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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 8-K

CURRENT REPORT
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): February 26, 2007

Federal National Mortgage Association

(Exact name of registrant as specified in its charter)


Federally chartered corporation (State or other jurisdiction of incorporation)		000-50231 (Commission File Number)		52-0883107 (IRS Employer Identification Number)


3900 Wisconsin Avenue, NW Washington, DC (Address of principal executive offices)		20016 (Zip Code)

Registrant’s telephone number, including area code: 202-752-7000

(Former Name or Former Address, if Changed Since Last Report):

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):

	o		Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

	o		Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

	o		Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

	o		Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02. Results of Operations and Financial Condition.

On February 26, 2007, Fannie Mae (formally known as the Federal National Mortgage Association) issued its monthly financial summary release for the month of January 2007. The summary, a copy of which is furnished as Exhibit 99.1 to this report, is incorporated herein by reference.

The information in this item, including Exhibit 99.1 submitted herewith, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to Fannie Mae, except to the extent, if any, expressly set forth by specific reference in such document.

Item 9.01. Financial Statements and Exhibits.

(d) Exhibits. The exhibit index filed herewith is incorporated herein by reference.

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, hereunto duly authorized.


	FEDERAL NATIONAL MORTGAGE ASSOCIATION
	By	/s/ David C. Hisey
		David C. Hisey
		Senior Vice President and Controller

Date: February 26, 2007

EXHIBIT INDEX

The following exhibit is submitted herewith:


Exhibit Number		Description of Exhibit
99.1		Monthly summary release for January 2007 issued by Fannie Mae on February 26, 2007

exv99w1

Exhibit 99.1


		Monthly Summary

MONTHLY SUMMARY HIGHLIGHTS

JANUARY 2007

>		Fannie Mae’s Monthly Summary has been redesigned to enhance readability, provide additional disclosures, and include a glossary of terms (page 3). Additional information is available in our press release at www.fanniemae.com.

>		Fannie Mae’s book of business grew at a compound annualized rate of 7.2 percent in January compared with 8.9 percent in December.

>		Total Fannie Mae MBS and other guarantees rose at a compound annualized rate of 8.4 percent in January compared with 4.6 percent in December.

>		Fannie Mae MBS issuances totaled $44.0 billion, compared with $40.7 billion in December.

>		The gross mortgage portfolio balance was $721.4 billion in January. We currently estimate that our “mortgage portfolio” assets for purposes of the OFHEO consent order were approximately $718 billion in January. (For a discussion of the differences between these measures see Additional Information on page 2).

>		New business acquisitions totaled $51.1 billion, compared with $57.8 billion the previous month.

>		Net retained commitments were $1.1 billion in January compared with $14.9 billion the previous month.

>		The conventional single-family serious delinquency rate rose two basis points in December to 0.65 percent (latest data available). The multifamily serious delinquency rate remained stable at 0.08 percent.

>		The duration gap on Fannie Mae’s portfolio averaged zero months in January.

		MORTGAGE MARKET HIGHLIGHTS

>		Single-family mortgage originations totaled an estimated $2.5 trillion in 2006 and are expected to decline to about $2.3 trillion in 2007 mostly because of a decrease in purchase originations.


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


January 2006	$	725,646				$	1,975,033				$	338,718					$	2,361,962			8.2	%	$	51,166
February 2006		721,183					1,985,870					331,629						2,375,424			7.1	%		45,091
March 2006		721,550					1,996,241					328,194						2,389,597			7.4	%		47,402
April 2006		730,328					2,004,498					331,144						2,403,682			7.3	%		52,180
May 2006		733,783					2,014,601					333,232						2,415,152			5.9	%		47,972
June 2006		730,900					2,027,693					325,426						2,433,167			9.3	%		56,296
July 2006		731,443					2,033,533					326,963						2,438,013			2.4	%		42,827
August 2006		726,811					2,046,522					321,150						2,452,183			7.2	%		49,055
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
YTD 2007	$	721,442				$	2,116,483				$	295,399					$	2,542,527			7.2	%	$	51,059

