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 4 Growth Rate 4 Acquisitions 4

September 2011 $ 722,158 $ 2,689,915 $ 224,687 $ 3,187,386 0.2% $ 55,336

October 2011 720,895 2,684,585 225,695 3,179,785 (2.8%) 58,438

November 2011 713,495 2,684,305 220,354 3,177,446 (0.9%) 69,097December 2011 708,414 2,696,151 220,061 3,184,504 2.7% 79,907

Full Year 2011 $ 708,414 $ 2,696,151 $ 220,061 $ 3,184,504 (1.2%) $ 652,848January 2012 $ 699,342 $ 2,696,409 $ 214,483 $ 3,181,268 (1.3%) $ 63,876

February 2012 696,018 2,696,939 212,773 3,180,184 (0.4%) 62,187March 2012 691,663 2,721,901 209,834 3,203,730 9.3% 95,310

April 2012 683,188 2,702,524 204,207 3,181,505 (8.0%) 52,470May 2012 676,109 2,709,224 201,089 3,184,244 1.0% 71,574

June 2012 672,786 2,712,480 201,911 3,183,355 (0.3%) 70,572July 2012 666,980 2,719,916 199,655 3,187,241 1.5% 77,104

August 2012 660,818 2,728,201 196,878 3,192,141 1.9% 86,038

September 2012 654,269 2,733,266 194,252 3,193,283 0.4% 88,792

YTD 2012 $ 654,269 $ 2,733,266 $ 194,252 $ 3,193,283 0.4% $ 667,923

TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) 1, 2, 3, 4 TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions) 1, 2

Commitments Commitments Net Retained Compounded Annualized

to Purchase, Net to Sell Commitments Purchases 3, 4 Sales 3 Liquidations 4 End Balance 3, 4 Growth Rate 3, 4 Liquidation Rate 4

September 2011 $ 54,057 $ (48,963) $ 5,094 $ 15,281 $ (7,065) $ (11,522) $ 722,158 (5.3%) (19.06%)October 2011 54,764 (49,461) 5,303 18,015 (7,686) (11,592) 720,895 (2.1%) (19.26%)

November 2011 61,280 (59,195) 2,085 17,857 (13,499) (11,758) 713,495 (11.6%) (19.57%)

December 2011 51,361 (45,065) 6,296 19,986 (12,248) (12,819) 708,414 (8.2%) (21.56%)

Full Year 2011 $ 575,620 $ (516,238) $ 59,382 $ 173,978 $ (108,430) $ (145,905) $ 708,414 (10.2%) (18.50%)

January 2012 $ 66,502 $ (61,882) $ 4,620 $ 17,313 $ (14,442) $ (11,943) $ 699,342 (14.3%) (20.23%)

February 2012 64,682 (60,992) 3,690 19,908 (12,487) (10,745) 696,018 (5.6%) (18.44%)

March 2012 68,308 (64,540) 3,768 21,675 (14,317) (11,713) 691,663 (7.3%) (20.19%)

April 2012 59,014 (54,747) 4,267 18,565 (16,005) (11,035) 683,188 (13.8%) (19.15%)May 2012 72,392 (69,262) 3,130 20,134 (15,248) (11,965) 676,109 (11.7%) (21.02%)June 2012 81,719 (76,991) 4,728 22,581 (13,996) (11,908) 672,786 (5.7%) (21.14%)

July 2012 81,913 (78,779) 3,134 23,957 (18,114) (11,649) 666,980 (9.9%) (20.78%)

August 2012 82,311 (82,114) 197 27,519 (20,920) (12,761) 660,818 (10.5%) (22.96%)

September 2012 76,451 (74,313) 2,138 27,429 (22,802) (11,176) 654,269 (11.3%) (20.30%)

YTD 2012 $ 653,292 $ (623,620) $ 29,672 $ 199,081 $ (148,331) $ (104,895) $ 654,269 (10.1%) (19.74%)

