Fnm 093009

TABLE 1. TOTAL BOOK OF BUSINESS COMPONENTS ($ in Millions) 1 Gross Mortgage Total Fannie Mae MBS Portfolio and Other Guarantees + [Table 3] September 2008 October 2008 November 2008 December 2008 YTD 2008 January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

761,396 777,112 782,878 787,294 787,294

$

785,548 784,724 783,868 770,062 789,634 792,612 779,446 779,424 792,675 792,675

January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

43,764 33,477 21,192 32,464 408,341 26,290 36,430 42,633 63,805 76,925 72,045 103,588 31,756 69,667 523,139

-

[Table 4]

$

$

TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) Commitments Commitments to Purchase, Net to Sell September 2008 October 2008 November 2008 December 2008 Full Year 2008

MONTHLY SUMMARY HIGHLIGHTS Fannie Mae MBS in Portfolio

$ $

$

2,591,711 2,597,969 2,595,108 2,611,376 2,611,376

(34,735) (22,913) (13,286) (20,805) (258,373) (23,316) (34,078) (37,194) (58,940) (72,982) (69,337) (99,359) (24,849) (61,845) (481,900)

$

2,606,196 2,608,979 2,640,355 2,638,362 2,711,439 2,781,056 2,795,661 2,805,128 2,820,736 2,820,736

1, 2, 3

=

[Table 5]

$

$

274,204 287,249 290,711 287,570 287,570

Total Book

Compounded

New Business

of Business

Growth Rate

Acquisitions

$

283,097 280,047 280,248 271,413 351,158 379,890 355,550 355,295 370,588 370,588

$

$

TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions) Net Retained Commitments

$ $

$

9,029 10,564 7,906 11,659 149,968 2,974 2,352 5,439 4,865 3,943 2,708 4,229 6,907 7,822 41,239

Purchases

$ $

$

3

14,572 24,606 13,989 13,980 196,645 11,703 15,847 22,436 18,452 42,652 48,285 39,594 24,823 33,894 257,686

Sales

$ $

$

3

(6,661) (2,341) (1,634) (3,353) (42,984) (5,392) (6,570) (12,128) (20,328) (11,321) (34,277) (40,376) (13,982) (11,548) (155,922)

Liquidations

$ $

$

(6,495) (6,549) (6,589) (6,211) (90,343) (8,057) (10,101) (11,164) (11,930) (11,759) (11,030) (12,384) (10,863) (9,095) (96,383)

3,078,903 3,087,832 3,087,275 3,111,100 3,111,100

8.0% 3.5% (0.2%) 9.7% 7.7%

3,108,647 3,113,656 3,143,975 3,137,011 3,149,915 3,193,778 3,219,557 3,229,257 3,242,823 3,242,823

(0.9%) 2.0% 12.3% (2.6%) 5.0% 18.1% 10.1% 3.7% 5.2% 5.7%

$

$

$

$

28,829 53,756 92,837 57,560 72,594 109,628 95,110 70,600 68,942 649,856

1, 2

Compounded Growth Rate 3

Annualized Liquidation Rate

761,396 777,112 782,878 787,294 787,294

2.3% 27.8% 9.3% 7.0% 8.7%

(10.25%) (10.32%) (10.17%) (9.52%) (12.48%)

785,548 784,724 783,868 770,062 789,634 792,612 779,446 779,424 792,675 792,675

(2.6%) (1.3%) (1.3%) (19.2%) 35.1% 4.6% (18.2%) (0.0%) 22.4% 0.9% 11.17%

(12.28%) (15.43%) (17.07%) (18.26%) (18.32%) (16.76%) (18.75%) (16.72%) (14.00%) (16.32%)

End Balance

$

$

44,097 35,277 29,652 48,376 631,356

3

SEPTEMBER 2009  Fannie Mae’s Book of Business grew at a compound annualized rate of 5.2 percent in September and 5.7 percent year-to-date.  Fannie Mae’s Gross Mortgage Portfolio grew at a compound annualized rate of 22.4 percent in September and 0.9 percent year-to-date.  The Conventional Single-Family Serious Delinquency Rate rose 28 basis points in August to 4.45 percent; the Multifamily Serious Delinquency Rate was unchanged at 0.56 percent in August (latest data available).  The Effective Duration Gap on Fannie Mae’s portfolio averaged negative two months in September.

