Federal National Mortgage Association 

Fannie Mae 

Enterprise Regulatory Capital Framework Disclosures

For the Quarterly Period Ended December 31, 2023

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Federal National Mortgage Association - Fannie Mae 

Capital Disclosures Report

For the quarterly period ended December 31, 2023

Table of Contents

Disclosure Map................................................................................................................................................ 3

Introduction...................................................................................................................................................... 5

1. Capital Structure..................................................................................................................................... 7

2. Capital Adequacy.................................................................................................................................... 9

3. Capital Buffers......................................................................................................................................... 12

4. Credit Risk: General Disclosures ......................................................................................................... 13

5. Counterparty Credit Risk ....................................................................................................................... 17

6. Credit Risk Mitigation............................................................................................................................. 19

7. Credit Risk Transfers and Securitization............................................................................................. 21

8. Equities..................................................................................................................................................... 26

9. Interest Rate Risk for Non-Trading Activities...................................................................................... 28

10. Operational Risk ..................................................................................................................................... 29

11. Tier 1 Leverage Ratio............................................................................................................................. 30

12. Market Risk.............................................................................................................................................. 32

Glossary ........................................................................................................................................................... 35

Published February 27, 2024

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DISCLOSURE MAP

Disclosure 

Requirement Description

Capital Disclosures

page reference

2023 Form 10-K 

page reference 

Introduction Conservatorship and Treasury 

Agreements 5 7

GSE and Conservatorship Risk 5 24

Forward-Looking Statements 6 19

Risk Factors 6 22

Capital Structure Equity 7 F-54

Regulatory Capital Requirements 7 F-58

Capital Adequacy Conservatorship 9 7

GSE and Conservatorship Risk 9 24

Capital Requirements 9 125

Regulatory Capital Requirements 9 F-58

Capital Buffers No references included 12

Credit Risk: General 

Disclosures

Single-Family Mortgage Credit 

Risk Management 13 79

Multifamily Mortgage Credit Risk 

Management 13 109

Mortgage Credit Risk 

Management 13 131

Concentrations of Credit Risk 13 F-61

Summary of Significant Accounting 

Policies 14 F-8

Mortgage Loans 14 F-26

Allowance for Loan Losses 14 F-38

Off-Balance Sheet Arrangements 14 123

Financial Guarantees 14 F-42

Liquidity and Capital Management 14 118

Investments in Securities 14 F-41

Derivative Instruments 14 F-45

Netting Arrangements 14 F-66

Institutional Counterparty Credit 

Risk Management 14 133

Counterparty Credit 

Risk

Institutional Counterparty Credit 

Risk Management 17 133

Derivative Instruments 18 F-45

Netting Arrangements 18 F-66

Credit Risk Mitigation Collateral 19 F-15

Institutional Counterparty Credit 

Risk Management 19 133

Single-Family Mortgage Credit 

Risk Management 19 79

Multifamily Mortgage Credit Risk 

Management 19 109

Concentrations of Credit Risk 19 F-61

Mortgage Insurers 19 134

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Credit Risk Transfers 

and Securitization

Single-Family Credit Enhancement 

and Transfer of Mortgage Credit 

Risk

21 86

Transfer of Multifamily Mortgage 

Credit Risk 21 112

Model Risk Management 21 146

Operational and Model Risk 21 35

Single-Family Mortgage Credit 

Risk Management 21 79

Multifamily Mortgage Credit Risk 

Management 21 109

Institutional Counterparty Credit 

Risk Management 21 133

Consolidations and Transfers of 

Financial Assets 21 F-23

Investments in Securities 22 F-10

Special Purpose Vehicles 

Associated with our Credit Risk 

Transfer Programs

22 F-24

Financial Guarantees 22 F-42

Equities Consolidated Balance Sheets 26 F-4

Consolidated Statements of 

Operations and Comprehensive 

Income

26 F-5

Available-for-Sale Securities 27 F-41

Interest Rate Risk for 

Non-Trading Activities

How Interest Rates Can Affect Our 

Financial Results 28 53

Market Risk Management, 

including Interest-Rate Risk 

Management

28 141

Measurement of Interest-Rate 

Risk 28 143

Operational Risk Operational and Model Risk 29 35

Operational Risk Management 29 146

Cybersecurity 29 45

Tier 1 Leverage Ratio No references included 30

Market Risk Unconsolidated Variable Interest 

Entities (“VIEs”) 33 F-25

Financial Guarantees 33 F-42

Fair Value Measurement 34 F-68

Model Risk Management 34 146

Operational and Model Risk 34 35

Disclosure 

Requirement Description

Capital Disclosures 

page reference

2023 Form 10-K 

page reference

 Page 4
Introduction

Fannie Mae is a leading source of financing for residential mortgages in the United States. We are a 

government-sponsored, stockholder-owned corporation, chartered by Congress to provide liquidity and 

stability to the U.S. housing market and to promote access to mortgage credit. We primarily do this by 

buying residential mortgage loans that are originated by lenders. We place these loans into trusts and 

issue guaranteed mortgage-backed securities (“MBS” or “Fannie Mae MBS”) that global investors buy 

from us. We do not originate mortgage loans or lend money directly to borrowers. We provide a guaranty 

on the MBS that we issue. If a borrower fails to make a payment on a mortgage loan that is included in a 

Fannie Mae MBS, we pay the shortfall amount to the MBS investor. In exchange for providing this 

guaranty, we receive a guaranty fee. Guaranty fees are the primary source of our revenues.

We are in conservatorship, with the Federal Housing Finance Agency (“FHFA”) as our conservator. During 

conservatorship, our Board has no fiduciary duties to the company or its stockholders, as they owe their 

fiduciary duties of care and loyalty solely to FHFA as conservator. Conservatorship and our agreements 

with the U.S. Department of the Treasury (“Treasury”) significantly restrict our business activities and 

stockholder rights. For more information about the impact of conservatorship and these agreements on 

our business, stockholders, and our uncertain future, see “Business—Conservatorship and Treasury 

Agreements” and “Risk Factors—GSE and Conservatorship Risk” in our Form 10-K for the year ended 

December 31, 2023 (the “2023 Form 10-K”).

We manage the risks that arise from our business activities through our enterprise risk management 

program. Our risk management activities are aligned with the requirements of FHFA’s Enterprise Risk 

Management Program Advisory Bulletin, which are consistent with the general principles set forth by the 

Committee of Sponsoring Organizations of the Treadway Commission’s (“COSO”) Enterprise Risk 

Management—Integrating with Strategy and Performance framework. We are exposed to the following 

major risk categories: credit risk, market risk, liquidity and funding risk, operational risk, and model risk. 

We are also exposed to these additional risk categories: strategic risk, compliance risk, and reputational 

risk. These risks can materially adversely affect our business, results of operations, financial condition, 

liquidity, and net worth.

Our risk management program is composed of four inter-related components: 

• Governance and Organizational Structure; 

• Risk Appetite Framework; 

• Risk Identification, Assessment, Control, and Monitoring; and 

• Reporting and Communication Processes.

We manage risk by using the industry standard “three lines of defense” structure:

• First line: Business units and corporate functions—generate, own and manage risks;

• Second line: Enterprise Risk Management (“ERM”) and Compliance & Ethics—independent risk 

oversight and effective challenge; and

• Third line: Internal Audit—independent assurance.

Our Board of Directors and management-level risk committees are also integral to our risk management 

program.

As a government-sponsored enterprise (“GSE”), we are subject to the regulatory capital rules issued by 

FHFA pursuant to the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as 

amended (the “GSE Act”). Additionally, we are required to provide timely public disclosures each calendar 

quarter of the information specified in Subpart D and F of the enterprise regulatory capital framework 

(“ERCF”). This Capital Disclosures Report fulfills this requirement for Q4 2023 and should be read in 

conjunction with our 2023 Form 10-K.

FHFA’s ERCF establishes both leverage and risk-based minimum capital requirements. The leverage 

capital requirement is to maintain tier 1 capital equal to at least 2.5% of adjusted total assets. The riskbased capital requirements are to maintain common equity tier 1 capital, tier 1 capital, and adjusted total 

capital equal to at least 4.5%, 6.0%, and 8.0%, respectively, of risk-weighted assets (“RWA”). Compliance 

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with these minimum regulatory capital requirements will be required upon our exit from conservatorship or 

such later date as FHFA may order. The ERCF also provides the following:

• A requirement that we hold prescribed capital buffers that can be drawn down in periods of 

financial stress. In general, once we are required to be in compliance with the capital buffers, if 

our capital levels 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. Compliance with the capital buffers will be required upon 

our exit from conservatorship; 

• Specific minimum risk-weights, or “floors,” on single-family and multifamily risk-weighted 

exposures, which can increase the amount of capital required for loans that would otherwise have 

lower risk weights;

• Specific floors on the risk-weights applicable to retained portions of credit risk transfer 

transactions, which decreases the capital relief obtained from these transactions; 

• Risk-based capital requirements related to market risk and operational risk; and

• Additional elements based on U.S. banking regulations, such as supplemental public disclosure 

requirements.

