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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): November 30, 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 7.01. Regulation FD Disclosure.
     On November 30, 2007, Fannie Mae (formally known as the Federal National Mortgage Association) issued its monthly financial summary release for the month of October 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 8.01. Other Events.
INFORMATION ABOUT CERTAIN DEBT AND MBS ISSUANCES BY FANNIE MAE CAN BE FOUND ON FANNIE MAE’S WEB SITE
      Pursuant to SEC regulations, public companies are required to disclose certain information when they incur a material direct financial obligation or become directly or contingently liable for a material obligation under an off-balance sheet arrangement. The disclosure must be made on a Form 8-K under Item 2.03 or, if the obligation is incurred in connection with certain types of securities offerings, in prospectuses for that offering that are filed with the SEC.
      Fannie Mae’s securities offerings are exempted from SEC registration requirements. As a result, Fannie Mae is not required to and does not file registration statements or prospectuses with the SEC with respect to its securities offerings. To comply with the disclosure requirements of Form 8-K relating to the incurrence of material financial obligations, Fannie Mae will report its incurrence of these types of material obligations either in offering circulars or prospectuses (or supplements thereto) that it will post on its web site or in a Form 8-K, in accordance with a “no-action” letter we have received from the SEC staff. In cases where the information is disclosed in a prospectus or offering circular posted on Fannie Mae’s web site, the document will be posted on Fannie Mae’s web site within the same time period that a prospectus for a non-exempt securities offering would be required to be filed with the SEC.
      The web site address for disclosure about Fannie Mae’s debt securities is www.fanniemae.com/debtsearch. From this address, investors can access the offering circular and related supplements for debt securities offerings under Fannie Mae’s universal debt facility, including pricing supplements for individual issuances of debt securities.
      Disclosure about Fannie Mae’s off-balance sheet obligations pursuant to some of the mortgage-backed securities Fannie Mae issues can be found at www.fanniemae.com/mbsdisclosure. From this address, investors can access information and documents about our mortgage-backed securities, including prospectuses and related prospectus supplements or preliminary data statements for specific issuances.
      Fannie Mae does not intend the Internet addresses in the preceding paragraphs to be active links. Therefore, the information that appears on these web sites is not incorporated into this Form 8-K.
Item 9.01. Financial Statements and Exhibits.
     (d) Exhibits.    The exhibit index filed herewith is incorporated herein by reference.

2


 

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: November 30, 2007

3


 

EXHIBIT INDEX
The following exhibit is submitted herewith:
     
Exhibit Number   Description of Exhibit
 
99.1   Monthly summary release for October 2007 issued by Fannie Mae on November 30, 2007

4

exv99w1
 

Exhibit 99.1
(FANNIE MAE LOGO)

MONTHLY SUMMARY HIGHLIGHTS

OCTOBER 2007
Ø    Fannie Mae’s Book of Business grew at a compound annualized rate of 20.0 percent in October driven by growth in the Gross Mortgage Portfolio and Fannie Mae MBS and Other Guarantees.
 
Ø    The Gross Mortgage Portfolio rose at a compound annualized rate of 17.3 percent in October, driven by one large transaction. (For additional information on our mortgage portfolio cap, see “Additional Information” on page 2.)
 
Ø    Fannie Mae MBS and Other Guarantees rose at a compound annualized rate of 16.8 percent during the month.
 
Ø    Net Retained Commitments were $8.2 billion in October.
 
Ø    The conventional Single-Family Serious Delinquency Rate rose seven basis points in September to 0.78 percent (latest data available). The Multifamily Serious Delinquency Rate rose two basis points to 0.08 percent in September.
 
Ø    The Effective Duration Gap on Fannie Mae’s portfolio averaged one month in October.
 
Ø    Liquid Investments were $41.5 billion in October, including $9.1 billion of federal funds sold. Starting in October, we include federal funds sold in our Liquid Investments balance. Without this change, the balance would have been $32.4 billion.
MORTGAGE MARKET HIGHLIGHTS
Ø    OFHEO announced that the conforming loan limit for one-unit properties in 2008 will remain unchanged at this year’s level of $417,000. Higher limits apply to mortgages backing properties located in Alaska, Hawaii, Guam, and the U.S. Virgin Islands as well as to properties with more than one unit.
 
