Federal National Mortgage Association (FNMA) 8-K Results of Operations and Financial Condition

Exhibit 99.1

MONTHLY SUMMARY HIGHLIGHTS
SEPTEMBER 2007
Ø	Fannie Mae’sBook of Businessgrew at a compound annualized rate of 13.3 percent in September driven by growth inFannie Mae MBS and Other Guarantees.
Ø	Fannie Mae MBS and Other Guaranteesrose at a compound annualized rate of 14.9 percent during the month. Growth was attributable to continued strong issuance of Fannie Mae MBS, which rose to $58.4 billion in September, which was partially offset by rising liquidations.
Ø	TheGross Mortgage Portfolio was $723.8 billion in September. On September 19, 2007, OFHEO announced changes to the methodology for calculating our existing mortgage portfolio cap to provide the company flexibility in managing market-based fluctuations. Our portfolio cap for the third quarter, as measured by unpaid principal balance, was $735 billion. (See “Additional Information” on page 2.)
Ø	Net retained commitments rose to $13.6 billion in September.
Ø	The conventionalSingle-Family Serious Delinquency Raterose three basis points in August to 0.71 percent (latest data available). TheMultifamily Serious Delinquency Ratefell four basis points to 0.06 percent in August.
Ø	TheEffective Duration Gapon Fannie Mae’s portfolio averaged zero months in September.
	MORTGAGE MARKET HIGHLIGHTS
Ø	Agency-backed MBS issuance totaled $103 billion in September, up by 20 percent from last year, while non- agency MBS/ABS issuance totaled $33 billion during the month, down by 72 percent from year-ago levels.
Ø	Non-agency subprime ABS issuance was down by 77 percent in September from year-ago levels, while non-agency Alt-A MBS issuance was lower by 79 percent.

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		Growth Rate			Acquisitions
September 2006	$	725,534		$	2,066,127		$	310,219		$	2,481,442		15.3	%	$	66,722
October 2006		720,959			2,085,252			309,861			2,496,350		7.5	%		48,766
November 2006		717,438			2,094,401			301,750			2,510,090		6.8	%		49,470
December 2006		724,400			2,102,275			298,756			2,527,920		8.9	%		57,776
Full Year 2006	$	724,400		$	2,102,275		$	298,756		$	2,527,920		7.7	%	$	614,723
January 2007	$	721,442		$	2,116,483		$	295,399		$	2,542,527		7.2	%	$	51,059
February 2007		712,145			2,130,622			284,191			2,558,577		7.8	%		50,158
March 2007		712,806			2,150,759			277,848			2,585,717		13.5	%		60,455
April 2007		710,586			2,167,274			275,253			2,602,608		8.1	%		52,690
May 2007		718,257			2,198,466			274,360			2,642,363		20.0	%		66,387
June 2007		722,475			2,222,813			274,507			2,670,782		13.7	%		64,039
July 2007		729,840			2,249,638			277,468			2,702,010		15.0	%		66,368
August 2007		728,886			2,279,451			274,638			2,733,698		15.0	%		65,029
September 2007		723,813			2,305,962			267,397			2,762,378		13.3	%		66,497
YTD 2007	$	723,813		$	2,305,962		$	267,397		$	2,762,378		12.6	%	$	542,682

TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions)1								TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions)1
	Commitments		Commitments			Net Retained												Compounded			Annualized
	to Purchase, Net		to Sell			Commitments		Purchases2		Sales			Liquidations			End Balance		Growth Rate			Liquidation Rate
September 2006	$	23,624	$	(13,133	)	$	10,491	$	20,308	$	(9,698	)	$	(11,888	)	$	725,534		(2.1	%)		(19.63	%)
October 2006		26,694		(18,638	)		8,056		13,159		(6,746	)		(10,987	)		720,959		(7.3	%)		(18.17	%)
November 2006		19,159		(10,508	)		8,651		14,035		(6,326	)		(11,230	)		717,438		(5.7	%)		(18.69	%)
December 2006		20,273		(5,422	)		14,851		19,718		(1,860	)		(10,896	)		724,400		12.3	%		(18.22	%)
Full Year 2006	$	251,966	$	(119,498	)	$	132,468	$	197,252	$	(61,184	)	$	(139,224	)	$	724,400		(0.4	%)		(19.14	%)
January 2007	$	23,208	$	(22,133	)	$	1,075	$	9,659	$	(1,927	)	$	(10,690	)	$	721,442		(4.8	%)		(17.71	%)
February 2007		23,233		(13,256	)		9,977		10,359		(9,555	)		(10,101	)		712,145		(14.4	%)		(16.80	%)
March 2007		27,723		(13,630	)		14,093		16,452		(5,505	)		(10,286	)		712,806		1.1	%		(17.33	%)
April 2007		20,110		(8,420	)		11,689		9,964		(2,111	)		(10,073	)		710,586		(3.7	%)		(16.96	%)
May 2007		29,600		(12,077	)		17,523		21,776		(3,640	)		(10,466	)		718,257		13.8	%		(17.67	%)
June 2007		33,297		(9,197	)		24,100		16,936		(2,341	)		(10,378	)		722,475		7.3	%		(17.34	%)
July 2007		34,416		(15,896	)		18,520		21,219		(4,588	)		(9,266	)		729,840		12.9	%		(15.39	%)
August 2007		44,259		(43,802	)		457		16,429		(7,690	)		(9,692	)		728,886		(1.6	%)		(15.94	%)
September 2007		40,214		(26,589	)		13,625		11,926		(7,944	)		(9,055	)		723,813		(8.0	%)		(14.91	%)
YTD 2007	$	276,060	$	(165,000	)	$	111,060	$	134,721	$	(45,300	)	$	(90,007	)	$	723,813		(0.1	%)		(16.57	%)

