UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 

EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2023

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 

EXCHANGE ACT OF 1934

For the transition period from to 

Commission file number: 0-50231

Federal National Mortgage Association

(Exact name of registrant as specified in its charter) 

Fannie Mae

Federally chartered corporation 52-0883107 1100 15th Street, NW 800 232-6643

Washington, DC 20005

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

(Address of principal executive 

offices, including zip code)

(Registrant’s telephone number, 

including area code)

Securities registered pursuant to Section 12(b) of the Act: 

Title of each class Trading Symbol(s) Name of each exchange on which registered

None N/A N/A

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the 

Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required 

to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be 

submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such 

shorter period that the registrant was required to submit such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a 

smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” 

“smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. 

Large accelerated filer ☐ Accelerated filer ☑

Non-accelerated filer ☐ Smaller reporting company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period 

for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange 

Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes☐ No ☑ 

As of October 13, 2023, there were 1,158,087,567 shares of common stock of the registrant outstanding.
TABLE OF CONTENTS

Page

PART I—Financial Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Item 1. Financial Statements

Condensed Consolidated Balance Sheets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

Condensed Consolidated Statements of Operations and Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . 64

Condensed Consolidated Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Condensed Consolidated Statements of Changes in Equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

Note 1—Summary of Significant Accounting Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68

Note 2—Consolidations and Transfers of Financial Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

Note 3—Mortgage Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73

Note 4—Allowance for Loan Losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87

Note 5—Investments in Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89

Note 6—Financial Guarantees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92

Note 7—Short-Term and Long-Term Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93

Note 8—Derivative Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94

Note 9—Segment Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98

Note 10—Concentrations of Credit Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100

Note 11—Netting Arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104

Note 12—Fair Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105

Note 13—Commitments and Contingencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114

Note 14—Regulatory Capital Requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations . . . . . . . . . . . . . . . 1

Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Executive Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Summary of Our Financial Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Liquidity Provided in the First Nine Months of 2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Legislation and Regulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Key Market Economic Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

Consolidated Results of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Consolidated Balance Sheet Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

Retained Mortgage Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

Guaranty Book of Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

Business Segments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

Single-Family Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

Single-Family Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

Single-Family Mortgage-Related Securities Issuances Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Single-Family Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Single-Family Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

Single-Family Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

Multifamily Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Multifamily Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Multifamily Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Multifamily Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

Multifamily Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

Consolidated Credit Ratios and Select Credit Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

Liquidity and Capital Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

Market Risk Management, including Interest-Rate Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

Critical Accounting Estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

Impact of Future Adoption of New Accounting Guidance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Forward-Looking Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Fannie Mae Third Quarter 2023 Form 10-Q i
Item 3. Quantitative and Qualitative Disclosures about Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

Item 4. Controls and Procedures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

PART II—Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

Item 1. Legal Proceedings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

Item 1A. Risk Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120

Item 3. Defaults Upon Senior Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122

Item 4. Mine Safety Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122

Item 5. Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122

Item 6. Exhibits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122

Fannie Mae Third Quarter 2023 Form 10-Q ii
PART I—FINANCIAL INFORMATION

Item 2. Management’s Discussion and Analysis of Financial 

Condition and Results of Operations

We have been under conservatorship, with the Federal Housing Finance Agency (“FHFA”) acting as conservator, since 

September 6, 2008. As conservator, FHFA succeeded to all rights, titles, powers and privileges of the company, and of any 

shareholder, officer or director of the company with respect to the company and its assets. The conservator has since 

provided for the exercise of certain functions and authorities by our Board of Directors. Our directors owe their fiduciary 

duties of care and loyalty solely to the conservator. Thus, while we are in conservatorship, the Board has no fiduciary 

duties to the company or its stockholders.

We do not know when or how the conservatorship will terminate, what further changes to our business will be made 

during or following conservatorship, what form we will have and what ownership interest, if any, our current common and 

preferred stockholders will hold in us after the conservatorship is terminated or whether we will continue to exist following 

conservatorship. 

We are not currently permitted to pay dividends or other distributions to stockholders. Our agreements with the U.S. 

Department of the Treasury (“Treasury”) include a commitment from Treasury to provide us with funds to maintain a 

positive net worth under specified conditions; however, the U.S. government does not guarantee our securities or other 

obligations. Our agreements with Treasury also include covenants that significantly restrict our business activities. For 

additional information on the conservatorship, the uncertainty of our future, and our agreements with Treasury, see 

“Business—Conservatorship and Treasury Agreements” and “Risk Factors—GSE and Conservatorship Risk” in our Form 

10-K for the year ended December 31, 2022 (“2022 Form 10-K”).

You should read this Management’s Discussion and Analysis of Financial Condition and Results of Operations 

(“MD&A”) in conjunction with our unaudited condensed consolidated financial statements and related notes in this report 

and the more detailed information in our 2022 Form 10-K. You can find a “Glossary of Terms Used in This Report” in 

MD&A in our 2022 Form 10-K. 

Forward-looking statements in this report are based on management’s current expectations and are subject to 

significant uncertainties and changes in circumstances, as we describe in “Forward-Looking Statements.” Future events 

and our future results may differ materially from those reflected in our forward-looking statements due to a variety of 

factors, including those discussed in “Risk Factors” in our 2022 Form 10-K and elsewhere in our 2022 Form 10-K and in 

this report. 

Introduction

Fannie Mae is a leading source of financing for mortgages in the United States. Organized as a government-sponsored 

enterprise, Fannie Mae is a shareholder-owned corporation. We were chartered by Congress to provide liquidity and 

stability to the residential mortgage market and to promote access to mortgage credit. Our revenues are primarily driven 

by guaranty fees we receive for assuming the credit risk on loans underlying the mortgage-backed securities we issue. 

We do not originate mortgage loans or lend money directly to borrowers. Rather, we work primarily with lenders who 

originate mortgage loans to borrowers. We acquire and securitize those loans into mortgage-backed securities that we 

guarantee (which we refer to as Fannie Mae MBS or our MBS).

MD&A | Introduction

Fannie Mae Third Quarter 2023 Form 10-Q 1
Executive Summary

Summary of Our Financial Performance

Quarterly Condensed Consolidated Results

(Dollars in billions) 

$7.2 $7.3

$2.4

$4.7

Net revenues Net income

Q3 2022 Q3 2023

• Net revenues were relatively flat, with an increase of $67 million in the third quarter of 2023 compared with the 

third quarter of 2022.

• Net income increased $2.3 billion for the third quarter of 2023 compared with the third quarter of 2022, driven 

primarily by a $3.2 billion shift to benefit for credit losses in the third quarter of 2023 from provision for credit 

losses in the third quarter of 2022 and a $503 million increase in fair value gains. Our benefit for credit losses 

for the third quarter of 2023 was driven primarily by increases in actual and forecasted single-family home 

prices, partially offset by a provision relating to the redesignation of single-family loans from held for investment 

to held for sale. Fair value gains in the third quarter of 2023 were primarily due to increases in interest rates 

during the period. The increase in net income was partially offset by an increase in other expenses, net 

primarily due to $491 million of expense attributable to a jury verdict and an award of prejudgment interest for 

Fannie Mae preferred shareholders in two cases consolidated for trial in the U.S. District Court for the District of 

Columbia.

• Net worth increased to $73.7 billion as of September 30, 2023 from $69.0 billion as of June 30, 2023. The 

increase is attributable to $4.7 billion of comprehensive income for the third quarter of 2023.

Year-to-Date Condensed Consolidated Results

(Dollars in billions) 

$22.6 $21.3

$11.5

$13.5

Net revenues Net income

YTD 2022 YTD 2023

• Net revenues decreased $1.4 billion in the first nine months of 2023 compared with the first nine months of 

2022, primarily due to lower net amortization income, partially offset by higher income from portfolios.

MD&A | Executive Summary

Fannie Mae Third Quarter 2023 Form 10-Q 2
◦ Lower amortization income was driven by a higher interest-rate environment in the first nine months of 

2023, which significantly slowed refinancing activity, driving lower loan prepayment volumes compared 

with the first nine months of 2022.

◦ Higher income from portfolios was primarily driven by higher interest rates in the first nine months of 

2023 than in the first nine months of 2022 on assets in our other investments portfolio.

• Net income increased $2.0 billion for the first nine months of 2023 compared with the first nine months of 2022, 

driven primarily by a $4.8 billion shift to benefit for credit losses in the first nine months of 2023 from provision 

for credit losses in the first nine months of 2022 due to increases in actual and forecasted single-family home 

prices, partially offset by lower net revenues as described above.

• Net worth increased to $73.7 billion as of September 30, 2023 from $60.3 billion as of December 31, 2022. The 

increase is attributable to $13.4 billion of comprehensive income for the first nine months of 2023. 

Liquidity Provided in the First Nine Months of 2023

Through our single-family and multifamily business segments, we provided $288 billion in liquidity to the mortgage 

market in the first nine months of 2023, enabling the financing of approximately 1,154,000 home purchases, 

refinancings and rental units.

Fannie Mae Provided $288 Billion in Liquidity in the First Nine Months of 2023

Unpaid Principal Balance Units

$211B 621K

Single-Family Home Purchases

$35B 144K

Single-Family Refinancings

$42B 389K

Multifamily Rental Units

Legislation and Regulation

The information in this section updates and supplements information regarding legislative, regulatory, conservatorship 

and other developments affecting our business set forth in “Business—Conservatorship and Treasury Agreements” and 

“Business—Legislation and Regulation” in our 2022 Form 10-K, as well as in “MD&A—Legislation and Regulation” in 

our Form 10-Q for the quarter ended March 31, 2023 (“First Quarter 2023 Form 10-Q”) and in our Form 10-Q for the 

quarter ended June 30, 2023 (“Second Quarter 2023 Form 10-Q”). Also see “Risk Factors” in our 2022 Form 10-K for 

discussions of risks relating to legislative and regulatory matters.

2022 Housing Goals Performance 

In October 2023, FHFA notified us that it had determined that we met all of our single-family and multifamily housing 

goals for 2022. See “Business—Legislation and Regulation—GSE-Focused Matters—Housing Goals” in our 2022 Form 

10-K for more information regarding our 2022 housing goals.

MD&A | Executive Summary

Fannie Mae Third Quarter 2023 Form 10-Q 3
Key Market Economic Indicators

Below we discuss how varying macroeconomic conditions can influence our financial results across different business 

and economic environments. Our forecasts and expectations are based on many assumptions, subject to many 

uncertainties and may change, perhaps substantially, from our current forecasts and expectations. See “Risk Factors” in 

our 2022 Form 10-K and “Forward-Looking Statements” in this report for a discussion of factors that could cause actual 

results to differ materially from our current forecasts and expectations. For further discussion on housing activity, see 

“Single-Family Business—Single-Family Mortgage Market” and “Multifamily Business—Multifamily Mortgage Market.” 

Selected Benchmark Interest Rates

3.01%

6.70%

7.31%

1.97%

5.68%

6.36%

1.49%

3.83%

4.57%

0.05%

2.98%

5.31%

30-year FRM rate1 30-year Fannie Mae MBS par coupon rate2

10-year Treasury rate2 Secured Overnight Financing Rate (SOFR)3

09/30/21 12/31/21 03/31/22 06/30/22 09/30/22 12/31/22 03/31/23 06/30/23 9/30/2023

(1) Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®

. These rates are 

reported using the latest available data for a given period. 

(2) According to Bloomberg. 

(3) Refers to the daily rate per the Federal Reserve Bank of New York.

How Interest Rates Can Affect Our Financial Results

• Net interest income. In a rising interest-rate environment, our mortgage loans generally prepay more slowly as 

borrowers are less likely to refinance. We amortize various cost basis adjustments over the life of the mortgage 

loan, including those relating to certain upfront fees we receive at the time we acquire single-family loans. As a 

result, prepayment of a loan results in an accelerated realization of those upfront fees as income. Therefore, as 

loan prepayments slow, the accelerated realization of amortization income also slows. Conversely, in a 

declining interest-rate environment, our mortgage loans generally prepay faster as borrowers are more likely to 

refinance, typically resulting in the opposite trend of higher amortization income from cost basis adjustments on 

mortgage loans. Interest rates also affect the amount of interest income we earn on our assets. Our other 

investments portfolio and our retained mortgage portfolio typically earn more interest income in a higher 

interest-rate environment and less interest income in a lower interest-rate environment, which, depending on 

the size of these portfolios, can impact the amount of interest income we recognize during the period. See 

“Consolidated Results of Operations—Net Interest Income” for a discussion of how interest rate changes 

impacted our financial results.

• Fair value gains (losses). We have exposure to fair value gains and losses resulting from changes in interest 

rates, primarily through our mortgage commitment derivatives and risk management derivatives, which we 

mark to market through earnings. Fair value gains and losses on our mortgage commitment derivatives 

fluctuate depending on how interest rates and prices move between the time a commitment is opened and 

when it settles. The net position and composition across the yield curve of our risk management derivatives 

changes over time. As a result, interest rate changes (increases or decreases) and yield curve changes 

(parallel, steepening or flattening shifts) will generate varying amounts of fair value gains or losses in a given 

MD&A | Key Market Economic Indicators

Fannie Mae Third Quarter 2023 Form 10-Q 4
period. For more information about fair value gains (losses), including the impact of hedge accounting, see 

“Consolidated Results of Operations—Fair Value Gains, Net.”

• Benefit (provision) for credit losses. When single-family and multifamily mortgage interest rates increase, our 

expected credit losses on loans increases because (1) we generally expect fewer borrowers will refinance their 

loans, thereby extending the expected life of the loan, which increases our expectation of loss and (2) 

borrowers with adjustable-rate loans or multifamily loans with balloon balances due at maturity face increased 

costs and a reduced ability to refinance. This increase in our expectation of loss contributes to our provision for 

credit losses. Conversely, when single-family and multifamily mortgage interest rates decrease, our expectation 

of loss decreases, which reduces our provision for credit losses. For more information on benefit (provision) for 

credit losses, see “Consolidated Results of Operations—Benefit (Provision) for Credit Losses.”

Single-Family Quarterly Home Price Growth (Decline) Rate(1)

(0.6)% (1.4)%

1.2%

3.8%

1.7%

Fannie Mae national home price index

3Q22 4Q22 1Q23 2Q23 3Q23

(1) Calculated internally using property data on loans purchased by Fannie Mae, Freddie Mac and other third-party home sales data. Fannie 

Mae’s home price index is a weighted repeat-transactions index, measuring average price changes in repeat sales on the same properties. 

Fannie Mae’s home price index excludes prices on properties sold in foreclosure. Fannie Mae’s home price growth (decline) rates 

represent estimates based on non-seasonally adjusted preliminary data and are subject to change as additional data becomes available.

How Home Prices Can Affect Our Financial Results

• Actual and forecasted home prices impact our provision or benefit for credit losses as well as the growth and 

size of our guaranty book of business.

• Changes in home prices affect the amount of equity that borrowers have in their homes. Borrowers with less 

equity typically have higher delinquency and default rates, particularly in times of economic stress.

• As home prices increase, the severity of losses we incur on defaulted loans that we hold or guarantee 

decreases because the amount we can recover from the properties securing the loans increases. Declines in 

home prices may increase the losses we incur on defaulted loans.

• As home prices rise, the principal balance of loans associated with newly acquired purchase loans may 

increase, causing growth in the size of our guaranty book. Additionally, rising home prices can increase the 

amount of equity borrowers have in their home, which may lead to an increase in origination volumes for cashout refinance loans with higher principal balances than the existing loan. Replacing existing loans with newly 

acquired cash-out refinances can affect the growth and size of our guaranty book.

• Home prices on a national basis grew by an estimated 6.9% in the first nine months of 2023. We forecast 

national home price growth of 6.7% for the full year of 2023. We expect regional variation in home price 

changes.

MD&A | Key Market Economic Indicators

Fannie Mae Third Quarter 2023 Form 10-Q 5
New Housing Starts(1)

1,446 1,406 1,386 1,450 1359

901 850 834 930 961

545 556 552 520 398

(16.9)%

(5.7)% (1.9)%

11.5%

3.4%

(1.1)% 2.0% (0.7)%

(5.7)%

(23.5)%

% quarterly change in multifamily housing starts

% quarterly change in single-family housing starts

Multifamily starts (in thousands of units)

Single-family starts (in thousands)

3Q22 4Q22 1Q23 2Q23 3Q23

(1) According to the U.S. Census Bureau and subject to revision.

How Housing Activity Can Affect Our Financial Results

• Housing is among the most interest-rate sensitive sectors of the economy. In addition to interest rates, two key 

aspects of economic activity that can impact supply and demand for housing, and thus our business and 

financial results, are the rates of household formation and housing construction.

• Household formation is a key driver of demand for both single-family and multifamily housing as a newly formed 

household will either rent or purchase a home. Thus, changes in the pace of household formation can affect 

home prices, multifamily property values and credit performance as well as the degree of loss on defaulted 

loans.

• Growth of household formation stimulates homebuilding. Homebuilding has typically been a cyclical leader, 

weakening prior to a slowdown in U.S. economic activity and accelerating prior to a recovery, which contributes 

to the growth of U.S. gross domestic product (“GDP”) and employment. 

• A decline in housing starts results in fewer new homes being available for purchase and potentially a lower 

volume of mortgage originations. Construction activity can also affect credit losses through its impact on home 

prices. If the growth of demand exceeds the growth of supply, prices will appreciate and impact the risk profile 

of newly originated home purchase mortgages, depending on where in the housing cycle the market is. A 

reduced pace of construction is often associated with a broader economic slowdown and may signal expected 

increases in delinquency and losses on defaulted loans.

• We expect further declines in single-family new home construction, new home sales and existing home sales in 

the near term, given the recent rapid rise in mortgage rates.

MD&A | Key Market Economic Indicators

Fannie Mae Third Quarter 2023 Form 10-Q 6
GDP, Unemployment Rate and Personal Consumption

2.8%

4.0%

—%

2.0% 1.6% 1.2%

3.8%

0.8%

4.0% 3.3%

7.0%

(2.0)%

(0.6)%

2.7% 2.6% 2.2% 2.1%

4.9%

4.8%

3.9%

3.6% 3.6% 3.5% 3.5% 3.5% 3.6% 3.8%

Growth (decline) in U.S. personal consumption, annualized percentage change1

Growth (decline) in GDP, annualized percentage change1

U.S. unemployment rate, as of period end2

3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23

(1) Real GDP growth (decline) and personal consumption growth (decline) are based on the quarterly series calculated by the Bureau of 

Economic Analysis and are subject to revision. 

(2) According to the U.S. Bureau of Labor Statistics and subject to revision.

How GDP, the Unemployment Rate and Personal Consumption Can Affect Our 

Financial Results

• Changes in GDP, the unemployment rate and personal consumption can affect several mortgage market 

factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies, 

which impacts credit losses.

• Economic growth is a key factor for the performance of mortgage-related assets. In a growing economy, 

employment and income are typically rising, thus allowing borrowers to meet payment requirements, existing 

homeowners to consider purchasing and moving to another home, and renters to consider becoming 

homeowners. Homebuilding typically increases to meet the rise in demand. Mortgage delinquencies typically 

fall in an expanding economy, thereby decreasing credit losses.

• In a slowing economy, income growth and housing activity typically slow as an early indicator of reduced 

economic activity, followed by slowing employment. Typically, as an economic slowdown intensifies, 

households reduce their spending. This reduction in consumption then accelerates the slowdown. An economic 

slowdown can lead to employment losses, impairing the ability of borrowers and renters to meet mortgage and 

rental payments, thus causing loan delinquencies to rise. Home sales and mortgage originations also typically 

fall in a slowing economy.

• GDP increased in the first nine months of 2023. We expect that a modest recession is likely to occur beginning 

in the first half of 2024, resulting in an increase in the unemployment rate. We expect our economic outlook will 

be influenced by a number of factors that are subject to change, such as the persistence of inflationary 

pressures, changes in monetary policy and the risk of financial market disruptions.

• Stress in the banking sector, particularly for regional banks with significant exposure to commercial real estate, 

could further tighten bank credit conditions, dampen consumer and business confidence, and lead to reduced 

consumer spending, business investment, and hiring activity.

See “Market and Industry Risk” and “Credit Risk” in “Risk Factors” in our 2022 Form 10-K for further discussion of risks 

to our business and financial results associated with interest rates, home prices, housing activity, economic conditions, 

and our reliance on institutional counterparties and mortgage servicers.

MD&A | Key Market Economic Indicators

Fannie Mae Third Quarter 2023 Form 10-Q 7
Consolidated Results of Operations

This section discusses our condensed consolidated results of operations and should be read together with our 

condensed consolidated financial statements and the accompanying notes. 

Summary of Condensed Consolidated Results of Operations

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 Variance 2023 2022 Variance

(Dollars in millions)

Net interest income $ 7,220 $ 7,124 $ 96 $ 21,041 $ 22,331 $ (1,290) 

Fee and other income(1) 76 105 (29) 209 269 (60) 

Net revenues 7,296 7,229 67 21,250 22,600 (1,350) 

Investment gains (losses), net 8 (172) 180 (34) (323) 289 

Fair value gains, net 795 292 503 1,403 1,301 102 

Administrative expenses (897) (870) (27) (2,629) (2,473) (156) 

Benefit (provision) for credit losses 652 (2,536) 3,188 1,786 (2,994) 4,780 

TCCA fees(2) (860) (850) (10) (2,571) (2,515) (56) 

Credit enhancement expense(3) (390) (364) (26) (1,115) (974) (141) 

Change in expected credit enhancement recoveries(4) (128) 290 (418) (168) 303 (471) 

Other expenses, net(5) (535) (154) (381) (922) (612) (310) 

Income before federal income taxes 5,941 2,865 3,076 17,000 14,313 2,687 

Provision for federal income taxes (1,242) (429) (813) (3,535) (2,816) (719) 

Net income $ 4,699 $ 2,436 $ 2,263 $ 13,465 $ 11,497 $ 1,968 

Total comprehensive income $ 4,681 $ 2,433 $ 2,248 $ 13,448 $ 11,483 $ 1,965 

(1) Single-family fee and other income consists primarily of compensation for engaging in structured transactions and providing other lender 

services. Multifamily fee and other income consists of fees associated with certain Multifamily business activities such as credit 

enhancements for tax-exempt multifamily housing revenue bonds.

(2) TCCA fees refers to the expense recognized as a result of the 10 basis point increase in guaranty fees on all single-family residential 

mortgages delivered to us on or after April 1, 2012 pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 and as extended by 

the Infrastructure Investment and Jobs Act, which we remit to Treasury. For more information on TCCA fees, see “Note 1, Summary of 

Significant Accounting Policies—Related Parties—Transactions with Treasury” in our 2022 Form 10-K. 

(3) Consists of costs associated with our freestanding credit enhancements, which primarily include our Connecticut Avenue Securities®

(“CAS”) and Credit Insurance Risk TransferTM (“CIRTTM”) programs, enterprise-paid mortgage insurance and certain lender risk-sharing 

programs.

(4) Includes estimated changes in benefits, as well as any realized amounts, from our freestanding credit enhancements.

(5) Consists of debt extinguishment gains and losses, expenses associated with legal claims, foreclosed property income (expense), gains 

and losses from partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with 

certain loss mitigation activities.

Net Interest Income

Our primary source of net interest income is guaranty fees we receive for managing the credit risk on loans underlying 

Fannie Mae MBS held by third parties.

Guaranty fees consist of two primary components: 

• base guaranty fees that we receive over the life of the loan; and

• upfront fees that we receive at the time of loan acquisition primarily related to single-family loan-level price 

adjustments and other fees we receive from lenders, which are amortized into net interest income as cost basis 

adjustments over the contractual life of the loan. We refer to this as amortization income. 

We recognize almost all of our guaranty fee revenue in net interest income because we consolidate the substantial 

majority of loans underlying our Fannie Mae MBS in consolidated trusts in our condensed consolidated balance sheets. 

Guaranty fees from these loans account for the difference between the interest income on loans in consolidated trusts 

and the interest expense on the debt of consolidated trusts.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 8
The timing of when we recognize the upfront fees received on loan acquisitions as amortization income can vary based 

on a number of factors, the most significant of which is a change in mortgage interest rates. Although we amortize these 

upfront fees over the contractual life of the mortgage loan, when a loan prepays, the remaining upfront fees on the loan 

are recognized as income in that period. As a result, in a declining interest-rate environment, our mortgage loans 

generally prepay faster as borrowers are more likely to refinance, typically resulting in higher amortization income as it 

accelerates the realization of those upfront fees as income. Conversely, in a rising interest-rate environment, our 

mortgage loans generally prepay more slowly as borrowers are less likely to refinance, which typically results in lower 

amortization income as those upfront fees are amortized over a longer period of time.

We also recognize net interest income on the difference between interest income earned on the assets in our retained 

mortgage portfolio and our other investments portfolio (collectively, our “portfolios”) and the interest expense associated 

with the debt that funds those assets. See “Retained Mortgage Portfolio” and “Liquidity and Capital Management—

Liquidity Management—Other Investments Portfolio” for more information about our portfolios.

We recognize the effects of hedge accounting as a component of net interest income, as demonstrated in the table 

below. As of September 30, 2023, we had $3.6 billion in net cumulative fair value hedge basis adjustments, which will 

be amortized as net expenses over the remaining contractual life of the respective hedged items in the “Income 

(expense) from hedge accounting” line item in the table below. The substantial majority of these hedge basis 

adjustments relate to our funding debt. See “Fair Value Gains, Net” below and “Note 8, Derivative Instruments” in this 

report for more information about our hedge accounting program, as well as “Note 1, Summary of Significant Accounting 

Policies” in our 2022 Form 10-K.

The table below displays the components of our net interest income from our guaranty book of business, which we 

discuss in “Guaranty Book of Business,” and from our portfolios, as well as from hedge accounting. 

Components of Net Interest Income

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 Variance 2023 2022 Variance

(Dollars in millions)

Net interest income from guaranty book of 

business:

Base guaranty fee income(1) $ 4,060 $ 4,116 $ (56) $ 12,077 $ 12,091 $ (14) 

Base guaranty fee income related to TCCA(2) 860 850 10 2,571 2,515 56 

Net amortization income(3) 942 1,429 (487) 2,611 5,924 (3,313) 

Total net interest income from guaranty 

book of business 5,862 6,395 (533) 17,259 20,530 (3,271) 

Net interest income from portfolios(4) 1,596 794 802 4,554 1,747 2,807 

Income (expense) from hedge accounting (238) (65) (173) (772) 54 (826) 

Total net interest income $ 7,220 $ 7,124 $ 96 $ 21,041 $ 22,331 $ (1,290) 

Income (expense) from hedge accounting 

included in net interest income:

Fair value gains (losses) on designated risk 

management derivatives in fair value 

hedges $ 494 $ (1,020) $ 1,514 $ 341 $ (2,548) $ 2,889 

Fair value gains (losses) on hedged mortgage 

loans held for investment and debt of 

Fannie Mae(5) (368) 1,192 (1,560) 95 2,981 (2,886) 

Contractual interest income (expense) 

accruals related to interest-rate swaps 

designated as hedging instruments (155) (101) (54) (624) (64) (560) 

Discontinued hedge-related basis adjustment 

amortization (209) (136) (73) (584) (315) (269) 

Total income (expense) from hedge accounting 

in net interest income $ (238) $ (65) $ (173) $ (772) $ 54 $ (826) 

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 9
(1) Excludes revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue 

from which is remitted to Treasury and not retained by us. 

(2) Represents revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental 

revenue from which is remitted to Treasury and not retained by us. 

(3) Net amortization income refers primarily to the net amortization of premiums and discounts on mortgage loans and debt of consolidated 

trusts. These cost basis adjustments represent the difference between the initial fair value and the carrying value of these instruments as 

well as upfront fees we receive at the time of loan acquisition. It does not include the amortization of cost basis adjustments resulting from 

hedge accounting, which is included in income (expense) from hedge accounting. 

(4) Includes interest expense associated with our outstanding Connecticut Avenue Securities debt. 

(5) Amounts are recorded as cost basis adjustments on the hedged loans or debt and amortized over the hedged item’s remaining contractual 

life beginning at the termination of the hedging relationship. See “Note 8, Derivative Instruments” for additional information on the effect of 

our fair value hedge accounting program and related disclosures.

Net interest income was relatively flat in the third quarter of 2023 compared with the third quarter of 2022. The primary 

offsetting drivers of net interest income were higher income from portfolios offset by lower net amortization income. Net 

interest income decreased in the first nine months of 2023 compared with the first nine months of 2022, primarily as a 

result of lower net amortization income partially offset by higher income from portfolios. More specifically, our net 

interest income was impacted in the periods by:

• Lower net amortization income. Throughout the third quarter and first nine months of 2023, we were in a higher 

interest-rate environment and observed significantly lower volumes of refinancing activity compared with the 

third quarter and first nine months of 2022, which drove fewer loan prepayments. As a result, we had lower 

amortization income in the third quarter and first nine months of 2023 compared with the third quarter and first 

nine months of 2022. 

• Higher income from portfolios. Higher income from portfolios in the third quarter and first nine months of 2023

compared with the third quarter and first nine months of 2022 was primarily driven by higher interest rates in the 

first nine months of 2023 than in the first nine months of 2022 on securities in our other investments portfolio, 

primarily U.S. Treasuries and securities purchased under agreements to resell. This was partially offset by 

higher interest expense on funding debt, also as a result of higher interest rates. See “Liquidity and Capital 

Management—Liquidity Management—Other Investments Portfolio” for more information about our other 

investments portfolio.

As of September 28, 2023, the U.S. weekly average interest rate for a single-family 30-year fixed-rate mortgage was 

7.31%, according to Freddie Mac’s Primary Mortgage Market Survey®. As of September 30, 2023, nearly 90% of our 

single-family conventional guaranty book of business had an interest rate below 5.50%, resulting in a low likelihood 

these loans would refinance at current rates. In addition, approximately 70% of our single-family conventional guaranty 

book of business as of September 30, 2023 had an interest rate below 4.00%. Accordingly, even if interest rates decline 

meaningfully from current levels, most of the borrowers whose loans are in our single-family conventional guaranty book 

of business still would not be incentivized to refinance.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 10
Analysis of Net Interest Income

The following tables display an analysis of our net interest income, average balances and related yields earned on 

assets and incurred on liabilities. For most components of the average balances, we use a daily weighted average of 

unpaid principal balance net of unamortized cost basis adjustments. When daily average balance information is not 

available, such as for mortgage loans, we use monthly averages. 

Analysis of Net Interest Income and Yield(1)

For the Three Months Ended September 30,

2023 2022

Average 

Balance 

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

Average 

Balance

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

(Dollars in millions)

Interest-earning assets:

Mortgage loans of Fannie Mae $ 51,802 $ 615 4.75 % $ 58,290 $ 628 4.31 %

Mortgage loans of consolidated 

trusts 4,086,890 33,096 3.24 4,048,625 29,486 2.91 

Total mortgage loans(2) 4,138,692 33,711 3.26 4,106,915 30,114 2.93 

Investments in securities(3) 111,192 1,075 3.87 108,621 525 1.93 

Securities purchased under 

agreements to resell 41,570 563 5.42 30,829 171 2.22 

Advances to lenders 3,973 66 6.64 4,935 40 3.24 

Total interest-earning assets $ 4,295,427 $ 35,415 3.30 % $ 4,251,300 $ 30,850 2.90 %

Interest-bearing liabilities:

Short-term funding debt $ 15,388 $ (201) 5.22 % $ 3,695 $ (17) 1.84 %

Long-term funding debt 111,351 (942) 3.38 122,571 (635) 2.07 

CAS debt 3,702 (100) 10.80 7,221 (126) 6.98 

Total debt of Fannie Mae 130,441 (1,243) 3.81 133,487 (778) 2.33 

Debt securities of consolidated 

trusts held by third parties 4,087,136 (26,952) 2.64 4,055,958 (22,948) 2.26 

Total interest-bearing liabilities $ 4,217,577 $ (28,195) 2.67 % $ 4,189,445 $ (23,726) 2.27 %

Net interest income/net interest yield $ 7,220 0.67 % $ 7,124 0.67 %

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 11
For the Nine Months Ended September 30,

2023 2022

Average 

Balance 

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

Average 

Balance

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

(Dollars in millions)

Interest-earning assets:

Mortgage loans of Fannie Mae $ 52,179 $ 1,833 4.68 % $ 62,460 $ 2,202 4.70 %

Mortgage loans of consolidated 

trusts 4,078,981 96,670 3.16 4,004,225 84,136 2.80 

Total mortgage loans(2) 4,131,160 98,503 3.18 4,066,685 86,338 2.83 

Investments in securities(3) 114,964 3,157 3.62 134,028 1,009 0.99 

Securities purchased under 

agreements to resell 39,834 1,505 4.98 22,495 205 1.20 

Advances to lenders 3,379 160 6.24 5,800 93 2.11 

Total interest-earning assets $ 4,289,337 $ 103,325 3.21 % $ 4,229,008 $ 87,645 2.76 %

Interest-bearing liabilities:

Short-term funding debt $ 13,628 $ (503) 4.87 % $ 3,909 $ (23) 0.78 %

Long-term funding debt 116,433 (2,686) 3.08 146,165 (1,724) 1.57 

CAS debt 4,381 (332) 10.10 9,358 (373) 5.31 

Total debt of Fannie Mae 134,442 (3,521) 3.49 159,432 (2,120) 1.77 

Debt securities of consolidated 

trusts held by third parties 4,081,140 (78,763) 2.57 4,016,013 (63,194) 2.10 

Total interest-bearing liabilities $ 4,215,582 $ (82,284) 2.60 % $ 4,175,445 $ (65,314) 2.09 %

Net interest income/net interest yield $ 21,041 0.65 % $ 22,331 0.70 %

(1) Includes the effects of discounts, premiums and other cost basis adjustments. 

(2) Average balance includes mortgage loans on nonaccrual status. Interest income includes loan fee revenue of $722 million and $2.1 billion, 

respectively, for the third quarter of 2023 and first nine months of 2023, compared with $1.1 billion and $4.4 billion, respectively, for the 

third quarter of 2022 and first nine months of 2022. Loan fees primarily consist of yield maintenance revenue we recognized on the 

prepayment of multifamily mortgage loans and the amortization of upfront cash fees exchanged when we acquire the loan.

(3) Consists of cash, cash equivalents, U.S. Treasury securities and mortgage-related securities.

Deferred Amortization Income

We initially recognize mortgage loans and debt of consolidated trusts in our condensed consolidated balance sheets at 

fair value. The difference between the initial fair value and the carrying value of these instruments is recorded as a cost 

basis adjustment, either as a premium or a discount, in our condensed consolidated balance sheets. We amortize these 

cost basis adjustments over the contractual lives of the loans or debt. Although we are in a net premium position for 

both mortgage loans and debt of consolidated trusts, we have a greater amount of premiums with respect to debt of 

consolidated trusts, which represents deferred income we will recognize in our condensed consolidated statements of 

operations and comprehensive income as amortization income in future periods.

Deferred Amortization Income Represented by Net Premium Position

on Debt of Consolidated Trusts

(Dollars in billions)

$23.0 $22.4 $21.2

9/30/2022 12/31/2022 9/30/2023

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 12
Fair Value Gains, Net

The estimated fair value of our derivatives, trading securities and other financial instruments carried at fair value may 

fluctuate substantially from period to period because of changes in interest rates, the yield curve, spreads and implied 

volatility, as well as activity related to these financial instruments. 

We apply fair value hedge accounting to reduce earnings volatility in our financial statements driven by changes in 

benchmark interest rates. Accordingly, we recognize the fair value gains and losses and the contractual interest income 

and expense associated with risk management derivatives designated in qualifying hedging relationships in net interest 

income. For more information about our hedge accounting program, see “Impact of Hedge Accounting on Fair Value 

Gains (Losses), Net” below and “Note 8, Derivative Instruments” in this report, as well as “Market Risk Management, 

including Interest-Rate Risk Management” and “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 

10-K.

The table below displays the components of our fair value gains and losses.

Fair Value Gains, Net

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Risk management derivatives fair value gains (losses) attributable to:

Net contractual interest expense on interest-rate swaps $ (348) $ (164) $ (1,123) $ (166) 

Net change in fair value during the period 852 (433) 1,544 (2,135) 

Impact of hedge accounting(1) (339) 1,121 283 2,612 

Risk management derivatives fair value gains, net 165 524 704 311 

Mortgage commitment derivatives fair value gains, net 591 517 675 2,933 

Credit enhancement derivatives fair value gains (losses), net 47 (32) 61 (83) 

Total derivatives fair value gains, net 803 1,009 1,440 3,161 

Trading securities losses, net (318) (1,319) (295) (3,754) 

Long-term debt fair value gains, net 406 787 356 2,424 

Other, net(2) (96) (185) (98) (530) 

Fair value gains, net $ 795 $ 292 $ 1,403 $ 1,301 

(1) The “Impact of hedge accounting” reflected in this table shows the net gain or loss from swaps in hedging relationships plus any accrued 

interest during the applicable periods. 

(2) Consists primarily of fair value gains and losses on mortgage loans held at fair value.

Fair value gains, net in the third quarter and first nine months of 2023 were primarily driven by gains on mortgage 

commitment derivatives, risk management derivatives, and long-term debt of consolidated trusts held at fair value, 

primarily due to rising interest rates.

These gains were partially offset by the impact of declining prices of fixed-rate trading securities, primarily driven by 

rising interest rates.

Fair value gains, net in the third quarter and first nine months of 2022 were primarily driven by:

• increases in the fair value of mortgage commitment derivatives due to gains on commitments to sell mortgagerelated securities as prices decreased during the commitment period due to rising interest rates and widening 

of the secondary spread, which is the spread between the 30-year MBS current coupon yield and the 10-year 

U.S. Treasury rate; and

• gains associated with decreases in the fair value of long-term debt of consolidated trusts held at fair value, also 

due to rising interest rates and widening of the secondary spread.

These gains were partially offset by fair value losses in the third quarter and first nine months of 2022 on trading 

securities, primarily driven by increases in U.S. Treasury yields, which resulted in losses on fixed-rate securities held in 

our other investments portfolio.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 13
Impact of Hedge Accounting on Fair Value Gains (Losses), Net

Our earnings can experience volatility due to interest-rate changes and differing accounting treatments that apply to 

certain financial instruments on our balance sheet. To help address this volatility, we apply hedge accounting to reduce 

the current-period impact on our earnings related to changes in specified benchmark interest rates. Hedge accounting 

aligns the timing of when we recognize fair value changes in hedged items attributable to these benchmark interest-rate 

movements with fair value changes in the hedging instrument. 

The table below displays the amount of contractual interest accruals and fair value gains and losses related to 

designated interest-rate swaps in qualifying hedging relationships that are recognized in “Net interest income” rather 

than “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income as a 

result of hedge accounting. Derivatives not in hedging relationships are not affected. 

Impact of Hedge Accounting on Fair Value Gains (Losses), Net

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Net contractual interest expense accruals related to interest-rate swaps 

designated as hedging instruments recognized in net interest income $ (155) $ (101) $ (624) $ (64) 

Fair value gains (losses) on derivatives designated as hedging instruments 

recognized in net interest income 494 (1,020) 341 (2,548) 

Fair value gains (losses), net recognized in net interest income (expense) 

from hedge accounting $ 339 $ (1,121) $ (283) $ (2,612) 

Interest expense accruals and fair value gains in the third quarter and first nine months of 2023 were primarily affected 

by changes in the composition of financial instruments in our fair value portfolio and rising interest rates. For additional 

information on our hedge accounting program, see “Risk Management—Market Risk Management, including InterestRate Risk Management—Earnings Exposure to Interest-Rate Risk” in our 2022 Form 10-K and in this report and “Note 

8, Derivative Instruments” in this report. For additional discussion of our fair value hedge accounting policy, see “Note 1, 

Summary of Significant Accounting Policies” in our 2022 Form 10-K.

Benefit (Provision) for Credit Losses

Our benefit or provision for credit losses can vary substantially from period to period based on a number of factors, such 

as changes in actual and forecasted home prices or property valuations, fluctuations in actual and forecasted interest 

rates, borrower payment behavior, events such as natural disasters or pandemics, the types, volume and effectiveness 

of our loss mitigation activities, including forbearances and loan modifications, the volume of foreclosures completed 

and the volume and pricing of loans redesignated from held for investment (“HFI”) to held for sale (“HFS”). The benefit 

or provision for credit losses includes our benefit or provision for loan losses, accrued interest receivable losses, our 

guaranty loss reserves and credit losses on our available-for-sale (“AFS”) debt securities. 

Our benefit or provision for credit losses and our related loss reserves can also be impacted by updates to the models, 

assumptions and data used in determining our allowance for loan losses. Although we believe the estimates underlying 

our allowance as of September 30, 2023 are reasonable, they are subject to uncertainty. Changes in future economic 

conditions and loan performance from our current expectations may result in volatility in our allowance for loan losses 

and, as a result, our benefit or provision for credit losses. See “Critical Accounting Estimates” for additional information 

about how our estimate of credit losses is subject to uncertainty.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 14
The table below provides a quantitative analysis of the drivers of our single-family and multifamily benefit or provision for 

credit losses and the change in expected credit enhancement recoveries. Many of the drivers that contribute to our 

benefit or provision for credit losses overlap or are interdependent. The attribution shown below is based on internal 

allocation estimates.

Components of Benefit (Provision) for Credit Losses and Change in Expected Credit 

Enhancement Recoveries

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Single-family benefit (provision) for credit losses:

Changes in loan activity(1) $ (335) $ (373) $ (1,075) $ (964) 

Redesignation of loans from HFI to HFS (591) (116) (591) (120) 

Actual and forecasted home prices 1,901 (1,732) 4,005 (1,194) 

Actual and projected interest rates (260) (225) (284) (1,116) 

Release of economic concessions(2) 16 155 60 758 

Other(3) 5 (70) 86 (201) 

Single-family benefit (provision) for credit losses 736 (2,361) 2,201 (2,837) 

Multifamily benefit (provision) for credit losses:

Changes in loan activity(1) (103) (65) (187) (54) 

Actual and projected interest rates (242) (97) (234) (258) 

Actual and projected economic data(4) 234 (3) (69) 85 

Other(3) 27 (10) 75 70 

Multifamily benefit (provision) for credit losses (84) (175) (415) (157) 

Total benefit (provision) for credit losses(5) $ 652 $ (2,536) $ 1,786 $ (2,994) 

Change in expected credit enhancement recoveries for active 

loans:

Single-family $ (170) $ 245 $ (298) $ 271 

Multifamily 41 45 122 32 

Change in expected credit enhancement recoveries for active loans $ (129) $ 290 $ (176) $ 303 

(1) Primarily consists of loan acquisitions, liquidations and amortization of modification concessions granted to borrowers and write-offs of 

amounts determined to be uncollectible. For multifamily, “Changes in loan activity” also includes changes in the allowance due to loan 

delinquencies and the impact of changes in debt service coverage ratios (“DSCRs”) based on updated property financial information, 

which is used to assess loan credit quality.