    NOTE: As previously indicated, Fannie Mae anticipated that some of the information in its monthly summary report would change when we completed our current and prior period financial statements. On November 9, 2007, we filed current financial statements in our Form 10-Q for the third quarter of 2007.  As a result, beginning with the data for October 2007, we are implementing data reclassifications and other changes to better align the statistical information we present in our monthly summary report with the financial information we report in our quarterly and annual filings with the SEC. Please see the Endnotes and Glossary on page 3 of this document for more details on these changes.


 

 
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
 
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  
October 2007
    732,291               2,336,005               264,959               2,803,337       20.0 %     66,330  
YTD 2007
  732,291             2,336,005             264,959             2,803,337       13.3 %   609,013  

 
TABLE 2. PORTFOLIO COMMITMENTS ($ in Millions) 1
 
                         
    Commitments   Commitments   Net Retained
    to Purchase, Net   to Sell   Commitments
 
October 2006
  26,694     (18,638 )   8,056  
November 2006
    19,159       (10,508 )     8,651  
December 2006
    20,273       (5,422 )     14,851  
Full Year 2006
  251,966     (119,498 )   132,468  
 
                       
January 2007
  23,208     (22,133 )   1,075  
February 2007
    23,233       (13,256 )     9,977  
March 2007
    27,723       (13,630 )     14,093  
April 2007
    20,110       (8,420 )     11,689  
May 2007
    29,600       (12,077 )     17,523  
June 2007
    33,297       (9,197 )     24,100  
July 2007
    34,416       (15,896 )     18,520  
August 2007
    44,259       (43,802 )     457  
September 2007
    40,214       (26,589 )     13,625  
October 2007
    26,030       (17,803 )     8,227  
YTD 2007
  302,090     (182,803 )   119,287  
 
TABLE 3. GROSS MORTGAGE PORTFOLIO ($ in Millions) 1
 
                                                 
                                    Compounded   Annualized
    Purchases 2   Sales   Liquidations   End Balance   Growth Rate   Liquidation Rate
 
 
  13,159     (6,746 )   (10,987 )   720,959       (7.3 %)     (18.17 %)
 
    14,035       (6,326 )     (11,230 )     717,438       (5.7 %)     (18.69 %)
 
    19,718       (1,860 )     (10,896 )     724,400       12.3 %     (18.22 %)
 
  197,252     (61,184 )   (139,224 )   724,400       (0.4 %)     (19.14 %)
 
                                               
 
  9,659     (1,927 )   (10,690 )   721,442       (4.8 %)     (17.71 %)
 
    10,359       (9,555 )     (10,101 )     712,145       (14.4 %)     (16.80 %)
 
    16,452       (5,505 )     (10,286 )     712,806       1.1 %     (17.33 %)
 
    9,964       (2,111 )     (10,073 )     710,586       (3.7 %)     (16.96 %)
 
    21,776       (3,640 )     (10,466 )     718,257       13.8 %     (17.67 %)
 
    16,936       (2,341 )     (10,378 )     722,475       7.3 %     (17.34 %)
 
    21,219       (4,588 )     (9,266 )     729,840       12.9 %     (15.39 %)
 
    16,429       (7,690 )     (9,692 )     728,886       (1.6 %)     (15.94 %)
 
    11,926       (7,944 )     (9,055 )     723,813       (8.0 %)     (14.91 %)
 
    20,957       (3,905 )     (8,574 )3     732,291       17.3 %3     (12.74 %)3
 
  155,678     (49,204 )   (98,581 )   732,291       1.5 %     (16.18 %)



 

 
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
    Issuances 4   Liquidations   End Balance   Liquidation Rate   Guarantees   Guarantees   Growth Rate   Loans   and Mortgage Loans
         
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  
October 2007
    49,424       (15,707 )5     2,301,697       (10.03 %)5     34,308 5     2,336,005       16.8 %5     312,572 6     2,648,577  
YTD 2007
  502,929     (280,062 )   2,301,697       (16.35 %)   34,308     2,336,005       13.5 %   312,572     2,648,577  
         
