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 2010 $ 802,851 $ 2,673,208 $ 268,208 $ 3,207,851 2.1% $ 79,505

October 2010 798,273 2,678,216 264,321 3,212,168 1.6% 76,775

November 2010 792,982 2,683,705 261,420 3,215,267 1.2% 77,658

December 2010 788,771 2,695,706 260,429 3,224,048 3.3% 87,632

Full Year 2010 $ 788,771 $ 2,695,706 $ 260,429 $ 3,224,048 (0.5%) $ 855,548January 2011 $ 777,059 $ 2,695,789 $ 251,639 $ 3,221,209 (1.1%) $ 73,841

February 2011 766,426 2,694,807 241,949 3,219,284 (0.7%) 57,812March 2011 757,618 2,706,799 238,330 3,226,087 2.6% 57,840

April 2011 746,814 2,698,607 231,116 3,214,305 (4.3%) 39,278May 2011 737,850 2,700,939 234,674 3,204,115 (3.7%) 36,136

June 2011 731,801 2,701,116 231,541 3,201,376 (1.0%) 41,431July 2011 727,953 2,691,626 227,530 3,192,049 (3.4%) 39,426August 2011 725,464 2,689,342 227,823 3,186,983 (1.9%) 44,306

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

YTD 2011 $ 722,158 $ 2,689,915 $ 224,687 $ 3,187,386 (1.5%) $ 445,406

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 2010 $ 61,167 $ (55,667) $ 5,500 $ 21,447 $ (11,302) $ (16,419) $ 802,851 (8.9%) (24.35%)

October 2010 70,178 (63,973) 6,205 21,263 (11,625) (14,216) 798,273 (6.6%) (21.25%)

November 2010 53,031 (44,942) 8,089 22,172 (14,648) (12,815) 792,982 (7.7%) (19.26%)

December 2010 61,963 (53,339) 8,624 21,870 (12,355) (13,726) 788,771 (6.2%) (20.77%)

Full Year 2010 $ 751,117 $ (540,620) $ 210,497 $ 357,573 $ (179,289) $ (162,017) $ 788,771 2.1% (20.97%)

January 2011 $ 51,666 $ (46,794) $ 4,872 $ 16,823 $ (14,629) $ (13,906) $ 777,059 (16.4%) (21.16%)

February 2011 46,918 (41,183) 5,735 13,486 (12,285) (11,834) 766,426 (15.2%) (18.28%)March 2011 44,387 (39,939) 4,448 12,855 (8,512) (13,151) 757,618 (13.0%) (20.59%)April 2011 34,709 (31,369) 3,340 10,633 (8,626) (12,811) 746,814 (15.8%) (20.29%)May 2011 35,996 (31,544) 4,452 9,909 (6,942) (11,931) 737,850 (13.5%) (19.17%)June 2011 37,421 (31,627) 5,794 12,281 (6,067) (12,263) 731,801 (9.4%) (19.94%)

July 2011 43,071 (38,303) 4,768 13,627 (5,983) (11,492) 727,953 (6.1%) (18.85%)

August 2011 59,990 (52,795) 7,195 13,225 (4,888) (10,826) 725,464 (4.0%) (17.85%)

September 2011 54,057 (48,963) 5,094 15,281 (7,065) (11,522) 722,158 (5.3%) (19.06%)

YTD 2011 $ 408,215 $ (362,517) $ 45,698 $ 118,120 $ (74,997) $ (109,736) $ 722,158 (11.1%) (18.55%)

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 2010 $ 69,630 $ (63,219) $ 2,642,820 (28.78%) $ 30,388 $ 2,673,208 2.7% $ 429,833 $ 3,103,041

October 2010 69,670 (66,710) 2,645,780 (30.29%) 32,436 2,678,216 2.3% 430,265 3,108,481

November 2010 73,350 (69,899) 2,649,231 (31.70%) 34,474 2,683,705 2.5% 429,162 3,112,867

December 2010 83,735 (72,924) 2,660,042 (33.03%) 35,664 2,695,706 5.5% 427,074 3,122,780

Full Year 2010 $ 629,747 $ (770,594) $ 2,660,042 (27.51%) $ 35,664 $ 2,695,706 (4.6%) $ 427,074 $ 3,122,780

January 2011 $ 68,942 $ (69,560) $ 2,659,424 (31.38%) $ 36,365 $ 2,695,789 0.0% $ 425,773 $ 3,121,562

February 2011 52,060 (52,918) 2,658,566 (23.88%) 36,241 2,694,807 (0.4%) 425,949 3,120,756