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


January 2006	$	15,147	$	(6,034	)	$	9,113	$	12,248		$	(1,773	)	$	(12,385	)	$	725,646			(3.1	%)		(20.43	%)
February 2006		12,893		(3,444	)		9,449		11,496			(5,138	)		(10,821	)		721,183			(7.1	%)		(17.90	%)
March 2006		20,254		(3,741	)		16,512		14,240			(2,545	)		(11,327	)		721,550			0.6	%		(18.85	%)
April 2006		26,869		(9,723	)		17,146		23,104			(2,435	)		(11,891	)		730,328			15.6	%		(19.78	%)
May 2006		19,981		(7,958	)		12,022		18,857			(3,729	)		(11,672	)		733,783			5.8	%		(19.18	%)
June 2006		21,981		(8,738	)		13,243		18,819			(9,216	)		(12,486	)		730,900			(4.6	%)		(20.42	%)
July 2006		15,446		(9,401	)		6,045		15,242			(2,819	)		(11,880	)		731,443			0.9	%		(19.50	%)
August 2006		29,644		(22,757	)		6,887		16,026			(8,898	)		(11,760	)		726,811			(7.3	%)		(19.29	%)
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	%)
YTD 2007	$	23,208	$	(22,133	)	$	1,075	$	9,659		$	(1,927	)	$	(10,690	)	$	721,442			(4.8	%)		(17.71	%)

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 Rate⁴			Loans			and Mortgage Loans


January 2006	$	42,897	$	(30,813	)	$	1,951,722		(19.06	%)	$	23,311		$	1,975,033			9.2	%	$	255,349		$	2,230,382
February 2006		35,766		(24,959	)		1,962,529		(15.35	%)		23,341			1,985,870			6.8	%		256,731			2,242,601
March 2006		35,879		(25,421	)		1,972,987		(15.54	%)		23,254			1,996,241			6.5	%		258,104			2,254,345
April 2006		38,966		(30,889	)		1,981,064		(18.79	%)		23,435			2,004,498			5.1	%		259,694			2,264,192
May 2006		37,022		(26,867	)		1,991,219		(16.27	%)		23,383			2,014,601			6.2	%		261,218			2,275,819
June 2006		42,914		(29,680	)		2,004,453		(17.89	%)		23,240			2,027,693			8.1	%		262,625			2,290,318
July 2006		35,962		(30,001	)		2,010,414		(17.96	%)		23,119			2,033,533			3.5	%		263,717			2,297,250
August 2006		39,571		(26,462	)		2,023,523		(15.80	%)		22,999			2,046,522			7.9	%		265,876			2,312,397
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
YTD 2007	$	43,988	$	(29,560	)	$	2,093,257		(17.06	%)	$	23,226		$	2,116,483			8.4	%	$	281,524		$	2,398,007



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 Securities⁶						Mortgage Portfolio
	Purchases		Sales			Liquidations			Securitizations⁵			End Balance			Loans			Agency				Non-Agency		End Balance


January 2006	$	2,606	$	(1,773	)	$	(5,048	)	$	1,373		$	338,718		$	255,349		$	31,603			$	99,976	$	725,646
February 2006		821		(5,131	)		(4,129	)		1,350			331,629			256,731			32,044				100,780		721,183
March 2006		1,073		(2,163	)		(3,988	)		1,643			328,194			258,104			31,881				103,371		721,550
April 2006		7,893		(2,200	)		(4,740	)		1,997			331,144			259,694			33,618				105,871		730,328
May 2006		6,379		(1,659	)		(4,160	)		1,528			333,232			261,218			33,545				105,788		733,783
June 2006		3,070		(8,653	)		(4,591	)		2,367			325,426			262,625			33,362				109,487		730,900
July 2006		6,315		(2,355	)		(4,485	)		2,062			326,963			263,717			33,717				107,046		731,443
August 2006		4,523		(8,309	)		(4,046	)		2,019			321,150			265,876			33,412				106,373		726,811
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
YTD 2007	$	1,099	$	(1,927	)	$	(4,018	)	$	1,488		$	295,399		$	281,524		$	31,730			$	112,789	$	721,442

TABLE 6. LIQUID INVESTMENTS ($ in Millions)¹						TABLE 7. DEBT ACTIVITY ($ in Millions)⁷
									Original Maturity			Original Maturity > 1 Year
			Liquid Investments						≤ 1 Year						Maturities and									Total Debt
			End Balance						End Balance			Issuances			Redemptions			Repurchases				End Balance		Outstanding