(2) Represents the benefit from the release of economic concessions related to loans previously designated as troubled debt restructurings 

(“TDRs”) that received loss mitigation arrangements during the period.

(3) Includes provision for allowance on accrued interest receivable. For single-family, also includes any benefit or provision for our guaranty 

loss reserves that are not separately included in the other components. 

(4) Primarily consists of changes attributed to projected property net operating income, actual and projected property values, and labor market 

forecasts.

(5) For purposes of this attribution table, credit losses on AFS securities are excluded.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 15
Single-Family Benefit (Provision) for Credit Losses 

Our single-family benefit for credit losses in the third quarter and first nine months of 2023 was primarily driven by a 

benefit from actual and forecasted home price growth, partially offset by a provision relating to the redesignation of 

loans from HFI to HFS and a provision from changes in loan activity, as described below:

• Benefit from actual and forecasted home price growth. During the third quarter and first nine months of 2023, 

we observed stronger than expected actual and forecasted home price appreciation. Higher home prices 

decrease the likelihood that loans will default and reduce the amount of losses on loans that do default, which 

impacts our estimate of losses and ultimately reduces our loss reserves and provision for credit losses. See 

“Key Market Economic Indicators” for additional information about how home prices affect our credit loss 

estimates, including a discussion of home price growth and declines, and our home price forecast. Also see 

“Critical Accounting Estimates” for more information about our home price forecast.

• Provision from redesignation of loans from HFI to HFS. We redesignated certain nonperforming and 

reperforming single-family loans from HFI to HFS, as we no longer intended to hold them for the foreseeable 

future or to maturity. Upon redesignation of these loans, we recorded the loans at the lower of cost or fair value 

with a write-off against the allowance for loan losses. During the third quarter of 2023, we redesignated loans 

with an amortized cost of $3.1 billion with an associated write-off against the allowance for loan losses of $638 

million. Interest rates on the redesignated loans were below current market interest rates, and as a result, we 

recorded additional provision for credit losses to the extent that the carrying value of the loans exceeded their 

fair value at the time of redesignation. 

• Provision from changes in loan activity, which includes provision on newly acquired loans. The portion of our 

single-family acquisitions consisting of purchase loans increased in the third quarter and first nine months of 

2023 compared with the third quarter and first nine months of 2022. As our acquisitions consisted of a greater 

percentage of purchase loans, which generally have higher origination loan to value (“LTV”) ratios than 

refinance loans, the credit profile of our acquisitions weakened. This factor drove a higher estimated risk of 

default and loss severity in the allowance and therefore a higher credit loss provision for those loans at the time 

of acquisition. See “Single-Family Business—Single-Family Mortgage Credit Risk Management” for more 

information on our single-family loan acquisitions in the third quarter and first nine months of 2023.

Our single-family provision for credit losses in the third quarter of 2022 was primarily driven by a provision from actual 

and forecasted home prices. Actual home prices declined slightly on a national basis in the third quarter of 2022. In 

addition, our home price forecast worsened compared with the second quarter of 2022. While our second quarter 2022

home price forecast estimated home price growth in the second half of 2022 and in 2023, our third quarter 2022 home 

price forecast estimated additional home price declines in the fourth quarter of 2022 and throughout 2023. 

The largest drivers of our single-family provision for credit losses in the first nine months of 2022 were:

• Provision from actual and forecasted home prices. The provision from actual and forecasted home prices in the 

third quarter of 2022 discussed above was the largest driver of our single-family provision for credit losses in 

the first nine months of 2022. The impact of this home-price related provision in the third quarter of 2022 was 

partially offset by a benefit from actual and expected home price growth in each of the first and second quarters 

of 2022. During the first half of 2022, our forecasted home prices were positive for the second half of 2022

through 2023. In addition, we observed strong actual home price growth through the second quarter of 2022.

• Provision from higher actual and projected interest rates as of September 30, 2022 compared with December 

31, 2021. As mortgage rates increased, we expected a decrease in future prepayments on single-family loans, 

including modified loans accounted for as troubled debt restructurings. Lower expected prepayments extended 

the expected lives of these TDR loans, which increased the expected impairment relating to economic 

concessions provided on them, resulting in a provision for credit losses.

• Provision from changes in loan activity, which includes provision on newly acquired loans. Throughout the first 

nine months of 2022, refinance loan volumes continued to decline and purchase loans increased as a 

percentage of acquisitions compared to the first nine months of 2021. In addition, in the third quarter of 2022, 

our credit loss provision also increased as our more negative home price forecast impacted our estimate of 

losses on newly acquired loans.

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 16
Multifamily Benefit (Provision) for Credit Losses

The largest driver of our multifamily provision for credit losses in the third quarter of 2023 was a provision for actual and 

projected interest rates. Rising interest rates increase the likelihood that loans with balloon balances due at maturity will 

be unable to refinance, due to higher refinancing rates. In addition, rising interest rates increase costs for loans with 

adjustable-rates, which increases the expected impairment and the provision for credit losses on these loans.

The impact of this factor was offset by a benefit from actual and projected economic data in the third quarter of 2023. 

The benefit from actual and projected economic data was primarily driven by the impact of a change in our long-term 

economic forecast assumptions, which was partially offset by continued declines in multifamily property values.

Our multifamily provision for credit losses in the first nine months of 2023 was primarily driven by actual and projected 

interest rates as described above.

See “Multifamily Business—Multifamily Mortgage Credit Risk Management—Multifamily Portfolio Monitoring” for a 

discussion of risks within specific property types that we are monitoring, including a discussion of seniors housing loans 

and loans with adjustable-rates.

The largest driver of our multifamily provision for credit losses in the third quarter and first nine months of 2022 was a 

provision for higher actual and projected interest rates. 

Other Expenses, Net

Other expenses, net consists of debt extinguishment gains and losses, expenses associated with legal claims, 

foreclosed property income (expense), gains and losses from partnership investments, housing trust fund expenses, 

loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities. During the third 

quarter of 2023, we recognized $491 million of expense attributable to a jury verdict and an award of prejudgment 

interest for Fannie Mae preferred shareholders in two cases consolidated for trial in the U.S. District Court for the 

District of Columbia. For additional information, see “Note 13, Commitments and Contingencies—Senior Preferred 

Stock Purchase Agreements Litigation.”

MD&A | Consolidated Results of Operations

Fannie Mae Third Quarter 2023 Form 10-Q 17
Consolidated Balance Sheet Analysis

This section discusses our condensed consolidated balance sheets and should be read together with our condensed 

consolidated financial statements and the accompanying notes. 

Summary of Condensed Consolidated Balance Sheets

As of

 September 30, 

2023

December 31, 

2022 Variance

(Dollars in millions)

Assets

Cash and cash equivalents and securities purchased under agreements to 

resell $ 71,454 $ 72,552 $ (1,098) 

Restricted cash and cash equivalents 33,195 29,854 3,341 

Investments in securities, at fair value 51,872 50,825 1,047 

Mortgage loans:

Of Fannie Mae 52,339 54,085 (1,746) 

Of consolidated trusts 4,090,220 4,071,698 18,522 

Allowance for loan losses (8,671) (11,347) 2,676 

Mortgage loans, net of allowance for loan losses 4,133,888 4,114,436 19,452 

Deferred tax assets, net 11,885 12,911 (1,026) 

Other assets 27,086 24,710 2,376 

Total assets $ 4,329,380 $ 4,305,288 $ 24,092 

Liabilities and equity

Debt:

Of Fannie Mae $ 125,652 $ 134,168 $ (8,516) 

Of consolidated trusts 4,106,110 4,087,720 18,390 

Other liabilities 23,893 23,123 770 

Total liabilities 4,255,655 4,245,011 10,644 

Fannie Mae stockholders’ equity:

Senior preferred stock 120,836 120,836 — 

Other net deficit (47,111) (60,559) 13,448 

Total equity 73,725 60,277 13,448 

Total liabilities and equity $ 4,329,380 $ 4,305,288 $ 24,092 

Cash and Cash Equivalents and Securities Purchased Under Agreements to Resell

Cash and cash equivalents and securities purchased under agreements to resell decreased from December 31, 2022 to 

September 30, 2023, primarily driven by redemption of corporate debt outpacing issuances, partially offset by proceeds 

from the sale of securities and loans, and the continued accumulation of earnings retained from our operations. For 

further discussion, see “Liquidity and Capital Management—Liquidity Management.”

Mortgage Loans, Net of Allowance

The mortgage loans reported in our condensed consolidated balance sheets are classified as either HFS or HFI and 

include loans owned by Fannie Mae and loans held in consolidated trusts. 

Mortgage loans, net of allowance for loan losses modestly increased from December 31, 2022 to September 30, 2023, 

driven primarily by loan acquisitions outpacing liquidations and sales during the first nine months of 2023, as well as a 

decline in our allowance for loan losses. 

For additional information on our mortgage loans, see “Note 3, Mortgage Loans,” and for additional information on 

changes in our allowance for loan losses, see “Note 4, Allowance for Loan Losses.” 

Debt 

The decrease in debt of Fannie Mae from December 31, 2022 to September 30, 2023 was due to redemptions 

outpacing new issuances. The increase in debt of consolidated trusts from December 31, 2022 to September 30, 2023

MD&A | Consolidated Balance Sheet Analysis

Fannie Mae Third Quarter 2023 Form 10-Q 18
was primarily driven by sales of Fannie Mae MBS, which also includes sales of Fannie Mae MBS that were previously 

held in our retained mortgage portfolio. Sales of Fannie Mae MBS are accounted for as issuances of debt of 

consolidated trusts in our condensed consolidated balance sheets, since the MBS certificate ownership is transferred 

from us to a third party. See “Liquidity and Capital Management—Liquidity Management—Debt Funding” for a summary 

of activity in short-term and long-term debt of Fannie Mae. Also see “Note 7, Short-Term and Long-Term Debt” for 

additional information on our total outstanding debt.

Stockholders’ Equity

Our stockholders’ equity (also referred to as our net worth) increased to $73.7 billion as of September 30, 2023, 

compared with $60.3 billion as of December 31, 2022, due to the $13.4 billion in comprehensive income recognized 

during the first nine months of 2023.

The aggregate liquidation preference of the senior preferred stock increased to $190.5 billion as of September 30, 2023

from $185.5 billion as of June 30, 2023, due to the $5.0 billion increase in our net worth in the second quarter of 2023. 

The aggregate liquidation preference of the senior preferred stock will further increase to $195.2 billion as of December 

31, 2023 due to the $4.7 billion increase in our net worth in the third quarter of 2023. For more information about how 

this liquidation preference is determined, see “Business—Conservatorship and Treasury Agreements—Treasury 

Agreements—Senior Preferred Stock” in our 2022 Form 10-K and “Liquidity and Capital Management—Capital 

Management—Capital Activity” in this report.

Retained Mortgage Portfolio

We use our retained mortgage portfolio primarily to provide liquidity to the mortgage market through our whole loan 

conduit and to support our loss mitigation activities, particularly in times of economic stress when other sources of 

liquidity to the mortgage market may decrease or withdraw.

Our retained mortgage portfolio consists of mortgage loans and mortgage-related securities that we own, including 

Fannie Mae MBS and non-Fannie Mae mortgage-related securities. Assets held by consolidated MBS trusts that back 

mortgage-related securities owned by third parties are not included in our retained mortgage portfolio. 

The chart below separates the instruments within our retained mortgage portfolio, measured by unpaid principal 

balance, into three categories based on each instrument’s use:

• Lender liquidity, which includes balances related to our whole loan conduit activity, supports our efforts to 

provide liquidity to the single-family and multifamily mortgage markets. 

• Loss mitigation supports our loss mitigation efforts through the purchase of delinquent loans from our MBS 

trusts. 

• Other represents assets that were previously purchased for investment purposes. 

Retained Mortgage Portfolio

(Dollars in billions)

$23.7 $27.6

$38.5 $37.7

$15.5 $10.7

$77.7 $76.0

Lender liquidity Loss mitigation Other

12/31/2022 9/30/2023

MD&A | Consolidated Balance Sheet Analysis

Fannie Mae Third Quarter 2023 Form 10-Q 19
The table below displays the components of our retained mortgage portfolio, measured by unpaid principal balance. 

Based on the nature of the asset, these balances are included in either “Investments in securities, at fair value” or 

“Mortgage loans, net of allowance for loan losses” in our “Summary of Condensed Consolidated Balance Sheets” table 

above.

Retained Mortgage Portfolio

As of

September 30, 2023 December 31, 2022

(Dollars in millions)

Lender liquidity:

Agency securities(1) $ 17,931 $ 16,410 

Mortgage loans 9,658 7,329 

Total lender liquidity 27,589 23,739 

Loss mitigation mortgage loans(2) 37,656 38,458 

Other:

Reverse mortgage loans(3) 4,113 6,565 

Mortgage loans(4) 3,156 3,365 

Reverse mortgage securities(5) 2,803 4,811 

Other securities(6) 645 804 

Total other 10,717 15,545 

Total retained mortgage portfolio $ 75,962 $ 77,742 

Retained mortgage portfolio by segment:

Single-family mortgage loans and mortgage-related securities $ 69,531 $ 73,769 

Multifamily mortgage loans and mortgage-related securities $ 6,431 $ 3,973 

(1) Consists of Fannie Mae, Freddie Mac and Ginnie Mae mortgage-related securities, including Freddie Mac securities guaranteed by Fannie 

Mae. Excludes Fannie Mae and Ginnie Mae reverse mortgage securities and Fannie Mae-wrapped private-label securities.

(2) Includes single-family loans on nonaccrual status of $7.3 billion and $7.1 billion as of September 30, 2023 and December 31, 2022, 

respectively. Also includes multifamily loans on nonaccrual status of $1.6 billion and $243 million as of September 30, 2023 and December 

31, 2022, respectively. 

(3) We stopped acquiring newly originated reverse mortgage loans in 2010.

(4) Consists primarily of whole loan Real Estate Mortgage Investment Conduit securities (“REMICs”), second liens, interest-only loans and 

government loans, which are mortgage loans guaranteed or insured, in whole or in part, by the U.S. government.

(5) Consists of Fannie Mae and Ginnie Mae reverse mortgage securities.

(6) Consists of private-label and other securities, Fannie Mae-wrapped private-label securities and mortgage revenue bonds.

The amount of mortgage assets that we may own is capped at $225 billion under the terms of our senior preferred stock 

purchase agreement with Treasury. In addition, we are currently required to cap our mortgage assets at $202.5 billion 

per instructions from FHFA. See “Business—Conservatorship and Treasury Agreements” in our 2022 Form 10-K for 

additional information on our mortgage assets cap.

We include 10% of the notional value of the interest-only securities we hold in calculating the size of the retained 

portfolio for the purpose of determining compliance with the senior preferred stock purchase agreement retained 

portfolio limits and associated FHFA guidance. As of September 30, 2023, 10% of the notional value of our interest-only 

securities was $1.6 billion, which is not included in the table above.

Under the terms of our MBS trust documents, we have the option or, in some instances, the obligation, to purchase 

mortgage loans that meet specific criteria from an MBS trust. The purchase price for these loans is the unpaid principal 

balance of the loan plus accrued interest. If a delinquent loan remains in a single-family MBS trust, the servicer is 

responsible for advancing the borrower’s missed scheduled principal and interest payments to the MBS holders for up 

to four months, after which time we must make these missed payments. In addition, we must reimburse servicers for 

advanced principal and interest payments.

In support of our loss mitigation strategies, we purchased $6.9 billion of loans from our single-family MBS trusts in the 

first nine months of 2023, the substantial majority of which were delinquent, compared with $14.2 billion of loans 

purchased from single-family MBS trusts in the first nine months of 2022. The amount of loans we bought out of trusts 

decreased in the first nine months of 2023 relative to the same period in the prior year as loans exiting COVID-19-

related forbearance drove a higher number of loan modifications in 2022.

MD&A | Retained Mortgage Portfolio

Fannie Mae Third Quarter 2023 Form 10-Q 20
Guaranty Book of Business

Our “guaranty book of business” consists of: 

• Fannie Mae MBS outstanding, excluding the portions of any structured securities we issue that are backed by 

Freddie Mac securities; 

• mortgage loans of Fannie Mae held in our retained mortgage portfolio; and 

• other credit enhancements that we provide on mortgage assets. 

“Total Fannie Mae guarantees” consists of: 

• our guaranty book of business; and 

• the portions of any structured securities we issue that are backed by Freddie Mac securities. 

We and Freddie Mac issue single-family uniform mortgage-backed securities, or “UMBS.” In this report, we use the term 

“Fannie Mae-issued UMBS” to refer to single-family Fannie Mae MBS that are directly backed by fixed-rate mortgage 

loans and generally eligible for trading in the to-be-announced (“TBA”) market. We use the term “Fannie Mae MBS” or 

“our MBS” to refer to any type of mortgage-backed security that we issue, including UMBS®, Supers®, Real Estate 

Mortgage Investment Conduit securities (“REMICs”) and other types of single-family or multifamily mortgage-backed 

securities.

Some Fannie Mae MBS that we issue are backed in whole or in part by Freddie Mac securities. When we resecuritize 

Freddie Mac securities into Fannie Mae-issued structured securities, such as Supers and REMICs, our guaranty of 

principal and interest extends to the underlying Freddie Mac securities. However, Freddie Mac continues to guarantee 

the payment of principal and interest on the underlying Freddie Mac securities that we have resecuritized. See 

“Business—Mortgage Securitizations—Uniform Mortgage-Backed Securities, or UMBS—UMBS and Structured 

Securities” in our 2022 Form 10-K for information regarding the upfront fee we charge to include Freddie Mac securities 

in our structured securities. Effective April 1, 2023, the upfront fee for commingled securities decreased from 50 basis 

points to 9.375 basis points on the portion of the securities made up of Freddie Mac-issued collateral. References to our 

single-family guaranty book of business exclude Freddie Mac-acquired mortgage loans underlying Freddie Mac 

securities that we have resecuritized.

Our issuance of structured securities backed in whole or in part by Freddie Mac securities creates additional off-balance 

sheet exposure. Our guaranty extends to the underlying Freddie Mac security included in the structured security, but we 

do not have control over the Freddie Mac mortgage loan securitizations. Because we do not have the power to direct 

matters (primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed, which constitute 

control of these securitization trusts, we do not consolidate these trusts in our condensed consolidated balance sheet, 

giving rise to off-balance sheet exposure. See “Liquidity and Capital Management—Liquidity Management—Off-Balance 

Sheet Arrangements” and “Note 6, Financial Guarantees” for information regarding our maximum exposure to loss on 

unconsolidated Fannie Mae MBS and Freddie Mac securities.

The table below displays the composition of our guaranty book of business based on unpaid principal balance.

Composition of Fannie Mae Guaranty Book of Business

As of

September 30, 2023 December 31, 2022

SingleFamily Multifamily TotalSingleFamily Multifamily Total

(Dollars in millions)

Conventional guaranty book of business(1) $ 3,652,217 $ 466,227 $ 4,118,444 $ 3,646,981 $ 442,067 $ 4,089,048 

Government guaranty book of business(2) 8,688 543 9,231 12,450 572 13,022 

Guaranty book of business 3,660,905 466,770 4,127,675 3,659,431 442,639 4,102,070 

Freddie Mac securities guaranteed by Fannie Mae(3) 219,306 — 219,306 234,023 — 234,023 

Total Fannie Mae guarantees $ 3,880,211 $ 466,770 $ 4,346,981 $ 3,893,454 $ 442,639 $ 4,336,093 

(1) Refers to mortgage loans and mortgage-related securities that are not guaranteed or insured, in whole or in part, by the U.S. government.

(2) Refers to mortgage loans and mortgage-related securities guaranteed or insured, in whole or in part, by the U.S. government.

(3) Consists of off-balance sheet arrangements of approximately (i) $182.6 billion and $193.9 billion in unpaid principal balance of Freddie 

Mac-issued UMBS backing Fannie Mae-issued Supers as of September 30, 2023 and December 31, 2022, respectively; and (ii) $36.7 

billion and $40.1 billion in unpaid principal balance of Freddie Mac securities backing Fannie Mae-issued REMICs as of September 30, 

2023 and December 31, 2022, respectively. See “Liquidity and Capital Management—Liquidity Management—Off-Balance Sheet 

MD&A | Guaranty Book of Business

Fannie Mae Third Quarter 2023 Form 10-Q 21
Arrangements” for more information regarding our maximum exposure to loss on consolidated Fannie Mae MBS and Freddie Mac 

securities.

The Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the Housing 

and Economic Recovery Act of 2008 (together, the “GSE Act”) requires us to set aside each year an amount equal to 

4.2 basis points of the unpaid principal balance of our new business purchases and to pay this amount to specified U.S. 

Department of Housing and Urban Development (“HUD”) and Treasury funds in support of affordable housing. In March 

2023, we paid $287 million to the funds based on our new business purchases in 2022. For the first nine months of 

2023, we recognized an expense of $121 million related to this obligation based on $287.8 billion in new business 

purchases during the period. We expect to pay this amount to the funds in 2024, plus additional amounts to be accrued 

based on our new business purchases in the fourth quarter of 2023. See “Business—Legislation and Regulation—GSEFocused Matters—Affordable Housing Allocations” in our 2022 Form 10-K for more information regarding this obligation.

Business Segments

We have two reportable business segments: Single-Family and Multifamily. The Single-Family business operates in the 

secondary mortgage market relating to single-family mortgage loans, which are secured by properties containing four or 

fewer residential dwelling units. The Multifamily business operates in the secondary mortgage market relating primarily 

to multifamily mortgage loans, which are secured by properties containing five or more residential units.

The chart below displays net revenues and net income for each of our business segments for the first nine months of 

2023 compared with the first nine months of 2022. Net revenues consist of net interest income and fee and other 

income.

Business Segment Net Revenues and Net Income

(Dollars in billions)

$18.9 $17.8

$9.3 $11.6

Single-Family net revenues

Single-Family net income

YTD 2022 YTD 2023

$3.7 $3.5 $2.2 $1.9

Multifamily net revenues

Multifamily net income

YTD 2022 YTD 2023

In the following sections, we describe each segment’s business metrics, financial results and credit performance. 

Single-Family Business

This section supplements and updates information regarding our Single-Family business segment in our 2022 Form 10-

K. See “MD&A—Single-Family Business” in our 2022 Form 10-K for additional information regarding the primary 

business activities, lenders, investors and competition of our Single-Family business.

Single-Family Mortgage Market

Housing activity decreased in the third quarter of 2023 compared with the second quarter of 2023. Total existing home 

sales averaged 4.02 million units annualized in the third quarter of 2023, compared with 4.25 million units in the second 

quarter of 2023, according to data from the National Association of REALTORS®. According to the U.S. Census Bureau, 

new single-family home sales averaged an annualized rate of approximately 724,000 units in the third quarter of 2023, 

compared with approximately 691,000 units in the second quarter of 2023.

The 30-year fixed mortgage rate was 7.31% as of September 28, 2023, compared with 6.71% as of June 29, 2023, and 

averaged 7.04% in the third quarter of 2023, compared with 6.51% in the second quarter of 2023, according to Freddie 

Mac’s Primary Mortgage Market Survey®.

MD&A | Guaranty Book of Business

Fannie Mae Third Quarter 2023 Form 10-Q 22
Single-family mortgage market originations declined from an estimated $544 billion in the third quarter of 2022 to an 

estimated $400 billion in the third quarter of 2023. According to the October forecast from our Economic and Strategic 

Research Group, total originations in the U.S. single-family mortgage market in 2023 are forecasted to decrease from 

2022 levels by approximately 34%, from an estimated $2.37 trillion in 2022 to $1.56 trillion in 2023, and the amount of 

refinance originations in the U.S. single-family mortgage market will decrease from an estimated $730 billion in 2022 to 

$250 billion in 2023. Our Economic and Strategic Research Group’s October forecast is based on data available as of 

October 10, 2023. See “Key Market Economic Indicators” for additional discussion of how housing activity can affect our 

financial results and the uncertainties that may affect our forecasts and expectations.

Single-Family Mortgage-Related Securities Issuances Share

Our single-family Fannie Mae MBS issuances were $87.6 billion for the third quarter of 2023, compared with $125.8 

billion for the third quarter of 2022. This decrease was primarily driven by lower volumes of refinance and purchase 

lending in the third quarter of 2023 due to higher mortgage rates. Based on the latest data available, the chart below 

displays our estimated share of single-family mortgage-related securities issuances in the third quarter of 2023 as 

compared with that of our primary competitors for the issuance of single-family mortgage-related securities.

Single-Family Mortgage-Related Securities Issuances Share

Third Quarter 2023

Fannie Mae: 30%

Freddie Mac: 29%

Ginnie Mae: 37%

Private-label securities: 4%

We estimate our share of single-family mortgage-related securities issuances was 32% in the second quarter of 2023

and in the third quarter of 2022.

Presentation of Our Single-Family Conventional Guaranty Book of Business

For purposes of the information reported in this “Single-Family Business” section, we measure the single-family 

conventional guaranty book of business using the unpaid principal balance of our mortgage loans underlying Fannie 

Mae MBS outstanding. By contrast, the single-family conventional guaranty book of business presented in the 

“Composition of Fannie Mae Guaranty Book of Business” table in the “Guaranty Book of Business” section is based on 

the unpaid principal balance of the Fannie Mae MBS outstanding, rather than the unpaid principal balance of the 

underlying mortgage loans. These amounts differ primarily as a result of payments we receive on underlying loans that 

have not yet been remitted to the MBS holders or instances where we have advanced missed borrower payments on 

mortgage loans to make required distributions to related MBS holders. As measured for purposes of the information 

reported below, our single-family conventional guaranty book of business was $3,639.4 billion as of September 30, 2023

and $3,635.2 billion as of December 31, 2022.

Single-Family Business Metrics

Select Business Metrics

Net interest income for our Single-Family business is driven by the guaranty fees we charge and the size of our singlefamily conventional guaranty book of business. The guaranty fees we charge are based on the characteristics of the 

loans we acquire. We may adjust our guaranty fees in light of market conditions and to achieve return targets. As a 

result, the average charged guaranty fee on new acquisitions may fluctuate based on the credit quality and product mix 

of loans acquired, as well as market conditions and other factors. 

MD&A | Single-Family Business | Single-Family Mortgage Market

Fannie Mae Third Quarter 2023 Form 10-Q 23
The charts below display our average charged guaranty fees, net of TCCA fees, on our single-family conventional 

guaranty book of business and on new single-family conventional loan acquisitions, along with our average single-family 

conventional guaranty book of business and our single-family conventional loan acquisitions for the periods presented.

Select Single-Family Business Metrics

(Dollars in billions) 

46.3 bps 47.0 bps

52.1 bps

54.3 bps

Q3 2022 Q3 2023

$3,621.4 $3,635.9

$117.7 $89.2

Q3 2022 Q3 2023

Average charged guaranty fee on single-family 

conventional guaranty book of business, net of TCCA 

fees(1)(3)

Average single-family conventional guaranty book 

of business(2)

Average charged guaranty fee on new single-family 

conventional acquisitions, net of TCCA fees(1)(3)

Single-family conventional acquisitions

(1) Excludes the impact of a 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is 

remitted to Treasury and not retained by us.

(2) Our single-family conventional guaranty book of business primarily consists of single-family conventional mortgage loans underlying 

Fannie Mae MBS outstanding. It also includes single-family conventional mortgage loans of Fannie Mae held in our retained mortgage 

portfolio, and other credit enhancements that we provide on single-family conventional mortgage assets. Our single-family conventional 

guaranty book of business does not include: (a) mortgage loans guaranteed or insured, in whole or in part, by the U.S. government; (b) 

Freddie Mac-acquired mortgage loans underlying Freddie Mac-issued UMBS that we have resecuritized; or (c) non-Fannie Mae singlefamily mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty. Our average singlefamily conventional guaranty book of business is based on quarter-end balances.

(3) In the fourth quarter of 2022, we enhanced the method we use to estimate average loan life at acquisition. Charged fees reported in prior 

periods have been updated in this report to reflect this updated methodology.

Our single-family conventional loan acquisition volumes remained near historically low levels in the third quarter of 

2023. This was primarily driven by historically low refinance volumes due to continued higher interest rates in the third 

quarter of 2023, as few borrowers could benefit from refinancing. In addition, housing affordability constraints and 

limited supply continued to put downward pressure on the volume of purchase loans we acquired.

Average charged guaranty fee on newly acquired conventional single-family loans is a metric management uses to 

measure the price we earn as compensation for the credit risk we manage and to assess our return. Average charged 

guaranty fee represents, on an annualized basis, the average of the base guaranty fees charged during the period for 

our single-family conventional guaranty arrangements, which we receive monthly over the life of the loan, plus the 

recognition of any upfront cash payments, including loan-level price adjustments, based on an estimated average life at 

the time of acquisition. Our average charged guaranty fees on newly acquired conventional single-family loans are 

sensitive to changes in inputs used in the calculation, including assumptions about the weighted average life of the 

loans, therefore changes in these charged guaranty fees are not always a result of a change in pricing.

Our average charged guaranty fee on newly acquired conventional single-family loans, net of TCCA fees, increased in 

the third quarter of 2023 compared with the third quarter of 2022, primarily as a result of higher base guaranty fees 

charged on new acquisitions.

Recent Price Changes

In January 2023, FHFA announced changes to our single-family pricing framework by introducing redesigned and 

recalibrated upfront fee matrices for purchase, rate-term refinance, and cash-out refinance loans, in addition to a new 

upfront fee for certain borrowers with debt-to-income ratios above 40%. These price changes took effect on May 1, 

2023, with the exception of the new upfront fee for certain borrowers with debt-to-income ratios above 40%, which FHFA 

rescinded. See “MD&A—Single-Family Business—Single-Family Business Metrics” in our 2022 Form 10-K for more 

MD&A | Single-Family Business | Single-Family Business Metrics

Fannie Mae Third Quarter 2023 Form 10-Q 24
information on the recent price changes on our single-family loan acquisitions. See “MD&A—Legislation and 

Regulation” in our Second Quarter 2023 Form 10-Q for a description of potential future single-family loan price changes 

that may result from recent bills introduced in Congress and FHFA’s request for input on Fannie Mae and Freddie Mac’s 

single-family pricing framework.

Single-Family Business Financial Results

This section provides a discussion of the primary components of net income for our Single-Family business. This 

information complements the discussion of financial results in “Consolidated Results of Operations.”

Single-Family Business Financial Results(1)

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 Variance 2023 2022 Variance

(Dollars in millions)

Net interest income(2) $ 6,074 $ 5,918 $ 156 $ 17,663 $ 18,746 $ (1,083) 

Fee and other income 56 83 (27) 156 204 (48) 

Net revenues 6,130 6,001 129 17,819 18,950 (1,131) 

Investment gains (losses), net 9 (178) 187 (35) (271) 236 

Fair value gains, net 742 309 433 1,368 1,379 (11) 

Administrative expenses (745) (730) (15) (2,183) (2,084) (99) 

Benefit (provision) for credit losses 736 (2,361) 3,097 2,201 (2,837) 5,038 

TCCA fees(2) (860) (850) (10) (2,571) (2,515) (56) 

Credit enhancement expense (335) (298) (37) (949) (778) (171) 

Change in expected credit enhancement recoveries(3) (170) 245 (415) (298) 271 (569) 

Other expenses, net(4) (411) (165) (246) (730) (553) (177) 

Income before federal income taxes 5,096 1,973 3,123 14,622 11,562 3,060 

Provision for federal income taxes (1,071) (276) (795) (3,071) (2,270) (801) 

Net income $ 4,025 $ 1,697 $ 2,328 $ 11,551 $ 9,292 $ 2,259 

(1) See “Note 9, Segment Reporting” for information about our segment allocation methodology.

(2) Reflects the impact of a 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is 

remitted to Treasury. The resulting revenue is included in “Net interest income” and the expense is recognized as “TCCA fees.” 

(3) Includes estimated changes in benefits, as well as any realized amounts, from our single-family freestanding credit enhancements, which 

primarily relate to our CAS and CIRTTM programs.

(4) Consists of debt extinguishment gains and losses, expenses associated with legal claims, foreclosed property income (expense), gains 

and losses from partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with 

certain loss mitigation activities.

Net Interest Income

The slight increase in single-family net interest income in the third quarter of 2023 compared with the third quarter of 

2022 was primarily the result of higher income from portfolios partially offset by lower net amortization income. 

The decrease in single-family net interest income for the first nine months of 2023 compared with the first nine months

of 2022 was primarily as a result of lower net amortization income partially offset by higher income from portfolios. 

The drivers of net interest income for the Single-Family segment are consistent with the drivers of net interest income in 

our condensed consolidated statements of operations and comprehensive income. See “Consolidated Results of 

Operations—Net Interest Income” for more information on the factors that impact our single-family net interest income.

Fair Value Gains, Net

Fair value gains, net in the third quarter and first nine months of 2023 were primarily driven by gains on mortgage 

commitment derivatives, risk management derivatives, and long-term debt of consolidated trusts held at fair value, 

primarily due to rising interest rates. These gains were partially offset by the impact of declining prices of fixed-rate 

trading securities, primarily driven by rising interest rates.

Fair value gains, net in the third quarter and first nine months of 2022 were primarily driven by gains as a result of 

increases in the fair value of mortgage commitment derivatives and gains associated with decreases in the fair value of 

MD&A | Single-Family Business | Single-Family Business Metrics

Fannie Mae Third Quarter 2023 Form 10-Q 25
long-term debt of consolidated trusts held at fair value, which were partially offset by fair value losses on trading 

securities.

The drivers of fair value gains, net for the Single-Family segment are consistent with the drivers of fair value gains, net 

in our condensed consolidated statements of operations and comprehensive income, which we discuss in “Consolidated 

Results of Operations—Fair Value Gains, Net.”

Benefit (Provision) for Credit Losses

Our single-family benefit for credit losses in the third quarter and first nine months of 2023 was primarily driven by actual 

and forecasted home price growth, partially offset by the redesignation of loans from HFI to HFS and a provision from 

changes in loan activity. 

Our single-family provision for credit losses in the third quarter of 2022 was driven primarily by decreases in actual and 

forecasted home prices. Our single-family provision for credit losses in the first nine months of 2022 was primarily driven 

by decreases in actual and forecasted home prices in the third quarter of 2022, higher actual and projected interest 

rates, and provision relating to newly acquired loans. These factors were partially offset by the benefit from actual and 

forecasted home price growth in the first and second quarters of 2022. 

See “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for more information on the primary 

factors that contributed to our single-family benefit or provision for credit losses. 

Other Expenses, Net

During the third quarter of 2023, other expenses, net includes litigation expense attributable to a jury verdict and an 

award of prejudgment interest for Fannie Mae preferred shareholders, of which $437 million was allocated to the singlefamily business segment. For additional information, see “Note 13, Commitments and Contingencies—Senior Preferred 

Stock Purchase Agreements Litigation.”

Single-Family Mortgage Credit Risk Management

This section updates our discussion of single-family mortgage credit risk management in our 2022 Form 10-K. For 

additional information on our acquisition and servicing policies, underwriting and servicing standards, quality control 

process, repurchase requests, and representation and warranty framework, see “MD&A—Single-Family Business—

Single-Family Mortgage Credit Risk Management” in our 2022 Form 10-K.

Single-Family Portfolio Diversification and Monitoring

The following table displays our single-family conventional business volumes and our single-family conventional 

guaranty book of business, based on certain key risk characteristics that we use to evaluate the risk profile and credit 

quality of our single-family loans. 

We provide additional information on the credit characteristics of our single-family loans in quarterly financial 

supplements, which we furnish to the Securities and Exchange Commission (the “SEC”) with current reports on Form 8-

K and make available on our website.

MD&A | Single-Family Business | Single-Family Business Financial Results

Fannie Mae Third Quarter 2023 Form 10-Q 26
Key Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book 

of Business(1)

Percent of Single-Family Conventional 

Business Volume at Acquisition(2)

Percent of Single-Family Conventional

Guaranty Book of Business(3)

As of

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022 September 30, 2023 December 31, 2022

Original loan-to-value (“LTV”) 

ratio:(4)

<= 60% 16 % 17 % 16 % 23 % 25 % 26 %

60.01% to 70% 10 11 10 14 15 15 

70.01% to 80% 34 34 33 33 33 33 

80.01% to 90% 16 14 16 11 11 10 

90.01% to 95% 17 18 19 14 11 11 

95.01% to 100% 7 6 6 5 4 4 

Greater than 100% — — — — 1 1 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Weighted average 78 % 78 % 78 % 74 % 73 % 72 %

Average loan amount $ 331,073 $ 306,126 $ 321,385 $ 301,161 $ 207,661 $ 206,049 

Loan count (in thousands) 269 384 765 1,758 17,525 17,643 

Estimated mark-to-market LTV 

ratio:(5)

<= 60% 68 % 66 %

60.01% to 70% 14 16 

70.01% to 80% 10 10 

80.01% to 90% 5 5 

90.01% to 100% 3 3 

Greater than 100% * *

Total 100 % 100 %

Weighted average 51 % 52 %

FICO credit score at 

origination:(6)

< 620 *% *% * % * % * % 1 %

620 to < 660 2 4 3 4 4 4 

660 to < 680 3 4 3 4 4 4 

680 to < 700 5 8 5 8 6 6 

700 to < 740 19 23 20 22 20 19 

>= 740 71 61 69 62 66 66 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Weighted average 757 746 755 747 753 752 

Debt-to-income (“DTI”) ratio at 

origination:(7)

<= 43% 65 % 65 % 65 % 69 % 75 % 75 %

43.01% to 45% 10 10 10 10 9 9 

Greater than 45% 25 25 25 21 16 16 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Weighted average 38 % 38 % 38 % 37 % 35 % 35 %

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 27
Percent of Single-Family Conventional 

Business Volume at Acquisition(2)

Percent of Single-Family Conventional

Guaranty Book of Business(3)

As of

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022 September 30, 2023 December 31, 2022

Product type:

Fixed-rate:(8)

Long-term 97 % 93 % 96 % 89 % 87 % 86 %

Intermediate-term 2 5 3 10 12 13 

Total fixed-rate 99 98 99 99 99 99 

Adjustable-rate 1 2 1 1 1 1 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Number of property units:

1 unit 98 % 98 % 98 % 98 % 98 % 98 %

2-4 units 2 2 2 2 2 2 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Property type:

Single-family homes 91 % 91 % 91 % 91 % 91 % 91 %

Condo/Co-op 9 9 9 9 9 9 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Occupancy type: 

Primary residence 93 % 91 % 92 % 91 % 91 % 91 %

Second/vacation home 2 2 2 3 3 3 

Investor 5 7 6 6 6 6 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Loan purpose:

Purchase 88 % 79 % 86 % 58 % 43 % 40 %

Cash-out refinance 8 17 10 27 21 22 

Other refinance 4 4 4 15 36 38 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Geographic concentration:(9)

Midwest 15 % 14 % 14 % 12 % 14 % 14 %

Northeast 14 13 13 13 16 16 

Southeast 27 27 28 26 23 23 

Southwest 23 24 24 23 19 19 

West 21 22 21 26 28 28 

Total 100 % 100 % 100 % 100 % 100 % 100 %

Origination year:

2017 and prior 20 % 22 %

2018 2 2 

2019 4 5 

2020 24 25 

2021 30 32 

2022 14 14 

2023 6 — 

Total 100 % 100 %

* Represents less than 0.5% of single-family conventional business volume or guaranty book of business.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 28
(1) Second-lien mortgage loans held by third parties are not reflected in the original LTV or the estimated mark-to-market LTV ratios in this 

table. 

(2) Calculated based on the unpaid principal balance of single-family loans for each category at time of acquisition.

(3) Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid 

principal balance of loans in our single-family conventional guaranty book of business as of the end of each period.

(4) The original LTV ratio generally is based on the original unpaid principal balance of the loan divided by the appraised property value 

reported to us at the time of acquisition of the loan. Excludes loans for which this information is not readily available.

(5) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported 

period divided by the estimated current value of the property, which we calculate using an internal valuation model that estimates periodic 

changes in home value. Excludes loans for which this information is not readily available.

(6) Loans with unavailable FICO credit scores represent less than 0.5% of single-family conventional business volume or guaranty book of 

business, and therefore are not presented separately in this table.

(7) Excludes loans for which this information is not readily available.

(8) Long-term fixed-rate consists of mortgage loans with maturities greater than 15 years, while intermediate-term fixed-rate loans have 

maturities equal to or less than 15 years. 

(9) Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD and WI. Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT and 

VI. Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA and WV. Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, 

TX and UT. West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.

Characteristics of our New Single-Family Loan Acquisitions

Refinancing activity was lower in the third quarter of 2023 compared with the third quarter of 2022 as the sharp rise in 

interest rates over the last year resulted in fewer borrowers who could benefit from refinancing. Accordingly, the share of 

our single-family loan acquisitions consisting of refinance loans (versus home purchase loans) decreased to 12% in the 

third quarter of 2023 compared with 21% in the third quarter of 2022. Typically, home purchase loans have higher LTV 

ratios than refinance loans. This trend contributed to an increase in the percentage of our single-family loan acquisitions 

with LTV ratios over 80%, from 38% in the third quarter of 2022 to 40% in the third quarter of 2023.

For a discussion of factors that may impact the volume and credit characteristics of loans we acquire in the future, see 

“MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family Portfolio 

Diversification and Monitoring” in our 2022 Form 10-K. In this section of our 2022 Form 10-K, we also provide more 

information on the credit characteristics of loans in our single-family conventional guaranty book of business, including 

high-balance loans and adjustable-rate mortgages.

Single-Family Credit Enhancement and Transfer of Mortgage Credit Risk

Our charter generally requires credit enhancement on any single-family conventional mortgage loan that we purchase or 

securitize if it has an LTV ratio over 80% at the time of purchase. We generally achieve this through primary mortgage 

insurance. We also enter into various other types of transactions in which we transfer mortgage credit risk to third 

parties.

Our approved monoline mortgage insurers’ financial ability and willingness to pay claims is an important determinant of 

our overall credit risk exposure. For a discussion of our exposure to and management of the counterparty credit risk 

associated with the providers of these credit enhancements, see “MD&A—Risk Management—Institutional 

Counterparty Credit Risk Management” and “Note 13, Concentrations of Credit Risk” in our 2022 Form 10-K and “Note 

10, Concentrations of Credit Risk” in this report. Also see “Risk Factors—Credit Risk” in our 2022 Form 10-K.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 29
The table below displays information about loans in our single-family conventional guaranty book of business covered 

by one or more forms of credit enhancement, including mortgage insurance or a credit risk transfer transaction. For a 

description of primary mortgage insurance and the other types of credit enhancements specified in the table, see 

“MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family Credit 

Enhancement and Transfer of Mortgage Credit Risk” in our 2022 Form 10-K. 