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 5 Liquidations 4 End Balance 4 Liquidation Rate4 Guarantees Guarantees 4 Growth Rate 4 Loans 4

September 2011 $ 47,893 $ (47,964) $ 2,650,633 (21.71%) $ 39,282 $ 2,689,915 0.3% $ 403,805 $ 3,093,720

October 2011 53,022 (59,605) 2,644,050 (26.98%) 40,535 2,684,585 (2.4%) 402,628 3,087,213

November 2011 63,703 (64,809) 2,642,944 (29.41%) 41,361 2,684,305 (0.1%) 401,669 3,085,974

December 2011 76,346 (65,545) 2,653,745 (29.76%) 42,406 2,696,151 5.4% 398,271 3,094,422

Full Year 2011 $ 598,672 $ (604,969) $ 2,653,745 (22.74%) $ 42,406 $ 2,696,151 0.0% $ 398,271 $ 3,094,422

January 2012 $ 59,734 $ (60,862) $ 2,652,617 (27.52%) $ 43,792 $ 2,696,409 0.1% $ 395,880 $ 3,092,289

February 2012 56,723 (55,515) 2,653,825 (25.11%) 43,114 2,696,939 0.2% 395,188 3,092,127

March 2012 89,149 (63,634) 2,679,340 (28.77%) 42,561 2,721,901 11.7% 394,777 3,116,678

April 2012 48,346 (66,907) 2,660,779 (29.97%) 41,745 2,702,524 (8.2%) 392,997 3,095,521

May 2012 67,454 (60,135) 2,668,098 (27.12%) 41,126 2,709,224 3.0% 389,829 3,099,053

June 2012 66,785 (62,928) 2,671,955 (28.30%) 40,525 2,712,480 1.5% 386,804 3,099,284

July 2012 72,954 (65,183) 2,679,726 (29.27%) 40,190 2,719,916 3.3% 384,355 3,104,271

August 2012 80,635 (71,449) 2,688,912 (32.00%) 39,289 2,728,201 3.7% 382,388 3,110,589

September 2012 85,658 (79,771) 2,694,799 (35.60%) 38,467 2,733,266 2.3% 379,596 3,112,862

YTD 2012 $ 627,438 $ (586,384) $ 2,694,799 (29.46%) $ 38,467 $ 2,733,266 1.8% $ 379,596 $ 3,112,862

Total Fannie Mae MBS 

MON

and Mortgage Loans 4

Guaranteed Securities

Fannie Mae

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 Fannie Mae’s B

compound annuSeptember.

 Fannie Mae’s G

compound annuSeptember.

 The Convention

Rate fell three bSeptember; the rose three basis 

 The Effective D

averaged zero 

 Fannie Mae com

September, for in the nine monIMPORTANT NFannie Mae haFederal Housinconservator, sin

Numbers may not sum due to rounding See Endnotes and Glossary on Page 3 and 4 
TABLE 5. MORTGAGE PORTFOLIO COMPOSITION ($ in Millions) 1

Mortgage 

Purchases Sales Liquidations Securitizations 6 End Balance Loans 4 Agency Non

September 2011 $ 1,353 $ (6,943) $ (4,031) $ 6,485 $ 224,687 $ 403,805 $ 16,603 $ 

October 2011 1,409 (7,589) (4,002) 11,190 225,695 402,628 16,351 

November 2011 1,204 (13,402) (4,402) 11,259 220,354 401,669 15,939 

December 2011 2,131 (12,020) (4,698) 14,294 220,061 398,271 15,552 

Full Year 2011 $ 18,097 $ (106,940) $ (53,230) $ 101,705 $ 220,061 $ 398,271 $ 15,552 $ 

January 2012 $ 1,675 $ (14,379) $ (4,370) $ 11,496 $ 214,483 $ 395,880 $ 15,229 $ 