1

TABLE 4. FANNIE MAE GUARANTEED SECURITIES AND MORTGAGE LOANS ($ in Millions) Fannie Mae Other Total Fannie Mae MBS MBS Annualized Fannie Mae Liquidations End Balance Liquidation Rate Guarantees Issuances 4 September 2008 October 2008 November 2008 December 2008 Full Year 2008 January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

38,354 28,597 23,806 37,064 542,813 21,218 45,289 87,813 55,999 129,091 130,865 79,740 62,111 59,246 671,372

$ $

$

Numbes may not sum due to rounding

(21,818) (21,661) (25,057) (18,681) (339,215) (24,755) (42,278) (56,974) (56,288) (55,766) (62,864) (63,294) (52,453) (44,555) (459,227)

$ $

$

2,559,521 2,566,457 2,565,206 2,583,589 2,583,589

(10.30%) (10.16%) (11.72%) (8.74%) (14.25%)

2,580,052 2,583,063 2,613,902 2,613,613 2,686,938 2,754,939 2,771,385 2,781,043 2,795,734 2,795,734

(11.50%) (19.66%) (26.47%) (25.84%) (25.60%) (28.08%) (27.57%) (22.71%) (19.23%) (23.70%)

$ $

$

32,190 31,512 29,902 27,787 27,787 26,144 25,916 26,453 24,749 24,501 26,117 24,276 24,085 25,002 25,002

Total Fannie Mae MBS and Other Guarantees

$ $

$

Compounded Growth Rate

2,591,711 2,597,969 2,595,108 2,611,376 2,611,376

8.9% 2.9% (1.3%) 7.8% 7.8%

2,606,196 2,608,979 2,640,355 2,638,362 2,711,439 2,781,056 2,795,661 2,805,128 2,820,736 2,820,736

(2.4%) 1.3% 15.4% (0.9%) 38.8% 35.6% 6.5% 4.1% 6.9% 10.8%

Mortgage Loans

$ $

$

350,037 353,160 356,608 365,254 365,254 369,119 372,518 372,792 369,276 310,452 277,153 271,604 271,160 268,642 268,642

See Endnotes and Glossary on Pages 3 and 4

Fannie Mae Guaranteed Securities and Mortgage Loans

$ $

$

2,941,748 2,951,129 2,951,716 2,976,630 2,976,630 2,975,315 2,981,497 3,013,147 3,007,638 3,021,891 3,058,209 3,067,265 3,076,288 3,089,378 3,089,378

IMPORTANT NOTE: On September 6, 2008, the Federal Housing Finance Agency (FHFA) was appointed conservator of Fannie Mae.

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TABLE 5. MORTGAGE PORTFOLIO COMPOSITION ($ in Millions)

Fannie Mae MBS in Portfolio Sales Liquidations

Purchases September 2008 October 2008 November 2008 December 2008 YTD 2008 January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

4,956 15,153 5,506 649 68,009

January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

$

609 444 4,898 2,620 26,474 21,647 8,832 4,293 12,775 82,592

TABLE 6. OTHER INVESTMENTS ($ in Millions)

September 2008 October 2008 November 2008 December 2008 YTD 2008

1

$

$ 1

(6,139) (2,341) (1,634) (3,338) (41,244) (5,358) (6,570) (12,127) (20,298) (11,272) (34,038) (40,332) (9,692) (3,267) (142,954)

January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$

$

$

Original Maturity < 1 Year

End Balance

End Balance

85,619 105,069 105,984 82,900 82,900

September 2008 October 2008 November 2008 December 2008 YTD 2008

105,700 93,666 87,591 78,133 77,250 67,457 71,016 66,703 59,354 59,354

January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 September 2009 YTD 2009

$ $

$

(0.8) (1.0) (0.6) (1.1) (0.8) (1.3) (0.5) (0.9) (0.7) (0.6) (0.5) (0.5) (0.4) (0.8) (0.7)

Numbes may not sum due to rounding

Shock (25 bp)

$ $

$

281,894 325,662 336,354 332,542 332,542 330,198 300,373 275,527 269,793 260,507 260,257 238,867 229,507 241,039 241,039

Effective Duration Gap (in months)

(0.1) (0.2) (0.2) (0.3) (0.1)

1 2 0 (1)

(0.4) (0.3) (0.1) (0.1) (0.2) (0.2) (0.2) (0.2) (0.2) (0.2)

0 1 (2) (1) 1 1 (1) 0 (2)

3,873 2,773 2,637 2,019 40,093

$

(3,207) (3,860) (5,084) (5,428) (8,132) (6,752) (8,232) (6,897) (5,638) (53,230)

Other Investments

Shock (50 bp)

$

$

(2,643) (2,540) (3,047) (2,471) (35,235)

TABLE 7. DEBT ACTIVITY ($ in Millions)

TABLE 8. INTEREST RATE RISK DISCLOSURES ($ in Billions) 7 Market Value Sensitivity Rate Level Rate Slope