Single-Family Loans with Credit Enhancement

As of

September 30, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in billions)

Primary mortgage insurance and other $ 763 21 % $ 754 21 %

Connecticut Avenue Securities 819 23 726 20 

Credit Insurance Risk Transfer 397 11 323 9 

Lender risk-sharing 53 1 57 2 

Less: Loans covered by multiple credit enhancements (390) (11) (351) (10) 

Total single-family loans with credit enhancement $ 1,642 45 % $ 1,509 42 %

Transfer of Mortgage Credit Risk

In addition to primary mortgage insurance, our Single-Family business has developed other risk-sharing capabilities to 

transfer portions of our single-family mortgage credit risk to the private market. Our credit risk transfer transactions are 

designed to transfer a portion of the losses we expect would be incurred in an economic downturn or a stressed credit 

environment. Generally, loss reimbursement payments are received after the underlying property has been liquidated 

and all applicable proceeds, including private mortgage insurance benefits, have been applied to reduce the loss. As 

described in “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family 

Credit Enhancement and Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022 Form 10-K, 

we have used primarily three single-family credit risk transfer programs: Connecticut Avenue Securities® (“CAS”), Credit 

Insurance Risk TransferTM (“CIRTTM”), and lender risk-sharing. 

In the first nine months of 2023, we transferred a portion of the mortgage credit risk on single-family mortgage loans 

with an unpaid principal balance of $251.8 billion at the time of the transactions. Macroeconomic and housing market 

sentiment continues to be a factor in investor demand for our credit risk transfer transactions. When engaging in these 

transactions, we consider their cost, the resulting capital relief, and the overall credit risk transfer capacity of the market. 

For our credit risk transfer transactions executed during the first nine months of 2023, a weaker credit profile of the 

reference pools, the current higher interest rate environment, and investor expectations regarding a slowdown in home 

price appreciation have generally resulted in either increased premium costs or the retention by Fannie Mae of a higher 

first loss position compared with similar transactions in the first nine months of 2022.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 30
The following table displays the aggregate mortgage credit risk transferred to third parties and retained by Fannie Mae 

pursuant to our single-family credit risk transfer transactions. The table does not include the credit risk transferred on 

single-family transactions that were cancelled or terminated as of September 30, 2023. The following table also 

excludes coverage obtained through primary mortgage insurance. 

Outstanding as of September 30, 2023

(Dollars in billions)

Senior Fannie Mae(1)

$1,216

Outstanding 

Reference 

Pool(4)(6)

$1,279

Mezzanine Fannie Mae(1)

$5

CIRT(2)(3)

$14

CAS(2)

$12

Lender RiskSharing(2)

$4

First Loss Fannie Mae(1)

$16

CAS(2)(5)

$10

Lender RiskSharing(2)

$2

(1) Credit risk retained by Fannie Mae in CAS, CIRT and lender risk-sharing transactions. Tranche sizes vary across programs.

(2) Credit risk transferred to third parties. Tranche sizes vary across programs.

(3) Includes mortgage pool insurance transactions covering loans with an aggregate unpaid principal balance of $253 million outstanding as of 

September 30, 2023. 

(4) For CIRT and some lender risk-sharing transactions, “Reference Pool” reflects a pool of covered loans. 

(5) For CAS transactions, “First Loss” represents all B tranche balances.

(6) For CAS and some lender risk-sharing transactions, represents outstanding reference pools, not the outstanding unpaid principal balance 

of the underlying loans. The outstanding unpaid principal balance for all loans covered by credit risk transfer programs, including all loans 

on which risk has been transferred in lender risk-sharing transactions, was $1,269 billion as of September 30, 2023.

The risk in force of these transactions, which refers to the maximum amount of losses that could be absorbed by credit 

risk transfer investors, was approximately $42 billion as of September 30, 2023, compared with approximately 

$38 billion as of December 31, 2022.

The table below displays information about the credit enhancement recovery receivables we have recognized within 

“Other assets” in our condensed consolidated balance sheets. The decrease in our single-family freestanding credit 

enhancement receivables as of September 30, 2023 compared with December 31, 2022, was primarily the result of a 

decrease in our estimate of credit losses in the first nine months of 2023. In general, as our estimate of credit losses 

decreases, so does the benefit we expect to receive from our freestanding credit enhancements.

Single-Family Credit Enhancement Receivables

As of

September 30, 2023 December 31, 2022

(Dollars in millions)

Freestanding credit enhancement receivables $ 265 $ 565 

Primary mortgage insurance receivables, net of allowance(1) 49 53 

(1) Amount is net of a valuation allowance of $394 million and $462 million as of September 30, 2023 and December 31, 2022, respectively. 

The vast majority of this valuation allowance related to deferred payment obligations associated with unpaid claim amounts for which 

collectability is uncertain.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 31
The table below displays the approximate cash paid or transferred to investors for credit risk transfer transactions. The 

cash represents the portion of the guaranty fee paid to investors as compensation for taking on a share of the credit 

risk.

Credit Risk Transfer Transactions

For the Nine Months Ended September 30,

2023 2022

(Dollars in millions)

Cash paid or transferred for: 

CAS transactions(1) $ 678 $ 649 

CIRT transactions 306 240 

Lender risk-sharing transactions 101 107 

(1) Consists of cash paid for interest expense net of LIBOR or SOFR, as applicable, on outstanding CAS debt and amounts paid for both CAS 

REMIC® and CAS Credit-linked notes (“CLN”) transactions. 

Cash paid or transferred to investors for CIRT transactions includes cancellation fees paid on certain CIRT transactions 

where we determined that the cost of these deals exceeded the expected remaining benefit. The table excludes cash 

paid upon the repurchase of legacy CAS debt. In the first nine months of 2023, we paid $1.3 billion to repurchase a 

portion of our outstanding CAS debt.

The table below displays the primary characteristics of loans in our single-family conventional guaranty book of 

business without credit enhancement as of the specified dates.

Single-Family Loans Currently without Credit Enhancement

As of

September 30, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in billions)

Low LTV ratio or short-term(1) $ 1,124 31 % $ 1,171 32 %

Pre-credit risk transfer program inception(2) 240 6 265 7 

Recently acquired(3) 180 5 403 11 

Other(4) 725 20 669 18 

Less: Loans in multiple categories (272) (7) (382) (10) 

Total single-family loans currently without credit enhancement $ 1,997 55 % $ 2,126 58 %

(1) Represents loans with an LTV ratio less than or equal to 60% or loans with an original maturity of 20 years or less.

(2) Represents loans that were acquired before the inception of our credit risk transfer programs. Also includes Refi PlusTM loans.

(3) Represents loans that were recently acquired and have not been included in a reference pool.

(4) Includes adjustable-rate mortgage loans, loans with a combined LTV ratio greater than 97%, non-Refi Plus loans acquired after the 

inception of our credit risk transfer programs that became 30 or more days delinquent prior to inclusion in a credit risk transfer transaction, 

and loans that were delinquent as of September 30, 2023 or December 31, 2022, as applicable. Also includes loans that were previously 

included in a credit risk transfer transaction but subsequently had the coverage canceled.

Single-Family Problem Loan Management

Our problem loan management strategies focus primarily on reducing defaults to avoid losses that would otherwise 

occur and pursuing foreclosure alternatives to mitigate the severity of the losses we incur. See “MD&A—Single-Family 

Business—Single-Family Mortgage Credit Risk Management—Single-Family Problem Loan Management” in our 2022

Form 10-K for a discussion of delinquency statistics on our problem loans, efforts undertaken to manage our problem 

loans, metrics regarding our loan workout activities, real estate owned (“REO”) management and other single-family 

credit-related information. The discussion below updates some of that information. We also provide ongoing credit 

performance information on loans underlying single-family Fannie Mae MBS and loans covered by single-family credit 

risk transfer transactions. For loans backing Fannie Mae MBS, see the “Forbearance and Delinquency Dashboard” 

available in the MBS section of our Data Dynamics® tool, which is available at www.fanniemae.com/datadynamics. For 

loans covered by credit risk transfer transactions, see the “Deal Performance Data” report available in the CAS and 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 32
CIRT sections of the tool. Information on our website is not incorporated into this report. Information in Data Dynamics 

may differ from similar measures presented in our financial statements and other public disclosures for a variety of 

reasons, including as a result of variations in the loan population covered, timing differences in reporting and other 

factors.

Delinquency 

The tables below display the delinquency status of loans and changes in the volume of seriously delinquent loans in our 

single-family conventional guaranty book of business based on the number of loans. Single-family seriously delinquent 

loans are loans that are 90 days or more past due or in the foreclosure process. Our single-family serious delinquency 

rate is expressed as a percentage of our single-family conventional guaranty book of business based on loan count. 

Management monitors the single-family serious delinquency rate as an indicator of potential future credit losses and 

loss mitigation activities. Serious delinquency rates are reflective of our performance in assessing and managing credit 

risk associated with single-family loans in our guaranty book of business. Typically, higher serious delinquency rates 

result in a higher allowance for loan losses. 

Delinquency Status and Activity of Single-Family Conventional Loans

As of

September 30, 2023 December 31, 2022 September 30, 2022

Delinquency status:

30 to 59 days delinquent 0.95 % 0.96 % 0.80 %

60 to 89 days delinquent 0.23 0.23 0.20 

Seriously delinquent (“SDQ”): 0.54 0.65 0.69 

Percentage of SDQ loans that have been delinquent 

for more than 180 days 51 55 63 

Percentage of SDQ loans that have been delinquent 

for more than two years 13 16 19 

For the Nine Months Ended September 30,

2023 2022

Single-family SDQ loans (number of loans):

Beginning balance 114,960 218,329 

Additions 122,594 125,519 

Removals:

Modifications and other loan workouts (60,507) (137,074) 

Liquidations and sales (22,707) (33,975) 

Cured or less than 90 days delinquent (60,234) (51,158) 

Total removals (143,448) (222,207) 

Ending balance 94,106 121,641 

Our single-family serious delinquency rate as of September 30, 2023 remained near historically low levels. Given our 

expectation of an economic recession, higher unemployment rates and home price declines, the credit performance of 

loans in our single-family guaranty book of business may decline compared with recent performance, which could lead 

to higher delinquencies or an increase in our single-family serious delinquency rate following the onset of the recession.

For additional information about factors that impact our single-family serious delinquency rate, see “MD&A—SingleFamily Business—Single-Family Mortgage Credit Risk Management—Single-Family Problem Loan Management” in our 

2022 Form 10-K. Also see “Key Market Economic Indicators” for more information about our economic outlook. 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 33
The table below displays the serious delinquency rates for, and the percentage of our seriously delinquent single-family 

conventional loans represented by, the specified loan categories. Percentage of book amounts represent the unpaid 

principal balance of loans for each category divided by the unpaid principal balance of our total single-family 

conventional guaranty book of business. The reported categories are not mutually exclusive.

Single-Family Conventional Seriously Delinquent Loan Concentration Analysis

As of

September 30, 2023 December 31, 2022 September 30, 2022

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

States:

California 19 % 10 % 0.41 % 19 % 9 % 0.46 % 19 % 9 % 0.48 %

Florida 6 8 0.69 6 9 0.90 6 7 0.77 

Illinois 3 5 0.69 3 5 0.86 3 6 0.95 

New Jersey 3 4 0.66 3 4 0.85 3 4 0.98 

New York 5 7 0.95 5 7 1.12 5 8 1.28 

All other states 64 66 0.51 64 66 0.62 64 66 0.66 

Vintages:

2008 and prior 2 20 2.18 2 23 2.78 2 25 3.23 

2009-2023 98 80 0.45 98 77 0.53 98 75 0.55 

Estimated mark-tomarket LTV ratio:

<= 60% 68 71 0.49 66 74 0.63 69 79 0.69 

60.01% to 70% 14 14 0.73 16 14 0.77 15 12 0.75 

70.01% to 80% 10 9 0.71 10 8 0.69 10 6 0.62 

80.01% to 90% 5 5 0.73 5 3 0.68 4 2 0.54 

90.01% to 100% 3 1 0.52 3 1 0.40 2 1 0.34 

Greater than 100% * * 3.99 * * 4.04 * * 7.42 

Credit enhanced:(2)

Primary MI & other(3) 21 32 1.03 21 31 1.19 20 30 1.21 

Credit risk transfer(4) 35 29 0.51 31 28 0.66 31 27 0.68 

Non-credit enhanced 55 53 0.46 58 54 0.55 59 55 0.60 

* Represents less than 0.5% of single-family conventional guaranty book of business.

(1) Calculated based on the number of single-family loans that were seriously delinquent for each category divided by the total number of 

single-family conventional loans that were seriously delinquent.

(2) The credit-enhanced categories are not mutually exclusive. A loan with primary mortgage insurance that is also covered by a credit risk 

transfer transaction will be included in both the “Primary MI & other” category and the “Credit risk transfer” category. As a result, the “Credit 

enhanced” and “Non-credit enhanced” categories do not sum to 100%. The total percentage of our single-family conventional guaranty 

book of business with some form of credit enhancement as of September 30, 2023 was 45%. 

(3) Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, collateral, letters of credit, 

corporate guarantees, or other agreements to provide an entity with some assurance that it will be compensated to some degree in the 

event of a financial loss. Excludes loans covered by credit risk transfer transactions unless such loans are also covered by primary 

mortgage insurance.

(4) Refers to loans included in reference pools for credit risk transfer transactions, including loans in these transactions that are also covered 

by primary mortgage insurance. For CAS and some lender risk-sharing transactions, this represents the outstanding unpaid principal 

balance of the underlying loans on the single-family mortgage credit book, not the outstanding reference pool, as of the specified date. 

Loans included in our credit risk transfer transactions have all been acquired since 2009.

Forbearance Plans and Loan Workouts

As a part of our credit risk management efforts, we offer several types of loss mitigation options to help homeowners 

stay in their home or to otherwise avoid foreclosure. Loss mitigation options can consist of a forbearance plan or a loan 

workout. Our loan workouts reflect additional types of home retention solutions that help reinstate loans to current 

status, including repayment plans, payment deferrals, and loan modifications. Our loan workouts also include 

foreclosure alternatives, such as short sales and deeds in-lieu of foreclosure.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 34
As of September 30, 2023, the unpaid principal balance of single-family loans in forbearance was $7.8 billion, or 0.2%

of our single-family conventional guaranty book of business, compared with $11.9 billion, or 0.3% of our single-family 

conventional guaranty book of business, as of December 31, 2022. 

The chart below displays the unpaid principal balance of our completed single-family loan workouts by type, as well as 

the number of loan workouts, for the first nine months of 2022 compared with the first nine months of 2023. This table 

does not include loans in an active forbearance arrangement, trial modifications, loans to certain borrowers who have 

received bankruptcy relief and repayment plans that have been initiated but not completed.

Completed Loan Workout Activity

(Dollars in billions) 

$14.5

$5.7

$16.0

$8.6

$30.8

$14.7

146.0

66.4

Modifications1 Other2 Payment deferrals Number of loan workouts (in thousands)

YTD 2022 YTD 2023

(1) There were approximately 15,700 loans and 18,200 loans in a trial modification period that was not yet complete as of September 30, 2023

and 2022, respectively. 

(2) Other was $373 million and $251 million for the first nine months of 2023 and the first nine months of 2022, respectively. Other includes 

repayment plans and foreclosure alternatives. Repayment plans reflect only those plans associated with loans that were 60 days or more 

delinquent.

The overall decline in loan workout activity was driven by fewer outstanding forbearance plans in the first nine months of 

2023 compared with the first nine months of 2022. Forbearance plans often result in a loan workout in order to resolve 

the loan’s delinquency.

Updated Payment Deferral Workout Option 

In March 2023, we announced an update to our standard payment deferral workout option to allow borrowers who have 

resolved their financial hardship to defer two to six months of past-due mortgage payments as a non-interest bearing 

balance that is due at maturity of the mortgage loan or earlier upon sale or transfer of the property or payoff of the 

interest-bearing balance. Our previous payment deferral workout option generally allowed borrowers to defer up to two 

months of past-due payments. This update does not impact disaster payment deferrals or COVID-19 payment deferrals, 

which allow for up to 12 or 18 months of past-due payments, respectively, to be deferred. Servicers were required to 

implement the updated payment deferral requirements by October 1, 2023.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 35
REO Management

If a loan defaults, we may acquire the property through foreclosure or a deed-in-lieu of foreclosure. The table below 

displays our REO activity by region. Regional REO acquisition trends generally follow a pattern that is similar to, but 

lags, that of regional delinquency trends.

Single-Family REO Properties

For the Nine Months Ended September 30,

2023 2022

Single-family REO properties (number of properties):

Beginning of period inventory of single-family REO properties(1) 8,779 7,166 

Acquisitions by geographic area:(2)

Midwest 959 1,241 

Northeast 673 821 

Southeast 771 842 

Southwest 581 570 

West 256 220 

Total REO acquisitions(1) 3,240 3,694 

Dispositions of REO (3,438) (2,507) 

End of period inventory of single-family REO properties(1) 8,581 8,353 

Carrying value of single-family REO properties (dollars in millions) $ 1,378 $ 1,222 

Single-family foreclosure rate(3) 0.02 % 0.03 %

REO net sales price to unpaid principal balance(4) 127 % 112 %

Short sales net sales price to unpaid principal balance(5) 92 % 90 %

(1) Includes held-for-use properties, which are reported in our condensed consolidated balance sheets as a component of “Other assets.” 

(2) See footnote 9 to the “Key Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business” table for 

states included in each geographic region.

(3) Estimated based on the annualized total number of properties acquired through foreclosure or deeds-in-lieu of foreclosure as a percentage 

of the total number of loans in our single-family conventional guaranty book of business as of the end of each period.

(4) Calculated as the amount of sale proceeds received on disposition of REO properties during the respective periods, excluding those 

subject to repurchase requests made to our sellers or servicers, divided by the aggregate unpaid principal balance of the related loans at 

the time of foreclosure. Net sales price represents the contract sales price less selling costs for the property and other charges paid by the 

seller at closing, and excludes the costs associated with any property repairs or improvements.

(5) Calculated as the amount of sale proceeds received on properties sold in short sale transactions during the respective periods divided by 

the aggregate unpaid principal balance of the related loans. Net sales price includes borrower relocation incentive payments and 

subordinate lien(s) negotiated payoffs. 

Single-Family Credit Loss Performance Metrics and Loan Sale Performance

The single-family credit loss performance metrics and loan sale performance measures below present information about 

losses or gains we realized on our single-family loans during the periods presented. For the purposes of our singlefamily credit loss performance metrics, credit losses or gains represents write-offs net of recoveries and foreclosed 

property income or expense. The amount of these losses or gains in a given period is driven by foreclosures, preforeclosure sales, post-foreclosure REO activity, mortgage loan redesignations, and other events that trigger write-offs 

and recoveries. The single-family credit loss metrics we present are not defined terms and may not be calculated in the 

same manner as similarly titled measures reported by other companies. Management uses these measures to evaluate 

the effectiveness of our single-family credit risk management strategies in conjunction with leading indicators such as 

serious delinquency and forbearance rates, which are potential indicators of future realized single-family credit losses. 

We believe these measures provide useful information about our single-family credit performance and the factors that 

impact it.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 36
The table below displays the components of our single-family credit loss performance metrics. Because sales of 

nonperforming and reperforming loans have been a part of our credit loss mitigation strategy in recent periods, we also 

provide information in the table below on our loan sale performance through the “Gains (losses) on sales and other 

valuation adjustments” line item. 

Single-Family Credit Loss Performance Metrics and Loan Sale Performance 

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Write-offs $ (63) $ (95) $ (162) $ (151) 

Recoveries 50 68 157 192 

Foreclosed property income (expense) 120 (6) 87 3 

Credit gains (losses) 107 (33) 82 44 

Write-offs on the redesignation of mortgage loans from HFI to 

HFS(1) (638) (196) (638) (418) 

Net credit gains (losses) and write-offs on redesignations (531) (229) (556) (374) 

Gains (losses) on sales and other valuation adjustments(2) 8 (169) (41) (260) 

Net credit gains (losses), write-offs on redesignations and gains 

(losses) on sales and other valuation adjustments $ (523) $ (398) $ (597) $ (634) 

Credit gain (loss) ratio (in bps)(3) 1.2 (0.4) 0.3 0.2 

Net credit gains (losses), write-offs on redesignations and gains 

(losses) on sales and other valuation adjustments ratio (in bps)(4) (5.8) (4.4) (2.2) (2.4) 

(1) Consists of the lower of cost or fair value adjustment at time of redesignation.

(2) Consists of gains or losses realized on the sales of nonperforming and reperforming mortgage loans during the period and temporary 

lower-of-cost-or-market adjustments on HFS loans, which are recognized in “Investment gains (losses), net” in our condensed 

consolidated statements of operations and comprehensive income.

(3) Calculated based on the annualized amount of “Credit gains (losses)” divided by the average single-family conventional guaranty book of 

business during the period.

(4) Calculated based on the annualized amount of “Net credit gains (losses), write-offs on redesignations and gains (losses) on sales and 

other valuation adjustments” divided by the average single-family conventional guaranty book of business during the period.

In February 2023, FHFA instructed us to put sales of nonperforming and reperforming loans on hold until further notice. 

In June 2023, FHFA instructed us that we may resume these loan sales upon implementation of revised loan sale 

requirements that enhance or expand upon certain consumer protections that existed in our prior requirements. We 

resumed activity under our loan sales program in the third quarter of this year.

The primary driver of our net credit gains (losses), write-offs on redesignations and gains (losses) on sales and other 

valuation adjustments in the third quarter and first nine months of 2023 was the resumption of our nonperforming and 

reperforming loan sales program described above, which resulted in an increase in write-offs on the redesignation of 

mortgage loans from HFI to HFS during the periods. Interest rates on loans redesignated in the third quarter of 2023 

were below current market interest rates resulting in write-offs upon the redesignation.

For information on our benefit (provision) for credit losses, which includes changes in our allowance, see “Consolidated 

Results of Operations—Benefit (Provision) for Credit Losses” and “Single-Family Business Financial Results.”

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 37
Multifamily Business

This section supplements and updates information regarding our Multifamily business segment in our 2022 Form 10-K. 

See “MD&A—Multifamily Business” in our 2022 Form 10-K for additional information regarding the primary business 

activities, lenders, competition and market share of our Multifamily business.

Multifamily Mortgage Market

Multifamily market fundamentals, which include factors such as vacancy rates and rents, improved during the third 

quarter of 2023, due to slowing but still-positive job growth, elevated single-family housing prices keeping many renters 

in place and a continued large demographic population between the ages of 20-34, the primary age group that is likely 

to rent multifamily units.

• Vacancy rates. Based on preliminary third-party data, we estimate that the national multifamily vacancy rate for 

institutional investment-type apartment properties remained steady at 5.8% as of September 30, 2023, the 

same estimated level as of June 30, 2023, but up 80 basis points from 5.0% as of September 30, 2022. The 

estimated average national multifamily vacancy rate over the last 15 years remained at approximately 5.8%.

• Rents. Based on preliminary third-party data, we estimate that effective rents increased 0.5% during the third 

quarter of 2023, compared to 1.0% during the second quarter of 2023 and the third quarter of 2022.

Vacancy rates and rents are important to loan performance because multifamily loans are generally repaid from the 

cash flows generated by the underlying property. Several years of low vacancy rates and rising rents helped to increase 

property values in most metropolitan areas, but that trend reversed starting in early 2023. Based on preliminary 

multifamily property sales data, transaction volumes for the third quarter of 2023 remained well below average levels. As 

a result of declining transaction volumes, coupled with elevated interest rates, available data suggests capitalization 

rates increased slightly in the third quarter of 2023. 

Multifamily construction underway remains elevated. There are more than 1,000,000 units underway and, based on 

current completion trends, we expect that between 500,000 and 550,000 units will be completed and delivered in 2023.

We believe vacancy levels could rise by early 2024 to between 6.0% and 6.25% and rent growth in 2023 will remain 

below recent averages, in the 1.0% to 2.0% range, as a result of rising levels of consumer debt, elevated new 

construction, and slowing job growth.

Multifamily Business Metrics

Through the secondary mortgage market, we support rental housing for the workforce population, for senior citizens and 

students, and for households with the greatest economic need. Over 95% of the multifamily units we financed in the 

third quarter of 2023 that were potentially eligible for housing goals credit were affordable to those earning at or below 

120% of the median income in their area, providing support for both workforce housing and affordable housing.

Multifamily New Business Volume

(Dollars in billions)

$15.9 $16.4

$50.6

$41.7

143,000 159,000

435,000

389,000

Multifamily new business volume1 Multifamily new units financed2

Q3 2022 Q3 2023 YTD 2022 YTD 2023

(1) Reflects unpaid principal balance of multifamily Fannie Mae MBS issued, multifamily loans purchased, and credit enhancements provided 

on multifamily mortgage assets during the period.

(2) Reflects new units financed by first liens; excludes second liens on units for which we had financed the first lien, as well as manufactured 

housing rentals. Second liens and manufactured housing rentals are included in unpaid principal balance.

MD&A | Multifamily Business

Fannie Mae Third Quarter 2023 Form 10-Q 38
We had lower multifamily business volumes in the first nine months of 2023 compared with the first nine months of 

2022, driven by lower overall multifamily market activity. For 2023, FHFA has capped our multifamily loan purchases at 

$75 billion. FHFA requires that a minimum of 50% of our multifamily loan purchases must be mission-driven, focused on 

specified affordable and underserved market segments. 

For information on how conservatorship may affect our business activities, see “Risk Factors—GSE and 

Conservatorship Risk” in our 2022 Form 10-K.

Presentation of Our Multifamily Guaranty Book of Business

For purposes of the information reported in this “Multifamily Business” section, we measure our multifamily guaranty 

book of business using the unpaid principal balance of mortgage loans underlying Fannie Mae MBS. By contrast, the 

multifamily guaranty book of business presented in the “Composition of Fannie Mae Guaranty Book of Business” table 

in the “Guaranty Book of Business” section is based on the unpaid principal balance of Fannie Mae MBS outstanding. 

These amounts differ primarily as a result of payments we receive on underlying loans that have not yet been remitted 

to the MBS holders. 

Multifamily Guaranty Book of Business

(Dollars in billions) 

$429.4

$464.7

79.0 76.8

Unpaid principal balance of multifamily guaranty book of business1

Average charged guaranty fee rate on multifamily guaranty book of business (in basis points), at end of period

9/30/2022 9/30/2023

(1) Our multifamily guaranty book of business primarily consists of multifamily mortgage loans underlying Fannie Mae MBS outstanding, 

multifamily mortgage loans of Fannie Mae held in our retained mortgage portfolio, and other credit enhancements that we provide on 

multifamily mortgage assets. It does not include non-Fannie Mae multifamily mortgage-related securities held in our retained mortgage 

portfolio for which we do not provide a guaranty.

Average charged guaranty fee represents our effective revenue rate relative to the size of our multifamily guaranty book 

of business. Management uses this metric to assess the return we earn as compensation for the multifamily credit risk 

we manage. Average charged guaranty fee is impacted by the rate at which loans in our book of business turn over as 

well as the guaranty fees we charge, which are set at the time we acquire the loans. Our multifamily guaranty fee pricing 

is primarily based on the individual credit risk characteristics of the loans we acquire and the aggregate credit risk 

characteristics of our multifamily guaranty book of business. Our multifamily guaranty fee pricing is also influenced by 

external factors such as the availability of other sources of liquidity, our mission-related goals, the FHFA volume cap, 

interest rates, MBS spreads, and the management of the overall composition of our multifamily guaranty book of 

business. The average guaranty fee on our multifamily guaranty book of business decreased as of September 30, 2023

compared with September 30, 2022 due to new acquisitions since September 30, 2022 having lower average charged 

fees as compared to the existing loans in our multifamily guaranty book of business. Given current economic and 

market conditions, we expect new acquisitions through the end of 2023 will continue to have lower average charged 

fees as compared to the existing loans in our multifamily guaranty book of business.

MD&A | Multifamily Business | Multifamily Business Metrics

Fannie Mae Third Quarter 2023 Form 10-Q 39
Multifamily Business Financial Results

This section provides a discussion of the primary components of net income for our Multifamily business.

Multifamily Business Financial Results(1)

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 Variance 2023 2022 Variance

(Dollars in millions)

Net interest income $ 1,146 $ 1,206 $ (60) $ 3,378 $ 3,585 $ (207) 

Fee and other income 20 22 (2) 53 65 (12) 

Net revenues 1,166 1,228 (62) 3,431 3,650 (219) 

Fair value gains (losses), net 53 (17) 70 35 (78) 113 

Administrative expenses (152) (140) (12) (446) (389) (57) 

Provision for credit losses (84) (175) 91 (415) (157) (258) 

Credit enhancement expense(2) (55) (66) 11 (166) (196) 30 

Change in expected credit enhancement recoveries(3) 42 45 (3) 130 32 98 

Other income (expenses), net(4) (125) 17 (142) (191) (111) (80) 

Income before federal income taxes 845 892 (47) 2,378 2,751 (373) 

Provision for federal income taxes (171) (153) (18) (464) (546) 82 

Net income $ 674 $ 739 $ (65) $ 1,914 $ 2,205 $ (291) 

(1) See “Note 9, Segment Reporting” for information about our segment allocation methodology.

(2) Primarily consists of costs associated with our Multifamily CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM

(“MCASTM”) programs as well as amortization expense for certain lender risk-sharing programs.

(3) Consists of change in benefits recognized from our freestanding credit enhancements that primarily relate to our Delegated Underwriting 

and Servicing (“DUS®”) lender risk-sharing. 

(4) Consists of investment gains or losses, expenses associated with legal claims, foreclosed property income (expense), gains or losses from 

partnership investments, debt extinguishment gains or losses, and other income or expenses.

Net Interest Income

Net interest income decreased in the third quarter and first nine months of 2023 compared with the third quarter and first 

nine months of 2022 due to lower yield maintenance income as a result of fewer prepayments, as well as lower average 

charged guaranty fees, partially offset by an increase in our multifamily guaranty book of business. 

Provision for Credit Losses

The largest driver of our multifamily provision for credit losses in the third quarter of 2023 was a provision for rising 

actual and projected interest rates. The impact of this factor was offset by a benefit from other actual and projected 

economic data. 

Our multifamily provision for credit losses in the first nine months of 2023 was primarily driven by actual and projected 

interest rates.

The largest driver of multifamily provision for credit losses in the third quarter and first nine months of 2022 were higher 

actual and projected interest rates.

See “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for more information on our multifamily 

benefit or provision for credit losses.

MD&A | Multifamily Business | Multifamily Business Financial Results

Fannie Mae Third Quarter 2023 Form 10-Q 40
Other Income (Expenses), Net

The largest driver of the shift from other income in the third quarter of 2022 to other expenses in the third quarter of 

2023 and the increase in other expenses in the first nine months of 2023 compared with the first nine months of 2022 

was a shift from foreclosed property income in the third quarter and first nine months of 2022 to foreclosed property 

expense in the third quarter and first nine months of 2023. This shift to foreclosed property expense was primarily a 

result of increased expenses on a seniors housing portfolio that is in the process of foreclosure. Additionally, during the 

third quarter of 2023, we recognized litigation expense attributable to a jury verdict and an award of prejudgment 

interest for Fannie Mae preferred shareholders, of which $54 million was allocated to the multifamily business segment. 

For additional information, see “Note 13, Commitments and Contingencies—Senior Preferred Stock Purchase 

Agreements Litigation.”

Multifamily Mortgage Credit Risk Management

This section supplements and updates our discussion of multifamily mortgage credit risk management in our 2022 Form 

10-K in “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management.”

Multifamily Acquisition Policy and Underwriting Standards

The following table displays certain key risk characteristics of our multifamily guaranty book of business that we use to 

evaluate the risk profile and credit quality of our multifamily loans. For information on our multifamily acquisition policy 

and underwriting standards, see “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management—

Multifamily Acquisition Policy and Underwriting Standards” in our 2022 Form 10-K.

Key Risk Characteristics of Multifamily Guaranty Book of Business

As of

September 30, 2023 December 31, 2022 September 30, 2022

Weighted-average original LTV ratio 64 % 64 % 65 %

Original LTV ratio greater than 80% 1 1 1 

Original Debt Service Coverage Ratio (“DSCR”) less than or 

equal to 1.10(1) 12 12 12 

Full term interest-only loans 41 38 37 

Partial term interest-only loans(2) 47 49 49 

Adjustable-rate mortgages 10 11 10 

(1) The original DSCR is calculated using the underwritten debt service payments for the loan, which assumes both principal and interest 

payments, including stressed assumptions in certain cases, rather than the actual debt service payments. Depending on the loan’s interest 

rate and structure, using the underwritten debt service payments will often result in a more conservative estimate of the debt service 

payments (for example, loans with an interest-only period).

(2) Consists of mortgage loans that were underwritten with an interest-only term, regardless of whether the loan is currently in its interest-only 

period.

We provide additional information on the credit characteristics of our multifamily loans in quarterly financial 

supplements, which we furnish to the SEC with current reports on Form 8-K.

Transfer of Multifamily Mortgage Credit Risk

We primarily transfer credit risk on the multifamily loans we guarantee through our Delegated Underwriting and 

Servicing (“DUS®”) program, which delegates to DUS lenders the ability to underwrite and service multifamily loans, in 

accordance with our standards and requirements. See “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk 

Management—Transfer of Multifamily Mortgage Credit Risk” in our 2022 Form 10-K for a description of our DUS 

program.

Our DUS model typically results in our lenders sharing approximately one-third of the credit risk on our multifamily 

loans, either on a pro-rata or tiered basis. Loans serviced by DUS lenders and their affiliates represented substantially 

all of our multifamily guaranty book of business as of September 30, 2023 and December 31, 2022. In certain situations, 

we do not allow the lenders to fully share in one-third of the credit risk, but have them share in a smaller portion, to 

reduce the risk that the counterparty will fail to meet its loss sharing responsibility to us in the event of a borrower 

default.

While not a large portion of our multifamily guaranty book of business, our non-DUS lenders typically also have lender 

risk-sharing, where the lenders share or absorb losses based on a negotiated percentage of the loan or the pool 

balance.

MD&A | Multifamily Business | Multifamily Business Financial Results

Fannie Mae Third Quarter 2023 Form 10-Q 41
To complement our front-end lender-risk sharing program, we engage in back-end credit risk transfer transactions 

through our Multifamily CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) transactions. 

Through these transactions, we transfer a portion of the credit risk associated with a reference pool of multifamily 

mortgage loans to insurers, reinsurers, or investors. We completed one MCIRT transaction in the first nine months of 

2023.

The table below displays the total unpaid principal balance of multifamily loans and the percentage of our multifamily 

guaranty book of business, based on unpaid principal balance, that is covered by a back-end credit risk transfer 

transaction. The table does not reflect front-end lender risk-sharing arrangements, as only a small portion of our 

multifamily guaranty book of business is not covered by these arrangements.

Multifamily Loans in Back-End Credit Risk Transfer Transactions

As of

September 30, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Multifamily 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Multifamily 

Guaranty Book 

of Business

(Dollars in millions)

MCIRT $ 90,627 20 % $ 87,682 20 %

MCAS 24,745 5 25,071 6 

Total $ 115,372 25 % $ 112,753 26 %

Multifamily Portfolio Monitoring

As part of our ongoing credit risk management process, we and our lenders monitor the performance and risk 

characteristics of our multifamily loans and the underlying properties on an ongoing basis throughout the loan term at 

the asset and portfolio level. We generally require lenders to provide quarterly and/or annual financial updates for 

multifamily loans. We closely monitor loans with an estimated current DSCR below 1.0, as that is an indicator of 

heightened default risk. The percentage of loans in our multifamily guaranty book of business, calculated based on 

unpaid principal balance, with a current DSCR less than 1.0 was approximately 3% as of September 30, 2023 and

December 31, 2022. We also monitor property condition, and, if issues are found through a property inspection, 

borrowers are given an opportunity to remediate the issues. In infrequent cases, where the borrower chooses not to 

complete the repairs, the loans are referred to foreclosure.

We manage our exposure to interest-rate risk and monitor changes in interest rates, which can impact multiple aspects 

of our multifamily loans. Interest rates, especially short-term interest rates, have increased significantly in recent periods 

and may increase further. Rising interest rates may reduce the ability of multifamily borrowers to refinance their loans, 

which generally have balloon balances at maturity. We provide additional information on the maturity schedule of our 

multifamily loans in quarterly financial supplements, which we furnish to the SEC with current reports on Form 8-K and 

make available on our website.

Additionally, in a rising rate environment, multifamily borrowers with adjustable-rate mortgages will have higher monthly 

payments, which may lower their DSCRs. We generally require multifamily borrowers with adjustable-rate mortgages to 

maintain interest rate caps for the life of the loan to protect against large movements in rates as well as maintain 

escrows at our servicers to reserve for the cost of replacing these caps. Purchasing or replacing required interest rate 

caps, especially those with longer terms and/or lower capped interest rates, becomes more expensive as interest rates 

rise. These elevated costs in recent periods have added pressure to borrowers’ ability to make payments and 

contributed to the increase in our multifamily serious delinquency rate and criticized loan population in the first nine 

months of 2023. In the recent high interest rate environment, more multifamily borrowers with adjustable-rate mortgages 

have started receiving payments from their interest rate cap providers, which helps to defray the higher cost of debt 

service and escrow payments. We actively monitor these interest-rate related risks as part of our risk management 

process.

We also monitor for risks manifesting within specific property types. A property type we have been monitoring closely is 

seniors housing, which in Fannie Mae’s book of business is primarily comprised of independent living and assisted living 

facilities, some of which may have a limited capacity devoted to memory care. Seniors housing loans constituted 4% of 

our multifamily guaranty book of business as of September 30, 2023, based on unpaid principal balance, of which 38%

were adjustable-rate mortgages. Seniors housing properties have been disproportionately affected by the COVID-19 

pandemic and ongoing economic trends, higher operating costs exacerbated by the increase in inflation, and higher 

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 42
short-term interest rates for adjustable-rate mortgages, resulting in increased costs for these borrowers. We continue to 

monitor seniors housing loans in our multifamily guaranty book of business closely and actively manage loans that may 

be at risk of further deterioration or default.

Multifamily Problem Loan Management and Foreclosure Prevention

In addition to the credit performance information on our multifamily loans provided below, we provide information about 

multifamily loans that back MBS and whole loan REMICs in the “Data Collections” section of our DUS Disclose® tool, 

available at www.fanniemae.com/dusdisclose. Information on our website is not incorporated into this report.

Credit Performance Statistics on Multifamily Problem Loans

The percentage of our multifamily loans in our guaranty book of business that are criticized increased as of September 

30, 2023 compared with December 31, 2022, primarily driven by the recent elevated interest-rate environment. This has 

increased the number of properties reporting low DSCRs in their latest operating statement, particularly those properties 

financed with adjustable-rate mortgages. Criticized loans substantially consist of loans classified as “Substandard” and 

also include loans classified as “Special Mention” or “Doubtful.” Substandard loans are loans that have a well-defined 

weakness that could impact their timely full repayment. While the majority of the substandard loans in our multifamily 

guaranty book of business are currently making timely payments, we continue to monitor the performance of this 

population. For more information on our loan classifications based on our internally assigned credit risk ratings, see 

“Note 3, Mortgage Loans.”

Our multifamily serious delinquency rate increased to 0.54% as of September 30, 2023, compared with 0.24% as of 

December 31, 2022. Over half of our seriously delinquent multifamily loan population as of September 30, 2023 was 

comprised of seniors housing loans. Our multifamily serious delinquency rate consists of multifamily loans that were 60 

days or more past due based on unpaid principal balance, expressed as a percentage of our multifamily guaranty book 

of business. The percentage of loans in our multifamily guaranty book of business that were 180 days or more 

delinquent was 0.30% as of September 30, 2023, compared with 0.15% as of December 31, 2022.

Management monitors the multifamily serious delinquency rate as an indicator of potential future credit losses and loss 

mitigation activities. Serious delinquency rates are reflective of our performance in assessing and managing credit risk 

associated with multifamily loans in our guaranty book of business. Typically, higher serious delinquency rates result in 

a higher allowance for loan losses. We expect that our multifamily serious delinquency rate may decrease as we 

complete loan workouts, which may resolve their delinquency, or, if an appropriate workout cannot be achieved, the 

loans are foreclosed upon.

Multifamily REO Management

The number of multifamily foreclosed properties held for sale was 31 properties with a carrying value of $335 million as 

of September 30, 2023, compared with 28 properties with a carrying value of $278 million as of December 31, 2022. We 

expect the amount of foreclosures on multifamily loans will increase over the coming year as some borrowers will not 

successfully cure their delinquencies through a loan workout. This expectation includes a seniors housing portfolio that 

was written off earlier in 2023 and is currently in receivership.

Multifamily Credit Loss Performance Metrics

The amount of multifamily credit losses or gains we realize in a given period is driven by foreclosures, pre-foreclosure 

sales, post-foreclosure REO activity and other events that trigger write-offs and recoveries. Our multifamily credit loss 

performance metrics are not defined terms and may not be calculated in the same manner as similarly titled measures 

reported by other companies. For the purposes of our multifamily credit loss performance metrics, credit losses or gains 

represents write-offs net of recoveries and foreclosed property income or expense. We believe our multifamily credit 

losses, and our multifamily credit losses net of freestanding loss-sharing benefit, may be useful to stakeholders because 

they display our credit losses in the context of our multifamily guaranty book of business, including changes to the 

benefit we expect to receive from loss-sharing arrangements. Management views multifamily credit losses, net of 

freestanding loss-sharing arrangements, as a key metric related to our multifamily business model and our strategy to 

share multifamily credit risk. 

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 43
The table below displays the components of our multifamily credit loss performance metrics, as well as our multifamily 

initial write-off severity rate and write-off loan count. 