March 2011 54,252 (42,121) 2,670,697 (19.01%) 36,102 2,706,799 5.5% 421,856 3,128,655

April 2011 34,516 (42,458) 2,662,755 (19.08%) 35,852 2,698,607 (3.6%) 419,334 3,117,941

May 2011 40,535 (38,146) 2,665,144 (17.19%) 35,795 2,700,939 1.0% 407,758 3,108,697

June 2011 35,732 (36,682) 2,664,194 (16.52%) 36,922 2,701,116 0.1% 405,417 3,106,533

July 2011 31,753 (42,121) 2,653,826 (18.97%) 37,800 2,691,626 (4.1%) 405,403 3,097,029

August 2011 39,918 (43,040) 2,650,704 (19.46%) 38,638 2,689,342 (1.0%) 403,480 3,092,822

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

YTD 2011 $ 405,601 $ (415,010) $ 2,650,633 (20.80%) $ 39,282 $ 2,689,915 (0.3%) $ 403,805 $ 3,093,720

Total Fannie Mae MBS 

MON

and Mortgage Loans 4

Guaranteed Securities

Fannie Mae

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 Fannie Mae’s B

flat in Septembe

 Fannie Mae’s G

compound annuSeptember.

 The Convention

Rate fell three bSeptember; the rose fourteen bSeptember.

 The Effective D

averaged zero 

 Fannie Mae com

September, for in the nine monIMPORTANT NWe have been Federal 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-Ag

September 2010 $ 1,617 $ (11,264) $ (6,259) $ 9,955 $ 268,208 $ 429,833 $ 20,181 $ 8

October 2010 1,424 (11,625) (6,420) 12,734 264,321 430,265 19,782 8

November 2010 2,743 (14,224) (6,541) 15,121 261,420 429,162 19,267 8

December 2010 2,263 (12,316) (6,648) 15,710 260,429 427,074 18,757 8

Full Year 2010 $ 35,989 $ (153,721) $ (75,816) $ 95,783 $ 260,429 $ 427,074 $ 18,757 $ 8

January 2011 $ 1,858 $ (14,185) $ (6,529) $ 10,066 $ 251,639 $ 425,773 $ 17,845 $ 8

February 2011 2,030 (12,171) (5,253) 5,704 241,949 425,949 17,273 8

March 2011 1,054 (8,474) (4,412) 8,213 238,330 421,856 16,829 8

April 2011 1,167 (8,540) (4,545) 4,704 231,116 419,334 16,433 7

May 2011 739 (6,895) (3,855) 13,569 234,674 407,758 16,117 7

June 2011 2,296 (6,001) (3,714) 4,286 231,541 405,417 16,078 7

July 2011 1,392 (5,983) (3,982) 4,562 227,530 405,403 16,859 7

August 2011 1,464 (4,737) (3,807) 7,373 227,823 403,480 16,562 7

September 2011 1,353 (6,943) (4,031) 6,485 224,687 403,805 16,603 7

YTD 2011 $ 13,353 $ (73,929) $ (40,128) $ 64,962 $ 224,687 $ 403,805 $ 16,603 $ 7TABLE 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 Ba

September 2010 78,025 $ September 2010 219,397 $ 46,200 $ (36,600) $ - $ 55 $ 61

$ 

October 2010 73,357 October 2010 209,366 38,573 (35,255) - 19 61

 

November 2010 67,724 November 2010 174,859 48,224 (27,022) (92) (28) 63

 

December 2010 59,383 December 2010 152,013 34,910 (28,309) - 32 64

 

Full Year 2010 59,383 $ Full Year 2010 152,013 $ 463,383 $ (405,443) $ (1,328) $ 45 $ 64

$ 

January 2011 68,677 $ January 2011 144,019 $ 19,684 $ (14,844) $ (399) $ 6 $ 64

$ 

February 2011 72,487 February 2011 134,686 19,277 (16,312) (974) 21 64

 

