MONTHLY SUMMARY HIGHLIGHTS

MAY 2007

Ø		Fannie Mae’s book of business grew at a compound annualized rate of 20.0 percent in May driven by double-digit growth in both Fannie Mae MBS and other guarantees and gross mortgage portfolio.
Ø		Fannie Mae MBS and other guarantees rose at a compound annualized rate of 18.7 percent during the month. Growth was attributable to continued strong issuance of total Fannie Mae MBS, which rose to $50.9 billion in May, and an increase in standby delivery commitments, which boosted other Fannie Mae guarantees.
Ø		The gross mortgage portfolio balance rose to $718 billion in May driven by purchases of $21.8 billion. Into the month of June, option-adjusted spreads have continued to widen. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $713 billion in May.
Ø		Net retained commitments rose to $17.5 billion in May, from $11.7 billion in April, driven by a sizeable increase in commitments to purchase.
Ø		The conventional single-family delinquency rate remained unchanged at 0.62 percent in April (latest data available). The multifamily serious delinquency rate rose one basis point to 0.10 percent in April.
Ø		The effective duration gap on Fannie Mae’s portfolio averaged zero months in May.

MORTGAGE MARKET HIGHLIGHTS

Ø		Growth in total residential mortgage debt outstanding (MDO) decelerated during the first quarter of 2007 to a compound annual rate of just 5.6 percent - the slowest pace of MDO growth recorded over a 3-month period since 1997. This was attributable to seasonal factors and exacerbated by a deteriorating housing market.
Ø		The monthly average ARM share of the number of conventional mortgage applications decreased to 18.1 percent in May – the lowest share recorded since July 2003. This decline was likely driven in part by borrowers refinancing out of adjustable rate mortgages and into mortgages with fixed rates.

 

 

TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) ¹

		Commitments				Commitments				Net Retained
		to Purchase, Net				to Sell				Commitments
May 2006		$	19,981			$	(7,958	)		$	12,022
June 2006			21,981				(8,738	)			13,243
July 2006			15,446				(9,401	)			6,045
August 2006			29,644				(22,757	)			6,887
September 2006			23,624				(13,133	)			10,491
October 2006			26,694				(18,638	)			8,056
November 2006			19,159				(10,508	)			8,651
December 2006			20,273				(5,422	)			14,851
Full Year 2006		$	251,966			$	(119,498	)		$	132,468
January 2007		$	23,208			$	(22,133	)		$	1,075
February 2007			23,233				(13,256	)			9,977
March 2007			27,723				(13,630	)			14,093
April 2007			20,110				(8,420	)			11,689
May 2007			29,600				(12,077	)			17,523
YTD 2007		$	123,874			$	(69,516	)		$	54,357

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

																		Compounded				Annualized
Purchases 2						Sales				Liquidations				End Balance				Growth Rate				Liquidation Rate
		$	18,857			$	(3,729	)		$	(11,672	)		$	733,783				5.8	%			(19.18	%)
			18,819				(9,216	)			(12,486	)			730,900				(4.6	%)			(20.42	%)
			15,242				(2,819	)			(11,880	)			731,443				0.9	%			(19.50	%)
			16,026				(8,898	)			(11,760	)			726,811				(7.3	%)			(19.29	%)
			20,308				(9,698	)			(11,888	)			725,534				(2.1	%)			(19.63	%)
			13,159				(6,746	)			(10,987	)			720,959				(7.3	%)			(18.17	%)
			14,035				(6,326	)			(11,230	)			717,438				(5.7	%)			(18.69	%)
			19,718				(1,860	)			(10,896	)			724,400				12.3	%			(18.22	%)
		$	197,252			$	(61,184	)		$	(139,224	)		$	724,400				(0.4	%)			(19.14	%)
		$	9,659			$	(1,927	)		$	(10,690	)		$	721,442				(4.8	%)			(17.71	%)
			10,359				(9,555	)			(10,101	)			712,145				(14.4	%)			(16.80	%)
			16,452				(5,505	)			(10,286	)			712,806				1.1	%			(17.33	%)
			9,964				(2,111	)			(10,073	)			710,586				(3.7	%)			(16.96	%)
			21,776				(3,640	)			(10,466	)			718,257				13.8	%			(17.67	%)
		$	68,210			$	(22,737	)		$	(51,616	)		$	718,257				(2.0	%)			(17.10	%)

 

 

