By the Numbers
GSE portfolios resume growth in June
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Fannie Mae’s and Freddie Mac’s retained mortgage portfolios grew in June, reversing some of May’s decline. Fannie Mae’s portfolio rose $2.9 billion to $175 billion, while Freddie Mac’s increased about $1.3 billion to $138.6 billion. They nevertheless ended the first half of 2026 on different paths, Fannie Mae expanding sharply with Freddie Mac staying near its year-end balance. Interest rate exposure rose again at both companies.
Fannie Mae’s June increase put its portfolio just above its March high and $42.6 billion above year-end (Exhibit 1). Freddie Mac’s rebound offset only part of its $4.6 billion May decline, leaving the portfolio little changed from $139.2 billion at the end of 2025. The combined balance rose to about $314 billion.
Exhibit 1. Both retained portfolios grew in June
Source: Fannie Mae, Freddie Mac, Santander US Capital Markets.
Fannie Mae’s larger year-to-date increase points to an active investment program. But uneven monthly purchases suggest it is not a steady, programmatic buyer. In its second-quarter 10-Q, Fannie Mae said first-half growth came mainly from agency MBS purchases after FHFA raised its investment limit in January. The purchases were meant to support the secondary market and generate acceptable returns. Freddie Mac’s balance has been more stable this year.
Interest rate exposure continued to rise (Exhibit 2). Fannie Mae’s duration gap ended June at about 1.31 years, up from 1.29 in May. Freddie Mac’s averaged 1.25 years, up from 1.17. A 1.31-year gap means Fannie Mae’s net portfolio value would be expected to fall about 1.31% if rates rose 100 basis points and rise about 1.31% if rates fell by the same amount, before convexity and other nonlinear effects.
Exhibit 2. Interest rate exposure keeps growing
Source: Fannie Mae, Freddie Mac, Santander US Capital Markets.
The increase reflects a choice to retain more long-term rate exposure instead of fully hedging the equity-supported portion of the portfolios. Fannie Mae said its interest rate strategy now balances sensitivity to market values with earnings volatility from short-term rate changes.
Freddie Mac reports duration gaps separately for assets funded mainly by debt and for all other financial instruments. In June, the gap for debt-funded assets rounded to zero months; the other category was 58 months. The total gap of 15 months implies leverage of about 3.9 times, up from about 3.6 times in May.
Fannie Mae had been a net debt issuer for most of the year, but that streak ended in June (Exhibit 3). Outstanding debt fell $3.9 billion after growing an average of $10.4 billion a month from January through May.
Exhibit 3. Fannie Mae’s debt balance fell slightly in June
Source: Fannie Mae, Freddie Mac, Santander US Capital Markets.
For MBS investors, June points to modest net demand rather than a fixed purchase schedule. That supports demand, but monthly balances suggest purchases still depend on market conditions and portfolio economics. The clearer trend is rising duration exposure. As their portfolios grow, the GSEs are clearly taking more rate risk.
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