TABLE 4. FANNIE MAE GUARANTEED SECURITIES AND MORTGAGE LOANS ($ in Millions)¹

								Fannie Mae			Other		Total Fannie Mae							Fannie Mae
	Total Fannie Mae MBS							MBS Annualized			Fannie Mae		MBS and Other		Compounded			Mortgage		Guaranteed Securities
	Issuances3		Liquidations			End Balance		Liquidation Rate			Guarantees		Guarantees		Growth Rate			Loans		and Mortgage Loans
September 2006	$	48,485	$	(28,971	)	$	2,043,037		(17.18	%)	$	23,090	$	2,066,127		12.1	%	$	273,732	$	2,339,859
October 2006		45,697		(26,459	)		2,062,275		(15.54	%)		22,977		2,085,252		11.7	%		270,477		2,355,729
November 2006		37,850		(29,033	)		2,071,091		(16.89	%)		23,310		2,094,401		5.4	%		273,928		2,368,329
December 2006		40,677		(32,939	)		2,078,829		(19.09	%)		23,446		2,102,275		4.6	%		279,146		2,381,421
Full Year 2006	$	481,686	$	(342,495	)	$	2,078,829		(17.66	%)	$	23,446	$	2,102,275		7.2	%	$	279,146	$	2,381,421
January 2007	$	43,988	$	(29,560	)	$	2,093,257		(17.06	%)	$	23,226	$	2,116,483		8.4	%	$	281,524	$	2,398,007
February 2007		41,679		(28,065	)		2,106,871		(16.09	%)		23,750		2,130,622		8.3	%		282,586		2,413,208
March 2007		46,756		(26,497	)		2,127,130		(15.09	%)		23,629		2,150,759		11.9	%		285,304		2,436,063
April 2007		45,833		(30,099	)		2,142,864		(16.98	%)		24,410		2,167,274		9.6	%		286,262		2,453,536
May 2007		50,915		(30,430	)		2,163,349		(17.04	%)		35,117		2,198,466		18.7	%		291,299		2,489,765
June 2007		53,130		(31,794	)		2,184,685		(17.64	%)		38,128		2,222,813		14.1	%		292,997		2,515,810
July 2007		56,129		(28,932	)		2,211,883		(15.89	%)		37,756		2,249,638		15.5	%		295,314		2,544,953
August 2007		56,690		(26,611	)		2,241,962		(14.44	%)		37,489		2,279,451		17.1	%		298,151		2,577,602
September 2007		58,385		(32,367	)		2,267,980		(17.32	%)		37,982		2,305,962		14.9	%		301,289		2,607,251
YTD 2007	$	453,506	$	(264,355	)	$	2,267,980		(16.96	%)	$	37,982	$	2,305,962		13.1	%	$	301,289	$	2,607,251