 

 

		Liquid Investments
		End Balance
May 2006		$	57,425
June 2006			68,218
July 2006			61,535
August 2006			67,794
September 2006			48,778
October 2006			52,229
November 2006			51,792
December 2006			57,819
Full Year 2006		$	57,819
January 2007		$	57,484
February 2007			68,959
March 2007			66,830
April 2007			57,355
May 2007			55,650
YTD 2007		$	55,650

		Original Maturity					Original Maturity > 1 Year
		£ 1 Year									Maturities and												Total Debt
		End Balance					Issuances				Redemptions				Repurchases				End Balance				Outstanding
May 2006		$	169,499				$	9,070			$	(12,778	)		$	(2,063	)		$	612,316			$	781,815
June 2006			175,329					26,993				(21,030	)			(1,903	)			616,376				791,705
July 2006			168,783					12,944				(13,064	)			(1,705	)			614,551				783,334
August 2006			160,315					17,571				(7,938	)			(1,125	)			623,059				783,374
September 2006			152,743					10,271				(19,047	)			(424	)			613,858				766,601
October 2006			152,136					13,403				(12,717	)			(5,208	)			609,336				761,472
November 2006			152,146					12,450				(15,231	)			(606	)			605,949				758,096
December 2006			168,623					15,510				(14,664	)			(1,035	)			605,760				774,384
Full Year 2006		$	168,623				$	181,313			$	(153,743	)		$	(15,513	)		$	605,760			$	774,384
January 2007		$	161,731				$	19,970			$	(19,991	)		$	(592	)		$	605,147			$	766,877
February 2007			164,969					17,129				(16,527	)			(328	)			605,420				770,389
March 2007			160,901					22,013				(15,859	)			(290	)			611,284				772,185
April 2007			159,782					17,049				(16,720	)			(82	)			611,531				771,313
May 2007			162,161					2 0,988				(12,458	)			(691	)			619,370				781,531
YTD 2007		$	162,161				$	97,148			$	(81,555	)		$	(1,983	)		$	619,370			$	781,531

		Effective
		Duration Gap
		(in months)
May 2006			0
June 2006			(1	)
July 2006			(1	)
August 2006			(1	)
September 2006			0
October 2006			0
November 2006			0
December 2006			0
January 2007			0
February 2007			0
March 2007			(1	)
April 2007			0
May 2007			0

		Conventional Single-Family7												Multifamily
		Non-Credit				Credit
		Enhanced 8				Enhanced 9				Total 10				Total 11
April 2006			0.37	%			1.79	%			0.64	%			0.21	%
May 2006			0.35	%			1.74	%			0.62	%			0.16	%
June 2006			0.35	%			1.70	%			0.60	%			0.21	%
July 2006			0.35	%			1.73	%			0.61	%			0.16	%
August 2006			0.34	%			1.73	%			0.60	%			0.16	%
September 2006			0.35	%			1.74	%			0.61	%			0.12	%
October 2006			0.35	%			1.76	%			0.62	%			0.09	%
November 2006			0.36	%			1.78	%			0.63	%			0.09	%
December 2006			0.37	%			1.81	%			0.65	%			0.08	%
January 2007			0.38	%			1.86	%			0.66	%			0.10	%
February 2007			0.38	%			1.84	%			0.66	%			0.10	%
March 2007			0.35	%			1.74	%			0.62	%			0.09	%
April 2007			0.35	%			1.74	%			0.62	%			0.10	%

ADDITIONAL INFORMATION

As previously announced, on May 23, 2006, Fannie Mae agreed to a consent order issued by its regulator, OFHEO. Under the consent order, Fannie Mae may not increase its “mortgage portfolio” assets above the amount shown in its December 31, 2005 minimum capital report, except under specified circumstances at the discretion of OFHEO. Fannie Mae believes it is in compliance with the terms of its consent order with OFHEO.

The “gross mortgage portfolio” balances set forth in this monthly summary report represent unpaid principal balances, which represent statistical measures rather than amounts computed in accordance with GAAP. “Mortgage portfolio” assets that are reported to OFHEO under the consent order reflect GAAP adjustments, including market valuation adjustments, allowance for loan losses, impairments and unamortized premiums and discounts. These adjustments are not reflected in the “gross mortgage portfolio” amounts shown in this report.