Multifamily Credit Loss Performance Metrics 

For the Three Months Ended 

September 30,

For the Nine Months Ended 

September 30,

2023 2022 2023 2022

(Dollars in millions)

Write-offs(1) $ (52) $ (40) $ (306) $ (40) 

Recoveries 8 4 18 21 

Foreclosed property income (expense) (45) 21 (85) 18 

Credit losses (89) (15) (373) (1) 

Change in expected credit enhancement recoveries(2) 18 10 49 — 

Credit losses, net of freestanding loss-sharing 

arrangements $ (71) $ (5) $ (324) $ (1) 

Credit loss ratio (in bps)(3) (7.7) (1.4) (11.0) — 

Credit loss ratio, net of freestanding loss-sharing 

benefit (in bps)(2)(3) (6.2) (0.5) (9.6) — 

Multifamily initial write-off severity rate(4)(5) 7.4 % — % 9.2 % 5.4 %

Multifamily write-off loan count(6) 7 1 13 6 

(1) Represents write-offs when a loan is determined to be uncollectible prior to a liquidation event, which includes foreclosure, a deed-in-lieu of 

foreclosure or a short-sale (collectively a “liquidation event”), as well as write-offs at liquidation. Write-offs associated with non-REO sales 

are net of loss sharing. 

(2) Represents changes to the benefit we expect to receive only from write-offs as a result of certain freestanding loss-sharing arrangements, 

primarily multifamily DUS lender risk-sharing transactions. Changes to the expected benefits we will receive are recorded in “Change in 

expected credit enhancement recoveries” in our condensed consolidated statements of operations and comprehensive income. 

(3) Calculated based on the annualized amount of “Credit gains (losses)” and “Credit gains (losses), net of freestanding loss-sharing 

arrangements,” divided by the average multifamily guaranty book of business during the period. 

(4) Rate is calculated as the initial write-off amount divided by the average defaulted unpaid principal balance.

(5) Consists of write-offs associated with a liquidation event. The rate excludes any costs, gains or losses associated with REO after initial 

acquisition through final disposition. The rate also excludes write-offs when a loan is determined to be uncollectible prior to a liquidation 

event. Write-offs are net of lender loss-sharing agreements. 

(6) The multifamily write-off loan count includes only write-offs associated with a liquidation event.

Our multifamily credit losses increased in the first nine months of 2023 compared with the first nine months of 2022

primarily driven by the write-off of a seniors housing portfolio during the first quarter of 2023. As discussed above in 

“Multifamily Portfolio Monitoring,” seniors housing loans in our guaranty book of business have been disproportionately 

affected by the COVID-19 pandemic and ongoing economic trends, as well as other factors.

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 44
Consolidated Credit Ratios and Select Credit Information

The table below displays select credit ratios on our single-family conventional guaranty book of business and our 

multifamily guaranty book of business, as well as the inputs used in calculating these ratios.

Consolidated Credit Ratios and Select Credit Information

As of

September 30, 2023 December 31, 2022

Singlefamily MultifamilyConsolidated 

Total

Singlefamily MultifamilyConsolidated 

Total

(Dollars in millions)

Credit loss reserves as a 

percentage of:

Guaranty book of business 0.18 % 0.44 % 0.21 % 0.26 % 0.43 % 0.28 %

Nonaccrual loans at amortized 

cost 32.26 133.49 39.22 90.69 86.86 90.03 

Nonaccrual loans as a 

percentage of:

Guaranty book of business 0.57 % 0.33 % 0.54 % 0.29 % 0.50 % 0.31 %

Select financial information used 

in calculating credit ratios:

Credit loss reserves(1) $ (6,673) $ (2,037) $ (8,710) $ (9,554) $ (1,911) $ (11,465) 

Guaranty book of business(2) 3,639,362 464,728 4,104,090 3,635,237 440,424 4,075,661 

Nonaccrual loans at amortized 

cost 20,682 1,526 22,208 10,535 2,200 12,735 

Components of credit loss 

reserves:

Allowance for loan losses $ (6,640) $ (2,031) $ (8,671) $ (9,443) $ (1,904) $ (11,347) 

Allowance for accrued interest 

receivable (33) — (33) (111) — (111) 

Reserve for guaranty losses(3) — (6) (6) — (7) (7) 

Total credit loss reserves(1) $ (6,673) $ (2,037) $ (8,710) $ (9,554) $ (1,911) $ (11,465) 

(1) Our multifamily credit loss reserves exclude the expected benefit of freestanding credit enhancements on multifamily loans of $614 million

as of September 30, 2023 and $492 million as of December 31, 2022, which are recorded in “Other assets” in our condensed consolidated 

balance sheets.

(2) Represents conventional guaranty book of business for single-family.

(3) Reserve for guaranty losses is recorded in “Other liabilities” in our condensed consolidated balance sheets.

Our single-family nonaccrual loans increased as of September 30, 2023 compared with December 31, 2022 as 

delinquent loans that may have previously been subject to our COVID-19 nonaccrual policy, which maintained loans on 

accrual status for at least six months of delinquency, no longer met the requirements of the COVID-19-related guidance 

effective January 1, 2023. Under our current nonaccrual policy, we generally place a loan on nonaccrual status when 

the loan is three or more months past due. As a result, the balance of loans on nonaccrual status increased.

The balance of multifamily loans on nonaccrual decreased as of September 30, 2023 compared with December 31, 

2022, primarily as a result of loans returning to accrual status after the completion of a performance period. In addition, 

write-offs during the first nine months of 2023 reduced the amortized cost of multifamily loans on nonaccrual as of 

September 30, 2023 compared with December 31, 2022.

See “Note 3, Mortgage Loans” for more information on our nonaccrual policy, including additional information about our 

COVID-19-related nonaccrual policy.

MD&A | Consolidated Credit Ratios and Select Credit Information

Fannie Mae Third Quarter 2023 Form 10-Q 45
Our single-family credit loss reserves decreased as of September 30, 2023 compared with December 31, 2022 primarily 

as a result of a benefit for credit losses for the first nine months of 2023, which reduced our allowance for loan losses. 

For additional information about our benefit for credit losses, including a description of the primary drivers of the current 

period benefit, see “Consolidated Results of Operations—Benefit (Provision) for Credit Losses.”

Consolidated Write-off Ratio and Select Credit Information

For the Three Months Ended September 30,

2023 2022

Singlefamily Multifamily TotalSinglefamily Multifamily Total

(Dollars in millions)

Select credit ratio:

Write-offs, net of recoveries annualized, as 

a percentage of the average guaranty 

book of business (in bps) 7.2 3.8 6.8 2.5 3.4 2.6

Select financial information used in 

calculating credit ratio:

Write-offs $ 701 $ 52 $ 753 $ 291 $ 40 $ 331 

Recoveries (50) (8) (58) (68) (4) (72) 

Write-offs, net of recoveries $ 651 $ 44 $ 695 $ 223 $ 36 $ 259 

Average guaranty book of business(1) 3,635,883 459,719 4,095,602 3,621,447 427,586 4,049,033 

For the Nine Months Ended September 30,

2023 2022

Singlefamily Multifamily TotalSinglefamily Multifamily Total

(Dollars in millions)

Select credit ratio:

Write-offs, net of recoveries annualized, as 

a percentage of the average guaranty 

book of business (in bps) 2.4 8.5 3.0 1.4 0.6 1.3

Select financial information used in 

calculating credit ratio:

Write-offs $ 800 $ 306 $ 1,106 $ 569 $ 40 $ 609 

Recoveries (157) (18) (175) (192) (21) (213) 

Write-offs, net of recoveries $ 643 $ 288 $ 931 $ 377 $ 19 $ 396 

Average guaranty book of business(1) 3,633,848 451,322 4,085,170 3,573,333 422,013 3,995,346 

* Represents credit ratio of less than 0.05 bps.

(1) Average guaranty book of business is based on quarter-end balances.

For discussion on the drivers of single-family write-offs for the third quarter and first nine months of 2023, see “SingleFamily Business—Single-Family Problem Loan Management—Single-Family Credit Loss Metrics and Loan Sale 

Performance.”

Liquidity and Capital Management

Liquidity Management

This section supplements and updates information regarding liquidity management in our 2022 Form 10-K. See “MD&A

—Liquidity and Capital Management—Liquidity Management” in our 2022 Form 10-K for additional information, 

including discussions of our primary sources and uses of funds, our liquidity and funding risk management practices and 

contingency planning, our liquidity requirements, factors that influence our debt funding activity, factors that may impact 

our access to or the cost of our debt funding and factors that could adversely affect our liquidity and funding. As of 

MD&A | Consolidated Credit Ratios and Select Credit Information

Fannie Mae Third Quarter 2023 Form 10-Q 46
September 30, 2023, we were in compliance with all four components of the liquidity requirements outlined in our 2022

Form 10-K. Also see “Risk Factors—Liquidity and Funding Risk” in our 2022 Form 10-K for a discussion of liquidity and 

funding risks.

Debt Funding

We are currently subject to a $270 billion debt limit under our senior preferred stock purchase agreement with Treasury. 

The unpaid principal balance of our aggregate indebtedness was $130.7 billion as of September 30, 2023. Pursuant to 

the terms of the senior preferred stock purchase agreement, we are prohibited from issuing debt without the prior 

consent of Treasury if it would result in our aggregate indebtedness exceeding our outstanding debt limit. The 

calculation of our indebtedness for purposes of complying with our debt limit reflects the unpaid principal balance and 

excludes debt basis adjustments and debt of consolidated trusts. 

Outstanding Debt of Fannie Mae

Total outstanding debt of Fannie Mae includes short-term and long-term debt and excludes debt of consolidated trusts. 

Short-term debt of Fannie Mae consists of borrowings with an original contractual maturity of one year or less and, 

therefore, does not include the current portion of long-term debt. Long-term debt of Fannie Mae consists of borrowings 

with an original contractual maturity of greater than one year. 

The following chart and table display information on our outstanding short-term and long-term debt based on original 

contractual maturity. Our outstanding debt decreased in the first nine months of 2023 as our funding needs remained 

low and were primarily satisfied through cash and other liquid assets that accumulated in prior periods, as well as 

earnings retained from our operations. As a result, long-term debt maturity outpaced long term debt issuances.

Debt of Fannie Mae(1)

(Dollars in billions)

$134.2

$125.7

$10.2 $14.2

$23.3 $23.7

$100.7 $87.8

Short-term debt

Long-term debt maturing within one year

Long-term debt, excluding portion maturing within one year

12/31/2022 9/30/2023

(1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis 

adjustments and other cost basis adjustments. Reported amounts include net discount unamortized cost basis adjustments and fair value 

adjustments of $5.0 billion and $5.1 billion as of September 30, 2023 and December 31, 2022, respectively.

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 47
Selected Debt Information

As of

September 30, 2023 December 31, 2022

(Dollars in billions)

Selected Weighted-Average Interest Rates(1)

Interest rate on short-term debt 5.26 % 3.93 %

Interest rate on long-term debt, including portion maturing within one year 2.68 2.23 

Interest rate on callable debt 2.67 1.79 

Selected Maturity Data

Weighted-average maturity of debt maturing within one year (in days) 169 156 

Weighted-average maturity of debt maturing in more than one year (in months) 47 52 

Other Data

Outstanding callable debt(2) $ 48.6 $ 43.3 

Connecticut Avenue Securities debt(3) 3.7 5.2 

(1) Excludes the effects of fair value adjustments and hedge-related basis adjustments.

(2) Includes short-term callable debt of $4.7 billion and $590 million as of September 30, 2023 and December 31, 2022, respectively.

(3) Represents CAS debt issued prior to November 2018. See “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk 

Management—Single-Family Credit Enhancement and Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022

Form 10-K for information regarding our Connecticut Avenue Securities.

We intend to repay our short-term and long-term debt obligations as they become due primarily through cash from 

business operations, the sale of other liquid assets and the issuance of additional debt securities.

For information on the maturity profile of our outstanding long-term debt, see “Note 7, Short-Term and Long-Term Debt.”

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 48
Debt Funding Activity 

The table below displays activity in debt of Fannie Mae. This activity excludes the debt of consolidated trusts and 

intraday borrowing. The reported amounts of debt issued and paid off during each period represent the face amount of 

the debt at issuance and redemption.

Activity in Debt of Fannie Mae

For the Three Months Ended 

September 30,

For the Nine Months Ended 

September 30,

2023 2022 2023 2022

(Dollars in millions)

Issued during the period:

Short-term:

Amount $ 53,770 $ 29,779 $ 164,921 $ 97,724 

Weighted-average interest rate 5.11 % 2.11 % 4.72 % 0.83 %

Long-term:(1)

Amount $ 1,515 $ 1,000 $ 7,476 $ 1,000 

Weighted-average interest rate 5.22 % 2.01 % 5.31 % 2.01 %

Total issued:

Amount $ 55,285 $ 30,779 $ 172,397 $ 98,724 

Weighted-average interest rate 5.12 % 2.10 % 4.74 % 0.84 %

Paid off during the period:(2)

Short-term:

Amount $ 55,156 $ 35,845 $ 160,867 $ 97,524 

Weighted-average interest rate 4.36 % 1.69 % 4.17 % 0.71 %

Long-term:(1)

Amount $ 12,207 $ 9,777 $ 20,094 $ 68,691 

Weighted-average interest rate 0.87 % 2.57 % 1.53 % 1.22 %

Total paid off:

Amount $ 67,363 $ 45,622 $ 180,961 $ 166,215 

Weighted-average interest rate 3.73 % 1.88 % 3.87 % 0.92 %

(1) Includes credit risk-sharing securities issued as CAS debt prior to November 2018. For information on our credit risk transfer transactions, 

see “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family Credit Enhancement and 

Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022 Form 10-K.

(2) Consists of all payments on debt, including regularly scheduled principal payments, payments at maturity, payments resulting from calls 

and payments for any other repurchases. Repurchases of debt and early retirements of zero-coupon debt are reported at original face 

value, which does not equal the amount of actual cash payment.

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 49
Other Investments Portfolio

The chart below displays information on the composition of our other investments portfolio. The balance of our other 

investments portfolio fluctuates as a result of changes in our cash flows, liquidity in the fixed-income markets, and our 

liquidity risk management framework and practices.

Our other investments portfolio increased during the first nine months of 2023 primarily due to proceeds from the sale of 

securities and loans, and the continued accumulation of earnings retained from our operations.

Other Investments Portfolio 

(Dollars in billions)

$58.0 $48.6

$11.1 $22.0

$46.9 $48.6

$116.0 $119.2

12/31/2022 9/30/2023

U.S. Treasury securities

Securities purchased under agreements to resell

Cash and cash equivalents(1)

(1) Cash equivalents are composed of overnight reverse repurchase agreements and U.S. Treasuries, if any, that have a maturity at the date 

of acquisition of three months or less.

Off-Balance Sheet Arrangements

We enter into certain business arrangements to facilitate our statutory purpose of providing liquidity to the secondary 

mortgage market and to reduce our exposure to interest rate fluctuations. Some of these arrangements are not 

recorded in our condensed consolidated balance sheets or may be recorded in amounts different from the full contract 

or notional amount of the transaction, depending on the nature or structure of, and the accounting required to be applied 

to, the arrangement. These arrangements are commonly referred to as “off-balance sheet arrangements” and expose us 

to potential losses in excess of the amounts recorded in our condensed consolidated balance sheets.

Our off-balance sheet arrangements result primarily from the following: 

• our guaranty of mortgage loan securitization and resecuritization transactions over which we have no control, 

which are reflected in our unconsolidated Fannie Mae MBS net of any beneficial ownership interest we retain, 

and other financial guarantees that we do not control; 

• liquidity support transactions; and 

• partnership interests. 

The total amount of our off-balance sheet exposure related to unconsolidated Fannie Mae MBS net of any beneficial 

interest that we retain, and other financial guarantees was $231.5 billion as of September 30, 2023 and $246.7 billion as 

of December 31, 2022. The majority of the other financial guarantees consists of Freddie Mac securities backing Fannie 

Mae structured securities. See “Guaranty Book of Business” and “Note 6, Financial Guarantees” for more information 

regarding our maximum exposure to loss on unconsolidated Fannie Mae MBS and Freddie Mac securities.

Our total outstanding liquidity commitments to advance funds for securities backed by multifamily housing revenue 

bonds totaled $4.6 billion as of September 30, 2023 and $4.8 billion as of December 31, 2022. These commitments 

require us to advance funds to third parties that enable them to repurchase tendered bonds or securities that are unable 

to be remarketed. We hold cash and cash equivalents in our other investments portfolio in excess of these 

commitments to advance funds.

We make investments in various limited partnerships and similar legal entities, which consist of low-income housing tax 

credit investments, community investments and other entities. When we do not have a controlling financial interest in 

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 50
those entities, our condensed consolidated balance sheets reflect only our investment rather than the full amount of the 

partnership’s assets and liabilities. See “Note 2, Consolidations and Transfers of Financial Assets—Unconsolidated 

VIEs” for information regarding our limited partnerships and similar legal entities.

Cash Flows

Nine Months Ended September 30, 2023. Cash, cash equivalents and restricted cash and cash equivalents decreased

from $87.8 billion as of December 31, 2022 to $81.8 billion as of September 30, 2023. The decrease was primarily 

driven by cash outflows from (1) payments on outstanding debt of consolidated trusts, (2) purchases of loans held for 

investment and (3) advances to lenders.

Partially offsetting these cash outflows were cash inflows from (1) proceeds from repayments of loans and (2) the sale 

of Fannie Mae MBS to third parties.

Nine Months Ended September 30, 2022. Cash, cash equivalents and restricted cash and cash equivalents decreased

from $108.6 billion as of December 31, 2021 to $63.6 billion as of September 30, 2022. The decrease was primarily 

driven by cash outflows from (1) payments on outstanding debt of consolidated trusts, (2) the redemption of funding 

debt, which outpaced issuances, and (3) purchases of loans held for investment.

Partially offsetting these cash outflows were cash inflows from (1) proceeds from repayments of loans and (2) the sale 

of Fannie Mae MBS to third parties.

Credit Ratings

The table below displays our credit ratings issued by the three major credit rating agencies.

Fannie Mae Credit Ratings

As of September 30, 2023

S&P Moody’s Fitch

Long-term senior debt AA+(1) Aaa(1) AA+

Short-term senior debt A-1+ P-1 F1+

Preferred stock D Ca(hyb) C/RR6

(1) Outlook: Stable.

On August 2, 2023, Fitch Ratings (“Fitch”) downgraded our Long-Term Issuer Default Rating (“IDR”) and senior 

unsecured debt rating to ‘AA+’ from ‘AAA’ and downgraded our Government Support Rating (“GSR”) to ‘aa+’ from ‘aaa.’ 

Our Long-Term IDR Outlook is stable. These actions followed Fitch’s downgrade of the U.S. Long-Term foreign and 

local currency IDRs to ‘AA+’ from ‘AAA’ on August 1, 2023. Fitch noted that our Long-Term IDR and GSR are directly 

linked to the U.S. government’s Long-Term IDRs, based on Fitch’s view of the U.S. government’s direct financial support 

of Fannie Mae.

We have no covenants in our existing debt agreements that would be violated by a downgrade in our credit ratings. 

However, in connection with certain derivatives counterparties, we could be required to provide additional collateral to or 

terminate transactions with certain counterparties in the event that our senior unsecured debt ratings are downgraded. 

For a discussion of additional risks to our business relating to a decrease in our credit ratings, which could include an 

increase in our borrowing costs and limits on our ability to issue debt, see “MD&A—Liquidity and Capital Management—

Liquidity Management—Credit Ratings” and “Risk Factors” in our 2022 Form 10-K.

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 51
Capital Management

Capital Requirements

The table below sets forth information about our capital requirements under the standardized approach of the enterprise 

regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the 

stated value of the senior preferred stock ($120.8 billion) and other amounts specified in the Regulatory Capital 

Components table below. Because of these exclusions, we had a deficit in available capital as of September 30, 2023, 

even though we had positive net worth under GAAP of $73.7 billion as of September 30, 2023. See “Business—

Legislation and Regulation—GSE-Focused Matters—Capital Requirements” in our 2022 Form 10-K for a description of 

our capital requirements under the enterprise regulatory capital framework. Although the enterprise regulatory capital 

framework went into effect in February 2021, we are not required to hold capital according to the framework’s 

requirements until the date of termination of our conservatorship, or such later date as may be ordered by FHFA.

We had a $246 billion shortfall of our available capital (deficit) to the adjusted total capital requirement (including 

buffers) of $187 billion under the standardized approach of the enterprise regulatory capital framework as of September 

30, 2023. Our capital shortfall decreased to $246 billion from $258 billion as of December 31, 2022, primarily as a result 

of an increase in our retained earnings.

Capital Metrics under the Enterprise Regulatory Capital Framework as of September 30, 2023(1) 

(Dollars in billions)

Stress capital buffer $ 34 

Stability capital buffer 45 

Adjusted total assets $ 4,560 Countercyclical capital buffer — 

Risk-weighted assets 1,346 Prescribed capital conservation buffer amount $ 79 

Minimum 

Capital Ratio 

Requirement

Minimum 

Capital 

Requirement

Applicable 

Buffers(2)

Total Capital 

Requirement 

(including 

Buffers)

Available 

Capital 

(Deficit)(3)

Capital 

Shortfall(4)

Risk-based capital:

Total capital (statutory)(5) 8.0 % $ 108 N/A $ 108 $ (38) $ (146) 

Common equity tier 1 capital 4.5 61 $ 79 140 (78) (218) 

Tier 1 capital 6.0 81 79 160 (59) (219) 

Adjusted total capital 8.0 108 79 187 (59) (246) 

Leverage capital:

Core capital (statutory)(6) 2.5 114 N/A 114 (47) (161) 

Tier 1 capital 2.5 114 23 137 (59) (196) 

(1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets 

for leverage capital metrics.

(2) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the prescribed capital conservation buffer 

amount (“PCCBA”), which is composed of a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer. The 

applicable buffer for tier 1 capital (leverage based) is the prescribed leverage buffer amount (“PLBA”). The stress capital buffer and 

countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as of the last day of the 

previous calendar quarter. The stability capital buffer is based on our share of mortgage debt outstanding. The prescribed leverage buffer 

for 2023 is set at 50% of the 2023 stability buffer. Going forward the stability buffer and the prescribed leverage buffer will be updated with 

an effective date that depends on whether the stability capital buffer increases or decreases relative to the previously calculated value.

(3) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) 

for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from 

temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. 

As of September 30, 2023, this resulted in the full deduction of deferred tax assets ($11.9 billion) from our available capital (deficit). 

Available capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock 

($19.1 billion).

(4) Our capital shortfall consists of the difference between the applicable capital requirement (including buffers) and the applicable available 

capital (deficit).

(5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include 

an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance 

for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any 

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 52
reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the 

Director of FHFA by regulation determines are appropriate to include in determining total capital.

(6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our 

outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core 

capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock.

As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of 

September 30, 2023 was 0%. While it is not applicable until the date of termination of our conservatorship, our 

maximum payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form 

of distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum 

payout ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our 

leverage buffer. See “Note 14, Regulatory Capital Requirements” for information on our capital ratios as of September 

30, 2023 under the enterprise regulatory capital framework.

The table below presents certain components of our regulatory capital.

Regulatory Capital Components

As of

September 30, 2023

(Dollars in billions)

Total equity $ 73.7 

Less:

Senior preferred stock 120.8 

Preferred stock 19.1 

Common equity (66.2) 

Less: deferred tax assets arising from temporary differences that exceed 10% of common equity tier 

1 capital and other regulatory adjustments 11.9 

Common equity tier 1 capital (deficit) (78.1) 

Add: non-cumulative perpetual preferred stock 19.1 

Tier 1 capital (deficit) (59.0) 

Tier 2 capital adjustments — 

Adjusted total capital (deficit) $ (59.0) 

The table below presents certain components of our core capital.

Statutory Capital Components

As of

September 30, 2023

(Dollars in billions)

Total equity $ 73.7 

Less:

Senior preferred stock 120.8 

Accumulated other comprehensive income (loss), net of taxes — 

Core capital (deficit) (47.1) 

Less: general allowance for foreclosure losses (8.9) 

Total capital (deficit) $ (38.2) 

Capital Activity

Under the terms governing the senior preferred stock, no dividends were payable to Treasury for the third quarter of 

2023 and none are payable for the fourth quarter of 2023. 

Under the terms governing the senior preferred stock, through and including the capital reserve end date, any increase 

in our net worth during a fiscal quarter results in an increase in the same amount of the aggregate liquidation preference 

of the senior preferred stock in the following quarter. The capital reserve end date is defined as the last day of the 

second consecutive fiscal quarter during which we have had and maintained capital equal to, or in excess of, all of the 

capital requirements and buffers under the enterprise regulatory capital framework.

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 53
As a result of these terms governing the senior preferred stock, the aggregate liquidation preference of the senior 

preferred stock increased to $190.5 billion as of September 30, 2023 from $185.5 billion as of June 30, 2023, due to the 

$5.0 billion increase in our net worth in the second quarter of 2023. The aggregate liquidation preference of the senior 

preferred stock will further increase to $195.2 billion as of December 31, 2023, due to the $4.7 billion increase in our net 

worth in the third quarter of 2023. See “Business—Conservatorship and Treasury Agreements—Treasury Agreements” 

in our 2022 Form 10-K for more information on the terms of our senior preferred stock, including how the aggregate 

liquidation preference is determined.

Increases in our net worth improve our capital position and our ability to absorb losses; however, increases in our net 

worth also increase the aggregate liquidation preference of the senior preferred stock by the same amount until the 

capital reserve end date as discussed above.

Treasury Funding Commitment

Treasury made a commitment under the senior preferred stock purchase agreement to provide funding to us under 

certain circumstances if we have a net worth deficit. As of September 30, 2023, the remaining amount of Treasury’s 

funding commitment to us was $113.9 billion. See “Note 11, Equity” in our 2022 Form 10-K for more information on the 

funding commitment provided by Treasury under the senior preferred stock purchase agreement.

Risk Management

Our business activities expose us to the following major categories of risk: credit risk (including mortgage credit risk and 

institutional counterparty credit risk), market risk (including interest-rate risk), liquidity and funding risk, and operational 

risk (including cyber/information security risk, third-party risk and model risk), as well as strategic risk, compliance risk 

and reputational risk. We are also exposed to climate risk, which can manifest through our existing categories of risk, 

particularly credit risk. See “MD&A—Risk Management” in our 2022 Form 10-K for a discussion of our management of 

these risks. This section supplements and updates that discussion but does not address all of the risk management 

categories described in our 2022 Form 10-K. 

Market Risk Management, including Interest-Rate Risk Management

We are subject to market risk, which includes interest-rate risk and spread risk. These risks arise primarily from our 

mortgage asset investments. Interest-rate risk is the risk that movements in interest rates will adversely affect the value 

of our assets or liabilities or our future earnings or capital. Spread risk is the risk from changes in an instrument’s value 

that relate to factors other than changes in interest rates.

We are exposed to interest-rate risk through our “net portfolio,” which we define as our retained mortgage portfolio 

assets; our other investments portfolio; outstanding debt of Fannie Mae used to fund the retained mortgage portfolio 

assets and other investments portfolio; mortgage commitments; and risk management derivatives. Our goal is to 

manage interest-rate risk from our net portfolio to be neutral to changes in interest rates and volatility on an economic 

basis, subject to model constraints and prevailing market conditions. We actively manage the interest-rate risk of our net 

portfolio through the use of interest-rate derivatives and by issuing a broad range of both callable and non-callable debt 

instruments.

We are also exposed to interest-rate risk in connection with mortgage assets held by our consolidated MBS trusts. One 

exposure is cost basis adjustments that often result from upfront cash fees exchanged at the time of loan acquisition, 

which include buy-ups, buy-downs, and loan-level risk-based price adjustments. Another exposure is the float income 

earned by MBS trusts on the short-term reinvestment of loan payments received from borrowers in highly liquid 

investments with short maturities, such as U.S. Treasury securities. This float income is paid to us as trust management 

income and recorded within “Net interest income” in our condensed consolidated financial statements. We do not 

currently actively manage or hedge, on an economic basis, our spread risk or the interest-rate risk arising from cost 

basis adjustments and float income associated with mortgage assets held by our consolidated MBS trusts.

This section supplements and updates information regarding market risk management in our 2022 Form 10-K. See 

“MD&A—Risk Management—Market Risk Management, including Interest-Rate Risk Management” and “Risk Factors—

Market and Industry Risk” in our 2022 Form 10-K for additional information, including our sources of interest-rate risk 

exposure, business risks posed by changes in interest rates, and our strategy for managing interest-rate risk. For 

additional information on the impact of interest-rate risk on our earnings, see “Earnings Exposure to Interest-Rate Risk” 

below.

MD&A | Liquidity and Capital Management

Fannie Mae Third Quarter 2023 Form 10-Q 54
Measurement of Interest-Rate Risk

The table below displays the pre-tax market value sensitivity of our net portfolio to changes in the level of interest rates 

and the slope of the applicable yield curve as measured on the last day of each period presented. The table below also 

provides the daily average, minimum, maximum and standard deviation values for duration gap and for the most 

adverse market value impact on the net portfolio to changes in the level of interest rates and the slope of the applicable 

yield curve for the three months ended September 30, 2023 and 2022. Our practice is to allow interest rates to go below 

zero in the downward shock models unless otherwise prevented through contractual floors. 

Effective April 2023, we transitioned our portfolio interest-rate risk measurement process from using LIBOR to using 

SOFR as the benchmark interest rate. This change did not have a significant impact on the measurement of our 

interest-rate risk or our financial results for the three months ended September 30, 2023. The interest-rate sensitivity 

metrics in the table below as of December 31, 2022 and for the three months ended September 30, 2022 were not 

revised.

For information on how we measure our interest-rate risk, see “MD&A—Risk Management—Market Risk Management, 

including Interest-Rate Risk Management” in our 2022 Form 10-K.

Interest-Rate Sensitivity of Net Portfolio to Changes in Interest-Rate Level and Slope of Yield 

Curve

As of(1)(2)

September 30, 2023 December 31, 2022

(Dollars in millions)

Rate level shock:

-100 basis points $ 51 $ (10) 

-50 basis points 26 5 

+50 basis points (34) (14) 

+100 basis points (66) (35) 

Rate slope shock:

-25 basis points (flattening) (17) (8) 

+25 basis points (steepening) 10 10 

For the Three Months Ended September 30,(1)(3)

2023 2022

Duration 

Gap

Rate Slope 

Shock 25 bps

Rate Level 

Shock 50 bps

Duration 

Gap

Rate Slope 

Shock 25 bps

Rate Level 

Shock 50 bps

Market Value Sensitivity Market Value Sensitivity

(In years) (Dollars in millions) (In years) (Dollars in millions)

Average 0.04 $ (9) $ (33) (0.03) $ (7) $ (32) 

Minimum 0.01 (18) (58) (0.07) (11) (64) 

Maximum 0.06 (1) (11) — (3) (7) 

Standard deviation 0.01 4 10 0.01 2 12 

(1) Computed based on changes in SOFR interest-rates swap curve as of and for the three months ended September 30, 2023. Computed 

based on changes in U.S. LIBOR interest-rates swap curve as of December 31, 2022 and for the three months ended September 30, 

2022. Changes in the level of interest rates assume a parallel shift in all maturities of the SOFR or U.S. LIBOR interest-rate swap curve, as 

applicable. Changes in the slope of the yield curve assume a constant 7-year rate, a shift of 16.7 basis points for the 1-year rate (and 

shorter tenors) and an opposite shift of 8.3 basis points for the 30-year rate. Rate shocks for remaining maturity points are interpolated.

(2) Measured on the last business day of each period presented. 

(3) Computed based on daily values during the period presented.

The market value sensitivity of our net portfolio varies across a range of interest-rate shocks depending upon the 

duration and convexity profile of our net portfolio. The market value sensitivity of the net portfolio is measured by 

quantifying the change in the present value of the cash flows of our financial assets and liabilities that would result from 

an instantaneous shock to interest rates, assuming spreads are held constant.

MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 55
We use derivatives to help manage the residual interest-rate risk exposure between the assets and liabilities in our net 

portfolio. Derivatives have enabled us to keep our economic interest-rate risk exposure at consistently low levels in a 

wide range of interest-rate environments. The table below displays an example of how derivatives impacted the net 

market value exposure for a 50 basis point parallel interest-rate shock. For additional information on our derivative 

positions, see “Note 8, Derivative Instruments” in our 2022 Form 10-K and in this report.

Derivative Impact on Interest-Rate Risk (50 Basis Points)

As of(1)

September 30, 2023 December 31, 2022

(Dollars in millions)

Before derivatives $ (280) $ (177) 

After derivatives (34) (14) 

Effect of derivatives 246 163 

(1) Measured on the last business day of each period presented.

Earnings Exposure to Interest-Rate Risk

While we manage the interest-rate risk of our net portfolio with the objective of remaining neutral to movements in 

interest rates and volatility on an economic basis, our earnings can experience volatility due to interest-rate changes 

and differing accounting treatments that apply to certain financial instruments on our balance sheet. Specifically, we 

have exposure to earnings volatility that is driven by changes in interest rates in two primary areas: our net portfolio and 

our consolidated MBS trusts. The exposure in the net portfolio is primarily driven by changes in the fair value of risk 

management derivatives, mortgage commitments, and certain assets, primarily securities, that are carried at fair value. 

The exposure related to our consolidated MBS trusts relates to changes in our credit loss reserves and to the 

amortization of cost basis adjustments resulting from changes in interest rates.

We apply fair value hedge accounting to address some of the exposure to interest rates, particularly the earnings 

volatility related to changes in benchmark interest rates. Our hedge accounting program is specifically designed to 

address the volatility of our financial results associated with changes in fair value related to changes in these 

benchmark interest rates. As such, earnings variability driven by other factors, such as spreads or changes in cost basis 

amortization recognized in net interest income, remains. In addition, our ability to effectively reduce earnings volatility is 

dependent upon the volume and type of interest-rate swaps available for hedging, which is driven by our interest-rate 

risk management strategy discussed above and in our 2022 Form 10-K. As our range of available interest-rate swaps 

varies over time, our ability to reduce earnings volatility through hedge accounting may vary as well. When the shape of 

the yield curve shifts significantly from period to period, hedge accounting may be less effective. In our current program, 

we establish new hedging relationships daily to provide flexibility in our overall risk management strategy. 

See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K and “Note 8, Derivative Instruments” in 

this report for additional information on our fair value hedge accounting policy and related disclosures.

Critical Accounting Estimates

The preparation of financial statements in accordance with generally accepted accounting principles in the United 

States of America (“GAAP”) requires management to make a number of judgments, estimates and assumptions that 

affect the reported amount of assets, liabilities, income and expenses in our condensed consolidated financial 

statements. Understanding our accounting policies and the extent to which we use management judgment and 

estimates in applying these policies is integral to understanding our financial statements. We describe our most 

significant accounting policies in “Note 1, Summary of Significant Accounting Policies” in this report and in our 2022

Form 10-K.

We evaluate our critical accounting estimates and judgments required by our policies on an ongoing basis and update 

them as necessary based on changing conditions. Management has discussed any significant changes in judgments 

and assumptions in applying our critical accounting estimates with the Audit Committee of our Board of Directors. See 

“Risk Factors—General Risk” in our 2022 Form 10-K for a discussion of the risks associated with the need for 

management to make judgments and estimates in applying our accounting policies and methods. We have identified 

one of our accounting estimates, allowance for loan losses, as critical because it involves significant judgments and 

assumptions about highly complex and inherently uncertain matters, and the use of reasonably different judgments and 

assumptions could have a material impact on our reported results of operations or financial condition.

MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

Fannie Mae Third Quarter 2023 Form 10-Q 56
Allowance for Loan Losses

The allowance for loan losses is an estimate of single-family and multifamily HFI loan receivables that we expect will not 

be collected related to loans held by Fannie Mae or by consolidated Fannie Mae MBS trusts. The expected credit losses 

are deducted from the amortized cost basis of HFI loans to present the net amount expected to be received. 

The allowance for loan losses involves substantial judgment on a number of matters including the development and 

weighting of macroeconomic forecasts, the reversion period applied, the assessment of similar risk characteristics, 

which determines the historic loss experience used to derive probability of loan default, the valuation of collateral, and 

the determination of a loan’s remaining expected life. Our most significant judgments involved in estimating our 

allowance for loan losses relate to the macroeconomic data used to develop reasonable and supportable forecasts for 

key economic drivers, which are subject to significant inherent uncertainty. Most notably, for single-family, the model 

uses forecasted single-family home prices as well as a range of possible future interest rate environments, which drive 

prepayment speeds and impact the measurement of the economic concession provided on loans modified in 

restructurings that were accounted for as TDRs. For multifamily, the model uses forecasted rental income and property 

valuations over the remaining life of each mortgage loan. In developing a reasonable and supportable forecast, the 

model simulates multiple paths of interest rates, rental income and property values based on current market conditions. 

Pursuant to our adoption of Accounting Standards Update (“ASU”) 2022-02, Financial Instruments – Credit Losses, 

Troubled Debt Restructurings and Vintage Disclosures, effective January 1, 2022, we prospectively discontinued TDR 

accounting and no longer measure the economic concession for loan modifications occurring on or after the adoption 

date. In addition, modifications to loans previously designated as TDRs that occur on or after January 1, 2022, are 

accounted for under this ASU and result in the elimination of any prior economic concession recorded in the allowance 

related to such loans. Although increases in interest rates were a meaningful driver of our credit losses in previous 

periods, we expect the decrease in the balance of loans that were previously designated as TDRs will reduce the 

sensitivity of our benefit (provision) for credit losses to interest rate volatility over time. See “Note 1, Summary of 

Significant Accounting Policies—New Accounting Guidance” in our 2022 Form 10-K for more information about ASU 

2022-02.

Quantitative Component

We use a discounted cash flow method to measure expected credit losses on our single-family mortgage loans and an 

undiscounted loss method to measure expected credit losses on our multifamily mortgage loans. The models use 

reasonable and supportable forecasts for key macroeconomic drivers. 

Our modeled loan performance is based on our historical experience of loans with similar risk characteristics adjusted to 

reflect current conditions and reasonable and supportable forecasts. Our historical loss experience and our loan loss 

estimates capture the possibility of a multitude of events, including remote events that could result in credit losses on 

loans that are considered low risk. Our credit loss models, including the macroeconomic forecast data used as key 

inputs, are subject to our model oversight and review processes as well as other established governance and controls. 

Qualitative Component

Our process for measuring expected credit losses is complex and involves significant management judgment, including 

a reliance on historical loss information and current economic forecasts that may not be representative of credit losses 

we ultimately realize. Management adjustments may be necessary to take into consideration external factors and 

current macroeconomic events that have occurred but are not yet reflected in the data used to derive the model outputs. 

Qualitative factors and events not previously observed by the models through historical loss experience may also be 

considered, as well as the uncertainty of their impact on credit loss estimates. 

Macroeconomic Variables and Sensitivities

Our benefit or provision for credit losses can vary substantially from period to period based on forecasted 

macroeconomic drivers; primarily home prices and interest rates related to our single-family book of business, which for 

the purposes of macroeconomic model inputs, we have determined are the most significant judgments used in our 

estimation of credit losses. We develop regional forecasts for single-family home prices using a multi-path simulation 

that captures home price projections over a five-year period, which is the period for which we can develop reasonable 

and supportable forecasts. After the five-year period, the home price forecast reverts to a historical long-term growth 

rate. Additionally, our model projects the range of possible interest rate scenarios over the life of the loan. This process 

captures multiple possible outcomes of what could be more or less favorable economic environments for the borrower, 

and therefore will increase or decrease the likelihood of default or prepayment depending on the environment in each 

path of the simulation. 

MD&A | Critical Accounting Estimates

Fannie Mae Third Quarter 2023 Form 10-Q 57
The table below provides information about our most significant key macroeconomic inputs used in determining our 

single-family allowance for loan losses: forecasted home price growth rates and interest rates. Although the model 

consumes a wide range of possible regional home price forecasts and interest rate scenarios that take into account 

inherent uncertainty, the forecasts below represent the mean path of those simulations used in determining the 

allowance for each quarter through the nine months ended September 30, 2023, and for each quarter during the year 

ended December 31, 2022, and how those forecasts have changed between periods of estimate. Below we present our 

home price and interest rate estimates for the current full year as well as the two succeeding years used in our estimate 

of expected credit losses. Our forecasts include estimates for periods beyond 2025 that are not presented in the table 

below.

Select Single-Family Macroeconomic Model Inputs(1)

Forecasted home price growth (decline) rate by period of estimate:(2)

For the Full Year ending December 31,

2023 2024 2025

Third Quarter 2023 6.7 % 2.8 % (0.4) %

Second Quarter 2023 3.9 (0.7) (1.5) 

First Quarter 2023 (1.2) (2.2) (1.1) 

For the Full Year ending December 31,

2022 2023 2024

Fourth Quarter 2022 8.4 % (4.2) % (2.3) %

Third Quarter 2022 9.0 (1.5) (1.4) 

Second Quarter 2022 16.0 4.4 0.5 

First Quarter 2022 10.8 3.2 1.3 

Forecasted 30-year interest rates by period of estimate:(3)

Through the 

end of 

December 31,

For the Full Year ending 

December 31,

2023 2024 2025

Third Quarter 2023 7.5 % 7.2 % 6.8 %

Second Quarter 2023 6.7 6.0 5.8 

First Quarter 2023 6.2 5.7 5.5 

Through the 

end of 

December 31,

For the Full Year ending 

December 31,

2022 2023 2024

Fourth Quarter 2022 6.5 % 6.5 % 6.0 %

Third Quarter 2022 6.8 6.7 6.2 

Second Quarter 2022 5.7 5.4 5.2 

First Quarter 2022 4.7 4.8 4.7 

(1) These forecasts are provided here solely for the purpose of providing insight into our credit loss model. Forecasts for future periods are 

subject to significant uncertainty, which increases for periods that are further in the future. We provide our most recent forecasts for certain 

macroeconomic and housing market conditions in “Key Market Economic Indicators.” In addition, each month our Economic & Strategic 

Research group provides its forecast of economic and housing market conditions, which are available in the “About Us/Research and 

Insights” section of our website, www.fanniemae.com. Information on our website is not incorporated into this report.

(2) These estimates are based on our national home price index, which is calculated differently from the S&P/Case-Shiller U.S. National Home 

Price Index and therefore results in different percentages for comparable growth. We periodically update our home price growth estimates 

and forecasts as new data become available. As a result, the forecast data in this table may also differ from the forecasted home price 

growth (decline) rate presented in “Key Market Economic Indicators,” because that section reflects our most recent forecast as of the filing 

date of this report, while this table reflects the quantitative forecast data we used in our model to estimate credit losses for the periods 

shown. Management continues to monitor macroeconomic updates to our inputs in our credit loss model from the time they are approved 

as part of our established governance process to ensure the reasonableness of the inputs used to calculate estimated credit losses. The 

forecast data excludes the impact of any qualitative adjustments.