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

TABLE 5. MORTGAGE PORTFOLIO COMPOSITION ($ in Millions)¹

															Non-Fannie Mae
	Fannie Mae MBS in Portfolio												Mortgage		Mortgage Securities				Mortgage Portfolio
	Purchases		Sales			Liquidations			Securitizations4		End Balance		Loans		Agency		Non-Agency		End Balance
September 2006	$	624	$	(8,626	)	$	(4,377	)	$	1,448	$	310,219	$	273,732	$	32,933	$	108,649	$	725,534
October 2006		3,483		(6,360	)		(4,088	)		6,606		309,861		270,477		32,631		107,990		720,959
November 2006		706		(6,317	)		(4,209	)		1,709		301,750		273,928		32,313		109,446		717,438
December 2006		939		(1,721	)		(3,892	)		1,680		298,756		279,146		31,970		114,529		724,400
Full Year 2006	$	38,432	$	(55,267	)	$	(51,752	)	$	25,783	$	298,756	$	279,146	$	31,970	$	114,529	$	724,400
January 2007	$	1,099	$	(1,927	)	$	(4,018	)	$	1,488	$	295,399	$	281,524	$	31,730	$	112,789	$	721,442
February 2007		350		(9,406	)		(3,682	)		1,531		284,191		282,586		31,230		114,137		712,145
March 2007		1,342		(5,496	)		(3,599	)		1,411		277,848		285,304		31,118		118,537		712,806
April 2007		588		(2,111	)		(3,591	)		2,519		275,253		286,262		30,896		118,176		710,586
May 2007		3,627		(3,640	)		(3,557	)		2,677		274,360		291,299		31,084		121,514		718,257
June 2007		3,155		(2,236	)		(3,645	)		2,872		274,507		292,997		32,151		122,820		722,475
July 2007		7,796		(4,521	)		(3,499	)		3,185		277,468		295,314		33,136		123,922		729,840
August 2007		2,805		(7,646	)		(3,274	)		5,284		274,638		298,151		33,088		123,009		728,886
September 2007		202		(7,834	)		(3,221	)		3,612		267,397		301,289		32,614		122,513		723,813
YTD 2007	$	20,964	$	(44,816	)	$	(32,085	)	$	24,579	$	267,397	$	301,289	$	32,614	$	122,513	$	723,813

TABLE 6. LIQUID INVESTMENTS ($ in Millions)1			TABLE 7. DEBT ACTIVITY ($ in Millions) 5
				Original Maturity		Original Maturity> 1 Year
	Liquid Investments			£ 1 Year				Maturities and								Total Debt
	End Balance			End Balance		Issuances		Redemptions			Repurchases			End Balance		Outstanding
September 2006	$	48,778	September 2006	$	152,743	$	10,271	$	(19,047	)	$	(424	)	$	613,858	$	766,601
October 2006		52,229	October 2006		152,136		13,403		(12,717	)		(5,208	)		609,336		761,472
November 2006		51,792	November 2006		152,146		12,450		(15,231	)		(606	)		605,949		758,096
December 2006		57,819	December 2006		168,623		15,510		(14,664	)		(1,035	)		605,760		774,384
Full Year 2006	$	57,819	Full Year 2006	$	168,623	$	181,313	$	(153,743	)	$	(15,513	)	$	605,760	$	774,384
January 2007	$	57,484	January 2007	$	161,731	$	19,970	$	(19,991	)	$	(592	)	$	605,147	$	766,877
February 2007		68,959	February 2007		164,969		17,129		(16,527	)		(328	)		605,420		770,389
March 2007		66,830	March 2007		160,901		22,013		(15,859	)		(290	)		611,284		772,185
April 2007		57,355	April 2007		159,782		17,049		(16,720	)		(82	)		611,531		771,313
May 2007		55,650	May 2007		162,161		20,988		(12,458	)		(691	)		619,370		781,531
June 2007		55,244	June 2007		167,586		16,043		(11,020	)		(2,540	)		621,853		789,439
July 2007		59,231	July 2007		169,128		15,422		(12,296	)		(2,209	)		622,770		791,898
August 2007		59,813	August 2007		188,336		12,306		(16,226	)		(1,541	)		617,309		805,645
September 2007		41,918	September 2007		156,527		9,723		(13,047	)		(277	)		613,708		770,235
YTD 2007	$	41,918	YTD 2007	$	156,527	$	150,642	$	(134,144	)	$	(8,550	)	$	613,708	$	770,235