To be fully capitalized under the enterprise regulatory capital framework, we must meet all applicable 

leverage and risk-based minimum capital requirements, including applicable buffers, under the rule’s 

standardized approach. 

In November 2023, FHFA published a final rule amending several provisions of the ERCF, including the 

following:

• Reduced the risk weight for guarantees on commingled securities from 20% to 5%, and reduced 

the credit conversion factor for such guarantees from 100% to 50%. A Fannie Mae commingled 

security is a security we issue that is backed, in whole or in part, by collateral issued by Freddie 

Mac.

• Introduced a risk multiplier of 0.6 for multifamily mortgage exposures secured by properties with 

certain government subsidies;

• Changed the methodology for computing exposure and risk-weighted asset amounts for 

derivatives and cleared transactions; and 

• Extended the compliance date for the advanced approaches of the ERCF to January 2028, or 

such later date as FHFA may order.

The effective date for most of the amendments will be April 2024; however, some of the amendments—

including those relating to the method for computing exposure and risk-weighted asset amounts for 

derivatives and cleared transactions—will be effective January 2026. 

Our capital disclosures in this report are not required to be, and have not been, audited by its independent 

registered public accounting firm. Some measures of exposures contained in this report may not be 

consistent with accounting principles generally accepted in the U.S. (“U.S. GAAP”) and may not be 

comparable with measures reported in our 2023 Form 10-K. 

This report includes forward-looking statements regarding future requirements under the ERCF and our 

intention with respect to future credit risk transfer transactions. Actual outcomes could be materially 

different from what is set forth in these forward-looking statements due to a variety of factors, including 

those described in “Business—Forward-Looking Statements” and “Risk Factors” in our 2023 Form 10-K.

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1. Capital Structure

The ERCF establishes leverage and risk-based minimum capital requirements related to the amount and 

form of capital we must hold. The ERCF requirements include two statutory capital elements, which are 

defined in the GSE Act, and three regulatory capital elements, which are based largely on definitions of 

capital used in U.S. banking regulators’ regulatory capital framework:

a. Statutory capital elements:

i. core capital, which is comprised of outstanding common stock, outstanding perpetual, 

noncumulative preferred stock1, paid-in capital, and retained earnings (accumulated 

deficit); and 

ii. total capital, which is comprised of core capital, a general allowance for foreclosure 

losses, and 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).

b. Regulatory capital elements:

i. common equity tier 1 (“CET1”) capital; 

ii. tier 1 capital; and 

iii. adjusted total capital. 

Fannie Mae has a variety of issued and outstanding capital instruments, including:

• Senior preferred stock - There were one million shares of the senior preferred stock authorized, 

issued and outstanding as of December 31, 2023. Shares of the senior preferred stock have no 

par value and have a stated value and initial liquidation preference equal to $1,000 per share, for 

an aggregate initial liquidation preference of $1 billion. The senior preferred stock is nonparticipating and non-voting.

• Preferred stock - The preferred stock ranks junior to the senior preferred stock as to both 

dividends and distributions upon dissolution, liquidation or winding down of the company. Each 

series of our preferred stock has no par value, is non-participating, is non-voting and has a 

liquidation preference equal to the stated value per share. Holders of preferred stock are entitled 

to receive non-cumulative, quarterly dividends when, and if, declared by our Board of Directors, 

but have no right to require redemption of any shares of preferred stock. Payment of dividends on 

preferred stock is not mandatory but has priority over payment of dividends on common stock, 

which are also declared by the Board of Directors. If dividends on the preferred stock are not paid 

or set aside for payment for a given dividend period, dividends may not be paid on our common 

stock for that period. Shares of preferred stock authorized, issued and outstanding totaled 556

million as of December 31, 2023.

• Common stock - The common stock ranks junior to the senior preferred stock and the preferred 

stock as to both dividends and distributions upon dissolution, liquidation or winding down of the 

company. Shares of common stock outstanding, net of shares held as treasury stock, totaled 1.2 

billion as of December 31, 2023.

For more information about our outstanding capital instruments, refer to “Note 12, Equity” and “Note 13, 

Regulatory Capital Requirements” in our 2023 Form 10-K.

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1

 These capital classification measures exclude the funds provided to us by Treasury pursuant to the senior preferred stock 

purchase agreement, as the senior preferred stock does not qualify as core capital due to its cumulative dividend provisions.
The following exhibit provides a reconciliation from stockholder’s equity on the U.S. GAAP consolidated 

balance sheets to regulatory and statutory capital components as of December 31, 2023.

Exhibit 1.1: Capital Instruments & Reconciliations

As of December 31, 2023

(Dollars in millions)

GAAP

Common stock $ 687 

Treasury stock (7,400) 

Retained earnings2 (55,603) 

Accumulated other comprehensive income (“AOCI”) 32 

Junior preferred stock3 19,130 

Senior preferred stock 120,836 

Stockholders’ equity under U.S. GAAP 77,682 

Regulatory Capital

Less: Senior & junior preferred stock 139,966 

Common stockholders’ equity (62,284) 

Less: 

Goodwill4 — 

Other intangible assets4 — 

Deferred tax assets (“DTAs”)5 11,681 

AOCI-related adjustments — 

Other deductions — 

Common equity tier 1 (“CET1”) capital (deficit) (73,965) 

Qualifying junior preferred stock 19,130 

Other adjustments and deductions — 

Tier 1 capital (deficit) (54,835) 

Qualifying subordinated debt and other instruments — 

Qualifying allowance for credit losses — 

Other adjustments and deductions — 

Tier 2 capital — 

Adjusted total capital (deficit) (54,835) 

Statutory Capital

Par value or stated value of outstanding common stock 687 

Par value or stated value of outstanding perpetual, noncumulative preferred stock 19,130 

Paid-in capital — 

Retained earnings2 (55,603) 

Treasury stock (7,400) 

Total core capital (deficit) (43,186) 

General allowance for foreclosure losses6 8,934 

Other7 — 

Total capital (deficit) $ (34,252) 

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2

 Referred to as “Accumulated deficit” on our consolidated balance sheets as of December 31, 2023.

3

 Referred to as “Preferred Stock” on our consolidated balance sheets as of December 31, 2023.

4

 Net of associated deferred tax liabilities (“DTLs”).

5

 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation 

allowances and net of DTLs, that exceed the 10% CET1 deduction threshold.

6

 Includes 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.

7

 From sources of funds available to absorb losses that the Director of FHFA by regulation determines are appropriate to include in 

determining total capital.
2. Capital Adequacy

Capital management is integral to our risk and governance processes. Our ability to manage capital 

resources under baseline and stress environments supports our capacity to absorb expected and 

unexpected future losses and to carry out our statutory mission. Our capital adequacy assessment 

process informs the capital management actions that we may take to align with our regulatory 

requirements, forecasts, risks, strategic goals, and other business objectives. Additionally, operating 

under the conservatorship of FHFA affects our business and capital management. For more information 

on how conservatorship impacts us, refer to “Business—Conservatorship and Treasury Agreements—

Conservatorship” and “Risk Factors—GSE and Conservatorship Risk” in our 2023 Form 10-K.

We actively monitor our capital levels as part of the capital adequacy assessment process. Periodic 

capital adequacy monitoring enables the identification and assessment of actual changes and potential 

impacts to capital levels and requirements. The objective of this monitoring process is to understand our 

current and forecasted capital levels and requirements.

In accordance with the Capital Planning and Stress Capital Buffer Determination requirements of the 

ERCF, we conduct annual capital planning exercises, which include:

• An assessment of the expected uses and sources of capital over the planning horizon;

• Estimates of projected revenues, expenses, losses, reserves, and pro forma capital levels, 

including regulatory capital ratios, under internal base and stress scenarios, along with regulatory 

required scenarios such as Dodd-Frank Act Stress Tests;

• A description of all planned capital actions over the planning horizon; and

• A detailed description of our process for assessing capital adequacy.

Although the ERCF 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. Under the risk-based capital requirements, we must maintain minimum CET1 

capital, tier 1 capital, and adjusted total capital ratios equal to at least 4.5%, 6.0%, and 8.0%, respectively, 

of RWA. Under the leverage capital requirement, we must maintain a tier 1 capital ratio equal to at least 

2.5% of adjusted total assets.