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   Securitizations 7   End Balance   Loans   Agency   Non-Agency   End Balance
         
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  
October 2007
    2,052       (3,822 )     (2,667 )     1,999       264,959  
 
  312,572 6     32,808       121,952  
 
  732,291  
YTD 2007
  $ 23,016     $ (48,639 )   $ (34,751 )   $ 26,578     $ 264,959     $ 312,572     $ 32,808     $ 121,952     $ 732,291  

 
TABLE 6. LIQUID INVESTMENTS ($ in Millions) 1
 
         
 
    Liquid Investments
    End Balance
 
October 2006
  $ 52,229  
November 2006
    51,792  
December 2006
    57,819  
Full Year 2006
  $ 57,819  
 
       
January 2007
  $ 57,484  
February 2007
    68,959  
March 2007
    66,830  
April 2007
    57,355  
May 2007
    55,650  
June 2007
    55,244  
July 2007
    59,231  
August 2007
    59,813  
September 2007
    41,918  
October 2007
    41,462 8 
YTD 2007
  $ 41,462  
 
TABLE 7. DEBT ACTIVITY ($ in Millions) 9
 
                                                           
    Original Maturity     Original Maturity > 1 Year        
    < 1 Year             Maturities and           Foreign Exchange           Total Debt
End Balance        Issuances   Redemptions   Repurchases   Adjustments 10   End Balance   Outstanding
October 2006
  $ 152,136  
 
  $ 13,403     $ (12,717 )   $ (5,208 )         $ 609,336     $ 761,472  
November 2006
    152,146  
 
 
  12,450       (15,231 )     (606 )           605,949  
 
  758,096  
December 2006
    168,623  
 
    15,510       (14,664 )     (1,035 )           605,760       774,384  
Full Year 2006
  $ 168,623  
 
 
$ 181,313     $ (153,743 )   $ (15,513 )         $ 605,760  
 
$ 774,384  
 
       
 
                                               
January 2007
  $ 161,731  
 
  $ 19,970     $ (19,991 )   $ (592 )         $ 605,147     $ 766,877  
February 2007
    164,969  
 
 
  17,129       (16,527 )     (328 )           605,420  
 
  770,389  
March 2007
    160,901  
 
    22,013       (15,859 )     (290 )           611,284       772,185  
April 2007
    159,782  
 
 
  17,049       (16,720 )     (82 )           611,531  
 
  771,313  
May 2007
    162,161  
 
    20,988       (12,458 )     (691 )           619,370       781,531  
June 2007
    167,586  
 
 
  16,043       (11,020 )     (2,540 )           621,853  
 
  789,439  
July 2007
    169,128  
 
    15,422       (12,296 )     (2,209 )           622,770       791,898  
August 2007
    188,336  
 
 
  12,306       (16,226 )     (1,541 )           617,309  
 
  805,645  
September 2007
    156,527  
 
    9,723       (13,047 )     (277 )           613,708       770,235  
October 2007
    155,049 10
 
 
  14,420       (20,992 )     (863 )     2,592       608,865 10
 
  763,914  
YTD 2007
  $ 155,049       $ 165,062     $ (155,136 )   $ (9,413 )   $ 2,592     $ 608,865     $ 763,914  



 

 
TABLE 8. INTEREST RATE RISK DISCLOSURES
 
                         
    Effective   Market Value Sensitivity 12
    Duration Gap   Rate Level   Rate Slope
    (in months) 11   Shock (50 bp)   Shock (25 bp)
 
 
                       
October 2006
    0  
 
         
November 2006
    0  
 
         
December 2006
    0  
 
         
 
                       
January 2007
    0              
February 2007
    0  
 
         
March 2007
    (1 )            
April 2007
    0  
 
         
May 2007
    0              
June 2007
    1  
 
  (1 %)     0 %
July 2007
    1       (1 %)     0 %
August 2007
    1  
 
  (1 %)     0 %
September 2007
    0       (1 %)     0 %
October 2007
    1  
 
  (1 %)     (1 %)
 