We expect that some of the information in this monthly summary report will change when the financial statements and related audits for the current and prior periods are completed. Management believes that the information may be useful to investors for comparing current business activities with those of prior periods and for reviewing trends in our business, notwithstanding that information may change, perhaps materially, from what is reported herein. Issues that will cause some of this information to change include those related to our securities accounting, loan accounting, consolidation and amortization.

ENDNOTES

1.		The end balances and business activity in this report represent unpaid principal balances (“UPB”), which do not reflect, for example, market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and discounts and the impact of consolidation of variable interest entities.
2.		Includes capitalized interest.
3.		Includes Fannie Mae mortgage-backed securities (“Fannie Mae MBS”) issued from Fannie Mae’s portfolio. See Table 5 for monthly activity and balances for Fannie Mae MBS held in the mortgage portfolio.
4.		Represents new Fannie Mae MBS created from mortgage loans previously held in the mortgage portfolio. These amounts, included in the Issuance balance in Table 4, have been transferred from mortgage loans to securities, and may be included in sales.
5.		In this table, non-agency securities that Fannie Mae has guaranteed are included with non-Fannie Mae mortgage securities. These securities are sometimes referred to as “private label wraps.”
6.		Reported amounts represent the unpaid principal balance at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. Unpaid principal balance does not reflect the effect of currency adjustments, debt basis adjustments, amortization of discounts, premiums, and issuance costs.
7.		Includes conventional single-family loans three months or more past due or in foreclosure process 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.
8.		Loans without primary mortgage insurance and/or other credit enhancements.
9.		Loans with primary mortgage insurance and/or other credit enhancements.
10.		Total conventional single-family serious delinquency rate includes non-credit enhanced and credit enhanced loans.
11.		Includes multifamily loans and securities 60 days or more past due and is calculated based on UPB of 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. Data for 2006 have been revised from amounts previously reported to conform to current presentation.

GLOSSARY

General
Information Changes. Amounts and rates for 2006 reflect data reclassifications, definitional changes and corrections as well as revisions to this presentation. As a result, these amounts and rates may differ from and may not be shown on a comparable basis to those previously reported in Fannie Mae’s Monthly Summary reports.

Compounded Growth Rate. Monthly growth rates are compounded to provide an annualized rate of growth.

Table 1
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.

Table 2
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 of the mortgage loans or mortgage securities and are subject to the payment of pair-off fees for non-delivery.

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.

Table 3
Gross Mortgage Portfolio. End balance represents the unpaid principal balance (“UPB”) of the mortgage portfolio that Fannie Mae holds for investment and liquidity purposes.

Purchases. Acquisition of mortgage loans and mortgage securities for the mortgage portfolio.
Sales. Sales of mortgage securities 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.

Table 4
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 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 credit enhancements we provide on multifamily mortgage assets and Ginnie Mae securities. In addition, we include in “Other Fannie Mae Guarantees,” long-term standby commitments to purchase mortgage loans.
Annualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized.

Table 5
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.”

Table 6
Liquid Investments. Liquid investments serve as Fannie Mae’s primary source of liquidity and an investment vehicle for surplus capital. This balance includes high-quality securities that are short-term or readily marketable, such as commercial paper, asset-backed securities and corporate floating-rate notes. The balance shown does not include cash and cash-equivalents, which are also used for liquidity purposes.

Table 7
Debt Activity. For more information about Fannie Mae’s debt activity, please visit www.fanniemae.com/markets/debt/debt_activity.

Table 8
Effective Duration Gap. The effective duration gap is the daily average of the difference between the duration of Fannie Mae’s assets and liabilities for the reported month. The calculation excludes any interest rate sensitivity of the guarantee business.

The duration gap calculation includes non-mortgage assets and liabilities.

Table 9
Serious Delinquency Rates. A measure of credit performance and indicator of future defaults for the single-family and multifamily mortgage credit books. We classify single-family loans as seriously delinquent when a borrower has missed three or more consecutive monthly payments, and the loan has not been brought current or extinguished through foreclosure, payoff, or other resolution. A loan referred to foreclosure but not yet foreclosed is also considered seriously delinquent. We include all of the conventional single-family loans that we own or that back Fannie Mae MBS in our single-family delinquency rate, including those with substantial credit enhancement. We classify multifamily loans as seriously delinquent when payment is 60 days or more past due.

For more information about Fannie Mae, please visit www.fanniemae.com or contact our Investor Relations Department at (202) 752-7115.