Confidential treatment requested by KPMG LLP KPMG-SEC-0034187 CONFIDENTIAL KPMG-CIV-00034179Peepneeo by? Jt) Sith Reaitrte by: “ow 6 Fannie Mae Office of Auditing Derivatives Control Audit Additional FAS 133 Test Work Requested by KPMG. Tickmark Legend for w/p 6-11 Traced amount to DEBTS System “Market Value By Swap Category” Report, and traced market value gain/loss in total to Mark to Market Summary Report by Counterparty. ; V Traced amount to MV Detail as §81/01, then to Hedge Classification Summary by Derivative Links as of 8/31/01, then to Hedge Classification Summary by Derivative type w/o exception. FAs 122 $1 “ho X Traced amount to STAR Report STRFIN24-01 w/o exception F Footed w/o exception ee ; oS Trated asmers om td ay Mate Vabilerbine, yhun to JETS, a amenet te th Mnmaig Wate Vabil ee thn 3M, Key Notes Control totals data obtained from DEBTS @ OTotal notional value double counted because the time values and intrinsic values of the swaptions and caps are recorded in separate sections of the schedule and the related notional values are therefore recorded twice on the schedule. No exception noted. £ Differences identified deemed immaterial ay gold Confidential treatment requested by KPMG LLP KPMG-SEC-0034188 CONFIDENTIAL KPMG.CIV-00034180SB geen a! ae 3: By as iy eto bei yao =88 Se ee great age ss Copetey proven yang cond 25 Pe a = 22 i sez gen as 66 "SS muvee owners) avis ” eter” aeucee capers rut’ sare AS eo Priors yeoreses ‘sae -20034 IAs re “sed sare So re es dws lite Sa me oe ne Satomi: ; = valor She . |NILIONY 30 391240 a a @ NW INN 6 e Confidential treatment requested by KPMG LLP CONFIDENTIALMark-to-Market Summary FANNIE MAE OFFICE OF AUDITING As of ate Tota ean Value: gBRERZRE ‘Thursday, Sepamber 06,2001 Net of Counterparty Gross gains Gross gains Net Market value V Sraced fo My Arvrong pirvated by Khe Fas 133 Dts w/o F peti wihet setghl S05, Sure Tw IDEETS Puspese: hia rupert gummarizer? Crnntipesty ive Be Confidential treatment requested by KPMG LLP CONFIDENTIAL a pnars eee" Page tots -7546,773,101 et ain 20683214 ° agen 308 asss1a79 175803 185,056485, 167,367 05 64 900.282 ° 25405 925 7541732 29720011 729906.908 526200278 396 538.462 2730508 99,1195 10083 aosarignt ers 704271 278373881 ° 120230.408 354000.208 38202,713, ° 2264490 Loss 9s23382 -rrag02816 244381757 736367 284 “so1se7 250282768 56.407 096, 256.6528 659,065,680 126 336,068 par 0us 656 215.440215, -604.361825, 11582.365,164 388,385 405 as 3.853028, 4.984 201,128 31348870 4.340,72,762 s2.76021 95,553,655, -304,901386 229 4s7460 4aog16220 896.380 1.058.802 4897975951 -12484,749052 1090958,671 ¢ f Heprney ey. ‘sto ol Kevtewes 9 Sy {) Loss a2g02816 185510453 188 035,505 ° -$8.196271 ° 197965 a34as5s2 388,370.95, a7 797396 4725780 1.388 962216 158161567 356.1548 2saz03 3852963 -4.458,020218 -1.962884.931, 12.7602, 450609 048 198,174,747 § | REPORTED At E 19,496,860, “Hp MOUNTS. ,030,988,671.00 (76 778,10100)// Merptine. dade & Tene Patel, Harm rae hepritog mmandct Vakucy (goin (em por to) y systere 7 Gn KPMG-SEC-0034190 KPMG.CIV-00034182Sf" SR waoeeiovz as gs ome (oo) ove oz ovr ypouoTAw .. @ sx yeiagArewuing™ AN “e0L002 d d eerychoar ofr tofiels. 