TABLE 9. SERIOUS DELINQUENCY RATES
 
                                 
    Conventional Single-Family 13   Multifamily
    Non-Credit   Credit        
    Enhanced 14   Enhanced 15   Total 16   Total 17
     
September 2006
    0.35 %     1.74 %     0.61 %     0.12 %
October 2006
    0.35 %     1.76 %     0.62 %
 
  0.09 %
November 2006
    0.36 %     1.78 %     0.63 %     0.09 %
December 2006
    0.37 %     1.81 %     0.65 %
 
  0.08 %
 
                               
January 2007
    0.38 %     1.86 %     0.66 %     0.10 %
February 2007
    0.38 %     1.84 %     0.66 %
 
  0.10 %
March 2007
    0.35 %     1.74 %     0.62 %     0.09 %
April 2007
    0.35 %     1.74 %     0.62 %
 
  0.10 %
May 2007
    0.34 %     1.75 %     0.62 %     0.11 %
June 2007
    0.35 %     1.81 %     0.64 %
 
  0.09 %
July 2007
    0.37 %     1.91 %     0.68 %     0.10 %
August 2007
    0.39 %     2.00 %     0.71 %
 
  0.06 %
September 2007
    0.43 %     2.18 %     0.78 %     0.08 %


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 $728 billion as of October 31, 2007.
         
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 market valuation adjustments, allowance for loan losses, impairments, unamortized premiums and discounts and the impact of consolidation of variable interest entities. Amounts and rates shown for the periods after September 2007 reflect definitional changes and may, therefore, not be comparable to amounts and rates shown for prior periods. Please see notes 3, 5, 6, 8, and 10 and the Glossary below for more information about these changes.
 
2.   Includes capitalized interest.
 
3.   For October 2007, liquidations have been increased by $890 million, primarily to exclude from the end balance amounts that Fannie Mae now classifies as advances to lenders. The effect of this adjustment has been excluded in calculating growth and liquidation rates for October 2007.
 
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.   For October 2007, “Total Fannie Mae MBS Liquidations” have been reduced by $3.2 billion, primarily to reflect Fannie Mae’ s reclassification of Ginnie Mae wraps from “Other Fannie Mae Guarantees” to “Fannie Mae MBS.” The effect of this adjustment has been excluded in calculating growth and liquidation rates for October 2007.
 
6.   For October 2007, “Mortgage Loans” has been reduced by $967 million primarily to exclude from the end balance advances to lenders, which were previously classified as loans.
 
7.   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.
 
8.   Beginning with October 2007, “Liquid Investments” includes federal funds sold. Without this change, the end balance in October 2007 would have been $32.4 billion.
 
9.   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.
 
10.   Beginning with October 2007, this report reflects current foreign exchange adjustments at the respective rates for the period. In addition, amounts after September 2007 reflect the reclassification of $2.2 billion from “Original Maturity < 1 Year” to “Original Maturity > 1 Year.” The $2.2 billion reclassification is reflected in “Foreign Exchange Adjustments” for October 2007. Also, beginning with October 2007, federal funds purchased are not included in “Original Maturity < 1 Year.” Federal funds purchased totaled $1.5 billion in October 2007.
 
11.   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.
 
12.   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.
 
13.   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.
 
14.   Loans without primary mortgage insurance and/or other credit enhancements.
 
15.   Loans with primary mortgage insurance and/or other credit enhancements.
 
16.   Total conventional single-family serious delinquency rate includes non-credit enhanced and credit enhanced loans.
 
17.   Includes multifamily loans and securities 60 days or more past due and is calculated based on the 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
Changes to 2006 Information. Amounts and rates for 2006 reflect data reclassifications, definitional changes and corrections as well as revisions to this presentation made in January 2007. 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 for periods after September 2007, 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 consists of credit enhancements we provide on multifamily mortgage assets. Through September 2007, this also included Ginnie Mae wraps.
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 a source of liquidity for Fannie Mae and as 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, federal funds sold, and corporate floating rate notes. The balance shown includes cash equivalents but does not include cash balances or cash equivalents pledged as collateral that may be sold or repledged by the counterparty.
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 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 and 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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