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Fannie Mae Monthly Summary April 2002

WASHINGTON D.C. (May 13, 2002) -- This report is an extract from the complete year-to-date Monthly Summary published by Fannie Mae's Office of Investor Relations. The data presented in this report are unaudited and include, in the opinion of management, all adjustments (consisting of normally recurring accruals) necessary for a fair presentation. The data should be read in conjunction with audited financial statements and notes tofinancial statements that are available from the corporation.

Monthly Summary ($ in millions) April 2002 March 2002

Net Mortgage Portfolio (1) $737,951 $731,716 Net Mortgage Portfolio Growth Rate (2) 10.7% 2.4% Outstanding MBS (3) $910,195 $896,463 Outstanding MBS Growth Rate (2) 20.0% 38.8% Book of Business $1,648,146 $1,628,179 Book of Business Growth Rate (2) 15.8% 20.9% MBS Total Lender-Originated Issues (4) $47,369 $53,829 Fannie Mae MBS Purchases (5) $12,506 $13,738 MBS Issues Acquired by Others $34,863 $40,091 Retained Commitments $19,582 $11,592 Total Purchases $23,175 $21,305 Net Purchase Yield (6) 6.15% 6.42% Mortgage Portfolio Sales $936 $2,505 Mortgage Portfolio Liquidations $16,868 $16,551 Annualized Liquidation Rate 27.46% 27.08% Outstanding MBS Liquidations $21,544 $19,026 Annualized Liquidation Rate 28.62% 25.82%


Monthly Average Investment Balances
Net Mortgages $729,248 $726,369
Liquid Investments $66,039 $58,601
Total Net Investments $795,287 $784,970

Monthly Average Investment Yield 6.45% 6.50% Monthly Average Borrowing Cost (7) 5.45% 5.47% Monthly Average Interest Margin (7) 1.18% 1.19%

Effective Duration Gap 0 months 5 months Interest Rate Level Shock (1 Year) (8) 3.5% 3.8% Interest Rate Level Shock (4 Year) (8) 4.7% 6.1% Interest Rate Slope Shock (1 Year) (8) 1.8% 1.0% Interest Rate Slope Shock (4 Year) (8) 4.0% 3.1%

                           Single-family                Multifamily
Delinquencies(9) Delinquencies(10)

April 2001 0.43% 0.04% May 2001 0.43% 0.04% June 2001 0.43% 0.07% July 2001 0.43% 0.11% August 2001 0.43% 0.10% September 2001 0.45% 0.10% October 2001 0.46% 0.12% November 2001 0.47% 0.33% December 2001 0.49% 0.32% January 2002 0.49% 0.32% February 2002 0.48% 0.32% March 2002 0.46% 0.31%

Footnotes:
(1) Net portfolio is net of unamortized discount, deferred price
adjustments, and the allowance for losses. It contains $461
billion of Fannie Mae MBS as of April 30, 2002.
(2) Growth rates are compounded.
(3) MBS held by investors other than Fannie Mae's portfolio.
(4) Excludes MBS issued from Fannie Mae's portfolio, which was
$777 million in April 2002.
(5) Included in total portfolio purchases.
(6) Yields shown on a taxable-equivalent basis.
(7) Includes the amortization of purchased option premium which
is shown as other expense in the income statement, effective
in January 2001.
(8) Expresses projected net interest income under the more
adverse of the interest rate and yield curve scenarios as a
percentage of projected net interest income without the rate
shocks.
(9) Includes loans three or more months delinquent or in
foreclosure process as a percent of the number of loans.
(10) Includes loans two or more months delinquent as a percent of
loan dollars.