7 (0-9 dla wep) eauphore oer (a 3 {Ooeor'eLZ'avs'2) oeasoEL‘ese'L OO'LLL'seH'Zos'z PevLE'vEO'eOz'zaY 4 3 d 3 oosse'viz'sol —r00'668'vL2's0L x 00SZr'eL1'29 _y00'rdr'seo'ey _x-00'000'000's98'r oosee'viz'sol ” onese'viz'sol “ ov'szr'azt'z9 4 i , 4 3 4 3 POO UB'SYL'SSL yw OO'LeL'SHI'ss4 yy 00'SHO'SBz'vE_.00Z08'9Se'0zL yr00'000'000'0SI'se ooue'sri'sse “ oozeL'Sri'sse © ~ o0see'sez've 4 a 4 R00L0E'SOS'6y —_y100.L0e'se'6r 4 OD 90P'ze0's oozoe'ses'ey “ 00-40e'ses'ey ©“ on g0r'se0's 4 3 (ovezs'oso'eee) (00 910'00'8ee) (ov'ezs'oso'eee) —_(o0'az0'0L0'eee) - J 4 (oo'0ze've6'0z6'or}alo0'g06've6'oze'on)— - oower'sze'ss |” on osz'sze'es : (00'802'098'086'01) (00'a69'099'086'01) 3 4 J+ 00'z8e'S5i pe 00er'ea (oo'sze'Lyz'6z) pio "ove" Lye'6z) aaa 01609 oveee'eco o0'svs'ov9 ys 00'S7S'0V (00'808) i00e08) a ° ‘onjeA"yox.ewo}e> anjeATojSULRUL nyea™yoIEU-SIg9P BNLGAY 40 301340 ‘VN JINN 0 v2v'se0'ey 4 oozos‘ess'ozs “ X00 708.125 LY ooro8Zz5'1y ‘anjex“own ‘oe. (00'000'000's98"r 4 6v6% OO'SL'6LL'6vE'z yf 00-194'222'26z't 00 166'tG6'960"s 700'000'000'0se'00 ‘evez “ ooesvieci'eve'z ~ 00'29u'dzz'zs2'L” 00.466'sS6'969'1 00'000'000'0Se'09 3 ‘00'000'000'0s1'se (76 00'000'000'c68' 0 00'000'000'e89'v9 400'000°000'0ss"r (00'000'090'0ss'y 4 00. 000'000'Ze2" 202 (00.000'000'0sz'01 (00'000'000'z87'964 18 89S'S08'ovs'98 415 BYS'S0¥'882' LS 1¥.00'000'00%'22¥'6z see arses zee" te ouonou gebhy qoqngy Nuk ee patel wee v 994 uodnod - pana o2ai - vondemg 99,4 uodnod - paxls 204j - uondems {99,4 uodned - parts 290) - uondems ~ poxij 094 - uondems = penis 004 - uondems, ~ poxig 004 - vondems ents Ked - uondems an Ked - uondems on keg uoydems avo avo avo dems pienvos dems piemog dems premog sui sul Hi dens siseg x4 dens seg x4 dens sisea x4 dems 190 dems 1990, dems 1980, dems essy dems essy dems jessy ‘adAdisno of mprnsie prev f POO PVA YL sunydan Yo ep Pye F 1 2 $807 ero. ues 5807 wel ea) 3807 ree. ued) 807 iol ues 9807 io, ues $807 Feros urea $807 vero. ues ‘3807 ren eo ‘$807 P Paysno 1 DUNG t-19 KPMG-SEC-0034191 KPMG-CIV-00034183 Confidential treatment requested by KPMG LLP CONFIDENTIALSS sorsunsou cetsvseo1002 = SS Wd 8¥:Z1002/20/60 [UOREPIIEN AW a ed 99 wea x2 2 . ean beperriQ copopnen Peon cxpyo, Of $70 F eee PF hy per il 7 1g ie £034 baprde ours esrap rtp BRT! IT" rind 0 UE a ¢ Corpor eres) Lapeday gerne ppd rer onan coytiyer opr -paptip 2} 201 , bocbrprg Hop tg yep aryrek phy sore 4. pooup p Prowtrne eyorpoong abyiyp ampurnig yf qensee prop 3 4 see 6 ) seeao'nus'y castoecese's —sav'ste'20s'e_pilrtono'ss's) 5 AMALLOV Xd YOd GALSNFAY SNOLLEO 8 dYMS TWLOL, - OUST Ale SSO) > : poses one ‘yes puemso 1 x4 860) : ‘aesyods x4 ey - : vor'zar've Provest'e few eaeeece anten s186q X31 “PPY ‘SdeMms X4 10) SusURSNipy @ Le qweunsnipy Sumon / eoussoyig sH67d pivovcas‘evs'ad Auedioyunog fq 899907 9 | Sum Ur seusanboy SNOUdO ® avMS TWL0L LeU SH'S8L iE srsor0 : 230's50'sot zer'sev'eze 062'Sz6'6s »e0u9 Sess07 #8019 SUIED SEO onjea EULA, os Gupipny 30 2010 ee ey ojuuey 208° 80'02L / (806're8'026'08) 4 000'000'2ez"20z omen ous, enje,——_seaueleg 1eUCTON, podeynesig uonepien ea Areunung any, oe, e vooeisev@ = Gontag ONLNNODDY g-lt KPMG-SEC-003419. KPMG-CIV-00034184 Confidential treatment requested by KPMG LLP CONFIDENTIAL