As of December 31, 2023, our capital levels reflect deficits and were significantly below the levels that will 

be required under the ERCF. For more information about our capital management and our capital metrics 

under the ERCF as of December 31, 2023, see “Management’s Discussion and Analysis of Financial 

Condition and Results of Operations (“MD&A”)—Liquidity and Capital Management—Capital 

Management—Capital Requirements” and “Note 13, Regulatory Capital Requirements” in our 2023 Form 

10-K.

Risk-Weighted Assets

Under the ERCF, we are required to determine our RWA under both a standardized approach and an 

advanced approach; however, the advanced approach requirements are not effective until the later of 

January 1, 2028 or such later date as FHFA may order. Currently, we calculate our RWA using the 

standardized approach set forth in the ERCF. Under the standardized approach, our total RWA equals the 

sum of our credit risk, market risk and operational risk RWA.

Our credit risk exposure exists primarily in connection with our guaranty book of business and our 

institutional counterparties. Mortgage credit risk arises from the risk of loss resulting from the failure of a 

borrower to make required mortgage payments.

Market risk is the risk of loss resulting from changes in the economic environment. Market risk arises from 

fluctuations in interest rates, exchange rates, and other market rates and prices. Market risk includes 

interest-rate risk, which is the risk that movements in interest rates will adversely affect the value of our 

assets or liabilities or our future earnings or capital. Market risk also includes spread risk, which is the risk 

from changes in an instrument’s value that relate to factors other than changes in interest rates. We can 

experience losses from changes in the spreads between our mortgage assets and the debt and 

derivatives we use to hedge our position. 

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Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, and 

systems, or disruptions from external events. Operational risk includes cyber/information security risk and 

third-party risk.

The following exhibit provides a summary of our RWA as of December 31, 2023.

Exhibit 2.1: RWA Summary

As of December 31, 2023

(Dollars in millions)

Standardized Approach 

RWA

Credit risk $ 1,240,896 

Market risk 30,843 

Operational risk 85,358 

Total $ 1,357,097 

Regulatory Capital Summary

The following exhibit presents the RWA, CET1, tier 1, and adjusted total risk-based capital metrics as of 

December 31, 2023.

Exhibit 2.2: Capital Metrics under the Enterprise Regulatory Capital Framework8

As of December 31, 2023

(Dollars in billions)

Adjusted total 

assets $ 4,552 

Risk-weighted 

assets 1,357 

Amounts Ratios

Available 

Capital 

(Deficit)

Minimum 

Capital 

Requirement

Total Capital 

Requirement 

(including 

Buffers)

Available 

Capital 

(Deficit) 

Ratio

Minimum 

Capital Ratio 

Requirement

Total Capital 

Requirement 

Ratio 

(including 

Buffers)

Risk-based 

capital:

Total capital 

(statutory) $ (34) $ 109 $ 109 (2.5) % 8.0 % 8.0 %

Common equity 

tier 1 capital (74) 61 140 (5.5) 4.5 10.3 

Tier 1 capital (55) 81 160 (4.1) 6.0 11.8 

Adjusted total 

capital (55) 109 188 (4.1) 8.0 13.9 

Leverage 

capital:

Core capital 

(statutory) (43) 114 114 (0.9) 2.5 2.5 

Tier 1 capital (55) 114 137 (1.2) 2.5 3.0 

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8

 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.
The following exhibit presents credit RWA by risk and exposure type as of December 31, 2023.

Exhibit 2.3: Credit RWA Summary

As of December 31, 2023

(Dollars in millions)

Exposure Amount RWA Amount

Exposures to the U.S. Government $ 99,491 $ 1,059 

Exposures to supranational entities and multilateral development 

banks — — 

Exposures to GSEs 976,800 43,707 

Exposures to depository institutions and credit unions, except for 

equity exposure 24,481 4,896 

Exposures to U.S. public sector entities (“PSEs”) 126 63 

Corporate exposures 18 18 

Residential mortgage exposures9

 2,909,311 929,886 

a. Single-family 2,522,788 809,384 

i. Performing loans 2,396,892 727,310 

ii. Non-modified re-performing loans 23,594 12,263 

iii. Modified re-performing loans 81,312 41,128 

iv. Non-performing loans 20,990 28,683 

b. Multifamily 386,523 120,502 

i. Fixed-rate exposures 347,006 91,784 

ii. Adjustable-rate exposures 39,517 28,718 

Past due exposures of more than 90 days past due and 

nonaccrual — — 

Other assets10 18,805 8,343 

Insurance assets 3,001 3,001 

Default fund contributions to central counterparties11

 — — 

CRT and other securitization exposures12 1,197,664 243,700 

Over-the-counter (“OTC”) derivative contracts — — 

Cleared transactions 563 74 

Unsettled transactions — — 

Equity exposures 3,699 3,699 

Repo-style transactions 32,437 154 

Forward agreements 175 60 

Commitments 27 6 

Other off-balance sheet exposures13 2,230 2,230 

Total $ 5,268,828 $ 1,240,896 

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9

 Excludes mortgage loans that are part of CRT transactions and we have elected the Credit Risk Transfer Approach (“CRTA”) 

capital treatment under the ERCF.

10 Includes cash held in insured depository institution or in transit, cash in process of collection, DTAs arising from temporary 

differences that can be realized through net operating loss carrybacks, DTAs arising from temporary differences that cannot be 

realized through net operating loss carrybacks (amount in excess of the 10/15% limitations), Mortgage Servicing Assets (“MSAs”) 

non-deducted portion (amount in excess of the 10/15% limitations) and other assets subject to a 100% risk weight.

11 Central counterparty (“CCP”) means a counterparty (for example, a clearing house) that facilitates trades between counterparties 

in one or more financial markets by either guaranteeing trades or novating contracts.

12 Includes mortgage loans that are part of CRT transactions for which we have elected the CRTA capital treatment under the ERCF. 

RWA is net of the benefit from these transactions.

13 Includes off-balance sheet guarantees, repurchase agreements, off-balance sheet securities lending and borrowing.
3. Capital Buffers

The ERCF includes a requirement that we hold prescribed capital buffers that can be drawn down in 

periods of financial stress. Our compliance with these capital buffers will be required upon exit from 

conservatorship. In general, once we are required to be in compliance with the capital buffers, if our 

capital levels 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 PLBA for 2023 was set at 50% of the 

stability capital buffer. Going forward, the stability capital buffer and PLBA will be updated with an effective 

date that depends on whether the stability capital buffer increases or decreases relative to the previously 

calculated value. 

The prescribed capital conservation buffer amount (“PCCBA”) represents the amount of CET1 capital we 

are required to hold above the risk-based capital requirements. The PCCBA consists of three separate 

components: a stability capital buffer, a stress capital buffer, and a countercyclical capital buffer. 

The following exhibit presents our PCCBA, PLBA, eligible retained income, and maximum payout ratio as 

of December 31, 2023.

Exhibit 3.1: PCCBA, PLBA, Eligible Retained Income, and Maximum Payout Ratio

As of December 31, 2023

(Dollars in millions)

Amount

Stress capital buffer14 $ 34,197 

Stability capital buffer15 45,128 

Countercyclical capital buffer14 — 

Prescribed capital conservation buffer amount (PCCBA) $ 79,325 

Prescribed leverage buffer amount (PLBA) 22,564 

Eligible retained income16 $ 14,891 

Maximum payout ratio17 0 percent

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14 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.

15 The stability capital buffer is based on our share of mortgage debt outstanding. 

16 Eligible retained income is the greater of: (1) net income for the four preceding calendar quarters, net of distributions and 

associated tax effects not already reflected in net income and (2) average of our net income over the preceding four quarters.

17 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 

ERCF. 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. 
4. Credit Risk: General Disclosures

Credit risk is the risk of loss arising from another party’s failure to meet its contractual obligations. For 

financial securities or instruments, credit risk is the risk of not receiving principal, interest or other financial 

obligation on a timely basis. Our credit risk exposure exists primarily in connection with our guaranty book 

of business and our institutional counterparties.

For information related to counterparty credit risk, refer to “Section 5, Counterparty Credit Risk.”

Our credit risk exposure includes the following types of mortgage credit risk: single-family mortgage credit 

risk and multifamily mortgage credit risk. 

Mortgage Credit Risk Management

Our strategy for managing single-family and multifamily mortgage credit risk consists of the following 

primary components: 

• our acquisition and servicing policies along with our underwriting and servicing standards;

• portfolio diversification and monitoring;

• the transfer of mortgage credit risk to third parties; and

• management of problem loans.