MD&A | Critical Accounting Estimates

Fannie Mae Third Quarter 2023 Form 10-Q 58
(3) Forecasted 30-year interest rates represent the mean of possible future interest rate environments that are simulated by our interest rate 

model and used in the estimation of credit losses. Forecasts through the end of December 31, 2023 and 2022 represent the average 

forecasted rate from the quarter-end through the calendar year end of December 31st. The fourth quarter of 2022 interest rate represents 

the 30-year interest rate as of December 31, 2022. This table reflects the forecasted interest rate data we used in estimating credit losses 

for the periods shown and does not reflect changes in interest rates that occurred after the forecast date. 

It is difficult to estimate how potential changes in any one factor or input might affect the overall credit loss estimates, 

because management considers a wide variety of factors and inputs in estimating the allowance for loan losses. 

Changes in the factors and inputs considered may not occur at the same rate and may not be consistent across all 

geographies or loan types, and changes in factors and inputs may be directionally inconsistent, such that improvement 

in one factor or input may offset deterioration in others. Changes in our assumptions and forecasts of economic 

conditions could significantly affect our estimate of expected credit losses and lead to significant changes in the 

estimate from one reporting period to the next. 

As noted above, our allowance for loan losses is sensitive to changes in home prices and interest rate changes. To 

consider the impact of a hypothetical change in home prices, assuming a positive one-percentage point change in the 

home price growth rate for the first twelve months of the forecast, on a normalized basis, with all other factors held 

constant, the single-family allowance for loan losses as of September 30, 2023 would decrease by approximately 4%. 

Conversely, assuming a negative one-percentage point change in the home price growth rate for the first twelve months 

of the forecast, on a normalized basis, the single-family allowance for loan losses would increase by approximately 4%. 

To consider the impact of a hypothetical change in 30-year interest rates, assuming a 50-basis point increase in 

estimated 30-year interest rates, with all other factors held constant, the single-family allowance for loan losses as of 

September 30, 2023 would increase by approximately 2%. Conversely, assuming a 50-basis point decrease in 30-year 

interest rates, the single-family allowance for loan losses would decrease by approximately 2%.

These sensitivity analyses are hypothetical and are provided solely for the purpose of providing insight into our credit 

loss model inputs. In addition, sensitivities for home price and interest rate changes are non-linear. As a result, changes 

in these estimates are not incrementally proportional. The purpose of this analysis is to provide an indication of the 

impact of home price appreciation and 30-year interest rates on the estimate of the allowance for credit losses. For 

example, it is not intended to imply management’s expectation of future changes in our forecasts or any other variables 

that may change as a result. 

We provide more detailed information on our accounting for the allowance for loan losses in “Note 1, Summary of 

Significant Accounting Policies” in our 2022 Form 10-K. See “Note 4, Allowance for Loan Losses” for additional 

information about our current period benefit (provision) for loan losses.

See “Key Market Economic Indicators” for additional information about how home prices can affect our credit loss 

estimates, including a discussion of home price growth/decline rates and our home price forecast. Also see 

“Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for information on how our home price 

forecast impacted our single-family benefit (provision) for credit losses.

Impact of Future Adoption of New Accounting Guidance

We identify and discuss the expected impact on our condensed consolidated financial statements of recently issued 

accounting guidance in “Note 1, Summary of Significant Accounting Policies.” 

Forward-Looking Statements

This report includes statements that constitute forward-looking statements within the meaning of Section 21E of the 

Securities Exchange Act of 1934 (the “Exchange Act”). In addition, we and our senior management may from time to 

time make forward-looking statements in our other filings with the SEC, our other publicly available written statements, 

and orally to analysts, investors, the news media and others. Forward-looking statements often include words such as 

“expect,” “anticipate,” “intend,” “plan,” “believe,” “seek,” “estimate,” “forecast,” “project,” “would,” “should,” “could,” 

“likely,” “may,” “will” or similar words. Examples of forward-looking statements in this report include, among others, 

statements relating to our expectations regarding the following matters:

• our future performance and the factors that will affect such performance;

• the future aggregate liquidation preference of our senior preferred stock;

• economic, mortgage market and housing market conditions (including expectations regarding economic 

recession, home price changes, unemployment rates, refinance volumes and interest rates), the factors that will 

affect those conditions, and the impact of those conditions on our business and financial results; 

MD&A | Critical Accounting Estimates

Fannie Mae Third Quarter 2023 Form 10-Q 59
• our business plans and strategies, and their impact;

• the effects of our credit risk transfer transactions;

• volatility in our financial results and the impact of hedge accounting on such volatility; 

• the factors that will affect our retained mortgage portfolio;

• the impact of legislation and regulation on our business or financial results;

• the impact of the adoption of new accounting guidance; 

• our payments to HUD and Treasury funds under the GSE Act;

• the risks to our business;

• the future guaranty fees for and credit performance of the loans in our guaranty book of business (including 

future loan delinquencies and foreclosures) and the factors that will affect such fees and performance; 

• how we intend to repay our debt obligations; and 

• our expectations relating to legal and regulatory proceedings.

Forward-looking statements reflect our management’s current expectations, forecasts or predictions of future conditions, 

events or results based on various assumptions and management’s estimates of trends and economic conditions in the 

markets in which we are active and that otherwise impact our business plans. Forward-looking statements are not 

guarantees of future performance. By their nature, forward-looking statements are subject to significant risks and 

uncertainties and changes in circumstances. Our actual results and financial condition may differ, possibly materially, 

from the anticipated results and financial condition indicated in these forward-looking statements. 

There are a number of factors that could cause actual conditions, events or results to differ materially from those 

described in our forward-looking statements, including, among others, the following: 

• factors that will affect future economic conditions, including the persistence of inflationary pressures and the 

risk of financial market disruptions, including additional stress in the banking sector, which could further tighten 

bank credit conditions, dampen consumer and business confidence, and lead to reduced consumer spending, 

business investment, and hiring activity;

• the impact of stress in the banking sector on the financial condition and business activities of our 

counterparties, including stress on regional banks and on banks with significant exposure to commercial real 

estate;

• defaults by one or more of our counterparties;

• uncertainty regarding our future, our exit from conservatorship, our ability to raise or earn the capital needed to 

meet our capital requirements, and our ability to achieve long-term return targets; 

• significant challenges we face in retaining and hiring qualified executives and other employees; 

• the impact of the senior preferred stock purchase agreement and the enterprise regulatory capital framework, 

as well as future legislative and regulatory requirements or changes, governmental initiatives, or executive 

orders affecting us, such as the enactment of housing finance reform legislation, including changes that limit 

our business activities or our footprint, impose new mandates on us, or affect our ability to change our pricing; 

• actions by FHFA, Treasury, HUD, the Consumer Financial Protection Bureau, the SEC or other regulators, 

Congress, the Executive Branch, or state or local governments that affect our business;

• a default by the United States government on its obligations;

• a shutdown of the United States government;

• changes in the structure and regulation of the financial services industry; 

• the timing and level of, as well as regional variation in, home price changes; 

• future interest rates and credit spreads; 

• developments that may be difficult to predict, including: market conditions that result in changes in our 

amortization income from our guaranty book of business or changes in net interest income from our portfolios, 

fluctuations in the estimated fair value of our derivatives and other financial instruments that we mark to market 

through our earnings; and developments that affect our loss reserves, such as changes in interest rates, home 

prices or accounting standards;

• disruptions or instability in the housing and credit markets;

MD&A | Forward-Looking Statements

Fannie Mae Third Quarter 2023 Form 10-Q 60
• the size and our share of the U.S. mortgage market and the factors that affect them, including population 

growth and household formation;

• growth, deterioration and the overall health and stability of the U.S. economy, including U.S. GDP, 

unemployment rates, personal income, inflation and other indicators thereof;

• changes in fiscal or monetary policy of the U.S. or other countries, and the impact of such changes on domestic 

and international financial markets; 

• our and our competitors’ future guaranty fee pricing and the impact of that pricing on our competitive 

environment and guaranty fee revenues; 

• the volume of mortgage originations;

• the size, composition, quality and performance of our guaranty book of business and retained mortgage 

portfolio; 

• the competitive environment in which we operate, including the impact of legislative, regulatory or other 

developments on levels of competition in our industry and other factors affecting our market share; 

• how long loans in our guaranty book of business remain outstanding; 

• the effectiveness of our business resiliency plans and systems;

• changes in the demand for Fannie Mae MBS, in general or from one or more major groups of investors;

• our conservatorship, including any changes to or termination (by receivership or otherwise) of the 

conservatorship and its effect on our business; 

• the investment by Treasury, including the impact of past or potential future changes to the terms of the senior 

preferred stock purchase agreement, and their effect on our business, including restrictions imposed on us by 

the terms of the senior preferred stock purchase agreement, the senior preferred stock, and the warrant, as 

well as the extent that these or other restrictions on our business and activities are applied to us through other 

mechanisms even if we cease to be subject to these agreements and instruments; 

• adverse effects from activities we undertake to support the mortgage market and help borrowers, renters, 

lenders and servicers; 

• actions we may be required to take by FHFA, in its role as our conservator or as our regulator, such as changes 

in the type of business we do, or actions relating to UMBS or our resecuritization of Freddie Mac-issued 

securities; 

• limitations on our business imposed by FHFA, in its role as our conservator or as our regulator; 

• our current and future objectives and activities in support of those objectives, including actions we may take to 

reach additional underserved borrowers or address barriers to sustainable housing opportunities and advance 

equity in housing finance; 

• the possibility that changes in leadership at FHFA or the Administration may result in changes that affect our 

company or our business;

• our reliance on Common Securitization Solutions, LLC (“CSS”), a limited liability company we own jointly with 

Freddie Mac, and the common securitization platform CSS operates for a majority of our single-family 

securitization activities; provisions in the CSS limited liability company agreement that permit FHFA to add 

members to the CSS Board of Managers, which may limit the ability of Fannie Mae and Freddie Mac to control 

decisions of the Board; and changes FHFA may require in our relationship with or in our support of CSS;

• a decrease in our credit ratings; 

• limitations on our ability to access the debt capital markets; 

• constraints on our entry into new credit risk transfer transactions;

• significant changes in forbearance, modification and foreclosure activity; 

• the volume and pace of any future nonperforming and reperforming loan sales and their impact on our results 

and serious delinquency rates; 

• changes in borrower behavior; 

• actions we may take to mitigate losses, and the effectiveness of our loss mitigation strategies, management of 

our REO inventory and pursuit of contractual remedies; 

• resolution or settlement agreements we may enter into with our counterparties; 

MD&A | Forward-Looking Statements

Fannie Mae Third Quarter 2023 Form 10-Q 61
• our need to rely on third parties to fully achieve some of our corporate objectives; 

• our reliance on mortgage servicers; 

• changes in GAAP, guidance by the Financial Accounting Standards Board (“FASB”) and changes to our 

accounting policies; 

• changes in the fair value of our assets and liabilities; 

• the stability and adequacy of the systems and infrastructure that impact our operations, including ours and 

those of CSS, our other counterparties and other third parties; 

• the impact of interdependence between the single-family mortgage securitization programs of Fannie Mae and 

Freddie Mac in connection with UMBS;

• operational control weaknesses; 

• our reliance on models and future updates we make to our models, including the data and assumptions used 

by these models; 

• the effectiveness of our risk management processes and related controls, including those relating to climate 

risk and model risk;

• domestic and global political risks and uncertainties, including the impact of conflict in the Middle East, the 

Russian war in Ukraine, and tensions between China and Taiwan; 

• natural disasters, environmental disasters, terrorist attacks, widespread health emergencies or pandemics, 

infrastructure failures, or other disruptive or catastrophic events; 

• severe weather events, fires, floods or other climate change events or impacts, including those for which we 

may be uninsured or under-insured or that may affect our counterparties, and other risks resulting from climate 

change and efforts to address climate change and related risks;

• cyber attacks or other information security breaches or threats; and 

• the other factors described in “Risk Factors” in our 2022 Form 10-K.

Readers are cautioned not to unduly rely on the forward-looking statements we make and to place these forwardlooking statements into proper context by carefully considering the factors identified above and those discussed in “Risk 

Factors” in our 2022 Form 10-K. These forward-looking statements are representative only as of the date they are 

made, and we undertake no obligation to update any forward-looking statement as a result of new information, future 

events or otherwise, except as required under the federal securities laws. 

MD&A | Forward-Looking Statements

Fannie Mae Third Quarter 2023 Form 10-Q 62
Item 1. Financial Statements

FANNIE MAE

(In conservatorship)

Condensed Consolidated Balance Sheets — (Unaudited)

(Dollars in millions)

As of

September 30, 

2023

December 31, 

2022

ASSETS

Cash and cash equivalents $ 48,604 $ 57,987 

Restricted cash and cash equivalents (includes $26,993 and $23,348, respectively, related to 

consolidated trusts) 33,195 29,854 

Securities purchased under agreements to resell (includes $900 and $3,475, respectively, related to 

consolidated trusts) 22,850 14,565 

Investments in securities, at fair value 51,872 50,825 

Mortgage loans:

Loans held for sale, at lower of cost or fair value 2,587 2,033 

Loans held for investment, at amortized cost:

Of Fannie Mae 49,767 52,081 

Of consolidated trusts 4,090,205 4,071,669 

 Total loans held for investment (includes $3,207 and $3,645, respectively, at fair value) 4,139,972 4,123,750 

Allowance for loan losses (8,671) (11,347) 

Total loans held for investment, net of allowance 4,131,301 4,112,403 

Total mortgage loans 4,133,888 4,114,436 

Advances to lenders 3,384 1,502 

Deferred tax assets, net 11,885 12,911 

Accrued interest receivable, net (includes $9,861 and $9,241 related to consolidated trusts and net of 

allowance of $33 and $111, respectively) 10,462 9,821 

Other assets 13,240 13,387 

Total assets $ 4,329,380 $ 4,305,288 

LIABILITIES AND EQUITY

Liabilities:

Accrued interest payable (includes $9,998 and $9,347, respectively, related to consolidated trusts) $ 10,758 $ 9,917 

Debt:

Of Fannie Mae (includes $833 and $1,161, respectively, at fair value) 125,652 134,168 

Of consolidated trusts (includes $14,210 and $16,260, respectively, at fair value) 4,106,110 4,087,720 

Other liabilities (includes $1,715 and $1,748, respectively, related to consolidated trusts) 13,135 13,206 

Total liabilities 4,255,655 4,245,011 

Commitments and contingencies (Note 13) — — 

Fannie Mae stockholders’ equity:

Senior preferred stock (liquidation preference of $190,543 and $180,339, respectively) 120,836 120,836 

Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding 19,130 19,130 

Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 

1,158,087,567 shares outstanding 687 687 

Accumulated deficit (59,546) (73,011) 

Accumulated other comprehensive income 18 35 

Treasury stock, at cost, 150,675,136 shares (7,400) (7,400) 

Total stockholders’ equity (See Note 1: Senior Preferred Stock Purchase Agreement and Senior 

Preferred Stock for information on the related dividend obligation and liquidation preference) 73,725 60,277 

Total liabilities and equity $ 4,329,380 $ 4,305,288 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Balance Sheets

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 63
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Operations and 

Comprehensive Income — (Unaudited)

(Dollars and shares in millions, except per share amounts) 

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

Interest income:

Investments in securities $ 1,075 $ 525 $ 3,157 $ 1,009 

Mortgage loans 33,711 30,114 98,503 86,338 

Other 629 211 1,665 298 

Total interest income 35,415 30,850 103,325 87,645 

Interest expense:

Short-term debt (201) (17) (503) (23) 

Long-term debt (27,994) (23,709) (81,781) (65,291) 

Total interest expense (28,195) (23,726) (82,284) (65,314) 

Net interest income 7,220 7,124 21,041 22,331 

Benefit (provision) for credit losses 652 (2,536) 1,786 (2,994) 

Net interest income after benefit (provision) for credit losses 7,872 4,588 22,827 19,337 

Investment gains (losses), net 8 (172) (34) (323) 

Fair value gains, net 795 292 1,403 1,301 

Fee and other income 76 105 209 269 

Non-interest income 879 225 1,578 1,247 

Administrative expenses:

Salaries and employee benefits (477) (439) (1,424) (1,244) 

Professional services (211) (229) (587) (636) 

Other administrative expenses (209) (202) (618) (593) 

Total administrative expenses (897) (870) (2,629) (2,473) 

TCCA fees (860) (850) (2,571) (2,515) 

Credit enhancement expense (390) (364) (1,115) (974) 

Change in expected credit enhancement recoveries (128) 290 (168) 303 

Other expenses, net (535) (154) (922) (612) 

Total expenses (2,810) (1,948) (7,405) (6,271) 

Income before federal income taxes 5,941 2,865 17,000 14,313 

Provision for federal income taxes (1,242) (429) (3,535) (2,816) 

Net income 4,699 2,436 13,465 11,497 

Other comprehensive loss (18) (3) (17) (14) 

Total comprehensive income $ 4,681 $ 2,433 $ 13,448 $ 11,483 

Net income $ 4,699 $ 2,436 $ 13,465 $ 11,497 

Dividends distributed or amounts attributable to senior preferred stock (4,681) (2,433) (13,448) (11,483) 

Net income attributable to common stockholders $ 18 $ 3 $ 17 $ 14 

Earnings per share:

Basic $ 0.00 $ 0.00 $ 0.00 $ 0.00 

Diluted 0.00 0.00 0.00 0.00 

Weighted-average common shares outstanding:

Basic 5,867 5,867 5,867 5,867 

Diluted 5,893 5,893 5,893 5,893 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Statements of Operations and Comprehensive Income

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 64
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Cash Flows — 

(Unaudited)

(Dollars in millions)

For the Nine Months 

Ended September 30,

2023 2022

Net cash provided by operating activities $ 9,848 $ 33,411 

Cash flows provided by (used in) investing activities:

Mortgage loans acquired held for investment:

Purchases (96,791) (213,203) 

Proceeds from sales 1,541 5,860 

Proceeds from repayments 258,578 415,130 

Advances to lenders (82,907) (152,947) 

Proceeds from disposition of acquired property and preforeclosure sales 3,767 2,097 

Net change in securities purchased under agreements to resell (8,285) (3,207) 

Other, net (660) (1,267) 

Net cash provided by investing activities 75,243 52,463 

Cash flows provided by (used in) financing activities:

Proceeds from issuance of debt of Fannie Mae 307,041 260,669 

Payments to redeem debt of Fannie Mae (315,741) (328,132) 

Proceeds from issuance of debt of consolidated trusts 181,366 402,949 

Payments to redeem debt of consolidated trusts (263,799) (466,430) 

Net cash used in financing activities (91,133) (130,944) 

Net increase (decrease) in cash, cash equivalents and restricted cash and cash equivalents (6,042) (45,070) 

Cash, cash equivalents and restricted cash and cash equivalents at beginning of period 87,841 108,631 

Cash, cash equivalents and restricted cash and cash equivalents at end of period $ 81,799 $ 63,561 

Cash paid during the period for:

Interest $ 83,207 $ 74,956 

Income taxes 2,050 2,700 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Statements of Cash Flows

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 65
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Changes in 

Equity — (Unaudited)

(Dollars and shares in millions)

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of June 30, 2023 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (64,245) $ 36 $ (7,400) $ 69,044 

Comprehensive income:

Net income — — — — — — 4,699 — — 4,699 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $3) — — — — — — — (16) — (16) 

Other (net of taxes of $1) — — — — — — — (2) — (2) 

Total comprehensive income 4,681 

Balance as of September 30, 2023 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (59,546) $ 18 $ (7,400) $ 73,725 

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of December 31, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (73,011) $ 35 $ (7,400) $ 60,277 

Comprehensive income:

Net income — — — — — — 13,465 — — 13,465 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $3) — — — — — — — (12) — (12) 

Other (net of taxes of $1) — — — — — — — (5) — (5) 

Total comprehensive income 13,448 

Balance as of September 30, 2023 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (59,546) $ 18 $ (7,400) $ 73,725 

See Notes to Condensed Consolidated Financial Statements

Financial Statements | Condensed Consolidated Statements of Changes in Equity

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 66
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Changes in 

Equity — (Unaudited)

(Dollars and shares in millions)

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of June 30, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (76,873) $ 27 $ (7,400) $ 56,407 

Comprehensive income:

Net income — — — — — — 2,436 — — 2,436 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $1) — — — — — — — (4) — (4) 

Reclassification adjustment for gains included 

in net income (net of taxes of $1) — — — — — — — 3 — 3 

Other (net of taxes of $1) — — — — — — — (2) — (2) 

Total comprehensive income 2,433 

Balance as of September 30, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (74,437) $ 24 $ (7,400) $ 58,840 

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of December 31, 2021 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (85,934) $ 38 $ (7,400) $ 47,357 

Comprehensive income:

Net income — — — — — — 11,497 — — 11,497 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $5) — — — — — — — (19) — (19) 

Reclassification adjustment for gains included 

in net income (net of taxes of $3) — — — — — — — 11 — 11 

Other (net of taxes of $2) — — — — — — — (6) — (6) 

Total comprehensive income 11,483 

Balance as of September 30, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (74,437) $ 24 $ (7,400) $ 58,840 

See Notes to Condensed Consolidated Financial Statements

Financial Statements | Condensed Consolidated Statements of Changes in Equity

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 67
FANNIE MAE

(In conservatorship)

Notes to Condensed Consolidated Financial Statements

(Unaudited)

1. Summary of Significant Accounting Policies

Fannie Mae is a leading source of financing for mortgages in the United States. We are a shareholder-owned 

corporation organized as a government-sponsored enterprise (“GSE”) and existing under the Federal National Mortgage 

Association Charter Act (the “Charter Act” or our “charter”). We were chartered by Congress to provide liquidity and 

stability to the residential mortgage market and to promote access to mortgage credit. Our regulators include the 

Federal Housing Finance Agency (“FHFA”), the U.S. Department of Housing and Urban Development (“HUD”), the U.S. 

Securities and Exchange Commission (“SEC”) and the U.S. Department of the Treasury (“Treasury”). The U.S. 

government does not guarantee our securities or other obligations. 

We have been under conservatorship, with FHFA acting as conservator, since September 6, 2008. See below and “Note 

1, Summary of Significant Accounting Policies” in our annual report on Form 10-K for the year ended December 31, 

2022 (“2022 Form 10-K”) for additional information on our conservatorship and the impact of U.S. government support 

of our business.

The unaudited interim condensed consolidated financial statements as of and for the three and nine months ended 

September 30, 2023 and related notes should be read in conjunction with our audited consolidated financial statements 

and related notes included in our 2022 Form 10-K. 

Basis of Presentation 

The accompanying unaudited interim condensed consolidated financial statements have been prepared in accordance 

with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information 

and with the SEC’s instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the 

information and note disclosures required by GAAP for complete consolidated financial statements. In the opinion of 

management, all adjustments of a normal recurring nature considered necessary for a fair presentation have been 

included. The accompanying condensed consolidated financial statements include our accounts as well as the accounts 

of other entities in which we have a controlling financial interest. All intercompany accounts and transactions have been 

eliminated. Results for the three and nine months ended September 30, 2023 may not necessarily be indicative of the 

results for the year ending December 31, 2023.

Use of Estimates

Preparing condensed consolidated financial statements in accordance with GAAP requires management to make 

estimates and assumptions that affect our reported amounts of assets and liabilities and disclosure of contingent assets 

and liabilities as of the dates of our condensed consolidated financial statements, as well as our reported amounts of 

revenues and expenses during the reporting periods. Management has made significant estimates in a variety of areas 

including, but not limited to, the allowance for loan losses. Actual results could be different from these estimates.

Conservatorship

On September 7, 2008, the Secretary of the Treasury and the Director of FHFA announced several actions taken by 

Treasury and FHFA regarding Fannie Mae, which included: (1) placing us in conservatorship, with FHFA acting as our 

conservator, and (2) the execution of a senior preferred stock purchase agreement by our conservator, on our behalf, 

and Treasury, pursuant to which we issued to Treasury both senior preferred stock and a warrant to purchase common 

stock. 

Under the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the 

Housing and Economic Recovery Act of 2008 (together, the “GSE Act”), the conservator immediately succeeded to (1) 

all rights, titles, powers and privileges of Fannie Mae, and of any stockholder, officer or director of Fannie Mae with 

respect to Fannie Mae and its assets, and (2) title to the books, records and assets of any other legal custodian of 

Fannie Mae. The conservator subsequently issued an order that provided for our Board of Directors to exercise 

specified functions and authorities. The conservator also provided instructions regarding matters for which conservator 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 68
decision or notification is required. The conservator retains the authority to amend or withdraw its order and instructions 

at any time.

The conservatorship has no specified termination date and there continues to be significant uncertainty regarding our 

future, including how long we will continue to exist in our current form, the extent of our role in the market, the level of 

government support of our business, how long we will be in conservatorship, what form we will have and what 

ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is 

terminated and whether we will continue to exist following conservatorship. Under the GSE Act, the Director of FHFA 

must place us into receivership if they make a written determination that our assets are less than our obligations or if we 

have not been paying our debts, in either case, for a period of 60 days. In addition, the Director of FHFA may place us 

into receivership at the Director’s discretion at any time for other reasons set forth in the GSE Act, including if we are 

critically undercapitalized or if we are undercapitalized and have no reasonable prospect of becoming adequately 

capitalized. Should we be placed into receivership, different assumptions would be required to determine the carrying 

value of our assets, which would likely lead to substantially different financial results. Treasury has made a commitment 

under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a 

net worth deficit. We are not aware of any plans of FHFA (1) to fundamentally change our business model, or (2) to 

reduce the aggregate amount available to or held by the company under our equity structure, which includes the senior 

preferred stock purchase agreement.

Senior Preferred Stock Purchase Agreement and Senior Preferred 

Stock

We discuss more fully our senior preferred stock and the terms of the senior preferred stock purchase agreement, as 

amended, including Treasury’s funding commitment, in “Note 11, Equity” in our 2022 Form 10-K.

Treasury has made a commitment under the senior preferred stock purchase agreement to provide funding to us under 

certain circumstances if we have a net worth deficit. Pursuant to the senior preferred stock purchase agreement, we 

have received a total of $119.8 billion from Treasury as of September 30, 2023, and the amount of remaining funding 

available to us under the agreement is $113.9 billion. We have not received any funding from Treasury under this 

commitment since the first quarter of 2018. We had positive net worth of $73.7 billion as of September 30, 2023.

The dividend provisions of the senior preferred stock permit us to retain increases in our net worth until our net worth 

exceeds the amount of adjusted total capital necessary for us to meet the capital requirements and buffers under the 

enterprise regulatory capital framework established by FHFA. 

The aggregate liquidation preference of the senior preferred stock increased to $190.5 billion as of September 30, 2023

from $185.5 billion as of June 30, 2023, due to the $5.0 billion increase in our net worth in the second quarter of 2023. 

The aggregate liquidation preference of the senior preferred stock will further increase to $195.2 billion as of December 

31, 2023, due to the $4.7 billion increase in our net worth in the third quarter of 2023.

Related Parties

Treasury holds an investment in our senior preferred stock with a liquidation preference as discussed in “Senior 

Preferred Stock Purchase Agreement and Senior Preferred Stock” above, as well as a warrant to purchase shares of 

Fannie Mae common stock equal to 79.9% of the total number of shares of Fannie Mae common stock. Therefore, we 

and Treasury are deemed related parties. 

FHFA’s control of both Fannie Mae and Freddie Mac has caused Fannie Mae, FHFA and Freddie Mac to be deemed 

related parties. Additionally, Fannie Mae and Freddie Mac jointly own Common Securitization Solutions, LLC (“CSS”), a 

limited liability company created to operate a common securitization platform; as a result, CSS is deemed a related 

party. As a part of our joint ownership, Fannie Mae, Freddie Mac and CSS are parties to a limited liability company 

agreement that sets forth the overall framework for the joint venture, including Fannie Mae’s and Freddie Mac’s rights 

and responsibilities as members of CSS. Fannie Mae, Freddie Mac and CSS are also parties to a customer services 

agreement that sets forth the terms under which CSS provides mortgage securitization services to us and Freddie Mac, 

including the operation of the common securitization platform, as well as an administrative services agreement. CSS 

operates as a separate company from us and Freddie Mac, with all funding and limited administrative support services 

and other resources provided to it by us and Freddie Mac.

In the ordinary course of business, Fannie Mae may purchase and sell securities issued by Treasury and Freddie Mac 

in the capital markets. Some of the structured securities we issue are backed in whole or in part by Freddie Mac 

securities. Fannie Mae and Freddie Mac each have agreed to indemnify the other party for losses caused by: its failure 

to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying 

resecuritized securities were issued; its failure to meet its obligations under the customer services agreement; its 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 69
violations of laws; or with respect to material misstatements or omissions in offering documents, ongoing disclosures 

and materials relating to the underlying resecuritized securities. Additionally, we make regular income tax payments to 

and receive tax refunds from the Internal Revenue Service (“IRS”), a bureau of Treasury.

Transactions with Treasury

Treasury Making Home Affordable Program

Our administrative expenses were reduced by $4 million for the three months ended September 30, 2022, and 

$6 million and $11 million for the nine months ended September 30, 2023 and 2022, respectively, due to 

reimbursements from Treasury and Freddie Mac for expenses incurred as program administrator for Treasury’s Home 

Affordable Modification Program and other initiatives under Treasury’s Making Home Affordable Program. Our role as 

program administrator concluded in the third quarter of 2023, and we expect to receive our final reimbursement from 

Treasury in the fourth quarter of 2023.

Obligation to Pay TCCA Fees to Treasury

We recognized Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) fees of $860 million and $850 million for 

the three months ended September 30, 2023 and 2022, respectively, and $2.6 billion and $2.5 billion for the nine

months ended September 30, 2023 and 2022, respectively, of which $860 million had not been remitted to Treasury as 

of September 30, 2023. 

Treasury Interest in Affordable Housing Allocations 

The GSE Act requires us to set aside certain funding obligations, a portion of which is attributable to Treasury’s Capital 

Magnet Fund. These funding obligations are measured as the product of 4.2 basis points and the unpaid principal 

balance of our total new business purchases for the respective period, with 35% of this amount payable to Treasury’s 

Capital Magnet Fund. We recognized a total of $15 million and $19 million in “Other expenses, net” for the three months 

ended September 30, 2023 and 2022, respectively, and $42 million and $85 million for the nine months ended 

September 30, 2023 and 2022, respectively, in connection with Treasury’s Capital Magnet Fund, of which $42 million

had not been remitted as of September 30, 2023.

Transactions with FHFA

The GSE Act authorizes FHFA to establish an annual assessment for regulated entities, including Fannie Mae, which is 

payable on a semi-annual basis (April and October), for FHFA’s costs and expenses, as well as to maintain FHFA’s 

working capital. We recognized FHFA assessment fees, which are recorded in “Administrative expenses” in our 

condensed consolidated statements of operations and comprehensive income, of $39 million and $30 million for the 

three months ended September 30, 2023 and 2022, respectively, and $118 million and $93 million for the nine months 

ended September 30, 2023 and 2022, respectively.

Transactions with CSS and Freddie Mac

We contributed funds to CSS, the company we jointly own with Freddie Mac, of $13 million for the three months ended 

September 30, 2023 and 2022, and $55 million and $51 million for the nine months ended September 30, 2023 and 

2022, respectively. Net operating losses associated with our investment in CSS are recorded in “Other expenses, net” in 

our condensed consolidated statements of operations and comprehensive income. 

Acquired Property, Net 

We recognize foreclosed property (i.e., “Acquired property, net”) upon the earlier of the loan foreclosure event or when 

we take physical possession of the property (i.e., through a deed-in-lieu of foreclosure transaction). We present 

foreclosed property in “Other assets” in our condensed consolidated balance sheets. We held $1.7 billion and 

$1.6 billion of acquired property, net as of September 30, 2023 and December 31, 2022, respectively.

Earnings per Share 

Earnings per share (“EPS”) is presented for basic and diluted EPS. We compute basic EPS by dividing net income 

attributable to common stockholders by the weighted-average number of shares of common stock outstanding during 

the period. However, as a result of our conservatorship status and the terms of the senior preferred stock, no amounts 

would be available to distribute as dividends to common or preferred stockholders (other than to Treasury as the holder 

of the senior preferred stock). Net income attributable to common stockholders excludes amounts attributable to the 

senior preferred stock liquidation preference, which increases as described in “Note 11, Equity” in our 2022 Form 10-K. 

Weighted average common shares include 4.7 billion shares for the periods ended September 30, 2023 and 2022 that 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 70
would have been issued upon the full exercise of the warrant issued to Treasury from the date the warrant was issued 

through September 30, 2023 and 2022.

The calculation of diluted EPS includes all the components of basic earnings per share, plus the dilutive effect of 

common stock equivalents such as convertible securities and stock options. Weighted average shares outstanding is 

increased to include the number of additional common shares that would have been outstanding if the dilutive potential 

common shares had been issued. For the three and nine months ended September 30, 2023 and 2022, our diluted EPS 

weighted-average shares outstanding includes 26 million shares issuable upon the conversion of convertible preferred 

stock.

New Accounting Guidance

Fair Value Hedging - Portfolio Layer Method

On March 28, 2022, the FASB issued ASU 2022-01, Fair Value Hedging - Portfolio Layer Method, which clarifies the 

guidance on fair value hedge accounting of interest rate risk portfolios of financial assets. The ASU expands the scope 

of the previous last-of-layer method to allow entities to apply this method, renamed the portfolio layer method, to nonprepayable financial assets and to designate multiple hedge relationships within a single closed portfolio of financial 

assets. Additionally, the ASU clarifies that basis adjustments related to existing portfolio layer hedge relationships 

should not be allocated to the individual financial assets of the closed portfolio and should not be considered when 

measuring credit losses on those assets. Further, the ASU clarifies that any reversal of fair value hedge basis 

adjustments associated with an actual breach should be recognized in interest income immediately.

The ASU is effective for public business entities for fiscal years beginning after December 15, 2022, and interim periods 

within those years. Our adoption of this guidance effective January 1, 2023 did not have a material impact on our 

financial statements.

Investments - Equity Method and Joint Ventures

On March 29, 2023, the FASB issued ASU 2023-02, Investments - Equity Method and Joint Ventures (Topic 323), 

Accounting for Investment in Tax Credit Structures Using the Proportional Amortization Method. The ASU expands the 

scope of the proportional amortization method that is currently restricted to investments in low-income housing tax credit 

(“LIHTC”) structures by allowing an entity to elect this method on a program-by-program basis to other qualifying tax 

equity investments. 

The ASU is effective for public business enterprises on January 1, 2024 and may be adopted using either a full or 

modified retrospective method. Early adoption is permitted. We do not expect the adoption of this guidance to have a 

material effect on our financial statements.

2. Consolidations and Transfers of Financial Assets

We have interests in various entities that are considered to be variable interest entities (“VIEs”). The primary types of 

entities are securitization and resecuritization trusts, limited partnerships and special purpose vehicles (“SPVs”). These 

interests include investments in securities issued by VIEs, such as Fannie Mae MBS created pursuant to our 

securitization transactions and our guaranty to the entity. We consolidate the substantial majority of our single-class 

securitization trusts because our role as guarantor and master servicer provides us with the power to direct matters 

(primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not 

consolidate single-class securitization trusts when other organizations have the power to direct these activities unless 

we have the unilateral ability to dissolve the trust. We also do not consolidate our resecuritization trusts unless we have 

the unilateral ability to dissolve the trust. The underlying assets of our resecuritization trusts include both Fannie Mae 

securities collateralized solely by mortgage loans held in consolidated trusts, as well as uniform mortgage-backed 

securities (“UMBS®”) collateralized with securities issued by Fannie Mae or Freddie Mac. The mortgage loans that serve 

as collateral for Freddie Mac-issued securities are not held in trusts that are consolidated by Fannie Mae.

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 71
Unconsolidated VIEs

We do not consolidate VIEs when we are not deemed to be the primary beneficiary. Our unconsolidated VIEs include 

securitization and resecuritization trusts, limited partnerships, and certain SPVs designed to transfer credit risk. The 

following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement 

with unconsolidated securitization and resecuritization trusts.

As of

September 30, 2023 December 31, 2022

(Dollars in millions)

Assets and liabilities recorded in our condensed consolidated balance sheets 

related to unconsolidated mortgage-backed trusts:

Investments in securities, at fair value $ 2,735 $ 3,353 

Other assets 37 40 

Other liabilities (43) (45) 

Net carrying amount $ 2,729 $ 3,348 

Our maximum exposure to loss generally represents the greater of our carrying value in the entity or the unpaid 

principal balance of the assets covered by our guaranty. Our involvement in unconsolidated resecuritization trusts may 

give rise to additional exposure to loss depending on the type of resecuritization trust. Fannie Mae non-commingled 

resecuritization trusts are backed entirely by Fannie Mae MBS. These non-commingled single-class and multi-class 

resecuritization trusts are not consolidated and do not give rise to any additional exposure to loss as we already 

consolidate the underlying collateral. 

Fannie Mae commingled resecuritization trusts are backed in whole or in part by Freddie Mac securities. The guaranty 

that we provide to these commingled resecuritization trusts may increase our exposure to loss to the extent that we are 

providing a guaranty for the timely payment and interest on the underlying Freddie Mac securities that we have not 

previously guaranteed. Our maximum exposure to loss for these unconsolidated trusts is measured by the amount of 

Freddie Mac securities that are held in these resecuritization trusts. 

Our maximum exposure to loss related to unconsolidated securitization and resecuritization trusts, which includes but is 

not limited to our exposure to these Freddie Mac securities, was approximately $224 billion and $240 billion as of 

September 30, 2023 and December 31, 2022, respectively. The total assets of our unconsolidated securitization and 

resecuritization trusts were approximately $230 billion and $240 billion as of September 30, 2023 and December 31, 

2022, respectively.

The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of 

LIHTC investments, community investments and other entities, was $478 million and the related net carrying value was 

$474 million as of September 30, 2023. As of December 31, 2022, the maximum exposure to loss was $427 million and 

the related net carrying value was $424 million. The total assets of these limited partnership investments were 

$5.5 billion and $4.3 billion as of September 30, 2023 and December 31, 2022, respectively.

The maximum exposure to loss related to our involvement with unconsolidated SPVs that transfer credit risk represents 

the unpaid principal balance and accrued interest payable of obligations issued by the Connecticut Avenue Securities®

(“CAS”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) SPVs. The maximum exposure to loss related to 

these unconsolidated SPVs was $20.1 billion and $16.9 billion as of September 30, 2023 and December 31, 2022, 

respectively. The total assets related to these unconsolidated SPVs were $20.1 billion and $17.0 billion as of September 

30, 2023 and December 31, 2022, respectively.

The unpaid principal balance of our multifamily loan portfolio was $455.6 billion as of September 30, 2023. As our 

lending relationship does not provide us with a controlling financial interest in the borrower entity, we do not consolidate 

these borrowers regardless of their status as either a VIE or a voting interest entity. We have excluded these entities 

from our VIE disclosures. However, the disclosures we have provided in “Note 3, Mortgage Loans,” “Note 4, Allowance 

for Loan Losses” and “Note 6, Financial Guarantees” with respect to this population are consistent with the FASB’s 

stated objectives for the disclosures related to unconsolidated VIEs.

Transfers of Financial Assets

We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or 

mortgage-related securities to one or more trusts or special purpose entities. We are considered to be the transferor 

when we transfer assets from our own retained mortgage portfolio in a portfolio securitization transaction. For the three

months ended September 30, 2023 and 2022, the unpaid principal balance of portfolio securitizations was $35.3 billion

Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 72
and $56.1 billion, respectively. For the nine months ended September 30, 2023 and 2022, the unpaid principal balance 

of portfolio securitizations was $100.5 billion and $235.9 billion, respectively. The substantial majority of these portfolio 

securitization transactions generally do not qualify for sale treatment. Portfolio securitization trusts that do qualify for 

sale treatment primarily consist of loans that are guaranteed or insured, in whole or in part, by the U.S. government.

We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class and multiclass portfolio securitization trusts. As of September 30, 2023, the unpaid principal balance of retained interests was 

$844 million and its related fair value was $1.3 billion. As of December 31, 2022, the unpaid principal balance of 

retained interests was $910 million and its related fair value was $1.4 billion. For the three months ended September 30, 

2023 and 2022, the principal, interest and other fees received on retained interests was $72 million and $86 million, 

respectively. For the nine months ended September 30, 2023 and 2022, the principal, interest and other fees received 

on retained interests was $220 million and $308 million, respectively.

3. Mortgage Loans

We own single-family mortgage loans, which are secured by four or fewer residential dwelling units, and multifamily 

mortgage loans, which are secured by five or more residential dwelling units. We classify these loans as either held for 

investment (“HFI”) or held for sale (“HFS”). For purposes of our notes to the condensed consolidated financial 

statements, we report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid 

principal balance, net of unamortized premiums and discounts, hedge-related basis adjustments, other cost basis 

adjustments, and accrued interest receivable in these “Note 3, Mortgage Loans” disclosures. For purposes of our 

condensed consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost 

of our loans held for investment. We report the carrying value of HFS loans at the lower of cost or fair value and record 

valuation changes in “Investment gains (losses), net” in our condensed consolidated statements of operations and 

comprehensive income.

For purposes of the single-family mortgage loan disclosures below, we display loans by class of financing receivable 

type. Financing receivable classes used for disclosure consist of: “20- and 30-year or more, amortizing fixed-rate,” “15-

year or less, amortizing fixed-rate,” “Adjustable-rate,” and “Other.” The “Other” class primarily consists of reverse 

mortgage loans, interest-only loans, negative-amortizing loans and second liens. 

The following table displays the carrying value of our mortgage loans and allowance for loan losses.

As of

September 30, 2023 December 31, 2022

(Dollars in millions)

Single-family $ 3,644,725 $ 3,644,158 

Multifamily 455,555 431,440 

Total unpaid principal balance of mortgage loans 4,100,280 4,075,598 

Cost basis and fair value adjustments, net 42,279 50,185 

Allowance for loan losses for HFI loans (8,671) (11,347) 

Total mortgage loans(1) $ 4,133,888 $ 4,114,436 

(1) Excludes $10.1 billion and $9.5 billion of accrued interest receivable, net of allowance as of September 30, 2023 and December 31, 2022, 

respectively.

Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 73
The following table displays information about our purchase of HFI loans, redesignation of loans and sales of mortgage 

loans during the period.

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Purchase of HFI loans:

Single-family unpaid principal balance $ 89,228 $ 117,686 $ 245,870 $ 529,453 

Multifamily unpaid principal balance 16,415 15,943 41,761 50,627 

Single-family loans redesignated from HFI to HFS:

Amortized cost $ 3,122 $ 1,726 $ 3,122 $ 6,099 

Lower of cost or fair value adjustment at time of redesignation(1) (638) (196) (638) (418) 

Allowance reversed at time of redesignation 47 80 47 298 

Single-family loans redesignated from HFS to HFI:

Amortized cost $ 372 $ 1 $ 372 $ 1 

Single-family loans sold:

Unpaid principal balance $ — $ 1,919 $ 1,842 $ 6,229 

Realized gains, net — 20 17 91 

(1) Consists of the write-off against the allowance at the time of redesignation.