February 2012 1,711 (12,291) (3,863) 12,733 212,773 395,188 14,869 

March 2012 1,371 (14,276) (4,177) 14,143 209,834 394,777 14,519 

April 2012 937 (15,907) (4,161) 13,504 204,207 392,997 14,147 

May 2012 1,412 (15,164) (3,968) 14,602 201,089 389,829 14,104 

June 2012 2,379 (13,848) (4,124) 16,415 201,911 386,804 13,930 

July 2012 2,307 (18,047) (4,016) 17,500 199,655 384,355 13,707 

August 2012 2,220 (20,861) (4,032) 19,896 196,878 382,388 13,406 

September 2012 2,030 (22,668) (4,253) 22,265 194,252 379,596 12,951 

YTD 2012 $ 16,042 $ (147,441) $ (36,964) $ 142,554 $ 194,252 $ 379,596 $ 12,951 $ 

TABLE 6. OTHER INVESTMENTS ($ in Millions) 1 TABLE 7. DEBT ACTIVITY ($ in Millions) 7

Original Maturity 

Other Investments < 1 Year Maturities and Foreign Exchange 

End Balance End Balance Issuances Redemptions Repurchases Adjustments End 

September 2011 95,330 $ September 2011 193,795 $ 38,847 $ (30,335) $ (20) $ (26) $ 

$ 

October 2011 94,942 October 2011 166,199 33,515 (22,957) - 22 

 

November 2011 101,460 November 2011 150,644 41,152 (26,665) - (19) 

 

December 2011 113,342 December 2011 146,805 19,411 (10,357) - (8) 

 

Full Year 2011 113,342 $ Full Year 2011 146,805 $ 257,085 $ (300,628) $ (2,862) $ 28 $ 

$ 

January 2012 117,542 $ January 2012 151,348 $ 15,995 $ (25,150) $ - $ 10 $ 

$ 

February 2012 101,597 February 2012 128,288 18,080 (16,928) - 8 

 

March 2012 88,945 March 2012 110,892 25,409 (29,282) - 3 

 

April 2012 72,417 April 2012 92,388 21,346 (23,995) - 10 

 

May 2012 69,210 May 2012 84,527 21,532 (24,348) - (34) 

 

June 2012 76,291 June 2012 92,936 22,654 (26,775) - 11 

 

July 2012 July 2012 62,750 81,570 17,798 (22,835) - - 

August 2012 August 2012 86,770 99,385 20,917 (25,196) - 8 

September 2012 September 2012 86,024 105,101 27,548 (38,108) - 11 

YTD 2012 $ YTD 2012 86,024 $ 105,101 $ 191,279 $ (232,617) $ - $ 27 $ 

TABLE 8. INTEREST RATE RISK DISCLOSURES ($ in Billions) TABLE 9. SERIOUS DELINQUENCY RATES

Effective Mu

Rate Level Rate Slope Duration Gap Non-Credit Credit

Shock (50 bp) Shock (25 bp) (in months) Enhanced Enhanced Total T

September 2011 $ (0.1) $ (0.1) 0 September 2011 3.10% 9.43% 4.00% 0October 2011 0.0 0.0 0 October 2011 3.11% 9.41% 4.00% 0

November 2011 (0.1) 0.0 0 November 2011 3.13% 9.32% 4.00% 0

December 2011 0.0 0.0 0 December 2011 3.07% 9.10% 3.91% 0Full Year 2011 $ (0.1) $ (0.1)