For more information related to mortgage credit risk and mortgage credit risk management, see “MD&A—

Single-Family Business—Single-Family Mortgage Credit Risk Management,” “MD&A—Multifamily 

Business—Multifamily Mortgage Credit Risk Management,” “MD&A—Risk Management—Mortgage 

Credit Risk Management,” and “Note 14, Concentrations of Credit Risk.” 

Additional Mortgage Credit Risk Management Considerations

Past Due Loans - We consider loans that are 30 days or more past due, or in the foreclosure process, 

“past due.”

Nonaccrual Loans - We recognize interest income on an accrual basis except when we believe the 

collection of principal and interest is not reasonably assured. A nonaccrual loan is returned to accrual 

status when the full collection of principal and interest is reasonably assured. We generally determine that 

the full collection of principal and interest is reasonably assured when the loan returns to current payment 

status. 

Allowance for Credit Losses - Our allowance for loan losses is a valuation account that is deducted from 

the amortized cost basis of held for investment (“HFI”) loans to present the net amount expected to be 

collected on the loans. The allowance for loan losses reflects an estimate of expected credit losses on 

single-family and multifamily HFI loans held by Fannie Mae and by consolidated MBS trusts. Estimates of 

credit losses are based on expected cash flows derived from internal models that estimate loan 

performance under simulated ranges of economic environments. 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. Changes to our estimate of expected credit losses, including 

changes due to the passage of time, are recorded through the “Benefit (provision) for credit losses” in our 

consolidated statements of operations and comprehensive income. 

Charge-offs - We record write-offs as a reduction to the allowance for loan losses when amounts are 

deemed uncollectible. When losses are confirmed through the receipt of assets in satisfaction of a loan, 

such as the underlying collateral upon foreclosure or cash upon completion of a short sale, we record a 

write-off in an amount equal to the excess of a loan’s amortized cost over fair value of assets received. 

 Page 13
For additional information on our accounting policies and allowance methodology related to mortgage 

loans, see “Note 1, Summary of Significant Accounting Policies,” “Note 4, Mortgage Loans,” and “Note 5, 

Allowance for Loan Losses.”

Sources of Credit Risk and Related Exposure

We have credit risk exposure related to the following:

• Mortgage Loan Credit Risk Exposures – see “MD&A—Single-Family Business—Single-Family 

Mortgage Credit Risk Management,” “MD&A—Multifamily Business—Multifamily Mortgage Credit 

Risk Management,” “Note 4, Mortgage Loans,” and “Note 14, Concentrations of Credit Risk.”

• Off-Balance Sheet Exposures – see “MD&A—Liquidity and Capital Management—Liquidity 

Management—Off-Balance Sheet Arrangements” and “Note 7, Financial Guarantees.” 

• Debt Securities and OTC Derivatives – see “MD&A—Liquidity and Capital Management,” “Note 

6, Investments in Securities,” “Note 9, Derivative Instruments,” and “Note 15, Netting 

Arrangements.”

• Counterparty Exposures – “MD&A—Risk Management—Institutional Counterparty Credit Risk 

Management” and “Note 14, Concentrations of Credit Risk.” 

The following exhibit presents a summary of the delinquency status of our single-family and multifamily 

loans and the associated unpaid principal balance (“UPB”) and allowance as of December 31, 2023. 

Exhibit 4.1: Delinquency Status of Single-Family and Multifamily Loans18

As of December 31, 2023

(Dollars in millions)

Single-Family Multifamily

UPB 

Amount

Adjusted 

Allowance for 

Credit Losses19

UPB 

Amount

Adjusted 

Allowance for 

Credit Losses19

Current $ 3,571,956 $ 5,924 $ 458,649 $ 1,991 

30 to 89 days delinquent 43,844 510 640 28 

90+ days delinquent and on 

nonaccrual 18,362 337 1,328 40 

90+ days delinquent and still accruing 1,473 96 170 — 

Total $ 3,635,635 $ 6,867 20 $ 460,787 $ 2,059 

For the twelve months ended December 31, 2023, gross write-offs were $881 million for single-family and 

$401 million for multifamily.

 Page 14

18 Includes held-for-investment mortgage loans, excluding loans for which we have elected the fair value option.

19 Adjusted allowance for credit losses refers to valuation allowances that have been established through a charge against earnings 

or retained earnings for expected credit losses on financial assets as determined in accordance with U.S. GAAP. For loans 

charged-off prior to foreclosure, the allowance may include an estimate of expected recoveries, in accordance with U.S. GAAP, 

which may result in a small or negative allowance for delinquent loans.

20 Total includes allowance related to loan UPB plus $196 million related to accrued interest receivable and advance receivables for 

pre-foreclosure costs.
The following exhibit presents a geographic distribution of single-family and multifamily past due loans 

and the associated allowances for the respective geographic regions as of December 31, 2023. 

Exhibit 4.2: Geographic Distribution of Past Due Loans

As of December 31, 2023

(Dollars in millions)

Single-Family Multifamily

Geographic Region21

UPB 

Amount of 

Past Due 

Loans

Allowances 

for Past Due 

Loans

UPB 

Amount of 

Past Due 

Loans

Allowances 

for Past Due 

Loans

Midwest $ 8,422 $ 121 $ 454 $ 11 

Northeast 11,853 136 577 18 

Southeast 15,174 243 459 21 

Southwest 12,974 229 399 10 

West 15,256 214 249 8 

Total $ 63,679 $ 943 $ 2,138 $ 68 

The following table displays the regional geographic concentration of single-family and multifamily loans 

in our guaranty book of business, measured by the UPB of the loans as of December 31, 2023.

Exhibit 4.3: Geographic Concentration

As of December 31, 2023

Geographic Region

Percentage of Single-Family 

Conventional Guaranty 

Book of Business

Percentage of Multifamily 

Guaranty Book of Business

Midwest 14 % 12 %

Northeast 16 15 

Southeast 23 27 

Southwest 19 22 

West 28 24 

Total 100 % 100 %

For a reconciliation of changes in the allowance for loan losses, see “Note 5, Allowance for Loan Losses” 

in our 2023 Form 10-K.

 Page 15

21 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.
The following exhibit presents the remaining contractual maturity of single-family and multifamily 

mortgage loans as of December 31, 2023. 

Exhibit 4.4: Remaining Contractual Maturity of Mortgage Loans22

As of December 31, 2023

(Dollars in millions)

Due in 1 

Year or Less

Due after 1 

Year through 

5 Years

Due after 5 

Years 

through 15 

Years

Due after 15 

Years Total

Single-family fixed rate $ 126,454 $ 532,651 $ 1,347,025 $ 1,601,137 $ 3,607,267 

Single-family 

adjustable-rate 6,089 4,284 12,011 12,317 34,701 

Multifamily fixed rate 11,601 131,314 275,132 5,787 423,834 

Multifamily adjustablerate 723 12,290 24,765 130 37,908 

Total unpaid principal 

balance of outstanding 

mortgage loans $ 144,867 $ 680,539 $ 1,658,933 $ 1,619,371 $ 4,103,710 

 Page 16

22 Consists of the contractual unpaid principal balance for HFI mortgage loans, held-for-sale mortgage loans, and loans for which we 

have elected the fair value option.
5. Counterparty Credit Risk

Institutional counterparty credit risk is the risk of loss resulting from the failure of an institutional 

counterparty to fulfill its contractual obligations to us. Our primary exposure to institutional counterparty 

credit risk exists with our: 

• credit guarantors, including mortgage insurers, reinsurers and multifamily lenders with risk 

sharing arrangements;

• mortgage lenders that sell loans to us and mortgage lenders and other counterparties that service 

our loans; and

• financial institutions that issue investments included in our corporate liquidity portfolio.

We also have counterparty exposure to: derivatives counterparties; custodial depository institutions; 

mortgage originators, investors and dealers; debt security dealers; central counterparty clearing 

institutions; and document custodians.

We routinely enter into a high volume of transactions with counterparties in the financial services industry 

resulting in a significant credit concentration with respect to this industry. We also may have multiple 

exposures to particular counterparties, as many of our institutional counterparties perform several types of 

services for us. Accordingly, if one of these counterparties were to become insolvent or otherwise default 

on its obligations to us, it could harm our business and financial results in a variety of ways. Our overall 

objective in managing institutional counterparty credit risk is to maintain individual and portfolio-level 

counterparty exposures within acceptable ranges based on our risk-based rating system. We seek to 

achieve this objective through the following:

• establishment and observance of counterparty eligibility standards appropriate to each exposure 

type and level; 

• establishment of risk limits;

• requiring collateralization of exposures where appropriate; and

• exposure monitoring and management.

