2022 $ 121,091 $ 10,229 $ 1,961 $ (72,570) $ (37) $ 129,023 $ 139,252 

January 2023 $ 124,010 $ 11,664 $ 730 $ (2,037) $ 5 $ 127,721 $ 139,385 

February 2023 132,430 11,557 1,390 (37) (7) 129,067 140,624 

March 2023 133,584 14,029 748 (31) 8 129,792 143,821 

April 2023 135,736 15,308 1,315 (35) 6 131,078 146,386 

May 2023 132,131 16,149 600 (5,539) (3) 126,136 142,285 

June 2023 127,931 15,669 1,178 (208) 6 127,112 142,781 

July 2023 126,827 16,626 1,515 (7,085) 3 121,545 138,171 

August 2023 130,533 21,675 — (3,059) (4) 118,482 140,157 

September 2023 124,253 14,285 — (2,063) (12) 116,407 130,692 

YTD 2023 $ 124,253 $ 14,285 $ 7,476 $ (20,094) $ 2 $ 116,407 $ 130,692 

TABLE 7. SERIOUS DELINQUENCY RATES4

Conventional Single-Family3

Credit Enhanced

Vintage by Origination Year Non-Credit 

Enhanced

Primary MI and Credit Risk 

2004 and Prior 2005 - 2008 2009 - 2023 Overall Other5 Transfer6 Overall Multifamily7

September 2022 2.41 % 3.83 % 0.55 % 0.69 % 0.60 % 1.21 % 0.68 % 0.69 % 0.26 %

October 2022 2.34 % 3.71 % 0.53 % 0.67 % 0.58 % 1.19 % 0.67 % 0.67 % 0.27 %

November 2022 2.15 % 3.49 % 0.52 % 0.64 % 0.55 % 1.16 % 0.65 % 0.64 % 0.27 %

December 2022 2.16 % 3.49 % 0.53 % 0.65 % 0.55 % 1.19 % 0.66 % 0.65 % 0.24 %

January 2023 2.11 % 3.40 % 0.52 % 0.64 % 0.55 % 1.17 % 0.65 % 0.64 % 0.24 %

February 2023 2.04 % 3.31 % 0.51 % 0.62 % 0.53 % 1.14 % 0.63 % 0.62 % 0.35 %

March 2023 1.93 % 3.11 % 0.48 % 0.59 % 0.50 % 1.07 % 0.58 % 0.59 % 0.35 %

April 2023 1.92 % 3.07 % 0.48 % 0.58 % 0.50 % 1.06 % 0.57 % 0.58 % 0.38 %

May 2023 1.85 % 2.95 % 0.46 % 0.56 % 0.48 % 1.02 % 0.52 % 0.56 % 0.40 %

June 2023 1.82 % 2.86 % 0.45 % 0.55 % 0.47 % 1.01 % 0.51 % 0.55 % 0.37 %

July 2023 1.78 % 2.82 % 0.45 % 0.54 % 0.47 % 1.01 % 0.51 % 0.54 % 0.47 %

August 2023 1.74 % 2.72 % 0.45 % 0.53 % 0.46 % 1.01 % 0.51 % 0.53 % 0.47 %

September 2023 1.74 % 2.68 % 0.45 % 0.54 % 0.46 % 1.03 % 0.51 % 0.54 % 0.54 %

September 2023 % of Book Outstanding 1 % 1 % 98 % 55 % 21 % 35 %

Table 8. INTEREST RATE RISK DISCLOSURES

Market Value Sensitivity ($ in Millions)

Rate Level Rate Slope Duration Gap

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

September 2022 $ (23) $ (6) (0.02) 

October 2022 (18) (4) (0.01) 

November 2022 (13) (5) 0.01 

December 2022 (15) (7) 0.01 

Full Year 2022 $ (36) $ (6) 

January 2023 $ (27) $ (12) 0.02 

February 2023 (36) (17) 0.04 

March 2023 (17) (13) 0.01 

April 2023 (15) (10) — 

May 2023 (11) (6) — 

June 2023 (22) (11) 0.02 

July 2023 (30) (8) 0.03

August 2023 (40) (6) 0.04 

September 2023 (29) (13) 0.03 

YTD 2023 $ (25) $ (10) 
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.

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 credit enhancements Fannie Mae has provided and 

long-term standby commitments it has issued.

Table 5

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

loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans 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 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. Effective April 2023, we transitioned from LIBOR to SOFR in measuring the company's interest-rate risk. Prior periods were not revised.

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 the applicable 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 applicable yield curve. To calculate the adverse change in the slope of the yield curve, the company calculates the effect of a 25 basis point 

change in slope that results in a steeper LIBOR or SOFR yield curve, as applicable, and the effect of a 25 basis point change in slope that results in a flatter LIBOR or SOFR yield curve, as applicable, 

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. Single-family and multifamily serious delinquency rates in this report may be based on preliminary information that is subject to change.

5. 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.

6. 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 the outstanding UPB of the underlying loans on the single-family mortgage credit book, not the outstanding reference pool, as 

of the specified date. 

7. 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.

8. The amount of mortgage assets that we may own in our retained mortgage portfolio is capped at $225 billion 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 $202.5 billion mortgage asset cap pursuant to instructions from FHFA. For this purpose, the balance of our retained 

mortgage portfolio was $77.6 billion as of September 30, 2023, which includes $1.6 billion representing 10% of the notional amount of the interest-only securities we held as of September 30, 

2023.