Fannie Mae 2002 Annual Report Download - page 60

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58 FANNIE MAE 2002 ANNUAL REPORT
•Net Interest Income at Risk
At December 31, 2002, our one-year and four-year net
interest income at risk measures for a 50 basis point change
across the Fannie Mae yield curve were .6 percent and
1.6 percent, respectively, compared with 5.1 percent and
4.5 percent, respectively, at December 31, 2001. The one-
year and four-year net interest income at risk measures for
a 25 basis point change in the slope of the Fannie Mae yield
curve were 4.7 percent and 6.6 percent, respectively,
compared with 2.4 percent and 4.3 percent, respectively,
at December 31, 2001.
The following graphs show the monthly net interest income
at risk for each of the last three years under both a 50 basis
point change across the Fannie Mae yield curve and a 25 basis
point change in the slope of the Fannie Mae yield curve.
Compared to 2001 and 2000, the net interest income at risk
was at somewhat higher levels and more variable during
2002. The results for 2002 reflect the extreme low level of
interest rates as well as unprecedented levels of interest rate
volatility related to uncertainty about the economic outlook.