Counterparty Credit Limits – For a discussion of how we establish risk limits for counterparty credit 

exposures, refer to “MD&A—Risk Management—Institutional Counterparty Credit Risk Management” in 

our 2023 Form 10-K. Fannie Mae also has established processes for the management, identification, and 

valuation of collateral received from or posted by counterparties. Principal types of collateral taken include 

cash, U.S. Treasury securities, agency debt and agency mortgage-backed securities.

 Page 17
The following exhibit presents the gross positive fair values and collateral values of derivative contracts 

and securities financing transactions as of December 31, 2023.

Exhibit 5.1: Derivative Contracts and Securities Financing Transactions

As of December 31, 2023

(Dollars in millions)

Activity Type

Gross Positive Fair 

Value Collateral Value23

Risk management derivatives $ 45 $ 5 

Swaps 120 

Swaptions 208 

Netting adjustment (283) 

Mortgage commitment derivatives 112 — 

Credit enhancement derivatives24 45 — 

Securities financing transactions25 30,700 30,700 

Total $ 30,902 $ 30,705 

Fannie Mae’s collateral requirements vary based on the provisions present within individual agreements. 

Under many of our International Swaps and Derivatives Association (“ISDA”) agreements, in the event of 

a counterparty credit downgrade the posted collateral is subject to an additional collateral haircut. 

Additionally, if the counterparty credit rating is downgraded to a certain level, the party that has not been 

downgraded maintains the ability to terminate all trades. 

We account for certain forms of credit risk transfer transactions as derivatives. For more information on 

our derivative transactions, refer to “Note 9, Derivative Instruments” in our 2023 Form 10-K. For more 

information on netting arrangements, refer to “Note 15, Netting Arrangements” in our 2023 Form 10-K.

 Page 18

23 Excludes collateral received that has not been recognized and not offset in our consolidated balance sheets.

24 Represents fair value of derivatives associated with risk sharing programs.

25 Represents reverse repurchase agreements, excluding reverse repurchase agreements classified as cash equivalents.
6. Credit Risk Mitigation 

We enter into various transactions where we pledge and accept collateral, the most common of which are 

our derivative and Credit Insurance Risk TransferTM (“CIRTTM” and “MCIRTTM”) transactions. Required 

collateral levels vary depending on the credit rating and type of counterparty. We also pledge and receive 

collateral under our repurchase and reverse repurchase agreements. In order to reduce potential 

exposure to counterparties for securities purchased under agreements to resell, a third-party custodian 

typically maintains the collateral and any margin. We monitor the fair value of the collateral received from 

our counterparties, and we may require additional collateral from those counterparties, as we deem 

appropriate. For a discussion of our credit risk mitigation practices regarding collateral valuation and the 

types of collateral engaged, see “Note 1, Summary of Significant Accounting Policies—Collateral” in our 

2023 Form 10-K.

We rely on our institutional counterparties to provide services and credit enhancements that are critical to 

our business. For more information on the guarantors and other providers of credit risk mitigation that we 

engage, see “MD&A—Risk Management—Institutional Counterparty Credit Risk Management,” “MD&A—

Single-Family Business—Single-Family Mortgage Credit Risk Management,” “MD&A—Multifamily 

Business—Multifamily Mortgage Credit Risk Management,” and “Note 14, Concentrations of Credit Risk” 

in our 2023 Form 10-K.

Our charter generally requires credit enhancement on single-family conventional mortgage loans we 

purchase or securitize with a loan-to-value ratio over 80% at the time of acquisition. We generally achieve 

this through primary mortgage insurance. Primary mortgage insurance transfers varying portions of the 

credit risk associated with a mortgage loan to a third-party insurer. For us to receive a payment in 

settlement of a claim under a primary mortgage insurance policy, the insured loan must be in default and 

the borrower’s interest in the property securing the loan must have been extinguished, generally in a 

foreclosure action, short sale or a deed-in-lieu of foreclosure. Eligibility standards for mortgage insurers 

are established under private mortgage insurer eligibility requirements and exposure concentrations 

managed via counterparty limit monitoring. The financial ability and willingness of our approved mortgage 

insurers to pay claims is an important determinant of our overall credit risk exposure. For additional 

information on mortgage insurers, see “MD&A—Risk Management—Institutional Counterparty Credit Risk 

Management—Mortgage Insurers” in our 2023 Form 10-K. 

CRT transactions provide another form of credit risk mitigation. We manage the concentration, market, 

and counterparty risks associated with CRT transactions through back-end CRT deal structures, including 

Connecticut Avenue Securities® (“CAS”) issuances and reinsurance transactions, as well as counterparty 

risk requirements and collateral requirements. For additional information on counterparty risk and 

collateral refer to “Section 5, Counterparty Credit Risk.”

 Page 19
Collateral levels for repurchase agreement transactions and certain CRT transactions, where applicable, 

are consistent with the ERCF requirements and are detailed in the exhibit below as of December 31, 

2023.

Exhibit 6.1: Eligible Financial Collateral Coverage26

As of December 31, 2023

(Dollars in millions)

Enterprise-level27

Total exposure covered by eligible financial collateral $ 520,612 

Collateral pre-haircut 35,370 

Collateral post-haircut 32,914 

Total RWA associated with exposure $ 106,102 

With the exception of mortgage insurance, CRT exposures, the guarantees we receive from affiliates of 

certain derivative counterparties, and multifamily lender front-end risk-sharing arrangements, Fannie Mae 

does not have any other exposures whose credit risk is mitigated by eligible guarantees or credit 

derivatives obtained from external third parties.

 Page 20

26 Exposures based on definitions under ERCF. Includes collateral from reverse repurchase transactions and certain CRT 

transactions.

27 Exhibit excludes multifamily loans for which lenders have posted $1,402 million collateral pre-haircut and $1,362 million collateral 

post-haircut pursuant to multifamily lender front-end risk-sharing arrangements.
7. Credit Risk Transfers and Securitization 

One of the key components of our credit risk management strategy is the transfer of mortgage credit risk 

to third parties. Credit risk transfer transactions, including CAS and Multifamily Connecticut Avenue 

Securities (“MCAS”) issuances, generally transfer a portion of credit losses on a reference pool of 

mortgage loans to investors. We also use Credit Insurance Risk TransferTM (“CIRTTM” and “MCIRTTM”) 

deals to transfer a portion of the credit risk on a pool of loans to an insurance provider that retains the 

risk, or to an insurance provider that simultaneously cedes all of its risk to one or more reinsurers.

For more information on our credit risk management strategy regarding CRTs, see “MD&A—SingleFamily Business—Single-Family Mortgage Credit Risk Management—Single-Family Credit Enhancement 

and Transfer of Mortgage Credit Risk” and “MD&A—Multifamily Business—Multifamily Mortgage Credit 

Risk Management—Transfer of Multifamily Mortgage Credit Risk” in our 2023 Form 10-K.

Our issuance of CRT securities does not create any new mortgage credit exposure for us, since we 

already guarantee the loans in the underlying reference pools. CRT transactions are designed to reduce 

our mortgage credit risk by transferring a portion of our single-family and multifamily mortgage credit risk 

on reference pools of mortgage loans to the private market. CIRT and MCIRT transactions do give rise to 

incremental counterparty credit risk, which reduces the capital relief provided by the transactions, 

because we are subject to the risk that the CIRT and MCIRT counterparties (insurers and reinsurers) may 

not meet their payment obligations to us following a credit loss event. CAS and MCAS transactions, 

however, do not present a similar risk as the CAS and MCAS trusts receive the proceeds upon issuance 

that will reimburse us for certain credit events on the related loans. All CRT transactions have model, 

pricing, and structuring risks given their inherent complexity.

The metrics we use to measure the interest-rate and spread securitization exposures of CRT transactions 

are generated using internal models. Our internal models, consistent with standard practice for models 

used in our industry, require numerous assumptions. There are inherent limitations in any methodology 

used to estimate the exposure to changes in interest rates for transactions where CRT is applied. The 

reliability of our prepayment estimates and interest-rate risk metrics depends on the availability and 

quality of historical data for each of the types of securities in our net portfolio. When market conditions 

change rapidly and dramatically, the assumptions of our models may no longer accurately capture or 

reflect the changing conditions. On a regular basis, management makes judgments about the 

appropriateness of the risk assessments indicated by the models. For more information on our models, 

see “MD&A—Risk Management—Model Risk Management” and “Risk Factors—Operational and Model 

Risk” in our 2023 Form 10-K.

For a discussion of how we mitigate mortgage credit risk retained through securitization exposures, see 

“MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management,” “MD&A—

Multifamily Business—Multifamily Mortgage Credit Risk Management,” and “MD&A—Risk Management—

Institutional Counterparty Credit Risk Management” in our 2023 Form 10-K.