Voluntary Initiatives Disclosure
April 2002
INTEREST RATE RISK
----------------------------------------------------------------------
Rate Level Shock (50bp) Rate Slope Shock (25bp)
----------------------- -----------------------
1 Year 4 Year 1 Year 4 Year
Portfolio Portfolio Portfolio Portfolio
Net Net Net Net
Effective Interest Interest Interest Interest
Duration Gap Income at Income at Income at Income at
(in months) Risk Risk Risk Risk
----------------------------------------------------------------------
2000
----
1st Qtr 5 0.1% 4.3% 1.0% 3.0%
2nd Qtr 4 0.6% 4.8% 1.0% 3.0%
3rd Qtr 2 0.8% 4.3% 1.0% 3.1%
4th Qtr -3 0.5% 2.0% 3.0% 4.3%
2001
----
1st Qtr 1 3.8% 3.2% 3.1% 4.7%
2nd Qtr 5 1.7% 4.4% 0.9% 2.0%
3rd Qtr -1 2.4% 3.6% 2.8% 4.0%
4th Qtr 5 5.1% 4.5% 2.4% 4.3%
2002
----
January 2 6.1% 4.8% 2.0% 4.1%
February -2 5.1% 4.3% 2.3% 4.4%
March 5 3.8% 6.1% 1.0% 3.1%
April 0 3.5% 4.7% 1.8% 4.0%
-- Effective duration gap - measures the extent the effective
duration of the portfolio's assets and liabilities are matched. A
positive duration gap indicates that the effective duration of our
assets exceeds the effective duration of our liabilities by that
amount, while a negative duration gap indicates the opposite.
-- Net interest income at risk - compares Fannie Mae's projected
change in portfolio net interest income under the financially more
adverse of a 50 basis point increase and decrease in interest
rates. Fannie Mae also compares the expected change in portfolio
net interest income for the more adverse of a 25 basis point
decrease and increase in the slope of the yield curve. Both
measurements are done for one-year and four-year periods.
A positive number indicates the percent by which net interest
income could be reduced by the increased rate shock. A negative
number would indicate the percent by which net interest income
could be increased by the shock.
LIQUIDITY
Ratio of liquid to total assets Ratio
------------------------------- -----
December 31, 2000 8.2%
March 31, 2001 6.4%
June 30, 2001 8.0%
September 30, 2001 7.8%
December 31, 2001 9.5%
March 31, 2002 7.1%
-- Fannie Mae will maintain at least three months of liquidity to
ensure the company can meet all of its obligations in any period
of Supervision's fourteen principles for sound liquidity
management.
-- To fulfill its liquidity commitment, Fannie Mae will maintain more
than five percent of its on-balance sheet assets in high-quality,
liquid, non-mortgage securities.
CREDIT RISK
Before After
Lifetime credit loss credit credit
sensitivity as of: enhancements enhancements
------------------------- ------------ ------------
(Dollars in millions)
December 31, 2000 $1,065 $295
March 31, 2001 $1,061 $307
June 30, 2001 $1,045 $332
September 30, 2001 $1,349 $467
December 31, 2001 /1 $1,332 $487
-- Lifetime credit loss sensitivity measures the sensitivity of
Fannie Mae's expected future credit losses to an immediate five
percent decline in home values for all single-family mortgages
held in Fannie Mae's retained portfolio and underlying
guaranteed MBS.
-- Credit loss sensitivity is reported in present value terms and
measures expected losses in two ways: before receipt of private
mortgage insurance claims and any other credit enhancements and
after receipt of expected mortgage insurance and other credit
enhancements.
1 / Most recent data available.
RISK-BASED CAPITAL
Interim risk-based capital
stress test Pass / Fail Capital Cushion
--------------------------- ----------- ---------------
December 31, 2000 Pass 10 % - 30 %
March 31, 2001 Pass > 30 %
June 30, 2001 Pass > 30 %
September 30, 2001 Pass > 30 %
December 31, 2001 /1 Pass > 30 %
-- Fannie Mae has implemented an interim version of the risk-based
capital stress test detailed in the Federal Housing Enter- prise
Financial Safety and Soundness Act of 1992. The interim
implementation of the risk-based capital test was constructed
using as its basis OFHEO's Notice of Public Rulemaking 2, modified
to reflect subsequent changes implemented or suggested both by
OFHEO and Fannie Mae.
-- Fannie Mae will disclose whether it has passed or failed the
interim risk-based capital test at the end of each quarter, and
also give an indication of the amount by which capital exceeds or
falls short of the calculated risk-based requirement. Fannie Mae
will run this interim version only until the risk-based capital
standard is adopted by its regulator, the Office of Federal
1 / Most recent data available.
MortgageDaily.com
Source:
Fannie Mae
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