The amortized cost of single-family mortgage loans for which formal foreclosure proceedings were in process was $4.6 

billion as of September 30, 2023 and December 31, 2022. Typically, a portion of the loans in the process of formal 

foreclosure proceedings will not ultimately foreclose as a result of our various loss mitigation and foreclosure prevention 

efforts.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 74
Aging Analysis

The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio 

segment and class of financing receivable, excluding loans for which we have elected the fair value option.

As of September 30, 2023

30 - 59 

Days 

Delinquent

60 - 89 

Days 

Delinquent

Seriously 

Delinquent(1)

Total 

Delinquent Current Total

Loans 90 

Days or 

More 

Delinquent 

and 

Accruing 

Interest

Nonaccrual 

Loans with 

No 

Allowance

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 29,388 $ 7,174 $ 17,461 $ 54,023 $ 3,140,515 $ 3,194,538 $ 2,208 $ 3,412 

15-year or less, 

amortizing 

fixed-rate 1,648 289 639 2,576 441,002 443,578 126 165 

Adjustable-rate 157 34 101 292 26,413 26,705 18 26 

Other(2) 566 153 614 1,333 25,105 26,438 178 247 

Total single-family 31,759 7,650 18,815 58,224 3,633,035 3,691,259 2,530 3,850 

Multifamily(3) 187 N/A 2,169 2,356 453,272 455,628 295 807 

Total $ 31,946 $ 7,650 $ 20,984 $ 60,580 $ 4,086,307 $ 4,146,887 $ 2,825 $ 4,657 

As of December 31, 2022

30 - 59 

Days 

Delinquent

60 - 89 

Days 

Delinquent

Seriously 

Delinquent(1)

Total 

Delinquent Current Total

Loans 90 

Days or 

More 

Delinquent 

and 

Accruing 

Interest

Nonaccrual 

Loans with 

No 

Allowance

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 27,891 $ 6,774 $ 19,990 $ 54,655 $ 3,092,199 $ 3,146,854 $ 13,257 $ 3,254 

15-year or less, 

amortizing 

fixed-rate 1,902 314 800 3,016 488,452 491,468 666 82 

Adjustable-rate 176 38 127 341 26,767 27,108 90 24 

Other(2) 660 179 898 1,737 30,362 32,099 424 324 

Total single-family 30,629 7,305 21,815 59,749 3,637,780 3,697,529 14,437 3,684 

Multifamily(3) 173 N/A 955 1,128 431,094 432,222 11 13 

Total $ 30,802 $ 7,305 $ 22,770 $ 60,877 $ 4,068,874 $ 4,129,751 $ 14,448 $ 3,697 

(1) Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously 

delinquent loans are loans that are 60 days or more past due. 

(2) Reverse mortgage loans included in “Other” are not aged due to their nature and are included in the current column. 

(3) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

Credit Quality Indicators and Write-offs by Year of Origination

The estimated mark-to-market loan-to-value (“LTV”) ratio is a primary factor we consider when estimating our allowance 

for loan losses for single-family loans. As a borrower’s LTV ratio increases, their equity in the home decreases, which 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 75
may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding 

balance of the loan.

The following tables display information about the credit quality of our single-family HFI loans, based on total amortized 

cost. Effective January 1, 2023, we adopted amendments to ASU 2022-02 that require us to disclose current-period 

gross write-offs by year of origination for financing receivables. As a result, for the period beginning January 1, 2023, the 

tables below includes current year write-offs of our single-family HFI mortgage loans by class of financing receivable 

and year of origination, excluding loans for which we have elected the fair value option.

Credit Quality Indicators as of September 30, 2023 and Write-offs For the Nine 

Months Ended September 30, 2023, by Year of Origination(1)

2023 2022 2021 2020 2019 Prior Total

(Dollars in millions)

Estimated mark-to-market LTV ratio:(2)

20- and 30-year or more, amortizing fixed-rate:

Less than or equal to 80% $ 117,474 $ 316,653 $ 902,920 $ 779,843 $ 139,305 $ 664,732 $ 2,920,927 

Greater than 80% and less than or equal to 90% 39,749 100,635 39,119 3,402 829 1,168 184,902 

Greater than 90% and less than or equal to 100% 48,108 35,593 3,374 359 75 214 87,723 

Greater than 100% 32 585 124 45 17 179 982 

Total 20- and 30-year or more, amortizing fixed-rate 205,363 453,466 945,537 783,649 140,226 666,293 3,194,534 

Current-year 20- and 30-year or more, 

 amortizing fixed-rate write-offs $ — $ 24 $ 37 $ 38 $ 104 $ 533 $ 736 

15-year or less, amortizing fixed-rate:

Less than or equal to 80% 5,995 36,184 170,132 121,606 17,852 90,299 442,068 

Greater than 80% and less than or equal to 90% 416 758 62 6 — 2 1,244 

Greater than 90% and less than or equal to 100% 209 54 2 — — — 265 

Greater than 100% — — — — — 1 1 

Total 15-year or less, amortizing fixed-rate 6,620 36,996 170,196 121,612 17,852 90,302 443,578 

Current-year 15-year or less, amortizing 

 fixed-rate write-offs — — 1 1 — 4 6 

Adjustable-rate:

Less than or equal to 80% 1,257 4,574 6,078 1,697 730 10,231 24,567 

Greater than 80% and less than or equal to 90% 415 1,079 84 6 2 4 1,590 

Greater than 90% and less than or equal to 100% 227 311 6 1 — 1 546 

Greater than 100% — 2 — — — — 2 

Total adjustable-rate 1,899 5,966 6,168 1,704 732 10,236 26,705 

Current-year adjustable-rate write-offs — — — — 1 1 2 

Other:

Less than or equal to 80% — — — — 27 20,038 20,065 

Greater than 80% and less than or equal to 90% — — — — — 93 93 

Greater than 90% and less than or equal to 100% — — — — — 42 42 

Greater than 100% — — — — — 39 39 

Total other — — — — 27 20,212 20,239 

Current-year other write-offs — — — — — 46 46 

Total for all classes by LTV ratio:(2)

Less than or equal to 80% $ 124,726 $ 357,411 $ 1,079,130 $ 903,146 $ 157,914 $ 785,300 $ 3,407,627 

Greater than 80% and less than or equal to 90% 40,580 102,472 39,265 3,414 831 1,267 187,829 

Greater than 90% and less than or equal to 100% 48,544 35,958 3,382 360 75 257 88,576 

Greater than 100% 32 587 124 45 17 219 1,024 

Total $ 213,882 $ 496,428 $ 1,121,901 $ 906,965 $ 158,837 $ 787,043 $ 3,685,056 

Total current-year write-offs $ — $ 24 $ 38 $ 39 $ 105 $ 584 $ 790 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 76
Credit Quality Indicators as of December 31, 2022, by Year of Origination(1)

2022 2021 2020 2019 2018 Prior Total

(Dollars in millions)

Estimated mark-to-market LTV ratio:(2)

20- and 30-year or more, amortizing fixed-rate:

Less than or equal to 80% $ 281,257 $ 896,977 $ 820,452 $ 149,067 $ 70,306 $ 651,297 $ 2,869,356 

Greater than 80% and less than or equal to 90% 84,864 86,335 5,904 1,152 618 1,062 179,935 

Greater than 90% and less than or equal to 100% 84,664 9,284 1,333 217 77 224 95,799 

Greater than 100% 1,230 208 56 18 12 240 1,764 

Total 20- and 30-year or more, amortizing fixed-rate 452,015 992,804 827,745 150,454 71,013 652,823 3,146,854 

15-year or less, amortizing fixed-rate:

Less than or equal to 80% 37,830 185,511 134,336 20,239 7,324 103,841 489,081 

Greater than 80% and less than or equal to 90% 1,363 410 33 3 — 2 1,811 

Greater than 90% and less than or equal to 100% 552 16 1 — — 1 570 

Greater than 100% 3 1 — — — 2 6 

Total 15-year or less, amortizing fixed-rate 39,748 185,938 134,370 20,242 7,324 103,846 491,468 

Adjustable-rate:

Less than or equal to 80% 3,971 6,383 1,865 821 906 11,226 25,172 

Greater than 80% and less than or equal to 90% 1,013 236 12 3 1 3 1,268 

Greater than 90% and less than or equal to 100% 645 21 — — 1 — 667 

Greater than 100% 1 — — — — — 1 

Total adjustable-rate 5,630 6,640 1,877 824 908 11,229 27,108 

Other:

Less than or equal to 80% — — — 29 222 22,103 22,354 

Greater than 80% and less than or equal to 90% — — — — 1 129 130 

Greater than 90% and less than or equal to 100% — — — — 1 56 57 

Greater than 100% — — — — — 57 57 

Total other — — — 29 224 22,345 22,598 

Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 

Total for all classes by LTV ratio:(2)

Less than or equal to 80% $ 323,058 $ 1,088,871 $ 956,653 $ 170,156 $ 78,758 $ 788,467 $ 3,405,963 

Greater than 80% and less than or equal to 90% 87,240 86,981 5,949 1,158 620 1,196 183,144 

Greater than 90% and less than or equal to 100% 85,861 9,321 1,334 217 79 281 97,093 

Greater than 100% 1,234 209 56 18 12 299 1,828 

Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 

(1) Excludes amortized cost of $6.2 billion and $9.5 billion as of September 30, 2023 and December 31, 2022, respectively, of mortgage loans 

guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents primarily reverse mortgages for 

which we do not calculate an estimated mark-to-market LTV ratio. For the nine months ended September 30, 2023, it also excludes writeoffs of $4 million, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan 

origination may not be the same as the period in which we subsequently acquired the loan.

(2) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current 

value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic 

changes in home value.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 77
The following tables display the total amortized cost of our multifamily HFI loans by year of origination and credit-risk 

rating, excluding loans for which we have elected the fair value option. Property operating income and property 

valuations are key inputs to our internally assigned credit risk ratings. For the periods beginning January 1, 2023, the 

tables below includes current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding 

loans for which we have elected the fair value option.

Credit Quality Indicators as of September 30, 2023 and Write-offs For the Nine 

Months Ended September 30, 2023, by Year of Origination(1)

2023 2022 2021 2020 2019 Prior Total

(Dollars in millions)

Internally assigned credit risk rating:

Pass(2) $ 39,087 $ 53,256 $ 60,621 $ 73,279 $ 57,342 $ 138,908 $ 422,493 

Special mention(3)

 — 8 114 53 19 298 492 

Substandard(4) 1 7,807 3,904 2,600 3,726 14,600 32,638 

Doubtful(5)

 — — — — 5 — 5 

Total $ 39,088 $ 61,071 $ 64,639 $ 75,932 $ 61,092 $ 153,806 $ 455,628 

Current-year write-offs $ — $ 3 $ — $ 7 $ 23 $ 273 $ 306 

Credit Quality Indicators as of December 31, 2022, by Year of Origination(1)

2022 2021 2020 2019 2018 Prior Total

(Dollars in millions)

Internally assigned credit risk rating:

Pass(2) $ 57,976 $ 64,165 $ 75,468 $ 59,507 $ 48,720 $ 103,772 $ 409,608 

Special mention(3) 11 41 128 55 54 306 595 

Substandard(4) 1,415 1,580 1,388 2,816 2,488 12,324 22,011 

Doubtful(5)

 — — — — 8 — 8 

Total $ 59,402 $ 65,786 $ 76,984 $ 62,378 $ 51,270 $ 116,402 $ 432,222 

(1) In the current period, we updated our presentation of credit quality indicators. Previously, “Pass” and “Special mention” were disclosed as 

“Non-classified,” and “Substandard” and “Doubtful” were disclosed as “Classified.” Prior periods have been updated to conform to the 

current period presentation. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. 

(2) A loan categorized as “Pass” is current or is adequately protected by the current financial strength and debt service capability of the 

borrower. 

(3) “Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in 

deterioration in the borrower’s ability to repay in full.

(4) Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans 

with an amortized cost of $9.1 billion and $9.2 billion as of September 30, 2023 and December 31, 2022, respectively, classified as 

substandard. 

(5) “Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing 

conditions and values.

Loss Mitigation Options for Borrowers Experiencing Financial 

Difficulty

As part of our loss mitigation activities, we offer several types of loan restructurings to assist borrowers who experience 

financial difficulties. We do not typically offer principal forgiveness to our single-family or multifamily borrowers.

For single-family borrowers, we may offer loan restructurings that are only in the form of a payment delay (e.g., a 

forbearance plan, a repayment plan, or a payment deferral). We may also offer loan modifications that contractually 

change the terms of the loan, generally after the successful completion of a three to four month trial period. Singlefamily loan modifications may result in the capitalization of past due amounts (a form of payment delay), an interest rate 

reduction, a term extension, a principal forbearance (which is another form of payment delay), or a combination thereof. 

During the trial period, the borrower makes reduced payments that are an estimate of the anticipated modified payment 

amount. Additionally, during the trial period, the mortgage loan is not contractually modified such that the loan continues 

to be reported as past due and the trial period is considered a form of payment delay with respect to the original 

contractual terms of the loan. See “Note 3, Mortgage Loans” in our 2022 Form 10-K for additional information about our 

single-family loss mitigation options.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 78
For multifamily borrowers, loan restructurings include short-term forbearance plans and loan modification programs, 

which primarily result in term extensions of up to one year with no change to the loan’s interest rate. In certain cases, 

we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the 

interest rate, converting to interest-only payments, extending the maturity for longer than one year, providing principal 

forbearance, or some combination of these terms.

Below we provide disclosures relating to loan restructurings where borrowers were experiencing financial difficulty, 

including restructurings that resulted in an insignificant payment delay. The disclosures exclude loans classified as HFS 

and those for which we have elected the fair value option. See “Note 1, Summary of Significant Accounting Policies” in 

our 2022 Form 10-K for additional information on our accounting policies for single-family and multifamily loans that 

have been restructured.

Restructurings for Borrowers Experiencing Financial Difficulty

The following tables display the amortized cost of HFI mortgage loans that were restructured during the period 

indicated, presented by portfolio segment and class of financing receivable.

For the Three Months Ended September 30, 2023

Payment Delay (Only)

Forbearance 

Plan 

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 7,287 $ 2,424 $ 3,407 $ 1,819 $ 41 $ 14,978 *

15-year or less, 

amortizing 

fixed-rate 311 97 130 — — 538 *

Adjustable-rate 42 8 11 — 1 62 *

Other 54 30 57 31 22 194 1 %

Total single-family 7,694 2,559 3,605 1,850 64 15,772 *

 Multifamily 361 — — — 560 921 *

Total(3) $ 8,055 $ 2,559 $ 3,605 $ 1,850 $ 624 $ 16,693 *

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 79
For the Nine Months Ended September 30, 2023

Payment Delay (Only)

Forbearance 

Plan

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 10,851 $ 8,306 $ 6,216 $ 5,209 $ 360 $ 30,942 1 %

15-year or less, 

amortizing 

fixed-rate 465 343 241 1 1 1,051 *

Adjustable-rate 59 31 22 — 7 119 *

Other 128 108 137 94 65 532 2 

Total single-family 11,503 8,788 6,616 5,304 433 32,644 1 

Multifamily 1,045 — — — 585 1,630 *

Total(3) $ 12,548 $ 8,788 $ 6,616 $ 5,304 $ 1,018 $ 34,274 1 

For the Three Months Ended September 30, 2022

Payment Delay (Only)

Forbearance 

Plan

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 9,811 $ 3,827 $ 2,869 $ 1,144 $ 2,321 $ 19,972 1 %

15-year or less, 

amortizing 

fixed-rate 478 196 129 1 1 805 *

Adjustable-rate 49 22 15 — 3 89 *

Other 173 77 86 25 91 452 1 

Total single-family 10,511 4,122 3,099 1,170 2,416 21,318 1 

Multifamily 6 — — — 18 24 *

Total(3) $ 10,517 $ 4,122 $ 3,099 $ 1,170 $ 2,434 $ 21,342 1 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 80
For the Nine Months Ended September 30, 2022

Payment Delay (Only)

Forbearance 

Plan

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 13,905 $ 14,705 $ 5,417 $ 2,832 $ 11,247 $ 48,106 2 %

15-year or less, 

amortizing 

fixed-rate 697 794 245 2 1 1,739 *

Adjustable-rate 76 83 39 — 26 224 1 

Other 289 353 182 109 497 1,430 4 

Total single-family 14,967 15,935 5,883 2,943 11,771 51,499 1 

Multifamily 187 — — — 18 205 *

Total(3) $ 15,154 $ 15,935 $ 5,883 $ 2,943 $ 11,789 $ 51,704 1 

* Represents less than 0.5% of total by financing class.

(1) Represents loans that received a contractual modification.

(2) Based on the amortized cost basis as of period end, divided by the period-end amortized cost basis of the corresponding class of financing 

receivable. 

(3) Excludes $276 million and $1.2 billion for the three and nine months ended September 30, 2023, respectively, and $205 million and $3.0 

billion for the three and nine months ended September 30, 2022, respectively, for loans that were the subject of loss mitigation activity 

during the period that paid off, were repurchased or sold prior to period end. Also excludes loans that liquidated either through foreclosure, 

deed-in-lieu of foreclosure, or a short sale. Loans may move from one category to another, as a result of the restructuring(s) they received 

during the period, in which case they appear in the table above only in the category that best reflects the cumulative effects of the loan 

restructurings received during the periods. 

Our estimate of future credit losses uses a lifetime methodology, derived from modeled loan performance based on 

extensive historical experience of loans with similar risk characteristics, adjusted to reflect current conditions and 

reasonable and supportable forecasts. The historical loss experience used in our single-family and multifamily credit 

loss models includes the impact of the loss mitigation options provided to borrowers experiencing financial difficulty, and 

also includes the impact of projected loss severities as a result of a loan default.

The following tables summarize the financial impacts of loan modifications and payment deferrals for single-family HFI 

loans presented by class of financing receivable. The qualitative impact of forbearance plans, repayment plans, and trial 

modifications are discussed earlier in this footnote; these loss mitigation options are not included in the table below. 

For the Three Months Ended September 30,

2023 2022

WeightedAverage 

Interest 

Rate 

Reduction 

WeightedAverage 

Term 

Extension 

(in Months) 

Average 

Amount 

Capitalized as 

a Result of a 

Payment 

Delay(1) 

WeightedAverage 

Interest 

Rate 

Reduction

WeightedAverage 

Term 

Extension 

(in Months)

Average 

Amount 

Capitalized as 

a Result of a 

Payment 

Delay(1) 

Loan by class of financing receivable(2):

20- and 30-year or more, amortizing 

fixed-rate 1.05 % 167 $ 16,464 1.18 % 179 $ 20,896 

15-year or less, amortizing fixed-rate 2.41 52 14,218 1.88 45 16,950 

Adjustable-rate 1.97 — 12,980 1.47 — 22,079 

Other 1.04 199 23,072 1.66 192 21,042 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 81
For the Nine Months Ended September 30,

2023 2022

WeightedAverage 

Interest 

Rate 

Reduction 

WeightedAverage 

Term 

Extension 

(in Months) 

Average 

Amount 

Capitalized as 

a Result of a 

Payment 

Delay(1) 

WeightedAverage 

Interest 

Rate 

Reduction

WeightedAverage 

Term 

Extension 

(in Months)

Average 

Amount 

Capitalized as 

a Result of a 

Payment 

Delay(1) 

Loan by class of financing receivable(2):

20- and 30-year or more, amortizing 

fixed-rate 1.08 % 171 $ 16,798 1.45 % 179 $ 22,862 

15-year or less, amortizing fixed-rate 2.22 70 14,588 2.31 52 19,872 

Adjustable-rate 1.29 — 14,823 0.82 — 23,065 

Other 1.31 188 21,396 1.82 184 23,776 

(1) Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole 

dollars.

(2) Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period-end. 

The following tables display the amortized cost of HFI loans that defaulted during the period and had received a 

completed modification or payment deferral in the twelve months prior to the payment default. The substantial majority 

of loans that received a completed modification or a payment deferral during the third quarter of 2023 did not default 

during the period. For purposes of the default tables, we define loans that had a payment default as single-family loans 

with completed modifications that are two or more months delinquent during the period; or multifamily loans with 

completed modifications that are one or more months delinquent during the period. For loans that receive a forbearance 

plan, repayment plan or trial modification, these loss mitigation options generally remain in default until the loan is no 

longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment 

deferral. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 82
For the Three Months Ended September 30, 2023

Payment Delay 

as a Result of a 

Payment 

Deferral (Only)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension 

and Interest 

Rate Reduction Total

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 861 $ 468 $ 80 $ 1,409 

15-year or less, amortizing fixed-rate 28 — — 28 

Adjustable-rate 1 — 1 2 

Other 12 9 6 27 

Total single-family 902 477 87 1,466 

Multifamily — — — — 

Total loans that subsequently defaulted(1) $ 902 $ 477 $ 87 $ 1,466 

For the Nine Months Ended September 30, 2023

Payment Delay 

as a Result of a 

Payment 

Deferral (Only)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension 

and Interest 

Rate Reduction Total

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 1,635 $ 746 $ 298 $ 2,679 

15-year or less, amortizing fixed-rate 51 1 — 52 

Adjustable-rate 4 — 2 6 

Other 20 14 17 51 

Total single-family 1,710 761 317 2,788 

Multifamily — — — — 

Total loans that subsequently defaulted(1) $ 1,710 $ 761 $ 317 $ 2,788 

(1) Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a 

short sale.

The following table displays the amortized cost of HFI loans that received a completed modification or payment deferral 

on or after January 1, 2022, the date we adopted ASU 2022-02, through September 30, 2022 and that defaulted in the 

period presented. The substantial majority of loans that received a completed modification or a payment deferral during 

the third quarter of 2022 did not default during the period.

For the Three Months Ended September 30, 2022

Payment Delay 

as a Result of a 

Payment 

Deferral (Only)

Payment Delay 

and Term 

Extension(1)

Payment Delay, 

Term Extension 

and Interest Rate 

Reduction(1) Total

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 766 $ 97 $ 276 $ 1,139 

15-year or less, amortizing fixed-rate 26 — — 26 

Adjustable-rate 4 — 2 6 

Other 19 4 18 41 

Total single-family 815 101 296 1,212 

Multifamily — — — — 

Total loans that subsequently defaulted(1) $ 815 $ 101 $ 296 $ 1,212 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 83
For the Nine Months Ended September 30, 2022

Payment Delay 

as a Result of a 

Payment 

Deferral (Only)

Payment Delay 

and Term 

Extension(1)

Payment Delay, 

Term Extension 

and Interest Rate 

Reduction(1) Total

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 1,083 $ 136 $ 343 $ 1,562 

15-year or less, amortizing fixed-rate 39 — — 39 

Adjustable-rate 5 — 3 8 

Other 29 7 26 62 

Total single-family 1,156 143 372 1,671 

Multifamily — — — — 

Total loans that subsequently defaulted(1) $ 1,156 $ 143 $ 372 $ 1,671 

(1) Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a 

short sale.

The following table displays an aging analysis of HFI mortgage loans that were restructured during the twelve months 

prior to September 30, 2023, presented by portfolio segment and class of financing receivable. 

As of September 30, 2023(1)

30-59 Days 

Delinquent 

60-89 Days 

Delinquent(2)

Seriously 

Delinquent 

Total 

Delinquent Current Total 

(Dollars in millions)

Single-family:

20- and 30-year or more, 

amortizing fixed-rate $ 3,722 $ 2,332 $ 11,455 $ 17,509 $ 15,368 $ 32,877 

15-year or less, amortizing 

fixed-rate 115 78 405 598 562 1,160 

Adjustable-rate 14 8 55 77 56 133 

Other 75 37 192 304 297 601 

Total single-family loans 

modified 3,926 2,455 12,107 18,488 16,283 34,771 

Multifamily 19 N/A 1,045 1,064 587 1,651 

Total loans restructured(3) $ 3,945 $ 2,455 $ 13,152 $ 19,552 $ 16,870 $ 36,422 

(1) The substantial majority of loans that received a completed modification or a payment deferral during the third quarter of 2023 were not 

delinquent as of September 30, 2023.

(2) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

(3) Represents the amortized cost basis of the loan as of period end.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 84
The following table displays an aging analysis of HFI mortgage loans that were restructured on or after January 1, 2022,

the date we adopted ASU 2022-02, through September 30, 2022, presented by portfolio segment and class of financing 

receivable. 

As of September 30, 2022(1)

30-59 Days 

Delinquent 

60-89 Days 

Delinquent(2)

Seriously 

Delinquent 

Total 

Delinquent Current Total 

(Dollars in millions)

Single-family:

20- and 30-year or more, 

amortizing fixed-rate $ 3,051 $ 2,202 $ 13,299 $ 18,552 $ 22,262 $ 40,814 

15-year or less, amortizing 

fixed-rate 132 90 553 775 766 1,541 

Adjustable-rate 11 9 80 100 99 199 

Other 92 51 361 504 732 1,236 

Total single-family loans 

modified 3,286 2,352 14,293 19,931 23,859 43,790 

 Multifamily — N/A 187 187 18 205 

Total loans restructured(3) $ 3,286 $ 2,352 $ 14,480 $ 20,118 $ 23,877 $ 43,995 

(1) The substantial majority of loans that received a completed modification or a payment deferral during the third quarter of 2022 were not 

delinquent as of September 30, 2022.

(2) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

(3) Represents the amortized cost basis of the loan as of period end.

Nonaccrual Loans

We recognize interest income on an accrual basis except when we believe the collection of principal and interest is not 

reasonably assured. This generally occurs when a single-family loan is three or more months past due and a multifamily 

loan is two or more months past due according to its contractual terms. A loan is reported as past due if a full payment 

of principal and interest is not received within one month of its due date. When a loan is placed on nonaccrual status 

based on delinquency status, interest previously accrued but not collected on the loan is reversed through interest 

income.

We have elected not to measure an allowance for credit losses on accrued interest receivable balances as we have a 

nonaccrual policy to ensure the timely reversal of unpaid accrued interest. See “Note 4, Allowance for Loan Losses” for 

additional information about our current-period provision for loan losses. 

For single-family loans, we recognize any contractual interest payments received on the loan while on nonaccrual status 

as interest income on a cash basis. For multifamily loans, we apply any payment received on a cost recovery basis to 

reduce the amortized cost of the mortgage loan. Thus, we do not recognize any interest income on a multifamily loan 

placed on nonaccrual status until the amortized cost of the loan has been reduced to zero. Cost basis adjustments on 

HFI loans are amortized into interest income over the contractual life of the loan using the effective interest method. No 

amortization is recognized during periods in which the loan is on nonaccrual status. 

A nonaccrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably 

assured. We generally determine that collectability is reasonably assured when the loan returns to current payment 

status. If a loan is restructured for a borrower experiencing financial difficulty, we require a performance period of up to 6 

months before we return the loan to accrual status. Upon a loan’s return to accrual status, we resume the recognition of 

interest income and the amortization of cost basis adjustments, if any, into interest income. If interest is capitalized 

pursuant to a restructuring, any capitalized interest that had not been previously recognized as interest income or that 

had been reversed through interest income when the loan was placed on nonaccrual status is recorded as a discount to 

the loan and amortized over the remaining contractual life of the loan.

For single-family loans negatively impacted by the COVID-19 pandemic that were three or more months past due as of 

December 31, 2022, we continue to recognize interest income for up to six months of delinquency provided that the loan 

was either current as of March 1, 2020, or originated after March 1, 2020. We continue to accrue interest income 

beyond six months of delinquency provided that the collection of principal and interest continues to be reasonably 

assured. For multifamily loans that are in a COVID-19 forbearance arrangement on December 31, 2022, we continue to 

recognize interest income for up to six months of delinquency and then place them on nonaccrual status when the 

borrower is six months past due.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 85
For loans that are subject to the COVID-19-related nonaccrual policy, we establish a valuation allowance for expected 

credit losses on the accrued interest receivable balance applying the process that we have established for both singlefamily and multifamily loans. The credit expense related to this valuation allowance is classified as a component of the 

provision for credit losses. Accrued interest receivable is written off when the amount is deemed to be uncollectible. 

Loans that are in active forbearance arrangements are not evaluated for write-off. 

The table below displays the accrued interest receivable written off through the reversal of interest income for 

nonaccrual loans. 

For the Three Months Ended 

September 30,

For the Nine Months Ended 

September 30,

2023 2022 2023 2022

(Dollars in millions)

Accrued interest receivable written off through 

the reversal of interest income:

Single-family $ 80 $ 14 $ 233 $ 46 

Multifamily 3 1 36 1 

The tables below include the amortized cost of and interest income recognized on our HFI single-family and multifamily 

loans on nonaccrual status by class, excluding loans for which we have elected the fair value option. 

As of For the Three 

Months Ended 

September 30, 

2023

For the Nine 

Months Ended 

September 30, 

2023

September 30, 

2023

June 30, 

2023

December 31, 

2022

Amortized Cost(1) Total Interest Income Recognized(2)

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing 

fixed-rate $ 19,108 $ 17,051 $ 9,447 $ 19 $ 197 

15-year or less, amortizing fixed-rate 638 565 200 — 4 

Adjustable-rate 99 85 53 — 1 

Other 526 573 617 1 6 

Total single-family 20,371 18,274 10,317 20 208 

Multifamily 1,526 1,448 2,200 3 16 

Total nonaccrual loans $ 21,897 $ 19,722 $ 12,517 $ 23 $ 224 

As of For the Three 

Months Ended 

September 30, 

2022

For the Nine 

Months Ended 

September 30, 

2022

September 30, 

2022

June 30, 

2022

December 31, 

2021

Amortized Cost(1) Total Interest Income Recognized(2)

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing 

fixed-rate $ 10,121 $ 10,241 $ 17,599 $ 48 $ 175 

15-year or less, amortizing fixed-rate 235 245 430 1 3 

Adjustable-rate 55 59 107 — 1 

Other 591 698 1,101 3 9 

Total single-family 11,002 11,243 19,237 52 188 

Multifamily 1,231 1,317 1,259 12 25 

Total nonaccrual loans $ 12,233 $ 12,560 $ 20,496 $ 64 $ 213 

(1) Amortized cost is presented net of any write-offs, which are recognized when a loan balance is deemed uncollectible.

(2) Interest income recognized includes amortization of any deferred cost basis adjustments while the loan is performing and that is not 

reversed when the loan is placed on nonaccrual status. For loans negatively impacted by the COVID-19 pandemic, also includes amounts 

accrued but not collected prior to the loan being placed on nonaccrual status. For single-family, interest income recognized includes 

payments received on nonaccrual loans held as of period end.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 86
4. Allowance for Loan Losses

We maintain an allowance for loan losses for HFI loans held by Fannie Mae and by consolidated Fannie Mae MBS 

trusts, excluding loans for which we have elected the fair value option. When calculating our allowance for loan losses, 

we consider the unpaid principal balance, net of unamortized premiums and discounts, and other cost basis 

adjustments of HFI loans at the balance sheet date. We record write-offs as a reduction to our allowance for loan losses 

at the point of foreclosure, completion of a short sale, upon the redesignation of nonperforming and reperforming loans 

from HFI to HFS or when a loan is determined to be uncollectible.

The following table displays changes in our allowance for single-family loans, multifamily loans and total allowance for 

loan losses. The benefit or provision for loan losses excludes provision for accrued interest receivable losses, guaranty 

loss reserves and credit losses on available-for-sale (“AFS”) debt securities. Cumulatively, these amounts are 

recognized as “Benefit (provision) for credit losses” in our condensed consolidated statements of operations and 

comprehensive income. 

For the Three Months Ended 

September 30,

For the Nine Months Ended 

September 30,

2023 2022 2023 2022

(Dollars in millions)

Single-family allowance for loan losses:

Beginning balance $ (7,990) $ (5,389) $ (9,443) $ (4,950) 

Benefit (provision) for loan losses 718 (2,339) 2,121 (2,869) 

Write-offs 699 289 794 564 

Recoveries (48) (65) (151) (182) 

Other (19) 16 39 (51) 

Ending balance $ (6,640) $ (7,488) $ (6,640) $ (7,488) 

Multifamily allowance for loan losses:

Beginning balance $ (1,992) $ (680) $ (1,904) $ (679) 

Benefit (provision) for loan losses (83) (169) (415) (153) 

Write-offs 52 39 306 39 

Recoveries (8) (4) (18) (21) 

Ending balance $ (2,031) $ (814) $ (2,031) $ (814) 

Total allowance for loan losses:

Beginning balance $ (9,982) $ (6,069) $ (11,347) $ (5,629) 

Benefit (provision) for loan losses 635 (2,508) 1,706 (3,022) 

Write-offs 751 328 1,100 603 

Recoveries (56) (69) (169) (203) 

Other (19) 16 39 (51) 

Ending balance $ (8,671) $ (8,302) $ (8,671) $ (8,302) 

Our benefit or provision for loan losses can vary substantially from period to period based on a number of factors, such 

as changes in actual and forecasted home prices or property valuations, fluctuations in actual and forecasted interest 

rates, borrower payment behavior, events such as natural disasters or pandemics, the type, volume and effectiveness of 

our loss mitigation activities, including forbearances and loan modifications, the volume of foreclosures completed, and 

the volume and pricing of loans redesignated from HFI to HFS. Our benefit or provision can also be impacted by 

updates to the models, assumptions, and data used in determining our allowance for loan losses.

Our single-family benefit for loan losses for the three and nine months ended September 30, 2023 was primarily driven 

by a benefit from actual and forecasted home price growth, partially offset by a provision relating to the redesignation of 

loans from HFI to HFS and a provision from changes in loan activity, as described below:

• Benefit from actual and forecasted home price growth. During the three and nine months ended September 30, 

2023, we observed stronger than expected actual and forecasted home price appreciation. Higher home prices 

decrease the likelihood that loans will default and reduce the amount of losses on loans that do default, which 

impacts our estimate of losses and ultimately reduces our loss reserves and provision for loan losses.

Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 87
• Provision from redesignation of loans from HFI to HFS. We redesignated certain nonperforming and 

reperforming single-family loans from HFI to HFS, as we no longer intended to hold them for the foreseeable 

future or to maturity. Upon redesignation of these loans, we recorded the loans at the lower of cost or fair value 

with a write-off against the allowance for loan losses. During the three months ended September 30, 2023, we 

redesignated loans with an amortized cost of $3.1 billion with an associated write-off against the allowance for 

loan losses of $638 million. Interest rates on the redesignated loans were below current market interest rates, 

and as a result, we recorded additional provision for loan losses to the extent that the carrying value of the 

loans exceeded their fair value at the time of redesignation.

• Provision from changes in loan activity, which includes provision on newly acquired loans. The portion of our

single-family acquisitions consisting of purchase loans increased in the three and nine months ended 

September 30, 2023 compared with the three and nine months ended September 30, 2022. As our acquisitions 

consisted of a greater percentage of purchase loans, which generally have higher origination loan to value 

(“LTV”) ratios than refinance loans, the credit profile of our acquisitions weakened. This factor drove a higher 

estimated risk of default and loss severity in the allowance and therefore a higher credit loss provision for those 

loans at the time of acquisition.

Single-family write-offs for the three and nine months ended September 30, 2023 were primarily due to the resumption 

of our nonperforming and reperforming loan sales program, which resulted in an increase in write-offs on the 

redesignation of mortgage loans from HFI to HFS during the periods. Interest rates on loans redesignated in the third 

quarter of 2023 were below current market interest rates resulting in write-offs upon the redesignation.

Our single-family provision for loan losses for the three months ended September 30, 2022 was primarily driven by a 

provision from actual and forecasted home prices. Actual home prices declined slightly on a national basis in the third 

quarter of 2022. In addition, our home price forecast worsened compared with the second quarter of 2022. While our 

second quarter 2022 home price forecast estimated home price growth in the second half of 2022 and in 2023, our third 

quarter 2022 home price forecast estimated additional home price declines in the fourth quarter of 2022 and throughout 

2023. 

The largest drivers of our single-family provision for loan losses in the nine months ended September 30, 2022 were:

• Provision from actual and forecasted home prices in the third quarter of 2022 discussed above was the largest 

driver of our single-family provision for loan losses in the first nine months of 2022. The impact of this homeprice related provision in the third quarter of 2022 was partially offset by a benefit from actual and expected 

home price growth in each of the first and second quarters of 2022. During the first half of 2022, our forecasted 

home prices were positive for the second half of 2022 through 2023. In addition, we observed strong actual 

home price growth through the second quarter of 2022.

• Provision from higher actual and projected interest rates as of September 30, 2022 compared with December 

31, 2021. As mortgage rates increased, we expected a decrease in future prepayments on single-family loans, 

including modified loans accounted for as TDRs. Lower expected prepayments extended the expected lives of 

these TDR loans, which increased the expected impairment relating to economic concessions provided on 

them, resulting in a provision for loan losses.

• Provision from changes in loan activity, which includes provision on newly acquired loans. Throughout the first 

nine months of 2022, refinance loan volumes declined and purchase loans increased as a percentage of 

acquisitions compared to the first nine months of 2021. In addition, in the third quarter of 2022, our loan loss 

provision also increased as our more negative home price forecast impacted our estimate of losses on newly 

acquired loans.

The largest driver of our multifamily provision for loan losses for the three months ended September 30, 2023 was a 

provision for actual and projected interest rates. Rising interest rates increase the likelihood that loans with balloon 

balances due at maturity will be unable to refinance, due to higher refinancing rates. In addition, rising interest rates 

increase costs for loans with adjustable-rates, which increases the expected impairment and the provision for loan 

losses on these loans.

The impact of this factor was offset by a benefit from actual and projected economic data for the three months ended 

September 30, 2023. The benefit from actual and projected economic data was primarily driven by the impact of a 

change in our long-term economic forecast assumptions, which was partially offset by continued declines in multifamily 

property values.

Our multifamily provision for loan losses for the nine months ended September 30, 2023 was primarily driven by actual 

and projected interest rates as described above.

Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 88
Multifamily write-offs for the nine months ended September 30, 2023 were primarily due to the write-off of a seniors 

housing portfolio in the first quarter of 2023. The seniors housing loans in our multifamily book have been 

disproportionately affected by the COVID-19 pandemic and ongoing economic trends, higher operating costs 

exacerbated by the increase in inflation, and higher short-term interest rates for adjustable-rate mortgages, resulting in 

increased costs for these borrowers.

The largest driver of our multifamily provision for loan losses for the three and nine months ended September 30, 2022, 

was a provision for higher actual and projected interest rates. 

5. Investments in Securities

Trading Securities

Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains, net” in 

our condensed consolidated statements of operations and comprehensive income. The following table displays our 

investments in trading securities.

As of

September 30, 2023 December 31, 2022

(Dollars in millions)

Mortgage-related securities (includes $375 million and $427 million, 

respectively, related to consolidated trusts) $ 2,634 $ 3,211 

Non-mortgage-related securities (includes $5.1 billion and $3.9 billion, 

respectively, pledged as collateral)(1) 48,654 46,918 

Total trading securities $ 51,288 $ 50,129 

(1) Primarily includes U.S. Treasury securities.

The following table displays information about our net trading gains (losses).

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

Net trading gains (losses) $ (318) $ (1,319) $ (295) $ (3,754) 

Net trading gains (losses) recognized in the period related to securities 

still held at period end (297) (1,064) (259) (3,157) 

Available-for-Sale Securities

We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other 

comprehensive loss” and we recognize realized gains and losses from the sale of AFS securities in “Investment gains 

(losses), net” in our condensed consolidated statements of operations and comprehensive income. We define the 

amortized cost basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, 

and other cost basis adjustments. We record an allowance for credit losses for AFS securities that reflects the 

impairment for credit losses, which are limited to the amount that fair value is less than the amortized cost. Impairment 

due to non-credit losses are recorded as unrealized losses within “Other comprehensive loss.”

Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 89
The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in 

accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities.

As of September 30, 2023

Total 

Amortized 

Cost

Allowance 

for Credit 

Losses

Gross 

Unrealized 

Gains in 

AOCI

Gross 

Unrealized 

Losses in 

AOCI

Total Fair 

Value

(Dollars in millions)

Agency securities $ 414 $ — $ — $ (38) $ 376 

Other mortgage-related securities 202 (2) 9 (1) 208 

Total $ 616 $ (2) $ 9 $ (39) $ 584 

As of December 31, 2022

Total 

Amortized 

Cost

Allowance 

for Credit 

Losses

Gross 

Unrealized 

Gains in 

AOCI

Gross 

Unrealized 

Losses in 

AOCI

Total Fair 

Value

(Dollars in millions)

Agency securities $ 445 $ — $ 3 $ (22) $ 426 

Other mortgage-related securities 269 (3) 5 (1) 270 

Total $ 714 $ (3) $ 8 $ (23) $ 696 

Agency AFS securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The principal and interest on 

these securities are guaranteed by the issuing agency. We believe that the guaranty provided by the issuing agency, the 

support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability in 

the secondary mortgage market, and the long history of zero credit losses on agency mortgage-related securities are all 

indicators that there are currently no credit losses on these securities, even if the security is in an unrealized loss 

position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, 

unless we intend to sell the security, we do not recognize an allowance for credit losses on agency mortgage-related 

securities. 

The following table displays additional information regarding gross unrealized losses and fair value by major security 

type for AFS securities in an unrealized loss position, excluding allowance for credit losses. 

As of

September 30, 2023 December 31, 2022

Less Than 12 

Consecutive Months

12 Consecutive 

Months or Longer

Less Than 12 

Consecutive Months

12 Consecutive 

Months or Longer

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

(Dollars in millions)

Agency securities $ (2) $ 78 $ (36) $ 271 $ (12) $ 161 $ (10) $ 159 

Other mortgage-related securities (1) 14 — — (1) 8 — — 

Total $ (3) $ 92 $ (36) $ 271 $ (13) $ 169 $ (10) $ 159 

There were no sales of AFS securities in the first nine months of 2023 or the first nine months of 2022. As a result, no

gross realized gains (losses) or proceeds from sales were recognized in either period.

The following table displays net unrealized gains and losses on AFS securities and other amounts recorded within our 

accumulated other comprehensive income, net of tax.

