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Fannie Mae Monthly Summary January 2003.

Business Editors


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 to financial statements that are available from the corporation. A more detailed report on Fannie Mae's activity is published quarterly in the Investor/Analyst Report. For more information, please contact us at 202/752-7115 or

Monthly Summary
($ in millions) Jan. 2003 Dec. 2002

Mortgage Portfolio, Gross (1) $810,609 $790,800
Mortgage Portfolio, Gross Growth Rate (2) 34.6% 59.2%
Outstanding MBS (3) $1,047,903 $1,029,456
Outstanding MBS Growth Rate (2) 23.8% 13.0%
Book of Business $1,858,512 $1,820,256
Book of Business Growth Rate (2) 28.3% 31.0%
MBS Total Lender-Originated Issues (4)
 $106,646 $97,831
Fannie Mae MBS Purchases (5) $42,858 $51,947
MBS Issues Acquired by Others
 $63,788 $45,884
Retained Commitments $25,097 $29,214
Total Purchases $57,281 $67,891
Net Purchase Yield (6) 5.44% 5.42%
Mortgage Portfolio Sales $60 $293
Mortgage Portfolio Liquidations $37,423 $37,569
Annualized Liquidation Rate 56.09% 58.11%
Outstanding MBS Liquidations $45,342 $42,714
Annualized Liquidation Rate 52.38% 50.04%

Monthly Average Investment Balances
 Net Mortgages $794,278 $773,717
 Liquid Investments $75,849 $85,206
 Total Net Investments $870,127 $858,923

Monthly Average Investment Yield 5.97% 6.03%
Monthly Average Borrowing Cost (7) 4.90% 5.02%
Monthly Average Interest Margin (7) 1.26% 1.15%

Effective Duration Gap -4 months -5 months
Interest Rate Level Shock (1 Year) (8) 2.9% 0.6%
Interest Rate Level Shock (4 Year) (8) 3.8% 1.6%
Interest Rate Slope Shock (1 Year) (8) 3.5% 4.7%
Interest Rate Slope Shock (4 Year) (8) 5.7% 6.6%

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

February 2002 0.48% 0.32%
March 2002 0.46% 0.31%
April 2002 0.43% 0.31%
May 2002 0.42% 0.30%
June 2002 0.42% 0.10%
July 2002 0.42% 0.10%
August 2002 0.42% 0.10%
September 2002 0.44% 0.09%
October 2002 0.45% 0.09%
November 2002 0.46% 0.13%
December 2002 0.47% 0.05%


(1) Excludes mark-to-market adjustments, deferred balances and

allowance for losses. Includes $528 billion of Fannie Mae MBS

as of January 31, 2003.

(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

$2,268 million in January 2003.

(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.

(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.

Shareholder information about Fannie Mae is available 24 hours a day. Please call our transfer agent toll free at 800/FNM-2-YOU (800/366-2968) or access our World Wide Web site at

Statement from Jayne Shontell On January Financial Data

Our monthly results for January once again demonstrate Fannie Mae's disciplined growth strategy at work.

We experienced record total business volume. Portfolio growth was strong at 34.6 percent. All interest rate risk measures remained reasonably stable, with the duration gap at -4 months. The delinquency rate was just .47 basis points.

Net interest margin rose by 11 basis points. This margin was atypically large, primarily due to a timing issue - that is, the difference between our extraordinary mortgage purchase commitments last fall, and the actual purchase of those mortgages now.

Here is what occurred:

1. Last fall, Fannie Mae's mortgage purchase commitments surged as

mortgage rates plunged to their lowest level in 40 years,

mortgage activity increased and spreads widened favorably.

2. However, as we made those mortgage purchase commitments, we

deferred the actual purchase - and booking the yield - because

of better pricing in the forward market. In fact, our

outstanding commitments peaked in November at $123.3 billion.

3. At the time of the commitments, we secured the funding and

began booking the cost of the debt and other hedges


4. Those commitments were fulfilled through higher purchase

volumes in December and January. At the same time, new

purchase commitments in December and January declined from the

recent record levels.

5. As a result, in January we experienced higher yields from the

increased purchase activity, but also lower debt costs because

of the low rate of commitments. That was largely responsible

for the increase in our margin of an atypical 11 basis points.

Consistent with the guidance we gave last month, management expects the margin to decline in the months ahead as expected mortgage liquidations should outpace the volume of debt that will mature or reprice, and as purchase volumes decline and commitments likely increase.
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Date:Feb 13, 2003
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