September 2008 October 2008 November 2008 December 2008 YTD 2008

$

Securitizations 5

$

$

3,483 6,936 12,514 14,271 72,675 47,875 15,392 12,041 11,423 196,610

$ $

$

274,204 287,249 290,711 287,570 287,570 283,097 280,047 280,248 271,413 351,158 379,890 355,550 355,295 370,588 370,588

Non-Fannie Mae Mortgage Securities Agency Non-Agency

Mortgage Loans

End Balance

$ $

$

350,037 353,160 356,608 365,254 365,254 369,119 372,518 372,792 369,276 310,452 277,153 271,604 271,160 268,642 268,642

$ $

$

35,007 35,436 35,185 34,853 34,853 34,483 34,018 33,384 32,697 32,189 40,494 57,991 59,402 60,573 60,573

$ $

$

102,148 101,267 100,374 99,617 99,617 98,849 98,141 97,444 96,676 95,835 95,075 94,301 93,567 92,872 92,872

Mortgage Portfolio End Balance

$ $

$

761,396 777,112 782,878 787,294 787,294 785,548 784,724 783,868 770,062 789,634 792,612 779,446 779,424 792,675 792,675

6

Original Maturity > 1 Year Maturities and Foreign Exchange Issuances

$ $

$

12,632 3,322 3,674 19,598 248,399 29,205 40,895 38,428 34,070 34,730 15,205 14,886 15,838 15,044 238,301

Redemptions

$ $

$

Repurchases

(22,426) (9,551) (8,470) (15,107) (253,550) (23,186) (24,455) (13,946) (42,027) (26,403) (22,454) (16,711) (11,696) (27,692) (208,570)

$ $

$

(1,181) (439) (206) (3,211) (13,213) (1,745) (456) (1,450) (445) (686) (222) (700) (245) (5,949)

TABLE 9. SERIOUS DELINQUENCY RATES Conventional Single-Family Non-Credit Credit Enhanced Enhanced

Total Debt

Adjustments

$ $

$

(52) (137) (42) 15 (213) (56) (15) 26 37 95 17 24 (12) 13 129

8

End Balance

$ $

$

561,111 554,306 549,262 550,557 550,557 554,775 570,744 593,802 585,437 593,859 585,941 583,918 587,348 574,468 574,468

Outstanding

$ $

$

843,005 879,968 885,616 883,099 883,099 884,973 871,117 869,329 855,230 854,366 846,198 822,785 816,855 815,507 815,507

Multifamily Total

Total 9

August 2008 September 2008 October 2008 November 2008 December 2008

0.86% 0.96% 1.06% 1.22% 1.40%

4.26% 4.68% 5.12% 5.69% 6.42%

1.57% 1.72% 1.89% 2.13% 2.42%

0.16% 0.16% 0.21% 0.25% 0.30%

January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009

1.63% 1.77% 1.91% 2.10% 2.29% 2.47% 2.66% 2.87%

7.24% 7.70% 8.17% 8.79% 9.60% 10.25% 10.83% 11.52%

2.77% 2.96% 3.15% 3.42% 3.68% 3.94% 4.17% 4.45%

0.27% 0.32% 0.34% 0.36% 0.50% 0.51% 0.56% 0.56%

See Endnotes and Glossary on Pages 3 and 4

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ENDNOTES 1. 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. 2. As of September 30, 2009, our gross mortgage portfolio end balance, after taking into account net outstanding commitments to sell of $60.6 billion, was $732.0 billion. 3. 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. 4. 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. 5. 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. 6. 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. 7. From December 2008 through August 2009, this table disclosed interest rate risk metrics that were adjusted to exclude the sensitivity associated with our Alt-A and subprime private-label mortgage-related securities because the interest rate risk metrics generated from our internal prepayment models reflected a higher level of responsiveness to changes in mortgage rates for these securities than we believed was reasonable given existing market conditions. We used these adjusted metrics in managing our interest rate risk but also reported the unadjusted risk metrics generated by our models. During September 2009, we implemented a modeling enhancement for estimating the interest rate risk of Alt-A and subprime securities. Beginning September 2009, we are using our updated models in managing our interest rate risk and are disclosing only our updated model-generated interest-rate risk metrics. 8. 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. 9. 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.

Numbes may not sum due to rounding

Page 3 of 4

GLOSSARY & OTHER INFORMATION General 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. 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 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. Includes capitalized interest. 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 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. 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. 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 Other Investments. The $59.4 billion total as of September 30, 2009 includes $49.4 billion of readily marketable instruments such as certificates of deposit, federal funds sold and securities purchased under agreements to resell. In addition, the balance includes $9.5 billion of non-governmental asset-backed securities and $0.5 billion of unsecured corporate notes. Table 7 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/markets/debt/debt_activity. Table 8 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 estimated loss in pre-tax 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 estimated loss in pre-tax 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. 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 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.

Numbes may not sum due to rounding

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