January 2006			$	40,583		January 2006			$	162,477		$	10,457		$	(8,543	)	$	(459	)		$	595,158	$	757,635
February 2006				41,320		February 2006				153,191			21,230			(16,080	)		(192	)			600,116		753,307
March 2006				53,717		March 2006				156,394			14,578			(2,765	)		(222	)			611,707		768,101
April 2006				61,675		April 2006				163,753			16,837			(9,886	)		(571	)			618,087		781,840
May 2006				57,425		May 2006				169,499			9,070			(12,778	)		(2,063	)			612,316		781,815
June 2006				68,218		June 2006				175,329			26,993			(21,030	)		(1,903	)			616,376		791,705
July 2006				61,535		July 2006				168,783			12,944			(13,064	)		(1,705	)			614,551		783,334
August 2006				67,794		August 2006				160,315			17,571			(7,938	)		(1,125	)			623,059		783,374
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
YTD 2007			$	57,484		YTD 2007			$	161,731		$	19,970		$	(19,991	)	$	(592	)		$	605,147	$	766,877

TABLE 8. INTEREST RATE RISK DISCLOSURE						TABLE 9. SERIOUS DELINQUENCY RATES
			Effective						Conventional Single-Family⁸										Multifamily
			Duration Gap						Non-Credit			Credit
			(in months)						Enhanced⁹			Enhanced¹⁰			Total¹¹			Total¹²

January 2006				0		January 2006				0.45	%		2.12	%		0.77	%				0.27	%
February 2006				0		February 2006				0.43	%		2.05	%		0.74	%				0.27	%
March 2006				0		March 2006				0.39	%		1.85	%		0.67	%				0.26	%
April 2006				1		April 2006				0.37	%		1.79	%		0.64	%				0.18	%
May 2006				0		May 2006				0.35	%		1.74	%		0.62	%				0.14	%
June 2006				(1	)	June 2006				0.35	%		1.70	%		0.60	%				0.19	%
July 2006				(1	)	July 2006				0.35	%		1.73	%		0.61	%				0.14	%
August 2006				(1	)	August 2006				0.34	%		1.73	%		0.60	%				0.15	%
September 2006				0		September 2006				0.35	%		1.74	%		0.61	%				0.11	%
October 2006				0		October 2006				0.35	%		1.76	%		0.62	%				0.08	%
November 2006				0		November 2006				0.36	%		1.78	%		0.63	%				0.08	%
December 2006				0		December 2006				0.37	%		1.81	%		0.65	%				0.08	%

January 2007				0

ADDITIONAL INFORMATION

As previously announced, on May 23, 2006, Fannie Mae agreed to a consent order issued by its regulator, OFHEO. Under the consent order, Fannie Mae may not increase its “mortgage portfolio” assets above the amount shown in its December 31, 2005 minimum capital report, except under specified circumstances at the discretion of OFHEO. Fannie Mae believes it is in compliance with the terms of its consent order with OFHEO. The “gross mortgage portfolio” balances set forth in this monthly summary report represent unpaid principal balances, which represent statistical measures rather than amounts computed in accordance with GAAP. “Mortgage portfolio” assets that are reported to OFHEO under the consent order reflect GAAP adjustments, including market valuation adjustments, allowance for loan losses, impairments and unamortized premiums and discounts. These adjustments are not reflected in the “gross mortgage portfolio” amounts shown in this report.

We expect that some of the information in this monthly summary report will change when the financial statements and related audits for the relevant 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 will cause some of this information to change include those related to our securities accounting, loan accounting, consolidation and amortization. A summary of our significant accounting policies is included in the notes to our consolidated financial statements in our Form 10-K filed with the Securities and Exchange Commission on December 6, 2006.



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.		This rate represents compound annual growth on Fannie Mae MBS and other guarantees.

5.		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.

6.		In this table, non-agency securities that Fannie Mae has guaranteed are included with non-Fannie Mae mortgage securities. These securities are sometimes referred to as “private label wraps.”

7.		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.

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. For information about the percentage of our total conventional single-family mortgage credit book of business represented by these excluded products, please see the Form 8-K Fannie Mae filed with the Securities and Exchange Commission on November 8, 2006.

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 and securities divided by the UPB of multifamily loans and securities owned by Fannie Mae or underlying Fannie Mae MBS.

GLOSSARY

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.

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 visit www.fanniemae.com/markets/debt/debt_activity.

Table 8

Effective Duration Gap. The effective duration gap is the daily average of the difference between the duration of Fannie Mae’s assets and liabilities for the reported month. The calculation excludes any interest rate sensitivity of the guarantee business.

The duration gap calculation includes non-mortgage assets and liabilities.

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.