Your interviewer wants to know that you will proactively respond to challenges right off the bat. Fannie Mae's company culture emphasizes employees' ability to 'thrive on the new challenges and opportunities that each day brings.' Your interviewer wants to hear that you will fit in well with Fannie Mae's hardworking team by viewing challenges as opportunities for growth.
Further, your interviewer wants to ensure you have the formal training needed to be successful on the job or if you'll need support to fill in training gaps. Similar to the 'greatest weakness' question, the key to answering this question is to point out a potential challenge and then share your plan for how you will overcome that challenge. If you can think of one off the top of your head, share with your interviewer an example of when you were confronted with a challenge at a new job and how you responded to this adversity.