March 2011 76,707 March 2011 147,159 12,894 (33,758) (628) - 62

April 2011 April 2011 98,193 175,061 6,924 (23,897) (185) 58 60

May 2011 May 2011 68,815 158,118 7,366 (27,766) (50) (27) 58

June 2011 June 2011 68,809 162,072 15,520 (31,080) (63) (13) 57

July 2011 July 2011 78,940 175,225 16,669 (24,135) (543) 22 56

August 2011 August 2011 87,757 189,371 25,826 (38,522) - (8) 55

September 2011 September 2011 95,330 193,795 38,847 (30,335) (20) (26) 56

YTD 2011 $ YTD 2011 95,330 $ 193,795 $ 163,007 $ (240,649) $ (2,862) $ 33 $ 56

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

Effective Multifa

Rate Level Rate Slope Duration Gap Non-Credit Credit

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

September 2010 (0.3) -0.1 0 September 2010 3.45% 10.66% 4.56% 0.65

October 2010 (0.2) (0.1) 0 October 2010 3.43% 10.58% 4.52% 0.71

November 2010 (0.3) (0.1) 0 November 2010 3.42% 10.54% 4.50% 0.72

December 2010 (0.3) (0.1) 0 December 2010 3.40% 10.60% 4.48% 0.71

Full Year 2010 $ (0.4) $ (0.1)January 2011 $ (0.3) $ (0.1) 0 January 2011 3.38% 10.55% 4.45% 0.69

February 2011 (0.2) 0.0 0 February 2011 3.39% 10.53% 4.44% 0.65March 2011 (0.2) (0.1) 0 March 2011 3.26% 10.13% 4.27% 0.64

April 2011 (0.1) 0.0 0 April 2011 3.21% 9.95% 4.19% 0.57

May 2011 (0.1) (0.1) 0 May 2011 3.17% 9.84% 4.14% 0.52June 2011 (0.2) (0.1) 0 June 2011 3.14% 9.72% 4.08% 0.46

July 2011 (0.2) (0.1) 0 July 2011 3.14% 9.69% 4.08% 0.45

August 2011 (0.2) (0.2) 0 August 2011 3.10% 9.57% 4.03% 0.43

September 2011 (0.1) (0.1) 0 September 2011 3.10% 9.43% 4.00% 0.57YTD 2011 $ (0.2) $ (0.1)

Market Value Sensitivity 

Fannie Mae MBS in Portfolio Mortgage Securities

Non-Fannie Mae

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.

Reported amounts represent the UPB at each reporting period or, in the case of the long-term zero coupon bonds, at maturity. UPB deffect 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 guaranteed sthe 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 loans. Thon conventional single-family mortgage loans and exclude reverse mortgages and non-Fannie Mae mortgage securities held in our poenhanced refers to loans that have primary mortgage insurance and/or other credit enhancements.Initiatives to repurchase delinquent loans out of MBS trusts may result in additional volatility on a month-to-month basis.Includes Fannie Mae mortgage-backed securities ("Fannie Mae MBS") issued from Fannie Mae's mortgage portfolio. See Table 5 for 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, including whoamounts are included in issuances in Table 4 and, if sold during the month, will be included in sales in Table 5. Our securitizations of portfolio the prior month will reduce the mortgage loans reported in Table 5.

ENDNOTES

The end balances and business activity in this report represent unpaid principal balances ("UPB"), which do not reflect market valuatioallowance for loan losses, impairments, unamortized premiums and discounts, and the impact of consolidation of variable interest entAs of September 30, 2011, our gross mortgage portfolio end balance, after taking into account net outstanding commitments to sell of $719.6 billion.Gross commitments in Table 2 include dollar roll transactions (purchase commitments with concurrent agreements to re-sell later, or swith concurrent agreements to repurchase later) in the month in which we enter into them. Table 3 reflects activity from settlements of accounted for as purchases and sales of securities, but does not include activity from settlements of dollar rolls that are accounted for financings. Dollar roll activity may result in volatility on a month-to-month basis in our reported portfolio commitments, purchases, saleand compounded growth rate.
General

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

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 ratcredit 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 not reclassiYear." For more information about Fannie Mae's debt activity, please visit http://www.fanniemae.com/markets/debt/debt_activity/index.jhtml. 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 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 tsensitivity 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 porates. 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 tMarket 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 poLIBOR 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 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 anbusiness. Fannie Mae tracks the daily average of this measurement for the reported month.

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."

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 numaverage 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 dno change in the fair value of the net assets. The calculation excludes any sensitivity of the guaranty business. 

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 FanniMBS 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 portfolOther 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 enhAnnualized Liquidation Rate. The liquidation rate is calculated as liquidations divided by the prior period ending balance of total Fannie Mae MBS, annualized.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. 

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 tshown 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, re

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. 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. 

Purchases. Acquisition of mortgage loans and mortgage securities for the mortgage portfolio. Includes capitalized interest.Sales. Sales of mortgage securities from the mortgage portfolio.

Other Investments. The $95.3 billion total as of September 30, 2011 includes $92.8 billion of readily marketable instruments such as certificates of deposit, federal funds sold, securities purchased under Treasury bills. In addition, the balance includes $2.5 billion of non-governmental asset-backed securities.

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, corporate risk rain 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 loans, or to semortgage 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 

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