Notes to Condensed Consolidated Financial Statements | Investments in Securities

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 90
As of 

September 30, 2023 December 31, 2022

(Dollars in millions)

 Net unrealized gains (losses) on AFS securities for which we have not recorded 

an allowance for credit losses $ (25) $ (13) 

Other 43 48 

Accumulated other comprehensive income $ 18 $ 35 

Maturity Information

The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining 

contractual maturity, assuming no principal prepayments. The contractual maturity of mortgage-backed securities is not 

a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any 

time.

As of September 30, 2023

Total 

Carrying 

Amount(1)

Total

Fair 

Value

One Year or Less

After One Year 

Through Five Years

After Five Years 

Through Ten Years After Ten Years

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

(Dollars in millions)

Agency securities $ 414 $ 376 $ — $ — $ 4 $ 5 $ 17 $ 16 $ 393 $ 355 

Other mortgage-related 

securities 200 208 2 2 13 13 15 16 170 177 

Total $ 614 $ 584 $ 2 $ 2 $ 17 $ 18 $ 32 $ 32 $ 563 $ 532 

(1) Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS debt securities but does not include any 

unrealized fair value gains or losses.

We held no securities classified as held-to-maturity as of September 30, 2023 or December 31, 2022.

Notes to Condensed Consolidated Financial Statements | Investments in Securities

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 91
6. Financial Guarantees

We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated 

trusts and other guaranty arrangements. These off-balance sheet guarantees expose us to credit losses primarily 

relating to the unpaid principal balance of our unconsolidated Fannie Mae MBS and other financial guarantees. The 

maximum remaining contractual term of our guarantees is 29 years; however, the actual term of each guaranty may be 

significantly less than the contractual term based on the prepayment characteristics of the related mortgage loans. We 

measure our guaranty reserve for estimated credit losses for off-balance sheet exposures over the contractual period 

for which they are exposed to the credit risk, unless that obligation is unconditionally cancellable by the issuer. 

As the guarantor of structured securities backed in whole or in part by Freddie Mac-issued securities, we extend our 

guaranty to the underlying Freddie Mac securities in our resecuritization trusts. However, Freddie Mac continues to 

guarantee the payment of principal and interest on the underlying Freddie Mac securities that we have resecuritized. 

When we began issuing UMBS, we entered into an indemnification agreement under which Freddie Mac agreed to 

indemnify us for losses caused by its failure to meet its payment or other specified obligations under the trust 

agreements pursuant to which the underlying resecuritized securities were issued. As a result, and due to the funding 

commitment available to Freddie Mac through its senior preferred stock purchase agreement with Treasury, we have 

concluded that the associated credit risk is negligible. Accordingly, we exclude from the following table Freddie Mac 

securities backing unconsolidated Fannie Mae-issued structured securities of $219.3 billion and $234.0 billion as of 

September 30, 2023 and December 31, 2022, respectively.

The following table displays our off-balance sheet maximum exposure, guaranty obligation recognized in our condensed 

consolidated balance sheets and the potential maximum recovery from third parties through available credit 

enhancements and recourse related to our financial guarantees.

As of

September 30, 2023 December 31, 2022

Maximum 

Exposure

Guaranty 

Obligation

Maximum 

Recovery(1)

Maximum 

Exposure

Guaranty 

Obligation

Maximum 

Recovery(1)

(Dollars in millions)

Unconsolidated Fannie Mae MBS $ 2,880 $ 14 $ 2,811 $ 3,139 $ 15 $ 3,058 

Other guaranty arrangements(2) 9,312 67 1,967 9,573 79 2,012 

Total $ 12,192 $ 81 $ 4,778 $ 12,712 $ 94 $ 5,070 

(1) Recoverability of such credit enhancements and recourse is subject to, among other factors, the ability of our mortgage insurers and the 

U.S. government, as a financial guarantor, to meet their obligations to us. For information on our mortgage insurers, see “Note 10, 

Concentrations of Credit Risk.”

(2) Primarily consists of credit enhancements and long-term standby commitments.

Notes to Condensed Consolidated Financial Statements | Financial Guarantees

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 92
7. Short-Term and Long-Term Debt

Short-Term Debt

The following table displays our outstanding short-term debt (debt with an original contractual maturity of one year or 

less) and weighted-average interest rates of this debt.

As of

September 30, 2023 December 31, 2022

Outstanding

WeightedAverage 

Interest Rate(1) Outstanding

WeightedAverage 

Interest Rate(1)

(Dollars in millions)

Short-term debt of Fannie Mae $ 14,245 5.26 % $ 10,204 3.93 %

(1) Includes the effects of discounts, premiums and other cost basis adjustments.

Long-Term Debt

Long-term debt represents debt with an original contractual maturity of greater than one year. The following table 

displays our outstanding long-term debt.

As of

September 30, 2023 December 31, 2022

Maturities Outstanding(1)

WeightedAverage 

Interest 

Rate(2) Maturities Outstanding(1)

WeightedAverage 

Interest 

Rate(2)

(Dollars in millions)

Senior fixed: 

Benchmark notes and bonds 2023 - 2030 $ 57,341 2.78 % 2023 - 2030 $ 72,261 2.35 %

Medium-term notes(3) 2023 - 2031 43,420 1.59 2023 - 2031 39,476 0.78 

Other(4) 2023 - 2038 6,750 4.12 2023 - 2038 6,778 4.00 

Total senior fixed 107,511 2.41 118,515 1.94 

Senior floating:

Connecticut Avenue Securities(5) 2023 - 2031 3,656 10.81 2023 - 2031 5,207 8.80 

Other(6) 2037 240 9.57 2037 242 10.00 

Total senior floating 3,896 10.73 5,449 8.86 

Total long-term debt of Fannie Mae(7) 111,407 2.68 123,964 2.23 

Debt of consolidated trusts 2023 - 2062 4,106,110 2.65 2023 - 2062 4,087,720 2.47 

Total long-term debt $ 4,217,517 2.65 % $ 4,211,684 2.47 %

(1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis 

adjustments, and other cost basis adjustments.

(2) Excludes the effects of fair value adjustments and hedge-related basis adjustments.

(3) Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt.

(4) Includes other long-term debt with an original contractual maturity of greater than 10 years and foreign exchange bonds. 

(5) Consists of CAS debt issued prior to November 2018, a portion of which is reported at fair value.

(6) Consists of structured debt instruments that are reported at fair value.

(7) Includes unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis 

adjustments in a net discount position of $5.0 billion and $5.1 billion as of September 30, 2023 and December 31, 2022, respectively.

Notes to Condensed Consolidated Financial Statements | Short-Term and Long-Term Debt

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 93
8. Derivative Instruments

Derivative instruments are an integral part of our strategy in managing interest-rate risk. Derivative instruments may be 

privately-negotiated, bilateral contracts or they may be listed and traded on an exchange. We refer to our derivative 

transactions made pursuant to bilateral contracts as our over-the-counter (“OTC”) derivative transactions and our 

derivative transactions accepted for clearing by a derivatives clearing organization as our cleared derivative 

transactions. We typically do not settle the notional amount of our risk management derivatives; rather, notional 

amounts provide the basis for calculating actual payments or settlement amounts. The derivative contracts we use for 

interest-rate risk management purposes consist primarily of interest-rate swaps and interest-rate options. See “Note 8, 

Derivative Instruments” in our 2022 Form 10-K for additional information on interest-rate risk management.

We account for certain forms of credit risk transfer transactions as derivatives. In our credit risk transfer transactions, a 

portion of the credit risk associated with losses on a reference pool of mortgage loans is transferred to a third party. We 

enter into derivative transactions that are associated with some of our credit risk transfer transactions, whereby we 

manage investment risk to guarantee that certain unconsolidated VIEs have sufficient cash flows to pay their contractual 

obligations.

We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgagerelated securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell 

mortgage-related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage 

commitments that are accounted for as derivatives.

We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair 

value on a trade date basis. Fair value amounts, which are (1) netted to the extent a legal right of offset exists and is 

enforceable by law at the counterparty level and (2) inclusive of the right or obligation associated with the cash collateral 

posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets.

See “Note 12, Fair Value” for additional information on derivatives recorded at fair value. We present cash flows from 

derivatives as operating activities in our condensed consolidated statements of cash flows.

Fair Value Hedge Accounting

Pursuant to our fair value hedge accounting program, we may designate certain interest-rate swaps as hedging 

instruments in hedges of the change in fair value attributable to the designated benchmark interest rate for certain 

closed pools of fixed-rate, single-family mortgage loans or our funding debt. For hedged items in qualifying fair value 

hedging relationships, changes in fair value attributable to the designated risk are recognized as a basis adjustment to 

the hedged item. We also report changes in the fair value of the derivative hedging instrument in the same condensed 

consolidated statements of operations and comprehensive income line item used to recognize the earnings effect of the 

hedged item’s basis adjustment. The objective of our fair value hedges is to reduce GAAP earnings volatility related to 

changes in benchmark interest rates. For additional discussion of our fair value hedge accounting policy, see “Note 1, 

Summary of Significant Accounting Policies” in our 2022 Form 10-K.

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 94
Notional and Fair Value Position of our Derivatives

The following table displays the notional amount and estimated fair value of our asset and liability derivative 

instruments, including derivative instruments designated as hedges.

As of September 30, 2023 As of December 31, 2022

Notional 

Amount

Estimated Fair Value

Notional 

Amount

Estimated Fair Value

Asset 

Derivatives

Liability 

Derivatives

Asset 

Derivatives

Liability 

Derivatives

(Dollars in millions)

Risk management derivatives designated as 

hedging instruments:

Swaps:(1)

Pay-fixed $ 8,269 $ — $ — $ 5,582 $ — $ — 

Receive-fixed 28,005 — — 33,276 — — 

Total risk management derivatives designated 

as hedging instruments 36,274 — — 38,858 — — 

Risk management derivatives not designated 

as hedging instruments:

Swaps:(1)

Pay-fixed 125,372 — — 97,808 — — 

Receive-fixed 120,583 54 (4,097) 99,799 1 (4,525) 

Basis 250 8 — 41,250 25 — 

Foreign currency 303 — (98) 300 — (98) 

Swaptions:(1)

Pay-fixed 5,816 294 (35) 5,286 204 (18) 

Receive-fixed 2,666 18 (72) 2,136 7 (45) 

Futures(1) 44 — — — — — 

Total risk management derivatives not 

designated as hedging instruments 255,034 374 (4,302) 246,579 237 (4,686) 

Netting adjustment(2) — (321) 4,241 — (154) 4,662 

Total risk management derivatives portfolio 291,308 53 (61) 285,437 83 (24) 

Mortgage commitment derivatives:

Mortgage commitments to purchase whole 

loans 3,593 2 (16) 2,596 4 (8) 

Forward contracts to purchase mortgagerelated securities 17,550 2 (111) 17,808 50 (57) 

Forward contracts to sell mortgage-related 

securities 39,062 47 (23) 35,302 35 (13) 

Total mortgage commitment derivatives 60,205 51 (150) 55,706 89 (78) 

Credit enhancement derivatives 26,467 45 (14) 23,784 3 (66) 

Derivatives at fair value $ 377,980 $ 149 $ (225) $ 364,927 $ 175 $ (168) 

(1) Centrally cleared derivatives have no ascribable fair value because the positions are settled daily.

(2) The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with 

the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $4.0 billion and 

$4.5 billion as of September 30, 2023 and December 31, 2022, respectively. Cash collateral received was $47 million and $5 million as of 

September 30, 2023 and December 31, 2022, respectively.

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 95
We record all gains and losses, including accrued interest, on derivatives while they are not in a qualifying designated 

hedging relationship in “Fair value gains, net” in our condensed consolidated statements of operations and 

comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, 

net on our derivatives. 

For the Three Months 

Ended September 30,

For the Nine Months 

Ended September 30,

2023 2022 2023 2022

(Dollars in millions)

Risk management derivatives:

Swaps:

Pay-fixed $ 1,349 $ 2,510 $ 1,617 $ 5,809 

Receive-fixed (1,040) (1,903) (478) (5,269) 

Basis (22) 5 6 (126) 

Foreign currency (12) (62) (2) (122) 

Swaptions:

Pay-fixed 95 43 74 141 

Receive-fixed (13) (6) (16) (19) 

Futures 1 — 2 (1) 

Net contractual interest expense on interest-rate swaps (193) (63) (499) (102) 

Total risk management derivatives fair value gains, net 165 524 704 311 

Mortgage commitment derivatives fair value gains, net 591 517 675 2,933 

Credit enhancement derivatives fair value gains (losses), net 47 (32) 61 (83) 

Total derivatives fair value gains, net $ 803 $ 1,009 $ 1,440 $ 3,161 

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 96
Effect of Fair Value Hedge Accounting

The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of 

operations and comprehensive income, including gains and losses recognized on fair value hedging relationships.

For the Three Months Ended September 30, For the Nine Months Ended September 30,

2023 2022 2023 2022

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

LongTerm 

Debt

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

LongTerm 

Debt

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

LongTerm 

Debt

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

LongTerm 

Debt

(Dollars in millions)

Total amounts presented in our 

condensed consolidated 

statements of operations and 

comprehensive income $ 33,711 $ (27,994) $ 30,114 $ (23,709) $ 98,503 $ (81,781) $ 86,338 $ (65,291) 

Gains (losses) from fair value 

hedging relationships: 

Mortgage loans HFI and related 

interest-rate contracts:

Hedged items $ (544) $ — $ (285) $ — $ (511) $ — $ (867) $ — 

Discontinued hedge related 

basis adjustment 

amortization 14 — 9 — 34 — 14 — 

Derivatives designated as 

hedging instruments 560 — 269 — 478 — 833 — 

Interest accruals on hedging 

instruments 36 — 7 — 89 — (10) — 

Debt of Fannie Mae and related 

interest-rate contracts:

Hedged items — 176 — 1,477 — 606 — 3,848 

Discontinued hedge-related 

basis adjustment 

amortization — (223) — (145) — (618) — (329) 

Derivatives designated as 

hedging instruments — (66) — (1,289) — (137) — (3,381) 

Interest accruals on derivative 

hedging instruments — (191) — (108) — (713) — (54) 

Total effect of fair value hedges $ 66 $ (304) $ — $ (65) $ 90 $ (862) $ (30) $ 84 

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 97
Hedged Items in Fair Value Hedging Relationships

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges 

recorded in our condensed consolidated balance sheets, including the hedged item’s cumulative basis adjustments and 

the closed portfolio balances under the portfolio layer method. The hedged item carrying amounts and total basis 

adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists only of open 

hedges as of September 30, 2023 and December 31, 2022.

As of September 30, 2023

Carrying 

Amount Assets 

(Liabilities)

Cumulative Amount of Fair Value 

Hedging Basis Adjustments Included in 

the Carrying Amount

Closed Portfolio of Mortgage Loans 

Under Portfolio Layer Method

Total Basis 

Adjustments(1)(2)

Remaining 

Adjustments - 

Discontinued Hedge

Total Amortized 

Cost Designated UPB

(Dollars in millions)

Mortgage loans HFI $ 407,336 $ (1,105) $ (1,105) $ 228,502 $ 7,658 

Debt of Fannie Mae (61,705) 4,701 4,701 N/A N/A

As of December 31, 2022

Carrying 

Amount Assets 

(Liabilities)

Cumulative Amount of Fair Value 

Hedging Basis Adjustments Included in 

the Carrying Amount

Closed Portfolio of Mortgage Loans 

Under Portfolio Layer Method

Total Basis 

Adjustments(1)(2)

Remaining 

Adjustments - 

Discontinued Hedge

Total Amortized 

Cost Designated UPB

(Dollars in millions)

Mortgage loans HFI $ 293,788 $ (628) $ (628) $ 98,377 $ 5,187 

Debt of Fannie Mae (73,790) 4,713 4,713 N/A N/A

(1) No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term.

(2) Based on the unamortized balance of the hedge-related cost basis.

Derivative Counterparty Credit Exposure

Our derivative counterparty credit exposure relates principally to interest-rate derivative contracts. We are exposed to 

the risk that a counterparty in a derivative transaction will default on payments due to us, which may require us to seek 

a replacement derivative from a different counterparty. This replacement may be at a higher cost, or we may be unable 

to find a suitable replacement. We manage our derivative counterparty credit exposure relating to our risk management 

derivative transactions mainly through enforceable master netting arrangements, which allow us to net derivative assets 

and liabilities with the same counterparty or clearing organization and clearing member. For our OTC derivative 

transactions, we require counterparties to post collateral, which may include cash, U.S. Treasury securities, agency debt 

and agency mortgage-related securities.

See “Note 11, Netting Arrangements” for information on our rights to offset assets and liabilities as of September 30, 

2023 and December 31, 2022. 

9. Segment Reporting

We have two reportable business segments, which are based on the type of business activities each perform: SingleFamily and Multifamily. Results of our two business segments are intended to reflect each segment as if it were a standalone business. The sum of the results for our two business segments equals our condensed consolidated results of 

operations. For additional information related to our business segments, including basis of organization and other 

segment activities, see “Note 10, Segment Reporting” in our 2022 Form 10-K.

Segment Allocations and Results 

The majority of our revenues and expenses are directly associated with each respective business segment and are 

included in determining its operating results. Those revenues and expenses that are not directly attributable to a 

particular business segment are allocated based on the size of each segment’s guaranty book of business. The 

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 98
substantial majority of the gains and losses associated with our risk management derivatives, including the impact of 

hedge accounting, are allocated to our Single-Family business segment.

The following tables display our segment results.

For the Three Months Ended September 30,

2023 2022

SingleFamily Multifamily TotalSingleFamily Multifamily Total

(Dollars in millions)

Net interest income(1) $ 6,074 $ 1,146 $ 7,220 $ 5,918 $ 1,206 $ 7,124 

Fee and other income(2) 56 20 76 83 22 105 

Net revenues 6,130 1,166 7,296 6,001 1,228 7,229 

Investment gains (losses), net(3) 9 (1) 8 (178) 6 (172) 

Fair value gains (losses), net(4) 742 53 795 309 (17) 292 

Administrative expenses (745) (152) (897) (730) (140) (870) 

Benefit (provision) for credit losses(5) 736 (84) 652 (2,361) (175) (2,536) 

TCCA fees(6) (860) — (860) (850) — (850) 

Credit enhancement expense(7) (335) (55) (390) (298) (66) (364) 

Change in expected credit enhancement recoveries(8) (170) 42 (128) 245 45 290 

Other expenses, net (411) (124) (535) (165) 11 (154) 

Income before federal income taxes 5,096 845 5,941 1,973 892 2,865 

Provision for federal income taxes (1,071) (171) (1,242) (276) (153) (429) 

Net income $ 4,025 $ 674 $ 4,699 $ 1,697 $ 739 $ 2,436 

For the Nine Months Ended September 30,

2023 2022

SingleFamily Multifamily TotalSingleFamily Multifamily Total

(Dollars in millions)

Net interest income(1) $ 17,663 $ 3,378 $ 21,041 $ 18,746 $ 3,585 $ 22,331 

Fee and other income(2) 156 53 209 204 65 269 

Net revenues 17,819 3,431 21,250 18,950 3,650 22,600 

Investment gains (losses), net(3) (35) 1 (34) (271) (52) (323) 

Fair value gains (losses), net(4) 1,368 35 1,403 1,379 (78) 1,301 

Administrative expenses (2,183) (446) (2,629) (2,084) (389) (2,473) 

Benefit (provision) for credit losses(5) 2,201 (415) 1,786 (2,837) (157) (2,994) 

TCCA fees(6) (2,571) — (2,571) (2,515) — (2,515) 

Credit enhancement expense(7) (949) (166) (1,115) (778) (196) (974) 

Change in expected credit enhancement recoveries(8) (298) 130 (168) 271 32 303 

Other expenses, net (730) (192) (922) (553) (59) (612) 

Income before federal income taxes 14,622 2,378 17,000 11,562 2,751 14,313 

Provision for federal income taxes (3,071) (464) (3,535) (2,270) (546) (2,816) 

Net income $ 11,551 $ 1,914 $ 13,465 $ 9,292 $ 2,205 $ 11,497 

(1) Net interest income primarily consists of guaranty fees received as compensation for assuming and managing the credit risk on loans 

underlying Fannie Mae MBS held by third parties for the respective business segment, and the difference between the interest income 

earned on the respective business segment’s mortgage assets in our retained mortgage portfolio and our other investments portfolio and 

the interest expense associated with the debt funding those assets. Revenues from single-family guaranty fees include revenues 

generated by the 10 basis point increase in guaranty fees pursuant to the TCCA, the incremental revenue from which is remitted to 

Treasury and not retained by us. Also includes yield maintenance revenue we recognized on the prepayment of multifamily loans.

(2) Single-family fee and other income primarily consists of compensation for engaging in structured transactions and providing other lender 

services. Multifamily fee and other income consists of fees associated with certain Multifamily business activities such as credit 

enhancements for tax-exempt multifamily housing revenue bonds.

Notes to Condensed Consolidated Financial Statements | Segment Reporting

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 99
(3) Single-family investment gains and losses primarily consist of gains and losses on the sale of mortgage assets. Multifamily investment 

gains and losses primarily consist of gains and losses on resecuritization activity. 

(4) Single-family fair value gains and losses primarily consist of fair value gains and losses on risk management and mortgage commitment 

derivatives, trading securities, fair value option debt, and other financial instruments associated with our single-family guaranty book of 

business. Multifamily fair value gains and losses primarily consist of fair value gains and losses on MBS commitment derivatives, trading 

securities and other financial instruments associated with our multifamily guaranty book of business.

(5) Benefit (provision) for credit losses is based on loans underlying the segment’s guaranty book of business. 

(6) Consists of the portion of our single-family guaranty fees that is remitted to Treasury pursuant to the TCCA.

(7) Single-family credit enhancement expense consists of costs associated with our freestanding credit enhancements, which include primarily 

costs associated with our Credit Insurance Risk TransferTM (“CIRTTM”), Connecticut Avenue Securities® (“CAS”) and enterprise-paid 

mortgage insurance (“EPMI”) programs. Multifamily credit enhancement expense primarily consists of costs associated with our Multifamily 

CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) programs as well as amortization expense for certain 

lender risk-sharing programs. Excludes CAS transactions accounted for as debt instruments and credit risk transfer programs accounted 

for as derivative instruments.

(8) Consists of change in benefits recognized from our freestanding credit enhancements, primarily from our CAS and CIRT programs as well 

as certain lender risk-sharing arrangements, including our multifamily Delegated Underwriting and Servicing (“DUS®”) program. 

10. Concentrations of Credit Risk

Risk Characteristics of our Guaranty Book of Business

One of the measures by which we gauge our credit risk is the delinquency status of the mortgage loans in our guaranty 

book of business. 

For single-family and multifamily loans, we use this information, in conjunction with housing market and other economic 

data, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with higher-risk 

characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. 

Management also uses this data together with other credit risk measures to identify key trends that guide the 

development of our loss mitigation strategies.

We report the delinquency status of our single-family and multifamily guaranty book of business below. We report loans 

receiving payment forbearance as delinquent according to the contractual terms of the loans.

Single-Family Credit Risk Characteristics

For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family 

loans, based on the number of loans, that are 90 days or more past due or in the foreclosure process, and loans that 

have higher risk characteristics, such as high mark-to-market LTV ratios.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our 

single-family conventional guaranty book of business.

As of

September 30, 2023 December 31, 2022

30 Days 

Delinquent

60 Days 

Delinquent

Seriously 

Delinquent(1)

30 Days 

Delinquent

60 Days 

Delinquent

Seriously 

Delinquent(1)

Percentage of single-family conventional 

guaranty book of business based on UPB 0.87 % 0.21 % 0.53 % 0.84 % 0.20 % 0.60 %

Percentage of single-family conventional 

loans based on loan count 0.95 0.23 0.54 0.96 0.23 0.65 

Notes to Condensed Consolidated Financial Statements | Segment Reporting

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 100
As of

September 30, 2023 December 31, 2022

Percentage of 

Single-Family

Conventional

Guaranty Book of 

Business

Based on UPB

Serious 

Delinquency 

Rate(1)

Percentage of 

Single-Family

Conventional

Guaranty Book of 

Business

Based on UPB

Serious 

Delinquency 

Rate(1)

Estimated mark-to-market LTV ratio:

80.01% to 90% 5 % 0.73 % 5 % 0.68 %

90.01% to 100% 3 0.52 3 0.40 

Greater than 100% * 3.99 * 4.04 

Geographical distribution:

California 19 0.41 19 0.46 

Florida 6 0.69 6 0.90 

Illinois 3 0.69 3 0.86 

New Jersey 3 0.66 3 0.85 

New York 5 0.95 5 1.12 

All other states 64 0.51 64 0.62 

Vintages:

2008 and prior 2 2.18 2 2.78 

2009-2023 98 0.45 98 0.53 

* Represents less than 0.5% of single-family conventional guaranty book of business.

(1) Based on loan count, consists of single-family conventional loans that were 90 days or more past due or in the foreclosure process as of 

September 30, 2023 or December 31, 2022.

Multifamily Credit Risk Characteristics

For multifamily loans, management monitors the serious delinquency rate, which is the percentage of multifamily loans, 

based on unpaid principal balance, that are 60 days or more past due, and loans with other higher risk characteristics to 

determine the overall credit quality of our multifamily book of business. Higher risk characteristics include, but are not 

limited to, current debt service coverage ratio (“DSCR”) below 1.0 and original LTV ratios greater than 80%. We stratify 

multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our 

multifamily guaranty book of business.

As of

September 30, 2023(1) December 31, 2022(1)

30 Days 

Delinquent

Seriously 

Delinquent(2)

30 Days 

Delinquent

Seriously 

Delinquent(2)

Percentage of multifamily guaranty book of business 0.04 % 0.54 % 0.04 % 0.24 %

As of

September 30, 2023 December 31, 2022

Percentage of 

Multifamily 

Guaranty Book 

of Business(1)

Serious 

Delinquency 

Rate(2)(3)

Percentage of 

Multifamily 

Guaranty Book 

of Business(1)

Serious 

Delinquency 

Rate(2)(3)

Original LTV ratio:

Greater than 80% 1 % 0.10 % 1 % 0.85 %

Less than or equal to 80% 99 0.55 99 0.24 

Current DSCR below 1.0(4) 3 11.97 3 3.88 

(1) Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid 

principal balance of loans in our multifamily guaranty book of business.

(2) Consists of multifamily loans that were 60 days or more past due as of the dates indicated. 

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 101
(3) Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid 

principal balance of multifamily loans for each category included in our multifamily guaranty book of business.

(4) Our estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and 

annual statements for these properties including the related debt service.

Other Concentrations

Mortgage Insurers. Mortgage insurance “risk in force” refers to our maximum potential loss recovery under the 

applicable mortgage insurance policies in force and is generally based on the loan-level insurance coverage percentage 

and, if applicable, any aggregate pool loss limit, as specified in the policy.

The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total 

risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business.

As of

September 30, 2023 December 31, 2022

Risk in Force

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business Risk in Force

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in millions)

Mortgage insurance risk in force:

Primary mortgage insurance $ 198,696 $ 193,549 

Pool mortgage insurance 96 237 

Total mortgage insurance risk in force $ 198,792 5% $ 193,786 5%

The table below displays our mortgage insurer counterparties that provided approximately 10% or more of the risk-inforce mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business. 

Percentage of Risk-in-Force 

Coverage by Mortgage Insurer

As of

September 30, 2023 December 31, 2022

Counterparty:(1)

Mortgage Guaranty Insurance Corp. 19 % 19 %

Arch Capital Group Ltd. 18 18 

Radian Guaranty, Inc. 18 17 

Enact Mortgage Insurance Corp. 16 17 

Essent Guaranty, Inc. 16 16 

National Mortgage Insurance Corp. 12 12 

Others 1 1 

Total 100 % 100 %

(1) Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the 

counterparty.

We have counterparty credit risk relating to the potential insolvency of, or non-performance by, monoline mortgage 

insurers that insure single-family loans we purchase or guarantee. There is risk that these counterparties may fail to 

fulfill their obligations to pay our claims under insurance policies. On at least a quarterly basis, we assess our mortgage 

insurer counterparties’ respective abilities to fulfill their obligations to us. Our assessment includes financial reviews and 

analyses of the insurers’ portfolios and capital adequacy. If we determine that it is probable that we will not collect all of 

our claims from one or more of our mortgage insurer counterparties, it could increase our loss reserves, which could 

adversely affect our results of operations, liquidity, financial condition and net worth.

When we estimate the credit losses that are inherent in our mortgage loans and under the terms of our guaranty 

obligations, we also consider the recoveries that we expect to receive from primary mortgage insurance, as mortgage 

insurance recoveries reduce the severity of the loss associated with defaulted loans if the borrower defaults and title to 

the property is subsequently transferred. Mortgage insurance does not cover credit losses that result from a reduction in 

mortgage interest paid by the borrower in connection with a loan modification, forbearance of principal, or forbearance 

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 102
of scheduled loan payments. We evaluate the financial condition of our mortgage insurer counterparties and adjust the 

contractually due recovery amounts to ensure that expected credit losses as of the balance sheet date are included in 

our loss reserve estimate. As a result, if our assessment of one or more of our mortgage insurer counterparties’ ability to 

fulfill their respective obligations to us worsens, it could increase our loss reserves. As of September 30, 2023 and 

December 31, 2022, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of 

period end, reduced our loss reserves by $1.3 billion and $2.2 billion, respectively.

As of September 30, 2023 and December 31, 2022, we had outstanding receivables of $443 million and $515 million, 

respectively, recorded in “Other assets” in our condensed consolidated balance sheets related to amounts claimed on 

insured, defaulted loans excluding government-insured loans. As of September 30, 2023 and December 31, 2022, we 

assessed these outstanding receivables for collectability, and established a valuation allowance of $394 million and 

$462 million, respectively.

Mortgage Servicers and Sellers. Mortgage servicers collect mortgage and escrow payments from borrowers, pay taxes 

and insurance costs from escrow accounts, monitor and report delinquencies, and perform other required activities, 

including loss mitigation, on our behalf. Our mortgage servicers and sellers may also be obligated to repurchase loans 

or real estate owned (“REO”) properties, reimburse us for losses or provide other remedies under certain 

circumstances, such as if it is determined that the mortgage loan did not meet our underwriting or eligibility 

requirements, if certain loan representations and warranties are violated or if mortgage insurers rescind coverage. Our 

representation and warranty framework does not require repurchase for loans that have breaches of certain selling 

representations and warranties if they have met specified criteria for relief.

Our business with mortgage servicers is concentrated. The table below displays the percentage of our single-family 

guaranty book of business serviced by our top five depository single-family mortgage servicers and top five nondepository single-family mortgage servicers (i.e., servicers that are not insured depository institutions) based on unpaid 

principal balance. There were no servicers that serviced 10% or more of our single-family guaranty book of business as 

of September 30, 2023 or December 31, 2022.

Percentage of Single-Family

Guaranty Book of Business

As of

September 30, 2023 December 31, 2022

Top five depository servicers 22 % 22 %

Top five non-depository servicers 26 23 

Total 48 % 45 %

The table below displays the percentage of our multifamily guaranty book of business serviced by our top five

depository multifamily mortgage servicers and top five non-depository multifamily mortgage servicers. As of September 

30, 2023, Walker & Dunlop, Inc. and Wells Fargo Bank, N.A. (together with its affiliates) serviced 13% and 10%, 

respectively, of our multifamily guaranty book of business based on unpaid principal balance, compared with 13% and 

11% as of December 31, 2022. 

Percentage of Multifamily

Guaranty Book of Business

As of

September 30, 2023 December 31, 2022

Top five depository servicers 27 % 28 %

Top five non-depository servicers 44 43 

Total 71 % 71 %

Compared with depository financial institutions, our non-depository servicers pose additional risks because they may 

not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight as 

depository financial institutions.

Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase 

agreements see “Note 8, Derivative Instruments” and “Note 11, Netting Arrangements.”

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 103
11. Netting Arrangements

We use master netting arrangements, which allow us to offset certain financial instruments and collateral with the same 

counterparty, to minimize counterparty credit exposure. The tables below display information related to derivatives, 

securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are 

subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our 

condensed consolidated balance sheets.

As of September 30, 2023

Gross 

Amount 

Offset(1)

Net Amount 

Presented in 

our Condensed 

Consolidated 

Balance Sheets

Amounts Not Offset in our 

Condensed Consolidated 

Balance Sheets

Gross 

Amount

Financial 

Instruments(2) Collateral(3)

Net 

Amount

(Dollars in millions)

Assets:

OTC risk management derivatives $ 374 $ (321) $ 53 $ — $ — $ 53 

Cleared risk management derivatives — — — — — — 

Mortgage commitment derivatives 51 — 51 (35) (15) 1 

Total derivative assets 425 (321) 104 (4) (35) (15) 54 

Securities purchased under agreements 

to resell(5) 70,000 — 70,000 — (70,000) — 

Total assets $ 70,425 $ (321) $ 70,104 $ (35) $ (70,015) $ 54 

Liabilities:

OTC risk management derivatives $ (4,302) $ 4,282 $ (20) $ — $ — $ (20) 

Cleared risk management derivatives — (41) (41) — 41 — 

Mortgage commitment derivatives (150) — (150) 35 23 (92) 

Total liabilities $ (4,452) $ 4,241 $ (211) (4) $ 35 $ 64 $ (112) 

As of December 31, 2022

Gross 

Amount 

Offset(1)

Net Amount 

Presented in 

our Condensed 

Consolidated 

Balance Sheets

Amounts Not Offset in our 

Condensed Consolidated 

Balance Sheets

Gross 

Amount

Financial 

Instruments(2) Collateral(3)

Net 

Amount

(Dollars in millions)

Assets:

OTC risk management derivatives $ 237 $ (234) $ 3 $ — $ — $ 3 

Cleared risk management derivatives — 80 80 — — 80 

Mortgage commitment derivatives 89 — 89 (50) (12) 27 

Total derivative assets 326 (154) 172 (4) (50) (12) 110 

Securities purchased under agreements 

to resell(5) 69,415 — 69,415 — (69,415) — 

Total assets $ 69,741 $ (154) $ 69,587 $ (50) $ (69,427) $ 110 

Liabilities:

OTC risk management derivatives $ (4,686) $ 4,662 $ (24) $ — $ — $ (24) 

Cleared risk management derivatives — — — — — — 

Mortgage commitment derivatives (78) — (78) 50 7 (21) 

Total liabilities $ (4,764) $ 4,662 $ (102) (4) $ 50 $ 7 $ (45) 

(1) Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a 

net basis, including cash collateral posted and received and accrued interest.

(2) Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under 

an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance 

sheets.

Notes to Condensed Consolidated Financial Statements | Netting Arrangements

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 104
(3) Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets, as well as 

collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held 

or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or 

repledge was $2.1 billion as of September 30, 2023 and December 31, 2022. The fair value of non-cash collateral received was 

$70.1 billion and $69.5 billion, of which $35.2 billion and $28.7 billion could be sold or repledged as of September 30, 2023 and December 

31, 2022, respectively. None of the underlying collateral was sold or repledged as of September 30, 2023 or December 31, 2022. 

(4) Excludes derivative assets of $45 million and $3 million as of September 30, 2023 and December 31, 2022, respectively, and derivative 

liabilities of $14 million and $66 million recognized in our condensed consolidated balance sheets as of September 30, 2023 and 

December 31, 2022, respectively, that were not subject to enforceable master netting arrangements.

(5) Includes $34.4 billion and $45.2 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our 

condensed consolidated balance sheets as of September 30, 2023 and December 31, 2022, respectively. Includes $12.8 billion and $9.7 

billion in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed 

consolidated balance sheets as of September 30, 2023 and December 31, 2022, respectively. 

Derivative instruments are recorded at fair value and securities purchased under agreements to resell are recorded at 

amortized cost in our condensed consolidated balance sheets. For a discussion of how we determine our rights to offset 

the assets and liabilities presented above with the same counterparty, including collateral posted or received, see “Note 

14, Netting Arrangements” in our 2022 Form 10-K.

12. Fair Value

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of 

certain assets and liabilities on a recurring or nonrecurring basis. 

Fair Value Measurement

Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth 

disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or 

permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that 

prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, 

Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The 

next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or 

observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on 

unobservable inputs.

We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. 

See “Note 15, Fair Value” in our 2022 Form 10-K for information on the valuation control processes and the valuation 

techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements 

as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. If the inputs used to measure assets 

or liabilities at fair value change, it may also result in a change in classification between Levels 1, 2, and 3. We made no 

material changes to the valuation control processes or the valuation techniques for the nine months ended September 

30, 2023.

Recurring Changes in Fair Value 

The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair 

value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair 

value option.

Notes to Condensed Consolidated Financial Statements | Netting Arrangements

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 105
Fair Value Measurements as of September 30, 2023

Quoted Prices 

in Active 

Markets for 

Identical Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs

(Level 2)

Significant 

Unobservable 

Inputs

(Level 3)

Netting 

Adjustment(1)

Estimated Fair 

Value

(Dollars in millions)

Recurring fair value measurements:

Assets:

Cash equivalents, including restricted cash equivalents(2) $ 494 $ — $ — $ — $ 494 

Trading securities:

Mortgage-related — 2,610 24 — 2,634 

Non-mortgage-related(3) 48,634 20 — — 48,654 

Total trading securities 48,634 2,630 24 — 51,288 

Available-for-sale securities:

Agency(4) — 164 212 — 376 

Other mortgage-related — 5 203 — 208 

Total available-for-sale securities — 169 415 — 584 

Mortgage loans — 2,716 491 — 3,207 

Derivative assets — 417 53 (321) 149 

Total assets at fair value $ 49,128 $ 5,932 $ 983 $ (321) $ 55,722 

Liabilities:

Long-term debt:

Of Fannie Mae $ — $ 593 $ 240 $ — $ 833 

Of consolidated trusts — 14,141 69 — 14,210 

Total long-term debt — 14,734 309 — 15,043 

Derivative liabilities — 4,452 14 (4,241) 225 

Total liabilities at fair value $ — $ 19,186 $ 323 $ (4,241) $ 15,268 

Fair Value Measurements as of December 31, 2022

Quoted Prices 

in Active 

Markets for 

Identical Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3)

Netting 

Adjustment(1)

Estimated Fair 

Value

(Dollars in millions)

Recurring fair value measurements:

Assets:

Cash equivalents, including restricted cash equivalents(2) $ — $ — $ — $ — $ — 

Trading securities:

Mortgage-related — 3,164 47 — 3,211 

Non-mortgage-related(3) 46,898 20 — — 46,918 

Total trading securities 46,898 3,184 47 — 50,129 

Available-for-sale securities:

Agency(4) — 55 371 — 426 

Other mortgage-related — 7 263 — 270 

Total available-for-sale securities — 62 634 — 696 

Mortgage loans — 3,102 543 — 3,645 

Derivative assets — 300 29 (154) 175 

Total assets at fair value $ 46,898 $ 6,648 $ 1,253 $ (154) $ 54,645 

Liabilities:

Long-term debt:

Of Fannie Mae $ — $ 919 $ 242 $ — $ 1,161 

Of consolidated trusts — 16,124 136 — 16,260 

Total long-term debt — 17,043 378 — 17,421 

Derivative liabilities — 4,764 66 (4,662) 168 

Total liabilities at fair value $ — $ 21,807 $ 444 $ (4,662) $ 17,589 

(1) Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under 

legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and 

received.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 106
(2) Cash equivalents and restricted cash equivalents are composed of U.S. Treasuries that have a maturity at the date of acquisition of three 

months or less.

(3) Primarily includes U.S. Treasury securities.

(4) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.

The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using 

significant unobservable inputs (Level 3). The tables also display gains and losses due to changes in fair value, 

including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of 

operations and comprehensive income for Level 3 assets and liabilities. 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Three Months Ended September 30, 2023

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(1)

Balance, 

June 30, 2023

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

September 

30, 2023

(Dollars in millions)

Trading securities:

Mortgage-related $ 28 $ (4) (5)(6) $ — $ — $ — $ — $ — $ (4) $ 4 $ 24 $ (4) $ — 

Available-for-sale 

securities:

Agency $ 356 $ — $ (19) $ — $ — $ — $ (8) $ (117) $ — $ 212 $ — $ (12) 

Other mortgagerelated 235 1 — — — — (34) — 1 203 — — 

Total available-forsale securities $ 591 $ 1 

(6)(7)

$ (19) $ — $ — $ — $ (42) $ (117) $ 1 $ 415 $ — $ (12) 

Mortgage loans $ 510 $ (2) (5)(6) $ — $ — $ — $ — $ (19) $ (15) $ 17 $ 491 $ (4) $ — 

Net derivatives 12 28 (5) — — — — (1) — — 39 26 — 

Long-term debt:

Of Fannie Mae $ (256) $ 16 (5) $ — $ — $ — $ — $ — $ — $ — $ (240) $ 16 $ — 

Of consolidated 

trusts (125) 1 

(5)(6)

 — — — — 4 52 (1) (69) — — 

Total long-term debt $ (381) $ 17 $ — $ — $ — $ — $ 4 $ 52 $ (1) $ (309) $ 16 $ — 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 107
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Nine Months Ended September 30, 2023

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(1)

Balance, 

December 31, 

2022

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

September 

30, 2023

(Dollars in millions)

Trading securities:

Mortgage-related $ 47 $ (12) (5)(6) $ — $ — $ — $ — $ — $ (15) $ 4 $ 24 $ (9) $ — 

Available-for-sale 

securities:

Agency $ 371 $ 1 $ (18) $ — $ — $ — $ (25) $ (117) $ — $ 212 $ — $ (10) 

Other mortgagerelated 263 6 5 — — — (72) (1) 2 203 — 4 

Total available-forsale securities $ 634 $ 7 

(6)(7)

$ (13) $ — $ — $ — $ (97) $ (118) $ 2 $ 415 $ — $ (6) 

Mortgage loans $ 543 $ 1 (5)(6) $ — $ — $ — $ — $ (64) $ (30) $ 41 $ 491 $ (4) $ — 

Net derivatives (37) 60 (5) — — — — 16 — — 39 76 — 

Long-term debt:

Of Fannie Mae $ (242) $ 2 (5) $ — $ — $ — $ — $ — $ — $ — $ (240) $ 2 $ — 

Of consolidated 

trusts (136) 1 

(5)(6)

 — — — — 15 52 (1) (69) 1 — 

Total long-term debt $ (378) $ 3 $ — $ — $ — $ — $ 15 $ 52 $ (1) $ (309) $ 3 $ — 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Three Months Ended September 30, 2022

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(1)

Balance, 

June 30, 2022

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

September 

30, 2022

(Dollars in millions)

Trading securities:

Mortgage-related $ 76 $ (3) (5)(6) $ — $ — $ — $ — $ — $ (33) $ — $ 40 $ 2 $ — 

Available-for-sale 

securities:

Agency $ 404 $ 1 $ (1) $ — $ — $ — $ (11) $ — $ — $ 393 $ — $ (1) 

Other mortgagerelated 289 (2) 1 — — — (7) — — 281 — 2 

Total available-forsale securities $ 693 $ (1) 

(6)(7)

$ — $ — $ — $ — $ (18) $ — $ — $ 674 $ — $ 1 

Mortgage loans $ 599 $ (20) (5)(6) $ — $ — $ — $ — $ (33) $ (13) $ 12 $ 545 $ (21) $ — 

Net derivatives (7) (26) (5) — — — — 1 — — (32) (25) — 

Long-term debt:

Of Fannie Mae $ (253) $ (1) (5) $ — $ — $ — $ — $ — $ — $ — $ (254) $ (1) $ — 

Of consolidated 

trusts (152) 4 

(5)(6)

 — — — — 7 — — (141) 3 — 

Total long-term debt $ (405) $ 3 $ — $ — $ — $ — $ 7 $ — $ — $ (395) $ 2 $ — 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 108
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Nine Months Ended September 30, 2022

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(1)

Balance, 

December 31, 

2021

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

September 

30, 2022

(Dollars in millions)

Trading securities:

Mortgage-related $ 57 $ (11) (5)(6) $ — $ — $ — $ — $ (1) $ (47) $ 42 $ 40 $ (2) $ — 

Available-for-sale 

securities:

Agency $ 431 $ 2 $ (5) $ — $ — $ — $ (35) $ — $ — $ 393 $ — $ (4) 

Other mortgagerelated 322 (10) (1) — — — (29) (2) 1 281 — — 

Total available-forsale securities $ 753 $ (8) 

(6)(7)

$ (6) $ — $ — $ — $ (64) $ (2) $ 1 $ 674 $ — $ (4) 

Mortgage loans $ 755 $ (68) (5)(6) $ — $ — $ (2) $ — $ (115) $ (73) $ 48 $ 545 $ (59) $ — 

Net derivatives 131 (183) (5) — — — — 20 — — (32) (163) — 

Long-term debt:

Of Fannie Mae $ (373) $ 119 (5) $ — $ — $ — $ — $ — $ — $ — $ (254) $ 119 $ — 

Of consolidated 

trusts (95) 6 

(5)(6)

 — — — (86) 34 1 (1) (141) 6 — 

Total long-term debt $ (468) $ 125 $ — $ — $ — $ (86) $ 34 $ 1 $ (1) $ (395) $ 125 $ — 

(1) Gains (losses) included in “Other comprehensive loss” in our condensed consolidated statements of operations and comprehensive 

income.