TABLE 8. INTEREST RATE RISK DISCLOSURES										TABLE 9. SERIOUS DELINQUENCY RATES
	Effective			Market Value Sensitivity7							Conventional Single-Family 8									Multifamily
	Duration Gap			Rate Level			Rate Slope				Non-Credit			Credit
	(in months)6			Shock (50 bp)			Shock (25 bp)				Enhanced9			Enhanced10			Total11			Total12
										August 2006		0.34	%		1.73	%		0.60	%		0.16	%
September 2006		0			—			—		September 2006		0.35	%		1.74	%		0.61	%		0.12	%
October 2006		0			—			—		October 2006		0.35	%		1.76	%		0.62	%		0.09	%
November 2006		0			—			—		November 2006		0.36	%		1.78	%		0.63	%		0.09	%
December 2006		0			—			—		December 2006		0.37	%		1.81	%		0.65	%		0.08	%
January 2007		0			—			—		January 2007		0.38	%		1.86	%		0.66	%		0.10	%
February 2007		0			—			—		February 2007		0.38	%		1.84	%		0.66	%		0.10	%
March 2007		(1	)		—			—		March 2007		0.35	%		1.74	%		0.62	%		0.09	%
April 2007		0			—			—		April 2007		0.35	%		1.74	%		0.62	%		0.10	%
May 2007		0			—			—		May 2007		0.34	%		1.75	%		0.62	%		0.11	%
June 2007		1			(1	%)		0	%	June 2007		0.35	%		1.81	%		0.64	%		0.09	%
July 2007		1			(1	%)		0	%	July 2007		0.37	%		1.91	%		0.68	%		0.10	%
August 2007		1			(1	%)		0	%	August 2007		0.39	%		2.00	%		0.71	%		0.06	%
September 2007		0			(1	%)		0	%

ADDITIONAL INFORMATION

Under Fannie Mae’s consent order issued by its regulator, OFHEO, Fannie Mae may not increase its mortgage portfolio assets above a specified amount, except under certain circumstances at the discretion of OFHEO. Fannie Mae’s portfolio cap for the third quarter of 2007 was $735 billion, as measured by unpaid principal balance (UPB), which does not reflect GAAP adjustments. For the fourth quarter of 2007, the portfolio cap increases by 1 percent. For each subsequent quarter, the portfolio cap increases by 0.5 percent, not to exceed 2 percent per annum. Except as described below, compliance with the portfolio cap will be determined by comparing the applicable portfolio cap to the cumulative average month-end portfolio balances, measured by UPB, since July 2007 (until the cumulative average becomes and remains a 12-month moving average). For purposes of this calculation, OFHEO’s interpretation sets the July 2007 month-end balance at $725 billion. In addition, any net increase in delinquent loan balances in the retained portfolio after September 30, 2007 will not be counted for purposes of determining Fannie Mae’s compliance with the portfolio cap.

Our “mortgage portfolio” assets reflect GAAP adjustments, including market valuation adjustments, allowance for loan losses, impairments, and unamortized premiums and discounts, excluding consolidated mortgage-related assets acquired through the assumption of debt. These adjustments are not reflected in the Gross Mortgage Portfolio amounts shown in this report. We estimate that Fannie Mae’s “mortgage portfolio” assets were approximately $719 billion as of September 30, 2007.

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 may cause some of this information to change include those related to our securities accounting, loan accounting, consolidation and amortization.

Numbers may not sum due to rounding. See Endnotes and Glossary on Page 3 Page 2 of 3

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.	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.
6.	Beginning with June 2007, the effective duration gap is weighted based on the proportional fair value weightings of Fannie Mae’s assets and liabilities. In prior months, the duration gap was not calculated on a weighted basis.
7.	These measurements show the estimated loss in the pre-tax fair value of Fannie Mae’s assets and liabilities, including debt and derivatives, that would result from an immediate adverse change in the level of LIBOR rates and in the slope of the LIBOR yield curve, expressed in each case as a percentage of the estimated after-tax fair value of Fannie Mae’s net assets, as of December 31, 2006, adjusted for capital transactions since year end. These measurements exclude the sensitivity of the guaranty business.
8.	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.
9.	Loans without primary mortgage insurance and/or other credit enhancements.
10.	Loans with primary mortgage insurance and/or other credit enhancements.
11.	Total conventional single-family serious delinquency rate includes non-credit enhanced and credit enhanced loans.
12.	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 & OTHER INFORMATION

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.

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.

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.

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 visitwww.fanniemae.com/markets/debt/debt_activity.

Table 8

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. Beginning with June, the methodology has been updated such that 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.

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, expressed as a percentage of the after-tax fair value of Fannie Mae’s net assets (calculated as described in Endnote (7) above), from an immediate adverse 50 basis point shift in the level of LIBOR rates. The measurement excludes any sensitivity of the guaranty business but the after-tax fair value of Fannie Mae’s net assets includes an estimate of the fair value 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, expressed as a percentage of the after-tax fair value of Fannie Mae’s net assets (calculated as described in Endnote (7) above), 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 measurement excludes any sensitivity of the guaranty business but the after-tax fair value of Fannie Mae’ net assets includes an estimate of the fair value of the guaranty business. Fannie Mae tracks the daily average of this measurement for the reported month.

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.

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