Special Purpose Entities (“SPEs”) used to Securitize Third-Party Exposures – For information on 

the type of securitization SPEs that Fannie Mae, as sponsor, uses to securitize third-party exposures, see 

“Note 3, Consolidations and Transfers of Financial Assets” in our 2023 Form 10-K.

Fannie Mae had no affiliated entities in CRT securitization transactions as of December 31, 2023.

 Page 21
CRT Accounting Treatment– We transfer mortgage credit risk to investors through both CAS special 

purpose vehicles (“SPVs”) and MCAS SPVs. CAS and MCAS SPVs are separate legal entities that issue 

notes that are fully collateralized by cash deposited into a collateral account held by the respective CAS 

or MCAS SPV and is invested in short-term highly rated investments. To the extent that collateral held by 

the CAS or MCAS SPV and the earnings thereon are insufficient relative to the payments due to holders 

of the CAS or MCAS notes, we may be required to make payments to the CAS or MCAS SPVs. The CAS 

and MCAS SPV qualify as VIEs. We do not have the power to direct significant activities of the CAS or 

MCAS SPVs while the CAS and MCAS SPVs are outstanding, and, therefore, we do not consolidate CAS 

or MCAS SPVs. For information on our CRT processes, see “MD&A—Single-Family Business—SingleFamily Mortgage Credit Risk Management—Single-Family Credit Enhancement and Transfer of Mortgage 

Credit Risk” and “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management— 

Transfer of Multifamily Mortgage Credit Risk” in our 2023 Form 10-K. In addition, for information regarding 

the methods and key assumptions applied in valuing retained or purchased interests, treatment of 

synthetic securitizations, and recognizing liabilities on the balance sheet for arrangements that could 

require the company to provide financial support for securitized assets, see “Note 1, Summary of 

Significant Accounting Policies—Investments in Securities,” “Note 3, Consolidations and Transfers of 

Financial Assets—Types of VIEs—Special Purpose Vehicles Associated with our Credit Risk Transfer 

Programs,” and “Note 7, Financial Guarantees” in our 2023 Form 10-K.

Our CRTs are off-balance sheet arrangements. As the reference pools of loans remain on our balance 

sheet, there is no sale associated with the issuance of the accompanying securities (i.e., CAS) or 

reinsurance (i.e., CIRT). The assessment and valuation of a CRT transaction do not result in the 

recognition of retained or purchased interest nor any gain-on-sale. Furthermore, there are no retained or 

purchased CRT resecuritization exposures on our balance sheet. We do not have any credit-enhancing 

interest-only strip CRT-related arrangements assigned 1,250% risk weights. Additionally, our process for 

valuing exposures intended to be securitized through CRT transactions is the same as our process for 

valuing other exposures.

Private-label securitization exposures are assigned 1,250% risk weights for calculating RWA. For CRT 

exposures, we utilize the Credit Risk Transfer Approach (“CRTA”) for calculating RWA.

We perform regular evaluations and assessments of our CRT objectives, risks, processes, and policies.

 Page 22
The following exhibit sets forth the exposure amounts, past due amounts and losses recognized on loans 

included in private-label securities and reference pools for CRT transactions as of December 31, 2023. 

We do not have any traditional single-family or multifamily securitization exposures as defined under 

ERCF.

Exhibit 7.1: CRT and Securitizations by Exposure Types

As of December 31, 2023

(Dollars in millions)

Total 

Exposure

OnBalance 

Sheet 

Exposure

OffBalance 

Sheet 

Exposure Retained Acquired

Past 

Due 

Amount

 Loss 

Recognized

Traditional:

Single-family 

securitization $ — $ — $ — $ — $ — $ — $ — 

Multifamily 

securitization — — — — — — — 

Private-label 

securities 489 489 — 364 125 120 25 

Synthetic / 

Reinsurance 

CRT:

Single-family 

CRT28 1,113,949 1,113,949 — 1,113,949 — 9,495 518 

Multifamily 

CRT 83,226 83,226 — 83,226 — 422 15 

Total CRT and 

securitization 

exposure $ 1,197,664 $ 1,197,664 $ — $ 1,197,539 $ 125 $ 10,037 $ 558 

 Page 23

28 The exposure, past due and loss recognized amounts correspond to loans included in the reference pools for CRT transactions 

for which we elected the CRTA capital treatment under ERCF. The past due and loss recognized amounts include $7,181 million 

and $115 million, respectively, for the deals with remaining capital benefit under the CRTA.
The following exhibit provides information on the RWA related to CRT and securitization exposures as of 

December 31, 2023.

Exhibit 7.2: CRT and Securitizations by Capital Treatment

As of December 31, 2023

(Dollars in millions)

RWA by Calculation Methodology

Total 

Exposure RWA SSFA29 CRTA30

1250% Risk 

Weighted

Traditional:

Single-family securitization $ — $ — $ — $ — $ — 

Multifamily securitization — — — — — 

Private-label securities 489 6,109 — — 6,109 

Synthetic / Reinsurance 

CRT:

Single-family CRT 1,113,949 223,541 — 223,541 — 

Multifamily CRT 83,226 14,050 — 14,050 — 

Total CRT and securitization 

exposure $ 1,197,664 $ 243,700 $ — $ 237,591 $ 6,109 

The following exhibit provides information on our securitization and reinsurance CRT exposures by riskweight bands and capital impact of RWA as of December 31, 2023.

Exhibit 7.3: Securitization and Resecuritization CRT Exposures Risk and Risk-Weight Bands

As of December 31, 2023

(Dollars in millions)

Total 

Exposure

SSFA RiskWeighted Assets31CRTA RiskWeighted Assets

Capital 

Impact of 

RWA32

Securitization / 

Reinsurance CRT:

Zero to 20% $ 796,544 $ — $ 97,529 $ 4,389 

21% to 50% 311,127 — 91,959 4,138 

51% to 100% 89,504 — 48,103 2,165 

Over 100% 415 5,189 — 234 

Resecuritization:

Zero to 20% — — — — 

21% to 50% — — — — 

51% to 100% — — — — 

Over 100% 74 920 — 41 

Total CRT and securitization/

resecuritization $ 1,197,664 $ 6,109 $ 237,591 $ 10,967 

 Page 24

29 Refers to the Simplified Supervisory Formula Approach (“SSFA”), which is a calculation methodology, defined in the ERCF, used 

to determine the risk-weight for a securitization exposure.

30 Refers to the CRTA, which is a calculation methodology, defined in the ERCF, used to determine the risk-weight for a retained 

CRT exposure.

31 Includes exposures risk-weighted at 1,250%.

32 Required CET1 capital amount associated with the exposure.
The following exhibit provides information on our exposures intended to be securitized in the subsequent 

fiscal quarter, exposures securitized year-to-date, and the associated gain/loss on sale as of December 

31, 2023. 

Exhibit 7.4: CRT and Securitization Pipeline & Activity

As of December 31, 2023

(Dollars in millions)

Carrying Value of 

Assets Pending 

Securitization33

Assets Securitized 

YTD

Recognized Gain/

Loss on Sale YTD

Traditional

Single-family securitization $ — $ — $ — 

Multifamily securitization — — — 

Private-label securities — — — 

Other — — — 

Synthetic / Reinsurance 

CRT

Single-family CRT 68,404 308,039 — 

Multifamily CRT — 30,654 — 

Total CRT and 

securitization exposure $ 68,404 $ 338,693 $ — 

 Page 25

33 Represents our estimate, as of December 31, 2023, of the UPB of loans we expect will be included in reference pools for singlefamily and multifamily CRT transactions in the first quarter of 2024. Actual amounts may change, perhaps materially, depending 

on a number of factors, including our risk appetite, future market conditions, the cost of the transactions, FHFA guidance or 

requirements (including FHFA’s scorecard), the capital relief provided by the transactions, and our overall business and capital 

plans.
8. Equities

We account for securities we have acquired as either trading or available-for-sale (“AFS”). We measure 

trading securities at fair value in our consolidated balance sheets with unrealized and realized gains and 

losses included as a component of “Fair value gains (losses), net” in our consolidated statements of 

operations and comprehensive income. 

We adhere to U.S. GAAP to guide our determination of each pricing approach and primarily use 

independent pricing sources. Vendor pricing is generally our preferred method for pricing assets and 

liabilities, which enables us to leverage and validate pricing information from multiple independent 

sources. To corroborate results, we subject vendor prices to stringent testing by pricing teams. When 

vendor pricing is not available or appropriate, we use either an internal method based on market 

observable data or pricing models. Models used for financial reporting purposes must be approved by our 

independent model risk management team within our Enterprise Risk Management division prior to use. 