(2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.

(3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.

(4) Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered 

unrealized and are not included in this amount.

(5) Gains (losses) are included in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income.

(6) Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income 

includes amortization of cost basis adjustments.

(7) Gains (losses) are included in “Investment gains (losses), net” in our condensed consolidated statements of operations and 

comprehensive income.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 109
The following tables display valuation techniques and the range and the weighted average of significant unobservable 

inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which 

we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower 

fair value measurements of these assets and liabilities as of the reporting date.

Fair Value Measurements as of September 30, 2023

Fair Value

Significant Valuation 

Techniques

Significant 

Unobservable

Inputs(1) Range(1)

Weighted - 

Average(1)(2)

(Dollars in millions)

Recurring fair value measurements:

Trading securities:

Mortgage-related(3) $ 24 Various

Available-for-sale securities:

Agency(3) 212 Consensus

Other mortgage-related 91 Discounted Cash Flow Spreads (bps) 488.0 - 518.0 503.6

 16 Single Vendor

 96 Various

Total other mortgage-related 203 

Total available-for-sale securities $ 415 

Net derivatives $ 8 Dealer Mark

 31 Discounted Cash Flow

Total net derivatives $ 39 

Fair Value Measurements as of December 31, 2022

Fair Value

Significant Valuation 

Techniques

Significant 

Unobservable

Inputs(1) Range(1)

Weighted - 

Average(1)(2)

(Dollars in millions)

Recurring fair value measurements:

Trading securities:

Mortgage-related(3) $ 47 Various

Available-for-sale securities:

Agency(3) 371 Consensus

Other mortgage-related 142 Discounted Cash Flow Spreads (bps) 531.0 - 582.0 557.7

 96 Single Vendor

 25 Various

Total other mortgage-related 263 

Total available-for-sale securities $ 634 

Net derivatives $ 25 Dealer Mark

 (62) Discounted Cash Flow

Total net derivatives $ (37) 

(1) Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and 

the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have 

disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the 

security level using discounted cash flows.

(2) Unobservable inputs were weighted by the relative fair value of the instruments. 

(3) Includes Fannie Mae and Freddie Mac securities.

In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a 

nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair 

value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We held no Level 1 

assets or liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2023 or December 31, 

2022. We held $204 million and $30 million in Level 2 assets as of September 30, 2023 and December 31, 2022, 

respectively, composed of mortgage loans held for sale that were impaired. We held no Level 2 or Level 3 liabilities that 

were measured at fair value on a nonrecurring basis as of September 30, 2023 or December 31, 2022.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 110
The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis. 

Fair Value Measurements as of

Valuation Techniques

September 30, 

2023

December 31, 

2022

(Dollars in millions)

Nonrecurring fair value measurements: 

Mortgage loans:(1)

Mortgage loans held for sale, at lower of cost or fair value Consensus $ 2,261 $ 1,571 

Single Vendor — 92 

Total mortgage loans held for sale, at lower of cost or fair value 2,261 1,663 

Single-family mortgage loans held for investment, at amortized cost Internal Model 684 1,636 

Multifamily mortgage loans held for investment, at amortized cost Appraisal 6 3 

Broker Price Opinion 877 614 

Internal Model 133 27 

Total multifamily mortgage loans held for investment, at amortized 

cost 1,016 644 

Acquired property, net:

Single-family Accepted Offer 22 17 

Appraisal 44 65 

Internal Model 193 215 

Walk Forward 78 91 

Various 17 12 

Total single-family 354 400 

Multifamily Various 85 119 

Total nonrecurring assets at fair value $ 4,400 $ 4,462 

(1) When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is 

recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances 

of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 111
Fair Value of Financial Instruments

The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of 

financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that 

we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as 

“Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial 

instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of 

our total consolidated assets and liabilities.

As of September 30, 2023

Carrying 

Value

Quoted 

Prices in 

Active 

Markets for 

Identical 

Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs 

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3) 

Netting 

Adjustment

Estimated 

Fair Value

(Dollars in millions)

Financial assets:

Cash and cash equivalents, including 

restricted cash and cash equivalents $ 81,799 $ 34,649 $ 47,150 $ — $ — $ 81,799 

Securities purchased under agreements 

to resell 22,850 — 22,850 — — 22,850 

Trading securities 51,288 48,634 2,630 24 — 51,288 

Available-for-sale securities 584 — 169 415 — 584 

Mortgage loans held for sale 2,587 — 588 2,062 — 2,650 

Mortgage loans held for investment, net 

of allowance for loan losses 4,131,301 — 3,346,542 123,867 — 3,470,409 

Advances to lenders 3,384 — 3,384 — — 3,384 

Derivative assets at fair value 149 — 417 53 (321) 149 

Guaranty assets and buy-ups 75 — — 168 — 168 

Total financial assets $ 4,294,017 $ 83,283 $ 3,423,730 $ 126,589 $ (321) $ 3,633,281 

Financial liabilities:

Short-term debt:

Of Fannie Mae $ 14,245 $ — $ 14,238 $ — $ — $ 14,238 

Long-term debt:

Of Fannie Mae 111,407 — 109,706 551 — 110,257 

Of consolidated trusts 4,106,110 — 3,421,692 248 — 3,421,940 

Derivative liabilities at fair value 225 — 4,452 14 (4,241) 225 

Guaranty obligations 81 — — 71 — 71 

Total financial liabilities $ 4,232,068 $ — $ 3,550,088 $ 884 $ (4,241) $ 3,546,731 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 112
As of December 31, 2022

Carrying 

Value

Quoted 

Prices in 

Active 

Markets for 

Identical 

Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs 

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3)

Netting 

Adjustment

Estimated 

Fair Value

(Dollars in millions)

Financial assets:

Cash and cash equivalents, including 

restricted cash and cash equivalents $ 87,841 $ 32,991 $ 54,850 $ — $ — $ 87,841 

Securities purchased under agreements 

to resell 14,565 — 14,565 — — 14,565 

Trading securities 50,129 46,898 3,184 47 — 50,129 

Available-for-sale securities 696 — 62 634 — 696 

Mortgage loans held for sale 2,033 — 48 2,029 — 2,077 

Mortgage loans held for investment, net 

of allowance for loan losses 4,112,403 — 3,437,979 171,857 — 3,609,836 

Advances to lenders 1,502 — 1,502 — — 1,502 

Derivative assets at fair value 175 — 300 29 (154) 175 

Guaranty assets and buy-ups 87 — — 166 — 166 

Total financial assets $ 4,269,431 $ 79,889 $ 3,512,490 $ 174,762 $ (154) $ 3,766,987 

Financial liabilities:

Short-term debt:

Of Fannie Mae $ 10,204 $ — $ 10,208 $ — $ — $ 10,208 

Long-term debt:

Of Fannie Mae 123,964 — 122,066 558 — 122,624 

Of consolidated trusts 4,087,720 — 3,511,958 42,150 — 3,554,108 

Derivative liabilities at fair value 168 — 4,764 66 (4,662) 168 

Guaranty obligations 94 — — 66 — 66 

Total financial liabilities $ 4,222,150 $ — $ 3,648,996 $ 42,840 $ (4,662) $ 3,687,174 

For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2022 Form 10-

K.

Fair Value Option

We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require 

bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the 

embedded derivative from such instruments.

Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the 

debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of 

operations and comprehensive income.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 113
The following table displays the fair value and unpaid principal balance of the financial instruments for which we have 

elected the fair value option.

As of

September 30, 2023 December 31, 2022

Loans(1)

Long-Term 

Debt of 

Fannie Mae

Long-Term Debt 

of Consolidated 

Trusts Loans(1)

Long-Term 

Debt of 

Fannie Mae

Long-Term Debt 

of Consolidated 

Trusts

(Dollars in millions)

Fair value $ 3,207 $ 833 $ 14,210 $ 3,645 $ 1,161 $ 16,260 

Unpaid principal balance 3,527 828 14,823 3,835 1,145 16,311 

(1) Includes nonaccrual loans with a fair value of $32 million and $40 million as of September 30, 2023 and December 31, 2022, respectively. 

Includes loans that are 90 days or more past due with a fair value of $33 million and $48 million as of September 30, 2023 and December 

31, 2022, respectively.

Changes in Fair Value under the Fair Value Option Election

We recorded losses of $117 million and $95 million for the three and nine months ended September 30, 2023, 

respectively, and losses of $209 million and $587 million for the three and nine months ended September 30, 2022, 

respectively, from changes in the fair value of loans recorded at fair value in “Fair value gains, net” in our condensed 

consolidated statements of operations and comprehensive income.

We recorded gains of $406 million and $356 million for the three and nine months ended September 30, 2023, 

respectively, and gains of $787 million and $2.4 billion for the three and nine months ended September 30, 2022, 

respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains, net” in our 

condensed consolidated statements of operations and comprehensive income.

13. Commitments and Contingencies

We are party to various types of legal actions and proceedings, including actions brought on behalf of various classes of 

claimants. We also are subject to regulatory examinations, inquiries and investigations, and other information gathering 

requests. In some of the matters, indeterminate amounts are sought. Modern pleading practice in the U.S. permits 

considerable variation in the assertion of monetary damages or other relief. Jurisdictions may permit claimants not to 

specify the monetary damages sought or may permit claimants to state only that the amount sought is sufficient to 

invoke the jurisdiction of the trial court. This variability in pleadings, together with our and our counsel’s actual 

experience in litigating or settling claims, leads us to conclude that the monetary relief that may be sought by plaintiffs 

bears little relevance to the merits or disposition value of claims. 

Legal actions and proceedings of all types are subject to many uncertain factors that generally cannot be predicted with 

assurance. Accordingly, the outcome of any given matter and the amount or range of potential loss at particular points in

time is frequently difficult to ascertain. Uncertainties can include how fact finders will evaluate documentary evidence 

and the credibility and effectiveness of witness testimony, and how the court will apply the law. Disposition valuations 

are also subject to the uncertainty of how opposing parties and their counsel may view the evidence and applicable law.

On a quarterly basis, we review relevant information about all pending legal actions and proceedings for the purpose of 

evaluating and revising our contingencies, accruals and disclosures. We establish an accrual only for matters when the 

likelihood of a loss is probable and we can reasonably estimate the amount of such loss. We are often unable to 

estimate the possible losses or ranges of losses, particularly for proceedings that are in their early stages of 

development, where plaintiffs seek indeterminate or unspecified damages, where there may be novel or unsettled legal 

questions relevant to the proceedings, or where settlement negotiations have not occurred or progressed. Given the 

uncertainties involved in any action or proceeding, regardless of whether we have established an accrual, the ultimate 

resolution of certain of these matters may be material to our operating results for a particular period, depending on, 

among other factors, the size of the loss or liability imposed and the level of our net income or loss for that period. 

In addition to the matters specifically described below, we are involved in a number of legal and regulatory proceedings 

that arise in the ordinary course of business that we do not expect will have a material impact on our business or 

financial condition.

Senior Preferred Stock Purchase Agreements Litigation

A consolidated class action (“In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action 

Litigations”) and a non-class action lawsuit, Fairholme Funds v. FHFA, filed by Fannie Mae and Freddie Mac 

shareholders against us, FHFA as our conservator, and Freddie Mac are pending in the U.S. District Court for the 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 114
District of Columbia. The lawsuits challenge the August 2012 amendment to each company’s senior preferred stock 

purchase agreement with Treasury.

Plaintiffs in these lawsuits allege that the net worth sweep dividend provisions of the senior preferred stock that were 

implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights and caused them 

harm. Plaintiffs in the class action represent a class of Fannie Mae preferred shareholders and classes of Freddie Mac 

common and preferred shareholders. On September 23, 2022, the court issued a summary judgment ruling that 

permitted the plaintiffs in these lawsuits to present to a jury their claims for breach of the implied covenant of good faith 

and fair dealing. The cases were consolidated for trial and a trial commenced on October 17, 2022, but resulted in a 

mistrial after the jury could not reach a verdict. A second trial commenced on July 24, 2023. On August 14, 2023, the 

jury returned a verdict for the plaintiffs and awarded damages of $299.4 million to Fannie Mae preferred shareholders. 

On October 24, 2023, the court awarded these shareholders prejudgment interest on the damage award, to be 

determined as simple interest, accruing from August 17, 2012 until the date on which judgment is entered at a fixed rate 

of 5% over the Federal Reserve discount rate as of August 17, 2012. We have determined the prejudgment interest 

through September 30, 2023 is $192 million. The parties will have an opportunity to file an appeal. We evaluated the 

jury verdict and the court’s award of prejudgment interest and have established an accrual for each, reflected as 

expense in “Other expenses, net” for the three months ended September 30, 2023. 

14. Regulatory Capital Requirements

FHFA has established an enterprise regulatory capital framework that went into effect in February 2021; however, we 

are not required to hold capital according to the framework’s requirements until the date of termination of our 

conservatorship, or such later date as may be ordered by FHFA. 

The enterprise regulatory capital framework includes the following requirements under the standardized approach 

related to the amount and form of capital we must hold:

• Supplemental leverage and risk-based capital requirements based largely on definitions of capital used in U.S. 

banking regulators’ regulatory capital framework. Under the leverage capital requirements, we must maintain a 

tier 1 capital ratio of 2.5% of adjusted total assets. Under the risk-based capital requirements, we must maintain 

minimum common equity tier 1 capital, tier 1 capital, and adjusted total capital ratios of 4.5%, 6%, and 8%, 

respectively, of risk-weighted assets;

• A requirement that we hold prescribed capital buffers that can be drawn down in periods of financial stress and 

then rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must 

restrict capital distributions such as stock repurchases and dividends, as well as discretionary bonus payments 

to executives, until the buffer amounts are restored. The prescribed capital buffers represent the amount of 

capital we are required to hold above the minimum leverage and risk-based capital requirements.

◦ The prescribed leverage buffer amount (“PLBA”) represents the amount of tier 1 capital we are 

required to hold above the minimum tier 1 leverage capital requirement; 

◦ The risk-based capital buffers consist of three separate components: a stability capital buffer, a stress 

capital buffer, and a countercyclical capital buffer. Taken together, these risk-based buffers comprise 

the prescribed capital conservation buffer amount (“PCCBA”). The PCCBA must be comprised entirely 

of common equity tier 1 capital; and

• Specific minimum percentages, or “floors,” on the risk-weights applicable to single-family and multifamily 

exposures, as well as retained portions of credit risk transfer transactions.

The table below sets forth information about our capital requirements under the standardized approach of the enterprise 

regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the 

stated value of the senior preferred stock ($120.8 billion) and other amounts specified in footnote 2 to the table. 

Because of these exclusions, we had a deficit in available capital as of September 30, 2023, even though we had 

positive net worth under GAAP of $73.7 billion as of September 30, 2023.

Notes to Condensed Consolidated Financial Statements | Commitments and Contingencies

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 115
As of September 30, 2023, we had a $246 billion shortfall of our available capital (deficit) to the adjusted total capital 

requirement (including buffers) of $187 billion under the standardized approach of the enterprise regulatory capital 

framework as shown in the table below. As of September 30, 2023, our risk-based adjusted total capital requirement 

(including buffers) represented the amount of capital needed to be fully capitalized under the standardized approach to 

the enterprise regulatory capital framework.

Capital Metrics under the Enterprise Regulatory Capital Framework as of September 30, 2023(1)

(Dollars in billions)

Adjusted total assets $ 4,560 

Risk-weighted assets 1,346 

Amounts Ratios

Available 

Capital 

(Deficit)(2)

Minimum 

Capital 

Requirement

Total Capital 

Requirement 

(including 

Buffers)(3)

Available 

Capital 

(Deficit) 

Ratio(4)

Minimum 

Capital Ratio 

Requirement

Total Capital 

Requirement 

Ratio (including 

Buffers)

Risk-based capital:

Total capital (statutory)(5) $ (38) $ 108 $ 108 (2.8) % 8.0 % 8.0 %

Common equity tier 1 capital (78) 61 140 (5.8) 4.5 10.4 

Tier 1 capital (59) 81 160 (4.4) 6.0 11.9 

Adjusted total capital (59) 108 187 (4.4) 8.0 13.9 

Leverage capital:

Core capital (statutory)(6) (47) 114 114 (1.0) 2.5 2.5 

Tier 1 capital (59) 114 137 (1.3) 2.5 3.0 

(1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets 

for leverage capital metrics.

(2) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) 

for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from 

temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. 

As of September 30, 2023, this resulted in the full deduction of deferred tax assets ($11.9 billion) from our available capital (deficit). 

Available capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock 

($19.1 billion).

(3) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the PCCBA, comprised of a stress capital 

buffer, a stability capital buffer, and a countercyclical capital buffer. The applicable buffer for tier 1 capital (leverage based) is the PLBA. 

The stress capital buffer and countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as 

of the last day of the previous calendar quarter. The stability capital buffer is based on our share of mortgage debt outstanding. The 

prescribed leverage buffer for 2023 is set at 50% of the 2023 stability buffer. Going forward the stability buffer and the prescribed leverage 

buffer will be updated with an effective date that depends on whether the stability capital buffer increases or decreases relative to the 

previously calculated value.

(4) Ratios are negative because we had a deficit in available capital for each tier of capital.

(5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include 

an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance 

for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any 

reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the 

Director of FHFA by regulation determines are appropriate to include in determining total capital.

(6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our 

outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core 

capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock.

As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of 

September 30, 2023 was 0%. While it is not applicable until the date of termination of our conservatorship, our 

maximum payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form 

of distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum 

payout ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our 

leverage buffer.

Notes to Condensed Consolidated Financial Statements | Regulatory Capital Requirements

Fannie Mae (In conservatorship) Third Quarter 2023 Form 10-Q 116
Item 3. Quantitative and Qualitative Disclosures about 

Market Risk

Information about market risk is set forth in “MD&A—Risk Management—Market Risk Management, including InterestRate Risk Management.”

Item 4. Controls and Procedures

Overview

We are required under applicable laws and regulations to maintain controls and procedures, which include disclosure 

controls and procedures as well as internal control over financial reporting, as further described below.

Evaluation of Disclosure Controls and Procedures

Disclosure Controls and Procedures

Disclosure controls and procedures refer to controls and other procedures designed to provide reasonable assurance 

that information required to be disclosed in the reports we file or submit under the Exchange Act is recorded, processed, 

summarized and reported within the time periods specified in the rules and forms of the SEC. Disclosure controls and 

procedures include, without limitation, controls and procedures designed to provide reasonable assurance that 

information required to be disclosed by us in the reports that we file or submit under the Exchange Act is accumulated 

and communicated to management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to 

allow timely decisions regarding our required disclosure. In designing and evaluating our disclosure controls and 

procedures, management recognizes that any controls and procedures, no matter how well designed and operated, can 

provide only reasonable assurance of achieving the desired control objectives, and management was required to apply 

its judgment in evaluating and implementing possible controls and procedures.

Evaluation of Disclosure Controls and Procedures

As required by Rule 13a-15 under the Exchange Act, management has evaluated, with the participation of our Chief 

Executive Officer and Chief Financial Officer, the effectiveness of our disclosure controls and procedures in effect as of 

September 30, 2023, the end of the period covered by this report. As a result of management’s evaluation, our Chief 

Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective at 

a reasonable assurance level as of September 30, 2023, or as of the date of filing this report. 

Our disclosure controls and procedures were not effective as of September 30, 2023, or as of the date of filing this 

report because they did not adequately ensure the accumulation and communication to management of information 

known to FHFA that is needed to meet our disclosure obligations under the federal securities laws. As a result, we were 

not able to rely upon the disclosure controls and procedures that were in place as of September 30, 2023, or as of the 

date of this filing, and we continue to have a material weakness in our internal control over financial reporting. This 

material weakness is described in more detail below under “Description of Material Weakness.” Based on discussions 

with FHFA and the structural nature of this material weakness, we do not expect to remediate this material weakness 

while we are under conservatorship.

Description of Material Weakness

The Public Company Accounting Oversight Board’s Auditing Standard 2201 defines a material weakness as a 

deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable 

possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or 

detected on a timely basis.

Management has determined that we continued to have the following material weakness as of September 30, 2023, and 

as of the date of filing this report:

• Disclosure Controls and Procedures. We have been under the conservatorship of FHFA since September 6, 

2008. Under the GSE Act, FHFA is an independent agency that currently functions as both our conservator and 

our regulator with respect to our safety, soundness, and mission. Because of the nature of the conservatorship 

under the GSE Act, which places us under the “control” of FHFA (as that term is defined by securities laws), 

some of the information that we may need to meet our disclosure obligations may be solely within the 

knowledge of FHFA. As our conservator, FHFA has the power to take actions without our knowledge that could 

be material to our shareholders and other stakeholders and could significantly affect our financial performance 

or our continued existence as an ongoing business. Although we and FHFA attempted to design and implement 

Quantitative and Qualitative Disclosures about Market Risk

Fannie Mae Third Quarter 2023 Form 10-Q 117
disclosure policies and procedures that would account for the conservatorship and accomplish the same 

objectives as a disclosure controls and procedures policy of a typical reporting company, there are inherent 

structural limitations on our ability to design, implement, operate, and test effective disclosure controls and 

procedures. As both our regulator and our conservator under the GSE Act, FHFA is limited in its ability to design 

and implement a complete set of disclosure controls and procedures relating to Fannie Mae, particularly with 

respect to current reporting pursuant to Form 8-K. Similarly, as a regulated entity, we are limited in our ability to 

design, implement, operate, and test the controls and procedures for which FHFA is responsible.

Due to these circumstances, we have not been able to update our disclosure controls and procedures in a manner that 

adequately ensures the accumulation and communication to management of information known to FHFA that is needed 

to meet our disclosure obligations under the federal securities laws, including disclosures affecting our condensed 

consolidated financial statements. As a result, we did not maintain effective controls and procedures designed to ensure 

complete and accurate disclosure as required by GAAP as of September 30, 2023, or as of the date of filing this report. 

Based on discussions with FHFA and the structural nature of this weakness, we do not expect to remediate this material 

weakness while we are under conservatorship.

Mitigating Actions Related to Material Weakness

As described above under “Description of Material Weakness,” we continue to have a material weakness in our internal 

control over financial reporting relating to our disclosure controls and procedures. However, we and FHFA have 

engaged in the following practices intended to permit accumulation and communication to management of information 

needed to meet our disclosure obligations under the federal securities laws:

• FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate 

operation of the company with the oversight of the conservator.

• We have provided drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We 

also have provided drafts of external press releases, statements, and speeches to FHFA personnel for their 

review and comment prior to release.

• FHFA personnel, including senior officials, have reviewed our SEC filings prior to filing, including this quarterly 

report on Form 10-Q for the quarter ended September 30, 2023 (“Third Quarter 2023 Form 10-Q”), and 

engaged in discussions regarding issues associated with the information contained in those filings. Prior to 

filing our Third Quarter 2023 Form 10-Q, FHFA provided Fannie Mae management with written 

acknowledgment that it had reviewed the Third Quarter 2023 Form 10-Q, and it was not aware of any material 

misstatements or omissions in the Third Quarter 2023 Form 10-Q and had no objection to our filing the Third 

Quarter 2023 Form 10-Q.

• Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the 

Director.

• FHFA representatives attend meetings frequently with various groups within the company to enhance the flow 

of information and to provide oversight on a variety of matters, including accounting, credit and market risk 

management, external communications, and legal matters.

• Senior officials within FHFA’s Office of the Chief Accountant have met frequently with our senior finance 

executives regarding our accounting policies, practices, and procedures.

Changes in Internal Control Over Financial Reporting

Management has evaluated, with the participation of our Chief Executive Officer and Chief Financial Officer, whether 

any changes in our internal control over financial reporting that occurred during our last fiscal quarter have materially 

affected, or are reasonably likely to materially affect, our internal control over financial reporting. There were no changes 

in our internal control over financial reporting from July 1, 2023, through September 30, 2023, that management 

believes have materially affected, or are reasonably likely to materially affect, our internal control over financial 

reporting.

In the ordinary course of business, we review our system of internal control over financial reporting and make changes 

that we believe will improve these controls and increase efficiency, while continuing to ensure that we maintain effective 

internal controls. Changes may include implementing new, more efficient systems, automating manual processes, and 

updating existing systems. 

Controls and Procedures

Fannie Mae Third Quarter 2023 Form 10-Q 118
PART II—OTHER INFORMATION

Item 1. Legal Proceedings

The information in this item supplements and updates information regarding certain legal proceedings set forth in “Legal 

Proceedings” in our 2022 Form 10-K, our First Quarter 2023 Form 10-Q and our Second Quarter 2023 Form 10-Q. We 

also provide information regarding material legal proceedings in “Note 13, Commitments and Contingencies,” which is 

incorporated herein by reference. In addition to the matters specifically described or incorporated by reference in this 

item, we are involved in legal and regulatory proceedings that arise in the ordinary course of business that we do not 

expect will have a material impact on our business or financial condition. However, litigation claims and proceedings of 

all types are subject to many factors and their outcome and effect on our business and financial condition generally 

cannot be predicted accurately. 

We establish an accrual for legal claims only when a loss is probable and we can reasonably estimate the amount of 

such loss. The actual costs of resolving legal claims may be substantially higher or lower than the amounts accrued for 

those claims. If certain of these matters are determined against us, FHFA or Treasury, it could have a material adverse 

effect on our results of operations, liquidity and financial condition, including our net worth. 

Senior Preferred Stock Purchase Agreements Litigation

Since June 2013, preferred and common stockholders of Fannie Mae and Freddie Mac filed lawsuits in multiple federal 

courts against one or more of the United States, Treasury and FHFA, challenging actions taken by the defendants 

relating to the Fannie Mae and Freddie Mac senior preferred stock purchase agreements and the conservatorships of 

Fannie Mae and Freddie Mac. Some of these lawsuits also contain claims against Fannie Mae and Freddie Mac. The 

legal claims being advanced by one or more of these lawsuits include challenges to the net worth sweep dividend 

provisions of the senior preferred stock that were implemented pursuant to August 2012 amendments to the 

agreements, the payment of dividends to Treasury under the net worth sweep dividend provisions, and FHFA’s decision 

to require Fannie Mae and Freddie Mac to draw funds from Treasury to pay dividends to Treasury prior to the August 

2012 amendments. The plaintiffs seek various forms of equitable and injunctive relief as well as damages. The cases 

that remain pending after June 30, 2023 are as follows:

District of Columbia (In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action 

Litigations and Fairholme Funds v. FHFA). Fannie Mae is a defendant in two cases in the U.S. District Court for the 

District of Columbia, including a consolidated class action. The cases were consolidated for trial, and on August 14, 

2023, the jury returned a verdict for the plaintiffs and awarded damages of $299.4 million to Fannie Mae preferred 

shareholders. On October 24, 2023, the court awarded these shareholders prejudgment interest on the damage award, 

to be determined as simple interest, accruing from August 17, 2012 until the date on which judgment is entered at a 

fixed rate of 5% over the Federal Reserve discount rate as of August 17, 2012. We have determined the prejudgment 

interest through September 30, 2023 is $192 million. See “Note 13, Commitments and Contingencies” for additional 

information.

Southern District of Texas (Collins, et al. v. Yellen, et al.). On October 20, 2016, preferred and common stockholders 

filed a complaint against FHFA and Treasury in the U.S. District Court for the Southern District of Texas. On May 22, 

2017, the court dismissed the case. On September 6, 2019, the U.S. Court of Appeals for the Fifth Circuit, sitting en 

banc, affirmed the district court’s dismissal of claims against Treasury, but reversed the dismissal of claims against 

FHFA. 

On June 23, 2021, the U.S. Supreme Court held that FHFA did not exceed its statutory powers as conservator when it 

agreed to the net worth sweep dividend provisions of the third amendment to the senior preferred stock purchase 

agreements in August 2012. The court also held that the provision of the Housing and Economic Recovery Act of 2008 

that restricts the President’s power to remove the FHFA Director without cause violates the Constitution’s separation of 

powers and, thus, the FHFA Director may be removed by the President for any reason. The court rejected plaintiffs’ 

request to rescind the third amendment to the senior preferred stock purchase agreements. However, the Supreme 

Court remanded the case to the Fifth Circuit for further proceedings on the sole issue of whether the stockholders 

suffered compensable harm related to the constitutional claim during the limited time-period when a Senate-confirmed 

FHFA Director was in office. On March 4, 2022, the Fifth Circuit remanded the case to the district court for further 

proceedings on the compensable harm issue. On June 3, 2022, the stockholders filed an amended complaint and on 

July 18, 2022, FHFA and Treasury moved to dismiss that complaint. On November 21, 2022, the district court dismissed 

the case. On October 12, 2023, the Fifth Circuit Court of Appeals affirmed the district court’s dismissal. 

Western District of Michigan (Rop et al. v. FHFA et al.). On June 1, 2017, preferred and common stockholders of Fannie 

Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. 

Other Information

Fannie Mae Third Quarter 2023 Form 10-Q 119
District Court for the Western District of Michigan. FHFA and Treasury moved to dismiss the case on September 8, 

2017, and plaintiffs filed a motion for summary judgment on October 6, 2017. On September 8, 2020, the court denied 

plaintiffs’ motion for summary judgment and granted defendants’ motion to dismiss. On October 4, 2022, the U.S. Court 

of Appeals for the Sixth Circuit reversed the dismissal and remanded the case to the district court to determine whether 

the stockholders suffered compensable harm. On February 2, 2023, plaintiffs filed a petition with the Supreme Court 

seeking review of the Sixth Circuit’s decision, which the Supreme Court denied on June 12, 2023. On August 11, 2023, 

plaintiffs submitted a motion for leave to file an amended complaint in the district court.

District of Minnesota (Bhatti et al. v. FHFA et al.). On June 22, 2017, preferred and common stockholders of Fannie 

Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. 

District Court for the District of Minnesota. The court dismissed the case on July 6, 2018. On October 6, 2021, the U.S. 

Court of Appeals for the Eighth Circuit affirmed in part and reversed in part the district court’s ruling and remanded the 

case to the district court to determine whether the stockholders suffered compensable harm. On January 26, 2022, 

plaintiffs filed an amended complaint. On March 11, 2022 and March 14, 2022, Treasury and FHFA each filed motions to 

dismiss the new complaint. On December 16, 2022, the district court dismissed the case and on January 9, 2023, 

plaintiffs filed a notice of appeal.

Eastern District of Pennsylvania (Wazee Street Opportunities Fund IV L.P. et al. v. FHFA et al.). On August 16, 2018, 

common stockholders of Fannie Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against 

FHFA and Treasury in the U.S. District Court for the Eastern District of Pennsylvania. FHFA and Treasury moved to 

dismiss the case on November 16, 2018, and plaintiffs filed a motion for summary judgment on December 21, 2018. 

This case is currently stayed.

U.S. Court of Federal Claims (Fisher et al. v. United States of America). On December 2, 2013, common stockholders 

of Fannie Mae filed a lawsuit against the United States that listed Fannie Mae as a nominal defendant. The plaintiffs 

alleged that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to 

the August 2012 amendment constituted a taking of Fannie Mae’s property without just compensation in violation of the 

U.S. Constitution. On February 15, 2023, the court issued an order for plaintiffs to show cause why their claims should 

not be dismissed, as claims similar to theirs brought by other Fannie Mae stockholders in other cases against the United 

States had been dismissed by the court. On September 1, 2023, the court dismissed the case with prejudice.

Item 1A. Risk Factors

In addition to the information in this report, you should carefully consider the risks relating to our business that we 

identify in “Risk Factors” in our 2022 Form 10-K. Also refer to “MD&A—Key Market Economic Indicators,” “MD&A—Risk 

Management,” “MD&A—Single-Family Business” and “MD&A—Multifamily Business” in our 2022 Form 10-K and in this 

report for more detailed descriptions of the primary risks to our business and how we seek to manage those risks.

The risks we face could materially adversely affect our business, results of operations, financial condition, liquidity and 

net worth, and could cause our actual results to differ materially from our past results or the results contemplated by any 

forward-looking statements we make. We believe the risks described in the other sections of this report and our 2022

Form 10-K referenced above are the most significant we face; however, these are not the only risks we face. We face 

additional risks and uncertainties not currently known to us or that we currently believe are immaterial.

Item 2. Unregistered Sales of Equity Securities and Use of 

Proceeds

Common Stock

Our common stock is traded in the over-the-counter market and quoted on the OTCQB, operated by OTC Markets 

Group Inc., under the ticker symbol “FNMA.”

Recent Sales of Unregistered Equity Securities

Under the terms of our senior preferred stock purchase agreement with Treasury, we are prohibited from selling or 

issuing our equity interests without the prior written consent of Treasury except under limited circumstances, which are 

described in “Business—Conservatorship and Treasury Agreements—Treasury Agreements—Covenants under 

Treasury Agreements” in our 2022 Form 10-K. During the quarter ended September 30, 2023, we did not sell any equity 

securities.

Information about Certain Securities Issuances by Fannie Mae

Pursuant to SEC regulations, public companies are required to disclose certain information when they incur a material 

direct financial obligation or become directly or contingently liable for a material obligation under an off-balance sheet 

Other Information

Fannie Mae Third Quarter 2023 Form 10-Q 120
arrangement. The disclosure must be made in a current report on Form 8-K under Item 2.03 or, if the obligation is 

incurred in connection with certain types of securities offerings, in prospectuses for that offering that are filed with the 

SEC.

Because the securities we issue are exempted securities under the Securities Act of 1933, we do not file registration 

statements or prospectuses with the SEC with respect to our securities offerings. To comply with the disclosure 

requirements of Form 8-K relating to the incurrence of material financial obligations, in accordance with a “no-action” 

letter we received from the SEC staff in 2004, we report our incurrence of these types of obligations in offering circulars 

or prospectuses (or supplements thereto) that we post on our website within the same time period that a prospectus for 

a non-exempt securities offering would be required to be filed with the SEC. To the extent we incur a material financial 

obligation that is not disclosed in this manner, we would file a Form 8-K if required to do so under applicable Form 8-K 

requirements. 

The website address for disclosure about our debt securities is www.fanniemae.com/debtsearch. From this address, 

investors can access the offering circular and related supplements for debt securities offerings under Fannie Mae’s 

universal debt facility, including pricing supplements for individual issuances of debt securities.

Disclosure about our obligations pursuant to the MBS we issue, some of which may be off-balance sheet obligations, 

can be found at www.fanniemae.com/mbsdisclosure. From this address, investors can access information and 

documents about our MBS, including prospectuses and related prospectus supplements.

We are providing our website address solely for your information. Information appearing on our website is not 

incorporated into this report.

Our Purchases of Equity Securities

We did not repurchase any of our equity securities during the third quarter of 2023.

Dividend Restrictions 

Our payment of dividends is subject to the following restrictions: 

Restrictions Relating to Conservatorship. Our conservator announced on September 7, 2008 that we would not pay any 

dividends on the common stock or on any series of preferred stock, other than the senior preferred stock. In addition, 

FHFA’s regulations relating to conservatorship and receivership operations prohibit us from paying any dividends while 

in conservatorship unless authorized by the Director of FHFA. The Director of FHFA has directed us to make dividend 

payments on the senior preferred stock on a quarterly basis for every dividend period for which dividends were payable.

Restrictions Under Senior Preferred Stock Purchase Agreement and Senior Preferred Stock. The senior preferred stock 

purchase agreement prohibits us from declaring or paying any dividends on Fannie Mae equity securities (other than 

the senior preferred stock) without the prior written consent of Treasury. In addition, the provisions of the senior 

preferred stock provide for dividends each quarter through and including the capital reserve end date in the amount, if 

any, by which our net worth as of the end of the immediately preceding fiscal quarter exceeds an applicable capital 

reserve amount. The applicable capital reserve amount is the amount of adjusted total capital necessary for us to meet 

the capital requirements and buffers set forth in the enterprise regulatory capital framework. The capital reserve end 

date is defined as the last day of the second consecutive fiscal quarter during which we have had and maintained 

capital equal to, or in excess of, all of the capital requirements and buffers under the enterprise regulatory capital 

framework. After the capital reserve end date, the amount of quarterly dividends to Treasury will be equal to the lesser 

of any quarterly increase in our net worth and a 10% annual rate on the then-current liquidation preference of the senior 

preferred stock. As a result, our ability to retain earnings in excess of the capital requirements and buffers set forth in 

the enterprise regulatory capital framework will be limited. For more information on the terms of the senior preferred 

stock purchase agreement and senior preferred stock, see “Business—Conservatorship and Treasury Agreements” in 

our 2022 Form 10-K.

Additional Restrictions Relating to Preferred Stock. Payment of dividends on our common stock is also subject to the 

prior payment of dividends on our preferred stock and our senior preferred stock. Payment of dividends on all 

outstanding preferred stock, other than the senior preferred stock, is also subject to the prior payment of dividends on 

the senior preferred stock. 

Statutory Restrictions. Under the GSE Act, FHFA has authority to prohibit capital distributions, including payment of 

dividends, if we fail to meet our capital requirements. If FHFA classifies us as significantly undercapitalized, approval of 

the Director of FHFA is required for any dividend payment. Under the Charter Act and the GSE Act, we are not permitted 

to make a capital distribution if, after making the distribution, we would be undercapitalized. The Director of FHFA, 

however, may permit us to repurchase shares if the repurchase is made in connection with the issuance of additional 

Other Information

Fannie Mae Third Quarter 2023 Form 10-Q 121
shares or obligations in at least an equivalent amount and will reduce our financial obligations or otherwise improve our 

financial condition. 

While not currently applicable, our payment of dividends will be subject to the following restrictions under the enterprise 

regulatory capital framework effective on the date of termination of our conservatorship: 

Restrictions Under Enterprise Regulatory Capital Framework. During a calendar quarter, we will not be permitted to pay 

dividends or make any other capital distributions (or create an obligation to make such distributions) that, in the 

aggregate, exceed the amount equal to our eligible retained income for the quarter multiplied by our maximum payout 

ratio. The maximum payout ratio for a given quarter is the lowest of the payout ratios determined by our capital 

conservation buffer and our leverage buffer. We will not be subject to this limitation on distributions if we have a capital 

conservation buffer that is greater than our prescribed capital conservation buffer amount and a leverage buffer that is 

greater than our prescribed leverage buffer amount. Notwithstanding the above-described limitations, FHFA may permit 

us to make a distribution upon our request, if FHFA determines that the distribution would not be contrary to the 

purposes of this section of the enterprise regulatory capital framework or to our safety and soundness. We will not be 

permitted to make any distributions during a quarter if our eligible retained income is negative and either (a) our capital 

conservation buffer is less than our stress capital buffer or (b) our leverage buffer is less than our prescribed leverage 

buffer amount.

Item 3. Defaults Upon Senior Securities

None. 

Item 4. Mine Safety Disclosures

None.

Item 5. Other Information

None.

Item 6. Exhibits

The exhibits listed below are being filed or furnished with or incorporated by reference into this report. 

3.1 Fannie Mae Charter Act (12 U.S.C. § 1716 et seq.) as amended through July 25, 2019 (Incorporated by 

reference to Exhibit 3.1 to Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended September 

30, 2019, filed October 31, 2019.)

3.2 Fannie Mae Bylaws, as amended through January 29, 2019 (Incorporated by reference to Exhibit 3.2 to 

Fannie Mae’s Annual Report on Form 10-K for the year ended December 31, 2018, filed February 14, 

2019.)

31.1 Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)

31.2 Certification of Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)

32.1 Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350

32.2 Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350

101. INS Inline XBRL Instance Document* - the instance document does not appear in the Interactive Data File 

because its XBRL tags are embedded within the Inline XBRL document

101. SCH Inline XBRL Taxonomy Extension Schema*

101. CAL Inline XBRL Taxonomy Extension Calculation*

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Item Description

* The financial information contained in these Inline XBRL documents is unaudited.

Other Information

Fannie Mae Third Quarter 2023 Form 10-Q 122
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be 

signed on its behalf by the undersigned thereunto duly authorized.

Federal National Mortgage Association

By: /s/ Priscilla Almodovar

Priscilla Almodovar

Chief Executive Officer

Date: October 31, 2023

By: /s/ Chryssa C. Halley

Chryssa C. Halley

Executive Vice President and 

Chief Financial Officer

Date: October 31, 2023

Signatures

Fannie Mae Third Quarter 2023 Form 10-Q 123