January 2012 $ (0.1) $ 0.0 0 January 2012 3.08% 9.03% 3.90% 0

February 2012 0.0 0.0 0 February 2012 3.03% 8.77% 3.82% 0

March 2012 0.0 0.0 0 March 2012 2.93% 8.35% 3.67% 0

April 2012 0.0 (0.1) 0 April 2012 2.91% 8.17% 3.63% 0

May 2012 0.1 0.0 0 May 2012 2.87% 7.99% 3.57% 0

June 2012 0.1 0.0 0 June 2012 2.86% 7.88% 3.53% 0

July 2012 0.2 0.0 0 July 2012 2.84% 7.76% 3.50% 0

August 2012 0.1 0.0 0 August 2012 2.80% 7.56% 3.44% 0

September 2012 0.2 0.0 0 September 2012 2.77% 7.47% 3.41% 0

YTD 2012 $ 0.1 $ 0.0

Market Value Sensitivity 

Fannie Mae MBS in Portfolio Mortgage Securiti

Non-Fannie Ma

Conventional Single-Family 8

Original Maturity > 1 Year

Numbers may not sum due to rounding See Endnotes and Glossary on Page 3 and 4 
1.

2.3.4.5.6.7.8.9.

Initiatives to repurchase delinquent loans out of MBS trusts may result in additional volatility on a month-to-month basis.

ENDNOTES

The end balances and business activity in this report represent unpaid principal balances ("UPB"), which do not reflect market vaallowance for loan losses, impairments, unamortized premiums and discounts, and the impact of consolidation of variable interesAs of September 30, 2012, our gross mortgage portfolio end balance, after taking into account net outstanding commitments to s$630.8 billion.Gross commitments in Table 2 include dollar roll transactions (purchase commitments with concurrent agreements to re-sell latewith concurrent agreements to repurchase later) in the month in which we enter into them. Table 3 reflects activity from settlemeaccounted for as purchases and sales of securities, but does not include activity from settlements of dollar rolls that are accountefinancings. Dollar roll activity may result in volatility on a month-to-month basis in our reported portfolio commitments, purchasesand compounded growth rate.Includes Fannie Mae mortgage-backed securities ("Fannie Mae MBS") issued from Fannie Mae's mortgage portfolio. See Table 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, includinamounts are included in issuances in Table 4 and, if sold during the month, will be included in sales in Table 5. Our securitizationportfolio the prior month will reduce the mortgage loans reported in Table 5.Reported amounts represent the UPB at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. Ueffect 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 guarantethe 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 loanon conventional single-family mortgage loans and exclude reverse mortgages and non-Fannie Mae mortgage securities held in oenhanced refers to loans that have primary mortgage insurance and/or other credit enhancements.
General

Table 1Table 2Table 3Table 4Table 5Table 6Table 7Table 8Table 9

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 heMBS 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 mortgOther Fannie Mae Guarantees. Outstanding balance of Fannie Mae guarantees, other than Fannie Mae MBS. This primarily includes long-term standby commitments we have issued anAnnualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized.Non-Fannie Mae Non-Agency Securities. These are commonly referred to as "private-label securities."

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 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, no change in the fair value of the net assets. The calculation excludes any sensitivity of the guaranty business. 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.

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 aforeclosure 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 delinsubstantial credit enhancement.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 nYear." The $659.3 billion of total debt outstanding as of September 30, 2012 excludes $8.6 billion of debt securities issued to MBS trusts. For more information about Fannie Mae's debt activity, http://www.fanniemae.com/portal/funding-the-market/debt/debt-activity/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 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 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 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 measuMarket 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 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 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 ebusiness. Fannie Mae tracks the daily average of this measurement for the reported month.

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

delivered against mandatory commitments.Commitments to Sell. Represents mandatory commitments to sell mortgage securities.

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 securitshown 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 gu

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. 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. 

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 Treaamounts with the balance as of October 31, 2011. The $95.3 billion balance as of September 30, 2011 would have been $103.5 billion if we had included cash.

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, corpoin 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. Sum of MBS issuances and Mortgage Portfolio purchases less Fannie Mae MBS purchases and securitizations of mortgage loans previously held in portfolio

Portfolio Commitments. Represents mandatory commitments entered into during the month. Fannie Mae enters into forward commitments to purchase mortgage securities and mortgage loamortgage portfolio. Purchase commitments typically require mandatory delivery and are subject to the payment of pair-off fees for non-delivery. 

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. 

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