Additionally, our internal pricing teams conduct regular model assessments to determine whether models 

are still reasonable and appropriate for their intended business purposes. 

For information regarding the types and nature of our equity investments, along with the carrying and fair 

value of the investments, refer to the “Consolidated Balance Sheets” and the “Consolidated Statements of 

Operations and Comprehensive Income” in our 2023 Form 10-K.

The following exhibit provides information on unrealized gains and losses for publicly-traded and nonpublicly traded equity investments as of December 31, 2023.

Exhibit 8.1: Equity Investments

As of December 31, 2023

(Dollars in millions)

Public Non-Public34 Total

Carrying value $ 4 $ 3,695 $ 3,699 

Unrealized gains/losses — — — 

Unrealized gains/losses not recognized on the balance 

sheet or through earnings — — — 

Fair value 4 3,695 3,699 

Unrealized gains/losses included in risk-based capital — — — 

YTD Cumulative realized gains/losses from sales and 

liquidation — — — 

 Page 26

34 Includes low-income housing tax credits, community investments and other partnership investments; for these investments, 

carrying value approximates fair value.
The following exhibit provides information on the capital treatment of equity investments as of December 

31, 2023.

Exhibit 8.2: Capital Treatment of Equity Investments

As of December 31, 2023

(Dollars in millions)

Risk Weight Exposure35 RWA

Capital Impact of 

RWA36

0% $ — $ — $ — 

20% — — — 

100% 3,699 3,699 166 

300% — — — 

400% — — — 

600% — — — 

Total equity investments $ 3,699 $ 3,699 $ 166 

We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a 

component of “Other comprehensive income (loss)” and we recognize realized gains and losses from the 

sale of AFS securities in “Investment gains (losses), net” in our 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. For a breakout of 

the total unrealized gains and losses recognized on our consolidated balance sheets but not through 

earnings, see “Note 6, Investments in Securities—Available-for-Sale Securities” in our 2023 Form 10-K. 

We did not have any equity investments subject to supervisory transition during the quarter ended 

December 31, 2023. 

 Page 27

35 Represents net exposure of equity investments.

36 Required CET1 capital amount associated with the exposure.
9. Interest Rate Risk for Non-Trading Activities

We are subject to interest-rate risk, which is the risk that movements in interest rates will adversely affect 

the value of our assets or liabilities or our future earnings or capital. Our exposure to interest-rate risk 

primarily arises from two sources: (1) our “net portfolio,” which we define as: our retained mortgage 

portfolio assets, our corporate liquidity portfolio, outstanding debt of Fannie Mae used to fund the retained 

mortgage portfolio assets and our corporate liquidity portfolio, mortgage commitments and risk 

management derivatives; and (2) our consolidated MBS trusts. 

For general derivatives activities, we use a wide range of Futures Commission Merchants and receive 

and pledge collateral to address market concentration and counterparty risk management requirements. 

These risks include counterparty default risk and market risks. 

For more information on the nature of interest rate risk for non-trading activities, and the key assumptions 

used, see “MD&A—Key Market Economic Indicators—How Interest Rates Can Affect Our Financial 

Results” and “MD&A—Risk Management—Market Risk Management, including Interest-Rate Risk 

Management” in our 2023 Form 10-K.

For information on Fannie Mae’s market value sensitivity based on interest-rate shocks, see “MD&A—

Risk Management—Market Risk Management, including Interest-Rate Risk Management—Measurement 

of Interest-Rate Risk” in our 2023 Form 10-K.

 Page 28
10. Operational Risk 

Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, or 

systems, or disruptions from external events. Refer to “Risk Factors—Operational and Model Risk,” 

“MD&A—Risk Management—Operational Risk Management,” and “Cybersecurity” in our 2023 Form 10-K 

for information on the operational risks we face, how we identify, monitor, and manage these risks 

(including cybersecurity risks), and how insurance is used to mitigate operational risk.

As previously discussed, Fannie Mae calculates its RWA using the standardized approach, whereby 

operational risk RWA is calculated by multiplying adjusted total assets by 15 basis points, and then 

multiplying by 12.5. 

 Page 29
11. Tier 1 Leverage Ratio 

Under the ERCF, the tier 1 leverage ratio is calculated as available tier 1 capital divided by adjusted total 

assets. Fannie Mae is required to maintain tier 1 capital in excess of the amount required under its tier 1 

leverage ratio requirement by at least the amount of its PLBA. The following exhibit provides a view of our 

adjusted total assets and tier 1 leverage as of December 31, 2023.

 Page 30
1 Total consolidated assets as reported in published financial statements $ 4,325,437 

2 Adjustment for fiduciary assets recognized on balance sheet but excluded from total leverage 

 exposure — 

3 Adjustment for derivative exposures 565 

4 Adjustment for repo-style transactions 1,737 

5 Adjustment for off-balance sheet exposures (that is, conversion to credit equivalent amounts of 

 off-balance sheet exposures) 227,457 

6 Other adjustments (2,748) 

7 Adjusted total assets (sum of lines 1 to 6) $ 4,552,448 

Part 2: Tier 1 leverage ratio

On-balance sheet exposures

1 On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and 

 derivative exposures, but including cash collateral received in derivative transactions and

 including allowance for credit losses) $ 4,303,469 

2 LESS: Amounts deducted from tier 1 capital 11,681 

3 Total on-balance sheet exposures (excluding on-balance sheet assets for repo-style transactions 

 and derivative exposures, but including cash collateral received in derivative transactions) (sum of

 lines 1 and 2) $ 4,291,788 

Derivative exposures

4 Current exposure for derivative exposures (that is, net of cash variation margin) $ (2,766) 

5 Add-on amounts for potential future exposure (PFE) for derivative exposures 565 

6 Gross-up for cash collateral posted if deducted from the on-balance sheet assets, except for cash

 variation margin 2,922 

7 LESS: Deductions of receivable assets for cash variation margin posted in derivative transactions,

 if included in on-balance sheet assets — 

8 LESS: Exempted CCP leg of client-cleared transactions — 

9 Effective notional principal amount of sold credit protection 45 

10 LESS: Effective notional principal amount offsets and PFE adjustments for sold credit protection

 — 

11 Total derivative exposures (sum of lines 4 to 10) $ 766 

Repo-style transactions

12 On-balance sheet assets for repo-style transactions, except include the gross value of 

 receivables for reverse repurchase transactions. Exclude from this item the value of securities 

 received in a security-for-security repo-style transaction where the securities lender has not sold 

 or re-hypothecated the securities received. Include in this item the value of securities that 

 qualified for sales treatment that must be reversed $ 30,700 

13 LESS: Reduction of the gross value of receivables in reverse repurchase transactions by cash 

 payables in repurchase transactions under netting agreements — 

14 Counterparty credit risk for all repo-style transactions 1,737 

15 Exposure for repo-style transactions where a banking organization acts as an agent

 — 

16 Total exposures for repo-style transactions (sum of lines 12 to 15) $ 32,437 

Other off-balance sheet exposures

17 Off-balance sheet exposures at gross notional amounts $ 227,536 

18 LESS: Adjustments for conversion to credit equivalent amounts and off-balance sheet exposures

 held in retained portfolio 79 

19 Off-balance sheet exposures (sum of lines 17 and 18) $ 227,457 

Capital and adjusted total assets

20 Tier 1 capital (deficit) (54,835) 

21 Adjusted total assets (sum of lines 3, 11, 16, and 19) $ 4,552,448 

Tier 1 leverage ratio

22 Tier 1 leverage ratio (in percent) (1.2) %

Exhibit 11.1: Tier 1 Leverage Ratio

As of December 31, 2023

(Dollars in millions)

Part 1: Summary comparison of accounting assets and adjusted total assets

 

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12. Market Risk

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 

can experience losses from changes in the spreads between our mortgage assets and the debt and 

derivatives we use to hedge our position. Our internal management practices include procedures to 

identify, assess, respond to, and monitor our market risk. The process for monitoring and managing 

market risk includes stressing factors such as interest rates and spreads in order to evaluate the impact 

on fair value and earnings.

We monitor current market conditions, including the interest-rate environment, to assess the impact of 

these conditions on individual positions and our interest-rate risk profile. In addition to qualitative factors, 

we use various quantitative risk metrics in determining the appropriate composition of our retained 

mortgage portfolio, our investments in non-mortgage securities and relative mix of debt and derivatives 

positions in order to remain within pre-defined risk tolerance levels that we consider acceptable. We 

regularly disclose two interest-rate risk metrics that estimate our interest-rate exposure: (1) fair value 

sensitivity to changes in interest-rate levels and the slope of the yield curve and (2) duration gap.

We calculate market risk RWA under the standardized approach in the ERCF. We use one of the following 

three approaches depending principally on instrument type: (1) a single-point approach used for 

instruments primarily with credit risk only; (2) a spread duration approach for instruments with additional 

spread and prepayment risk; or (3) an internal models approach for instruments with spread risk not 

included in the previous two categories, such as commercial mortgage-backed securities (“CMBS”), 

single-family agency securities, performing loans not securitized, and Ginnie Mae mortgage-backed 

securities. 

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The following exhibit provides the covered position exposure amounts and RWA for each of the three 

types of ERCF standardized approaches as of December 31, 2023. The population of covered positions 

includes those with spread risk exposure regardless of intent or accounting treatment.

Exhibit 12.1: Covered Position Exposure Amounts and RWA

As of December 31, 2023

(Dollars in millions)

Exposure 

Amount

Standardized Market 

Risk RWA

Single Point Approach

Mortgage exposures that are not secured by an MBS 

guaranteed by the Enterprise

Non-performing loans $ 8,744 $ 5,192 

Re-performing loans 20,412 12,119 

Reverse mortgage loans 3,667 733 

Reverse mortgage securities 2,356 1,207 

Spread Duration Approach

Multifamily mortgage exposures 2,745 81 

Private-label securities 502 272 

MBS (non-interest only) guaranteed by an Enterprise or by 

Ginnie Mae 3,459 2,128 

Internal Estimates

Covered Positions that are not subject to the Single Point 

or Spread Duration Approaches

Single-family MBS guaranteed by the Enterprise (9,441) (1,818) 

Single-family MBS guaranteed by Ginnie Mae (16) (5) 

Single-family MBS guaranteed by the other Enterprise37 2,873 1,092 

Multifamily interest-only securities guaranteed by an 

Enterprise or Ginnie Mae 328 249 

Commercial MBS — — 

CRT exposures — — 

Other securitization exposures 132 40 

Performing loans, not securitized 14,162 7,130 

Other trading assets and liabilities 612 2,423 

Total $ 50,535 $ 30,843 

On- and Off-Balance Sheet Exposure Types – For additional information on our aggregate amount of 

on-balance sheet and off-balance sheet securitization positions by exposure type and composition of 

material covered positions, refer to “Note 3, Consolidations and Transfers of Financial Assets—

Unconsolidated VIEs” and “Note 7, Financial Guarantees” in our 2023 Form 10-K. 

Our valuation framework incorporates key elements for governance, methodology, valuation adjustments, 

and model validation.

Valuation governance provides: (1) an overview of governance bodies and committees; (2) an outline of 

the structure emphasizing independence of the valuation review process; (3) detail on governance 

processes and financial instruments covered; and (4) the end-to-end valuation process, including the 

control framework and roles and responsibilities for first and second lines of defense in the valuation 

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37 “Other Enterprise” refers to Freddie Mac.
processes. For more information on our valuation techniques, refer to “Note 16, Fair Value—Fair Value 

Measurement” in our 2023 Form 10-K.

The internal model approach is intended to capture at a granular level the risk associated with changes in 

the discounting spread used to value the future cash flows of the assets in our retained mortgage 

portfolio. The future cash flows are projected by models that reflect the expected prepayment behavior 

associated with the different characteristics of the assets (amortization terms, vintages, mortgage rates, 

etc.) in our current economic outlook. However, internal models do not incorporate basis risk38 across 

positions.

Consistent with our model risk management framework, regulatory expectations and industry practice, an 

independent second line model risk function subjects our material market risk models to rigorous 

validation testing for conceptual soundness and fitness for use.

The calculation of market risk capital for our net portfolio quantifies the amount of market value losses 

that its assets could experience under spread widening consistent with the size of the largest spread 

movements observed since the recession of 2008, assuming that other risk factors such as benchmark 

interest rates, mortgage rates, and home prices remain the same as in the current economic outlook.

Per our model risk management framework and policies, relevant market risk models using internalderived models are subject to model performance management to ensure conformance between model 

estimates and actual portfolio value changes.

The metrics used to measure our interest-rate exposure are generated using internal models. Our internal 

models, consistent with standard practice for models used in our industry, require numerous assumptions. 

There are inherent limitations in any methodology used to estimate the exposure to changes in market 

interest rates. The reliability of our prepayment estimates and interest-rate risk metrics depends on the 

availability and quality of historical data for each of the types of securities in our net portfolio. When 

market conditions change rapidly and dramatically, the assumptions of our models may no longer 

accurately capture or reflect the changing conditions. On a regular basis, management makes judgments 

about the appropriateness of the risk assessments indicated by the models and will make adjustments as 

necessary to properly assess our interest-rate exposure and manage our interest-rate risk. For more 

information on our models, see “MD&A—Risk Management—Model Risk Management” and “Risk Factors

—Operational and Model Risk” in our 2023 Form 10-K.

The metrics used to measure the interest-rate and spread exposure of re-securitization positions are 

generated using internal models in combination with external models that project how the securitization 

cash flows are allocated to the re-securitization positions.

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38 Basis risk is the risk that the value of a futures contract or an over-the-counter hedge will not perfectly offset an underlying 

position.
Glossary

This section defines terms included in this report.

• CAS – Connecticut Avenue Securities® - A type of security that allows Fannie Mae to transfer a 

portion of the credit risk from loan reference pools, consisting of certain mortgage loans in our 

guaranty book of business, to third-party investors.

• CIRT TM – Credit Insurance Risk TransferTM - Insurance transactions whereby we obtain actual 

loss coverage on pools of loans either directly from an insurance provider that retains the risk, or 

from an insurance provider that simultaneously cedes all of its risk to one or more reinsurers.

• CRTA – Credit Risk Transfer Approach - A calculation methodology, defined in the ERCF, used to 

determine the risk-weight for a retained CRT exposure.

• FHFA – The Federal Housing Finance Agency - FHFA is an independent agency of the federal 

government with general supervisory and regulatory authority over Fannie Mae, Freddie Mac and 

the Federal Home Loan Banks. FHFA also has been acting as our conservator since September 

2008. For more information on FHFA’s authority as our conservator and as our regulator, see 

“Business—Conservatorship and Treasury Agreements” and “Business—Legislation and 

Regulation” in our 2023 Form 10-K.

• MCASTM – Multifamily Connecticut Avenue SecuritiesTM - Connecticut Avenue Securities that are 

structured as notes issued by trusts to transfer a portion of the credit risk on our multifamily 

guaranty book of business to third-party investors.

• MCIRTTM – Multifamily Credit Insurance Risk TransferTM - Insurance transactions that transfer a 

portion of the credit risk associated with a reference pool of multifamily mortgage loans to 

insurers, reinsurers, or investors.

• Multifamily loan – A mortgage loan secured by a property containing five or more residential 

dwelling units.

• Net portfolio – Our retained mortgage portfolio assets, corporate liquidity portfolio, outstanding 

debt of Fannie Mae used to fund the retained mortgage portfolio assets and corporate liquidity 

portfolio, mortgage commitments and risk management derivatives.

• Private-label securities – Mortgage-related securities issued by entities other than agency 

issuers Fannie Mae, Freddie Mac or Ginnie Mae.

• Retained mortgage portfolio – Mortgage-related assets we own (excluding the portion of assets 

that back mortgage-related securities owned by third parties).

• Senior preferred stock – Shares of Variable Liquidation Preference Senior Preferred Stock, 

Series 2008-2, issued to the U.S. Treasury under the senior preferred stock purchase agreement.

• Single-family loan – A mortgage loan secured by a property containing four or fewer residential 

dwelling units.

• SSFA – Simplified Supervisory Formula Approach - a calculation methodology, defined in the 

ERCF, used to determine the risk-weight for a securitization exposure.

• Synthetic securitization – A synthetic securitization means a transaction in which: (1) all or a 

portion of the credit risk of one or more underlying exposures is retained or transferred to one or 

more third parties through the use of one or more credit derivatives or guarantees; (2) the credit 

risk associated with the underlying exposures has been separated into at least two tranches 

reflecting different levels of seniority; (3) performance of the securitization exposures depends 

upon the performance of the underlying exposures; and (4) all or substantially all of the 

underlying exposures are financial exposures.

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• Write-off – Loan amounts written off as uncollectible bad debts. These loan amounts are 

removed from our consolidated balance sheet and charged against our loss reserves when the 

balance is deemed uncollectible, which is generally at foreclosure or other liquidation events, 

such as a deed-in-lieu of foreclosure or a short-sale. Also includes write-offs related to the 

redesignation of loans from held for investment to held for sale.

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